|
(Name and Address of Agent for Service)
|
Copy to: | ||
|
Ryan Louvar
|
W. John McGuire, Esq. | ||
|
Vice President and Senior Counsel
|
Bingham McCutchen LLP | ||
|
State Street Bank and Trust Company
|
2020 K Street NW | ||
|
One Lincoln Street/CPH0326
|
Washington, DC 20006 | ||
|
Boston, MA 02111
|
| Registrant’s telephone number, including area code: ( 866) 787-2257 | ||
| Date of fiscal year end: June 30 | ||
| Date of reporting period: September 30, 2012 |
|
SPDR Dow Jones Total Market ETF (TMW)
|
3 | |
|
SPDR Dow Jones Large Cap ETF (ELR)
|
14 | |
|
SPDR
S&P
®
500 Growth ETF (SPYG)
|
23 | |
|
SPDR S&P 500 Value ETF (SPYV)
|
27 | |
|
SPDR Dow Jones Mid Cap ETF (EMM)
|
32 | |
|
SPDR S&P 400 Mid Cap Growth ETF (MDYG)
|
38 | |
|
SPDR S&P 400 Mid Cap Value ETF (MDYV)
|
42 | |
|
SPDR S&P 600 Small Cap ETF (SLY)
|
46 | |
|
SPDR S&P 600 Small Cap Growth ETF (SLYG)
|
53 | |
|
SPDR S&P 600 Small Cap Value ETF (SLYV)
|
58 | |
|
SPDR Global Dow ETF (DGT)
|
64 | |
|
SPDR Dow Jones REIT ETF (RWR)
|
67 | |
|
SPDR S&P Bank ETF (KBE)
|
69 | |
|
SPDR S&P Capital Markets ETF (KCE)
|
70 | |
|
SPDR S&P Insurance ETF (KIE)
|
71 | |
|
SPDR S&P
Mortgage
Finance
sm
ETF (KME)
|
72 | |
|
SPDR S&P
Regional
Banking
sm
ETF (KRE)
|
73 | |
|
SPDR Morgan Stanley Technology ETF (MTK)
|
74 | |
|
SPDR S&P Dividend ETF (SDY)
|
75 | |
|
SPDR S&P Aerospace & Defense ETF (XAR)
|
77 | |
|
SPDR S&P Biotech ETF (XBI)
|
78 | |
|
SPDR S&P Health Care Equipment ETF (XHE)
|
79 | |
|
SPDR S&P Health Care Services ETF (XHS)
|
80 | |
|
SPDR S&P Homebuilders ETF (XHB)
|
81 | |
|
SPDR S&P Metals & Mining ETF (XME)
|
82 | |
|
SPDR S&P Oil & Gas Equipment & Services
ETF (XES)
|
83 | |
|
SPDR S&P Oil & Gas Exploration &
Production ETF (XOP)
|
84 | |
|
SPDR S&P Pharmaceuticals ETF (XPH)
|
85 | |
|
SPDR S&P Retail ETF (XRT)
|
86 | |
|
SPDR S&P Semiconductor ETF (XSD)
|
88 | |
|
SPDR S&P Software & Services ETF (XSW)
|
89 |
91
92
93
96
97
98
100
102
103
113
128
138
149
152
153
167
176
179
181
189
191
196
200
202
205
210
217
221
227
234
237
240
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
AEROSPACE & DEFENSE — 2.1%
|
||||||||
|
BE Aerospace, Inc. (a)
|
5,497 | $ | 231,424 | |||||
|
Ceradyne, Inc.
|
959 | 23,428 | ||||||
|
Engility Holdings, Inc. (a)(b)
|
658 | 12,140 | ||||||
|
Exelis, Inc.
|
6,381 | 65,980 | ||||||
|
General Dynamics Corp.
|
8,590 | 567,971 | ||||||
|
Honeywell International, Inc.
|
19,025 | 1,136,744 | ||||||
|
Huntington Ingalls Industries, Inc. (a)
|
1,619 | 68,079 | ||||||
|
L-3
Communications Holdings, Inc.
|
3,950 | 283,254 | ||||||
|
Lockheed Martin Corp.
|
8,887 | 829,868 | ||||||
|
National Presto Industries, Inc. (b)
|
1,284 | 93,578 | ||||||
|
Northrop Grumman Corp.
|
9,716 | 645,434 | ||||||
|
Precision Castparts Corp.
|
3,464 | 565,810 | ||||||
|
Raytheon Co.
|
12,527 | 716,043 | ||||||
|
Rockwell Collins, Inc.
|
6,227 | 334,016 | ||||||
|
Textron, Inc. (b)
|
7,848 | 205,382 | ||||||
|
The Boeing Co.
|
18,522 | 1,289,502 | ||||||
|
United Technologies Corp.
|
23,787 | 1,862,284 | ||||||
| 8,930,937 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.7%
|
||||||||
|
C.H. Robinson Worldwide, Inc.
|
4,524 | 264,880 | ||||||
|
Expeditors International of Washington, Inc.
|
6,630 | 241,067 | ||||||
|
FedEx Corp.
|
8,169 | 691,261 | ||||||
|
Forward Air Corp. (b)
|
6,059 | 184,254 | ||||||
|
United Parcel Service, Inc. (Class B)
|
20,715 | 1,482,572 | ||||||
|
UTI Worldwide, Inc.
|
6,568 | 88,471 | ||||||
| 2,952,505 | ||||||||
|
AIRLINES — 0.2%
|
||||||||
|
Delta Air Lines, Inc. (a)
|
17,465 | 159,979 | ||||||
|
JetBlue Airways Corp. (a)(b)
|
9,536 | 45,678 | ||||||
|
Republic Airways Holdings, Inc. (a)(b)
|
36,056 | 166,939 | ||||||
|
Southwest Airlines Co.
|
20,634 | 180,960 | ||||||
|
United Continental Holdings, Inc. (a)(b)
|
8,911 | 173,765 | ||||||
|
US Airways Group, Inc. (a)(b)
|
5,266 | 55,082 | ||||||
| 782,403 | ||||||||
|
AUTO COMPONENTS — 0.3%
|
||||||||
|
American Axle & Manufacturing Holdings,
Inc. (a)(b)
|
1,380 | 15,553 | ||||||
|
BorgWarner, Inc. (a)(b)
|
2,677 | 185,007 | ||||||
|
Gentex Corp. (b)
|
9,641 | 163,993 | ||||||
|
Johnson Controls, Inc.
|
18,853 | 516,572 | ||||||
|
Modine Manufacturing Co. (a)(b)
|
12,799 | 94,457 | ||||||
|
The Goodyear Tire & Rubber Co. (a)
|
9,463 | 115,354 | ||||||
| 1,090,936 | ||||||||
|
AUTOMOBILES — 0.3%
|
||||||||
|
Ford Motor Co.
|
88,139 | 869,051 | ||||||
|
Harley-Davidson, Inc.
|
8,493 | 359,848 | ||||||
|
Thor Industries, Inc. (b)
|
981 | 35,630 | ||||||
| 1,264,529 | ||||||||
|
BEVERAGES — 2.0%
|
||||||||
|
Beam, Inc.
|
4,276 | 246,041 | ||||||
|
Central European Distribution Corp. (a)(b)
|
1,473 | 4,198 | ||||||
|
Coca-Cola
Enterprises, Inc.
|
10,773 | 336,872 | ||||||
|
Constellation Brands, Inc. (Class A) (a)
|
7,692 | 248,836 | ||||||
|
Dr. Pepper Snapple Group, Inc. (b)
|
7,204 | 320,794 | ||||||
|
Molson Coors Brewing Co. (Class B)
|
4,037 | 181,867 | ||||||
|
Monster Beverage Corp. (a)
|
4,530 | 245,345 | ||||||
|
PepsiCo, Inc.
|
42,551 | 3,011,334 | ||||||
|
The
Coca-Cola Co.
|
112,359 | 4,261,777 | ||||||
| 8,857,064 | ||||||||
|
BIOTECHNOLOGY — 2.2%
|
||||||||
|
Acorda Therapeutics, Inc. (a)
|
2,433 | 62,309 | ||||||
|
Alexion Pharmaceuticals, Inc. (a)
|
4,612 | 527,613 | ||||||
|
Alkermes PLC (a)(b)
|
4,528 | 93,956 | ||||||
|
Alnylam Pharmaceuticals, Inc. (a)(b)
|
2,088 | 39,234 | ||||||
|
AMAG Pharmaceuticals, Inc. (a)(b)
|
568 | 10,076 | ||||||
|
Amgen, Inc.
|
29,027 | 2,447,557 | ||||||
|
Biogen Idec, Inc. (a)
|
8,346 | 1,245,474 | ||||||
|
BioMarin Pharmaceutical, Inc. (a)(b)
|
3,640 | 146,583 | ||||||
|
Celgene Corp. (a)
|
13,282 | 1,014,745 | ||||||
|
Chelsea Therapeutics International, Ltd. (a)
|
12,876 | 15,451 | ||||||
|
Cubist Pharmaceuticals, Inc. (a)(b)
|
2,443 | 116,482 | ||||||
|
Dendreon Corp. (a)(b)
|
7,531 | 36,375 | ||||||
|
Gilead Sciences, Inc. (a)
|
25,737 | 1,707,135 | ||||||
|
Incyte Corp. (a)(b)
|
2,760 | 49,818 | ||||||
|
InterMune, Inc. (a)(b)
|
1,117 | 10,019 | ||||||
|
Isis Pharmaceuticals, Inc. (a)(b)
|
4,355 | 61,275 | ||||||
|
Medivation, Inc. (a)(b)
|
11,020 | 621,087 | ||||||
|
Myriad Genetics, Inc. (a)
|
2,661 | 71,820 | ||||||
|
Neurocrine Biosciences, Inc. (a)(b)
|
3,714 | 29,638 | ||||||
|
Novavax, Inc. (a)(b)
|
6,800 | 14,688 | ||||||
|
Onyx Pharmaceuticals, Inc. (a)
|
2,169 | 183,280 | ||||||
|
PDL BioPharma, Inc. (b)
|
6,723 | 51,700 | ||||||
|
Regeneron Pharmaceuticals, Inc. (a)
|
1,708 | 260,743 | ||||||
|
Rigel Pharmaceuticals, Inc. (a)(b)
|
16,100 | 165,025 | ||||||
|
Sarepta Therapeutics, Inc. (a)(b)
|
3,493 | 54,246 | ||||||
|
SIGA Technologies, Inc. (a)
|
14,177 | 45,366 | ||||||
|
Spectrum Pharmaceuticals, Inc. (a)(b)
|
5,901 | 69,042 | ||||||
|
Vertex Pharmaceuticals, Inc. (a)
|
4,464 | 249,761 | ||||||
| 9,400,498 | ||||||||
|
BUILDING PRODUCTS — 0.2%
|
||||||||
|
Builders FirstSource, Inc. (a)(b)
|
48,639 | 252,436 | ||||||
|
Fortune Brands Home & Security, Inc. (a)
|
4,276 | 115,495 | ||||||
|
Masco Corp.
|
11,258 | 169,433 | ||||||
|
Quanex Building Products Corp. (b)
|
1,060 | 19,970 | ||||||
|
Simpson Manufacturing Co., Inc. (b)
|
2,671 | 76,444 | ||||||
|
USG Corp. (a)(b)
|
10,425 | 228,829 | ||||||
| 862,607 | ||||||||
|
CAPITAL MARKETS — 1.7%
|
||||||||
|
Affiliated Managers Group, Inc. (a)
|
1,282 | 157,686 | ||||||
|
Ameriprise Financial, Inc.
|
6,974 | 395,356 | ||||||
|
BlackRock, Inc.
|
1,066 | 190,068 | ||||||
|
Diamond Hill Investment Group, Inc. (b)
|
238 | 18,250 | ||||||
|
E*TRADE Financial Corp. (a)
|
5,757 | 50,719 | ||||||
|
Eaton Vance Corp. (b)
|
3,632 | 105,183 | ||||||
|
Federated Investors, Inc. (Class B) (b)
|
1,698 | 35,132 | ||||||
|
Franklin Resources, Inc.
|
4,221 | 527,920 | ||||||
|
Intl. FCStone, Inc. (a)(b)
|
5,016 | 95,605 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Invesco, Ltd.
|
12,302 | $ | 307,427 | |||||
|
Janus Capital Group, Inc. (b)
|
10,429 | 98,450 | ||||||
|
Jefferies Group, Inc.
|
4,050 | 55,444 | ||||||
|
KBW, Inc. (b)
|
1,464 | 24,112 | ||||||
|
Knight Capital Group, Inc. (Class A) (a)
|
1,308 | 3,505 | ||||||
|
Legg Mason, Inc. (b)
|
6,140 | 151,535 | ||||||
|
Medallion Financial Corp. (b)
|
1,858 | 21,943 | ||||||
|
Morgan Stanley
|
33,246 | 556,538 | ||||||
|
Northern Trust Corp.
|
6,543 | 303,693 | ||||||
|
Raymond James Financial, Inc.
|
3,090 | 113,248 | ||||||
|
SEI Investments Co.
|
9,883 | 211,990 | ||||||
|
State Street Corp. (c)
|
13,932 | 584,587 | ||||||
|
T. Rowe Price Group, Inc.
|
7,366 | 466,268 | ||||||
|
TD Ameritrade Holding Corp.
|
7,526 | 115,675 | ||||||
|
The Bank of New York Mellon Corp.
|
31,632 | 715,516 | ||||||
|
The Charles Schwab Corp. (b)
|
27,606 | 353,081 | ||||||
|
The Goldman Sachs Group, Inc.
|
12,056 | 1,370,526 | ||||||
|
Waddell & Reed Financial, Inc. (Class A) (b)
|
5,514 | 180,694 | ||||||
|
Walter Investment Management Corp. (a)
|
803 | 29,719 | ||||||
| 7,239,870 | ||||||||
|
CHEMICALS — 2.2%
|
||||||||
|
Air Products & Chemicals, Inc.
|
5,355 | 442,859 | ||||||
|
Airgas, Inc.
|
2,437 | 200,565 | ||||||
|
Ashland, Inc.
|
3,062 | 219,239 | ||||||
|
Cabot Corp.
|
3,492 | 127,702 | ||||||
|
Calgon Carbon Corp. (a)(b)
|
3,005 | 43,002 | ||||||
|
Celanese Corp. (Series A)
|
5,112 | 193,796 | ||||||
|
CF Industries Holdings, Inc.
|
2,098 | 466,260 | ||||||
|
E. I. du Pont de Nemours & Co.
|
25,301 | 1,271,881 | ||||||
|
Eastman Chemical Co.
|
7,133 | 406,652 | ||||||
|
Ecolab, Inc.
|
11,157 | 723,085 | ||||||
|
FMC Corp.
|
4,216 | 233,482 | ||||||
|
Monsanto Co.
|
15,786 | 1,436,842 | ||||||
|
PPG Industries, Inc.
|
5,495 | 631,046 | ||||||
|
Praxair, Inc.
|
9,543 | 991,327 | ||||||
|
Sigma-Aldrich
Corp. (b)
|
2,988 | 215,046 | ||||||
|
Stepan Co.
|
1,543 | 148,313 | ||||||
|
The Dow Chemical Co.
|
29,291 | 848,267 | ||||||
|
The Mosaic Co.
|
5,024 | 289,433 | ||||||
|
The
Sherwin-Williams Co.
|
2,253 | 335,494 | ||||||
|
TPC Group, Inc. (a)
|
6,748 | 275,386 | ||||||
| 9,499,677 | ||||||||
|
COMMERCIAL BANKS — 3.2%
|
||||||||
|
Bank of Hawaii Corp. (b)
|
1,447 | 66,012 | ||||||
|
Banner Corp.
|
7,327 | 198,562 | ||||||
|
BB&T Corp.
|
18,300 | 606,828 | ||||||
|
BBCN Bancorp, Inc. (a)
|
16,679 | 210,322 | ||||||
|
CapitalSource, Inc.
|
3,070 | 23,271 | ||||||
|
Cathay General Bancorp
|
2,016 | 34,796 | ||||||
|
Centerstate Banks, Inc. (b)
|
11,633 | 103,766 | ||||||
|
CIT Group, Inc. (a)
|
5,583 | 219,914 | ||||||
|
Columbia Banking System, Inc. (b)
|
7,847 | 145,483 | ||||||
|
Comerica, Inc.
|
4,057 | 125,970 | ||||||
|
CVB Financial Corp. (b)
|
12,305 | 146,922 | ||||||
|
East West Bancorp, Inc.
|
3,560 | 75,187 | ||||||
|
F.N.B. Corp. (b)
|
11,154 | 125,036 | ||||||
|
Fifth Third Bancorp
|
21,431 | 332,395 | ||||||
|
First Bancorp (b)
|
10,586 | 122,057 | ||||||
|
First Commonwealth Financial Corp. (b)
|
39,274 | 276,882 | ||||||
|
First Financial Bancorp (b)
|
12,532 | 211,916 | ||||||
|
First Horizon National Corp. (b)
|
6,956 | 66,986 | ||||||
|
First Merchants Corp. (b)
|
8,817 | 132,343 | ||||||
|
First Niagara Financial Group, Inc.
|
15,958 | 129,100 | ||||||
|
Huntington Bancshares, Inc.
|
13,906 | 95,951 | ||||||
|
Independent Bank
Corp.-Massachusetts (b)
|
5,669 | 170,580 | ||||||
|
International Bancshares Corp. (b)
|
10,977 | 209,112 | ||||||
|
Keycorp
|
14,390 | 125,769 | ||||||
|
M&T Bank Corp. (b)
|
2,356 | 224,197 | ||||||
|
MB Financial, Inc.
|
12,532 | 247,507 | ||||||
|
National Penn Bancshares, Inc. (b)
|
12,135 | 110,550 | ||||||
|
Old National Bancorp (b)
|
2,349 | 31,970 | ||||||
|
PacWest Bancorp
|
3,306 | 77,261 | ||||||
|
PNC Financial Services Group, Inc.
|
16,363 | 1,032,505 | ||||||
|
Popular, Inc. (a)
|
17,963 | 313,095 | ||||||
|
Regions Financial Corp.
|
25,156 | 181,375 | ||||||
|
Sandy Spring Bancorp, Inc. (b)
|
9,436 | 181,643 | ||||||
|
Simmons First National Corp. (b)
|
5,904 | 143,792 | ||||||
|
SunTrust Banks, Inc.
|
14,085 | 398,183 | ||||||
|
Susquehanna Bancshares, Inc.
|
10,602 | 110,897 | ||||||
|
Trustmark Corp. (b)
|
2,253 | 54,838 | ||||||
|
U.S. Bancorp
|
48,197 | 1,653,157 | ||||||
|
Umpqua Holdings Corp. (b)
|
9,387 | 120,998 | ||||||
|
United Bankshares, Inc. (b)
|
1,715 | 42,721 | ||||||
|
United Community Banks, Inc. (a)(b)
|
5,998 | 50,323 | ||||||
|
Wells Fargo & Co.
|
136,052 | 4,697,876 | ||||||
|
Western Alliance Bancorp (a)(b)
|
15,039 | 153,398 | ||||||
|
Wilshire Bancorp, Inc. (a)(b)
|
27,862 | 175,531 | ||||||
|
Zions Bancorporation (b)
|
5,823 | 120,274 | ||||||
| 14,077,251 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.6%
|
||||||||
|
ACCO Brands Corp. (a)
|
1,222 | 7,931 | ||||||
|
Avery Dennison Corp. (b)
|
4,382 | 139,435 | ||||||
|
Cintas Corp.
|
6,054 | 250,938 | ||||||
|
Courier Corp. (b)
|
5,193 | 63,458 | ||||||
|
Covanta Holding Corp.
|
4,286 | 73,548 | ||||||
|
Ennis, Inc.
|
9,723 | 159,554 | ||||||
|
Herman Miller, Inc. (b)
|
5,667 | 110,167 | ||||||
|
Iron Mountain, Inc.
|
7,524 | 256,644 | ||||||
|
Pitney Bowes, Inc. (b)
|
7,277 | 100,568 | ||||||
|
R.R. Donnelley & Sons Co. (b)
|
9,218 | 97,711 | ||||||
|
Republic Services, Inc.
|
7,847 | 215,871 | ||||||
|
Stericycle, Inc. (a)(b)
|
2,088 | 189,006 | ||||||
|
Tyco International, Ltd.
|
6,317 | 355,394 | ||||||
|
Waste Connections, Inc. (b)
|
4,144 | 125,356 | ||||||
|
Waste Management, Inc. (b)
|
13,686 | 439,047 | ||||||
| 2,584,628 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.9%
|
||||||||
|
Arris Group, Inc. (a)
|
7,378 | 94,365 | ||||||
|
Brocade Communications Systems, Inc. (a)
|
7,842 | 46,385 | ||||||
|
Ciena Corp. (a)(b)
|
8,662 | 117,803 | ||||||
|
Cisco Systems, Inc.
|
161,443 | 3,081,947 | ||||||
|
Comtech Telecommunications Corp. (b)
|
1,473 | 40,714 | ||||||
|
EchoStar Corp. (Class A) (a)
|
1,783 | 51,101 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Emulex Corp. (a)
|
1,055 | $ | 7,607 | |||||
|
F5 Networks, Inc. (a)
|
2,825 | 295,777 | ||||||
|
Finisar Corp. (a)(b)
|
6,946 | 99,328 | ||||||
|
Harmonic, Inc. (a)
|
4,124 | 18,723 | ||||||
|
Harris Corp.
|
5,247 | 268,751 | ||||||
|
InterDigital, Inc. (b)
|
2,198 | 81,941 | ||||||
|
JDS Uniphase Corp. (a)
|
10,030 | 124,222 | ||||||
|
Juniper Networks, Inc. (a)
|
16,740 | 286,421 | ||||||
|
Motorola Solutions, Inc.
|
9,070 | 458,488 | ||||||
|
Plantronics, Inc. (b)
|
1,447 | 51,123 | ||||||
|
Polycom, Inc. (a)
|
6,708 | 66,208 | ||||||
|
QUALCOMM, Inc.
|
46,275 | 2,891,725 | ||||||
|
Riverbed Technology, Inc. (a)
|
5,414 | 125,984 | ||||||
|
Tellabs, Inc.
|
18,367 | 65,019 | ||||||
| 8,273,632 | ||||||||
|
COMPUTERS & PERIPHERALS — 5.0%
|
||||||||
|
Apple, Inc.
|
24,864 | 16,590,753 | ||||||
|
Avid Technology, Inc. (a)(b)
|
2,417 | 22,865 | ||||||
|
Dell, Inc.
|
49,846 | 491,482 | ||||||
|
EMC Corp. (a)
|
56,855 | 1,550,436 | ||||||
|
Hewlett-Packard Co.
|
67,703 | 1,155,013 | ||||||
|
Lexmark International, Inc. (Class A) (b)
|
3,061 | 68,107 | ||||||
|
NCR Corp. (a)
|
6,713 | 156,480 | ||||||
|
NetApp, Inc. (a)
|
12,465 | 409,849 | ||||||
|
Novatel Wireless, Inc. (a)(b)
|
8,550 | 16,929 | ||||||
|
QLogic Corp. (a)
|
8,348 | 95,334 | ||||||
|
SanDisk Corp. (a)
|
9,712 | 421,792 | ||||||
|
Seagate Technology PLC
|
14,576 | 451,856 | ||||||
|
Western Digital Corp.
|
8,344 | 323,163 | ||||||
| 21,754,059 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.2%
|
||||||||
|
Aecom Technology Corp. (a)
|
2,439 | 51,609 | ||||||
|
EMCOR Group, Inc.
|
2,362 | 67,411 | ||||||
|
Fluor Corp.
|
5,502 | 309,653 | ||||||
|
Jacobs Engineering Group, Inc. (a)
|
3,634 | 146,923 | ||||||
|
KBR, Inc.
|
4,466 | 133,176 | ||||||
|
Quanta Services, Inc. (a)
|
5,347 | 132,071 | ||||||
|
The Shaw Group, Inc. (a)
|
2,588 | 112,889 | ||||||
|
URS Corp.
|
2,281 | 80,542 | ||||||
| 1,034,274 | ||||||||
|
CONSTRUCTION MATERIALS — 0.1%
|
||||||||
|
Eagle Materials, Inc.
|
2,362 | 109,266 | ||||||
|
Martin Marietta Materials, Inc. (b)
|
1,700 | 140,879 | ||||||
|
Vulcan Materials Co.
|
3,562 | 168,483 | ||||||
| 418,628 | ||||||||
|
CONSUMER FINANCE — 0.7%
|
||||||||
|
American Express Co.
|
30,478 | 1,732,979 | ||||||
|
Capital One Financial Corp.
|
13,183 | 751,563 | ||||||
|
Discover Financial Services
|
13,125 | 521,456 | ||||||
|
SLM Corp.
|
14,469 | 227,453 | ||||||
| 3,233,451 | ||||||||
|
CONTAINERS & PACKAGING — 0.1%
|
||||||||
|
Crown Holdings, Inc. (a)
|
7,459 | 274,118 | ||||||
|
Owens-Illinois,
Inc. (a)
|
6,154 | 115,449 | ||||||
|
Sealed Air Corp. (b)
|
8,349 | 129,076 | ||||||
| 518,643 | ||||||||
|
DISTRIBUTORS — 0.1%
|
||||||||
|
Genuine Parts Co.
|
3,060 | 186,752 | ||||||
|
LKQ Corp. (a)
|
10,386 | 192,141 | ||||||
|
Pool Corp.
|
5,340 | 222,037 | ||||||
| 600,930 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.2%
|
||||||||
|
Apollo Group, Inc. (a)
|
4,279 | 124,305 | ||||||
|
Ascent Media Corp. (Class A) (a)
|
786 | 42,452 | ||||||
|
Capella Education Co. (a)
|
1,308 | 45,858 | ||||||
|
Career Education Corp. (a)(b)
|
4,691 | 17,685 | ||||||
|
Corinthian Colleges, Inc. (a)(b)
|
3,576 | 8,511 | ||||||
|
DeVry, Inc. (b)
|
1,847 | 42,038 | ||||||
|
H&R Block, Inc.
|
9,137 | 158,344 | ||||||
|
ITT Educational Services, Inc. (a)(b)
|
1,463 | 47,153 | ||||||
|
Service Corp. International
|
19,487 | 262,295 | ||||||
|
Sotheby’s (b)
|
1,954 | 61,551 | ||||||
|
Strayer Education, Inc. (b)
|
500 | 32,175 | ||||||
| 842,367 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 2.5%
|
||||||||
|
Bank of America Corp.
|
279,630 | 2,469,133 | ||||||
|
Citigroup, Inc.
|
64,108 | 2,097,614 | ||||||
|
CME Group, Inc.
|
9,700 | 555,810 | ||||||
|
IntercontinentalExchange, Inc. (a)
|
2,349 | 313,380 | ||||||
|
JPMorgan Chase & Co.
|
111,750 | 4,523,640 | ||||||
|
Leucadia National Corp.
|
7,200 | 163,800 | ||||||
|
Moody’s Corp. (b)
|
6,869 | 303,404 | ||||||
|
MSCI, Inc. (Class A) (a)
|
3,005 | 107,549 | ||||||
|
NYSE Euronext
|
9,383 | 231,291 | ||||||
|
PHH Corp. (a)
|
1,941 | 39,499 | ||||||
|
The NASDAQ OMX Group, Inc.
|
5,663 | 131,919 | ||||||
| 10,937,039 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 2.6%
|
||||||||
|
AT&T, Inc.
|
163,082 | 6,148,191 | ||||||
|
CenturyLink, Inc.
|
16,669 | 673,428 | ||||||
|
Cogent Communications Group, Inc. (b)
|
5,016 | 115,318 | ||||||
|
Consolidated Communications Holdings, Inc. (b)
|
7,168 | 123,218 | ||||||
|
Frontier Communications Corp. (b)
|
35,701 | 174,935 | ||||||
|
Level 3 Communications, Inc. (a)
|
1,686 | 38,727 | ||||||
|
tw telecom, Inc. (a)(b)
|
6,706 | 174,825 | ||||||
|
Verizon Communications, Inc.
|
77,168 | 3,516,546 | ||||||
|
Windstream Corp. (b)
|
14,987 | 151,519 | ||||||
| 11,116,707 | ||||||||
|
ELECTRIC UTILITIES — 1.8%
|
||||||||
|
American Electric Power Co., Inc.
|
11,880 | 522,007 | ||||||
|
Duke Energy Corp.
|
15,922 | 1,031,746 | ||||||
|
Edison International
|
9,638 | 440,360 | ||||||
|
Entergy Corp.
|
5,180 | 358,974 | ||||||
|
Exelon Corp.
|
23,725 | 844,136 | ||||||
|
FirstEnergy Corp.
|
13,367 | 589,485 | ||||||
|
Hawaiian Electric Industries, Inc.
|
400 | 10,524 | ||||||
|
MGE Energy, Inc. (b)
|
5,598 | 296,638 | ||||||
|
NextEra Energy, Inc.
|
10,280 | 722,992 | ||||||
|
Northeast Utilities
|
4,144 | 158,425 | ||||||
|
Pepco Holdings, Inc. (b)
|
11,975 | 226,328 | ||||||
|
Pinnacle West Capital Corp.
|
3,240 | 171,072 | ||||||
|
PNM Resources, Inc. (b)
|
8,017 | 168,598 | ||||||
|
PPL Corp.
|
11,641 | 338,171 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Southern Co.
|
22,569 | $ | 1,040,205 | |||||
|
Unitil Corp.
|
11,083 | 301,679 | ||||||
|
Xcel Energy, Inc.
|
15,764 | 436,820 | ||||||
| 7,658,160 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.6%
|
||||||||
|
Capstone Turbine Corp. (a)(b)
|
38,203 | 38,203 | ||||||
|
Cooper Industries PLC
|
2,357 | 176,916 | ||||||
|
Emerson Electric Co.
|
21,685 | 1,046,735 | ||||||
|
General Cable Corp. (a)(b)
|
3,010 | 88,434 | ||||||
|
GrafTech International, Ltd. (a)(b)
|
4,922 | 44,249 | ||||||
|
Hubbell, Inc. (Class B)
|
3,808 | 307,458 | ||||||
|
Rockwell Automation, Inc.
|
5,109 | 355,331 | ||||||
|
Roper Industries, Inc.
|
4,303 | 472,857 | ||||||
|
The Babcock & Wilcox Co. (a)
|
4,143 | 105,522 | ||||||
| 2,635,705 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.8% |
||||||||
|
Amphenol Corp. (Class A)
|
6,800 | 400,384 | ||||||
|
Arrow Electronics, Inc. (a)
|
6,550 | 220,801 | ||||||
|
Avnet, Inc. (a)
|
7,526 | 218,931 | ||||||
|
Benchmark Electronics, Inc. (a)(b)
|
5,515 | 84,214 | ||||||
|
Corning, Inc.
|
43,058 | 566,213 | ||||||
|
Dolby Laboratories, Inc. (Class A) (a)(b)
|
2,008 | 65,762 | ||||||
|
FEI Co. (b)
|
3,899 | 208,597 | ||||||
|
FLIR Systems, Inc.
|
4,779 | 95,461 | ||||||
|
Itron, Inc. (a)(b)
|
1,227 | 52,945 | ||||||
|
Jabil Circuit, Inc.
|
7,373 | 138,023 | ||||||
|
Molex, Inc.
|
7,033 | 184,827 | ||||||
|
National Instruments Corp.
|
4,132 | 104,002 | ||||||
|
Power-One,
Inc. (a)
|
2,360 | 13,216 | ||||||
|
Sanmina-SCI
Corp. (a)(b)
|
4,460 | 37,865 | ||||||
|
TE Connectivity, Ltd.
|
6,705 | 228,037 | ||||||
|
Tech Data Corp. (a)
|
4,764 | 215,809 | ||||||
|
Trimble Navigation, Ltd. (a)
|
6,702 | 319,417 | ||||||
|
Vishay Intertechnology, Inc. (a)(b)
|
10,507 | 103,284 | ||||||
|
Vishay Precision Group, Inc. (a)(b)
|
738 | 10,317 | ||||||
| 3,268,105 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 1.9%
|
||||||||
|
Baker Hughes, Inc.
|
13,846 | 626,255 | ||||||
|
Basic Energy Services, Inc. (a)(b)
|
11,827 | 132,699 | ||||||
|
Cameron International Corp. (a)
|
7,192 | 403,255 | ||||||
|
Diamond Offshore Drilling, Inc. (b)
|
1,447 | 95,227 | ||||||
|
Dresser-Rand
Group, Inc. (a)
|
734 | 40,451 | ||||||
|
Exterran Holdings, Inc. (a)(b)
|
3,558 | 72,156 | ||||||
|
FMC Technologies, Inc. (a)
|
7,539 | 349,056 | ||||||
|
Halliburton Co.
|
27,201 | 916,402 | ||||||
|
Helix Energy Solutions Group, Inc. (a)(b)
|
2,036 | 37,198 | ||||||
|
Helmerich & Payne, Inc.
|
3,708 | 176,538 | ||||||
|
ION Geophysical Corp. (a)(b)
|
34,302 | 238,056 | ||||||
|
McDermott International, Inc. (a)
|
8,333 | 101,829 | ||||||
|
Nabors Industries, Ltd. (a)
|
10,357 | 145,309 | ||||||
|
National Oilwell Varco, Inc.
|
13,442 | 1,076,839 | ||||||
|
Noble Corp. (a)
|
3,476 | 124,371 | ||||||
|
Oceaneering International, Inc.
|
1,222 | 67,516 | ||||||
|
Patterson-UTI
Energy, Inc. (b)
|
8,491 | 134,497 | ||||||
|
Rowan Cos. PLC (a)
|
6,805 | 229,805 | ||||||
|
Schlumberger, Ltd.
|
39,848 | 2,882,206 | ||||||
|
Superior Energy Services, Inc. (a)
|
8,349 | 171,321 | ||||||
|
TGC Industries, Inc. (a)(b)
|
11,251 | 81,007 | ||||||
|
Tidewater, Inc.
|
2,038 | 98,904 | ||||||
|
Weatherford International, Ltd. (a)
|
11,986 | 151,982 | ||||||
| 8,352,879 | ||||||||
|
FOOD & STAPLES RETAILING — 2.2%
|
||||||||
|
Costco Wholesale Corp.
|
12,461 | 1,247,658 | ||||||
|
CVS Caremark Corp.
|
41,570 | 2,012,819 | ||||||
|
Safeway, Inc. (b)
|
13,336 | 214,576 | ||||||
|
SUPERVALU, Inc. (b)
|
7,529 | 18,145 | ||||||
|
Sysco Corp. (b)
|
18,118 | 566,550 | ||||||
|
The Kroger Co.
|
16,658 | 392,129 | ||||||
|
Wal-Mart
Stores, Inc.
|
52,187 | 3,851,401 | ||||||
|
Walgreen Co.
|
26,124 | 951,959 | ||||||
|
Whole Foods Market, Inc.
|
4,143 | 403,528 | ||||||
| 9,658,765 | ||||||||
|
FOOD PRODUCTS — 1.6%
|
||||||||
|
Archer-Daniels-Midland Co.
|
16,838 | 457,657 | ||||||
|
Bunge, Ltd.
|
4,133 | 277,118 | ||||||
|
Campbell Soup Co. (b)
|
9,236 | 321,597 | ||||||
|
ConAgra Foods, Inc.
|
16,681 | 460,229 | ||||||
|
Dean Foods Co. (a)
|
6,559 | 107,240 | ||||||
|
Flowers Foods, Inc. (b)
|
9,130 | 184,243 | ||||||
|
General Mills, Inc.
|
20,082 | 800,268 | ||||||
|
Green Mountain Coffee Roasters, Inc. (a)(b)
|
2,440 | 57,950 | ||||||
|
H.J. Heinz Co. (b)
|
8,726 | 488,220 | ||||||
|
Kellogg Co.
|
5,987 | 309,288 | ||||||
|
Kraft Foods, Inc. (Class A)
|
40,360 | 1,668,886 | ||||||
|
McCormick & Co., Inc.
|
3,231 | 200,451 | ||||||
|
Mead Johnson Nutrition Co.
|
5,583 | 409,122 | ||||||
|
Sanderson Farms, Inc.
|
330 | 14,642 | ||||||
|
Smithfield Foods, Inc. (a)
|
4,618 | 90,744 | ||||||
|
The Hershey Co.
|
5,083 | 360,334 | ||||||
|
The J.M. Smucker Co.
|
2,847 | 245,781 | ||||||
|
TreeHouse Foods, Inc. (a)(b)
|
2,686 | 141,015 | ||||||
|
Tyson Foods, Inc. (Class A)
|
10,827 | 173,449 | ||||||
| 6,768,234 | ||||||||
|
GAS UTILITIES — 0.0% (d)
|
||||||||
|
Delta Natural Gas Co., Inc. (b)
|
4,375 | 84,700 | ||||||
|
Gas Natural, Inc. (b)
|
2,981 | 29,631 | ||||||
|
Questar Corp.
|
4,297 | 87,358 | ||||||
| 201,689 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.8%
|
||||||||
|
ABIOMED, Inc. (a)(b)
|
3,394 | 71,240 | ||||||
|
Alere, Inc. (a)
|
3,232 | 62,992 | ||||||
|
Baxter International, Inc.
|
17,237 | 1,038,701 | ||||||
|
Becton, Dickinson and Co. (b)
|
7,050 | 553,848 | ||||||
|
Boston Scientific Corp. (a)
|
39,882 | 228,923 | ||||||
|
C.R. Bard, Inc.
|
3,712 | 388,461 | ||||||
|
CareFusion Corp. (a)
|
5,494 | 155,974 | ||||||
|
Covidien PLC
|
7,698 | 457,415 | ||||||
|
DENTSPLY International, Inc. (b)
|
3,473 | 132,460 | ||||||
|
Edwards Lifesciences Corp. (a)
|
5,651 | 606,748 | ||||||
|
Hologic, Inc. (a)
|
10,185 | 206,144 | ||||||
|
Intuitive Surgical, Inc. (a)
|
973 | 482,248 | ||||||
|
MAKO Surgical Corp. (a)(b)
|
1,144 | 19,917 | ||||||
|
Masimo Corp. (a)(b)
|
2,265 | 54,768 | ||||||
|
Medtronic, Inc.
|
32,365 | 1,395,579 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
NuVasive, Inc. (a)(b)
|
1,634 | $ | 37,435 | |||||
|
ResMed, Inc. (b)
|
4,542 | 183,815 | ||||||
|
St. Jude Medical, Inc.
|
10,129 | 426,735 | ||||||
|
Stryker Corp.
|
7,925 | 441,105 | ||||||
|
Thoratec Corp. (a)
|
2,012 | 69,615 | ||||||
|
Varian Medical Systems, Inc. (a)(b)
|
4,603 | 277,653 | ||||||
|
Vascular Solutions, Inc. (a)
|
2,096 | 31,042 | ||||||
|
Zimmer Holdings, Inc.
|
6,306 | 426,412 | ||||||
| 7,749,230 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.3%
|
||||||||
|
Aetna, Inc.
|
12,550 | 496,980 | ||||||
|
Amedisys, Inc. (a)
|
1,361 | 18,795 | ||||||
|
AmerisourceBergen Corp.
|
7,687 | 297,564 | ||||||
|
athenahealth, Inc. (a)(b)
|
1,308 | 120,035 | ||||||
|
Cardinal Health, Inc.
|
10,989 | 428,241 | ||||||
|
CIGNA Corp.
|
9,077 | 428,162 | ||||||
|
Community Health Systems, Inc. (a)
|
1,874 | 54,608 | ||||||
|
Coventry Health Care, Inc.
|
5,412 | 225,626 | ||||||
|
DaVita, Inc. (a)
|
4,049 | 419,517 | ||||||
|
Express Scripts Holding Co. (a)
|
25,335 | 1,587,745 | ||||||
|
Health Management Associates, Inc. (Class A) (a)(b)
|
8,330 | 69,889 | ||||||
|
Health Net, Inc. (a)
|
5,422 | 122,049 | ||||||
|
HEALTHSOUTH Corp. (a)(b)
|
5,589 | 134,471 | ||||||
|
Healthways, Inc. (a)
|
724 | 8,478 | ||||||
|
Henry Schein, Inc. (a)
|
4,549 | 360,599 | ||||||
|
Humana, Inc.
|
5,662 | 397,189 | ||||||
|
Laboratory Corp. of America Holdings (a)
|
2,921 | 270,105 | ||||||
|
McKesson Corp.
|
8,893 | 765,065 | ||||||
|
Omnicare, Inc.
|
4,680 | 158,980 | ||||||
|
Patterson Cos., Inc. (b)
|
4,683 | 160,346 | ||||||
|
PSS World Medical, Inc. (a)(b)
|
4,220 | 96,132 | ||||||
|
Quest Diagnostics, Inc.
|
3,801 | 241,098 | ||||||
|
Tenet Healthcare Corp. (a)
|
17,005 | 106,621 | ||||||
|
UnitedHealth Group, Inc.
|
32,919 | 1,824,042 | ||||||
|
VCA Antech, Inc. (a)(b)
|
4,932 | 97,308 | ||||||
|
WellCare Health Plans, Inc. (a)
|
640 | 36,192 | ||||||
|
WellPoint, Inc.
|
14,469 | 839,347 | ||||||
| 9,765,184 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 2.2%
|
||||||||
|
Biglari Holdings, Inc. (a)
|
340 | 124,120 | ||||||
|
Bob Evans Farms, Inc. (b)
|
7,754 | 303,414 | ||||||
|
Brinker International, Inc.
|
4,112 | 145,154 | ||||||
|
Carnival Corp.
|
11,825 | 430,903 | ||||||
|
Darden Restaurants, Inc. (b)
|
5,010 | 279,308 | ||||||
|
International Game Technology
|
11,411 | 149,370 | ||||||
|
Interval Leisure Group, Inc. (b)
|
1,610 | 30,477 | ||||||
|
Las Vegas Sands Corp.
|
13,095 | 607,215 | ||||||
|
Marriott International, Inc. (Class A) (b)
|
11,403 | 445,857 | ||||||
|
Marriott Vacations Worldwide Corp. (a)
|
1,364 | 49,131 | ||||||
|
McDonald’s Corp.
|
27,485 | 2,521,749 | ||||||
|
MGM Resorts International (a)
|
7,767 | 83,495 | ||||||
|
Panera Bread Co. (Class A) (a)
|
1,290 | 220,448 | ||||||
|
Penn National Gaming, Inc. (a)
|
3,724 | 160,504 | ||||||
|
Royal Caribbean Cruises, Ltd.
|
3,487 | 105,342 | ||||||
|
Ryman Hospitality Properties (a)
|
1,060 | 41,902 | ||||||
|
Scientific Games Corp. (Class A) (a)
|
5,670 | 46,891 | ||||||
|
Starbucks Corp.
|
20,782 | 1,054,687 | ||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
|
6,805 | 394,418 | ||||||
|
The Cheesecake Factory, Inc. (b)
|
5,893 | 210,675 | ||||||
|
Wyndham Worldwide Corp.
|
10,363 | 543,850 | ||||||
|
Wynn Resorts, Ltd.
|
3,408 | 393,420 | ||||||
|
Yum! Brands, Inc.
|
14,977 | 993,574 | ||||||
| 9,335,904 | ||||||||
|
HOUSEHOLD DURABLES — 0.6%
|
||||||||
|
American Greetings Corp. (Class A) (b)
|
5,974 | 100,363 | ||||||
|
D.R. Horton, Inc. (b)
|
10,130 | 209,083 | ||||||
|
Garmin, Ltd. (b)
|
4,840 | 202,022 | ||||||
|
Harman International Industries, Inc. (b)
|
3,145 | 145,173 | ||||||
|
KB HOME (b)
|
5,590 | 80,217 | ||||||
|
Leggett & Platt, Inc. (b)
|
8,162 | 204,458 | ||||||
|
Lennar Corp. (Class A) (b)
|
6,798 | 236,366 | ||||||
|
Mohawk Industries, Inc. (a)
|
1,447 | 115,789 | ||||||
|
NACCO Industries, Inc.
|
1,349 | 169,178 | ||||||
|
Newell Rubbermaid, Inc.
|
11,155 | 212,949 | ||||||
|
NVR, Inc. (a)
|
243 | 205,214 | ||||||
|
Pulte Group, Inc. (a)
|
14,825 | 229,787 | ||||||
|
The Ryland Group, Inc. (b)
|
2,337 | 70,110 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
4,695 | 156,015 | ||||||
|
Whirlpool Corp.
|
2,581 | 213,991 | ||||||
| 2,550,715 | ||||||||
|
HOUSEHOLD PRODUCTS — 2.0%
|
||||||||
|
Church & Dwight Co., Inc. (b)
|
8,168 | 440,991 | ||||||
|
Colgate-Palmolive Co.
|
13,323 | 1,428,492 | ||||||
|
Energizer Holdings, Inc.
|
2,433 | 181,526 | ||||||
|
Kimberly-Clark Corp.
|
10,268 | 880,789 | ||||||
|
The Clorox Co.
|
3,806 | 274,222 | ||||||
|
The Procter & Gamble Co.
|
77,852 | 5,399,815 | ||||||
| 8,605,835 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.2% |
||||||||
|
Calpine Corp. (a)
|
9,883 | 170,976 | ||||||
|
GenOn Energy, Inc. (a)
|
34,713 | 87,824 | ||||||
|
NRG Energy, Inc.
|
10,288 | 220,060 | ||||||
|
The AES Corp. (a)
|
20,805 | 228,231 | ||||||
| 707,091 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 2.1%
|
||||||||
|
3M Co.
|
17,695 | 1,635,372 | ||||||
|
Danaher Corp.
|
12,937 | 713,475 | ||||||
|
General Electric Co.
|
295,529 | 6,711,464 | ||||||
|
Raven Industries, Inc. (b)
|
5,014 | 147,562 | ||||||
| 9,207,873 | ||||||||
|
INSURANCE — 3.7%
|
||||||||
|
ACE, Ltd.
|
4,898 | 370,289 | ||||||
|
Aflac, Inc.
|
13,605 | 651,407 | ||||||
|
American International Group, Inc. (a)
|
10,216 | 334,983 | ||||||
|
Aon PLC
|
7,686 | 401,901 | ||||||
|
Arthur J. Gallagher & Co.
|
2,998 | 107,388 | ||||||
|
Assurant, Inc.
|
4,211 | 157,070 | ||||||
|
Assured Guaranty, Ltd.
|
4,360 | 59,383 | ||||||
|
Berkshire Hathaway, Inc. (Class B) (a)
|
53,279 | 4,699,208 | ||||||
|
Cincinnati Financial Corp. (b)
|
4,612 | 174,749 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Eastern Insurance Holdings, Inc. (b)
|
5,520 | $ | 92,570 | |||||
|
Everest Re Group, Ltd.
|
1,878 | 200,871 | ||||||
|
Fidelity National Financial, Inc. (Class A)
|
7,674 | 164,147 | ||||||
|
Genworth Financial, Inc. (Class A) (a)
|
14,072 | 73,597 | ||||||
|
Hartford Financial Services Group, Inc.
|
12,392 | 240,901 | ||||||
|
Lincoln National Corp.
|
12,461 | 301,432 | ||||||
|
Loews Corp.
|
13,103 | 540,630 | ||||||
|
Marsh & McLennan Cos., Inc.
|
13,354 | 453,101 | ||||||
|
MBIA, Inc. (a)(b)
|
5,738 | 58,126 | ||||||
|
MetLife, Inc.
|
15,950 | 549,637 | ||||||
|
Old Republic International Corp.
|
11,734 | 109,126 | ||||||
|
PartnerRe, Ltd. (b)
|
2,091 | 155,319 | ||||||
|
Principal Financial Group, Inc.
|
11,557 | 311,346 | ||||||
|
ProAssurance Corp.
|
3,550 | 321,062 | ||||||
|
Protective Life Corp. (b)
|
874 | 22,908 | ||||||
|
Prudential Financial, Inc.
|
13,108 | 714,517 | ||||||
|
Reinsurance Group of America, Inc.
|
2,182 | 126,272 | ||||||
|
RenaissanceRe Holdings, Ltd.
|
2,346 | 180,736 | ||||||
|
Seabright Holdings, Inc. (b)
|
9,620 | 105,820 | ||||||
|
Selective Insurance Group, Inc. (b)
|
7,272 | 138,095 | ||||||
|
Stewart Information Services Corp. (b)
|
8,967 | 180,595 | ||||||
|
The Allstate Corp.
|
16,347 | 647,505 | ||||||
|
The Chubb Corp.
|
10,693 | 815,662 | ||||||
|
The Hanover Insurance Group, Inc.
|
3,227 | 120,238 | ||||||
|
The Phoenix Cos, Inc. (a)(b)
|
2,645 | 81,122 | ||||||
|
The Progressive Corp.
|
18,196 | 377,385 | ||||||
|
The Travelers Cos., Inc.
|
17,319 | 1,182,195 | ||||||
|
Torchmark Corp.
|
3,643 | 187,068 | ||||||
|
Unum Group
|
12,772 | 245,478 | ||||||
|
Validus Holdings, Ltd.
|
4,299 | 145,779 | ||||||
|
W.R. Berkley Corp.
|
4,056 | 152,059 | ||||||
|
XL Group PLC
|
9,067 | 217,880 | ||||||
| 16,169,557 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.9%
|
||||||||
|
Amazon.com, Inc. (a)
|
9,156 | 2,328,554 | ||||||
|
Expedia, Inc.
|
4,709 | 272,369 | ||||||
|
HSN, Inc. (b)
|
1,610 | 78,971 | ||||||
|
Liberty Interactive Corp. (Class A) (a)
|
18,274 | 338,069 | ||||||
|
Liberty Ventures, Series A (a)
|
947 | 47,009 | ||||||
|
Netflix, Inc. (a)(b)
|
1,132 | 61,626 | ||||||
|
Priceline.com, Inc. (a)
|
1,065 | 658,947 | ||||||
|
TripAdvisor, Inc. (a)
|
4,709 | 155,067 | ||||||
| 3,940,612 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 1.9%
|
||||||||
|
Akamai Technologies, Inc. (a)
|
6,226 | 238,207 | ||||||
|
AOL, Inc. (a)
|
3,319 | 116,928 | ||||||
|
EarthLink, Inc. (b)
|
10,912 | 77,693 | ||||||
|
eBay, Inc. (a)
|
28,741 | 1,391,352 | ||||||
|
Equinix, Inc. (a)(b)
|
1,149 | 236,752 | ||||||
|
Facebook, Inc. (a)
|
8,676 | 187,835 | ||||||
|
Google, Inc. (Class A) (a)
|
6,478 | 4,887,651 | ||||||
|
IAC/InterActiveCorp.
|
4,199 | 218,600 | ||||||
|
Internap Network Services Corp. (a)(b)
|
13,762 | 97,022 | ||||||
|
Local Corp. (a)(b)
|
19,973 | 39,746 | ||||||
|
Monster Worldwide, Inc. (a)(b)
|
6,079 | 44,559 | ||||||
|
VeriSign, Inc. (a)
|
6,384 | 310,837 | ||||||
|
WebMD Health Corp. (a)(b)
|
799 | 11,210 | ||||||
|
Yahoo!, Inc. (a)
|
32,931 | 526,073 | ||||||
| 8,384,465 | ||||||||
|
IT SERVICES — 3.5%
|
||||||||
|
Accenture PLC (Class A)
|
10,239 | 717,037 | ||||||
|
Alliance Data Systems Corp. (a)(b)
|
1,866 | 264,879 | ||||||
|
Automatic Data Processing, Inc.
|
15,285 | 896,618 | ||||||
|
Broadridge Financial Solutions, Inc.
|
5,329 | 124,326 | ||||||
|
Cognizant Technology Solutions Corp. (Class A) (a)
|
9,962 | 696,543 | ||||||
|
Computer Sciences Corp.
|
5,676 | 182,824 | ||||||
|
Fidelity National Information Services, Inc.
|
12,882 | 402,176 | ||||||
|
Fiserv, Inc. (a)
|
6,476 | 479,418 | ||||||
|
International Business Machines Corp.
|
32,773 | 6,798,759 | ||||||
|
Jack Henry & Associates, Inc.
|
4,046 | 153,343 | ||||||
|
Lender Processing Services, Inc.
|
3,810 | 106,261 | ||||||
|
Mastercard, Inc. (Class A)
|
2,362 | 1,066,396 | ||||||
|
Paychex, Inc. (b)
|
10,666 | 355,071 | ||||||
|
SAIC, Inc.
|
6,162 | 74,190 | ||||||
|
Teradata Corp. (a)
|
6,703 | 505,473 | ||||||
|
The Western Union Co.
|
18,699 | 340,696 | ||||||
|
Total System Services, Inc.
|
5,988 | 141,916 | ||||||
|
Unisys Corp. (a)(b)
|
2,281 | 47,490 | ||||||
|
VeriFone Systems, Inc. (a)
|
1,066 | 29,688 | ||||||
|
Visa, Inc. (Class A)
|
12,796 | 1,718,247 | ||||||
| 15,101,351 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.2%
|
||||||||
|
Brunswick Corp. (b)
|
4,944 | 111,883 | ||||||
|
Hasbro, Inc. (b)
|
6,406 | 244,517 | ||||||
|
Mattel, Inc.
|
14,904 | 528,794 | ||||||
| 885,194 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.6%
|
||||||||
|
Affymetrix, Inc. (a)(b)
|
3,084 | 13,354 | ||||||
|
Agilent Technologies, Inc.
|
12,299 | 472,897 | ||||||
|
Charles River Laboratories International, Inc. (a)
|
1,958 | 77,537 | ||||||
|
Covance, Inc. (a)
|
1,795 | 83,809 | ||||||
|
Illumina, Inc. (a)(b)
|
3,732 | 179,882 | ||||||
|
Life Technologies Corp. (a)
|
6,147 | 300,465 | ||||||
|
PerkinElmer, Inc.
|
6,811 | 200,720 | ||||||
|
Sequenom, Inc. (a)(b)
|
2,412 | 8,514 | ||||||
|
Techne Corp.
|
2,836 | 204,022 | ||||||
|
Thermo Fisher Scientific, Inc.
|
12,931 | 760,731 | ||||||
|
Waters Corp. (a)
|
3,816 | 317,987 | ||||||
| 2,619,918 | ||||||||
|
MACHINERY — 2.4%
|
||||||||
|
AGCO Corp. (a)
|
2,181 | 103,554 | ||||||
|
Caterpillar, Inc.
|
16,969 | 1,460,013 | ||||||
|
CLARCOR, Inc.
|
2,013 | 89,840 | ||||||
|
Commercial Vehicle Group, Inc. (a)(b)
|
23,882 | 175,533 | ||||||
|
Crane Co.
|
3,887 | 155,208 | ||||||
|
Cummins, Inc.
|
5,027 | 463,540 | ||||||
|
Deere & Co.
|
11,744 | 968,762 | ||||||
|
Donaldson Co., Inc. (b)
|
4,454 | 154,598 | ||||||
|
Dover Corp.
|
5,098 | 303,280 | ||||||
|
Eaton Corp.
|
9,709 | 458,847 | ||||||
|
Federal Signal Corp. (a)
|
11,183 | 70,676 | ||||||
|
Flowserve Corp.
|
1,466 | 187,267 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Graco, Inc. (b)
|
580 | $ | 29,162 | |||||
|
Harsco Corp.
|
3,979 | 81,689 | ||||||
|
IDEX Corp.
|
6,963 | 290,844 | ||||||
|
Illinois Tool Works, Inc. (b)
|
17,391 | 1,034,243 | ||||||
|
Ingersoll-Rand PLC
|
4,292 | 192,367 | ||||||
|
ITT Corp.
|
3,169 | 63,855 | ||||||
|
John Bean Technologies Corp. (b)
|
811 | 13,244 | ||||||
|
Joy Global, Inc.
|
4,119 | 230,911 | ||||||
|
Lincoln Electric Holdings, Inc.
|
3,634 | 141,908 | ||||||
|
Meritor, Inc. (a)(b)
|
37,710 | 159,890 | ||||||
|
Mueller Water Products, Inc. (Class A)
|
57,534 | 281,917 | ||||||
|
Navistar International Corp. (a)(b)
|
2,256 | 47,579 | ||||||
|
Oshkosh Corp. (a)
|
4,385 | 120,280 | ||||||
|
PACCAR, Inc. (b)
|
9,386 | 375,675 | ||||||
|
Pall Corp.
|
6,891 | 437,510 | ||||||
|
Parker Hannifin Corp.
|
5,746 | 480,251 | ||||||
|
Pentair, Inc. (a)(b)
|
4,696 | 209,019 | ||||||
|
SPX Corp.
|
2,509 | 164,114 | ||||||
|
Stanley Black & Decker, Inc.
|
3,807 | 290,284 | ||||||
|
Terex Corp. (a)(b)
|
4,053 | 91,517 | ||||||
|
The Manitowoc Co., Inc. (b)
|
24,292 | 324,055 | ||||||
|
Timken Co.
|
5,330 | 198,063 | ||||||
|
WABCO Holdings, Inc. (a)
|
2,766 | 159,515 | ||||||
|
Watts Water Technologies, Inc. (Class A) (b)
|
4,679 | 177,007 | ||||||
|
Xylem, Inc.
|
6,381 | 160,482 | ||||||
| 10,346,499 | ||||||||
|
MARINE — 0.0% (d)
|
||||||||
|
Genco Shipping & Trading, Ltd. (a)(b)
|
800 | 2,944 | ||||||
|
MEDIA — 3.9%
|
||||||||
|
AMC Networks, Inc. (Class A) (a)
|
1,958 | 85,212 | ||||||
|
Cablevision Systems Corp. (Class A) (b)
|
7,940 | 125,849 | ||||||
|
CBS Corp.
|
19,514 | 708,944 | ||||||
|
Comcast Corp. (Class A)
|
77,013 | 2,754,755 | ||||||
|
DIRECTV (Class A) (a)
|
28,071 | 1,472,605 | ||||||
|
Discovery Communications, Inc. (Series A) (a)
|
8,889 | 530,051 | ||||||
|
DISH Network Corp. (Class A)
|
8,969 | 274,541 | ||||||
|
Gannett Co., Inc. (b)
|
11,976 | 212,574 | ||||||
|
Journal Communications, Inc. (Class A) (a)
|
10,427 | 54,220 | ||||||
|
Lamar Advertising Co. (Class A) (a)
|
3,571 | 132,341 | ||||||
|
Liberty Global, Inc. (Series A) (a)
|
11,486 | 697,775 | ||||||
|
Liberty Media Corp. — Liberty Capital
(Class A) (a)
|
4,936 | 514,183 | ||||||
|
Live Nation Entertainment, Inc. (a)(b)
|
4,367 | 37,600 | ||||||
|
News Corp. (Class A)
|
63,110 | 1,548,088 | ||||||
|
Omnicom Group, Inc. (b)
|
8,652 | 446,097 | ||||||
|
Scripps Networks Interactive, Inc. (Class A)
|
2,014 | 123,317 | ||||||
|
Sirius XM Radio, Inc. (a)
|
98,873 | 257,070 | ||||||
|
The Interpublic Group of Cos., Inc.
|
16,664 | 185,304 | ||||||
|
The Madison Square Garden Co. (Class A) (a)
|
1,958 | 78,849 | ||||||
|
The
McGraw-Hill
Cos., Inc.
|
11,004 | 600,708 | ||||||
|
The New York Times Co. (Class A) (a)(b)
|
3,317 | 32,374 | ||||||
|
The Walt Disney Co.
|
50,414 | 2,635,644 | ||||||
|
Time Warner Cable, Inc.
|
8,749 | 831,680 | ||||||
|
Time Warner, Inc.
|
35,888 | 1,626,803 | ||||||
|
Valassis Communications, Inc. (a)(b)
|
400 | 9,876 | ||||||
|
Viacom, Inc. (Class B)
|
15,038 | 805,886 | ||||||
| 16,782,346 | ||||||||
|
METALS & MINING — 0.9%
|
||||||||
|
AK Steel Holding Corp. (b)
|
7,280 | 34,944 | ||||||
|
Alcoa, Inc.
|
25,166 | 222,719 | ||||||
|
Allegheny Technologies, Inc.
|
2,836 | 90,468 | ||||||
|
Allied Nevada Gold Corp. (a)(b)
|
1,552 | 60,621 | ||||||
|
Century Aluminum Co. (a)(b)
|
2,825 | 20,199 | ||||||
|
Cliffs Natural Resources, Inc. (b)
|
4,540 | 177,650 | ||||||
|
Coeur d’Alene Mines Corp. (a)
|
1,206 | 34,769 | ||||||
|
Commercial Metals Co.
|
4,536 | 59,875 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
|
25,826 | 1,022,193 | ||||||
|
McEwen Mining, Inc. (a)
|
73,752 | 338,522 | ||||||
|
Molycorp, Inc. (a)(b)
|
1,308 | 15,042 | ||||||
|
Newmont Mining Corp.
|
13,579 | 760,560 | ||||||
|
Nucor Corp. (b)
|
8,253 | 315,760 | ||||||
|
Reliance Steel & Aluminum Co.
|
1,522 | 79,677 | ||||||
|
Royal Gold, Inc. (b)
|
2,444 | 244,058 | ||||||
|
Schnitzer Steel Industries, Inc. (Class A) (b)
|
1,132 | 31,866 | ||||||
|
Steel Dynamics, Inc.
|
6,137 | 68,918 | ||||||
|
SunCoke Energy, Inc. (a)(b)
|
2,352 | 37,914 | ||||||
|
Titanium Metals Corp.
|
4,200 | 53,886 | ||||||
|
United States Steel Corp. (b)
|
5,496 | 104,809 | ||||||
|
Walter Energy, Inc.
|
2,187 | 70,990 | ||||||
|
Worthington Industries, Inc. (b)
|
1,624 | 35,176 | ||||||
| 3,880,616 | ||||||||
|
MULTI-UTILITIES — 0.9%
|
||||||||
|
Alliant Energy Corp.
|
1,220 | 52,936 | ||||||
|
Ameren Corp.
|
5,739 | 187,493 | ||||||
|
CMS Energy Corp.
|
11,314 | 266,445 | ||||||
|
Consolidated Edison, Inc.
|
7,524 | 450,612 | ||||||
|
Dominion Resources, Inc.
|
17,244 | 912,897 | ||||||
|
DTE Energy Co.
|
3,415 | 204,695 | ||||||
|
NiSource, Inc.
|
8,091 | 206,159 | ||||||
|
PG&E Corp.
|
9,875 | 421,366 | ||||||
|
Public Service Enterprise Group, Inc.
|
12,611 | 405,822 | ||||||
|
Sempra Energy
|
6,634 | 427,827 | ||||||
|
TECO Energy, Inc. (b)
|
11,961 | 212,188 | ||||||
|
Wisconsin Energy Corp.
|
5,670 | 213,589 | ||||||
| 3,962,029 | ||||||||
|
MULTILINE RETAIL — 0.9%
|
||||||||
|
Big Lots, Inc. (a)
|
5,105 | 151,006 | ||||||
|
Dillard’s, Inc. (Class A)
|
1,784 | 129,019 | ||||||
|
Dollar Tree, Inc. (a)
|
11,169 | 539,183 | ||||||
|
Family Dollar Stores, Inc.
|
4,785 | 317,245 | ||||||
|
J.C. Penney Co., Inc. (b)
|
6,558 | 159,294 | ||||||
|
Kohl’s Corp. (b)
|
8,330 | 426,663 | ||||||
|
Macy’s, Inc.
|
14,643 | 550,870 | ||||||
|
Nordstrom, Inc.
|
7,360 | 406,125 | ||||||
|
Sears Holdings Corp. (a)(b)
|
2,362 | 131,067 | ||||||
|
Target Corp.
|
18,030 | 1,144,364 | ||||||
| 3,954,836 | ||||||||
|
OFFICE ELECTRONICS — 0.1%
|
||||||||
|
Xerox Corp.
|
48,075 | 352,870 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Zebra Technologies Corp. (Class A) (a)
|
4,225 | $ | 158,607 | |||||
| 511,477 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 8.6%
|
||||||||
|
Abraxas Petroleum Corp. (a)(b)
|
40,458 | 93,053 | ||||||
|
Adams Resources & Energy, Inc. (b)
|
714 | 21,777 | ||||||
|
Alpha Natural Resources, Inc. (a)(b)
|
10,689 | 70,227 | ||||||
|
Anadarko Petroleum Corp.
|
14,735 | 1,030,271 | ||||||
|
Apache Corp.
|
10,373 | 896,953 | ||||||
|
Approach Resources, Inc. (a)(b)
|
7,594 | 228,807 | ||||||
|
Arch Coal, Inc. (b)
|
5,744 | 36,360 | ||||||
|
BPZ Resources, Inc. (a)(b)
|
27,446 | 78,496 | ||||||
|
Cabot Oil & Gas Corp.
|
4,548 | 204,205 | ||||||
|
Chesapeake Energy Corp. (b)
|
16,751 | 316,091 | ||||||
|
Chevron Corp.
|
55,924 | 6,518,501 | ||||||
|
Cimarex Energy Co.
|
1,698 | 99,418 | ||||||
|
Clayton Williams Energy, Inc. (a)
|
1,058 | 54,900 | ||||||
|
Cobalt International Energy, Inc. (a)
|
4,684 | 104,313 | ||||||
|
Concho Resources, Inc. (a)
|
3,068 | 290,693 | ||||||
|
ConocoPhillips
|
36,902 | 2,110,056 | ||||||
|
CONSOL Energy, Inc. (b)
|
5,814 | 174,711 | ||||||
|
Contango Oil & Gas Co. (a)(b)
|
476 | 23,391 | ||||||
|
Denbury Resources, Inc. (a)
|
11,102 | 179,408 | ||||||
|
Devon Energy Corp.
|
12,298 | 744,029 | ||||||
|
EOG Resources, Inc.
|
7,363 | 825,024 | ||||||
|
EXCO Resources, Inc. (b)
|
6,054 | 48,493 | ||||||
|
Exxon Mobil Corp.
|
133,952 | 12,249,910 | ||||||
|
Forest Oil Corp. (a)(b)
|
3,492 | 29,507 | ||||||
|
Goodrich Petroleum Corp. (a)(b)
|
2,280 | 28,819 | ||||||
|
Hess Corp.
|
8,090 | 434,595 | ||||||
|
Hollyfrontier Corp. (b)
|
8,737 | 360,576 | ||||||
|
Houston American Energy Corp. (a)(b)
|
13,845 | 12,459 | ||||||
|
Kinder Morgan, Inc.
|
9,696 | 344,402 | ||||||
|
Marathon Oil Corp.
|
20,723 | 612,779 | ||||||
|
Marathon Petroleum Corp.
|
10,361 | 565,607 | ||||||
|
Murphy Oil Corp.
|
5,662 | 303,993 | ||||||
|
Newfield Exploration Co. (a)
|
3,808 | 119,267 | ||||||
|
Noble Energy, Inc.
|
5,841 | 541,519 | ||||||
|
Occidental Petroleum Corp.
|
22,889 | 1,969,827 | ||||||
|
Panhandle Oil & Gas, Inc. (b)
|
714 | 21,898 | ||||||
|
Peabody Energy Corp.
|
7,763 | 173,037 | ||||||
|
Phillips 66
|
18,476 | 856,732 | ||||||
|
Pioneer Natural Resources Co. (b)
|
5,112 | 533,693 | ||||||
|
Plains Exploration & Production Co. (a)
|
6,298 | 235,986 | ||||||
|
QEP Resources, Inc.
|
4,298 | 136,075 | ||||||
|
Quicksilver Resources, Inc. (a)(b)
|
1,378 | 5,636 | ||||||
|
Range Resources Corp.
|
5,918 | 413,491 | ||||||
|
Rex Energy Corp. (a)
|
2,676 | 35,725 | ||||||
|
SandRidge Energy, Inc. (a)(b)
|
16,496 | 114,977 | ||||||
|
SM Energy Co.
|
5,433 | 293,980 | ||||||
|
Southwestern Energy Co. (a)
|
10,674 | 371,242 | ||||||
|
Spectra Energy Corp.
|
17,329 | 508,779 | ||||||
|
Sunoco, Inc. (b)
|
4,451 | 208,440 | ||||||
|
Tesoro Corp.
|
6,400 | 268,160 | ||||||
|
The Williams Cos., Inc.
|
17,730 | 620,018 | ||||||
|
Ultra Petroleum Corp. (a)(b)
|
3,900 | 85,722 | ||||||
|
Valero Energy Corp.
|
15,532 | 492,054 | ||||||
|
WPX Energy, Inc. (a)(b)
|
5,911 | 98,064 | ||||||
|
ZaZa Energy Corp. (a)(b)
|
11,637 | 34,562 | ||||||
|
Zion Oil & Gas, Inc. (a)(b)
|
4,629 | 10,600 | ||||||
| 37,241,308 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.3%
|
||||||||
|
Domtar Corp.
|
501 | 39,224 | ||||||
|
International Paper Co.
|
15,210 | 552,427 | ||||||
|
Louisiana-Pacific
Corp. (a)(b)
|
6,948 | 86,850 | ||||||
|
MeadWestvaco Corp.
|
9,457 | 289,384 | ||||||
|
Weyerhaeuser Co.
|
15,222 | 397,903 | ||||||
| 1,365,788 | ||||||||
|
PERSONAL PRODUCTS — 0.2%
|
||||||||
|
Avon Products, Inc.
|
13,354 | 212,996 | ||||||
|
Herbalife, Ltd. (b)
|
5,266 | 249,608 | ||||||
|
The Estee Lauder Cos., Inc. (Class A)
|
9,959 | 613,176 | ||||||
| 1,075,780 | ||||||||
|
PHARMACEUTICALS — 5.4%
|
||||||||
|
Abbott Laboratories
|
40,676 | 2,788,747 | ||||||
|
Allergan, Inc.
|
8,573 | 785,115 | ||||||
|
Auxilium Pharmaceuticals, Inc. (a)
|
1,709 | 41,802 | ||||||
|
Bristol-Myers
Squibb Co.
|
51,846 | 1,749,803 | ||||||
|
Eli Lilly & Co.
|
25,882 | 1,227,066 | ||||||
|
Endo Pharmaceuticals Holdings, Inc. (a)
|
3,724 | 118,125 | ||||||
|
Forest Laboratories, Inc. (a)
|
9,807 | 349,227 | ||||||
|
Hospira, Inc. (a)
|
6,217 | 204,042 | ||||||
|
Johnson & Johnson (b)
|
72,996 | 5,030,154 | ||||||
|
MAP Pharmaceuticals, Inc. (a)(b)
|
12,920 | 201,164 | ||||||
|
Merck & Co., Inc.
|
85,022 | 3,834,492 | ||||||
|
Mylan, Inc. (a)
|
10,913 | 266,277 | ||||||
|
Nektar Therapeutics (a)(b)
|
2,172 | 23,197 | ||||||
|
Perrigo Co. (b)
|
3,141 | 364,890 | ||||||
|
Pfizer, Inc.
|
221,909 | 5,514,439 | ||||||
|
Questcor Pharmaceuticals, Inc. (a)(b)
|
2,575 | 47,638 | ||||||
|
ViroPharma, Inc. (a)(b)
|
3,738 | 112,962 | ||||||
|
VIVUS, Inc. (a)
|
7,430 | 132,403 | ||||||
|
Watson Pharmaceuticals, Inc. (a)
|
4,932 | 420,009 | ||||||
| 23,211,552 | ||||||||
|
PROFESSIONAL SERVICES — 0.2%
|
||||||||
|
Dun & Bradstreet Corp. (b)
|
2,684 | 213,700 | ||||||
|
Equifax, Inc.
|
5,839 | 271,981 | ||||||
|
IHS, Inc. (Class A) (a)
|
1,714 | 166,858 | ||||||
|
Manpower, Inc.
|
2,658 | 97,814 | ||||||
|
Robert Half International, Inc.
|
7,926 | 211,069 | ||||||
| 961,422 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 3.1%
|
||||||||
|
Agree Realty Corp. (b)
|
14,356 | 365,934 | ||||||
|
American Assets Trust, Inc.
|
6,557 | 175,662 | ||||||
|
American Campus Communities, Inc.
|
3,333 | 146,252 | ||||||
|
American Tower Corp.
|
12,285 | 877,026 | ||||||
|
Annaly Capital Management, Inc. (b)
|
18,049 | 303,945 | ||||||
|
Apartment Investment & Management Co. (Class A)
|
6,542 | 170,027 | ||||||
|
Apollo Commercial Real Estate Finance, Inc. (b)
|
23,909 | 414,582 | ||||||
|
Ashford Hospitality Trust, Inc. (b)
|
16,177 | 135,887 | ||||||
|
AvalonBay Communities, Inc. (b)
|
2,522 | 342,967 | ||||||
|
BioMed Realty Trust, Inc.
|
5,498 | 102,923 | ||||||
|
Boston Properties, Inc.
|
6,225 | 688,547 | ||||||
|
BRE Properties, Inc.
|
2,095 | 98,235 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Camden Property Trust
|
1,118 | $ | 72,100 | |||||
|
CBL & Associates Properties, Inc.
|
4,697 | 100,234 | ||||||
|
Cedar Shopping Centers, Inc. (b)
|
4,789 | 25,286 | ||||||
|
Colonial Properties Trust
|
980 | 20,629 | ||||||
|
Coresite Realty Corp. (b)
|
6,845 | 184,404 | ||||||
|
Corporate Office Properties Trust (b)
|
4,540 | 108,824 | ||||||
|
Cousins Properties, Inc. (b)
|
18,895 | 150,026 | ||||||
|
DDR Corp. (b)
|
5,003 | 76,846 | ||||||
|
Digital Realty Trust, Inc. (b)
|
2,117 | 147,872 | ||||||
|
Duke Realty Corp.
|
5,508 | 80,968 | ||||||
|
Equity Residential
|
10,037 | 577,429 | ||||||
|
Extra Space Storage, Inc.
|
4,124 | 137,123 | ||||||
|
Glimcher Realty Trust
|
8,490 | 89,739 | ||||||
|
HCP, Inc.
|
8,673 | 385,775 | ||||||
|
Health Care REIT, Inc.
|
2,903 | 167,648 | ||||||
|
Home Properties, Inc.
|
1,456 | 89,209 | ||||||
|
Hospitality Properties Trust
|
4,467 | 106,225 | ||||||
|
Host Hotels & Resorts, Inc.
|
20,247 | 324,964 | ||||||
|
Investors Real Estate Trust
|
18,691 | 154,575 | ||||||
|
iStar Financial, Inc. (a)(b)
|
39,333 | 325,677 | ||||||
|
Kimco Realty Corp. (b)
|
9,456 | 191,673 | ||||||
|
LaSalle Hotel Properties (b)
|
6,628 | 176,901 | ||||||
|
Lexington Realty Trust (b)
|
4,298 | 41,519 | ||||||
|
Liberty Property Trust
|
3,168 | 114,808 | ||||||
|
Monmouth Real Estate Investment Corp. (b)
|
11,987 | 134,135 | ||||||
|
National Retail Properties, Inc.
|
8,091 | 246,775 | ||||||
|
Pennsylvania Real Estate Investment Trust
|
6,060 | 96,112 | ||||||
|
Plum Creek Timber Co., Inc. (b)
|
6,469 | 283,601 | ||||||
|
Post Properties, Inc.
|
1,060 | 50,838 | ||||||
|
ProLogis
|
8,404 | 294,392 | ||||||
|
Public Storage
|
3,075 | 427,948 | ||||||
|
Realty Income Corp. (b)
|
4,124 | 168,630 | ||||||
|
Regency Centers Corp.
|
890 | 43,370 | ||||||
|
Retail Opportunity Investments Corp. (b)
|
25,549 | 328,816 | ||||||
|
RLJ Lodging Trust
|
7,615 | 144,000 | ||||||
|
Senior Housing Properties Trust
|
3,626 | 78,974 | ||||||
|
Simon Property Group, Inc.
|
7,449 | 1,130,833 | ||||||
|
SL Green Realty Corp. (b)
|
1,946 | 155,816 | ||||||
|
Strategic Hotels & Resorts, Inc. (a)
|
52,748 | 317,015 | ||||||
|
Sunstone Hotel Investors, Inc. (a)
|
1,548 | 17,028 | ||||||
|
Tanger Factory Outlet Centers, Inc.
|
7,518 | 243,057 | ||||||
|
The Macerich Co. (b)
|
5,027 | 287,695 | ||||||
|
UDR, Inc.
|
5,265 | 130,677 | ||||||
|
Ventas, Inc.
|
6,459 | 402,073 | ||||||
|
Vornado Realty Trust
|
8,402 | 680,982 | ||||||
|
Weingarten Realty Investors (b)
|
3,232 | 90,852 | ||||||
| 13,426,060 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.1%
|
||||||||
|
CBRE Group, Inc. (a)
|
11,396 | 209,800 | ||||||
|
Forestar Group, Inc. (a)
|
1,532 | 25,523 | ||||||
|
Jones Lang LaSalle, Inc.
|
1,856 | 141,706 | ||||||
|
The St. Joe Co. (a)(b)
|
2,661 | 51,890 | ||||||
| 428,919 | ||||||||
|
ROAD & RAIL — 1.0%
|
||||||||
|
Avis Budget Group, Inc. (a)(b)
|
2,760 | 42,449 | ||||||
|
Con-way, Inc.
|
800 | 21,896 | ||||||
|
CSX Corp.
|
36,991 | 767,563 | ||||||
|
Dollar Thrifty Automotive Group, Inc. (a)(b)
|
2,919 | 253,749 | ||||||
|
J.B. Hunt Transport Services, Inc.
|
7,514 | 391,029 | ||||||
|
Kansas City Southern
|
3,482 | 263,866 | ||||||
|
Landstar System, Inc.
|
4,773 | 225,667 | ||||||
|
Norfolk Southern Corp.
|
11,977 | 762,097 | ||||||
|
Union Pacific Corp.
|
13,332 | 1,582,508 | ||||||
| 4,310,824 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 2.2% |
||||||||
|
Advanced Micro Devices, Inc. (a)(b)
|
15,956 | 53,772 | ||||||
|
Altera Corp.
|
9,378 | 318,711 | ||||||
|
Anadigics, Inc. (a)(b)
|
5,091 | 7,076 | ||||||
|
Analog Devices, Inc.
|
10,038 | 393,389 | ||||||
|
Applied Materials, Inc.
|
40,636 | 453,701 | ||||||
|
AXT, Inc. (a)(b)
|
15,385 | 52,001 | ||||||
|
Broadcom Corp. (Class A) (a)
|
15,199 | 525,581 | ||||||
|
Cirrus Logic, Inc. (a)(b)
|
3,160 | 121,312 | ||||||
|
Cree, Inc. (a)(b)
|
1,056 | 26,960 | ||||||
|
Cypress Semiconductor Corp. (a)(b)
|
4,791 | 51,360 | ||||||
|
First Solar, Inc. (a)(b)
|
1,554 | 34,413 | ||||||
|
Intel Corp.
|
154,975 | 3,514,833 | ||||||
|
International Rectifier Corp. (a)(b)
|
3,314 | 55,311 | ||||||
|
Intersil Corp. (Class A) (b)
|
8,731 | 76,396 | ||||||
|
KLA-Tencor Corp.
|
7,862 | 375,057 | ||||||
|
Lam Research Corp. (a)
|
13,784 | 438,124 | ||||||
|
Linear Technology Corp.
|
8,808 | 280,535 | ||||||
|
LSI Corp. (a)
|
18,537 | 128,091 | ||||||
|
Marvell Technology Group, Ltd.
|
13,513 | 123,644 | ||||||
|
Maxim Integrated Products, Inc.
|
5,837 | 155,381 | ||||||
|
MEMC Electronic Materials, Inc. (a)(b)
|
8,091 | 22,250 | ||||||
|
Microchip Technology, Inc.
|
7,275 | 238,184 | ||||||
|
Micron Technology, Inc. (a)
|
22,572 | 135,093 | ||||||
|
Microsemi Corp. (a)
|
4,614 | 92,603 | ||||||
|
MKS Instruments, Inc.
|
574 | 14,631 | ||||||
|
NVIDIA Corp. (a)
|
18,279 | 243,842 | ||||||
|
ON Semiconductor Corp. (a)
|
8,574 | 52,902 | ||||||
|
Rambus, Inc. (a)(b)
|
4,121 | 22,830 | ||||||
|
Sigma Designs, Inc. (a)
|
1,198 | 7,919 | ||||||
|
Skyworks Solutions, Inc. (a)
|
2,981 | 70,247 | ||||||
|
SunPower Corp. (a)
|
259 | 1,168 | ||||||
|
Teradyne, Inc. (a)(b)
|
9,698 | 137,906 | ||||||
|
Texas Instruments, Inc.
|
36,412 | 1,003,151 | ||||||
|
Xilinx, Inc.
|
7,943 | 265,376 | ||||||
| 9,493,750 | ||||||||
|
SOFTWARE — 3.7%
|
||||||||
|
Activision Blizzard, Inc.
|
18,125 | 204,450 | ||||||
|
Adobe Systems, Inc. (a)
|
18,449 | 598,854 | ||||||
|
Autodesk, Inc. (a)
|
9,883 | 329,796 | ||||||
|
BMC Software, Inc. (a)
|
6,891 | 285,908 | ||||||
|
CA, Inc.
|
13,282 | 342,211 | ||||||
|
Cadence Design Systems, Inc. (a)(b)
|
13,660 | 175,736 | ||||||
|
Citrix Systems, Inc. (a)
|
8,106 | 620,676 | ||||||
|
Compuware Corp. (a)
|
15,308 | 151,702 | ||||||
|
Comverse Technology, Inc. (a)
|
110 | 676 | ||||||
|
Concur Technologies, Inc. (a)(b)
|
2,436 | 179,606 | ||||||
|
Electronic Arts, Inc. (a)
|
8,916 | 113,144 | ||||||
|
Intuit, Inc.
|
10,761 | 633,608 | ||||||
|
Microsoft Corp.
|
215,544 | 6,418,900 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Nuance Communications, Inc. (a)(b)
|
8,496 | $ | 211,465 | |||||
|
Oracle Corp.
|
109,944 | 3,462,136 | ||||||
|
Parametric Technology Corp. (a)
|
9,217 | 200,931 | ||||||
|
Red Hat, Inc. (a)
|
7,835 | 446,125 | ||||||
|
Rovi Corp. (a)
|
1,716 | 24,899 | ||||||
|
Salesforce.com, Inc. (a)
|
3,143 | 479,905 | ||||||
|
Smith Micro Software, Inc. (a)(b)
|
5,675 | 9,137 | ||||||
|
Solera Holdings, Inc.
|
3,172 | 139,156 | ||||||
|
Symantec Corp. (a)
|
25,900 | 466,200 | ||||||
|
Synopsys, Inc. (a)
|
7,593 | 250,721 | ||||||
|
TiVo, Inc. (a)(b)
|
5,660 | 59,034 | ||||||
|
VMware, Inc. (Class A) (a)
|
1,128 | 109,123 | ||||||
|
Websense, Inc. (a)(b)
|
1,297 | 20,298 | ||||||
| 15,934,397 | ||||||||
|
SPECIALTY RETAIL — 2.7%
|
||||||||
|
Abercrombie & Fitch Co. (Class A) (b)
|
3,884 | 131,745 | ||||||
|
Advance Auto Parts, Inc.
|
4,224 | 289,090 | ||||||
|
Aeropostale, Inc. (a)(b)
|
2,264 | 30,632 | ||||||
|
American Eagle Outfitters, Inc. (b)
|
7,839 | 165,246 | ||||||
|
AutoNation, Inc. (a)(b)
|
7,842 | 342,460 | ||||||
|
AutoZone, Inc. (a)
|
1,279 | 472,808 | ||||||
|
Bed Bath & Beyond, Inc. (a)
|
8,727 | 549,801 | ||||||
|
Best Buy Co., Inc. (b)
|
9,394 | 161,483 | ||||||
|
Chico’s FAS, Inc.
|
4,850 | 87,833 | ||||||
|
Dick’s Sporting Goods, Inc. (b)
|
3,072 | 159,283 | ||||||
|
Foot Locker, Inc.
|
6,957 | 246,973 | ||||||
|
GameStop Corp. (Class A) (b)
|
4,283 | 89,943 | ||||||
|
Genesco, Inc. (a)(b)
|
715 | 47,712 | ||||||
|
Limited Brands, Inc.
|
10,845 | 534,225 | ||||||
|
Lowe’s Cos., Inc.
|
38,129 | 1,153,021 | ||||||
|
O’Reilly Automotive, Inc. (a)(b)
|
5,760 | 481,651 | ||||||
|
Office Depot, Inc. (a)(b)
|
10,994 | 28,145 | ||||||
|
OfficeMax, Inc. (b)
|
1,958 | 15,292 | ||||||
|
PetSmart, Inc.
|
6,469 | 446,232 | ||||||
|
Pier 1 Imports, Inc. (b)
|
1,780 | 33,357 | ||||||
|
RadioShack Corp. (b)
|
6,313 | 15,025 | ||||||
|
Rent-A-Center,
Inc. (b)
|
4,387 | 153,896 | ||||||
|
Ross Stores, Inc.
|
10,911 | 704,851 | ||||||
|
Staples, Inc. (b)
|
20,803 | 239,651 | ||||||
|
The Gap, Inc.
|
16,170 | 578,563 | ||||||
|
The Home Depot, Inc.
|
48,311 | 2,916,535 | ||||||
|
The Men’s Wearhouse, Inc. (b)
|
1,447 | 49,820 | ||||||
|
Tiffany & Co.
|
4,781 | 295,848 | ||||||
|
TJX Cos., Inc.
|
22,577 | 1,011,224 | ||||||
|
Urban Outfitters, Inc. (a)
|
5,087 | 191,068 | ||||||
|
Williams-Sonoma,
Inc. (b)
|
3,950 | 173,681 | ||||||
| 11,797,094 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.6%
|
||||||||
|
Carter’s, Inc. (a)
|
2,822 | 151,936 | ||||||
|
Coach, Inc.
|
10,347 | 579,639 | ||||||
|
Crocs, Inc. (a)
|
980 | 15,886 | ||||||
|
Fifth & Pacific Cos, Inc. (a)(b)
|
7,934 | 101,396 | ||||||
|
Hanesbrands, Inc. (a)(b)
|
3,900 | 124,332 | ||||||
|
Iconix Brand Group, Inc. (a)(b)
|
1,290 | 23,530 | ||||||
|
NIKE, Inc. (Class B)
|
8,003 | 759,565 | ||||||
|
Quiksilver, Inc. (a)(b)
|
9,542 | 31,679 | ||||||
|
The Jones Group, Inc. (b)
|
6,622 | 85,225 | ||||||
|
Under Armour, Inc. (Class A) (a)(b)
|
3,254 | 181,671 | ||||||
|
V.F. Corp.
|
1,930 | 307,565 | ||||||
|
Wolverine World Wide, Inc. (b)
|
6,299 | 279,487 | ||||||
| 2,641,911 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.2%
|
||||||||
|
Astoria Financial Corp. (b)
|
3,642 | 35,983 | ||||||
|
Berkshire Hills Bancorp, Inc. (b)
|
4,781 | 109,389 | ||||||
|
Doral Financial Corp. (a)(b)
|
86,253 | 81,138 | ||||||
|
Hudson City Bancorp, Inc.
|
8,888 | 70,748 | ||||||
|
MGIC Investment Corp. (a)(b)
|
8,490 | 12,990 | ||||||
|
New York Community Bancorp, Inc. (b)
|
8,322 | 117,840 | ||||||
|
OceanFirst Financial Corp.
|
15,457 | 226,754 | ||||||
|
People’s United Financial, Inc.
|
9,800 | 118,972 | ||||||
|
Radian Group, Inc. (b)
|
10,288 | 44,650 | ||||||
|
TrustCo Bank Corp. NY (b)
|
16,575 | 94,809 | ||||||
| 913,273 | ||||||||
|
TOBACCO — 1.8%
|
||||||||
|
Altria Group, Inc.
|
57,032 | 1,904,298 | ||||||
|
Lorillard, Inc.
|
4,056 | 472,321 | ||||||
|
Philip Morris International, Inc.
|
52,719 | 4,741,547 | ||||||
|
Reynolds American, Inc.
|
11,561 | 501,054 | ||||||
| 7,619,220 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.2%
|
||||||||
|
Fastenal Co. (b)
|
11,639 | 500,361 | ||||||
|
Kaman Corp. (b)
|
5,083 | 182,276 | ||||||
|
W.W. Grainger, Inc. (b)
|
1,280 | 266,714 | ||||||
|
Willis Lease Finance Corp. (a)(b)
|
3,657 | 45,127 | ||||||
| 994,478 | ||||||||
|
WATER UTILITIES — 0.1%
|
||||||||
|
Aqua America, Inc. (b)
|
3,231 | 80,000 | ||||||
|
Artesian Resources Corp. (Class A) (b)
|
5,006 | 116,289 | ||||||
|
Cadiz, Inc. (a)(b)
|
4,425 | 42,967 | ||||||
|
Connecticut Water Service, Inc. (b)
|
6,408 | 204,415 | ||||||
| 443,671 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.3%
|
||||||||
|
Crown Castle International Corp. (a)
|
8,427 | 540,171 | ||||||
|
Leap Wireless International, Inc. (a)(b)
|
2,592 | 17,677 | ||||||
|
MetroPCS Communications, Inc. (a)
|
6,540 | 76,583 | ||||||
|
NII Holdings, Inc. (a)(b)
|
5,750 | 45,137 | ||||||
|
SBA Communications Corp. (Class A) (a)(b)
|
4,050 | 254,745 | ||||||
|
Sprint Nextel Corp. (a)
|
73,736 | 407,023 | ||||||
|
Telephone & Data Systems, Inc.
|
4,541 | 116,295 | ||||||
| 1,457,631 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $401,054,650)
|
432,596,926 | |||||||
|
RIGHTS — 0.0% (d)
|
||||||||
|
INTERNET & CATALOG
RETAIL — 0.0% (d)
|
||||||||
|
Liberty Ventures (expiring 10/9/12) (a)
(Cost $0) |
1 | 13 | ||||||
|
SHORT TERM INVESTMENTS — 5.9%
|
||||||||
|
MONEY MARKET FUNDS — 5.9%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (e)(f) |
23,027,849 | 23,027,849 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (f)(g) |
2,666,471 | $ | 2,666,471 | |||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $25,694,320)
|
25,694,320 | |||||||
|
TOTAL INVESTMENTS — 105.7% (h)
|
||||||||
|
(Cost $426,748,970)
|
458,291,259 | |||||||
|
OTHER ASSETS &
LIABILITIES — (5.7)% |
(24,641,984 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 433,649,275 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(e)
|
Investments of cash collateral for securities loaned. | |||||
|
(f)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.7%
|
||||||||
|
AEROSPACE & DEFENSE — 2.1%
|
||||||||
|
BE Aerospace, Inc. (a)
|
300 | $ | 12,630 | |||||
|
General Dynamics Corp.
|
1,033 | 68,302 | ||||||
|
Honeywell International, Inc.
|
2,394 | 143,041 | ||||||
|
L-3
Communications Holdings, Inc.
|
326 | 23,377 | ||||||
|
Lockheed Martin Corp.
|
823 | 76,852 | ||||||
|
Northrop Grumman Corp. (b)
|
757 | 50,288 | ||||||
|
Precision Castparts Corp.
|
441 | 72,033 | ||||||
|
Raytheon Co. (b)
|
989 | 56,531 | ||||||
|
Rockwell Collins, Inc. (b)
|
455 | 24,406 | ||||||
|
Spirit Aerosystems Holdings, Inc. (Class A) (a)
|
322 | 7,152 | ||||||
|
Textron, Inc.
|
853 | 22,323 | ||||||
|
The Boeing Co.
|
2,040 | 142,025 | ||||||
|
TransDigm Group, Inc. (a)
|
139 | 19,720 | ||||||
|
United Technologies Corp.
|
2,647 | 207,234 | ||||||
| 925,914 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.7%
|
||||||||
|
C.H. Robinson Worldwide, Inc. (b)
|
512 | 29,977 | ||||||
|
Expeditors International of Washington, Inc. (b)
|
677 | 24,616 | ||||||
|
FedEx Corp.
|
918 | 77,681 | ||||||
|
United Parcel Service, Inc. (Class B)
|
2,256 | 161,462 | ||||||
| 293,736 | ||||||||
|
AIRLINES — 0.1%
|
||||||||
|
Delta Air Lines, Inc. (a)
|
2,565 | 23,495 | ||||||
|
Southwest Airlines Co.
|
2,337 | 20,496 | ||||||
|
United Continental Holdings, Inc. (a)(b)
|
972 | 18,954 | ||||||
| 62,945 | ||||||||
|
AUTO COMPONENTS — 0.3%
|
||||||||
|
Allison Transmission Holdings, Inc. (b)
|
100 | 2,012 | ||||||
|
BorgWarner, Inc. (a)(b)
|
359 | 24,811 | ||||||
|
Gentex Corp. (b)
|
435 | 7,399 | ||||||
|
Johnson Controls, Inc. (b)
|
2,083 | 57,074 | ||||||
|
Lear Corp.
|
313 | 11,828 | ||||||
|
The Goodyear Tire & Rubber Co. (a)(b)
|
747 | 9,106 | ||||||
|
TRW Automotive Holdings Corp. (a)
|
277 | 12,108 | ||||||
| 124,338 | ||||||||
|
AUTOMOBILES — 0.5%
|
||||||||
|
Ford Motor Co.
|
11,699 | 115,352 | ||||||
|
General Motors Co. (a)(b)
|
2,424 | 55,146 | ||||||
|
Harley-Davidson,
Inc. (b)
|
754 | 31,947 | ||||||
| 202,445 | ||||||||
|
BEVERAGES — 2.2%
|
||||||||
|
Beam, Inc.
|
485 | 27,907 | ||||||
|
Brown-Forman
Corp. (Class B)
|
502 | 32,755 | ||||||
|
Coca-Cola
Enterprises, Inc.
|
896 | 28,018 | ||||||
|
Constellation Brands, Inc. (Class A) (a)
|
504 | 16,304 | ||||||
|
Dr. Pepper Snapple Group, Inc. (b)
|
669 | 29,791 | ||||||
|
Molson Coors Brewing Co. (Class B) (b)
|
455 | 20,498 | ||||||
|
Monster Beverage Corp. (a)
|
462 | 25,022 | ||||||
|
PepsiCo, Inc.
|
4,861 | 344,013 | ||||||
|
The
Coca-Cola Co.
|
12,018 | 455,843 | ||||||
| 980,151 | ||||||||
|
BIOTECHNOLOGY — 1.7%
|
||||||||
|
Alexion Pharmaceuticals, Inc. (a)(b)
|
604 | 69,098 | ||||||
|
Amgen, Inc.
|
2,380 | 200,682 | ||||||
|
Biogen Idec, Inc. (a)
|
736 | 109,833 | ||||||
|
BioMarin Pharmaceutical, Inc. (a)(b)
|
400 | 16,108 | ||||||
|
Celgene Corp. (a)
|
1,366 | 104,362 | ||||||
|
Gilead Sciences, Inc. (a)(b)
|
2,323 | 154,084 | ||||||
|
Onyx Pharmaceuticals, Inc. (a)
|
200 | 16,900 | ||||||
|
Pharmacyclics, Inc. (a)
|
200 | 12,900 | ||||||
|
Regeneron Pharmaceuticals, Inc. (a)(b)
|
220 | 33,585 | ||||||
|
United Therapeutics Corp. (a)
|
158 | 8,829 | ||||||
|
Vertex Pharmaceuticals, Inc. (a)(b)
|
668 | 37,375 | ||||||
| 763,756 | ||||||||
|
BUILDING PRODUCTS — 0.1%
|
||||||||
|
Fortune Brands Home & Security, Inc. (a)(b)
|
485 | 13,100 | ||||||
|
Masco Corp. (b)
|
1,174 | 17,669 | ||||||
|
Owens Corning, Inc. (a)(b)
|
371 | 12,413 | ||||||
| 43,182 | ||||||||
|
CAPITAL MARKETS — 1.8%
|
||||||||
|
Affiliated Managers Group, Inc. (a)(b)
|
157 | 19,311 | ||||||
|
Ameriprise Financial, Inc.
|
603 | 34,184 | ||||||
|
BlackRock, Inc.
|
401 | 71,498 | ||||||
|
E*TRADE Financial Corp. (a)
|
754 | 6,643 | ||||||
|
Eaton Vance Corp. (b)
|
363 | 10,512 | ||||||
|
Franklin Resources, Inc. (b)
|
429 | 53,655 | ||||||
|
Invesco, Ltd.
|
1,380 | 34,486 | ||||||
|
Jefferies Group, Inc.
|
380 | 5,202 | ||||||
|
Legg Mason, Inc. (b)
|
442 | 10,909 | ||||||
|
LPL Investment Holdings, Inc. (b)
|
145 | 4,138 | ||||||
|
Morgan Stanley
|
4,119 | 68,952 | ||||||
|
Northern Trust Corp. (b)
|
669 | 31,052 | ||||||
|
Raymond James Financial, Inc.
|
307 | 11,252 | ||||||
|
SEI Investments Co. (b)
|
422 | 9,052 | ||||||
|
State Street Corp. (c)
|
1,471 | 61,723 | ||||||
|
T. Rowe Price Group, Inc. (b)
|
762 | 48,235 | ||||||
|
TD Ameritrade Holding Corp.
|
768 | 11,804 | ||||||
|
The Bank of New York Mellon Corp.
|
3,764 | 85,142 | ||||||
|
The Charles Schwab Corp. (b)
|
3,169 | 40,531 | ||||||
|
The Goldman Sachs Group, Inc.
|
1,397 | 158,811 | ||||||
| 777,092 | ||||||||
|
CHEMICALS — 2.4%
|
||||||||
|
Air Products & Chemicals, Inc.
|
620 | 51,274 | ||||||
|
Airgas, Inc.
|
218 | 17,941 | ||||||
|
Albemarle Corp. (b)
|
286 | 15,067 | ||||||
|
Ashland, Inc. (b)
|
219 | 15,680 | ||||||
|
Celanese Corp. (Series A) (b)
|
470 | 17,818 | ||||||
|
CF Industries Holdings, Inc.
|
192 | 42,670 | ||||||
|
E. I. du Pont de Nemours & Co. (b)
|
2,899 | 145,733 | ||||||
|
Eastman Chemical Co.
|
507 | 28,904 | ||||||
|
Ecolab, Inc.
|
856 | 55,477 | ||||||
|
FMC Corp.
|
472 | 26,139 | ||||||
|
Huntsman Corp. (b)
|
543 | 8,107 | ||||||
|
International Flavors & Fragrances, Inc.
|
249 | 14,835 | ||||||
|
LyondellBasell Industries NV
|
1,022 | 52,797 | ||||||
|
Monsanto Co.
|
1,668 | 151,821 | ||||||
|
PPG Industries, Inc.
|
488 | 56,042 | ||||||
|
Praxair, Inc.
|
935 | 97,128 | ||||||
|
Rockwood Holdings, Inc.
|
213 | 9,926 | ||||||
|
Sigma-Aldrich
Corp. (b)
|
341 | 24,542 | ||||||
|
The Dow Chemical Co. (b)
|
3,732 | 108,079 | ||||||
|
The Mosaic Co.
|
851 | 49,026 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
The Scotts
Miracle-Gro
Co. (Class A)
|
138 | $ | 5,999 | |||||
|
The
Sherwin-Williams
Co. (b)
|
261 | 38,866 | ||||||
|
Valspar Corp. (b)
|
291 | 16,325 | ||||||
|
W.R. Grace & Co. (a)
|
200 | 11,816 | ||||||
|
Westlake Chemical Corp.
|
100 | 7,306 | ||||||
| 1,069,318 | ||||||||
|
COMMERCIAL BANKS — 2.7%
|
||||||||
|
BB&T Corp.
|
2,190 | 72,620 | ||||||
|
BOK Financial Corp. (b)
|
69 | 4,078 | ||||||
|
CIT Group, Inc. (a)
|
571 | 22,492 | ||||||
|
City National Corp. (b)
|
131 | 6,748 | ||||||
|
Comerica, Inc.
|
567 | 17,605 | ||||||
|
Commerce Bancshares, Inc. (b)
|
218 | 8,792 | ||||||
|
Cullen/Frost Bankers, Inc. (b)
|
176 | 10,108 | ||||||
|
Fifth Third Bancorp (b)
|
2,817 | 43,691 | ||||||
|
First Republic Bank
|
219 | 7,547 | ||||||
|
Huntington Bancshares, Inc. (b)
|
2,679 | 18,485 | ||||||
|
Keycorp
|
2,932 | 25,625 | ||||||
|
M&T Bank Corp. (b)
|
380 | 36,161 | ||||||
|
PNC Financial Services Group, Inc.
|
1,647 | 103,926 | ||||||
|
Regions Financial Corp.
|
4,524 | 32,618 | ||||||
|
SunTrust Banks, Inc.
|
1,636 | 46,250 | ||||||
|
U.S. Bancorp
|
5,843 | 200,415 | ||||||
|
Wells Fargo & Co.
|
15,214 | 525,339 | ||||||
|
Zions Bancorporation
|
456 | 9,419 | ||||||
| 1,191,919 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.6%
|
||||||||
|
Avery Dennison Corp. (b)
|
377 | 11,996 | ||||||
|
Cintas Corp. (b)
|
350 | 14,507 | ||||||
|
Copart, Inc. (a)
|
372 | 10,316 | ||||||
|
Iron Mountain, Inc. (b)
|
463 | 15,793 | ||||||
|
Pitney Bowes, Inc. (b)
|
486 | 6,717 | ||||||
|
Republic Services, Inc.
|
977 | 26,877 | ||||||
|
Stericycle, Inc. (a)(b)
|
286 | 25,889 | ||||||
|
Tyco International, Ltd.
|
1,448 | 81,464 | ||||||
|
Waste Connections, Inc. (b)
|
374 | 11,314 | ||||||
|
Waste Management, Inc. (b)
|
1,376 | 44,142 | ||||||
| 249,015 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.8%
|
||||||||
|
Cisco Systems, Inc.
|
16,430 | 313,649 | ||||||
|
F5 Networks, Inc. (a)
|
245 | 25,651 | ||||||
|
Harris Corp. (b)
|
360 | 18,439 | ||||||
|
JDS Uniphase Corp. (a)(b)
|
699 | 8,657 | ||||||
|
Juniper Networks, Inc. (a)(b)
|
1,672 | 28,608 | ||||||
|
Motorola Solutions, Inc.
|
856 | 43,271 | ||||||
|
QUALCOMM, Inc.
|
5,280 | 329,947 | ||||||
|
Riverbed Technology, Inc. (a)(b)
|
432 | 10,053 | ||||||
| 778,275 | ||||||||
|
COMPUTERS & PERIPHERALS — 5.5%
|
||||||||
|
Apple, Inc.
|
2,905 | 1,938,390 | ||||||
|
Dell, Inc.
|
4,524 | 44,607 | ||||||
|
EMC Corp. (a)
|
6,507 | 177,446 | ||||||
|
Hewlett-Packard Co.
|
6,176 | 105,362 | ||||||
|
NCR Corp. (a)
|
528 | 12,308 | ||||||
|
NetApp, Inc. (a)
|
1,124 | 36,957 | ||||||
|
SanDisk Corp. (a)
|
716 | 31,096 | ||||||
|
Seagate Technology PLC
|
1,096 | 33,976 | ||||||
|
Western Digital Corp. (b)
|
689 | 26,685 | ||||||
| 2,406,827 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.2%
|
||||||||
|
Fluor Corp.
|
537 | 30,222 | ||||||
|
Jacobs Engineering Group, Inc. (a)(b)
|
388 | 15,687 | ||||||
|
KBR, Inc.
|
463 | 13,807 | ||||||
|
Quanta Services, Inc. (a)
|
609 | 15,042 | ||||||
|
URS Corp. (b)
|
267 | 9,428 | ||||||
| 84,186 | ||||||||
|
CONSTRUCTION MATERIALS — 0.1%
|
||||||||
|
Martin Marietta Materials, Inc. (b)
|
126 | 10,442 | ||||||
|
Vulcan Materials Co. (b)
|
365 | 17,264 | ||||||
| 27,706 | ||||||||
|
CONSUMER FINANCE — 0.8%
|
||||||||
|
American Express Co.
|
3,080 | 175,129 | ||||||
|
Capital One Financial Corp.
|
1,791 | 102,105 | ||||||
|
Discover Financial Services
|
1,648 | 65,475 | ||||||
|
SLM Corp.
|
1,479 | 23,250 | ||||||
| 365,959 | ||||||||
|
CONTAINERS & PACKAGING — 0.2%
|
||||||||
|
AptarGroup, Inc. (b)
|
207 | 10,704 | ||||||
|
Ball Corp. (b)
|
504 | 21,324 | ||||||
|
Bemis Co., Inc. (b)
|
318 | 10,008 | ||||||
|
Crown Holdings, Inc. (a)
|
505 | 18,559 | ||||||
|
Owens-Illinois,
Inc. (a)
|
544 | 10,205 | ||||||
|
Rock-Tenn
Co. (Class A)
|
200 | 14,436 | ||||||
|
Sealed Air Corp. (b)
|
526 | 8,132 | ||||||
|
Sonoco Products Co. (b)
|
310 | 9,607 | ||||||
| 102,975 | ||||||||
|
DISTRIBUTORS — 0.1%
|
||||||||
|
Genuine Parts Co.
|
513 | 31,308 | ||||||
|
LKQ Corp. (a)(b)
|
900 | 16,650 | ||||||
| 47,958 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.1%
|
||||||||
|
Apollo Group, Inc. (a)(b)
|
379 | 11,010 | ||||||
|
H&R Block, Inc. (b)
|
942 | 16,325 | ||||||
|
Weight Watchers International, Inc. (b)
|
20 | 1,056 | ||||||
| 28,391 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 2.8%
|
||||||||
|
Bank of America Corp.
|
33,406 | 294,975 | ||||||
|
CBOE Holdings, Inc. (b)
|
312 | 9,179 | ||||||
|
Citigroup, Inc.
|
9,136 | 298,930 | ||||||
|
CME Group, Inc. (b)
|
985 | 56,440 | ||||||
|
IntercontinentalExchange, Inc. (a)
|
229 | 30,551 | ||||||
|
JPMorgan Chase & Co.
|
11,740 | 475,235 | ||||||
|
Leucadia National Corp. (b)
|
522 | 11,876 | ||||||
|
Moody’s Corp.
|
606 | 26,767 | ||||||
|
MSCI, Inc. (Class A) (a)(b)
|
370 | 13,242 | ||||||
|
NYSE Euronext
|
820 | 20,213 | ||||||
|
The NASDAQ OMX Group, Inc.
|
361 | 8,410 | ||||||
| 1,245,818 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 2.7%
|
||||||||
|
AT&T, Inc.
|
17,830 | 672,191 | ||||||
|
CenturyLink, Inc. (b)
|
1,971 | 79,628 | ||||||
|
Frontier Communications Corp. (b)
|
3,148 | 15,425 | ||||||
|
Level 3 Communications, Inc. (a)
|
500 | 11,485 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Verizon Communications, Inc. (b)
|
8,784 | $ | 400,287 | |||||
|
Windstream Corp. (b)
|
1,769 | 17,885 | ||||||
| 1,196,901 | ||||||||
|
ELECTRIC UTILITIES — 2.0%
|
||||||||
|
American Electric Power Co., Inc. (b)
|
1,509 | 66,305 | ||||||
|
Duke Energy Corp.
|
2,166 | 140,357 | ||||||
|
Edison International (b)
|
952 | 43,497 | ||||||
|
Entergy Corp. (b)
|
550 | 38,115 | ||||||
|
Exelon Corp.
|
2,641 | 93,967 | ||||||
|
FirstEnergy Corp. (b)
|
1,317 | 58,080 | ||||||
|
ITC Holdings Corp. (b)
|
155 | 11,715 | ||||||
|
NextEra Energy, Inc. (b)
|
1,346 | 94,664 | ||||||
|
Northeast Utilities
|
1,030 | 39,377 | ||||||
|
NV Energy, Inc.
|
741 | 13,345 | ||||||
|
OGE Energy Corp.
|
298 | 16,527 | ||||||
|
Pepco Holdings, Inc. (b)
|
680 | 12,852 | ||||||
|
Pinnacle West Capital Corp.
|
319 | 16,843 | ||||||
|
PPL Corp. (b)
|
1,733 | 50,344 | ||||||
|
Southern Co.
|
2,705 | 124,673 | ||||||
|
Westar Energy, Inc. (b)
|
342 | 10,144 | ||||||
|
Xcel Energy, Inc. (b)
|
1,520 | 42,119 | ||||||
| 872,924 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.6%
|
||||||||
|
AMETEK, Inc. (b)
|
745 | 26,410 | ||||||
|
Cooper Industries PLC
|
526 | 39,482 | ||||||
|
Emerson Electric Co.
|
2,225 | 107,401 | ||||||
|
Hubbell, Inc. (Class B) (b)
|
169 | 13,645 | ||||||
|
Rockwell Automation, Inc. (b)
|
455 | 31,645 | ||||||
|
Roper Industries, Inc. (b)
|
281 | 30,879 | ||||||
|
The Babcock & Wilcox Co. (a)
|
358 | 9,118 | ||||||
| 258,580 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.5% |
||||||||
|
Amphenol Corp. (Class A) (b)
|
515 | 30,323 | ||||||
|
Arrow Electronics, Inc. (a)(b)
|
384 | 12,945 | ||||||
|
Avnet, Inc. (a)
|
464 | 13,498 | ||||||
|
Corning, Inc. (b)
|
4,732 | 62,226 | ||||||
|
Dolby Laboratories, Inc. (Class A) (a)(b)
|
168 | 5,502 | ||||||
|
FLIR Systems, Inc.
|
435 | 8,689 | ||||||
|
Jabil Circuit, Inc.
|
660 | 12,355 | ||||||
|
Mettler-Toledo
International, Inc. (a)(b)
|
104 | 17,757 | ||||||
|
Molex, Inc.
|
425 | 11,169 | ||||||
|
TE Connectivity, Ltd.
|
1,292 | 43,941 | ||||||
|
Trimble Navigation, Ltd. (a)
|
407 | 19,397 | ||||||
| 237,802 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.1%
|
||||||||
|
Baker Hughes, Inc.
|
1,338 | 60,518 | ||||||
|
Cameron International Corp. (a)
|
758 | 42,501 | ||||||
|
Diamond Offshore Drilling, Inc. (b)
|
211 | 13,886 | ||||||
|
Ensco PLC (Class A)
|
700 | 38,192 | ||||||
|
FMC Technologies, Inc. (a)
|
738 | 34,169 | ||||||
|
Halliburton Co.
|
2,826 | 95,208 | ||||||
|
Helmerich & Payne, Inc. (b)
|
295 | 14,045 | ||||||
|
McDermott International, Inc. (a)(b)
|
721 | 8,811 | ||||||
|
Nabors Industries, Ltd. (a)(b)
|
906 | 12,711 | ||||||
|
National Oilwell Varco, Inc.
|
1,293 | 103,582 | ||||||
|
Noble Corp. (a)
|
832 | 29,769 | ||||||
|
Oceaneering International, Inc.
|
354 | 19,559 | ||||||
|
Oil States International, Inc. (a)(b)
|
160 | 12,714 | ||||||
|
Patterson-UTI
Energy, Inc. (b)
|
493 | 7,809 | ||||||
|
Rowan Cos. PLC (a)(b)
|
342 | 11,549 | ||||||
|
Schlumberger, Ltd.
|
4,150 | 300,170 | ||||||
|
Superior Energy Services, Inc. (a)
|
500 | 10,260 | ||||||
|
Tidewater, Inc. (b)
|
166 | 8,056 | ||||||
|
Transocean, Ltd.
|
1,100 | 49,379 | ||||||
|
Weatherford International, Ltd. (a)
|
2,230 | 28,276 | ||||||
| 901,164 | ||||||||
|
FOOD & STAPLES RETAILING — 2.2%
|
||||||||
|
Costco Wholesale Corp.
|
1,359 | 136,070 | ||||||
|
CVS Caremark Corp.
|
3,947 | 191,114 | ||||||
|
Safeway, Inc. (b)
|
778 | 12,518 | ||||||
|
Sysco Corp. (b)
|
1,867 | 58,381 | ||||||
|
The Kroger Co. (b)
|
1,738 | 40,912 | ||||||
|
Wal-Mart
Stores, Inc.
|
5,235 | 386,343 | ||||||
|
Walgreen Co.
|
2,690 | 98,024 | ||||||
|
Whole Foods Market, Inc. (b)
|
507 | 49,382 | ||||||
| 972,744 | ||||||||
|
FOOD PRODUCTS — 1.7%
|
||||||||
|
Archer-Daniels-Midland Co.
|
2,062 | 56,045 | ||||||
|
Bunge, Ltd.
|
481 | 32,251 | ||||||
|
Campbell Soup Co. (b)
|
539 | 18,768 | ||||||
|
ConAgra Foods, Inc.
|
1,261 | 34,791 | ||||||
|
General Mills, Inc. (b)
|
1,968 | 78,425 | ||||||
|
Green Mountain Coffee Roasters, Inc. (a)(b)
|
385 | 9,144 | ||||||
|
H.J. Heinz Co. (b)
|
994 | 55,614 | ||||||
|
Hillshire Brands Co. (b)
|
385 | 10,310 | ||||||
|
Hormel Foods Corp. (b)
|
471 | 13,772 | ||||||
|
Ingredion, Inc.
|
236 | 13,018 | ||||||
|
Kellogg Co.
|
754 | 38,952 | ||||||
|
Kraft Foods, Inc. (Class A)
|
5,486 | 226,846 | ||||||
|
McCormick & Co., Inc. (b)
|
427 | 26,491 | ||||||
|
Mead Johnson Nutrition Co.
|
631 | 46,240 | ||||||
|
Ralcorp Holdings, Inc. (a)
|
182 | 13,286 | ||||||
|
Smithfield Foods, Inc. (a)
|
402 | 7,899 | ||||||
|
The Hershey Co.
|
515 | 36,508 | ||||||
|
The J.M. Smucker Co.
|
335 | 28,921 | ||||||
|
Tyson Foods, Inc. (Class A)
|
923 | 14,786 | ||||||
| 762,067 | ||||||||
|
GAS UTILITIES — 0.2%
|
||||||||
|
AGL Resources, Inc.
|
356 | 14,564 | ||||||
|
Atmos Energy Corp. (b)
|
290 | 10,379 | ||||||
|
National Fuel Gas Co. (b)
|
214 | 11,565 | ||||||
|
ONEOK, Inc.
|
626 | 30,242 | ||||||
|
Questar Corp.
|
550 | 11,181 | ||||||
|
UGI Corp. (b)
|
339 | 10,763 | ||||||
| 88,694 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.8%
|
||||||||
|
Baxter International, Inc.
|
1,653 | 99,610 | ||||||
|
Becton, Dickinson and Co. (b)
|
624 | 49,021 | ||||||
|
Boston Scientific Corp. (a)
|
4,654 | 26,714 | ||||||
|
C.R. Bard, Inc. (b)
|
247 | 25,849 | ||||||
|
CareFusion Corp. (a)
|
655 | 18,595 | ||||||
|
Covidien PLC
|
1,487 | 88,358 | ||||||
|
DENTSPLY International, Inc. (b)
|
429 | 16,362 | ||||||
|
Edwards Lifesciences Corp. (a)(b)
|
356 | 38,224 | ||||||
|
Hologic, Inc. (a)(b)
|
800 | 16,192 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
IDEXX Laboratories, Inc. (a)(b)
|
193 | $ | 19,175 | |||||
|
Intuitive Surgical, Inc. (a)(b)
|
119 | 58,980 | ||||||
|
Medtronic, Inc.
|
3,116 | 134,362 | ||||||
|
ResMed, Inc. (b)
|
475 | 19,223 | ||||||
|
St. Jude Medical, Inc.
|
994 | 41,877 | ||||||
|
Stryker Corp. (b)
|
920 | 51,207 | ||||||
|
The Cooper Cos., Inc.
|
140 | 13,224 | ||||||
|
Varian Medical Systems, Inc. (a)(b)
|
362 | 21,836 | ||||||
|
Zimmer Holdings, Inc. (b)
|
557 | 37,664 | ||||||
| 776,473 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 1.9%
|
||||||||
|
Aetna, Inc. (b)
|
1,050 | 41,580 | ||||||
|
AMERIGROUP Corp. (a)
|
160 | 14,629 | ||||||
|
AmerisourceBergen Corp.
|
831 | 32,168 | ||||||
|
Cardinal Health, Inc.
|
1,076 | 41,932 | ||||||
|
CIGNA Corp.
|
875 | 41,274 | ||||||
|
Coventry Health Care, Inc.
|
470 | 19,594 | ||||||
|
DaVita, Inc. (a)
|
269 | 27,871 | ||||||
|
Express Scripts Holding Co. (a)
|
2,537 | 158,994 | ||||||
|
HCA Holdings, Inc.
|
553 | 18,387 | ||||||
|
Henry Schein, Inc. (a)(b)
|
294 | 23,306 | ||||||
|
Humana, Inc.
|
500 | 35,075 | ||||||
|
Laboratory Corp. of America Holdings (a)(b)
|
313 | 28,943 | ||||||
|
McKesson Corp.
|
733 | 63,060 | ||||||
|
Omnicare, Inc.
|
331 | 11,244 | ||||||
|
Patterson Cos., Inc. (b)
|
313 | 10,717 | ||||||
|
Quest Diagnostics, Inc. (b)
|
454 | 28,797 | ||||||
|
UnitedHealth Group, Inc.
|
3,200 | 177,312 | ||||||
|
Universal Health Services, Inc. (Class B)
|
292 | 13,353 | ||||||
|
WellPoint, Inc. (b)
|
1,036 | 60,098 | ||||||
| 848,334 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.1%
|
||||||||
|
Cerner Corp. (a)(b)
|
441 | 34,138 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.9%
|
||||||||
|
Burger King Worldwide, Inc. (a)(b)
|
300 | 4,182 | ||||||
|
Carnival Corp. (b)
|
1,344 | 48,975 | ||||||
|
Chipotle Mexican Grill, Inc. (a)(b)
|
99 | 31,436 | ||||||
|
Darden Restaurants, Inc. (b)
|
416 | 23,192 | ||||||
|
Dunkin’ Brands Group, Inc. (b)
|
256 | 7,474 | ||||||
|
Hyatt Hotels Corp. (Class A) (a)
|
122 | 4,898 | ||||||
|
International Game Technology (b)
|
951 | 12,449 | ||||||
|
Las Vegas Sands Corp.
|
1,114 | 51,656 | ||||||
|
Marriott International, Inc. (Class A) (b)
|
810 | 31,671 | ||||||
|
McDonald’s Corp.
|
3,115 | 285,801 | ||||||
|
MGM Resorts International (a)(b)
|
966 | 10,385 | ||||||
|
Panera Bread Co. (Class A) (a)(b)
|
100 | 17,089 | ||||||
|
Penn National Gaming, Inc. (a)(b)
|
209 | 9,008 | ||||||
|
Royal Caribbean Cruises, Ltd.
|
437 | 13,202 | ||||||
|
Starbucks Corp.
|
2,314 | 117,436 | ||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
|
621 | 35,993 | ||||||
|
Wyndham Worldwide Corp.
|
483 | 25,348 | ||||||
|
Wynn Resorts, Ltd.
|
250 | 28,860 | ||||||
|
Yum! Brands, Inc.
|
1,363 | 90,421 | ||||||
| 849,476 | ||||||||
|
HOUSEHOLD DURABLES — 0.4%
|
||||||||
|
D.R. Horton, Inc.
|
864 | 17,833 | ||||||
|
Garmin, Ltd. (b)
|
392 | 16,362 | ||||||
|
Harman International Industries, Inc. (b)
|
165 | 7,616 | ||||||
|
Jarden Corp.
|
200 | 10,568 | ||||||
|
Leggett & Platt, Inc. (b)
|
510 | 12,776 | ||||||
|
Lennar Corp. (Class A) (b)
|
547 | 19,019 | ||||||
|
Mohawk Industries, Inc. (a)
|
170 | 13,604 | ||||||
|
Newell Rubbermaid, Inc.
|
871 | 16,627 | ||||||
|
NVR, Inc. (a)
|
16 | 13,512 | ||||||
|
Pulte Group, Inc. (a)(b)
|
1,000 | 15,500 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
429 | 14,256 | ||||||
|
Tupperware Brands Corp.
|
187 | 10,021 | ||||||
|
Whirlpool Corp.
|
234 | 19,401 | ||||||
| 187,095 | ||||||||
|
HOUSEHOLD PRODUCTS — 2.1%
|
||||||||
|
Church & Dwight Co., Inc. (b)
|
438 | 23,648 | ||||||
|
Colgate-Palmolive Co.
|
1,391 | 149,143 | ||||||
|
Energizer Holdings, Inc. (b)
|
214 | 15,966 | ||||||
|
Kimberly-Clark
Corp. (b)
|
1,209 | 103,708 | ||||||
|
The Clorox Co. (b)
|
386 | 27,811 | ||||||
|
The Procter & Gamble Co.
|
8,574 | 594,693 | ||||||
| 914,969 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.1% |
||||||||
|
Calpine Corp. (a)(b)
|
1,142 | 19,757 | ||||||
|
NRG Energy, Inc. (b)
|
745 | 15,935 | ||||||
|
The AES Corp. (a)
|
1,979 | 21,710 | ||||||
| 57,402 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 2.3%
|
||||||||
|
3M Co.
|
1,971 | 182,160 | ||||||
|
Danaher Corp. (b)
|
1,777 | 98,002 | ||||||
|
General Electric Co.
|
32,681 | 742,185 | ||||||
| 1,022,347 | ||||||||
|
INSURANCE — 4.0%
|
||||||||
|
ACE, Ltd.
|
1,086 | 82,102 | ||||||
|
Aflac, Inc. (b)
|
1,476 | 70,671 | ||||||
|
Alleghany Corp. (a)(b)
|
50 | 17,247 | ||||||
|
Allied World Assurance Company Holdings, Ltd. (b)
|
108 | 8,343 | ||||||
|
American Financial Group, Inc.
|
245 | 9,286 | ||||||
|
American International Group, Inc. (a)
|
3,644 | 119,487 | ||||||
|
Aon PLC
|
1,007 | 52,656 | ||||||
|
Arch Capital Group, Ltd. (a)(b)
|
364 | 15,172 | ||||||
|
Arthur J. Gallagher & Co. (b)
|
400 | 14,328 | ||||||
|
Assurant, Inc. (b)
|
292 | 10,892 | ||||||
|
Assured Guaranty, Ltd.
|
436 | 5,938 | ||||||
|
Axis Capital Holdings, Ltd.
|
353 | 12,327 | ||||||
|
Berkshire Hathaway, Inc. (Class B) (a)
|
5,679 | 500,888 | ||||||
|
Brown & Brown, Inc.
|
358 | 9,333 | ||||||
|
Cincinnati Financial Corp. (b)
|
477 | 18,074 | ||||||
|
CNA Financial Corp. (b)
|
85 | 2,278 | ||||||
|
Erie Indemnity Co. (Class A) (b)
|
85 | 5,463 | ||||||
|
Everest Re Group, Ltd.
|
139 | 14,867 | ||||||
|
Fidelity National Financial, Inc. (Class A) (b)
|
684 | 14,631 | ||||||
|
Genworth Financial, Inc. (Class A) (a)(b)
|
1,614 | 8,441 | ||||||
|
Hartford Financial Services Group, Inc. (b)
|
1,363 | 26,497 | ||||||
|
HCC Insurance Holdings, Inc. (b)
|
365 | 12,370 | ||||||
|
Lincoln National Corp. (b)
|
960 | 23,222 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Loews Corp.
|
935 | $ | 38,578 | |||||
|
Markel Corp. (a)
|
30 | 13,755 | ||||||
|
Marsh & McLennan Cos., Inc.
|
1,711 | 58,054 | ||||||
|
MetLife, Inc. (b)
|
3,319 | 114,373 | ||||||
|
PartnerRe, Ltd.
|
224 | 16,639 | ||||||
|
Principal Financial Group, Inc. (b)
|
842 | 22,683 | ||||||
|
Prudential Financial, Inc.
|
1,400 | 76,314 | ||||||
|
Reinsurance Group of America, Inc.
|
230 | 13,310 | ||||||
|
RenaissanceRe Holdings, Ltd.
|
159 | 12,249 | ||||||
|
The Allstate Corp.
|
1,522 | 60,286 | ||||||
|
The Chubb Corp.
|
780 | 59,498 | ||||||
|
The Progressive Corp. (b)
|
1,856 | 38,493 | ||||||
|
The Travelers Cos., Inc.
|
1,182 | 80,683 | ||||||
|
Torchmark Corp. (b)
|
324 | 16,637 | ||||||
|
Unum Group
|
935 | 17,971 | ||||||
|
Validus Holdings, Ltd. (b)
|
219 | 7,426 | ||||||
|
W.R. Berkley Corp. (b)
|
376 | 14,096 | ||||||
|
White Mountains Insurance Group, Ltd. (b)
|
20 | 10,267 | ||||||
|
XL Group PLC
|
996 | 23,934 | ||||||
| 1,749,759 | ||||||||
|
INTERNET & CATALOG RETAIL — 1.0%
|
||||||||
|
Amazon.com, Inc. (a)
|
1,117 | 284,075 | ||||||
|
Expedia, Inc.
|
329 | 19,029 | ||||||
|
Groupon, Inc. (a)(b)
|
1,033 | 4,917 | ||||||
|
Liberty Interactive Corp. (Class A) (a)
|
1,649 | 30,507 | ||||||
|
Netflix, Inc. (a)(b)
|
166 | 9,037 | ||||||
|
Priceline.com, Inc. (a)(b)
|
156 | 96,522 | ||||||
|
TripAdvisor, Inc. (a)(b)
|
329 | 10,834 | ||||||
| 454,921 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 2.3%
|
||||||||
|
Akamai Technologies, Inc. (a)(b)
|
524 | 20,048 | ||||||
|
eBay, Inc. (a)
|
3,565 | 172,582 | ||||||
|
Equinix, Inc. (a)(b)
|
135 | 27,817 | ||||||
|
Facebook, Inc. (a)
|
1,600 | 34,640 | ||||||
|
Google, Inc. (Class A) (a)
|
816 | 615,672 | ||||||
|
IAC/InterActiveCorp. (b)
|
252 | 13,119 | ||||||
|
LinkedIn Corp. (Class A) (a)
|
197 | 23,719 | ||||||
|
Rackspace Hosting, Inc. (a)(b)
|
351 | 23,197 | ||||||
|
VeriSign, Inc. (a)(b)
|
515 | 25,075 | ||||||
|
Yahoo!, Inc. (a)
|
3,251 | 51,935 | ||||||
| 1,007,804 | ||||||||
|
IT SERVICES — 3.7%
|
||||||||
|
Accenture PLC (Class A)
|
1,919 | 134,387 | ||||||
|
Alliance Data Systems Corp. (a)(b)
|
164 | 23,280 | ||||||
|
Automatic Data Processing, Inc. (b)
|
1,520 | 89,163 | ||||||
|
Broadridge Financial Solutions, Inc. (b)
|
455 | 10,615 | ||||||
|
Cognizant Technology Solutions Corp. (Class A) (a)
|
951 | 66,494 | ||||||
|
Computer Sciences Corp.
|
480 | 15,461 | ||||||
|
Fidelity National Information Services, Inc.
|
775 | 24,195 | ||||||
|
Fiserv, Inc. (a)(b)
|
424 | 31,389 | ||||||
|
Gartner, Inc. (a)(b)
|
300 | 13,827 | ||||||
|
Genpact, Ltd.
|
326 | 5,438 | ||||||
|
Global Payments, Inc.
|
251 | 10,499 | ||||||
|
International Business Machines Corp.
|
3,333 | 691,431 | ||||||
|
Mastercard, Inc. (Class A)
|
323 | 145,828 | ||||||
|
Paychex, Inc. (b)
|
1,029 | 34,255 | ||||||
|
SAIC, Inc. (b)
|
915 | 11,017 | ||||||
|
Teradata Corp. (a)
|
536 | 40,420 | ||||||
|
The Western Union Co. (b)
|
1,991 | 36,276 | ||||||
|
Total System Services, Inc.
|
538 | 12,751 | ||||||
|
Vantiv, Inc. (a)(b)
|
100 | 2,155 | ||||||
|
VeriFone Systems, Inc. (a)(b)
|
300 | 8,355 | ||||||
|
Visa, Inc. (Class A)
|
1,625 | 218,205 | ||||||
| 1,625,441 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.2%
|
||||||||
|
Hasbro, Inc. (b)
|
407 | 15,535 | ||||||
|
Mattel, Inc.
|
1,058 | 37,538 | ||||||
|
Polaris Industries, Inc. (b)
|
200 | 16,174 | ||||||
| 69,247 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.5%
|
||||||||
|
Agilent Technologies, Inc.
|
1,063 | 40,873 | ||||||
|
Covance, Inc. (a)(b)
|
206 | 9,618 | ||||||
|
Illumina, Inc. (a)(b)
|
391 | 18,846 | ||||||
|
Life Technologies Corp. (a)(b)
|
534 | 26,102 | ||||||
|
PerkinElmer, Inc.
|
379 | 11,169 | ||||||
|
Techne Corp.
|
117 | 8,417 | ||||||
|
Thermo Fisher Scientific, Inc.
|
1,084 | 63,772 | ||||||
|
Waters Corp. (a)(b)
|
294 | 24,499 | ||||||
| 203,296 | ||||||||
|
MACHINERY — 1.9%
|
||||||||
|
AGCO Corp. (a)
|
284 | 13,484 | ||||||
|
Caterpillar, Inc. (b)
|
2,029 | 174,575 | ||||||
|
Cummins, Inc.
|
548 | 50,531 | ||||||
|
Deere & Co. (b)
|
1,209 | 99,730 | ||||||
|
Donaldson Co., Inc. (b)
|
428 | 14,856 | ||||||
|
Dover Corp. (b)
|
600 | 35,694 | ||||||
|
Eaton Corp. (b)
|
1,041 | 49,198 | ||||||
|
Flowserve Corp. (b)
|
163 | 20,822 | ||||||
|
Gardner Denver, Inc. (b)
|
161 | 9,726 | ||||||
|
Illinois Tool Works, Inc. (b)
|
1,299 | 77,252 | ||||||
|
Ingersoll-Rand PLC
|
916 | 41,055 | ||||||
|
Joy Global, Inc.
|
341 | 19,116 | ||||||
|
Lincoln Electric Holdings, Inc. (b)
|
258 | 10,075 | ||||||
|
PACCAR, Inc. (b)
|
1,084 | 43,387 | ||||||
|
Pall Corp. (b)
|
383 | 24,317 | ||||||
|
Parker Hannifin Corp. (b)
|
470 | 39,283 | ||||||
|
Pentair, Inc. (a)(b)
|
309 | 13,754 | ||||||
|
Snap-On, Inc.
|
200 | 14,374 | ||||||
|
SPX Corp.
|
174 | 11,381 | ||||||
|
Stanley Black & Decker, Inc.
|
500 | 38,125 | ||||||
|
Timken Co.
|
264 | 9,810 | ||||||
|
Xylem, Inc.
|
575 | 14,461 | ||||||
| 825,006 | ||||||||
|
MEDIA — 3.6%
|
||||||||
|
AMC Networks, Inc. (Class A) (a)
|
180 | 7,834 | ||||||
|
Cablevision Systems Corp. (Class A) (b)
|
721 | 11,428 | ||||||
|
CBS Corp.
|
1,826 | 66,339 | ||||||
|
Charter Communications, Inc. (Class A) (a)
|
100 | 7,507 | ||||||
|
Comcast Corp. (Class A) (b)
|
8,322 | 297,678 | ||||||
|
DIRECTV (Class A) (a)
|
1,977 | 103,713 | ||||||
|
Discovery Communications, Inc. (Series A) (a)(b)
|
722 | 43,053 | ||||||
|
DISH Network Corp. (Class A)
|
673 | 20,600 | ||||||
|
Gannett Co., Inc. (b)
|
598 | 10,614 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
John Wiley & Sons, Inc. (Class A)
|
159 | $ | 7,306 | |||||
|
Liberty Global, Inc. (Series A) (a)(b)
|
735 | 44,651 | ||||||
|
Liberty Media Corp. — Liberty Capital
(Class A) (a)
|
352 | 36,668 | ||||||
|
News Corp. (Class A)
|
6,339 | 155,496 | ||||||
|
Omnicom Group, Inc. (b)
|
781 | 40,268 | ||||||
|
Scripps Networks Interactive, Inc. (Class A) (b)
|
259 | 15,859 | ||||||
|
Sirius XM Radio, Inc. (a)(b)
|
11,045 | 28,717 | ||||||
|
The Interpublic Group of Cos., Inc. (b)
|
1,534 | 17,058 | ||||||
|
The
McGraw-Hill
Cos., Inc. (b)
|
835 | 45,583 | ||||||
|
The Walt Disney Co.
|
5,516 | 288,376 | ||||||
|
The Washington Post Co. (Class B) (b)
|
19 | 6,898 | ||||||
|
Time Warner Cable, Inc. (b)
|
957 | 90,972 | ||||||
|
Time Warner, Inc.
|
2,912 | 132,001 | ||||||
|
Viacom, Inc. (Class B) (b)
|
1,451 | 77,759 | ||||||
| 1,556,378 | ||||||||
|
METALS & MINING — 0.8%
|
||||||||
|
Alcoa, Inc.
|
3,213 | 28,435 | ||||||
|
Allegheny Technologies, Inc.
|
301 | 9,602 | ||||||
|
Allied Nevada Gold Corp. (a)(b)
|
253 | 9,882 | ||||||
|
Cliffs Natural Resources, Inc. (b)
|
422 | 16,513 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
|
2,907 | 115,059 | ||||||
|
Newmont Mining Corp.
|
1,504 | 84,239 | ||||||
|
Nucor Corp. (b)
|
912 | 34,893 | ||||||
|
Reliance Steel & Aluminum Co.
|
203 | 10,627 | ||||||
|
Royal Gold, Inc. (b)
|
168 | 16,777 | ||||||
|
Steel Dynamics, Inc. (b)
|
570 | 6,401 | ||||||
|
United States Steel Corp. (b)
|
447 | 8,524 | ||||||
| 340,952 | ||||||||
|
MULTI-UTILITIES — 1.2%
|
||||||||
|
Alliant Energy Corp.
|
352 | 15,273 | ||||||
|
Ameren Corp.
|
739 | 24,143 | ||||||
|
CenterPoint Energy, Inc. (b)
|
1,219 | 25,965 | ||||||
|
CMS Energy Corp.
|
889 | 20,936 | ||||||
|
Consolidated Edison, Inc. (b)
|
913 | 54,680 | ||||||
|
Dominion Resources, Inc.
|
1,755 | 92,910 | ||||||
|
DTE Energy Co. (b)
|
519 | 31,109 | ||||||
|
Integrys Energy Group, Inc.
|
246 | 12,841 | ||||||
|
MDU Resources Group, Inc.
|
530 | 11,681 | ||||||
|
NiSource, Inc.
|
859 | 21,887 | ||||||
|
PG&E Corp.
|
1,346 | 57,434 | ||||||
|
Public Service Enterprise Group, Inc. (b)
|
1,611 | 51,842 | ||||||
|
SCANA Corp. (b)
|
350 | 16,894 | ||||||
|
Sempra Energy (b)
|
714 | 46,046 | ||||||
|
TECO Energy, Inc. (b)
|
631 | 11,194 | ||||||
|
Wisconsin Energy Corp.
|
748 | 28,177 | ||||||
| 523,012 | ||||||||
|
MULTILINE RETAIL — 0.8%
|
||||||||
|
Dillard’s, Inc. (Class A) (b)
|
100 | 7,232 | ||||||
|
Dollar General Corp. (a)
|
710 | 36,593 | ||||||
|
Dollar Tree, Inc. (a)
|
752 | 36,303 | ||||||
|
Family Dollar Stores, Inc.
|
321 | 21,282 | ||||||
|
J.C. Penney Co., Inc. (b)
|
493 | 11,975 | ||||||
|
Kohl’s Corp. (b)
|
710 | 36,366 | ||||||
|
Macy’s, Inc.
|
1,227 | 46,160 | ||||||
|
Nordstrom, Inc. (b)
|
440 | 24,279 | ||||||
|
Sears Holdings Corp. (a)
|
133 | 7,380 | ||||||
|
Target Corp.
|
1,986 | 126,052 | ||||||
| 353,622 | ||||||||
|
OFFICE ELECTRONICS — 0.1%
|
||||||||
|
Xerox Corp.
|
4,188 | 30,740 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 8.9%
|
||||||||
|
Anadarko Petroleum Corp.
|
1,552 | 108,516 | ||||||
|
Apache Corp.
|
1,232 | 106,531 | ||||||
|
Cabot Oil & Gas Corp.
|
678 | 30,442 | ||||||
|
Chesapeake Energy Corp. (b)
|
1,576 | 29,739 | ||||||
|
Chevron Corp.
|
6,088 | 709,617 | ||||||
|
Cimarex Energy Co. (b)
|
255 | 14,930 | ||||||
|
Cobalt International Energy, Inc. (a)
|
525 | 11,692 | ||||||
|
Concho Resources, Inc. (a)(b)
|
315 | 29,846 | ||||||
|
ConocoPhillips (b)
|
3,730 | 213,281 | ||||||
|
CONSOL Energy, Inc. (b)
|
653 | 19,623 | ||||||
|
Continental Resources, Inc. (a)(b)
|
178 | 13,688 | ||||||
|
Denbury Resources, Inc. (a)(b)
|
1,210 | 19,554 | ||||||
|
Devon Energy Corp.
|
1,185 | 71,693 | ||||||
|
Energen Corp.
|
197 | 10,325 | ||||||
|
EOG Resources, Inc.
|
827 | 92,665 | ||||||
|
EQT Corp.
|
461 | 27,199 | ||||||
|
Exxon Mobil Corp. (b)
|
14,306 | 1,308,284 | ||||||
|
Hess Corp.
|
933 | 50,121 | ||||||
|
Hollyfrontier Corp. (b)
|
597 | 24,638 | ||||||
|
Kinder Morgan, Inc.
|
1,782 | 63,297 | ||||||
|
Marathon Oil Corp.
|
2,147 | 63,487 | ||||||
|
Marathon Petroleum Corp.
|
1,073 | 58,575 | ||||||
|
Murphy Oil Corp.
|
598 | 32,107 | ||||||
|
Newfield Exploration Co. (a)
|
409 | 12,810 | ||||||
|
Noble Energy, Inc.
|
539 | 49,971 | ||||||
|
Occidental Petroleum Corp.
|
2,517 | 216,613 | ||||||
|
Peabody Energy Corp. (b)
|
860 | 19,169 | ||||||
|
Phillips 66
|
1,914 | 88,752 | ||||||
|
Pioneer Natural Resources Co. (b)
|
361 | 37,688 | ||||||
|
Plains Exploration & Production Co. (a)(b)
|
402 | 15,063 | ||||||
|
QEP Resources, Inc.
|
550 | 17,413 | ||||||
|
Range Resources Corp. (b)
|
489 | 34,167 | ||||||
|
SandRidge Energy, Inc. (a)(b)
|
1,125 | 7,841 | ||||||
|
SM Energy Co.
|
170 | 9,199 | ||||||
|
Southwestern Energy Co. (a)(b)
|
1,085 | 37,736 | ||||||
|
Spectra Energy Corp.
|
2,000 | 58,720 | ||||||
|
Sunoco, Inc. (b)
|
375 | 17,561 | ||||||
|
Tesoro Corp.
|
400 | 16,760 | ||||||
|
The Williams Cos., Inc.
|
1,935 | 67,667 | ||||||
|
Ultra Petroleum Corp. (a)(b)
|
478 | 10,507 | ||||||
|
Valero Energy Corp.
|
1,680 | 53,222 | ||||||
|
Whiting Petroleum Corp. (a)
|
380 | 18,004 | ||||||
|
WPX Energy, Inc. (a)(b)
|
612 | 10,153 | ||||||
| 3,908,866 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.2%
|
||||||||
|
International Paper Co. (b)
|
1,313 | 47,688 | ||||||
|
MeadWestvaco Corp.
|
529 | 16,188 | ||||||
|
Weyerhaeuser Co. (b)
|
1,636 | 42,765 | ||||||
| 106,641 | ||||||||
|
PERSONAL PRODUCTS — 0.2%
|
||||||||
|
Avon Products, Inc. (b)
|
1,361 | 21,708 | ||||||
|
Herbalife, Ltd. (b)
|
372 | 17,633 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
The Estee Lauder Cos., Inc. (Class A)
|
748 | $ | 46,054 | |||||
| 85,395 | ||||||||
|
PHARMACEUTICALS — 5.7%
|
||||||||
|
Abbott Laboratories
|
4,828 | 331,007 | ||||||
|
Allergan, Inc.
|
950 | 87,001 | ||||||
|
Bristol-Myers
Squibb Co.
|
5,201 | 175,534 | ||||||
|
Eli Lilly & Co.
|
3,097 | 146,829 | ||||||
|
Endo Pharmaceuticals Holdings, Inc. (a)
|
329 | 10,436 | ||||||
|
Forest Laboratories, Inc. (a)
|
787 | 28,025 | ||||||
|
Hospira, Inc. (a)(b)
|
501 | 16,443 | ||||||
|
Johnson & Johnson (b)
|
8,512 | 586,562 | ||||||
|
Merck & Co., Inc.
|
9,490 | 427,999 | ||||||
|
Mylan, Inc. (a)
|
1,324 | 32,305 | ||||||
|
Perrigo Co. (b)
|
271 | 31,482 | ||||||
|
Pfizer, Inc.
|
23,121 | 574,557 | ||||||
|
Warner Chilcott PLC (Class A)
|
554 | 7,479 | ||||||
|
Watson Pharmaceuticals, Inc. (a)
|
418 | 35,597 | ||||||
| 2,491,256 | ||||||||
|
PROFESSIONAL SERVICES — 0.3%
|
||||||||
|
Dun & Bradstreet Corp. (b)
|
130 | 10,351 | ||||||
|
Equifax, Inc.
|
409 | 19,051 | ||||||
|
IHS, Inc. (Class A) (a)
|
148 | 14,408 | ||||||
|
Manpower, Inc.
|
244 | 8,979 | ||||||
|
Nielsen Holdings NV (a)(b)
|
385 | 11,542 | ||||||
|
Robert Half International, Inc. (b)
|
448 | 11,930 | ||||||
|
Towers Watson & Co. (Class A) (b)
|
182 | 9,655 | ||||||
|
Verisk Analytics, Inc. (Class A) (a)
|
472 | 22,472 | ||||||
| 108,388 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 2.7%
|
||||||||
|
Alexandria Real Estate Equities, Inc. (b)
|
176 | 12,939 | ||||||
|
American Campus Communities, Inc.
|
300 | 13,164 | ||||||
|
American Capital Agency Corp.
|
1,098 | 37,980 | ||||||
|
American Tower Corp.
|
1,245 | 88,881 | ||||||
|
Annaly Capital Management, Inc. (b)
|
2,994 | 50,419 | ||||||
|
AvalonBay Communities, Inc. (b)
|
311 | 42,293 | ||||||
|
Boston Properties, Inc. (b)
|
458 | 50,659 | ||||||
|
BRE Properties, Inc.
|
231 | 10,832 | ||||||
|
Camden Property Trust (b)
|
219 | 14,123 | ||||||
|
Chimera Investment Corp. (b)
|
3,129 | 8,480 | ||||||
|
DDR Corp. (b)
|
699 | 10,737 | ||||||
|
Digital Realty Trust, Inc.
|
415 | 28,988 | ||||||
|
Equity Residential
|
909 | 52,295 | ||||||
|
Essex Property Trust, Inc. (b)
|
104 | 15,417 | ||||||
|
Federal Realty Investment Trust (b)
|
180 | 18,954 | ||||||
|
General Growth Properties, Inc. (b)
|
1,240 | 24,155 | ||||||
|
HCP, Inc.
|
1,350 | 60,048 | ||||||
|
Health Care REIT, Inc.
|
719 | 41,522 | ||||||
|
Host Hotels & Resorts, Inc. (b)
|
2,246 | 36,048 | ||||||
|
Kimco Realty Corp. (b)
|
1,292 | 26,189 | ||||||
|
Liberty Property Trust (b)
|
393 | 14,242 | ||||||
|
Piedmont Office Realty Trust, Inc. (Class A)
|
550 | 9,537 | ||||||
|
Plum Creek Timber Co., Inc. (b)
|
548 | 24,024 | ||||||
|
ProLogis (b)
|
1,450 | 50,793 | ||||||
|
Public Storage (b)
|
435 | 60,539 | ||||||
|
Rayonier, Inc. (b)
|
369 | 18,085 | ||||||
|
Realty Income Corp. (b)
|
394 | 16,111 | ||||||
|
Regency Centers Corp. (b)
|
301 | 14,668 | ||||||
|
Senior Housing Properties Trust (b)
|
500 | 10,890 | ||||||
|
Simon Property Group, Inc.
|
946 | 143,612 | ||||||
|
SL Green Realty Corp. (b)
|
250 | 20,017 | ||||||
|
Taubman Centers, Inc.
|
200 | 15,346 | ||||||
|
The Macerich Co. (b)
|
421 | 24,094 | ||||||
|
UDR, Inc. (b)
|
713 | 17,697 | ||||||
|
Ventas, Inc. (b)
|
897 | 55,838 | ||||||
|
Vornado Realty Trust
|
523 | 42,389 | ||||||
| 1,182,005 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.1%
|
||||||||
|
CBRE Group, Inc. (a)
|
989 | 18,207 | ||||||
|
Jones Lang LaSalle, Inc. (b)
|
130 | 9,926 | ||||||
| 28,133 | ||||||||
|
ROAD & RAIL — 0.8%
|
||||||||
|
CSX Corp.
|
3,305 | 68,579 | ||||||
|
Hertz Global Holdings, Inc. (a)(b)
|
768 | 10,545 | ||||||
|
J.B. Hunt Transport Services, Inc. (b)
|
271 | 14,103 | ||||||
|
Kansas City Southern
|
339 | 25,689 | ||||||
|
Norfolk Southern Corp.
|
1,027 | 65,348 | ||||||
|
Union Pacific Corp.
|
1,462 | 173,539 | ||||||
| 357,803 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 2.0% |
||||||||
|
Advanced Micro Devices, Inc. (a)(b)
|
1,741 | 5,867 | ||||||
|
Altera Corp.
|
1,044 | 35,480 | ||||||
|
Analog Devices, Inc. (b)
|
926 | 36,290 | ||||||
|
Applied Materials, Inc. (b)
|
4,054 | 45,263 | ||||||
|
Atmel Corp. (a)
|
1,377 | 7,243 | ||||||
|
Broadcom Corp. (Class A) (a)
|
1,621 | 56,054 | ||||||
|
Cree, Inc. (a)(b)
|
337 | 8,604 | ||||||
|
Intel Corp.
|
15,455 | 350,520 | ||||||
|
KLA-Tencor Corp.
|
550 | 26,238 | ||||||
|
Lam Research Corp. (a)
|
562 | 17,863 | ||||||
|
Linear Technology Corp.
|
652 | 20,766 | ||||||
|
LSI Corp. (a)(b)
|
1,752 | 12,106 | ||||||
|
Marvell Technology Group, Ltd.
|
1,501 | 13,734 | ||||||
|
Maxim Integrated Products, Inc. (b)
|
931 | 24,783 | ||||||
|
Microchip Technology, Inc. (b)
|
580 | 18,989 | ||||||
|
Micron Technology, Inc. (a)(b)
|
2,831 | 16,944 | ||||||
|
NVIDIA Corp. (a)(b)
|
1,900 | 25,346 | ||||||
|
ON Semiconductor Corp. (a)
|
1,266 | 7,811 | ||||||
|
Skyworks Solutions, Inc. (a)(b)
|
612 | 14,422 | ||||||
|
Texas Instruments, Inc.
|
3,547 | 97,720 | ||||||
|
Xilinx, Inc. (b)
|
782 | 26,127 | ||||||
| 868,170 | ||||||||
|
SOFTWARE — 3.7%
|
||||||||
|
Activision Blizzard, Inc.
|
1,304 | 14,709 | ||||||
|
Adobe Systems, Inc. (a)
|
1,560 | 50,638 | ||||||
|
Ansys, Inc. (a)(b)
|
289 | 21,213 | ||||||
|
Ariba, Inc. (a)
|
300 | 13,440 | ||||||
|
Autodesk, Inc. (a)
|
720 | 24,026 | ||||||
|
BMC Software, Inc. (a)
|
484 | 20,081 | ||||||
|
CA, Inc. (b)
|
1,089 | 28,058 | ||||||
|
Citrix Systems, Inc. (a)
|
572 | 43,798 | ||||||
|
Concur Technologies, Inc. (a)(b)
|
100 | 7,373 | ||||||
|
Electronic Arts, Inc. (a)(b)
|
1,006 | 12,766 | ||||||
|
Factset Research Systems, Inc. (b)
|
141 | 13,595 | ||||||
|
Fortinet, Inc. (a)
|
400 | 9,656 | ||||||
|
Informatica Corp. (a)(b)
|
359 | 12,497 | ||||||
|
Intuit, Inc. (b)
|
846 | 49,812 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
MICROS Systems, Inc. (a)(b)
|
200 | $ | 9,824 | |||||
|
Microsoft Corp.
|
23,330 | 694,767 | ||||||
|
NetSuite, Inc. (a)(b)
|
100 | 6,380 | ||||||
|
Nuance Communications, Inc. (a)(b)
|
676 | 16,826 | ||||||
|
Oracle Corp.
|
11,794 | 371,393 | ||||||
|
Red Hat, Inc. (a)(b)
|
601 | 34,221 | ||||||
|
Salesforce.com, Inc. (a)(b)
|
398 | 60,771 | ||||||
|
Solarwinds, Inc. (a)
|
200 | 11,148 | ||||||
|
Solera Holdings, Inc. (b)
|
217 | 9,520 | ||||||
|
Symantec Corp. (a)
|
2,212 | 39,816 | ||||||
|
Synopsys, Inc. (a)
|
443 | 14,628 | ||||||
|
TIBCO Software, Inc. (a)
|
523 | 15,810 | ||||||
|
VMware, Inc. (Class A) (a)(b)
|
255 | 24,669 | ||||||
| 1,631,435 | ||||||||
|
SPECIALTY RETAIL — 2.3%
|
||||||||
|
Abercrombie & Fitch Co. (Class A) (b)
|
271 | 9,192 | ||||||
|
Advance Auto Parts, Inc.
|
228 | 15,604 | ||||||
|
American Eagle Outfitters, Inc. (b)
|
566 | 11,931 | ||||||
|
AutoNation, Inc. (a)(b)
|
137 | 5,983 | ||||||
|
AutoZone, Inc. (a)(b)
|
116 | 42,882 | ||||||
|
Bed Bath & Beyond, Inc. (a)
|
670 | 42,210 | ||||||
|
Best Buy Co., Inc. (b)
|
938 | 16,124 | ||||||
|
CarMax, Inc. (a)(b)
|
698 | 19,754 | ||||||
|
Dick’s Sporting Goods, Inc. (b)
|
259 | 13,429 | ||||||
|
Foot Locker, Inc.
|
500 | 17,750 | ||||||
|
GNC Holdings, Inc. (Class A) (b)
|
200 | 7,794 | ||||||
|
Limited Brands, Inc. (b)
|
709 | 34,925 | ||||||
|
Lowe’s Cos., Inc.
|
3,519 | 106,415 | ||||||
|
O’Reilly Automotive, Inc. (a)(b)
|
363 | 30,354 | ||||||
|
PetSmart, Inc. (b)
|
350 | 24,143 | ||||||
|
Ross Stores, Inc.
|
646 | 41,732 | ||||||
|
Sally Beauty Holdings, Inc. (a)
|
400 | 10,036 | ||||||
|
Signet Jewelers, Ltd.
|
300 | 14,628 | ||||||
|
Staples, Inc. (b)
|
2,231 | 25,701 | ||||||
|
The Gap, Inc.
|
944 | 33,776 | ||||||
|
The Home Depot, Inc.
|
4,709 | 284,282 | ||||||
|
Tiffany & Co. (b)
|
394 | 24,381 | ||||||
|
TJX Cos., Inc.
|
2,280 | 102,121 | ||||||
|
Tractor Supply Co.
|
220 | 21,756 | ||||||
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
193 | 18,587 | ||||||
|
Urban Outfitters, Inc. (a)
|
352 | 13,221 | ||||||
|
Williams-Sonoma, Inc.
|
300 | 13,191 | ||||||
| 1,001,902 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.7%
|
||||||||
|
Coach, Inc. (b)
|
867 | 48,569 | ||||||
|
Fossil, Inc. (a)
|
165 | 13,975 | ||||||
|
Michael Kors Holdings Ltd. (a)
|
366 | 19,464 | ||||||
|
NIKE, Inc. (Class B)
|
1,147 | 108,862 | ||||||
|
PVH Corp.
|
184 | 17,244 | ||||||
|
Ralph Lauren Corp. (b)
|
181 | 27,373 | ||||||
|
Under Armour, Inc. (Class A) (a)(b)
|
200 | 11,166 | ||||||
|
V.F. Corp. (b)
|
274 | 43,665 | ||||||
| 290,318 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.1%
|
||||||||
|
Hudson City Bancorp, Inc.
|
1,552 | 12,354 | ||||||
|
New York Community Bancorp, Inc. (b)
|
1,291 | 18,281 | ||||||
|
People’s United Financial, Inc. (b)
|
1,123 | 13,633 | ||||||
|
TFS Financial Corp. (a)
|
299 | 2,712 | ||||||
| 46,980 | ||||||||
|
TOBACCO — 1.8%
|
||||||||
|
Altria Group, Inc.
|
6,292 | 210,090 | ||||||
|
Lorillard, Inc. (b)
|
420 | 48,909 | ||||||
|
Philip Morris International, Inc.
|
5,216 | 469,127 | ||||||
|
Reynolds American, Inc. (b)
|
1,065 | 46,157 | ||||||
| 774,283 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.2%
|
||||||||
|
Fastenal Co. (b)
|
801 | 34,435 | ||||||
|
MSC Industrial Direct Co., Inc. (Class A) (b)
|
137 | 9,242 | ||||||
|
W.W. Grainger, Inc. (b)
|
179 | 37,298 | ||||||
| 80,975 | ||||||||
|
WATER UTILITIES — 0.1%
|
||||||||
|
American Water Works Co., Inc.
|
524 | 19,419 | ||||||
|
Aqua America, Inc. (b)
|
423 | 10,474 | ||||||
| 29,893 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.4%
|
||||||||
|
Crown Castle International Corp. (a)(b)
|
941 | 60,318 | ||||||
|
MetroPCS Communications, Inc. (a)(b)
|
790 | 9,251 | ||||||
|
SBA Communications Corp. (Class A) (a)(b)
|
367 | 23,084 | ||||||
|
Sprint Nextel Corp. (a)
|
8,927 | 49,277 | ||||||
|
Telephone & Data Systems, Inc.
|
360 | 9,220 | ||||||
|
US Cellular Corp. (a)(b)
|
52 | 2,035 | ||||||
| 153,185 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $37,991,422)
|
43,638,822 | |||||||
|
RIGHTS — 0.0% (d)
|
||||||||
|
INTERNET & CATALOG
RETAIL — 0.0% (d)
|
||||||||
|
Liberty Ventures (expiring 10/9/12) (a)
(Cost $2) |
1 | 14 | ||||||
|
SHORT TERM INVESTMENTS — 14.1%
|
||||||||
|
MONEY MARKET FUNDS — 14.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (e)(f) |
5,879,127 | 5,879,127 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (f)(g) |
303,056 | 303,056 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $6,182,183)
|
6,182,183 | |||||||
|
TOTAL INVESTMENTS — 113.8% (h)
|
||||||||
|
(Cost $44,173,607)
|
49,821,019 | |||||||
|
OTHER ASSETS &
LIABILITIES — (13.8)% |
(6,059,183 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 43,761,836 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(e)
|
Investments of cash collateral for securities loaned. | |||||
|
(f)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
AEROSPACE & DEFENSE — 2.5%
|
||||||||
|
General Dynamics Corp.
|
6,891 | $ | 455,633 | |||||
|
Honeywell International, Inc.
|
16,442 | 982,410 | ||||||
|
Lockheed Martin Corp.
|
8,974 | 837,992 | ||||||
|
Precision Castparts Corp.
|
3,145 | 513,704 | ||||||
|
Raytheon Co.
|
6,434 | 367,767 | ||||||
|
Rockwell Collins, Inc. (a)
|
3,482 | 186,775 | ||||||
|
The Boeing Co.
|
14,045 | 977,813 | ||||||
|
United Technologies Corp.
|
20,238 | 1,584,433 | ||||||
| 5,906,527 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.9%
|
||||||||
|
C.H. Robinson Worldwide, Inc. (a)
|
5,448 | 318,981 | ||||||
|
Expeditors International of Washington, Inc.
|
4,981 | 181,109 | ||||||
|
United Parcel Service, Inc. (Class B)
|
24,035 | 1,720,185 | ||||||
| 2,220,275 | ||||||||
|
AUTO COMPONENTS — 0.1%
|
||||||||
|
BorgWarner, Inc. (a)(b)
|
2,960 | 204,566 | ||||||
|
AUTOMOBILES — 0.1%
|
||||||||
|
Harley-Davidson, Inc.
|
3,157 | 133,762 | ||||||
|
BEVERAGES — 4.0%
|
||||||||
|
Brown-Forman
Corp. (Class B)
|
5,039 | 328,795 | ||||||
|
Dr. Pepper Snapple Group, Inc. (a)
|
3,670 | 163,425 | ||||||
|
Monster Beverage Corp. (b)
|
5,074 | 274,808 | ||||||
|
PepsiCo, Inc.
|
52,060 | 3,684,286 | ||||||
|
The
Coca-Cola Co.
|
129,536 | 4,913,300 | ||||||
| 9,364,614 | ||||||||
|
BIOTECHNOLOGY — 2.9%
|
||||||||
|
Alexion Pharmaceuticals, Inc. (b)
|
6,467 | 739,825 | ||||||
|
Amgen, Inc.
|
25,753 | 2,171,493 | ||||||
|
Biogen Idec, Inc. (b)
|
7,923 | 1,182,349 | ||||||
|
Celgene Corp. (b)
|
14,407 | 1,100,695 | ||||||
|
Gilead Sciences, Inc. (b)
|
25,315 | 1,679,144 | ||||||
| 6,873,506 | ||||||||
|
BUILDING PRODUCTS — 0.0% (c)
|
||||||||
|
Masco Corp.
|
3,645 | 54,857 | ||||||
|
CAPITAL MARKETS — 0.8%
|
||||||||
|
BlackRock, Inc.
|
4,236 | 755,279 | ||||||
|
Franklin Resources, Inc. (a)
|
4,681 | 585,452 | ||||||
|
T. Rowe Price Group, Inc.
|
8,436 | 533,999 | ||||||
| 1,874,730 | ||||||||
|
CHEMICALS — 3.3%
|
||||||||
|
Air Products & Chemicals, Inc.
|
4,662 | 385,547 | ||||||
|
Airgas, Inc.
|
1,695 | 139,499 | ||||||
|
CF Industries Holdings, Inc.
|
2,145 | 476,705 | ||||||
|
E. I. du Pont de Nemours & Co.
|
21,170 | 1,064,216 | ||||||
|
Eastman Chemical Co.
|
2,514 | 143,323 | ||||||
|
Ecolab, Inc.
|
8,758 | 567,606 | ||||||
|
FMC Corp.
|
4,577 | 253,474 | ||||||
|
International Flavors & Fragrances, Inc.
|
2,718 | 161,938 | ||||||
|
LyondellBasell Industries NV
|
6,200 | 320,292 | ||||||
|
Monsanto Co.
|
17,801 | 1,620,247 | ||||||
|
PPG Industries, Inc.
|
5,111 | 586,947 | ||||||
|
Praxair, Inc.
|
10,013 | 1,040,151 | ||||||
|
Sigma-Aldrich
Corp. (a)
|
4,002 | 288,024 | ||||||
|
The Mosaic Co.
|
5,813 | 334,887 | ||||||
|
The
Sherwin-Williams Co.
|
2,899 | 431,690 | ||||||
| 7,814,546 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.2%
|
||||||||
|
Iron Mountain, Inc.
|
2,550 | 86,980 | ||||||
|
Stericycle, Inc. (a)(b)
|
2,878 | 260,517 | ||||||
|
The Adt Corp. (b)
|
1,800 | 64,800 | ||||||
| 412,297 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.7%
|
||||||||
|
F5 Networks, Inc. (b)
|
2,662 | 278,711 | ||||||
|
Juniper Networks, Inc. (b)
|
11,421 | 195,413 | ||||||
|
QUALCOMM, Inc.
|
56,942 | 3,558,306 | ||||||
| 4,032,430 | ||||||||
|
COMPUTERS & PERIPHERALS — 9.7%
|
||||||||
|
Apple, Inc.
|
31,358 | 20,923,939 | ||||||
|
EMC Corp. (b)
|
38,575 | 1,051,940 | ||||||
|
NetApp, Inc. (b)
|
12,162 | 399,887 | ||||||
|
SanDisk Corp. (b)
|
8,082 | 351,001 | ||||||
|
Seagate Technology PLC
|
3,450 | 106,950 | ||||||
| 22,833,717 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.1%
|
||||||||
|
Fluor Corp.
|
3,310 | 186,287 | ||||||
|
CONSUMER FINANCE — 0.5%
|
||||||||
|
American Express Co.
|
19,817 | 1,126,795 | ||||||
|
CONTAINERS & PACKAGING — 0.1%
|
||||||||
|
Ball Corp.
|
2,980 | 126,084 | ||||||
|
DISTRIBUTORS — 0.1%
|
||||||||
|
Genuine Parts Co.
|
3,548 | 216,534 | ||||||
|
DIVERSIFIED CONSUMER
SERVICES — 0.0% (c)
|
||||||||
|
Apollo Group, Inc. (a)(b)
|
3,529 | 102,518 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.2%
|
||||||||
|
IntercontinentalExchange, Inc. (b)
|
2,415 | 322,185 | ||||||
|
Moody’s Corp.
|
3,452 | 152,475 | ||||||
| 474,660 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 1.0%
|
||||||||
|
Verizon Communications, Inc.
|
51,475 | 2,345,716 | ||||||
|
ELECTRIC UTILITIES — 0.6%
|
||||||||
|
NextEra Energy, Inc.
|
8,186 | 575,722 | ||||||
|
Southern Co.
|
17,258 | 795,421 | ||||||
| 1,371,143 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.7%
|
||||||||
|
Cooper Industries PLC
|
3,155 | 236,814 | ||||||
|
Emerson Electric Co.
|
17,216 | 831,016 | ||||||
|
Rockwell Automation, Inc.
|
4,709 | 327,511 | ||||||
|
Roper Industries, Inc.
|
3,229 | 354,835 | ||||||
| 1,750,176 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.2% |
||||||||
|
Amphenol Corp. (Class A)
|
5,431 | 319,777 | ||||||
|
FLIR Systems, Inc.
|
3,925 | 78,402 | ||||||
| 398,179 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.7%
|
||||||||
|
Baker Hughes, Inc.
|
8,837 | 399,698 | ||||||
|
Cameron International Corp. (b)
|
8,268 | 463,587 | ||||||
|
Diamond Offshore Drilling, Inc.
|
2,304 | 151,626 | ||||||
|
Ensco PLC (Class A)
|
2,470 | 134,763 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
FMC Technologies, Inc. (b)
|
7,936 | $ | 367,437 | |||||
|
Halliburton Co.
|
17,957 | 604,971 | ||||||
|
Helmerich & Payne, Inc. (a)
|
3,481 | 165,730 | ||||||
|
National Oilwell Varco, Inc.
|
9,954 | 797,415 | ||||||
|
Schlumberger, Ltd.
|
44,346 | 3,207,546 | ||||||
| 6,292,773 | ||||||||
|
FOOD & STAPLES RETAILING — 1.6%
|
||||||||
|
Costco Wholesale Corp.
|
8,476 | 848,659 | ||||||
|
Wal-Mart
Stores, Inc.
|
35,371 | 2,610,380 | ||||||
|
Whole Foods Market, Inc.
|
4,340 | 422,716 | ||||||
| 3,881,755 | ||||||||
|
FOOD PRODUCTS — 1.8%
|
||||||||
|
Campbell Soup Co. (a)
|
3,235 | 112,643 | ||||||
|
General Mills, Inc.
|
14,381 | 573,083 | ||||||
|
H.J. Heinz Co. (a)
|
8,184 | 457,895 | ||||||
|
Hormel Foods Corp. (a)
|
2,035 | 59,503 | ||||||
|
Kellogg Co.
|
8,179 | 422,527 | ||||||
|
Kraft Foods, Inc. (Class A)
|
32,091 | 1,326,963 | ||||||
|
McCormick & Co., Inc.
|
3,111 | 193,006 | ||||||
|
Mead Johnson Nutrition Co.
|
6,810 | 499,037 | ||||||
|
The Hershey Co.
|
5,003 | 354,662 | ||||||
|
The J.M. Smucker Co.
|
2,169 | 187,250 | ||||||
| 4,186,569 | ||||||||
|
GAS UTILITIES — 0.1%
|
||||||||
|
ONEOK, Inc.
|
4,141 | 200,052 | ||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 2.7%
|
||||||||
|
Baxter International, Inc.
|
18,210 | 1,097,335 | ||||||
|
Becton, Dickinson and Co. (a)
|
6,715 | 527,530 | ||||||
|
C.R. Bard, Inc.
|
2,582 | 270,206 | ||||||
|
Covidien PLC
|
11,535 | 685,410 | ||||||
|
DENTSPLY International, Inc. (a)
|
2,848 | 108,623 | ||||||
|
Edwards Lifesciences Corp. (b)
|
3,867 | 415,200 | ||||||
|
Intuitive Surgical, Inc. (a)(b)
|
1,309 | 648,780 | ||||||
|
Medtronic, Inc.
|
22,293 | 961,274 | ||||||
|
St. Jude Medical, Inc.
|
10,486 | 441,775 | ||||||
|
Stryker Corp.
|
9,712 | 540,570 | ||||||
|
Varian Medical Systems, Inc. (a)(b)
|
3,683 | 222,158 | ||||||
|
Zimmer Holdings, Inc.
|
5,919 | 400,243 | ||||||
| 6,319,104 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.3%
|
||||||||
|
Aetna, Inc.
|
6,006 | 237,838 | ||||||
|
DaVita, Inc. (b)
|
2,842 | 294,460 | ||||||
|
Express Scripts Holding Co. (b)
|
27,141 | 1,700,926 | ||||||
|
Humana, Inc.
|
3,155 | 221,323 | ||||||
|
Laboratory Corp. of America Holdings (b)
|
3,241 | 299,695 | ||||||
|
Patterson Cos., Inc. (a)
|
1,540 | 52,730 | ||||||
|
Quest Diagnostics, Inc. (a)
|
5,243 | 332,564 | ||||||
|
UnitedHealth Group, Inc.
|
34,593 | 1,916,798 | ||||||
|
WellPoint, Inc.
|
5,615 | 325,726 | ||||||
| 5,382,060 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.2%
|
||||||||
|
Cerner Corp. (a)(b)
|
4,871 | 377,064 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 2.8%
|
||||||||
|
Chipotle Mexican Grill, Inc. (b)
|
1,045 | 331,829 | ||||||
|
Darden Restaurants, Inc. (a)
|
3,083 | 171,877 | ||||||
|
Marriott International, Inc. (Class A) (a)
|
3,567 | 139,470 | ||||||
|
McDonald’s Corp.
|
33,716 | 3,093,443 | ||||||
|
Starbucks Corp.
|
25,396 | 1,288,847 | ||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
|
3,849 | 223,088 | ||||||
|
Wynn Resorts, Ltd.
|
2,682 | 309,610 | ||||||
|
Yum! Brands, Inc.
|
15,247 | 1,011,486 | ||||||
| 6,569,650 | ||||||||
|
HOUSEHOLD DURABLES — 0.0% (c)
|
||||||||
|
Pulte Group, Inc. (b)
|
4,338 | 67,239 | ||||||
|
HOUSEHOLD PRODUCTS — 3.3%
|
||||||||
|
Colgate-Palmolive Co.
|
14,894 | 1,596,935 | ||||||
|
Kimberly-Clark Corp.
|
13,177 | 1,130,323 | ||||||
|
The Clorox Co. (a)
|
3,013 | 217,086 | ||||||
|
The Procter & Gamble Co.
|
69,086 | 4,791,805 | ||||||
| 7,736,149 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 1.0%
|
||||||||
|
3M Co.
|
16,399 | 1,515,596 | ||||||
|
Danaher Corp.
|
15,055 | 830,283 | ||||||
| 2,345,879 | ||||||||
|
INSURANCE — 0.8%
|
||||||||
|
Aflac, Inc.
|
15,632 | 748,460 | ||||||
|
Aon PLC
|
7,300 | 381,717 | ||||||
|
The Chubb Corp.
|
5,025 | 383,307 | ||||||
|
The Travelers Cos., Inc.
|
6,697 | 457,137 | ||||||
| 1,970,621 | ||||||||
|
INTERNET & CATALOG RETAIL — 1.9%
|
||||||||
|
Amazon.com, Inc. (b)
|
12,101 | 3,077,526 | ||||||
|
Expedia, Inc.
|
1,977 | 114,350 | ||||||
|
Netflix, Inc. (a)(b)
|
1,827 | 99,462 | ||||||
|
Priceline.com, Inc. (b)
|
1,667 | 1,031,423 | ||||||
|
TripAdvisor, Inc. (a)(b)
|
2,283 | 75,179 | ||||||
| 4,397,940 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 3.5%
|
||||||||
|
Akamai Technologies, Inc. (b)
|
5,922 | 226,576 | ||||||
|
eBay, Inc. (b)
|
25,247 | 1,222,207 | ||||||
|
Google, Inc. (Class A) (b)
|
8,861 | 6,685,625 | ||||||
|
VeriSign, Inc. (b)
|
2,541 | 123,721 | ||||||
| 8,258,129 | ||||||||
|
IT SERVICES — 6.5%
|
||||||||
|
Accenture PLC (Class A)
|
16,039 | 1,123,211 | ||||||
|
Automatic Data Processing, Inc.
|
16,130 | 946,186 | ||||||
|
Cognizant Technology Solutions Corp. (Class A) (b)
|
9,989 | 698,431 | ||||||
|
Fiserv, Inc. (b)
|
4,631 | 342,833 | ||||||
|
International Business Machines Corp.
|
35,966 | 7,461,147 | ||||||
|
Mastercard, Inc. (Class A)
|
3,612 | 1,630,746 | ||||||
|
Paychex, Inc.
|
5,378 | 179,033 | ||||||
|
Teradata Corp. (b)
|
5,576 | 420,486 | ||||||
|
The Western Union Co.
|
9,586 | 174,657 | ||||||
|
Visa, Inc. (Class A)
|
17,463 | 2,344,932 | ||||||
| 15,321,662 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.1%
|
||||||||
|
Hasbro, Inc. (a)
|
2,212 | 84,432 | ||||||
|
Mattel, Inc.
|
5,052 | 179,245 | ||||||
| 263,677 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.5%
|
||||||||
|
Agilent Technologies, Inc.
|
8,185 | $ | 314,713 | |||||
|
Life Technologies Corp. (b)
|
5,885 | 287,659 | ||||||
|
Thermo Fisher Scientific, Inc.
|
7,326 | 430,988 | ||||||
|
Waters Corp. (b)
|
2,926 | 243,824 | ||||||
| 1,277,184 | ||||||||
|
MACHINERY — 2.0%
|
||||||||
|
Caterpillar, Inc.
|
14,237 | 1,224,952 | ||||||
|
Cummins, Inc.
|
4,414 | 407,015 | ||||||
|
Deere & Co. (a)
|
13,172 | 1,086,558 | ||||||
|
Dover Corp. (a)
|
4,226 | 251,405 | ||||||
|
Flowserve Corp.
|
1,366 | 174,493 | ||||||
|
Illinois Tool Works, Inc. (a)
|
8,764 | 521,195 | ||||||
|
Joy Global, Inc.
|
3,454 | 193,631 | ||||||
|
Pall Corp.
|
3,808 | 241,770 | ||||||
|
Parker Hannifin Corp. (a)
|
3,233 | 270,214 | ||||||
|
Pentair, Inc. (b)
|
2,900 | 129,079 | ||||||
|
Snap-On, Inc.
|
1,037 | 74,529 | ||||||
|
Stanley Black & Decker, Inc.
|
3,120 | 237,900 | ||||||
| 4,812,741 | ||||||||
|
MEDIA — 1.6%
|
||||||||
|
DIRECTV (Class A) (b)
|
21,050 | 1,104,283 | ||||||
|
Discovery Communications, Inc. (Series A) (a)(b)
|
8,369 | 499,043 | ||||||
|
Omnicom Group, Inc. (a)
|
5,261 | 271,257 | ||||||
|
Scripps Networks Interactive, Inc. (Class A)
|
2,874 | 175,975 | ||||||
|
The
McGraw-Hill
Cos., Inc.
|
5,359 | 292,548 | ||||||
|
Time Warner Cable, Inc.
|
7,008 | 666,181 | ||||||
|
Viacom, Inc. (Class B)
|
15,884 | 851,224 | ||||||
| 3,860,511 | ||||||||
|
METALS & MINING — 0.5%
|
||||||||
|
Cliffs Natural Resources, Inc. (a)
|
4,742 | 185,554 | ||||||
|
Newmont Mining Corp.
|
16,570 | 928,086 | ||||||
| 1,113,640 | ||||||||
|
MULTI-UTILITIES — 0.4%
|
||||||||
|
Consolidated Edison, Inc.
|
5,124 | 306,876 | ||||||
|
Dominion Resources, Inc.
|
13,388 | 708,761 | ||||||
| 1,015,637 | ||||||||
|
MULTILINE RETAIL — 0.8%
|
||||||||
|
Big Lots, Inc. (b)
|
1,455 | 43,039 | ||||||
|
Dollar Tree, Inc. (b)
|
7,686 | 371,042 | ||||||
|
Family Dollar Stores, Inc.
|
3,251 | 215,541 | ||||||
|
Kohl’s Corp. (a)
|
4,710 | 241,246 | ||||||
|
Nordstrom, Inc.
|
3,846 | 212,222 | ||||||
|
Target Corp.
|
13,317 | 845,230 | ||||||
| 1,928,320 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 8.7%
|
||||||||
|
Anadarko Petroleum Corp.
|
8,206 | 573,763 | ||||||
|
Apache Corp.
|
9,137 | 790,076 | ||||||
|
Cabot Oil & Gas Corp.
|
6,959 | 312,459 | ||||||
|
Chevron Corp.
|
35,487 | 4,136,365 | ||||||
|
CONSOL Energy, Inc. (a)
|
5,362 | 161,128 | ||||||
|
EOG Resources, Inc.
|
9,053 | 1,014,389 | ||||||
|
EQT Corp.
|
2,911 | 171,749 | ||||||
|
Exxon Mobil Corp.
|
98,835 | 9,038,461 | ||||||
|
Kinder Morgan, Inc.
|
9,117 | 323,836 | ||||||
|
Newfield Exploration Co. (b)
|
3,002 | 94,023 | ||||||
|
Noble Energy, Inc.
|
3,711 | 344,047 | ||||||
|
Occidental Petroleum Corp.
|
19,477 | 1,676,191 | ||||||
|
Peabody Energy Corp.
|
8,956 | 199,629 | ||||||
|
Pioneer Natural Resources Co. (a)
|
4,138 | 432,007 | ||||||
|
Range Resources Corp. (a)
|
3,901 | 272,563 | ||||||
|
Southwestern Energy Co. (b)
|
11,489 | 399,587 | ||||||
|
Spectra Energy Corp.
|
9,793 | 287,522 | ||||||
|
The Williams Cos., Inc.
|
8,877 | 310,429 | ||||||
|
WPX Energy, Inc. (a)(b)
|
3,583 | 59,442 | ||||||
| 20,597,666 | ||||||||
|
PERSONAL PRODUCTS — 0.2%
|
||||||||
|
The Estee Lauder Cos., Inc. (Class A)
|
8,004 | 492,806 | ||||||
|
PHARMACEUTICALS — 7.3%
|
||||||||
|
Abbott Laboratories
|
52,483 | 3,598,234 | ||||||
|
Allergan, Inc.
|
10,245 | 938,237 | ||||||
|
Bristol-Myers
Squibb Co.
|
34,297 | 1,157,524 | ||||||
|
Eli Lilly & Co.
|
23,939 | 1,134,948 | ||||||
|
Johnson & Johnson (a)
|
92,197 | 6,353,295 | ||||||
|
Merck & Co., Inc.
|
66,246 | 2,987,695 | ||||||
|
Mylan, Inc. (b)
|
14,006 | 341,746 | ||||||
|
Perrigo Co. (a)
|
2,956 | 343,399 | ||||||
|
Watson Pharmaceuticals, Inc. (b)
|
4,243 | 361,334 | ||||||
| 17,216,412 | ||||||||
|
PROFESSIONAL SERVICES — 0.1%
|
||||||||
|
Dun & Bradstreet Corp. (a)
|
1,638 | 130,417 | ||||||
|
Equifax, Inc.
|
2,179 | 101,498 | ||||||
|
Robert Half International, Inc.
|
1,633 | 43,487 | ||||||
| 275,402 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 2.2%
|
||||||||
|
American Tower Corp.
|
13,245 | 945,560 | ||||||
|
Apartment Investment & Management Co.
(Class A) (a)
|
2,005 | 52,110 | ||||||
|
AvalonBay Communities, Inc. (a)
|
2,238 | 304,346 | ||||||
|
Boston Properties, Inc. (a)
|
2,696 | 298,204 | ||||||
|
Equity Residential
|
7,074 | 406,967 | ||||||
|
HCP, Inc.
|
6,358 | 282,804 | ||||||
|
Health Care REIT, Inc.
|
4,897 | 282,802 | ||||||
|
Plum Creek Timber Co., Inc. (a)
|
2,508 | 109,951 | ||||||
|
ProLogis
|
5,536 | 193,926 | ||||||
|
Public Storage
|
3,408 | 474,291 | ||||||
|
Simon Property Group, Inc.
|
6,718 | 1,019,860 | ||||||
|
Ventas, Inc. (a)
|
9,893 | 615,839 | ||||||
|
Vornado Realty Trust
|
3,016 | 244,447 | ||||||
| 5,231,107 | ||||||||
|
ROAD & RAIL — 1.2%
|
||||||||
|
CSX Corp.
|
16,301 | 338,246 | ||||||
|
Norfolk Southern Corp.
|
8,153 | 518,775 | ||||||
|
Union Pacific Corp.
|
15,842 | 1,880,446 | ||||||
| 2,737,467 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 2.2% |
||||||||
|
Altera Corp.
|
10,556 | 358,746 | ||||||
|
Analog Devices, Inc.
|
5,995 | 234,944 | ||||||
|
Broadcom Corp. (Class A) (b)
|
17,196 | 594,638 | ||||||
|
First Solar, Inc. (a)(b)
|
1,949 | 43,161 | ||||||
|
Intel Corp.
|
85,395 | 1,936,758 | ||||||
|
KLA-Tencor Corp.
|
5,477 | 261,280 | ||||||
|
Lam Research Corp. (b)
|
6,066 | 192,808 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Linear Technology Corp.
|
4,869 | $ | 155,078 | |||||
|
LSI Corp. (b)
|
8,958 | 61,900 | ||||||
|
Microchip Technology, Inc.
|
6,381 | 208,914 | ||||||
|
NVIDIA Corp. (b)
|
6,478 | 86,416 | ||||||
|
Teradyne, Inc. (a)(b)
|
3,848 | 54,718 | ||||||
|
Texas Instruments, Inc.
|
21,736 | 598,827 | ||||||
|
Xilinx, Inc. (a)
|
8,673 | 289,765 | ||||||
| 5,077,953 | ||||||||
|
SOFTWARE — 4.7%
|
||||||||
|
Adobe Systems, Inc. (b)
|
7,447 | 241,730 | ||||||
|
Autodesk, Inc. (b)
|
3,704 | 123,603 | ||||||
|
BMC Software, Inc. (b)
|
3,939 | 163,429 | ||||||
|
Citrix Systems, Inc. (b)
|
6,223 | 476,495 | ||||||
|
Electronic Arts, Inc. (b)
|
5,223 | 66,280 | ||||||
|
Intuit, Inc.
|
9,256 | 544,993 | ||||||
|
Microsoft Corp.
|
143,840 | 4,283,555 | ||||||
|
Oracle Corp.
|
127,374 | 4,011,007 | ||||||
|
Red Hat, Inc. (b)
|
6,429 | 366,067 | ||||||
|
Salesforce.com, Inc. (b)
|
4,306 | 657,483 | ||||||
|
Symantec Corp. (b)
|
9,925 | 178,650 | ||||||
| 11,113,292 | ||||||||
|
SPECIALTY RETAIL — 2.1%
|
||||||||
|
AutoZone, Inc. (b)
|
1,279 | 472,808 | ||||||
|
Bed Bath & Beyond, Inc. (b)
|
7,736 | 487,368 | ||||||
|
Limited Brands, Inc. (a)
|
5,602 | 275,954 | ||||||
|
O’Reilly Automotive, Inc. (a)(b)
|
3,980 | 332,808 | ||||||
|
Ross Stores, Inc.
|
7,422 | 479,461 | ||||||
|
The Home Depot, Inc.
|
23,361 | 1,410,303 | ||||||
|
Tiffany & Co.
|
3,975 | 245,973 | ||||||
|
TJX Cos., Inc.
|
24,615 | 1,102,506 | ||||||
|
Urban Outfitters, Inc. (b)
|
2,787 | 104,680 | ||||||
| 4,911,861 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 1.1%
|
||||||||
|
Coach, Inc. (a)
|
9,611 | 538,408 | ||||||
|
Fossil, Inc. (b)
|
1,800 | 152,460 | ||||||
|
NIKE, Inc. (Class B)
|
12,291 | 1,166,539 | ||||||
|
Ralph Lauren Corp.
|
2,068 | 312,744 | ||||||
|
V.F. Corp.
|
2,956 | 471,068 | ||||||
| 2,641,219 | ||||||||
|
TOBACCO — 2.7%
|
||||||||
|
Altria Group, Inc.
|
22,388 | 747,535 | ||||||
|
Lorillard, Inc.
|
2,927 | 340,849 | ||||||
|
Philip Morris International, Inc.
|
56,485 | 5,080,261 | ||||||
|
Reynolds American, Inc. (a)
|
6,146 | 266,368 | ||||||
| 6,435,013 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.3%
|
||||||||
|
Fastenal Co. (a)
|
6,410 | 275,566 | ||||||
|
W.W. Grainger, Inc. (a)
|
2,032 | 423,408 | ||||||
| 698,974 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.3%
|
||||||||
|
Crown Castle International Corp. (b)
|
9,803 | 628,372 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $179,050,276)
|
235,459,819 | |||||||
|
SHORT TERM INVESTMENTS — 4.7%
|
||||||||
|
MONEY MARKET FUNDS — 4.7%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
9,760,661 | 9,760,661 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
1,306,899 | 1,306,899 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $11,067,560)
|
11,067,560 | |||||||
|
TOTAL INVESTMENTS — 104.6% (g)
|
||||||||
|
(Cost $190,117,836)
|
246,527,379 | |||||||
|
OTHER ASSETS &
LIABILITIES — (4.6)% |
(10,759,458 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 235,767,921 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.7%
|
||||||||
|
AEROSPACE & DEFENSE — 1.9%
|
||||||||
|
General Dynamics Corp.
|
2,189 | $ | 144,737 | |||||
|
Honeywell International, Inc.
|
5,041 | 301,200 | ||||||
|
L-3
Communications Holdings, Inc.
|
1,748 | 125,349 | ||||||
|
Northrop Grumman Corp. (a)
|
4,376 | 290,698 | ||||||
|
Precision Castparts Corp.
|
896 | 146,353 | ||||||
|
Raytheon Co. (a)
|
2,505 | 143,186 | ||||||
|
Rockwell Collins, Inc. (a)
|
672 | 36,046 | ||||||
|
Textron, Inc. (a)
|
5,023 | 131,452 | ||||||
|
The Boeing Co.
|
4,567 | 317,954 | ||||||
|
United Technologies Corp.
|
4,136 | 323,807 | ||||||
| 1,960,782 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.5%
|
||||||||
|
Expeditors International of Washington, Inc.
|
1,032 | 37,523 | ||||||
|
FedEx Corp.
|
5,216 | 441,378 | ||||||
| 478,901 | ||||||||
|
AIRLINES — 0.1%
|
||||||||
|
Southwest Airlines Co.
|
13,213 | 115,878 | ||||||
|
AUTO COMPONENTS — 0.4%
|
||||||||
|
BorgWarner, Inc. (a)(b)
|
470 | 32,482 | ||||||
|
Johnson Controls, Inc. (a)
|
11,846 | 324,580 | ||||||
|
The Goodyear Tire & Rubber Co. (b)
|
4,504 | 54,904 | ||||||
| 411,966 | ||||||||
|
AUTOMOBILES — 0.7%
|
||||||||
|
Ford Motor Co.
|
67,046 | 661,074 | ||||||
|
Harley-Davidson,
Inc. (a)
|
2,369 | 100,374 | ||||||
| 761,448 | ||||||||
|
BEVERAGES — 0.6%
|
||||||||
|
Beam, Inc.
|
2,794 | 160,767 | ||||||
|
Coca-Cola
Enterprises, Inc. (a)
|
4,896 | 153,098 | ||||||
|
Constellation Brands, Inc. (Class A) (b)
|
2,716 | 87,863 | ||||||
|
Dr. Pepper Snapple Group, Inc. (a)
|
1,836 | 81,757 | ||||||
|
Molson Coors Brewing Co. (Class B) (a)
|
2,785 | 125,464 | ||||||
| 608,949 | ||||||||
|
BUILDING PRODUCTS — 0.1%
|
||||||||
|
Masco Corp. (a)
|
4,334 | 65,227 | ||||||
|
CAPITAL MARKETS — 3.0%
|
||||||||
|
Ameriprise Financial, Inc.
|
3,752 | 212,701 | ||||||
|
E*TRADE Financial Corp. (b)
|
4,697 | 41,381 | ||||||
|
Federated Investors, Inc. (Class B) (a)
|
1,617 | 33,456 | ||||||
|
Invesco, Ltd.
|
7,969 | 199,145 | ||||||
|
Legg Mason, Inc. (a)
|
2,236 | 55,184 | ||||||
|
Morgan Stanley
|
24,507 | 410,247 | ||||||
|
Northern Trust Corp. (a)
|
3,897 | 180,879 | ||||||
|
State Street Corp. (c)
|
8,498 | 356,576 | ||||||
|
The Bank of New York Mellon Corp.
|
20,943 | 473,731 | ||||||
|
The Charles Schwab Corp. (a)
|
18,775 | 240,132 | ||||||
|
The Goldman Sachs Group, Inc.
|
7,997 | 909,099 | ||||||
| 3,112,531 | ||||||||
|
CHEMICALS — 1.3%
|
||||||||
|
Air Products & Chemicals, Inc.
|
1,266 | 104,698 | ||||||
|
Airgas, Inc.
|
343 | 28,229 | ||||||
|
E. I. du Pont de Nemours & Co.
|
5,240 | 263,415 | ||||||
|
Eastman Chemical Co.
|
1,322 | 75,367 | ||||||
|
LyondellBasell Industries NV
|
2,700 | 139,482 | ||||||
|
The Dow Chemical Co. (a)
|
21,219 | 614,502 | ||||||
|
The Mosaic Co.
|
1,826 | 105,196 | ||||||
| 1,330,889 | ||||||||
|
COMMERCIAL BANKS — 6.3%
|
||||||||
|
BB&T Corp.
|
12,190 | 404,220 | ||||||
|
Comerica, Inc. (a)
|
3,554 | 110,352 | ||||||
|
Fifth Third Bancorp (a)
|
16,040 | 248,780 | ||||||
|
First Horizon National Corp. (a)
|
4,220 | 40,639 | ||||||
|
Huntington Bancshares, Inc.
|
15,026 | 103,679 | ||||||
|
Keycorp
|
16,613 | 145,198 | ||||||
|
M&T Bank Corp.
|
2,119 | 201,644 | ||||||
|
PNC Financial Services Group, Inc.
|
9,280 | 585,568 | ||||||
|
Regions Financial Corp.
|
25,058 | 180,668 | ||||||
|
SunTrust Banks, Inc. (a)
|
9,405 | 265,879 | ||||||
|
U.S. Bancorp
|
33,616 | 1,153,029 | ||||||
|
Wells Fargo & Co.
|
87,036 | 3,005,353 | ||||||
|
Zions Bancorporation
|
3,233 | 66,778 | ||||||
| 6,511,787 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 1.1%
|
||||||||
|
Avery Dennison Corp. (a)
|
1,852 | 58,931 | ||||||
|
Cintas Corp. (a)
|
1,925 | 79,791 | ||||||
|
Iron Mountain, Inc.
|
1,425 | 48,607 | ||||||
|
Pitney Bowes, Inc. (a)
|
3,687 | 50,954 | ||||||
|
R.R. Donnelley & Sons Co. (a)
|
3,225 | 34,185 | ||||||
|
Republic Services, Inc.
|
5,318 | 146,298 | ||||||
|
Tyco International, Ltd.
|
8,157 | 458,913 | ||||||
|
Waste Management, Inc. (a)
|
7,754 | 248,748 | ||||||
| 1,126,427 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 2.2%
|
||||||||
|
Cisco Systems, Inc.
|
93,936 | 1,793,238 | ||||||
|
Harris Corp. (a)
|
2,049 | 104,950 | ||||||
|
JDS Uniphase Corp. (b)
|
4,042 | 50,060 | ||||||
|
Juniper Networks, Inc. (b)
|
3,124 | 53,452 | ||||||
|
Motorola Solutions, Inc.
|
5,161 | 260,888 | ||||||
| 2,262,588 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.5%
|
||||||||
|
Dell, Inc.
|
26,079 | 257,139 | ||||||
|
EMC Corp. (b)
|
16,580 | 452,137 | ||||||
|
Hewlett-Packard
Co. (a)
|
34,660 | 591,300 | ||||||
|
Seagate Technology PLC
|
4,500 | 139,500 | ||||||
|
Western Digital Corp.
|
3,976 | 153,990 | ||||||
| 1,594,066 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.2%
|
||||||||
|
Fluor Corp.
|
1,232 | 69,337 | ||||||
|
Jacobs Engineering Group, Inc. (a)(b)
|
2,311 | 93,434 | ||||||
|
Quanta Services, Inc. (b)
|
3,759 | 92,847 | ||||||
| 255,618 | ||||||||
|
CONSTRUCTION MATERIALS — 0.1%
|
||||||||
|
Vulcan Materials Co. (a)
|
2,336 | 110,493 | ||||||
|
CONSUMER FINANCE — 1.4%
|
||||||||
|
American Express Co.
|
7,056 | 401,204 | ||||||
|
Capital One Financial Corp.
|
10,189 | 580,875 | ||||||
|
Discover Financial Services
|
9,223 | 366,430 | ||||||
|
SLM Corp.
|
8,284 | 130,224 | ||||||
| 1,478,733 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
CONTAINERS & PACKAGING — 0.2%
|
||||||||
|
Ball Corp.
|
1,276 | $ | 53,988 | |||||
|
Bemis Co., Inc. (a)
|
1,881 | 59,195 | ||||||
|
Owens-Illinois,
Inc. (b)
|
3,019 | 56,636 | ||||||
|
Sealed Air Corp.
|
3,071 | 47,478 | ||||||
| 217,297 | ||||||||
|
DISTRIBUTORS — 0.0% (d)
|
||||||||
|
Genuine Parts Co.
|
788 | 48,092 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.1%
|
||||||||
|
H&R Block, Inc. (a)
|
4,777 | 82,785 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 6.5%
|
||||||||
|
Bank of America Corp.
|
191,054 | 1,687,007 | ||||||
|
Citigroup, Inc.
|
51,997 | 1,701,342 | ||||||
|
CME Group, Inc. (a)
|
5,405 | 309,706 | ||||||
|
JPMorgan Chase & Co.
|
67,327 | 2,725,397 | ||||||
|
Leucadia National Corp. (a)
|
3,414 | 77,669 | ||||||
|
Moody’s Corp. (a)
|
1,614 | 71,290 | ||||||
|
NYSE Euronext
|
4,422 | 109,002 | ||||||
|
The NASDAQ OMX Group, Inc.
|
2,142 | 49,898 | ||||||
| 6,731,311 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 5.3%
|
||||||||
|
AT&T, Inc.
|
102,245 | 3,854,637 | ||||||
|
CenturyLink, Inc.
|
10,981 | 443,632 | ||||||
|
Frontier Communications Corp. (a)
|
17,364 | 85,084 | ||||||
|
Verizon Communications, Inc.
|
23,185 | 1,056,540 | ||||||
|
Windstream Corp. (a)
|
10,143 | 102,546 | ||||||
| 5,542,439 | ||||||||
|
ELECTRIC UTILITIES — 3.8%
|
||||||||
|
American Electric Power Co., Inc.
|
8,430 | 370,414 | ||||||
|
Duke Energy Corp.
|
12,368 | 801,447 | ||||||
|
Edison International
|
5,686 | 259,793 | ||||||
|
Entergy Corp.
|
3,128 | 216,770 | ||||||
|
Exelon Corp.
|
15,042 | 535,194 | ||||||
|
FirstEnergy Corp. (a)
|
7,354 | 324,312 | ||||||
|
NextEra Energy, Inc.
|
3,113 | 218,937 | ||||||
|
Northeast Utilities
|
5,467 | 209,004 | ||||||
|
Pepco Holdings, Inc. (a)
|
3,967 | 74,976 | ||||||
|
Pinnacle West Capital Corp. (a)
|
1,969 | 103,963 | ||||||
|
PPL Corp. (a)
|
10,099 | 293,376 | ||||||
|
Southern Co.
|
6,307 | 290,690 | ||||||
|
Xcel Energy, Inc. (a)
|
8,501 | 235,563 | ||||||
| 3,934,439 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.3%
|
||||||||
|
Cooper Industries PLC
|
1,064 | 79,864 | ||||||
|
Emerson Electric Co.
|
3,766 | 181,785 | ||||||
| 261,649 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.7% |
||||||||
|
Corning, Inc. (a)
|
26,482 | 348,238 | ||||||
|
FLIR Systems, Inc.
|
638 | 12,744 | ||||||
|
Jabil Circuit, Inc.
|
3,323 | 62,207 | ||||||
|
Molex, Inc. (a)
|
2,414 | 63,440 | ||||||
|
TE Connectivity, Ltd.
|
7,424 | 252,490 | ||||||
| 739,119 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 1.0%
|
||||||||
|
Baker Hughes, Inc. (a)
|
3,028 | 136,956 | ||||||
|
Ensco PLC (Class A) (a)
|
2,800 | 152,768 | ||||||
|
Halliburton Co.
|
6,778 | 228,351 | ||||||
|
Nabors Industries, Ltd. (b)
|
5,185 | 72,746 | ||||||
|
National Oilwell Varco, Inc.
|
2,206 | 176,723 | ||||||
|
Noble Corp. (b)
|
4,398 | 157,360 | ||||||
|
Rowan Cos. PLC (b)
|
2,077 | 70,140 | ||||||
| 995,044 | ||||||||
|
FOOD & STAPLES RETAILING — 3.3%
|
||||||||
|
Costco Wholesale Corp.
|
3,074 | 307,784 | ||||||
|
CVS Caremark Corp.
|
22,456 | 1,087,320 | ||||||
|
Safeway, Inc. (a)
|
4,243 | 68,270 | ||||||
|
Sysco Corp. (a)
|
10,347 | 323,551 | ||||||
|
The Kroger Co. (a)
|
9,675 | 227,749 | ||||||
|
Wal-Mart
Stores, Inc.
|
11,043 | 814,973 | ||||||
|
Walgreen Co.
|
15,027 | 547,584 | ||||||
|
Whole Foods Market, Inc. (a)
|
750 | 73,050 | ||||||
| 3,450,281 | ||||||||
|
FOOD PRODUCTS — 1.6%
|
||||||||
|
Archer-Daniels-Midland Co.
|
11,569 | 314,445 | ||||||
|
Campbell Soup Co. (a)
|
1,419 | 49,410 | ||||||
|
ConAgra Foods, Inc.
|
7,214 | 199,034 | ||||||
|
Dean Foods Co. (b)
|
3,231 | 52,827 | ||||||
|
General Mills, Inc.
|
3,685 | 146,847 | ||||||
|
H.J. Heinz Co. (a)
|
1,338 | 74,861 | ||||||
|
Hormel Foods Corp. (a)
|
1,350 | 39,474 | ||||||
|
Kraft Foods, Inc. (Class A)
|
14,382 | 594,696 | ||||||
|
McCormick & Co., Inc. (a)
|
677 | 42,001 | ||||||
|
The J.M. Smucker Co. (a)
|
830 | 71,654 | ||||||
|
Tyson Foods, Inc. (Class A)
|
5,246 | 84,041 | ||||||
| 1,669,290 | ||||||||
|
GAS UTILITIES — 0.1%
|
||||||||
|
AGL Resources, Inc.
|
2,138 | 87,466 | ||||||
|
ONEOK, Inc.
|
1,376 | 66,474 | ||||||
| 153,940 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 0.7%
|
||||||||
|
Boston Scientific Corp. (b)
|
25,383 | 145,698 | ||||||
|
CareFusion Corp. (b)
|
3,879 | 110,125 | ||||||
|
Covidien PLC
|
2,396 | 142,370 | ||||||
|
DENTSPLY International, Inc. (a)
|
920 | 35,089 | ||||||
|
Medtronic, Inc.
|
6,313 | 272,217 | ||||||
| 705,499 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 1.5%
|
||||||||
|
Aetna, Inc. (a)
|
2,813 | 111,395 | ||||||
|
AmerisourceBergen Corp. (a)
|
4,390 | 169,937 | ||||||
|
Cardinal Health, Inc.
|
6,061 | 236,197 | ||||||
|
CIGNA Corp.
|
4,972 | 234,529 | ||||||
|
Coventry Health Care, Inc.
|
2,322 | 96,804 | ||||||
|
Humana, Inc.
|
1,178 | 82,637 | ||||||
|
McKesson Corp.
|
4,176 | 359,261 | ||||||
|
Patterson Cos., Inc. (a)
|
828 | 28,351 | ||||||
|
Tenet Healthcare Corp. (a)(b)
|
7,244 | 45,420 | ||||||
|
WellPoint, Inc. (a)
|
2,894 | 167,881 | ||||||
| 1,532,412 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 0.7%
|
||||||||
|
Carnival Corp.
|
7,852 | 286,127 | ||||||
|
Darden Restaurants, Inc.
|
694 | 38,690 | ||||||
|
International Game Technology
|
4,742 | 62,073 | ||||||
|
Marriott International, Inc. (Class A) (a)
|
2,666 | 104,241 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
|
1,400 | $ | 81,144 | |||||
|
Wyndham Worldwide Corp.
|
2,564 | 134,559 | ||||||
| 706,834 | ||||||||
|
HOUSEHOLD DURABLES — 0.6%
|
||||||||
|
D.R. Horton, Inc. (a)
|
4,880 | 100,723 | ||||||
|
Harman International Industries, Inc. (a)
|
1,237 | 57,100 | ||||||
|
Leggett & Platt, Inc. (a)
|
2,526 | 63,276 | ||||||
|
Lennar Corp. (Class A) (a)
|
2,778 | 96,591 | ||||||
|
Newell Rubbermaid, Inc.
|
5,261 | 100,433 | ||||||
|
Pulte Group, Inc. (b)
|
3,570 | 55,335 | ||||||
|
Whirlpool Corp. (a)
|
1,362 | 112,923 | ||||||
| 586,381 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.9%
|
||||||||
|
The Clorox Co. (a)
|
716 | 51,588 | ||||||
|
The Procter & Gamble Co.
|
12,163 | 843,626 | ||||||
| 895,214 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.2% |
||||||||
|
NRG Energy, Inc. (a)
|
4,021 | 86,009 | ||||||
|
The AES Corp. (b)
|
11,037 | 121,076 | ||||||
| 207,085 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 4.5%
|
||||||||
|
3M Co.
|
2,600 | 240,292 | ||||||
|
Danaher Corp. (a)
|
2,319 | 127,893 | ||||||
|
General Electric Co.
|
187,205 | 4,251,425 | ||||||
| 4,619,610 | ||||||||
|
INSURANCE — 7.3%
|
||||||||
|
ACE, Ltd.
|
5,903 | 446,267 | ||||||
|
American International Group, Inc. (b)
|
20,454 | 670,687 | ||||||
|
Aon PLC
|
1,903 | 99,508 | ||||||
|
Assurant, Inc. (a)
|
1,404 | 52,369 | ||||||
|
Berkshire Hathaway, Inc. (Class B) (b)
|
32,469 | 2,863,766 | ||||||
|
Cincinnati Financial Corp.
|
2,559 | 96,960 | ||||||
|
Genworth Financial, Inc. (Class A) (a)(b)
|
8,982 | 46,976 | ||||||
|
Hartford Financial Services Group, Inc.
|
7,745 | 150,563 | ||||||
|
Lincoln National Corp. (a)
|
5,040 | 121,917 | ||||||
|
Loews Corp.
|
5,361 | 221,195 | ||||||
|
Marsh & McLennan Cos., Inc.
|
9,558 | 324,303 | ||||||
|
MetLife, Inc. (a)
|
18,659 | 642,989 | ||||||
|
Principal Financial Group, Inc. (a)
|
4,877 | 131,386 | ||||||
|
Prudential Financial, Inc.
|
8,213 | 447,691 | ||||||
|
The Allstate Corp.
|
8,661 | 343,062 | ||||||
|
The Chubb Corp.
|
2,069 | 157,823 | ||||||
|
The Progressive Corp. (a)
|
9,966 | 206,695 | ||||||
|
The Travelers Cos., Inc. (a)
|
3,323 | 226,828 | ||||||
|
Torchmark Corp.
|
1,694 | 86,987 | ||||||
|
Unum Group
|
5,037 | 96,811 | ||||||
|
XL Group PLC
|
5,522 | 132,694 | ||||||
| 7,567,477 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.1%
|
||||||||
|
Expedia, Inc.
|
638 | 36,902 | ||||||
|
TripAdvisor, Inc. (a)(b)
|
616 | 20,285 | ||||||
| 57,187 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 0.7%
|
||||||||
|
eBay, Inc. (b)
|
7,054 | 341,484 | ||||||
|
VeriSign, Inc. (a)(b)
|
1,455 | 70,844 | ||||||
|
Yahoo!, Inc. (b)
|
18,430 | 294,419 | ||||||
| 706,747 | ||||||||
|
IT SERVICES — 0.7%
|
||||||||
|
Accenture PLC (Class A)
|
2,844 | 199,165 | ||||||
|
Computer Sciences Corp.
|
2,764 | 89,029 | ||||||
|
Fidelity National Information Services, Inc.
|
4,223 | 131,842 | ||||||
|
Paychex, Inc. (a)
|
2,716 | 90,416 | ||||||
|
SAIC, Inc.
|
4,834 | 58,201 | ||||||
|
The Western Union Co. (a)
|
5,722 | 104,255 | ||||||
|
Total System Services, Inc.
|
2,807 | 66,526 | ||||||
| 739,434 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.1%
|
||||||||
|
Hasbro, Inc. (a)
|
862 | 32,902 | ||||||
|
Mattel, Inc. (a)
|
3,214 | 114,033 | ||||||
| 146,935 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.3%
|
||||||||
|
Agilent Technologies, Inc.
|
1,814 | 69,748 | ||||||
|
PerkinElmer, Inc.
|
1,951 | 57,496 | ||||||
|
Thermo Fisher Scientific, Inc.
|
2,550 | 150,017 | ||||||
| 277,261 | ||||||||
|
MACHINERY — 1.7%
|
||||||||
|
Caterpillar, Inc.
|
4,017 | 345,622 | ||||||
|
Cummins, Inc.
|
762 | 70,264 | ||||||
|
Dover Corp. (a)
|
1,002 | 59,609 | ||||||
|
Eaton Corp. (a)
|
5,902 | 278,928 | ||||||
|
Flowserve Corp.
|
224 | 28,614 | ||||||
|
Illinois Tool Works, Inc. (a)
|
2,957 | 175,853 | ||||||
|
Ingersoll-Rand PLC
|
5,040 | 225,893 | ||||||
|
PACCAR, Inc.
|
6,228 | 249,276 | ||||||
|
Parker Hannifin Corp.
|
972 | 81,240 | ||||||
|
Pentair, Inc. (b)
|
200 | 8,902 | ||||||
|
Snap-On, Inc.
|
430 | 30,904 | ||||||
|
Stanley Black & Decker, Inc.
|
1,389 | 105,911 | ||||||
|
Xylem, Inc.
|
3,186 | 80,128 | ||||||
| 1,741,144 | ||||||||
|
MEDIA — 5.8%
|
||||||||
|
Cablevision Systems Corp. (Class A) (a)
|
3,918 | 62,100 | ||||||
|
CBS Corp.
|
10,563 | 383,754 | ||||||
|
Comcast Corp. (Class A)
|
47,252 | 1,690,204 | ||||||
|
Gannett Co., Inc. (a)
|
4,316 | 76,609 | ||||||
|
News Corp. (Class A)
|
36,089 | 885,263 | ||||||
|
Omnicom Group, Inc. (a)
|
2,024 | 104,358 | ||||||
|
The Interpublic Group of Cos., Inc. (a)
|
7,760 | 86,291 | ||||||
|
The
McGraw-Hill
Cos., Inc.
|
1,987 | 108,470 | ||||||
|
The Walt Disney Co. (a)
|
31,832 | 1,664,177 | ||||||
|
The Washington Post Co. (Class B) (a)
|
75 | 27,227 | ||||||
|
Time Warner Cable, Inc.
|
1,786 | 169,777 | ||||||
|
Time Warner, Inc.
|
16,914 | 766,712 | ||||||
| 6,024,942 | ||||||||
|
METALS & MINING — 1.1%
|
||||||||
|
Alcoa, Inc.
|
18,897 | 167,239 | ||||||
|
Allegheny Technologies, Inc.
|
1,836 | 58,568 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
|
16,872 | $ | 667,794 | |||||
|
Nucor Corp. (a)
|
5,493 | 210,162 | ||||||
|
Titanium Metals Corp. (a)
|
1,470 | 18,860 | ||||||
|
United States Steel Corp. (a)
|
2,523 | 48,114 | ||||||
| 1,170,737 | ||||||||
|
MULTI-UTILITIES — 2.2%
|
||||||||
|
Ameren Corp.
|
4,257 | 139,076 | ||||||
|
CenterPoint Energy, Inc. (a)
|
7,467 | 159,047 | ||||||
|
CMS Energy Corp.
|
4,621 | 108,825 | ||||||
|
Consolidated Edison, Inc.
|
2,412 | 144,455 | ||||||
|
Dominion Resources, Inc.
|
3,008 | 159,243 | ||||||
|
DTE Energy Co. (a)
|
3,036 | 181,978 | ||||||
|
Integrys Energy Group, Inc.
|
1,387 | 72,401 | ||||||
|
NiSource, Inc.
|
4,921 | 125,387 | ||||||
|
PG&E Corp.
|
7,437 | 317,337 | ||||||
|
Public Service Enterprise Group, Inc.
|
8,859 | 285,083 | ||||||
|
SCANA Corp. (a)
|
2,374 | 114,593 | ||||||
|
Sempra Energy (a)
|
4,008 | 258,476 | ||||||
|
TECO Energy, Inc. (a)
|
3,571 | 63,349 | ||||||
|
Wisconsin Energy Corp. (a)
|
4,052 | 152,639 | ||||||
| 2,281,889 | ||||||||
|
MULTILINE RETAIL — 0.7%
|
||||||||
|
Big Lots, Inc. (a)(b)
|
373 | 11,033 | ||||||
|
J.C. Penney Co., Inc. (a)
|
2,591 | 62,935 | ||||||
|
Kohl’s Corp.
|
1,289 | 66,023 | ||||||
|
Macy’s, Inc.
|
7,177 | 269,999 | ||||||
|
Nordstrom, Inc.
|
672 | 37,081 | ||||||
|
Target Corp.
|
4,526 | 287,265 | ||||||
| 734,336 | ||||||||
|
OFFICE ELECTRONICS — 0.2%
|
||||||||
|
Xerox Corp.
|
23,177 | 170,119 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 10.1%
|
||||||||
|
Alpha Natural Resources, Inc. (a)(b)
|
3,874 | 25,452 | ||||||
|
Anadarko Petroleum Corp.
|
4,429 | 309,676 | ||||||
|
Apache Corp.
|
2,035 | 175,967 | ||||||
|
Chesapeake Energy Corp. (a)
|
9,244 | 174,434 | ||||||
|
Chevron Corp.
|
15,964 | 1,860,764 | ||||||
|
ConocoPhillips
|
21,483 | 1,228,398 | ||||||
|
CONSOL Energy, Inc. (a)
|
1,142 | 34,317 | ||||||
|
Denbury Resources, Inc. (b)
|
7,008 | 113,249 | ||||||
|
Devon Energy Corp.
|
6,701 | 405,411 | ||||||
|
EQT Corp.
|
1,061 | 62,599 | ||||||
|
Exxon Mobil Corp.
|
29,445 | 2,692,745 | ||||||
|
Hess Corp.
|
5,300 | 284,716 | ||||||
|
Kinder Morgan, Inc.
|
5,200 | 184,704 | ||||||
|
Marathon Oil Corp.
|
12,420 | 367,259 | ||||||
|
Marathon Petroleum Corp.
|
6,015 | 328,359 | ||||||
|
Murphy Oil Corp.
|
3,270 | 175,566 | ||||||
|
Newfield Exploration Co. (b)
|
728 | 22,801 | ||||||
|
Noble Energy, Inc. (a)
|
1,164 | 107,914 | ||||||
|
Occidental Petroleum Corp.
|
4,029 | 346,736 | ||||||
|
Phillips 66
|
10,991 | 509,653 | ||||||
|
QEP Resources, Inc.
|
3,222 | 102,009 | ||||||
|
Range Resources Corp. (a)
|
759 | 53,031 | ||||||
|
Spectra Energy Corp.
|
6,262 | 183,852 | ||||||
|
Sunoco, Inc. (a)
|
1,900 | 88,977 | ||||||
|
Tesoro Corp.
|
2,369 | 99,261 | ||||||
|
The Williams Cos., Inc.
|
6,314 | 220,801 | ||||||
|
Valero Energy Corp.
|
9,658 | 305,965 | ||||||
|
WPX Energy, Inc. (a)(b)
|
1,431 | 23,740 | ||||||
| 10,488,356 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.6%
|
||||||||
|
International Paper Co. (a)
|
7,579 | 275,269 | ||||||
|
MeadWestvaco Corp. (a)
|
2,911 | 89,077 | ||||||
|
Weyerhaeuser Co.
|
9,518 | 248,800 | ||||||
| 613,146 | ||||||||
|
PERSONAL PRODUCTS — 0.1%
|
||||||||
|
Avon Products, Inc. (a)
|
7,558 | 120,550 | ||||||
|
PHARMACEUTICALS — 4.9%
|
||||||||
|
Bristol-Myers
Squibb Co.
|
11,536 | 389,340 | ||||||
|
Eli Lilly & Co.
|
5,308 | 251,652 | ||||||
|
Forest Laboratories, Inc. (b)
|
4,162 | 148,209 | ||||||
|
Hospira, Inc. (a)(b)
|
2,900 | 95,178 | ||||||
|
Merck & Co., Inc.
|
18,941 | 854,239 | ||||||
|
Pfizer, Inc.
|
132,402 | 3,290,190 | ||||||
| 5,028,808 | ||||||||
|
PROFESSIONAL SERVICES — 0.1%
|
||||||||
|
Equifax, Inc.
|
945 | 44,018 | ||||||
|
Robert Half International, Inc.
|
1,719 | 45,777 | ||||||
| 89,795 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 1.6%
|
||||||||
|
Apartment Investment & Management Co.
(Class A) (a)
|
1,523 | 39,583 | ||||||
|
AvalonBay Communities, Inc. (a)
|
504 | 68,539 | ||||||
|
Boston Properties, Inc. (a)
|
1,255 | 138,816 | ||||||
|
Equity Residential
|
1,534 | 88,251 | ||||||
|
HCP, Inc.
|
4,150 | 184,592 | ||||||
|
Health Care REIT, Inc.
|
1,713 | 98,926 | ||||||
|
Host Hotels & Resorts, Inc. (a)
|
12,616 | 202,487 | ||||||
|
Kimco Realty Corp. (a)
|
7,121 | 144,343 | ||||||
|
Plum Creek Timber Co., Inc.
|
1,470 | 64,445 | ||||||
|
ProLogis
|
5,049 | 176,866 | ||||||
|
Public Storage (a)
|
718 | 99,924 | ||||||
|
Simon Property Group, Inc.
|
1,814 | 275,383 | ||||||
|
Vornado Realty Trust
|
1,430 | 115,901 | ||||||
| 1,698,056 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.1%
|
||||||||
|
CBRE Group, Inc. (b)
|
5,322 | 97,978 | ||||||
|
ROAD & RAIL — 0.3%
|
||||||||
|
CSX Corp.
|
9,703 | 201,337 | ||||||
|
Norfolk Southern Corp.
|
1,321 | 84,055 | ||||||
|
Ryder Systems, Inc. (a)
|
940 | 36,717 | ||||||
| 322,109 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 1.8% |
||||||||
|
Advanced Micro Devices, Inc. (a)(b)
|
10,187 | 34,330 | ||||||
|
Analog Devices, Inc.
|
2,060 | 80,731 | ||||||
|
Applied Materials, Inc.
|
21,890 | 244,402 | ||||||
|
Intel Corp.
|
43,408 | 984,493 | ||||||
|
Linear Technology Corp.
|
1,422 | 45,291 | ||||||
|
LSI Corp. (b)
|
4,613 | 31,876 | ||||||
|
Micron Technology, Inc. (a)(b)
|
17,222 | 103,074 | ||||||
|
NVIDIA Corp. (b)
|
7,212 | 96,208 | ||||||
|
Teradyne, Inc. (a)(b)
|
1,331 | 18,927 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Texas Instruments, Inc.
|
8,544 | $ | 235,387 | |||||
| 1,874,719 | ||||||||
|
SOFTWARE — 2.2%
|
||||||||
|
Adobe Systems, Inc. (b)
|
4,595 | 149,154 | ||||||
|
Autodesk, Inc. (a)(b)
|
2,060 | 68,742 | ||||||
|
BMC Software, Inc. (b)
|
650 | 26,968 | ||||||
|
CA, Inc.
|
6,065 | 156,265 | ||||||
|
Electronic Arts, Inc. (a)(b)
|
2,901 | 36,814 | ||||||
|
Microsoft Corp.
|
57,488 | 1,711,993 | ||||||
|
Symantec Corp. (b)
|
7,458 | 134,244 | ||||||
| 2,284,180 | ||||||||
|
SPECIALTY RETAIL — 2.1%
|
||||||||
|
Abercrombie & Fitch Co. (Class A) (a)
|
1,500 | 50,880 | ||||||
|
AutoNation, Inc. (a)(b)
|
708 | 30,918 | ||||||
|
Best Buy Co., Inc. (a)
|
4,834 | 83,096 | ||||||
|
CarMax, Inc. (a)(b)
|
3,986 | 112,804 | ||||||
|
GameStop Corp. (Class A) (a)
|
2,286 | 48,006 | ||||||
|
Limited Brands, Inc. (a)
|
1,288 | 63,447 | ||||||
|
Lowe’s Cos., Inc.
|
20,258 | 612,602 | ||||||
|
Staples, Inc.
|
12,229 | 140,878 | ||||||
|
The Gap, Inc.
|
5,242 | 187,559 | ||||||
|
The Home Depot, Inc.
|
14,481 | 874,218 | ||||||
|
Urban Outfitters, Inc. (a)(b)
|
470 | 17,653 | ||||||
| 2,222,061 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.1%
|
||||||||
|
Hudson City Bancorp, Inc.
|
8,423 | 67,047 | ||||||
|
People’s United Financial, Inc. (a)
|
6,104 | 74,103 | ||||||
| 141,150 | ||||||||
|
TOBACCO — 1.0%
|
||||||||
|
Altria Group, Inc.
|
23,978 | 800,626 | ||||||
|
Lorillard, Inc.
|
687 | 80,001 | ||||||
|
Reynolds American, Inc. (a)
|
2,656 | 115,111 | ||||||
| 995,738 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.1%
|
||||||||
|
Fastenal Co. (a)
|
1,456 | 62,593 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.3%
|
||||||||
|
MetroPCS Communications, Inc. (b)
|
5,084 | 59,533 | ||||||
|
Sprint Nextel Corp. (b)
|
52,534 | 289,988 | ||||||
| 349,521 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $105,313,576)
|
103,271,972 | |||||||
|
SHORT TERM INVESTMENTS — 9.3%
|
||||||||
|
MONEY MARKET FUNDS — 9.3%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (e)(f) |
8,858,296 | 8,858,296 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (f)(g) |
810,839 | 810,839 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $9,669,135)
|
9,669,135 | |||||||
|
TOTAL INVESTMENTS — 109.0% (h)
|
||||||||
|
(Cost $114,982,711)
|
112,941,107 | |||||||
|
OTHER ASSETS &
LIABILITIES — (9.0)% |
(9,335,260 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 103,605,847 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(e)
|
Investments of cash collateral for securities loaned. | |||||
|
(f)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
AEROSPACE & DEFENSE — 1.0%
|
||||||||
|
BE Aerospace, Inc. (a)
|
4,612 | $ | 194,165 | |||||
|
Spirit Aerosystems Holdings, Inc. (Class A) (a)
|
4,971 | 110,406 | ||||||
|
TransDigm Group, Inc. (a)
|
2,003 | 284,166 | ||||||
|
Triumph Group, Inc.
|
2,210 | 138,191 | ||||||
| 726,928 | ||||||||
|
AIRLINES — 0.4%
|
||||||||
|
United Continental Holdings, Inc. (a)
|
14,764 | 287,898 | ||||||
|
AUTO COMPONENTS — 1.0%
|
||||||||
|
Allison Transmission Holdings, Inc. (b)
|
1,400 | 28,168 | ||||||
|
Gentex Corp. (b)
|
6,296 | 107,095 | ||||||
|
Lear Corp.
|
4,462 | 168,619 | ||||||
|
The Goodyear Tire & Rubber Co. (a)
|
10,979 | 133,834 | ||||||
|
TRW Automotive Holdings Corp. (a)
|
4,549 | 198,837 | ||||||
|
Visteon Corp. (a)
|
2,377 | 105,681 | ||||||
| 742,234 | ||||||||
|
AUTOMOBILES — 0.1%
|
||||||||
|
Tesla Motors, Inc. (a)(b)
|
3,000 | 87,840 | ||||||
|
BEVERAGES — 0.3%
|
||||||||
|
Constellation Brands, Inc. (Class A) (a)
|
6,540 | 211,569 | ||||||
|
BIOTECHNOLOGY — 1.8%
|
||||||||
|
ARIAD Pharmaceuticals, Inc. (a)
|
7,400 | 179,265 | ||||||
|
BioMarin Pharmaceutical, Inc. (a)(b)
|
5,479 | 220,639 | ||||||
|
Cubist Pharmaceuticals, Inc. (a)(b)
|
2,800 | 133,504 | ||||||
|
Medivation, Inc. (a)
|
3,300 | 185,988 | ||||||
|
Onyx Pharmaceuticals, Inc. (a)
|
2,933 | 247,839 | ||||||
|
Pharmacyclics, Inc. (a)
|
2,200 | 141,900 | ||||||
|
Seattle Genetics, Inc. (a)(b)
|
4,600 | 123,970 | ||||||
|
United Therapeutics Corp. (a)
|
2,151 | 120,198 | ||||||
| 1,353,303 | ||||||||
|
BUILDING PRODUCTS — 1.0%
|
||||||||
|
Armstrong World Industries, Inc. (b)
|
980 | 45,443 | ||||||
|
Fortune Brands Home & Security, Inc. (a)
|
7,200 | 194,472 | ||||||
|
Lennox International, Inc. (b)
|
2,030 | 98,171 | ||||||
|
Masco Corp.
|
15,868 | 238,813 | ||||||
|
Owens Corning, Inc. (a)(b)
|
5,300 | 177,338 | ||||||
| 754,237 | ||||||||
|
CAPITAL MARKETS — 1.8%
|
||||||||
|
Affiliated Managers Group, Inc. (a)
|
2,286 | 281,178 | ||||||
|
E*TRADE Financial Corp. (a)
|
11,687 | 102,962 | ||||||
|
Eaton Vance Corp. (b)
|
5,132 | 148,623 | ||||||
|
Federated Investors, Inc. (Class B) (b)
|
4,155 | 85,967 | ||||||
|
Jefferies Group, Inc.
|
5,691 | 77,910 | ||||||
|
Legg Mason, Inc. (b)
|
5,315 | 131,174 | ||||||
|
LPL Investment Holdings, Inc.
|
1,595 | 45,521 | ||||||
|
Raymond James Financial, Inc.
|
4,990 | 182,884 | ||||||
|
SEI Investments Co.
|
5,993 | 128,550 | ||||||
|
Waddell & Reed Financial, Inc. (Class A) (b)
|
3,808 | 124,788 | ||||||
| 1,309,557 | ||||||||
|
CHEMICALS — 3.1%
|
||||||||
|
Airgas, Inc.
|
3,114 | 256,282 | ||||||
|
Albemarle Corp.
|
4,015 | 211,510 | ||||||
|
Ashland, Inc.
|
3,224 | 230,838 | ||||||
|
Cabot Corp.
|
2,600 | 95,082 | ||||||
|
Cytec Industries, Inc.
|
2,098 | 137,461 | ||||||
|
Huntsman Corp.
|
8,574 | 128,010 | ||||||
|
International Flavors & Fragrances, Inc.
|
3,641 | 216,931 | ||||||
|
Kronos Worldwide, Inc. (b)
|
862 | 12,878 | ||||||
|
NewMarket Corp. (b)
|
481 | 118,557 | ||||||
|
Rockwood Holdings, Inc.
|
3,423 | 159,512 | ||||||
|
RPM International, Inc.
|
5,797 | 165,446 | ||||||
|
The Scotts
Miracle-Gro
Co. (Class A)
|
1,722 | 74,855 | ||||||
|
Tronox Ltd. (Class A)
|
1,170 | 26,501 | ||||||
|
Valhi, Inc.
|
900 | 10,980 | ||||||
|
Valspar Corp.
|
3,720 | 208,692 | ||||||
|
W.R. Grace & Co. (a)
|
3,103 | 183,325 | ||||||
|
Westlake Chemical Corp.
|
877 | 64,074 | ||||||
| 2,300,934 | ||||||||
|
COMMERCIAL BANKS — 2.9%
|
||||||||
|
Associated
Banc-Corp. (b)
|
7,663 | 100,922 | ||||||
|
Bank of Hawaii Corp. (b)
|
1,968 | 89,780 | ||||||
|
BankUnited, Inc.
|
2,026 | 49,860 | ||||||
|
BOK Financial Corp. (b)
|
1,179 | 69,679 | ||||||
|
City National Corp. (b)
|
2,066 | 106,420 | ||||||
|
Commerce Bancshares, Inc.
|
3,365 | 135,710 | ||||||
|
Cullen/Frost Bankers, Inc. (b)
|
2,760 | 158,507 | ||||||
|
East West Bancorp, Inc.
|
6,353 | 134,175 | ||||||
|
First Citizens BancShares, Inc. (Class A)
|
252 | 41,051 | ||||||
|
First Horizon National Corp. (b)
|
11,030 | 106,219 | ||||||
|
First Niagara Financial Group, Inc.
|
15,526 | 125,605 | ||||||
|
First Republic Bank
|
3,015 | 103,897 | ||||||
|
Fulton Financial Corp.
|
9,049 | 89,223 | ||||||
|
Hancock Holding Co. (b)
|
3,812 | 117,981 | ||||||
|
Huntington Bancshares, Inc.
|
38,271 | 264,070 | ||||||
|
Prosperity Bancshares, Inc. (b)
|
1,946 | 82,938 | ||||||
|
Signature Bank (a)
|
2,047 | 137,313 | ||||||
|
Valley National Bancorp (b)
|
8,647 | 86,643 | ||||||
|
Zions Bancorporation
|
8,076 | 166,810 | ||||||
| 2,166,803 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 2.1%
|
||||||||
|
Avery Dennison Corp.
|
4,522 | 143,890 | ||||||
|
Cintas Corp.
|
4,791 | 198,587 | ||||||
|
Clean Harbors, Inc. (a)
|
2,053 | 100,289 | ||||||
|
Copart, Inc. (a)
|
4,774 | 132,383 | ||||||
|
Corrections Corp. of America
|
4,491 | 150,224 | ||||||
|
Covanta Holding Corp.
|
5,962 | 102,308 | ||||||
|
Iron Mountain, Inc.
|
6,769 | 230,891 | ||||||
|
KAR Auction Services, Inc. (a)
|
3,542 | 69,919 | ||||||
|
Pitney Bowes, Inc. (b)
|
8,959 | 123,813 | ||||||
|
R.R. Donnelley & Sons Co. (b)
|
8,019 | 85,001 | ||||||
|
Rollins, Inc.
|
2,930 | 68,533 | ||||||
|
Waste Connections, Inc. (b)
|
5,513 | 166,768 | ||||||
| 1,572,606 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.1%
|
||||||||
|
Brocade Communications Systems, Inc. (a)
|
20,555 | 121,583 | ||||||
|
EchoStar Corp. (Class A) (a)
|
1,811 | 51,903 | ||||||
|
Harris Corp.
|
5,000 | 256,100 | ||||||
|
JDS Uniphase Corp. (a)
|
10,369 | 128,420 | ||||||
|
Palo Alto Networks, Inc. (a)(b)
|
300 | 18,471 | ||||||
|
Polycom, Inc. (a)
|
7,897 | 77,944 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Riverbed Technology, Inc. (a)
|
6,856 | $ | 159,539 | |||||
| 813,960 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.3%
|
||||||||
|
Diebold, Inc.
|
2,809 | 94,691 | ||||||
|
NCR Corp. (a)
|
6,992 | 162,984 | ||||||
| 257,675 | ||||||||
|
CONSTRUCTION & ENGINEERING — 1.5%
|
||||||||
|
Aecom Technology Corp. (a)
|
5,024 | 106,308 | ||||||
|
Foster Wheeler AG (a)
|
4,766 | 114,193 | ||||||
|
Jacobs Engineering Group, Inc. (a)
|
5,799 | 234,454 | ||||||
|
KBR, Inc.
|
6,605 | 196,961 | ||||||
|
Quanta Services, Inc. (a)
|
9,509 | 234,872 | ||||||
|
The Shaw Group, Inc. (a)
|
2,961 | 129,159 | ||||||
|
URS Corp.
|
3,381 | 119,383 | ||||||
| 1,135,330 | ||||||||
|
CONSTRUCTION MATERIALS — 0.6%
|
||||||||
|
Martin Marietta Materials, Inc. (b)
|
2,030 | 168,226 | ||||||
|
Vulcan Materials Co.
|
5,721 | 270,603 | ||||||
| 438,829 | ||||||||
|
CONTAINERS & PACKAGING — 1.7%
|
||||||||
|
AptarGroup, Inc.
|
2,924 | 151,200 | ||||||
|
Bemis Co., Inc.
|
4,651 | 146,367 | ||||||
|
Greif, Inc. (Class A)
|
1,380 | 60,968 | ||||||
|
Owens-Illinois,
Inc. (a)
|
7,403 | 138,880 | ||||||
|
Packaging Corp. of America
|
4,380 | 158,994 | ||||||
|
Rock-Tenn
Co. (Class A)
|
3,187 | 230,038 | ||||||
|
Sealed Air Corp. (b)
|
7,910 | 122,289 | ||||||
|
Silgan Holdings, Inc.
|
2,144 | 93,285 | ||||||
|
Sonoco Products Co.
|
4,423 | 137,069 | ||||||
| 1,239,090 | ||||||||
|
DISTRIBUTORS — 0.3%
|
||||||||
|
LKQ Corp. (a)
|
13,268 | 245,458 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.8%
|
||||||||
|
Apollo Group, Inc. (a)
|
4,500 | 130,725 | ||||||
|
H&R Block, Inc. (b)
|
12,132 | 210,248 | ||||||
|
Service Corp. International (b)
|
9,624 | 129,539 | ||||||
|
Sotheby’s (b)
|
2,981 | 93,901 | ||||||
|
Weight Watchers International, Inc. (b)
|
1,144 | 60,403 | ||||||
| 624,816 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.6%
|
||||||||
|
CBOE Holdings, Inc. (b)
|
3,844 | 113,091 | ||||||
|
MSCI, Inc. (Class A) (a)
|
5,398 | 193,194 | ||||||
|
The NASDAQ OMX Group, Inc.
|
5,246 | 122,206 | ||||||
| 428,491 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.8%
|
||||||||
|
Frontier Communications Corp. (b)
|
44,300 | 217,070 | ||||||
|
Level 3 Communications, Inc. (a)
|
7,157 | 164,396 | ||||||
|
tw telecom, Inc. (a)(b)
|
6,722 | 175,243 | ||||||
| 556,709 | ||||||||
|
ELECTRIC UTILITIES — 2.3%
|
||||||||
|
Cleco Corp.
|
2,669 | 112,045 | ||||||
|
Great Plains Energy, Inc.
|
6,787 | 151,079 | ||||||
|
Hawaiian Electric Industries, Inc.
|
4,229 | 111,265 | ||||||
|
IDACORP, Inc.
|
2,199 | 95,151 | ||||||
|
ITC Holdings Corp. (b)
|
2,302 | 173,985 | ||||||
|
NV Energy, Inc.
|
10,526 | 189,573 | ||||||
|
OGE Energy Corp.
|
4,342 | 240,807 | ||||||
|
Pepco Holdings, Inc. (b)
|
10,179 | 192,383 | ||||||
|
Pinnacle West Capital Corp.
|
4,849 | 256,027 | ||||||
|
Westar Energy, Inc. (b)
|
5,587 | 165,710 | ||||||
| 1,688,025 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.8%
|
||||||||
|
Acuity Brands, Inc.
|
1,885 | 119,302 | ||||||
|
Hubbell, Inc. (Class B)
|
2,414 | 194,906 | ||||||
|
Regal-Beloit Corp.
|
1,820 | 128,273 | ||||||
|
The Babcock & Wilcox Co. (a)
|
5,259 | 133,947 | ||||||
| 576,428 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 2.4% |
||||||||
|
Anixter International, Inc. (b)
|
1,230 | 70,676 | ||||||
|
Arrow Electronics, Inc. (a)
|
4,806 | 162,010 | ||||||
|
Avnet, Inc. (a)
|
6,337 | 184,343 | ||||||
|
AVX Corp.
|
2,304 | 22,095 | ||||||
|
Dolby Laboratories, Inc. (Class A) (a)(b)
|
2,256 | 73,884 | ||||||
|
FLIR Systems, Inc.
|
6,689 | 133,613 | ||||||
|
Ingram Micro, Inc. (Class A) (a)
|
6,656 | 101,371 | ||||||
|
IPG Photonics Corp. (a)(b)
|
1,301 | 74,547 | ||||||
|
Jabil Circuit, Inc.
|
8,351 | 156,331 | ||||||
|
Mettler-Toledo
International, Inc. (a)
|
1,385 | 236,475 | ||||||
|
Molex, Inc. (b)
|
6,145 | 161,491 | ||||||
|
National Instruments Corp.
|
4,173 | 105,034 | ||||||
|
Trimble Navigation, Ltd. (a)
|
5,574 | 265,657 | ||||||
| 1,747,527 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.9%
|
||||||||
|
Atwood Oceanics, Inc. (a)(b)
|
2,547 | 115,761 | ||||||
|
Dresser-Rand
Group, Inc. (a)
|
3,324 | 183,186 | ||||||
|
Dril-Quip,
Inc. (a)(b)
|
1,602 | 115,152 | ||||||
|
Helmerich & Payne, Inc.
|
4,688 | 223,196 | ||||||
|
McDermott International, Inc. (a)
|
10,518 | 128,530 | ||||||
|
Nabors Industries, Ltd. (a)
|
13,000 | 182,390 | ||||||
|
Oceaneering International, Inc.
|
4,838 | 267,299 | ||||||
|
Oil States International, Inc. (a)
|
2,460 | 195,472 | ||||||
|
Patterson-UTI
Energy, Inc. (b)
|
6,769 | 107,221 | ||||||
|
Rowan Cos. PLC (a)
|
5,568 | 188,031 | ||||||
|
RPC, Inc. (b)
|
2,980 | 35,432 | ||||||
|
SEACOR Holdings, Inc. (a)
|
897 | 74,774 | ||||||
|
Superior Energy Services, Inc. (a)
|
6,992 | 143,476 | ||||||
|
Tidewater, Inc.
|
2,255 | 109,435 | ||||||
|
Unit Corp. (a)
|
1,896 | 78,684 | ||||||
| 2,148,039 | ||||||||
|
FOOD & STAPLES RETAILING — 0.6%
|
||||||||
|
Safeway, Inc. (b)
|
10,700 | 172,163 | ||||||
|
The Fresh Market, Inc. (a)
|
1,800 | 107,964 | ||||||
|
United Natural Foods, Inc. (a)(b)
|
2,200 | 128,590 | ||||||
| 408,717 | ||||||||
|
FOOD PRODUCTS — 1.5%
|
||||||||
|
Dean Foods Co. (a)
|
8,214 | 134,299 | ||||||
|
Flowers Foods, Inc.
|
5,121 | 103,342 | ||||||
|
Green Mountain Coffee Roasters, Inc. (a)(b)
|
5,800 | 137,750 | ||||||
|
Hain Celestial Group, Inc. (a)(b)
|
2,000 | 126,000 | ||||||
|
Hillshire Brands Co.
|
5,300 | 141,934 | ||||||
|
Ingredion, Inc.
|
3,386 | 186,772 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Ralcorp Holdings, Inc. (a)
|
2,450 | $ | 178,850 | |||||
|
Smithfield Foods, Inc. (a)
|
6,001 | 117,919 | ||||||
| 1,126,866 | ||||||||
|
GAS UTILITIES — 1.4%
|
||||||||
|
AGL Resources, Inc.
|
5,199 | 212,691 | ||||||
|
Atmos Energy Corp.
|
4,059 | 145,271 | ||||||
|
National Fuel Gas Co. (b)
|
3,693 | 199,570 | ||||||
|
Piedmont Natural Gas Co., Inc.
|
3,239 | 105,203 | ||||||
|
Questar Corp.
|
7,859 | 159,773 | ||||||
|
UGI Corp.
|
5,028 | 159,639 | ||||||
|
WGL Holdings, Inc. (b)
|
2,271 | 91,408 | ||||||
| 1,073,555 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 2.1%
|
||||||||
|
DENTSPLY International, Inc. (b)
|
6,314 | 240,816 | ||||||
|
Hologic, Inc. (a)
|
11,712 | 237,051 | ||||||
|
IDEXX Laboratories, Inc. (a)(b)
|
2,440 | 242,414 | ||||||
|
ResMed, Inc. (b)
|
6,291 | 254,597 | ||||||
|
Sirona Dental Systems, Inc. (a)
|
2,500 | 142,400 | ||||||
|
STERIS Corp.
|
2,595 | 92,045 | ||||||
|
Teleflex, Inc. (b)
|
1,799 | 123,843 | ||||||
|
The Cooper Cos., Inc.
|
2,174 | 205,356 | ||||||
| 1,538,522 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.8%
|
||||||||
|
AMERIGROUP Corp. (a)
|
2,150 | 196,575 | ||||||
|
athenahealth, Inc. (a)
|
1,600 | 146,832 | ||||||
|
Brookdale Senior Living, Inc. (a)
|
4,329 | 100,519 | ||||||
|
Community Health Systems, Inc. (a)
|
4,079 | 118,862 | ||||||
|
Coventry Health Care, Inc.
|
5,918 | 246,721 | ||||||
|
Health Net, Inc. (a)
|
3,721 | 83,760 | ||||||
|
HMS Holdings Corp. (a)
|
3,800 | 127,034 | ||||||
|
LifePoint Hospitals, Inc. (a)(b)
|
2,167 | 92,704 | ||||||
|
MEDNAX, Inc. (a)(b)
|
2,191 | 163,120 | ||||||
|
Omnicare, Inc.
|
5,017 | 170,427 | ||||||
|
Owens & Minor, Inc. (b)
|
2,801 | 83,694 | ||||||
|
Patterson Cos., Inc.
|
3,748 | 128,332 | ||||||
|
Tenet Healthcare Corp. (a)
|
18,291 | 114,685 | ||||||
|
Universal Health Services, Inc. (Class B)
|
3,902 | 178,438 | ||||||
|
WellCare Health Plans, Inc. (a)
|
1,900 | 107,445 | ||||||
| 2,059,148 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.1%
|
||||||||
|
Allscripts Healthcare Solutions, Inc. (a)
|
7,629 | 94,829 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.6%
|
||||||||
|
Bally Technologies, Inc. (a)(b)
|
1,851 | 91,421 | ||||||
|
Brinker International, Inc.
|
3,310 | 116,843 | ||||||
|
Burger King Worldwide, Inc. (a)(b)
|
2,800 | 39,032 | ||||||
|
Choice Hotels International, Inc. (b)
|
1,239 | 39,636 | ||||||
|
Dunkin’ Brands Group, Inc.
|
3,254 | 95,001 | ||||||
|
International Game Technology
|
11,899 | 155,758 | ||||||
|
MGM Resorts International (a)
|
16,539 | 177,794 | ||||||
|
Panera Bread Co. (Class A) (a)
|
1,261 | 215,492 | ||||||
|
Penn National Gaming, Inc. (a)(b)
|
2,975 | 128,222 | ||||||
|
Six Flags Entertainment Corp.
|
2,400 | 141,120 | ||||||
| 1,200,319 | ||||||||
|
HOUSEHOLD DURABLES — 3.4%
|
||||||||
|
D.R. Horton, Inc. (b)
|
12,345 | 254,801 | ||||||
|
Harman International Industries, Inc. (b)
|
3,033 | 140,003 | ||||||
|
Jarden Corp. (b)
|
3,352 | 177,120 | ||||||
|
Leggett & Platt, Inc. (b)
|
6,224 | 155,911 | ||||||
|
Lennar Corp. (Class A) (b)
|
7,252 | 252,152 | ||||||
|
Mohawk Industries, Inc. (a)
|
2,580 | 206,452 | ||||||
|
Newell Rubbermaid, Inc.
|
12,904 | 246,337 | ||||||
|
NVR, Inc. (a)
|
216 | 182,412 | ||||||
|
Pulte Group, Inc. (a)
|
15,063 | 233,477 | ||||||
|
Tempur-Pedic
International, Inc. (a)
|
2,662 | 79,567 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
6,616 | 219,850 | ||||||
|
Tupperware Brands Corp.
|
2,431 | 130,277 | ||||||
|
Whirlpool Corp.
|
3,408 | 282,557 | ||||||
| 2,560,916 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.3%
|
||||||||
|
Energizer Holdings, Inc.
|
2,901 | 216,444 | ||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.4% |
||||||||
|
GenOn Energy, Inc. (a)
|
34,765 | 87,955 | ||||||
|
NRG Energy, Inc.
|
10,232 | 218,863 | ||||||
| 306,818 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.2%
|
||||||||
|
Carlisle Cos., Inc.
|
2,748 | 142,676 | ||||||
|
Seaboard Corp. (a)
|
14 | 31,642 | ||||||
| 174,318 | ||||||||
|
INSURANCE — 5.9%
|
||||||||
|
Alleghany Corp. (a)
|
750 | 258,705 | ||||||
|
Allied World Assurance Company Holdings, Ltd.
|
1,660 | 128,235 | ||||||
|
American Financial Group, Inc.
|
3,506 | 132,877 | ||||||
|
American National Insurance Co.
|
333 | 23,919 | ||||||
|
Arch Capital Group, Ltd. (a)
|
6,021 | 250,955 | ||||||
|
Arthur J. Gallagher & Co.
|
5,333 | 191,028 | ||||||
|
Aspen Insurance Holdings, Ltd.
|
3,197 | 97,477 | ||||||
|
Assurant, Inc.
|
3,569 | 133,124 | ||||||
|
Assured Guaranty, Ltd.
|
8,701 | 118,508 | ||||||
|
Axis Capital Holdings, Ltd.
|
5,260 | 183,679 | ||||||
|
Brown & Brown, Inc.
|
5,182 | 135,095 | ||||||
|
Cincinnati Financial Corp. (b)
|
6,499 | 246,247 | ||||||
|
Erie Indemnity Co. (Class A)
|
1,104 | 70,954 | ||||||
|
Everest Re Group, Ltd.
|
2,319 | 248,040 | ||||||
|
Fidelity National Financial, Inc. (Class A)
|
9,384 | 200,724 | ||||||
|
Genworth Financial, Inc. (Class A) (a)
|
21,572 | 112,822 | ||||||
|
HCC Insurance Holdings, Inc.
|
4,460 | 151,149 | ||||||
|
Markel Corp. (a)
|
407 | 186,606 | ||||||
|
Mercury General Corp.
|
1,576 | 60,912 | ||||||
|
Old Republic International Corp.
|
10,786 | 100,310 | ||||||
|
PartnerRe, Ltd.
|
2,824 | 209,767 | ||||||
|
ProAssurance Corp.
|
1,383 | 125,079 | ||||||
|
Reinsurance Group of America, Inc.
|
3,309 | 191,492 | ||||||
|
RenaissanceRe Holdings, Ltd.
|
2,284 | 175,959 | ||||||
|
Torchmark Corp.
|
4,235 | 217,467 | ||||||
|
Validus Holdings, Ltd.
|
4,196 | 142,286 | ||||||
|
W.R. Berkley Corp.
|
4,959 | 185,913 | ||||||
|
White Mountains Insurance Group, Ltd.
|
247 | 126,795 | ||||||
| 4,406,124 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.9%
|
||||||||
|
Expedia, Inc.
|
4,200 | 242,928 | ||||||
|
Groupon, Inc. (a)(b)
|
12,000 | 57,120 | ||||||
|
HomeAway, Inc. (a)
|
1,392 | 32,642 | ||||||
|
Netflix, Inc. (a)(b)
|
2,500 | 136,100 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
TripAdvisor, Inc. (a)
|
4,900 | $ | 161,357 | |||||
| 630,147 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 0.8%
|
||||||||
|
Akamai Technologies, Inc. (a)
|
7,933 | 303,517 | ||||||
|
AOL, Inc. (a)
|
4,000 | 140,920 | ||||||
|
IAC/InterActiveCorp.
|
3,565 | 185,594 | ||||||
| 630,031 | ||||||||
|
IT SERVICES — 2.9%
|
||||||||
|
Alliance Data Systems Corp. (a)(b)
|
2,238 | 317,684 | ||||||
|
Booz Allen Hamilton Holding Corp. (b)
|
1,788 | 24,764 | ||||||
|
Broadridge Financial Solutions, Inc.
|
5,511 | 128,572 | ||||||
|
Computer Sciences Corp.
|
6,979 | 224,794 | ||||||
|
DST Systems, Inc.
|
1,414 | 79,976 | ||||||
|
FleetCor Technologies, Inc. (a)
|
1,849 | 82,835 | ||||||
|
Gartner, Inc. (a)
|
4,207 | 193,901 | ||||||
|
Genpact, Ltd.
|
6,017 | 100,364 | ||||||
|
Global Payments, Inc.
|
3,488 | 145,903 | ||||||
|
Jack Henry & Associates, Inc.
|
3,880 | 147,052 | ||||||
|
Lender Processing Services, Inc.
|
3,744 | 104,420 | ||||||
|
NeuStar, Inc. (Class A) (a)
|
2,917 | 116,767 | ||||||
|
SAIC, Inc.
|
12,700 | 152,908 | ||||||
|
Total System Services, Inc.
|
7,212 | 170,924 | ||||||
|
Vantiv, Inc. (a)(b)
|
1,900 | 40,945 | ||||||
|
VeriFone Systems, Inc. (a)(b)
|
4,752 | 132,343 | ||||||
| 2,164,152 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.6%
|
||||||||
|
Hasbro, Inc. (b)
|
5,200 | 198,484 | ||||||
|
Polaris Industries, Inc.
|
2,788 | 225,466 | ||||||
| 423,950 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 1.2%
|
||||||||
|
Bio-Rad
Laboratories, Inc. (Class A) (a)
|
872 | 93,060 | ||||||
|
Bruker Corp. (a)(b)
|
4,063 | 53,185 | ||||||
|
Charles River Laboratories International, Inc. (a)
|
2,171 | 85,971 | ||||||
|
Covance, Inc. (a)
|
2,443 | 114,064 | ||||||
|
Illumina, Inc. (a)(b)
|
5,500 | 265,100 | ||||||
|
PerkinElmer, Inc.
|
5,075 | 149,560 | ||||||
|
Techne Corp.
|
1,534 | 110,356 | ||||||
| 871,296 | ||||||||
|
MACHINERY — 5.2%
|
||||||||
|
AGCO Corp. (a)
|
4,317 | 204,971 | ||||||
|
CLARCOR, Inc.
|
2,207 | 98,498 | ||||||
|
Colfax Corp. (a)(b)
|
3,000 | 110,010 | ||||||
|
Crane Co.
|
2,120 | 84,652 | ||||||
|
Donaldson Co., Inc. (b)
|
6,074 | 210,829 | ||||||
|
Gardner Denver, Inc.
|
2,135 | 128,975 | ||||||
|
Graco, Inc.
|
2,699 | 135,706 | ||||||
|
IDEX Corp.
|
3,735 | 156,011 | ||||||
|
Kennametal, Inc. (b)
|
3,511 | 130,188 | ||||||
|
Lincoln Electric Holdings, Inc. (b)
|
3,722 | 145,344 | ||||||
|
Nordson Corp.
|
2,536 | 148,660 | ||||||
|
Oshkosh Corp. (a)
|
3,982 | 109,226 | ||||||
|
Pall Corp.
|
5,156 | 327,354 | ||||||
|
Pentair, Inc. (a)
|
9,312 | 414,477 | ||||||
|
Sauer-Danfoss, Inc.
|
500 | 20,105 | ||||||
|
Snap-On, Inc.
|
2,569 | 184,634 | ||||||
|
SPX Corp.
|
2,250 | 147,173 | ||||||
|
Terex Corp. (a)(b)
|
4,875 | 110,078 | ||||||
|
Timken Co.
|
3,533 | 131,286 | ||||||
|
Trinity Industries, Inc.
|
3,500 | 104,895 | ||||||
|
Valmont Industries, Inc.
|
1,050 | 138,075 | ||||||
|
WABCO Holdings, Inc. (a)
|
2,860 | 164,936 | ||||||
|
Wabtec Corp.
|
2,155 | 173,025 | ||||||
|
Woodward, Inc. (b)
|
2,644 | 89,843 | ||||||
|
Xylem, Inc.
|
8,300 | 208,745 | ||||||
| 3,877,696 | ||||||||
|
MARINE — 0.2%
|
||||||||
|
Kirby Corp. (a)(b)
|
2,456 | 135,768 | ||||||
|
MEDIA — 1.6%
|
||||||||
|
AMC Networks, Inc. (Class A) (a)
|
2,563 | 111,542 | ||||||
|
Cablevision Systems Corp. (Class A) (b)
|
9,600 | 152,160 | ||||||
|
Clear Channel Outdoor Holdings, Inc. (Class A) (a)(b)
|
1,802 | 10,776 | ||||||
|
Gannett Co., Inc. (b)
|
10,387 | 184,369 | ||||||
|
John Wiley & Sons, Inc. (Class A)
|
2,077 | 95,438 | ||||||
|
Lamar Advertising Co. (Class A) (a)
|
2,498 | 92,576 | ||||||
|
Morningstar, Inc.
|
1,038 | 65,020 | ||||||
|
Regal Entertainment Group (b)
|
3,483 | 49,006 | ||||||
|
The Interpublic Group of Cos., Inc.
|
19,647 | 218,475 | ||||||
|
The Madison Square Garden Co. (Class A) (a)
|
2,700 | 108,729 | ||||||
|
The Washington Post Co. (Class B)
|
203 | 73,695 | ||||||
| 1,161,786 | ||||||||
|
METALS & MINING — 1.8%
|
||||||||
|
Allegheny Technologies, Inc.
|
4,751 | 151,557 | ||||||
|
Allied Nevada Gold Corp. (a)(b)
|
3,615 | 141,202 | ||||||
|
Coeur d’Alene Mines Corp. (a)
|
4,023 | 115,983 | ||||||
|
Compass Minerals International, Inc. (b)
|
1,487 | 110,915 | ||||||
|
Reliance Steel & Aluminum Co.
|
3,326 | 174,116 | ||||||
|
Royal Gold, Inc. (b)
|
2,595 | 259,137 | ||||||
|
Steel Dynamics, Inc.
|
9,812 | 110,189 | ||||||
|
Titanium Metals Corp.
|
3,274 | 42,005 | ||||||
|
United States Steel Corp. (b)
|
6,407 | 122,182 | ||||||
|
Walter Energy, Inc.
|
2,753 | 89,362 | ||||||
| 1,316,648 | ||||||||
|
MULTI-UTILITIES — 2.3%
|
||||||||
|
Alliant Energy Corp.
|
4,937 | 214,217 | ||||||
|
CMS Energy Corp.
|
11,674 | 274,923 | ||||||
|
Integrys Energy Group, Inc.
|
3,445 | 179,829 | ||||||
|
MDU Resources Group, Inc. (b)
|
8,424 | 185,665 | ||||||
|
NiSource, Inc.
|
12,637 | 321,991 | ||||||
|
SCANA Corp. (b)
|
5,870 | 283,345 | ||||||
|
TECO Energy, Inc. (b)
|
8,918 | 158,205 | ||||||
|
Vectren Corp.
|
3,644 | 104,218 | ||||||
| 1,722,393 | ||||||||
|
MULTILINE RETAIL — 0.2%
|
||||||||
|
Big Lots, Inc. (a)
|
2,639 | 78,062 | ||||||
|
Dillard’s, Inc. (Class A)
|
1,363 | 98,572 | ||||||
| 176,634 | ||||||||
|
OFFICE ELECTRONICS — 0.1%
|
||||||||
|
Zebra Technologies Corp. (Class A) (a)
|
2,357 | 88,482 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 4.0%
|
||||||||
|
Berry Petroleum Co. (Class A) (b)
|
2,042 | 82,966 | ||||||
|
Cheniere Energy, Inc. (a)
|
9,600 | 149,280 | ||||||
|
Cimarex Energy Co.
|
3,800 | 222,490 | ||||||
|
Energen Corp.
|
3,247 | 170,175 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Laredo Petroleum Holdings, Inc. (a)(b)
|
1,000 | $ | 21,980 | |||||
|
Newfield Exploration Co. (a)
|
6,000 | 187,920 | ||||||
|
Oasis Petroleum, Inc. (a)
|
3,081 | 90,797 | ||||||
|
Plains Exploration & Production Co. (a)
|
5,800 | 217,326 | ||||||
|
QEP Resources, Inc.
|
7,900 | 250,114 | ||||||
|
Rosetta Resources, Inc. (a)(b)
|
2,400 | 114,960 | ||||||
|
SandRidge Energy, Inc. (a)(b)
|
15,562 | 108,467 | ||||||
|
SM Energy Co.
|
2,905 | 157,190 | ||||||
|
Sunoco, Inc. (b)
|
4,670 | 218,696 | ||||||
|
Teekay Corp.
|
1,630 | 50,856 | ||||||
|
Tesoro Corp.
|
6,234 | 261,205 | ||||||
|
Ultra Petroleum Corp. (a)(b)
|
6,800 | 149,464 | ||||||
|
Whiting Petroleum Corp. (a)
|
5,200 | 246,376 | ||||||
|
World Fuel Services Corp. (b)
|
3,203 | 114,059 | ||||||
|
WPX Energy, Inc. (a)(b)
|
8,900 | 147,651 | ||||||
| 2,961,972 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.5%
|
||||||||
|
Domtar Corp.
|
1,640 | 128,396 | ||||||
|
MeadWestvaco Corp.
|
7,732 | 236,599 | ||||||
| 364,995 | ||||||||
|
PERSONAL PRODUCTS — 0.1%
|
||||||||
|
Nu Skin Enterprises, Inc. (Class A)
|
2,392 | 92,881 | ||||||
|
PHARMACEUTICALS — 0.5%
|
||||||||
|
Endo Pharmaceuticals Holdings, Inc. (a)
|
5,242 | 166,276 | ||||||
|
Salix Pharmaceuticals, Ltd. (a)
|
2,252 | 95,350 | ||||||
|
Warner Chilcott PLC (Class A)
|
7,731 | 104,368 | ||||||
| 365,994 | ||||||||
|
PROFESSIONAL SERVICES — 1.1%
|
||||||||
|
Dun & Bradstreet Corp.
|
1,966 | 156,533 | ||||||
|
Equifax, Inc.
|
5,342 | 248,830 | ||||||
|
Manpower, Inc.
|
3,501 | 128,837 | ||||||
|
Robert Half International, Inc.
|
6,340 | 168,834 | ||||||
|
Towers Watson & Co. (Class A)
|
2,520 | 133,686 | ||||||
| 836,720 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 8.6%
|
||||||||
|
Alexandria Real Estate Equities, Inc.
|
2,832 | 208,209 | ||||||
|
American Campus Communities, Inc.
|
4,043 | 177,407 | ||||||
|
Apartment Investment & Management Co. (Class A)
|
6,541 | 170,001 | ||||||
|
BioMed Realty Trust, Inc. (b)
|
6,850 | 128,232 | ||||||
|
BRE Properties, Inc.
|
3,399 | 159,379 | ||||||
|
Camden Property Trust
|
3,740 | 241,193 | ||||||
|
CBL & Associates Properties, Inc. (b)
|
7,100 | 151,514 | ||||||
|
Chimera Investment Corp.
|
45,398 | 123,029 | ||||||
|
DDR Corp. (b)
|
10,576 | 162,447 | ||||||
|
Douglas Emmett, Inc.
|
5,760 | 132,883 | ||||||
|
Duke Realty Corp.
|
11,836 | 173,989 | ||||||
|
Equity Lifestyle Properties, Inc.
|
1,722 | 117,303 | ||||||
|
Essex Property Trust, Inc. (b)
|
1,629 | 241,483 | ||||||
|
Extra Space Storage, Inc.
|
4,300 | 142,975 | ||||||
|
Federal Realty Investment Trust
|
2,829 | 297,894 | ||||||
|
Hatteras Financial Corp. (b)
|
4,400 | 124,036 | ||||||
|
Healthcare Trust of America, Inc.
|
2,600 | 25,428 | ||||||
|
Highwoods Properties, Inc.
|
3,305 | 107,809 | ||||||
|
Home Properties, Inc.
|
2,177 | 133,385 | ||||||
|
Hospitality Properties Trust
|
5,553 | 132,050 | ||||||
|
Kilroy Realty Corp.
|
3,300 | 147,774 | ||||||
|
Liberty Property Trust
|
5,240 | 189,898 | ||||||
|
Mack-Cali
Realty Corp.
|
3,705 | 98,553 | ||||||
|
MFA Financial, Inc.
|
15,885 | 135,022 | ||||||
|
Mid-America
Apartment Communities, Inc.
|
1,825 | 119,191 | ||||||
|
National Retail Properties, Inc.
|
4,847 | 147,833 | ||||||
|
OMEGA Healthcare Investors, Inc.
|
4,711 | 107,081 | ||||||
|
Piedmont Office Realty Trust, Inc. (Class A)
|
7,491 | 129,894 | ||||||
|
Rayonier, Inc. (b)
|
5,434 | 266,320 | ||||||
|
Realty Income Corp. (b)
|
5,951 | 243,336 | ||||||
|
Regency Centers Corp.
|
3,957 | 192,825 | ||||||
|
Retail Properties of America, Inc. (Class A) (b)
|
1,400 | 15,848 | ||||||
|
Senior Housing Properties Trust
|
7,831 | 170,559 | ||||||
|
SL Green Realty Corp. (b)
|
4,031 | 322,762 | ||||||
|
Tanger Factory Outlet Centers, Inc.
|
4,200 | 135,786 | ||||||
|
Taubman Centers, Inc.
|
2,698 | 207,017 | ||||||
|
Two Harbors Investment Corp.
|
12,500 | 146,875 | ||||||
|
UDR, Inc.
|
11,112 | 275,800 | ||||||
|
Washington Real Estate Investment Trust (b)
|
2,922 | 78,368 | ||||||
|
Weingarten Realty Investors (b)
|
4,983 | 140,072 | ||||||
| 6,421,460 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.5%
|
||||||||
|
CBRE Group, Inc. (a)
|
13,437 | 247,375 | ||||||
|
Jones Lang LaSalle, Inc.
|
1,955 | 149,264 | ||||||
| 396,639 | ||||||||
|
ROAD & RAIL — 0.8%
|
||||||||
|
Hertz Global Holdings, Inc. (a)(b)
|
13,340 | 183,158 | ||||||
|
J.B. Hunt Transport Services, Inc.
|
4,037 | 210,086 | ||||||
|
Landstar System, Inc.
|
2,118 | 100,139 | ||||||
|
Ryder Systems, Inc.
|
2,266 | 88,510 | ||||||
| 581,893 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 1.8% |
||||||||
|
Advanced Micro Devices, Inc. (a)(b)
|
26,017 | 87,677 | ||||||
|
Atmel Corp. (a)
|
19,644 | 103,327 | ||||||
|
Cree, Inc. (a)(b)
|
5,205 | 132,884 | ||||||
|
Cypress Semiconductor Corp. (a)(b)
|
6,112 | 65,521 | ||||||
|
First Solar, Inc. (a)(b)
|
2,700 | 59,791 | ||||||
|
Lam Research Corp. (a)
|
8,140 | 258,730 | ||||||
|
LSI Corp. (a)
|
24,989 | 172,674 | ||||||
|
ON Semiconductor Corp. (a)
|
20,434 | 126,078 | ||||||
|
Skyworks Solutions, Inc. (a)
|
8,493 | 200,138 | ||||||
|
Teradyne, Inc. (a)(b)
|
8,200 | 116,604 | ||||||
| 1,323,424 | ||||||||
|
SOFTWARE — 3.7%
|
||||||||
|
Ansys, Inc. (a)
|
4,109 | 301,601 | ||||||
|
Ariba, Inc. (a)
|
4,400 | 197,120 | ||||||
|
Cadence Design Systems, Inc. (a)
|
12,182 | 156,721 | ||||||
|
Compuware Corp. (a)
|
9,545 | 94,591 | ||||||
|
Concur Technologies, Inc. (a)(b)
|
2,047 | 150,925 | ||||||
|
Electronic Arts, Inc. (a)
|
14,200 | 180,198 | ||||||
|
Factset Research Systems, Inc. (b)
|
1,835 | 176,931 | ||||||
|
Fortinet, Inc. (a)
|
5,867 | 141,629 | ||||||
|
Informatica Corp. (a)
|
4,865 | 169,351 | ||||||
|
MICROS Systems, Inc. (a)
|
3,555 | 174,622 | ||||||
|
NetSuite, Inc. (a)(b)
|
1,200 | 76,560 | ||||||
|
Parametric Technology Corp. (a)
|
5,268 | 114,842 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
ServiceNow, Inc. (a)(b)
|
500 | $ | 19,340 | |||||
|
Solarwinds, Inc. (a)
|
2,700 | 150,498 | ||||||
|
Solera Holdings, Inc.
|
3,161 | 138,673 | ||||||
|
Splunk, Inc. (a)
|
1,200 | 44,064 | ||||||
|
Synopsys, Inc. (a)
|
6,618 | 218,526 | ||||||
|
TIBCO Software, Inc. (a)
|
6,842 | 206,834 | ||||||
| 2,713,026 | ||||||||
|
SPECIALTY RETAIL — 4.2%
|
||||||||
|
Aaron’s, Inc.
|
3,126 | 86,934 | ||||||
|
Abercrombie & Fitch Co. (Class A) (b)
|
3,691 | 125,199 | ||||||
|
Advance Auto Parts, Inc.
|
3,247 | 222,225 | ||||||
|
American Eagle Outfitters, Inc. (b)
|
7,942 | 167,417 | ||||||
|
Ascena Retail Group, Inc. (a)
|
5,500 | 117,975 | ||||||
|
AutoNation, Inc. (a)(b)
|
1,705 | 74,457 | ||||||
|
Cabela’s, Inc. (a)
|
2,100 | 114,828 | ||||||
|
Chico’s FAS, Inc.
|
7,504 | 135,897 | ||||||
|
Dick’s Sporting Goods, Inc. (b)
|
4,272 | 221,503 | ||||||
|
Foot Locker, Inc.
|
6,779 | 240,655 | ||||||
|
GameStop Corp. (Class A) (b)
|
5,465 | 114,765 | ||||||
|
GNC Holdings, Inc. (Class A) (b)
|
3,500 | 136,395 | ||||||
|
Guess?, Inc. (b)
|
2,819 | 71,659 | ||||||
|
Sally Beauty Holdings, Inc. (a)
|
7,004 | 175,730 | ||||||
|
Signet Jewelers, Ltd.
|
3,632 | 177,096 | ||||||
|
Tractor Supply Co.
|
3,190 | 315,459 | ||||||
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
2,619 | 252,223 | ||||||
|
Urban Outfitters, Inc. (a)
|
4,849 | 182,129 | ||||||
|
Williams-Sonoma,
Inc. (b)
|
3,863 | 169,856 | ||||||
| 3,102,402 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 1.4%
|
||||||||
|
Carter’s, Inc. (a)
|
2,300 | 123,832 | ||||||
|
Deckers Outdoor Corp. (a)(b)
|
1,632 | 59,797 | ||||||
|
Fossil, Inc. (a)
|
2,432 | 205,990 | ||||||
|
Hanesbrands, Inc. (a)
|
4,252 | 135,554 | ||||||
|
PVH Corp.
|
3,170 | 297,092 | ||||||
|
Under Armour, Inc. (Class A) (a)(b)
|
3,476 | 194,065 | ||||||
| 1,016,330 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.8%
|
||||||||
|
Capitol Federal Financial, Inc.
|
6,534 | 78,147 | ||||||
|
Hudson City Bancorp, Inc.
|
21,210 | 168,832 | ||||||
|
Ocwen Financial Corp. (a)(b)
|
5,200 | 142,532 | ||||||
|
People’s United Financial, Inc. (b)
|
15,603 | 189,420 | ||||||
|
TFS Financial Corp. (a)
|
3,621 | 32,842 | ||||||
| 611,773 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.6%
|
||||||||
|
Air Lease Corp. (a)
|
2,973 | 60,649 | ||||||
|
MRC Global, Inc. (a)
|
1,000 | 24,590 | ||||||
|
MSC Industrial Direct Co., Inc. (Class A)
|
2,043 | 137,821 | ||||||
|
United Rentals, Inc. (a)
|
4,100 | 134,111 | ||||||
|
WESCO International, Inc. (a)(b)
|
1,900 | 108,680 | ||||||
| 465,851 | ||||||||
|
WATER UTILITIES — 0.6%
|
||||||||
|
American Water Works Co., Inc.
|
7,801 | 289,105 | ||||||
|
Aqua America, Inc. (b)
|
6,115 | 151,407 | ||||||
| 440,512 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.9%
|
||||||||
|
Clearwire Corp. (Class A) (a)(b)
|
19,494 | 26,317 | ||||||
|
MetroPCS Communications, Inc. (a)
|
14,113 | 165,263 | ||||||
|
SBA Communications Corp. (Class A) (a)(b)
|
5,417 | 340,729 | ||||||
|
Telephone & Data Systems, Inc.
|
4,543 | 116,346 | ||||||
|
US Cellular Corp. (a)(b)
|
658 | 25,748 | ||||||
| 674,403 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $66,318,949)
|
74,150,120 | |||||||
|
SHORT TERM INVESTMENTS — 13.2%
|
||||||||
|
MONEY MARKET FUNDS — 13.2%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
9,364,596 | 9,364,596 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
412,874 | 412,874 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $9,777,470)
|
9,777,470 | |||||||
|
TOTAL INVESTMENTS — 113.0% (f)
|
||||||||
|
(Cost $76,096,419)
|
83,927,590 | |||||||
|
OTHER ASSETS &
LIABILITIES — (13.0)% |
(9,659,900 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 74,267,690 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
AEROSPACE & DEFENSE — 1.3%
|
||||||||
|
Alliant Techsystems, Inc.
|
1,753 | $ | 87,843 | |||||
|
BE Aerospace, Inc. (a)
|
6,572 | 276,681 | ||||||
|
Esterline Technologies Corp. (a)
|
1,687 | 94,708 | ||||||
|
Triumph Group, Inc.
|
5,212 | 325,907 | ||||||
| 785,139 | ||||||||
|
AIRLINES — 0.4%
|
||||||||
|
Alaska Air Group, Inc. (a)
|
7,338 | 257,270 | ||||||
|
AUTO COMPONENTS — 0.4%
|
||||||||
|
Gentex Corp. (b)
|
14,952 | 254,334 | ||||||
|
BIOTECHNOLOGY — 3.4%
|
||||||||
|
Regeneron Pharmaceuticals, Inc. (a)
|
7,800 | 1,190,748 | ||||||
|
United Therapeutics Corp. (a)
|
5,021 | 280,573 | ||||||
|
Vertex Pharmaceuticals, Inc. (a)
|
11,886 | 665,022 | ||||||
| 2,136,343 | ||||||||
|
BUILDING PRODUCTS — 0.2%
|
||||||||
|
Fortune Brands Home & Security, Inc. (a)
|
5,625 | 151,931 | ||||||
|
CAPITAL MARKETS — 1.4%
|
||||||||
|
Affiliated Managers Group, Inc. (a)
|
2,659 | 327,057 | ||||||
|
Eaton Vance Corp. (b)
|
6,702 | 194,090 | ||||||
|
Greenhill & Co., Inc. (b)
|
1,269 | 65,671 | ||||||
|
SEI Investments Co.
|
4,756 | 102,016 | ||||||
|
Waddell & Reed Financial, Inc. (Class A)
|
5,365 | 175,811 | ||||||
| 864,645 | ||||||||
|
CHEMICALS — 2.3%
|
||||||||
|
Albemarle Corp.
|
9,358 | 492,979 | ||||||
|
Intrepid Potash, Inc. (a)(b)
|
5,474 | 117,582 | ||||||
|
Minerals Technologies, Inc.
|
1,218 | 86,393 | ||||||
|
NewMarket Corp. (b)
|
1,116 | 275,072 | ||||||
|
Sensient Technologies Corp.
|
2,953 | 108,552 | ||||||
|
The Scotts
Miracle-Gro
Co. (Class A)
|
2,701 | 117,412 | ||||||
|
Valspar Corp.
|
3,670 | 205,887 | ||||||
| 1,403,877 | ||||||||
|
COMMERCIAL BANKS — 1.8%
|
||||||||
|
Bank of Hawaii Corp. (b)
|
2,363 | 107,800 | ||||||
|
Commerce Bancshares, Inc.
|
3,226 | 130,105 | ||||||
|
Cullen/Frost Bankers, Inc. (b)
|
3,602 | 206,863 | ||||||
|
Prosperity Bancshares, Inc. (b)
|
2,628 | 112,005 | ||||||
|
Signature Bank (a)
|
4,882 | 327,485 | ||||||
|
SVB Financial Group (a)
|
2,281 | 137,909 | ||||||
|
Westamerica Bancorporation (b)
|
1,822 | 85,725 | ||||||
| 1,107,892 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 1.6%
|
||||||||
|
Clean Harbors, Inc. (a)(b)
|
4,920 | 240,342 | ||||||
|
Copart, Inc. (a)
|
11,264 | 312,351 | ||||||
|
Mine Safety Appliances Co.
|
1,547 | 57,656 | ||||||
|
Rollins, Inc.
|
4,448 | 104,039 | ||||||
|
Waste Connections, Inc. (b)
|
8,817 | 266,714 | ||||||
| 981,102 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.5%
|
||||||||
|
ADTRAN, Inc. (b)
|
6,561 | 113,374 | ||||||
|
Ciena Corp. (a)(b)
|
5,674 | 77,166 | ||||||
|
InterDigital, Inc.
|
4,400 | 164,032 | ||||||
|
Plantronics, Inc. (b)
|
2,026 | 71,579 | ||||||
|
Polycom, Inc. (a)
|
11,128 | 109,833 | ||||||
|
Riverbed Technology, Inc. (a)
|
16,122 | 375,159 | ||||||
| 911,143 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.1%
|
||||||||
|
QLogic Corp. (a)
|
5,570 | 63,609 | ||||||
|
CONSTRUCTION MATERIALS — 0.3%
|
||||||||
|
Martin Marietta Materials, Inc. (b)
|
2,497 | 206,926 | ||||||
|
CONTAINERS & PACKAGING — 1.9%
|
||||||||
|
AptarGroup, Inc.
|
6,928 | 358,247 | ||||||
|
Packaging Corp. of America
|
4,372 | 158,704 | ||||||
|
Rock-Tenn
Co. (Class A)
|
7,421 | 535,648 | ||||||
|
Silgan Holdings, Inc.
|
3,197 | 139,101 | ||||||
| 1,191,700 | ||||||||
|
DISTRIBUTORS — 0.9%
|
||||||||
|
LKQ Corp. (a)
|
30,912 | 571,872 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.6%
|
||||||||
|
DeVry, Inc.
|
6,000 | 136,560 | ||||||
|
ITT Educational Services, Inc. (a)
|
1,598 | 51,504 | ||||||
|
Matthews International Corp. (Class A) (b)
|
1,501 | 44,760 | ||||||
|
Sotheby’s (b)
|
2,721 | 85,711 | ||||||
|
Strayer Education, Inc. (b)
|
1,243 | 79,987 | ||||||
| 398,522 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 1.0%
|
||||||||
|
CBOE Holdings, Inc. (b)
|
6,135 | 180,492 | ||||||
|
MSCI, Inc. (Class A) (a)
|
12,681 | 453,853 | ||||||
| 634,345 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.4%
|
||||||||
|
tw telecom, Inc. (a)(b)
|
9,836 | 256,425 | ||||||
|
ELECTRIC UTILITIES — 1.1%
|
||||||||
|
Cleco Corp.
|
3,468 | 145,586 | ||||||
|
IDACORP, Inc.
|
2,999 | 129,767 | ||||||
|
OGE Energy Corp.
|
6,893 | 382,286 | ||||||
| 657,639 | ||||||||
|
ELECTRICAL EQUIPMENT — 2.5%
|
||||||||
|
Acuity Brands, Inc.
|
2,475 | 156,643 | ||||||
|
AMETEK, Inc.
|
25,272 | 895,892 | ||||||
|
Hubbell, Inc. (Class B)
|
4,157 | 335,636 | ||||||
|
Regal-Beloit Corp.
|
2,424 | 170,844 | ||||||
| 1,559,015 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 2.1% |
||||||||
|
Mettler-Toledo
International, Inc. (a)
|
3,234 | 552,173 | ||||||
|
National Instruments Corp.
|
5,975 | 150,391 | ||||||
|
Trimble Navigation, Ltd. (a)
|
13,148 | 626,634 | ||||||
| 1,329,198 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 3.6%
|
||||||||
|
Atwood Oceanics, Inc. (a)
|
4,114 | 186,981 | ||||||
|
CARBO Ceramics, Inc. (b)
|
2,056 | 129,364 | ||||||
|
Dresser-Rand
Group, Inc. (a)
|
7,878 | 434,157 | ||||||
|
Dril-Quip,
Inc. (a)
|
3,777 | 271,491 | ||||||
|
Helix Energy Solutions Group, Inc. (a)
|
2,810 | 51,339 | ||||||
|
Oceaneering International, Inc.
|
11,218 | 619,794 | ||||||
|
Oil States International, Inc. (a)
|
5,711 | 453,796 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Superior Energy Services, Inc. (a)
|
6,035 | $ | 123,838 | |||||
| 2,270,760 | ||||||||
|
FOOD PRODUCTS — 2.2%
|
||||||||
|
Flowers Foods, Inc.
|
6,112 | 123,340 | ||||||
|
Green Mountain Coffee Roasters, Inc. (a)(b)
|
13,481 | 320,174 | ||||||
|
Hillshire Brands Co.
|
4,556 | 122,010 | ||||||
|
Ingredion, Inc.
|
7,909 | 436,260 | ||||||
|
Lancaster Colony Corp.
|
2,010 | 147,232 | ||||||
|
Post Holdings, Inc. (a)
|
1,264 | 37,996 | ||||||
|
Ralcorp Holdings, Inc. (a)
|
2,573 | 187,829 | ||||||
|
Tootsie Roll Industries, Inc. (b)
|
1,069 | 28,842 | ||||||
| 1,403,683 | ||||||||
|
GAS UTILITIES — 0.8%
|
||||||||
|
National Fuel Gas Co.
|
5,031 | 271,875 | ||||||
|
Questar Corp.
|
5,530 | 112,425 | ||||||
|
WGL Holdings, Inc. (b)
|
2,672 | 107,548 | ||||||
| 491,848 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 4.3%
|
||||||||
|
Hill-Rom
Holdings, Inc.
|
3,405 | 98,949 | ||||||
|
Hologic, Inc. (a)
|
15,708 | 317,930 | ||||||
|
IDEXX Laboratories, Inc. (a)(b)
|
5,730 | 569,275 | ||||||
|
Masimo Corp. (a)(b)
|
3,843 | 92,924 | ||||||
|
ResMed, Inc. (b)
|
14,789 | 598,511 | ||||||
|
STERIS Corp.
|
3,031 | 107,510 | ||||||
|
Teleflex, Inc.
|
2,908 | 200,187 | ||||||
|
The Cooper Cos., Inc.
|
5,031 | 475,228 | ||||||
|
Thoratec Corp. (a)
|
6,079 | 210,333 | ||||||
| 2,670,847 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 3.5%
|
||||||||
|
AMERIGROUP Corp. (a)
|
5,079 | 464,373 | ||||||
|
Henry Schein, Inc. (a)
|
9,258 | 733,882 | ||||||
|
HMS Holdings Corp. (a)
|
8,989 | 300,502 | ||||||
|
MEDNAX, Inc. (a)(b)
|
5,176 | 385,353 | ||||||
|
Universal Health Services, Inc. (Class B)
|
5,919 | 270,676 | ||||||
| 2,154,786 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.4%
|
||||||||
|
Allscripts Healthcare Solutions, Inc. (a)
|
17,808 | 221,353 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.5%
|
||||||||
|
Bally Technologies, Inc. (a)(b)
|
2,440 | 120,512 | ||||||
|
Life Time Fitness, Inc. (a)(b)
|
4,146 | 189,638 | ||||||
|
Panera Bread Co. (Class A) (a)
|
2,935 | 501,562 | ||||||
|
Scientific Games Corp. (Class A) (a)(b)
|
1,963 | 16,234 | ||||||
|
The Cheesecake Factory, Inc. (b)
|
3,511 | 125,518 | ||||||
| 953,464 | ||||||||
|
HOUSEHOLD DURABLES — 1.1%
|
||||||||
|
Jarden Corp.
|
4,000 | 211,360 | ||||||
|
Tempur-Pedic
International, Inc. (a)
|
6,171 | 184,451 | ||||||
|
Tupperware Brands Corp.
|
5,797 | 310,661 | ||||||
| 706,472 | ||||||||
|
HOUSEHOLD PRODUCTS — 1.7%
|
||||||||
|
Church & Dwight Co., Inc.
|
14,490 | 782,315 | ||||||
|
Energizer Holdings, Inc.
|
3,739 | 278,967 | ||||||
| 1,061,282 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.2%
|
||||||||
|
Carlisle Cos., Inc.
|
2,907 | 150,931 | ||||||
|
INSURANCE — 1.0%
|
||||||||
|
Alleghany Corp. (a)
|
740 | 255,255 | ||||||
|
Arthur J. Gallagher & Co.
|
6,662 | 238,633 | ||||||
|
Brown & Brown, Inc.
|
4,811 | 125,423 | ||||||
| 619,311 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.2%
|
||||||||
|
HSN, Inc.
|
1,964 | 96,334 | ||||||
|
INTERNET SOFTWARE &
SERVICES — 2.9%
|
||||||||
|
Equinix, Inc. (a)(b)
|
5,017 | 1,033,753 | ||||||
|
Rackspace Hosting, Inc. (a)
|
11,359 | 750,716 | ||||||
|
ValueClick, Inc. (a)(b)
|
2,842 | 48,854 | ||||||
| 1,833,323 | ||||||||
|
IT SERVICES — 4.9%
|
||||||||
|
Alliance Data Systems Corp. (a)(b)
|
5,210 | 739,560 | ||||||
|
Broadridge Financial Solutions, Inc.
|
5,719 | 133,424 | ||||||
|
Gartner, Inc. (a)
|
9,751 | 449,424 | ||||||
|
Global Payments, Inc.
|
8,209 | 343,383 | ||||||
|
Jack Henry & Associates, Inc.
|
9,024 | 342,010 | ||||||
|
Lender Processing Services, Inc.
|
4,997 | 139,366 | ||||||
|
ManTech International Corp. (Class A) (b)
|
1,274 | 30,576 | ||||||
|
NeuStar, Inc. (Class A) (a)
|
6,939 | 277,768 | ||||||
|
VeriFone Systems, Inc. (a)(b)
|
11,251 | 313,340 | ||||||
|
Wright Express Corp. (a)
|
4,031 | 281,041 | ||||||
| 3,049,892 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.9%
|
||||||||
|
Polaris Industries, Inc.
|
6,617 | 535,117 | ||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 1.4%
|
||||||||
|
Bio-Rad
Laboratories, Inc. (Class A) (a)
|
2,092 | 223,258 | ||||||
|
Charles River Laboratories International, Inc. (a)
|
2,335 | 92,466 | ||||||
|
Covance, Inc. (a)
|
5,729 | 267,487 | ||||||
|
Techne Corp.
|
3,642 | 262,006 | ||||||
| 845,217 | ||||||||
|
MACHINERY — 5.0%
|
||||||||
|
CLARCOR, Inc.
|
3,750 | 167,363 | ||||||
|
Crane Co.
|
3,826 | 152,772 | ||||||
|
Donaldson Co., Inc. (b)
|
14,302 | 496,423 | ||||||
|
Gardner Denver, Inc.
|
5,113 | 308,876 | ||||||
|
Graco, Inc.
|
4,007 | 201,472 | ||||||
|
IDEX Corp.
|
5,381 | 224,765 | ||||||
|
Lincoln Electric Holdings, Inc.
|
4,535 | 177,092 | ||||||
|
Nordson Corp.
|
4,228 | 247,845 | ||||||
|
SPX Corp.
|
2,859 | 187,007 | ||||||
|
Valmont Industries, Inc.
|
2,440 | 320,860 | ||||||
|
Wabtec Corp.
|
5,035 | 404,260 | ||||||
|
Woodward, Inc. (b)
|
6,232 | 211,763 | ||||||
| 3,100,498 | ||||||||
|
MARINE — 0.4%
|
||||||||
|
Kirby Corp. (a)(b)
|
4,313 | 238,423 | ||||||
|
MEDIA — 0.8%
|
||||||||
|
AMC Networks, Inc. (Class A) (a)
|
2,298 | 100,009 | ||||||
|
Cinemark Holdings, Inc. (b)
|
6,664 | 149,474 | ||||||
|
John Wiley & Sons, Inc. (Class A)
|
3,483 | 160,044 | ||||||
|
Lamar Advertising Co. (Class A) (a)
|
2,638 | 97,764 | ||||||
| 507,291 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
METALS & MINING — 1.6%
|
||||||||
|
Carpenter Technology Corp.
|
2,918 | $ | 152,670 | |||||
|
Compass Minerals International, Inc. (b)
|
3,430 | 255,844 | ||||||
|
Royal Gold, Inc. (b)
|
6,131 | 612,241 | ||||||
| 1,020,755 | ||||||||
|
MULTI-UTILITIES — 0.5%
|
||||||||
|
Alliant Energy Corp.
|
5,439 | 235,998 | ||||||
|
Black Hills Corp.
|
2,785 | 99,063 | ||||||
| 335,061 | ||||||||
|
OFFICE ELECTRONICS — 0.3%
|
||||||||
|
Zebra Technologies Corp. (Class A) (a)
|
5,408 | 203,016 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 2.9%
|
||||||||
|
Bill Barrett Corp. (a)(b)
|
4,952 | 122,661 | ||||||
|
Cimarex Energy Co.
|
8,998 | 526,833 | ||||||
|
Energen Corp.
|
5,251 | 275,205 | ||||||
|
Northern Oil and Gas, Inc. (a)
|
6,138 | 104,285 | ||||||
|
Plains Exploration & Production Co. (a)
|
4,688 | 175,659 | ||||||
|
Rosetta Resources, Inc. (a)(b)
|
5,479 | 262,444 | ||||||
|
SM Energy Co.
|
6,765 | 366,054 | ||||||
| 1,833,141 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.2%
|
||||||||
|
Domtar Corp.
|
1,962 | 153,605 | ||||||
|
PHARMACEUTICALS — 1.0%
|
||||||||
|
Endo Pharmaceuticals Holdings, Inc. (a)
|
12,151 | 385,430 | ||||||
|
Medicis Pharmaceutical Corp. (Class A) (b)
|
6,221 | 269,182 | ||||||
| 654,612 | ||||||||
|
PROFESSIONAL SERVICES — 0.7%
|
||||||||
|
FTI Consulting, Inc. (a)(b)
|
4,307 | 114,911 | ||||||
|
The Corporate Executive Board Co.
|
1,957 | 104,954 | ||||||
|
Towers Watson & Co. (Class A)
|
4,503 | 238,884 | ||||||
| 458,749 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 9.9%
|
||||||||
|
Alexandria Real Estate Equities, Inc.
|
3,646 | 268,054 | ||||||
|
American Campus Communities, Inc.
|
6,146 | 269,686 | ||||||
|
BRE Properties, Inc.
|
4,859 | 227,839 | ||||||
|
Camden Property Trust
|
5,975 | 385,328 | ||||||
|
Essex Property Trust, Inc. (b)
|
3,793 | 562,274 | ||||||
|
Federal Realty Investment Trust
|
6,712 | 706,774 | ||||||
|
Highwoods Properties, Inc.
|
3,370 | 109,929 | ||||||
|
Home Properties, Inc.
|
5,211 | 319,278 | ||||||
|
Liberty Property Trust
|
4,860 | 176,126 | ||||||
|
National Retail Properties, Inc.
|
5,345 | 163,022 | ||||||
|
OMEGA Healthcare Investors, Inc.
|
4,978 | 113,150 | ||||||
|
Potlatch Corp.
|
1,671 | 62,445 | ||||||
|
Rayonier, Inc. (b)
|
8,811 | 431,827 | ||||||
|
Realty Income Corp. (b)
|
8,431 | 344,744 | ||||||
|
Regency Centers Corp.
|
4,378 | 213,340 | ||||||
|
Senior Housing Properties Trust
|
8,183 | 178,226 | ||||||
|
SL Green Realty Corp. (b)
|
4,866 | 389,621 | ||||||
|
Taubman Centers, Inc.
|
6,424 | 492,914 | ||||||
|
The Macerich Co.
|
6,966 | 398,664 | ||||||
|
UDR, Inc.
|
13,575 | 336,931 | ||||||
| 6,150,172 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.1%
|
||||||||
|
Alexander & Baldwin, Inc. (a)
|
1,827 | 53,951 | ||||||
|
ROAD & RAIL — 2.0%
|
||||||||
|
J.B. Hunt Transport Services, Inc.
|
9,438 | 491,153 | ||||||
|
Kansas City Southern
|
7,433 | 563,273 | ||||||
|
Landstar System, Inc.
|
3,553 | 167,986 | ||||||
| 1,222,412 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 1.6% |
||||||||
|
Atmel Corp. (a)
|
19,770 | 103,990 | ||||||
|
Cree, Inc. (a)(b)
|
8,759 | 223,617 | ||||||
|
Cypress Semiconductor Corp. (a)(b)
|
4,727 | 50,674 | ||||||
|
Semtech Corp. (a)(b)
|
6,800 | 171,020 | ||||||
|
Silicon Laboratories, Inc. (a)
|
4,040 | 148,510 | ||||||
|
Skyworks Solutions, Inc. (a)
|
13,369 | 315,041 | ||||||
| 1,012,852 | ||||||||
|
SOFTWARE — 7.3%
|
||||||||
|
ACI Worldwide, Inc. (a)
|
4,097 | 173,139 | ||||||
|
Advent Software, Inc. (a)(b)
|
3,313 | 81,400 | ||||||
|
Ansys, Inc. (a)
|
9,640 | 707,576 | ||||||
|
Cadence Design Systems, Inc. (a)
|
9,663 | 124,315 | ||||||
|
Concur Technologies, Inc. (a)(b)
|
4,705 | 346,900 | ||||||
|
Factset Research Systems, Inc. (b)
|
4,258 | 410,556 | ||||||
|
Fair Isaac Corp.
|
2,133 | 94,407 | ||||||
|
Informatica Corp. (a)
|
11,299 | 393,318 | ||||||
|
MICROS Systems, Inc. (a)
|
8,356 | 410,447 | ||||||
|
Parametric Technology Corp. (a)
|
5,830 | 127,094 | ||||||
|
Quest Software, Inc. (a)
|
3,279 | 91,812 | ||||||
|
Rovi Corp. (a)
|
11,461 | 166,299 | ||||||
|
Solarwinds, Inc. (a)
|
6,350 | 353,949 | ||||||
|
Solera Holdings, Inc.
|
7,285 | 319,593 | ||||||
|
Synopsys, Inc. (a)
|
7,969 | 263,136 | ||||||
|
TIBCO Software, Inc. (a)
|
16,014 | 484,103 | ||||||
| 4,548,044 | ||||||||
|
SPECIALTY RETAIL — 5.3%
|
||||||||
|
Aaron’s, Inc.
|
4,200 | 116,802 | ||||||
|
Advance Auto Parts, Inc.
|
7,659 | 524,182 | ||||||
|
Aeropostale, Inc. (a)(b)
|
5,193 | 70,261 | ||||||
|
Ascena Retail Group, Inc. (a)
|
8,258 | 177,134 | ||||||
|
Dick’s Sporting Goods, Inc.
|
7,154 | 370,935 | ||||||
|
Guess?, Inc. (b)
|
4,480 | 113,882 | ||||||
|
PetSmart, Inc.
|
11,281 | 778,163 | ||||||
|
Signet Jewelers, Ltd.
|
4,502 | 219,518 | ||||||
|
Tractor Supply Co.
|
7,381 | 729,907 | ||||||
|
Williams-Sonoma,
Inc. (b)
|
4,672 | 205,428 | ||||||
| 3,306,212 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 2.9%
|
||||||||
|
Carter’s, Inc. (a)
|
5,345 | 287,775 | ||||||
|
Deckers Outdoor Corp. (a)(b)
|
3,984 | 145,974 | ||||||
|
PVH Corp.
|
7,393 | 692,872 | ||||||
|
The Warnaco Group, Inc. (a)
|
4,286 | 222,443 | ||||||
|
Under Armour, Inc. (Class A) (a)(b)
|
8,106 | 452,558 | ||||||
| 1,801,622 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 1.3%
|
||||||||
|
GATX Corp. (b)
|
2,345 | 99,522 | ||||||
|
MSC Industrial Direct Co., Inc. (Class A)
|
4,831 | 325,899 | ||||||
|
United Rentals, Inc. (a)(b)
|
3,741 | 122,368 | ||||||
|
Watsco, Inc. (b)
|
3,085 | 233,812 | ||||||
| 781,601 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
WATER UTILITIES — 0.3%
|
||||||||
|
Aqua America, Inc.
|
7,783 | $ | 192,707 | |||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $56,858,687)
|
62,362,271 | |||||||
|
SHORT TERM INVESTMENTS — 12.4%
|
||||||||
|
MONEY MARKET FUNDS — 12.4%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
7,359,248 | 7,359,248 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
336,048 | 336,048 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $7,695,296)
|
7,695,296 | |||||||
|
TOTAL INVESTMENTS — 112.3% (f)
|
||||||||
|
(Cost $64,553,983)
|
70,057,567 | |||||||
|
OTHER ASSETS &
LIABILITIES — (12.3)% |
(7,650,573 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 62,406,994 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.6%
|
||||||||
|
AEROSPACE & DEFENSE — 1.3%
|
||||||||
|
Alliant Techsystems, Inc.
|
669 | $ | 33,524 | |||||
|
BE Aerospace, Inc. (a)
|
1,672 | 70,391 | ||||||
|
Esterline Technologies Corp. (a)
|
586 | 32,898 | ||||||
|
Exelis, Inc.
|
7,604 | 78,626 | ||||||
|
Huntington Ingalls Industries, Inc. (a)
|
2,026 | 85,193 | ||||||
| 300,632 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.2%
|
||||||||
|
UTI Worldwide, Inc. (b)
|
4,247 | 57,207 | ||||||
|
AIRLINES — 0.2%
|
||||||||
|
JetBlue Airways Corp. (a)(b)
|
9,309 | 44,590 | ||||||
|
AUTOMOBILES — 0.3%
|
||||||||
|
Thor Industries, Inc. (b)
|
1,823 | 66,211 | ||||||
|
BIOTECHNOLOGY — 1.0%
|
||||||||
|
Vertex Pharmaceuticals, Inc. (a)(b)
|
4,141 | 231,689 | ||||||
|
BUILDING PRODUCTS — 0.9%
|
||||||||
|
Fortune Brands Home & Security, Inc. (a)
|
4,356 | 117,656 | ||||||
|
Lennox International, Inc. (b)
|
1,900 | 91,884 | ||||||
| 209,540 | ||||||||
|
CAPITAL MARKETS — 3.1%
|
||||||||
|
Affiliated Managers Group, Inc. (a)(b)
|
1,055 | 129,765 | ||||||
|
Apollo Investment Corp. (b)
|
8,300 | 65,321 | ||||||
|
Eaton Vance Corp. (b)
|
2,060 | 59,657 | ||||||
|
Greenhill & Co., Inc. (b)
|
640 | 33,120 | ||||||
|
Janus Capital Group, Inc. (b)
|
7,666 | 72,367 | ||||||
|
Jefferies Group, Inc.
|
5,243 | 71,777 | ||||||
|
Raymond James Financial, Inc.
|
4,575 | 167,674 | ||||||
|
SEI Investments Co.
|
3,656 | 78,421 | ||||||
|
Waddell & Reed Financial, Inc. (Class A) (b)
|
1,418 | 46,468 | ||||||
| 724,570 | ||||||||
|
CHEMICALS — 3.6%
|
||||||||
|
Ashland, Inc. (b)
|
2,995 | 214,442 | ||||||
|
Cabot Corp.
|
2,478 | 90,620 | ||||||
|
Cytec Industries, Inc.
|
1,885 | 123,505 | ||||||
|
Minerals Technologies, Inc. (b)
|
237 | 16,810 | ||||||
|
Olin Corp. (b)
|
3,275 | 71,166 | ||||||
|
RPM International, Inc. (b)
|
5,438 | 155,201 | ||||||
|
Sensient Technologies Corp.
|
880 | 32,349 | ||||||
|
The Scotts
Miracle-Gro
Co. (Class A) (b)
|
517 | 22,474 | ||||||
|
Valspar Corp. (b)
|
2,010 | 112,761 | ||||||
| 839,328 | ||||||||
|
COMMERCIAL BANKS — 6.4%
|
||||||||
|
Associated
Banc-Corp. (b)
|
7,104 | 93,560 | ||||||
|
BancorpSouth, Inc.
|
3,446 | 50,794 | ||||||
|
Bank of Hawaii Corp. (b)
|
921 | 42,016 | ||||||
|
Cathay General Bancorp (b)
|
2,991 | 51,625 | ||||||
|
City National Corp. (b)
|
1,934 | 99,620 | ||||||
|
Commerce Bancshares, Inc.
|
1,768 | 71,303 | ||||||
|
Cullen/Frost Bankers, Inc. (b)
|
1,103 | 63,345 | ||||||
|
East West Bancorp, Inc.
|
5,878 | 124,143 | ||||||
|
First Niagara Financial Group, Inc.
|
14,464 | 117,014 | ||||||
|
FirstMerit Corp. (b)
|
4,466 | 65,784 | ||||||
|
Fulton Financial Corp. (b)
|
8,195 | 80,803 | ||||||
|
Hancock Holding Co. (b)
|
3,481 | 107,737 | ||||||
|
International Bancshares Corp. (b)
|
2,250 | 42,863 | ||||||
|
Prosperity Bancshares, Inc. (b)
|
764 | 32,562 | ||||||
|
SVB Financial Group (a)(b)
|
925 | 55,925 | ||||||
|
Synovus Financial Corp. (b)
|
32,350 | 76,669 | ||||||
|
TCF Financial Corp. (b)
|
6,691 | 79,891 | ||||||
|
Trustmark Corp. (b)
|
2,654 | 64,598 | ||||||
|
Valley National Bancorp (b)
|
8,106 | 81,222 | ||||||
|
Webster Financial Corp. (b)
|
2,971 | 70,413 | ||||||
|
Westamerica Bancorporation (b)
|
433 | 20,373 | ||||||
| 1,492,260 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 1.9%
|
||||||||
|
Corrections Corp. of America
|
4,094 | 136,944 | ||||||
|
Deluxe Corp. (b)
|
2,076 | 63,443 | ||||||
|
Herman Miller, Inc.
|
2,370 | 46,073 | ||||||
|
HNI Corp. (b)
|
1,867 | 47,627 | ||||||
|
Mine Safety Appliances Co. (b)
|
670 | 24,971 | ||||||
|
Rollins, Inc.
|
928 | 21,706 | ||||||
|
The Brink’s Co.
|
1,966 | 50,506 | ||||||
|
Waste Connections, Inc.
|
1,551 | 46,918 | ||||||
| 438,188 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.6%
|
||||||||
|
Ciena Corp. (a)
|
1,901 | 25,854 | ||||||
|
Plantronics, Inc. (b)
|
935 | 33,033 | ||||||
|
Polycom, Inc. (a)(b)
|
2,902 | 28,643 | ||||||
|
Tellabs, Inc.
|
14,152 | 50,098 | ||||||
| 137,628 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.4%
|
||||||||
|
Diebold, Inc. (b)
|
2,601 | 87,680 | ||||||
|
Lexmark International, Inc. (Class A)
|
2,900 | 64,525 | ||||||
|
NCR Corp. (a)
|
6,565 | 153,030 | ||||||
|
QLogic Corp. (a)
|
1,814 | 20,716 | ||||||
| 325,951 | ||||||||
|
CONSTRUCTION & ENGINEERING — 2.4%
|
||||||||
|
Aecom Technology Corp. (a)(b)
|
4,643 | 98,246 | ||||||
|
Granite Construction, Inc. (b)
|
1,457 | 41,845 | ||||||
|
KBR, Inc.
|
6,048 | 180,351 | ||||||
|
The Shaw Group, Inc. (a)
|
2,701 | 117,818 | ||||||
|
URS Corp. (b)
|
3,191 | 112,674 | ||||||
| 550,934 | ||||||||
|
CONSTRUCTION MATERIALS — 0.3%
|
||||||||
|
Martin Marietta Materials, Inc. (b)
|
903 | 74,832 | ||||||
|
CONTAINERS & PACKAGING — 1.3%
|
||||||||
|
Greif, Inc. (Class A)
|
1,256 | 55,490 | ||||||
|
Packaging Corp. of America (b)
|
2,299 | 83,454 | ||||||
|
Silgan Holdings, Inc.
|
763 | 33,198 | ||||||
|
Sonoco Products Co.
|
4,106 | 127,245 | ||||||
| 299,387 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 1.0%
|
||||||||
|
Matthews International Corp. (Class A) (b)
|
569 | 16,967 | ||||||
|
Regis Corp. (b)
|
2,365 | 43,469 | ||||||
|
Service Corp. International (b)
|
8,859 | 119,242 | ||||||
|
Sotheby’s (b)
|
1,678 | 52,857 | ||||||
| 232,535 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.1%
|
||||||||
|
CBOE Holdings, Inc. (b)
|
1,158 | 34,068 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.3%
|
||||||||
|
tw telecom, Inc. (a)(b)
|
2,270 | $ | 59,179 | |||||
|
ELECTRIC UTILITIES — 3.5%
|
||||||||
|
Cleco Corp. (b)
|
1,108 | 46,514 | ||||||
|
Great Plains Energy, Inc. (b)
|
6,310 | 140,460 | ||||||
|
Hawaiian Electric Industries, Inc. (b)
|
3,973 | 104,530 | ||||||
|
IDACORP, Inc. (b)
|
858 | 37,126 | ||||||
|
NV Energy, Inc.
|
9,679 | 174,319 | ||||||
|
OGE Energy Corp.
|
1,331 | 73,817 | ||||||
|
PNM Resources, Inc. (b)
|
3,278 | 68,936 | ||||||
|
Westar Energy, Inc. (b)
|
5,221 | 154,855 | ||||||
| 800,557 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.9%
|
||||||||
|
Acuity Brands, Inc. (b)
|
769 | 48,670 | ||||||
|
General Cable Corp. (a)(b)
|
2,032 | 59,700 | ||||||
|
Hubbell, Inc. (Class B)
|
569 | 45,941 | ||||||
|
Regal-Beloit
Corp. (b)
|
748 | 52,719 | ||||||
| 207,030 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 2.8% |
||||||||
|
Arrow Electronics, Inc. (a)(b)
|
4,461 | 150,380 | ||||||
|
Avnet, Inc. (a)
|
5,787 | 168,344 | ||||||
|
Ingram Micro, Inc. (Class A) (a)
|
6,222 | 94,761 | ||||||
|
Itron, Inc. (a)(b)
|
1,636 | 70,593 | ||||||
|
National Instruments Corp. (b)
|
1,518 | 38,208 | ||||||
|
Tech Data Corp. (a)(b)
|
1,545 | 69,989 | ||||||
|
Vishay Intertechnology, Inc. (a)(b)
|
5,419 | 53,269 | ||||||
| 645,544 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 1.9%
|
||||||||
|
Atwood Oceanics, Inc. (a)(b)
|
720 | 32,724 | ||||||
|
Helix Energy Solutions Group, Inc. (a)
|
3,000 | 54,810 | ||||||
|
Patterson-UTI
Energy, Inc. (b)
|
6,272 | 99,348 | ||||||
|
Superior Energy Services, Inc. (a)
|
4,055 | 83,209 | ||||||
|
Tidewater, Inc. (b)
|
2,046 | 99,292 | ||||||
|
Unit Corp. (a)(b)
|
1,811 | 75,157 | ||||||
| 444,540 | ||||||||
|
FOOD & STAPLES RETAILING — 0.4%
|
||||||||
|
Harris Teeter Supermarkets, Inc. (b)
|
2,029 | 78,806 | ||||||
|
SUPERVALU, Inc. (b)
|
8,622 | 20,779 | ||||||
| 99,585 | ||||||||
|
FOOD PRODUCTS — 1.5%
|
||||||||
|
Flowers Foods, Inc.
|
2,308 | 46,576 | ||||||
|
Hillshire Brands Co. (b)
|
3,080 | 82,482 | ||||||
|
Post Holdings, Inc. (a)(b)
|
615 | 18,487 | ||||||
|
Ralcorp Holdings, Inc. (a)
|
1,241 | 90,593 | ||||||
|
Smithfield Foods, Inc. (a)
|
5,497 | 108,016 | ||||||
|
Tootsie Roll Industries, Inc. (b)
|
429 | 11,574 | ||||||
| 357,728 | ||||||||
|
GAS UTILITIES — 2.2%
|
||||||||
|
Atmos Energy Corp. (b)
|
3,690 | 132,065 | ||||||
|
National Fuel Gas Co. (b)
|
1,425 | 77,007 | ||||||
|
Questar Corp.
|
5,093 | 103,541 | ||||||
|
UGI Corp. (b)
|
4,660 | 147,955 | ||||||
|
WGL Holdings, Inc. (b)
|
1,063 | 42,786 | ||||||
| 503,354 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.0%
|
||||||||
|
Hill-Rom
Holdings, Inc. (b)
|
1,190 | 34,581 | ||||||
|
Hologic, Inc. (a)(b)
|
4,648 | 94,076 | ||||||
|
Masimo Corp. (a)(b)
|
617 | 14,919 | ||||||
|
STERIS Corp.
|
1,167 | 41,393 | ||||||
|
Teleflex, Inc. (b)
|
538 | 37,036 | ||||||
| 222,005 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 3.6%
|
||||||||
|
Community Health Systems, Inc. (a)
|
3,711 | 108,139 | ||||||
|
Health Management Associates, Inc. (Class A) (a)(b)
|
10,538 | 88,414 | ||||||
|
Health Net, Inc. (a)
|
3,381 | 76,106 | ||||||
|
LifePoint Hospitals, Inc. (a)
|
2,001 | 85,603 | ||||||
|
Omnicare, Inc. (b)
|
4,585 | 155,752 | ||||||
|
Owens & Minor, Inc. (b)
|
2,609 | 77,957 | ||||||
|
Universal Health Services, Inc. (Class B)
|
1,322 | 60,455 | ||||||
|
VCA Antech, Inc. (a)(b)
|
3,574 | 70,515 | ||||||
|
WellCare Health Plans, Inc. (a)(b)
|
1,770 | 100,093 | ||||||
| 823,034 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.5%
|
||||||||
|
Bally Technologies, Inc. (a)(b)
|
782 | 38,623 | ||||||
|
Bob Evans Farms, Inc. (b)
|
1,195 | 46,760 | ||||||
|
Brinker International, Inc.
|
3,060 | 108,018 | ||||||
|
International Speedway Corp. (Class A) (b)
|
1,062 | 30,129 | ||||||
|
Scientific Games Corp. (Class A) (a)(b)
|
1,554 | 12,852 | ||||||
|
The Cheesecake Factory, Inc. (b)
|
654 | 23,381 | ||||||
|
The Wendy’s Co. (b)
|
11,551 | 52,557 | ||||||
|
WMS Industries, Inc. (a)(b)
|
2,232 | 36,560 | ||||||
| 348,880 | ||||||||
|
HOUSEHOLD DURABLES — 3.2%
|
||||||||
|
Jarden Corp.
|
1,550 | 81,902 | ||||||
|
KB HOME (b)
|
3,158 | 45,317 | ||||||
|
M.D.C. Holdings, Inc. (b)
|
1,580 | 60,846 | ||||||
|
Mohawk Industries, Inc. (a)
|
2,374 | 189,967 | ||||||
|
NVR, Inc. (a)
|
198 | 167,211 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
6,155 | 204,531 | ||||||
| 749,774 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.4%
|
||||||||
|
Energizer Holdings, Inc.
|
1,168 | 87,145 | ||||||
|
INDUSTRIAL CONGLOMERATES — 0.3%
|
||||||||
|
Carlisle Cos., Inc.
|
1,401 | 72,740 | ||||||
|
INSURANCE — 8.3%
|
||||||||
|
Alleghany Corp. (a)(b)
|
404 | 139,356 | ||||||
|
American Financial Group, Inc.
|
3,267 | 123,819 | ||||||
|
Arthur J. Gallagher & Co. (b)
|
2,356 | 84,392 | ||||||
|
Aspen Insurance Holdings, Ltd.
|
2,929 | 89,305 | ||||||
|
Brown & Brown, Inc.
|
2,902 | 75,655 | ||||||
|
Everest Re Group, Ltd.
|
2,121 | 226,862 | ||||||
|
Fidelity National Financial, Inc. (Class A)
|
8,670 | 185,451 | ||||||
|
First American Financial Corp. (b)
|
4,364 | 94,568 | ||||||
|
HCC Insurance Holdings, Inc. (b)
|
4,107 | 139,186 | ||||||
|
Kemper Corp. (b)
|
2,237 | 68,698 | ||||||
|
Mercury General Corp. (b)
|
1,473 | 56,931 | ||||||
|
Old Republic International Corp. (b)
|
9,908 | 92,144 | ||||||
|
Protective Life Corp. (b)
|
3,288 | 86,179 | ||||||
|
Reinsurance Group of America, Inc. (b)
|
3,017 | 174,594 | ||||||
|
StanCorp Financial Group, Inc. (b)
|
1,811 | 56,576 | ||||||
|
The Hanover Insurance Group, Inc.
|
1,841 | 68,596 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
W.R. Berkley Corp.
|
4,548 | $ | 170,505 | |||||
| 1,932,817 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.2%
|
||||||||
|
HSN, Inc. (b)
|
798 | 39,142 | ||||||
|
INTERNET SOFTWARE &
SERVICES — 0.9%
|
||||||||
|
AOL, Inc. (a)
|
3,695 | 130,175 | ||||||
|
Monster Worldwide, Inc. (a)(b)
|
4,821 | 35,338 | ||||||
|
ValueClick, Inc. (a)(b)
|
1,877 | 32,265 | ||||||
| 197,778 | ||||||||
|
IT SERVICES — 1.9%
|
||||||||
|
Acxiom Corp. (a)
|
3,117 | 56,948 | ||||||
|
Broadridge Financial Solutions, Inc.
|
2,865 | 66,840 | ||||||
|
Convergys Corp. (b)
|
4,638 | 72,678 | ||||||
|
CoreLogic, Inc. (a)
|
4,355 | 115,538 | ||||||
|
DST Systems, Inc. (b)
|
1,259 | 71,209 | ||||||
|
Lender Processing Services, Inc. (b)
|
1,478 | 41,221 | ||||||
|
ManTech International Corp. (Class A) (b)
|
440 | 10,560 | ||||||
| 434,994 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.2%
|
||||||||
|
Charles River Laboratories International, Inc. (a)
|
1,082 | 42,847 | ||||||
|
MACHINERY — 5.1%
|
||||||||
|
AGCO Corp. (a)(b)
|
3,986 | 189,255 | ||||||
|
CLARCOR, Inc. (b)
|
576 | 25,707 | ||||||
|
Crane Co.
|
537 | 21,442 | ||||||
|
Graco, Inc. (b)
|
898 | 45,151 | ||||||
|
Harsco Corp.
|
3,290 | 67,544 | ||||||
|
IDEX Corp. (b)
|
1,311 | 54,761 | ||||||
|
ITT Corp.
|
3,781 | 76,187 | ||||||
|
Kennametal, Inc. (b)
|
3,285 | 121,808 | ||||||
|
Lincoln Electric Holdings, Inc. (b)
|
1,631 | 63,691 | ||||||
|
Nordson Corp.
|
655 | 38,396 | ||||||
|
Oshkosh Corp. (a)(b)
|
3,740 | 102,588 | ||||||
|
SPX Corp.
|
961 | 62,859 | ||||||
|
Terex Corp. (a)(b)
|
4,522 | 102,107 | ||||||
|
Timken Co.
|
3,307 | 122,888 | ||||||
|
Trinity Industries, Inc.
|
3,280 | 98,302 | ||||||
| 1,192,686 | ||||||||
|
MARINE — 0.3%
|
||||||||
|
Kirby Corp. (a)(b)
|
600 | 33,168 | ||||||
|
Matson, Inc. (b)
|
1,739 | 36,363 | ||||||
| 69,531 | ||||||||
|
MEDIA — 1.7%
|
||||||||
|
AMC Networks, Inc. (Class A) (a)
|
1,440 | 62,669 | ||||||
|
Cinemark Holdings, Inc. (b)
|
1,559 | 34,968 | ||||||
|
DreamWorks Animation SKG, Inc. (Class A) (a)(b)
|
2,921 | 56,171 | ||||||
|
John Wiley & Sons, Inc. (Class A) (b)
|
545 | 25,043 | ||||||
|
Lamar Advertising Co. (Class A) (a)(b)
|
1,206 | 44,694 | ||||||
|
Meredith Corp. (b)
|
1,528 | 53,480 | ||||||
|
Scholastic Corp. (b)
|
1,071 | 34,036 | ||||||
|
The New York Times Co. (Class A) (a)(b)
|
5,018 | 48,976 | ||||||
|
Valassis Communications, Inc. (a)(b)
|
1,622 | 40,047 | ||||||
| 400,084 | ||||||||
|
METALS & MINING — 1.8%
|
||||||||
|
Carpenter Technology Corp.
|
647 | 33,851 | ||||||
|
Commercial Metals Co.
|
4,750 | 62,700 | ||||||
|
Reliance Steel & Aluminum Co. (b)
|
3,083 | 161,395 | ||||||
|
Steel Dynamics, Inc. (b)
|
8,992 | 100,980 | ||||||
|
Worthington Industries, Inc. (b)
|
2,182 | 47,262 | ||||||
| 406,188 | ||||||||
|
MULTI-UTILITIES — 1.7%
|
||||||||
|
Alliant Energy Corp.
|
2,417 | 104,874 | ||||||
|
Black Hills Corp.
|
712 | 25,326 | ||||||
|
MDU Resources Group, Inc.
|
7,764 | 171,118 | ||||||
|
Vectren Corp.
|
3,371 | 96,411 | ||||||
| 397,729 | ||||||||
|
MULTILINE RETAIL — 0.2%
|
||||||||
|
Saks, Inc. (a)
|
4,168 | 42,972 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 3.2%
|
||||||||
|
Arch Coal, Inc. (b)
|
8,626 | 54,602 | ||||||
|
Energen Corp.
|
895 | 46,907 | ||||||
|
Forest Oil Corp. (a)(b)
|
4,811 | 40,653 | ||||||
|
Hollyfrontier Corp. (b)
|
8,344 | 344,357 | ||||||
|
Plains Exploration & Production Co. (a)(b)
|
3,441 | 128,934 | ||||||
|
Quicksilver Resources, Inc. (a)
|
4,886 | 19,984 | ||||||
|
World Fuel Services Corp. (b)
|
2,949 | 105,014 | ||||||
| 740,451 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.5%
|
||||||||
|
Domtar Corp.
|
704 | 55,116 | ||||||
|
Louisiana-Pacific
Corp. (a)(b)
|
5,663 | 70,788 | ||||||
| 125,904 | ||||||||
|
PROFESSIONAL SERVICES — 0.9%
|
||||||||
|
Korn/Ferry International (a)(b)
|
1,987 | 30,461 | ||||||
|
Manpower, Inc.
|
3,256 | 119,821 | ||||||
|
The Corporate Executive Board Co.
|
602 | 32,285 | ||||||
|
Towers Watson & Co. (Class A)
|
587 | 31,140 | ||||||
| 213,707 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 9.1%
|
||||||||
|
Alexandria Real Estate Equities, Inc. (b)
|
1,157 | 85,063 | ||||||
|
American Campus Communities, Inc.
|
1,356 | 59,501 | ||||||
|
BioMed Realty Trust, Inc. (b)
|
6,310 | 118,123 | ||||||
|
BRE Properties, Inc.
|
1,225 | 57,440 | ||||||
|
Camden Property Trust (b)
|
1,100 | 70,939 | ||||||
|
Corporate Office Properties Trust (b)
|
2,964 | 71,047 | ||||||
|
Duke Realty Corp. (b)
|
11,115 | 163,390 | ||||||
|
Equity One, Inc. (b)
|
2,519 | 53,050 | ||||||
|
Highwoods Properties, Inc. (b)
|
1,813 | 59,140 | ||||||
|
Hospitality Properties Trust (b)
|
5,057 | 120,255 | ||||||
|
Liberty Property Trust (b)
|
2,886 | 104,589 | ||||||
|
Mack-Cali
Realty Corp.
|
3,464 | 92,142 | ||||||
|
National Retail Properties, Inc.
|
2,302 | 70,211 | ||||||
|
OMEGA Healthcare Investors, Inc.
|
2,510 | 57,052 | ||||||
|
Potlatch Corp. (b)
|
999 | 37,333 | ||||||
|
Rayonier, Inc. (b)
|
1,564 | 76,652 | ||||||
|
Realty Income Corp. (b)
|
2,138 | 87,423 | ||||||
|
Regency Centers Corp. (b)
|
1,950 | 95,024 | ||||||
|
Senior Housing Properties Trust
|
3,972 | 86,510 | ||||||
|
SL Green Realty Corp. (b)
|
1,771 | 141,804 | ||||||
|
The Macerich Co. (b)
|
2,724 | 155,895 | ||||||
|
UDR, Inc. (b)
|
4,929 | 122,338 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Weingarten Realty Investors (b)
|
4,637 | $ | 130,346 | |||||
| 2,115,267 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.7%
|
||||||||
|
Alexander & Baldwin, Inc. (a)
|
999 | 29,500 | ||||||
|
Jones Lang LaSalle, Inc. (b)
|
1,802 | 137,583 | ||||||
| 167,083 | ||||||||
|
ROAD & RAIL — 1.1%
|
||||||||
|
Con-way,
Inc. (b)
|
2,278 | 62,349 | ||||||
|
Kansas City Southern (b)
|
1,570 | 118,975 | ||||||
|
Landstar System, Inc. (b)
|
512 | 24,207 | ||||||
|
Werner Enterprises, Inc.
|
1,821 | 38,915 | ||||||
| 244,446 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 2.0% |
||||||||
|
Atmel Corp. (a)(b)
|
10,267 | 54,005 | ||||||
|
Cree, Inc. (a)(b)
|
1,280 | 32,678 | ||||||
|
Cypress Semiconductor Corp. (a)
|
3,742 | 40,114 | ||||||
|
Fairchild Semiconductor International, Inc. (a)(b)
|
5,213 | 68,395 | ||||||
|
Integrated Device Technology, Inc. (a)
|
5,939 | 34,921 | ||||||
|
International Rectifier Corp. (a)(b)
|
2,844 | 47,466 | ||||||
|
Intersil Corp. (Class A) (b)
|
5,212 | 45,605 | ||||||
|
MEMC Electronic Materials, Inc. (a)(b)
|
9,532 | 26,213 | ||||||
|
RF Micro Devices, Inc. (a)(b)
|
11,264 | 44,493 | ||||||
|
Skyworks Solutions, Inc. (a)(b)
|
2,562 | 60,374 | ||||||
| 454,264 | ||||||||
|
SOFTWARE — 1.9%
|
||||||||
|
Cadence Design Systems, Inc. (a)(b)
|
7,399 | 95,188 | ||||||
|
Compuware Corp. (a)
|
8,840 | 87,604 | ||||||
|
Fair Isaac Corp.
|
557 | 24,653 | ||||||
|
Mentor Graphics Corp. (a)(b)
|
3,804 | 58,886 | ||||||
|
Parametric Technology Corp. (a)
|
2,593 | 56,527 | ||||||
|
Quest Software, Inc. (a)
|
1,024 | 28,672 | ||||||
|
Synopsys, Inc. (a)
|
3,028 | 99,985 | ||||||
| 451,515 | ||||||||
|
SPECIALTY RETAIL — 4.7%
|
||||||||
|
Aaron’s, Inc. (b)
|
1,252 | 34,818 | ||||||
|
Aeropostale, Inc. (a)
|
1,256 | 16,994 | ||||||
|
American Eagle Outfitters, Inc. (b)
|
7,367 | 155,296 | ||||||
|
ANN, Inc. (a)
|
1,979 | 74,668 | ||||||
|
Ascena Retail Group, Inc. (a)(b)
|
1,807 | 38,760 | ||||||
|
Barnes & Noble, Inc. (a)(b)
|
1,577 | 20,154 | ||||||
|
Chico’s FAS, Inc.
|
6,806 | 123,257 | ||||||
|
Collective Brands, Inc. (a)
|
2,514 | 54,579 | ||||||
|
Dick’s Sporting Goods, Inc. (b)
|
1,152 | 59,731 | ||||||
|
Foot Locker, Inc. (b)
|
6,172 | 219,106 | ||||||
|
Guess?, Inc. (b)
|
868 | 22,064 | ||||||
|
Office Depot, Inc. (a)(b)
|
11,544 | 29,553 | ||||||
|
Rent-A-Center,
Inc. (b)
|
2,411 | 84,578 | ||||||
|
Signet Jewelers, Ltd. (b)
|
1,556 | 75,870 | ||||||
|
Williams-Sonoma,
Inc. (b)
|
1,744 | 76,684 | ||||||
| 1,086,112 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.6%
|
||||||||
|
Hanesbrands, Inc. (a)
|
4,005 | 127,679 | ||||||
|
THRIFTS & MORTGAGE FINANCE — 1.6%
|
||||||||
|
Astoria Financial Corp.
|
3,352 | 33,118 | ||||||
|
New York Community Bancorp, Inc. (b)
|
18,081 | 256,027 | ||||||
|
Washington Federal, Inc.
|
4,338 | 72,358 | ||||||
| 361,503 | ||||||||
|
TOBACCO — 0.2%
|
||||||||
|
Universal Corp. (b)
|
951 | 48,425 | ||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.5%
|
||||||||
|
GATX Corp. (b)
|
990 | 42,016 | ||||||
|
United Rentals, Inc. (a)(b)
|
2,324 | 76,018 | ||||||
| 118,034 | ||||||||
|
WATER UTILITIES — 0.3%
|
||||||||
|
Aqua America, Inc. (b)
|
2,653 | 65,688 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.5%
|
||||||||
|
Telephone & Data Systems, Inc.
|
4,125 | 105,641 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $21,556,983)
|
23,063,132 | |||||||
|
SHORT TERM INVESTMENTS — 28.7%
|
||||||||
|
MONEY MARKET FUNDS — 28.7%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
6,464,713 | 6,464,713 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
195,253 | 195,253 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $6,659,966)
|
6,659,966 | |||||||
|
TOTAL INVESTMENTS — 128.3% (f)
|
||||||||
|
(Cost $28,216,949)
|
29,723,098 | |||||||
|
OTHER ASSETS &
LIABILITIES — (28.3)% |
(6,555,370 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 23,167,728 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 100.1%
|
||||||||
|
AEROSPACE & DEFENSE — 2.1%
|
||||||||
|
AAR Corp.
|
16,761 | $ | 275,215 | |||||
|
Aerovironment, Inc. (a)
|
7,901 | 185,436 | ||||||
|
American Science & Engineering, Inc.
|
3,498 | 229,504 | ||||||
|
Ceradyne, Inc.
|
9,460 | 231,108 | ||||||
|
Cubic Corp.
|
6,650 | 332,899 | ||||||
|
Curtiss-Wright Corp.
|
19,487 | 637,225 | ||||||
|
Engility Holdings, Inc. (a)(b)
|
6,693 | 123,486 | ||||||
|
GenCorp, Inc. (a)(b)
|
25,067 | 237,886 | ||||||
|
Moog, Inc. (Class A) (a)
|
18,794 | 711,729 | ||||||
|
National Presto Industries, Inc. (b)
|
1,990 | 145,031 | ||||||
|
Orbital Sciences Corp. (a)
|
24,524 | 357,069 | ||||||
|
Teledyne Technologies, Inc. (a)
|
15,376 | 974,685 | ||||||
| 4,441,273 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.4%
|
||||||||
|
Forward Air Corp.
|
12,011 | 365,254 | ||||||
|
HUB Group, Inc. (Class A) (a)
|
14,744 | 437,602 | ||||||
| 802,856 | ||||||||
|
AIRLINES — 0.3%
|
||||||||
|
Allegiant Travel Co. (a)(b)
|
6,333 | 401,259 | ||||||
|
SkyWest, Inc. (b)
|
21,088 | 217,839 | ||||||
| 619,098 | ||||||||
|
AUTO COMPONENTS — 0.3%
|
||||||||
|
Drew Industries, Inc. (a)
|
7,830 | 236,544 | ||||||
|
Spartan Motors, Inc.
|
13,678 | 68,390 | ||||||
|
Standard Motor Products, Inc.
|
8,066 | 148,576 | ||||||
|
Superior Industries International, Inc.
|
9,807 | 167,602 | ||||||
| 621,112 | ||||||||
|
AUTOMOBILES — 0.1%
|
||||||||
|
Winnebago Industries, Inc. (a)(b)
|
12,040 | 152,065 | ||||||
|
BEVERAGES — 0.2%
|
||||||||
|
Boston Beer Co., Inc. (Class A) (a)(b)
|
3,498 | 391,671 | ||||||
|
BIOTECHNOLOGY — 1.0%
|
||||||||
|
ArQule, Inc. (a)(b)
|
25,266 | 129,109 | ||||||
|
Cubist Pharmaceuticals, Inc. (a)(b)
|
26,586 | 1,267,620 | ||||||
|
Emergent Biosolutions, Inc. (a)
|
10,724 | 152,388 | ||||||
|
Momenta Pharmaceuticals, Inc. (a)(b)
|
18,984 | 276,597 | ||||||
|
Spectrum Pharmaceuticals, Inc. (a)(b)
|
21,705 | 253,949 | ||||||
| 2,079,663 | ||||||||
|
BUILDING PRODUCTS — 1.4%
|
||||||||
|
A.O. Smith Corp.
|
16,171 | 930,479 | ||||||
|
AAON, Inc. (b)
|
7,778 | 153,149 | ||||||
|
Apogee Enterprises, Inc.
|
11,650 | 228,573 | ||||||
|
Gibraltar Industries, Inc. (a)
|
12,535 | 160,699 | ||||||
|
Griffon Corp.
|
19,091 | 196,637 | ||||||
|
NCI Building Systems, Inc. (a)
|
8,322 | 83,470 | ||||||
|
Quanex Building Products Corp. (b)
|
15,241 | 287,140 | ||||||
|
Simpson Manufacturing Co., Inc. (b)
|
16,822 | 481,446 | ||||||
|
Universal Forest Products, Inc.
|
8,119 | 337,263 | ||||||
| 2,858,856 | ||||||||
|
CAPITAL MARKETS — 1.3%
|
||||||||
|
Calamos Asset Management, Inc. (Class A)
|
8,444 | 98,288 | ||||||
|
Financial Engines, Inc. (a)(b)
|
16,930 | 403,442 | ||||||
|
HFF, Inc. (Class A) (a)
|
13,514 | 201,359 | ||||||
|
Investment Technology Group, Inc. (a)
|
16,313 | 141,923 | ||||||
|
Piper Jaffray Co., Inc. (a)(b)
|
6,817 | 173,493 | ||||||
|
Prospect Capital Corp.
|
60,343 | 695,151 | ||||||
|
Stifel Financial Corp. (a)(b)
|
20,702 | 695,587 | ||||||
|
SWS Group, Inc. (a)
|
12,102 | 73,943 | ||||||
|
Virtus Investment Partners, Inc. (a)
|
2,375 | 204,250 | ||||||
| 2,687,436 | ||||||||
|
CHEMICALS — 2.6%
|
||||||||
|
A. Schulman, Inc.
|
12,235 | 291,438 | ||||||
|
American Vanguard Corp. (b)
|
9,852 | 342,850 | ||||||
|
Balchem Corp.
|
12,131 | 445,572 | ||||||
|
Calgon Carbon Corp. (a)(b)
|
23,555 | 337,072 | ||||||
|
H.B. Fuller Co.
|
20,710 | 635,383 | ||||||
|
Hawkins, Inc.
|
3,784 | 157,225 | ||||||
|
Innophos Holdings, Inc.
|
8,987 | 435,780 | ||||||
|
Koppers Holdings, Inc.
|
8,551 | 298,686 | ||||||
|
Kraton Performance Polymers, Inc. (a)
|
13,485 | 351,958 | ||||||
|
LSB Industries, Inc. (a)
|
7,757 | 340,300 | ||||||
|
OM Group, Inc. (a)
|
13,386 | 248,176 | ||||||
|
PolyOne Corp.
|
37,132 | 615,277 | ||||||
|
Quaker Chemical Corp. (b)
|
5,365 | 250,384 | ||||||
|
Stepan Co. (b)
|
3,441 | 330,749 | ||||||
|
Tredegar Corp. (b)
|
10,039 | 178,092 | ||||||
|
Zep, Inc.
|
9,117 | 137,849 | ||||||
| 5,396,791 | ||||||||
|
COMMERCIAL BANKS — 6.3%
|
||||||||
|
Bank of the Ozarks, Inc. (b)
|
12,284 | 423,429 | ||||||
|
BBCN Bancorp, Inc. (a)
|
32,415 | 408,753 | ||||||
|
Boston Private Financial Holdings, Inc. (b)
|
32,446 | 311,157 | ||||||
|
City Holding Co. (b)
|
6,184 | 221,635 | ||||||
|
Columbia Banking System, Inc. (b)
|
16,383 | 303,741 | ||||||
|
Community Bank System, Inc. (b)
|
16,286 | 459,102 | ||||||
|
CVB Financial Corp. (b)
|
36,669 | 437,828 | ||||||
|
F.N.B. Corp. (b)
|
57,902 | 649,081 | ||||||
|
First BanCorp- Puerto Rico (a)
|
29,215 | 129,130 | ||||||
|
First Commonwealth Financial Corp. (b)
|
43,295 | 305,230 | ||||||
|
First Financial Bancorp (b)
|
24,172 | 408,749 | ||||||
|
First Financial Bankshares, Inc. (b)
|
12,469 | 449,258 | ||||||
|
First Midwest Bancorp, Inc.
|
31,078 | 390,029 | ||||||
|
Glacier Bancorp, Inc. (b)
|
29,894 | 465,749 | ||||||
|
Hanmi Financial Corp. (a)(b)
|
12,988 | 166,376 | ||||||
|
Home Bancshares, Inc.
|
9,606 | 327,469 | ||||||
|
Independent Bank
Corp.-Massachusetts (b)
|
8,911 | 268,132 | ||||||
|
National Penn Bancshares, Inc. (b)
|
51,219 | 466,605 | ||||||
|
NBT Bancorp, Inc. (b)
|
14,067 | 310,459 | ||||||
|
Old National Bancorp (b)
|
41,907 | 570,354 | ||||||
|
PacWest Bancorp (b)
|
13,435 | 313,976 | ||||||
|
Pinnacle Financial Partners, Inc. (a)(b)
|
13,527 | 261,342 | ||||||
|
PrivateBancorp, Inc.
|
24,903 | 398,199 | ||||||
|
S&T Bancorp, Inc.
|
11,993 | 211,197 | ||||||
|
Simmons First National Corp. (b)
|
7,079 | 172,409 | ||||||
|
Sterling Bancorp
|
12,858 | 127,551 | ||||||
|
Susquehanna Bancshares, Inc.
|
77,640 | 812,114 | ||||||
|
Texas Capital Bancshares, Inc. (a)(b)
|
16,694 | 829,859 | ||||||
|
Tompkins Financial Corp. (b)
|
4,800 | 194,496 | ||||||
|
UMB Financial Corp. (b)
|
13,486 | 656,498 | ||||||
|
Umpqua Holdings Corp. (b)
|
46,462 | 598,895 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
United Bankshares, Inc. (b)
|
19,089 | $ | 475,507 | |||||
|
United Community Banks, Inc. (a)
|
19,179 | 160,912 | ||||||
|
Wilshire Bancorp, Inc. (a)(b)
|
25,828 | 162,716 | ||||||
|
Wintrust Financial Corp. (b)
|
15,058 | 565,729 | ||||||
| 13,413,666 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 2.7%
|
||||||||
|
ABM Industries, Inc.
|
21,044 | 398,363 | ||||||
|
Consolidated Graphics, Inc. (a)
|
3,652 | 95,281 | ||||||
|
Encore Capital Group, Inc. (a)
|
9,642 | 272,483 | ||||||
|
G & K Services, Inc. (Class A)
|
7,875 | 246,566 | ||||||
|
Healthcare Services Group, Inc. (b)
|
28,062 | 641,778 | ||||||
|
Interface, Inc. (b)
|
24,117 | 318,586 | ||||||
|
Mobile Mini, Inc. (a)(b)
|
15,768 | 263,483 | ||||||
|
Portfolio Recovery Associates, Inc. (a)
|
7,099 | 741,348 | ||||||
|
Sykes Enterprises, Inc. (a)
|
16,327 | 219,435 | ||||||
|
Tetra Tech, Inc. (a)(b)
|
26,564 | 697,571 | ||||||
|
The Geo Group, Inc.
|
25,457 | 704,395 | ||||||
|
UniFirst Corp.
|
6,326 | 422,513 | ||||||
|
United Stationers, Inc.
|
16,783 | 436,694 | ||||||
|
Viad Corp.
|
8,376 | 174,723 | ||||||
| 5,633,219 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.4%
|
||||||||
|
Arris Group, Inc. (a)
|
47,135 | 602,857 | ||||||
|
Bel Fuse, Inc. (Class B)
|
4,231 | 79,035 | ||||||
|
Black Box Corp.
|
7,268 | 185,407 | ||||||
|
Comtech Telecommunications Corp. (b)
|
7,416 | 204,978 | ||||||
|
Digi International, Inc. (a)
|
10,573 | 107,422 | ||||||
|
Harmonic, Inc. (a)
|
48,751 | 221,329 | ||||||
|
Netgear, Inc. (a)
|
15,756 | 600,934 | ||||||
|
Oplink Communications, Inc. (a)
|
7,902 | 130,699 | ||||||
|
PC-Tel,
Inc. (b)
|
7,408 | 52,226 | ||||||
|
Symmetricom, Inc. (a)
|
17,476 | 121,808 | ||||||
|
ViaSat, Inc. (a)(b)
|
16,534 | 618,041 | ||||||
| 2,924,736 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.7%
|
||||||||
|
3D Systems Corp. (a)(b)
|
19,831 | 651,448 | ||||||
|
Avid Technology, Inc. (a)(b)
|
12,162 | 115,053 | ||||||
|
Intermec, Inc. (a)
|
23,307 | 144,736 | ||||||
|
Intevac, Inc. (a)
|
9,722 | 59,401 | ||||||
|
Novatel Wireless, Inc. (a)(b)
|
13,010 | 25,760 | ||||||
|
Super Micro Computer, Inc. (a)(b)
|
10,891 | 131,019 | ||||||
|
Synaptics, Inc. (a)(b)
|
13,954 | 335,175 | ||||||
| 1,462,592 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.7%
|
||||||||
|
Aegion Corp. (a)(b)
|
16,457 | 315,316 | ||||||
|
Comfort Systems USA, Inc.
|
15,573 | 170,213 | ||||||
|
Dycom Industries, Inc. (a)
|
13,923 | 200,213 | ||||||
|
EMCOR Group, Inc.
|
27,613 | 788,075 | ||||||
|
Orion Marine Group, Inc. (a)
|
11,202 | 83,231 | ||||||
| 1,557,048 | ||||||||
|
CONSTRUCTION MATERIALS — 0.7%
|
||||||||
|
Eagle Materials, Inc.
|
19,202 | 888,284 | ||||||
|
Headwaters, Inc. (a)
|
25,232 | 166,027 | ||||||
|
Texas Industries, Inc. (b)
|
8,628 | 350,728 | ||||||
| 1,405,039 | ||||||||
|
CONSUMER FINANCE — 0.8%
|
||||||||
|
Cash America International, Inc. (b)
|
12,219 | 471,287 | ||||||
|
Ezcorp, Inc. (a)
|
18,810 | 431,313 | ||||||
|
First Cash Financial Services, Inc. (a)
|
10,934 | 503,073 | ||||||
|
World Acceptance Corp. (a)(b)
|
5,443 | 367,131 | ||||||
| 1,772,804 | ||||||||
|
CONTAINERS & PACKAGING — 0.1%
|
||||||||
|
Myers Industries, Inc.
|
12,884 | 201,248 | ||||||
|
DISTRIBUTORS — 0.4%
|
||||||||
|
Pool Corp. (b)
|
19,629 | 816,174 | ||||||
|
VOXX International Corp. (a)(b)
|
7,772 | 58,134 | ||||||
| 874,308 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.9%
|
||||||||
|
American Public Education, Inc. (a)(b)
|
7,411 | 269,982 | ||||||
|
Capella Education Co. (a)(b)
|
4,963 | 174,003 | ||||||
|
Career Education Corp. (a)
|
22,040 | 83,091 | ||||||
|
Coinstar, Inc. (a)(b)
|
13,029 | 586,044 | ||||||
|
Corinthian Colleges, Inc. (a)(b)
|
35,108 | 83,557 | ||||||
|
Hillenbrand, Inc.
|
25,894 | 471,012 | ||||||
|
Lincoln Educational Services Corp. (b)
|
9,244 | 38,825 | ||||||
|
Universal Technical Institute, Inc.
|
8,924 | 122,259 | ||||||
| 1,828,773 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.3%
|
||||||||
|
Interactive Brokers Group, Inc. (Class A)
|
16,989 | 238,186 | ||||||
|
MarketAxess Holdings, Inc.
|
15,500 | 489,800 | ||||||
| 727,986 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.5%
|
||||||||
|
Atlantic
Tele-Network,
Inc. (b)
|
3,884 | 166,934 | ||||||
|
Cbeyond, Inc. (a)
|
12,560 | 123,842 | ||||||
|
Cincinnati Bell, Inc. (a)(b)
|
81,547 | 464,818 | ||||||
|
General Communication, Inc. (Class A) (a)
|
13,582 | 133,104 | ||||||
|
Lumos Networks Corp.
|
6,095 | 47,907 | ||||||
|
Neutral Tandem, Inc. (a)
|
12,996 | 121,902 | ||||||
| 1,058,507 | ||||||||
|
ELECTRIC UTILITIES — 1.3%
|
||||||||
|
ALLETE, Inc. (b)
|
14,372 | 599,888 | ||||||
|
El Paso Electric Co.
|
16,749 | 573,653 | ||||||
|
UIL Holdings Corp.
|
21,120 | 757,363 | ||||||
|
UNS Energy Corp.
|
17,184 | 719,322 | ||||||
| 2,650,226 | ||||||||
|
ELECTRICAL EQUIPMENT — 1.8%
|
||||||||
|
AZZ, Inc.
|
10,473 | 397,765 | ||||||
|
Belden, Inc.
|
18,770 | 692,238 | ||||||
|
Brady Corp. (Class A)
|
19,745 | 578,134 | ||||||
|
Encore Wire Corp.
|
7,955 | 232,763 | ||||||
|
EnerSys (a)
|
19,928 | 703,259 | ||||||
|
Franklin Electric Co., Inc.
|
8,003 | 484,102 | ||||||
|
II-VI,
Inc. (a)
|
22,703 | 431,811 | ||||||
|
Powell Industries, Inc. (a)(b)
|
3,738 | 144,548 | ||||||
|
Vicor Corp.
|
8,114 | 54,120 | ||||||
| 3,718,740 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 4.1% |
||||||||
|
Agilysys, Inc. (a)
|
6,115 | 52,589 | ||||||
|
Anixter International, Inc. (b)
|
11,585 | 665,674 | ||||||
|
Badger Meter, Inc. (b)
|
5,992 | 218,049 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Benchmark Electronics, Inc. (a)(b)
|
23,757 | $ | 362,769 | |||||
|
Brightpoint, Inc. (a)
|
28,693 | 257,663 | ||||||
|
Checkpoint Systems, Inc. (a)
|
16,625 | 137,655 | ||||||
|
Cognex Corp.
|
16,580 | 573,336 | ||||||
|
CTS Corp.
|
14,237 | 143,367 | ||||||
|
Daktronics, Inc.
|
15,322 | 145,712 | ||||||
|
DTS Inc. (a)(b)
|
7,809 | 181,794 | ||||||
|
Electro Scientific Industries, Inc.
|
10,015 | 122,383 | ||||||
|
FARO Technologies, Inc. (a)
|
7,001 | 289,281 | ||||||
|
FEI Co.
|
15,829 | 846,852 | ||||||
|
Insight Enterprises, Inc. (a)
|
18,263 | 319,237 | ||||||
|
Littelfuse, Inc.
|
9,088 | 513,836 | ||||||
|
Measurement Specialties, Inc. (a)
|
6,459 | 213,018 | ||||||
|
Mercury Computer Systems, Inc. (a)
|
12,711 | 134,991 | ||||||
|
Methode Electronics, Inc. (Class A)
|
15,333 | 148,883 | ||||||
|
MTS Systems Corp.
|
6,663 | 356,804 | ||||||
|
Newport Corp. (a)
|
15,785 | 174,582 | ||||||
|
OSI Systems, Inc. (a)
|
7,733 | 601,937 | ||||||
|
Park Electrochemical Corp.
|
8,057 | 200,055 | ||||||
|
Plexus Corp. (a)
|
14,441 | 437,418 | ||||||
|
Pulse Electronics Corp.
|
16,742 | 13,728 | ||||||
|
RadiSys Corp. (a)
|
9,432 | 33,955 | ||||||
|
Rofin-Sinar
Technologies, Inc. (a)(b)
|
11,812 | 233,051 | ||||||
|
Rogers Corp. (a)
|
6,808 | 288,387 | ||||||
|
Scansource, Inc. (a)
|
11,374 | 364,196 | ||||||
|
SYNNEX Corp. (a)(b)
|
10,994 | 358,185 | ||||||
|
TTM Technologies, Inc. (a)(b)
|
21,829 | 205,847 | ||||||
| 8,595,234 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.2%
|
||||||||
|
Basic Energy Services, Inc. (a)(b)
|
12,091 | 135,661 | ||||||
|
Bristow Group, Inc.
|
14,862 | 751,274 | ||||||
|
Exterran Holdings, Inc. (a)
|
26,903 | 545,593 | ||||||
|
Geospace Technologies Corp. (a)
|
2,627 | 321,571 | ||||||
|
Gulf Island Fabrication, Inc.
|
6,013 | 167,582 | ||||||
|
Hornbeck Offshore Services, Inc. (a)
|
13,293 | 487,189 | ||||||
|
ION Geophysical Corp. (a)(b)
|
49,943 | 346,604 | ||||||
|
Lufkin Industries, Inc. (b)
|
14,012 | 754,126 | ||||||
|
Matrix Service Co. (a)
|
10,568 | 111,704 | ||||||
|
Pioneer Energy Services Corp. (a)
|
25,463 | 198,357 | ||||||
|
SEACOR Holdings, Inc. (a)
|
8,298 | 691,721 | ||||||
|
Tetra Technologies, Inc. (a)
|
32,242 | 195,064 | ||||||
| 4,706,446 | ||||||||
|
FOOD & STAPLES RETAILING — 1.2%
|
||||||||
|
Casey’s General Stores, Inc.
|
15,974 | 912,754 | ||||||
|
Nash Finch Co.
|
5,026 | 102,631 | ||||||
|
Spartan Stores, Inc. (b)
|
8,948 | 136,994 | ||||||
|
The Andersons, Inc. (b)
|
7,164 | 269,796 | ||||||
|
United Natural Foods, Inc. (a)
|
20,337 | 1,188,698 | ||||||
| 2,610,873 | ||||||||
|
FOOD PRODUCTS — 2.5%
|
||||||||
|
B&G Foods, Inc. (b)
|
20,112 | 609,595 | ||||||
|
Cal-Maine
Foods, Inc.
|
5,934 | 266,674 | ||||||
|
Calavo Growers, Inc. (b)
|
5,219 | 130,475 | ||||||
|
Darling International, Inc. (a)
|
48,969 | 895,643 | ||||||
|
Diamond Foods, Inc. (b)
|
9,136 | 171,940 | ||||||
|
Hain Celestial Group, Inc. (a)
|
18,722 | 1,179,486 | ||||||
|
J&J Snack Foods Corp.
|
6,268 | 359,344 | ||||||
|
Sanderson Farms, Inc.
|
8,328 | 369,513 | ||||||
|
Seneca Foods Corp. (a)(b)
|
3,766 | 112,453 | ||||||
|
Snyders-Lance,
Inc. (b)
|
20,015 | 500,375 | ||||||
|
TreeHouse Foods, Inc. (a)(b)
|
15,102 | 792,855 | ||||||
| 5,388,353 | ||||||||
|
GAS UTILITIES — 2.0%
|
||||||||
|
New Jersey Resources Corp. (b)
|
17,262 | 789,219 | ||||||
|
Northwest Natural Gas Co. (b)
|
11,090 | 546,072 | ||||||
|
Piedmont Natural Gas Co., Inc.
|
29,884 | 970,632 | ||||||
|
South Jersey Industries, Inc.
|
12,827 | 678,933 | ||||||
|
Southwest Gas Corp.
|
19,114 | 844,839 | ||||||
|
The Laclede Group, Inc. (b)
|
8,756 | 376,508 | ||||||
| 4,206,203 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 3.7%
|
||||||||
|
Abaxis, Inc. (a)(b)
|
8,549 | 307,080 | ||||||
|
Align Technology, Inc. (a)(b)
|
29,808 | 1,102,002 | ||||||
|
Analogic Corp.
|
5,056 | 395,227 | ||||||
|
Cantel Medical Corp.
|
8,883 | 240,552 | ||||||
|
CONMED Corp.
|
11,673 | 332,680 | ||||||
|
CryoLife, Inc. (b)
|
11,274 | 75,761 | ||||||
|
Cyberonics, Inc. (a)(b)
|
9,874 | 517,595 | ||||||
|
Greatbatch, Inc. (a)(b)
|
9,703 | 236,074 | ||||||
|
Haemonetics Corp. (a)
|
10,703 | 858,381 | ||||||
|
HealthStream, Inc. (a)(b)
|
8,116 | 230,981 | ||||||
|
ICU Medical, Inc. (a)(b)
|
5,216 | 315,464 | ||||||
|
Integra LifeSciences Holdings Corp. (a)
|
8,302 | 341,212 | ||||||
|
Invacare Corp.
|
12,079 | 170,797 | ||||||
|
Meridian Bioscience, Inc. (b)
|
17,228 | 330,433 | ||||||
|
Merit Medical Systems, Inc. (a)
|
16,448 | 245,569 | ||||||
|
Natus Medical, Inc. (a)(b)
|
12,151 | 158,814 | ||||||
|
Neogen Corp. (a)(b)
|
9,246 | 394,804 | ||||||
|
NuVasive, Inc. (a)
|
18,101 | 414,694 | ||||||
|
Palomar Medical Technologies, Inc. (a)(b)
|
8,013 | 75,643 | ||||||
|
SurModics, Inc. (a)
|
5,073 | 102,576 | ||||||
|
Symmetry Medical, Inc. (a)
|
14,917 | 147,529 | ||||||
|
West Pharmaceutical Services, Inc. (b)
|
14,148 | 750,834 | ||||||
| 7,744,702 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 3.4%
|
||||||||
|
Air Methods Corp. (a)(b)
|
4,869 | 581,212 | ||||||
|
Almost Family, Inc. (a)
|
3,397 | 72,288 | ||||||
|
Amedisys, Inc. (a)
|
12,802 | 176,795 | ||||||
|
AMN Healthcare Services, Inc. (a)
|
16,721 | 168,213 | ||||||
|
AmSurg Corp. (a)
|
13,105 | 371,920 | ||||||
|
Bio-Reference
Laboratories, Inc. (a)(b)
|
10,257 | 293,145 | ||||||
|
Centene Corp. (a)
|
21,449 | 802,407 | ||||||
|
Chemed Corp. (b)
|
7,980 | 552,934 | ||||||
|
Corvel Corp. (a)(b)
|
2,623 | 117,379 | ||||||
|
Cross Country Healthcare, Inc. (a)
|
12,937 | 61,063 | ||||||
|
Gentiva Health Services, Inc. (a)
|
11,837 | 133,995 | ||||||
|
Hanger Orthopedic Group, Inc. (a)
|
14,188 | 404,784 | ||||||
|
Healthways, Inc. (a)(b)
|
13,739 | 160,884 | ||||||
|
IPC The Hospitalist Co. (a)(b)
|
6,838 | 312,496 | ||||||
|
Kindred Healthcare, Inc. (a)
|
21,935 | 249,620 | ||||||
|
Landauer, Inc.
|
3,925 | 234,401 | ||||||
|
LHC Group, Inc. (a)
|
6,546 | 120,905 | ||||||
|
Magellan Health Services, Inc. (a)
|
11,393 | 587,993 | ||||||
|
Molina Healthcare, Inc. (a)
|
12,425 | 312,489 | ||||||
|
MWI Veterinary Supply, Inc. (a)
|
4,948 | 527,853 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
PharMerica Corp. (a)
|
12,212 | $ | 154,604 | |||||
|
PSS World Medical, Inc. (a)(b)
|
20,817 | 474,211 | ||||||
|
The Ensign Group, Inc.
|
7,269 | 222,468 | ||||||
| 7,094,059 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.4%
|
||||||||
|
Computer Programs and Systems, Inc. (b)
|
4,338 | 240,976 | ||||||
|
Medidata Solutions, Inc. (a)
|
9,332 | 387,278 | ||||||
|
Omnicell, Inc. (a)
|
13,742 | 191,014 | ||||||
| 819,268 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 3.2%
|
||||||||
|
Biglari Holdings, Inc. (a)(b)
|
502 | 183,260 | ||||||
|
BJ’s Restaurants, Inc. (a)(b)
|
10,308 | 467,468 | ||||||
|
Boyd Gaming Corp. (a)(b)
|
23,432 | 165,430 | ||||||
|
Buffalo Wild Wings, Inc. (a)(b)
|
7,698 | 660,027 | ||||||
|
CEC Entertainment, Inc.
|
7,039 | 212,015 | ||||||
|
Cracker Barrel Old Country Store, Inc.
|
9,648 | 647,477 | ||||||
|
DineEquity, Inc. (a)(b)
|
6,512 | 364,672 | ||||||
|
Interval Leisure Group, Inc. (b)
|
16,479 | 311,947 | ||||||
|
Jack in the Box, Inc. (a)
|
18,521 | 520,625 | ||||||
|
Marcus Corp.
|
8,286 | 91,975 | ||||||
|
Marriott Vacations Worldwide Corp. (a)
|
11,911 | 429,034 | ||||||
|
Monarch Casino & Resort, Inc. (a)
|
4,617 | 40,214 | ||||||
|
Multimedia Games Holding Co., Inc. (a)
|
11,363 | 178,740 | ||||||
|
Papa John’s International, Inc. (a)
|
7,437 | 397,210 | ||||||
|
Peet’s Coffee & Tea, Inc. (a)(b)
|
5,498 | 403,223 | ||||||
|
Pinnacle Entertainment, Inc. (a)
|
25,928 | 317,618 | ||||||
|
Red Robin Gourmet Burgers, Inc. (a)
|
5,490 | 178,754 | ||||||
|
Ruby Tuesday, Inc. (a)(b)
|
25,074 | 181,787 | ||||||
|
Ruth’s Hospitality Group, Inc. (a)(b)
|
14,548 | 92,671 | ||||||
|
Shuffle Master, Inc. (a)
|
23,146 | 365,938 | ||||||
|
Sonic Corp. (a)
|
22,724 | 233,375 | ||||||
|
Texas Roadhouse, Inc. (Class A) (b)
|
24,295 | 415,445 | ||||||
| 6,858,905 | ||||||||
|
HOUSEHOLD DURABLES — 1.5%
|
||||||||
|
American Greetings Corp. (Class A) (b)
|
14,434 | 242,491 | ||||||
|
Blyth, Inc. (b)
|
4,762 | 123,764 | ||||||
|
Ethan Allen Interiors, Inc.
|
10,756 | 235,772 | ||||||
|
Helen of Troy, Ltd. (a)
|
13,133 | 418,023 | ||||||
|
iRobot Corp. (a)
|
10,805 | 245,922 | ||||||
|
La-Z-Boy,
Inc. (a)
|
21,800 | 318,934 | ||||||
|
M/I Homes, Inc. (a)
|
8,689 | 168,045 | ||||||
|
Meritage Homes Corp. (a)(b)
|
12,829 | 487,887 | ||||||
|
Standard Pacific Corp. (a)(b)
|
46,035 | 311,197 | ||||||
|
The Ryland Group, Inc.
|
18,635 | 559,050 | ||||||
|
Universal Electronics, Inc. (a)(b)
|
6,069 | 106,693 | ||||||
| 3,217,778 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.3%
|
||||||||
|
Central Garden & Pet Co. (Class A) (a)(b)
|
17,676 | 213,526 | ||||||
|
WD-40 Co.
|
6,193 | 326,000 | ||||||
| 539,526 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.1%
|
||||||||
|
Standex International Corp.
|
5,266 | 234,074 | ||||||
|
INSURANCE — 2.3%
|
||||||||
|
AMERISAFE, Inc. (a)
|
7,569 | 205,423 | ||||||
|
eHealth, Inc. (a)
|
8,230 | 154,477 | ||||||
|
Employers Holdings, Inc.
|
13,058 | 239,353 | ||||||
|
Horace Mann Educators Corp.
|
16,480 | 298,453 | ||||||
|
Infinity Property & Casualty Corp.
|
4,888 | 295,186 | ||||||
|
Meadowbrook Insurance Group, Inc.
|
19,505 | 149,993 | ||||||
|
National Financial Partners Corp. (a)(b)
|
16,871 | 285,120 | ||||||
|
Presidential Life Corp.
|
8,756 | 121,971 | ||||||
|
ProAssurance Corp.
|
12,772 | 1,155,100 | ||||||
|
RLI Corp.
|
7,108 | 473,819 | ||||||
|
Safety Insurance Group, Inc.
|
5,253 | 241,008 | ||||||
|
Selective Insurance Group, Inc.
|
22,797 | 432,915 | ||||||
|
Stewart Information Services Corp. (b)
|
7,389 | 148,815 | ||||||
|
The Navigators Group, Inc. (a)
|
4,520 | 222,497 | ||||||
|
Tower Group, Inc. (b)
|
14,436 | 279,914 | ||||||
|
United Fire Group, Inc.
|
9,135 | 229,471 | ||||||
| 4,933,515 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.2%
|
||||||||
|
Blue Nile, Inc. (a)(b)
|
5,092 | 188,862 | ||||||
|
NutriSystem, Inc. (b)
|
11,813 | 124,391 | ||||||
|
PetMed Express, Inc. (b)
|
8,328 | 83,613 | ||||||
| 396,866 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 2.0%
|
||||||||
|
Blucora, Inc. (a)
|
16,602 | 295,682 | ||||||
|
comScore, Inc. (a)
|
13,353 | 203,633 | ||||||
|
DealerTrack Holdings, Inc. (a)
|
17,743 | 494,143 | ||||||
|
Dice Holdings, Inc. (a)(b)
|
22,542 | 189,804 | ||||||
|
Digital River, Inc. (a)
|
15,221 | 253,582 | ||||||
|
j2 Global, Inc. (b)
|
17,877 | 586,723 | ||||||
|
Liquidity Services, Inc. (a)(b)
|
10,024 | 503,305 | ||||||
|
LivePerson, Inc. (a)(b)
|
20,841 | 377,430 | ||||||
|
LogMeIn, Inc. (a)(b)
|
9,241 | 207,276 | ||||||
|
OpenTable, Inc. (a)(b)
|
9,367 | 389,667 | ||||||
|
Perficient, Inc. (a)
|
13,736 | 165,793 | ||||||
|
QuinStreet, Inc. (a)
|
10,838 | 90,931 | ||||||
|
Stamps.com, Inc. (a)
|
6,151 | 142,334 | ||||||
|
United Online, Inc. (b)
|
37,633 | 207,734 | ||||||
|
XO Group, Inc. (a)
|
10,753 | 89,788 | ||||||
| 4,197,825 | ||||||||
|
IT SERVICES — 1.9%
|
||||||||
|
CACI International, Inc. (Class A) (a)
|
9,366 | 485,065 | ||||||
|
Cardtronics, Inc. (a)
|
18,294 | 544,795 | ||||||
|
CIBER, Inc. (a)
|
29,695 | 103,042 | ||||||
|
CSG Systems International, Inc. (a)
|
14,037 | 315,692 | ||||||
|
ExlService Holdings, Inc. (a)
|
10,809 | 318,865 | ||||||
|
Forrester Research, Inc. (b)
|
6,149 | 176,907 | ||||||
|
Heartland Payment Systems, Inc.
|
16,070 | 509,098 | ||||||
|
Higher One Holdings, Inc. (a)
|
13,629 | 183,719 | ||||||
|
iGate Corp. (a)
|
12,447 | 226,162 | ||||||
|
MAXIMUS, Inc.
|
14,141 | 844,500 | ||||||
|
NCI, Inc. (Class A) (a)
|
3,237 | 22,271 | ||||||
|
TeleTech Holdings, Inc. (a)
|
9,529 | 162,469 | ||||||
|
Virtusa Corp. (a)
|
8,310 | 147,669 | ||||||
| 4,040,254 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.8%
|
||||||||
|
Arctic Cat, Inc. (a)
|
5,462 | 226,455 | ||||||
|
Brunswick Corp.
|
37,262 | 843,239 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Callaway Golf Co. (b)
|
27,074 | $ | 166,234 | |||||
|
JAKKS Pacific, Inc. (b)
|
9,082 | 132,325 | ||||||
|
Sturm Ruger & Co, Inc. (b)
|
8,013 | 396,563 | ||||||
| 1,764,816 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.6%
|
||||||||
|
Affymetrix, Inc. (a)(b)
|
29,343 | 127,055 | ||||||
|
Cambrex Corp. (a)
|
12,202 | 143,129 | ||||||
|
Enzo Biochem, Inc. (a)(b)
|
13,666 | 27,879 | ||||||
|
Luminex Corp. (a)(b)
|
15,715 | 305,500 | ||||||
|
PAREXEL International Corp. (a)
|
25,048 | 770,476 | ||||||
| 1,374,039 | ||||||||
|
MACHINERY — 3.8%
|
||||||||
|
Actuant Corp. (Class A) (b)
|
30,323 | 867,844 | ||||||
|
Albany International Corp. (Class A)
|
11,966 | 262,893 | ||||||
|
Astec Industries, Inc. (a)
|
8,708 | 275,260 | ||||||
|
Barnes Group, Inc.
|
19,524 | 488,295 | ||||||
|
Briggs & Stratton Corp. (b)
|
20,127 | 375,771 | ||||||
|
Cascade Corp.
|
3,569 | 195,367 | ||||||
|
CIRCOR International, Inc.
|
7,171 | 270,705 | ||||||
|
EnPro Industries, Inc. (a)(b)
|
8,548 | 307,814 | ||||||
|
ESCO Technologies, Inc.
|
11,144 | 432,944 | ||||||
|
Federal Signal Corp. (a)(b)
|
25,906 | 163,726 | ||||||
|
John Bean Technologies Corp.
|
11,891 | 194,180 | ||||||
|
Kaydon Corp.
|
13,240 | 295,782 | ||||||
|
Lindsay Corp. (b)
|
5,286 | 380,434 | ||||||
|
Lydall, Inc. (a)(b)
|
7,113 | 100,222 | ||||||
|
Mueller Industries, Inc.
|
15,906 | 723,246 | ||||||
|
Robbins & Myers, Inc.
|
17,720 | 1,056,112 | ||||||
|
Tennant Co. (b)
|
7,854 | 336,308 | ||||||
|
The Toro Co.
|
24,416 | 971,269 | ||||||
|
Watts Water Technologies, Inc. (Class A) (b)
|
11,504 | 435,196 | ||||||
| 8,133,368 | ||||||||
|
MEDIA — 0.6%
|
||||||||
|
Arbitron, Inc. (b)
|
10,958 | 415,308 | ||||||
|
Digital Generation, Inc. (a)(b)
|
10,568 | 120,052 | ||||||
|
Harte-Hanks, Inc.
|
18,136 | 125,683 | ||||||
|
Live Nation Entertainment, Inc. (a)(b)
|
58,741 | 505,760 | ||||||
|
The E.W. Scripps Co. (Class A) (a)
|
11,797 | 125,638 | ||||||
| 1,292,441 | ||||||||
|
METALS & MINING — 1.4%
|
||||||||
|
A.M. Castle & Co. (a)(b)
|
6,823 | 85,219 | ||||||
|
AK Steel Holding Corp. (b)
|
45,972 | 220,666 | ||||||
|
AMCOL International Corp. (b)
|
10,457 | 354,283 | ||||||
|
Century Aluminum Co. (a)(b)
|
22,463 | 160,610 | ||||||
|
Globe Specialty Metals, Inc.
|
26,554 | 404,152 | ||||||
|
Haynes International, Inc.
|
5,097 | 265,809 | ||||||
|
Kaiser Aluminum Corp. (b)
|
6,983 | 407,737 | ||||||
|
Materion Corp.
|
8,460 | 201,348 | ||||||
|
Olympic Steel, Inc. (b)
|
3,772 | 63,671 | ||||||
|
RTI International Metals, Inc. (a)(b)
|
12,539 | 300,184 | ||||||
|
SunCoke Energy, Inc. (a)
|
29,064 | 468,512 | ||||||
| 2,932,191 | ||||||||
|
MULTI-UTILITIES — 0.8%
|
||||||||
|
Avista Corp.
|
24,400 | 628,056 | ||||||
|
CH Energy Group, Inc. (b)
|
6,201 | 404,367 | ||||||
|
NorthWestern Corp.
|
15,521 | 562,326 | ||||||
| 1,594,749 | ||||||||
|
MULTILINE RETAIL — 0.1%
|
||||||||
|
Fred’s, Inc. (Class A) (b)
|
14,031 | 199,661 | ||||||
|
Tuesday Morning Corp. (a)
|
17,473 | 114,448 | ||||||
| 314,109 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 1.8%
|
||||||||
|
Approach Resources, Inc. (a)(b)
|
13,780 | 415,191 | ||||||
|
Cloud Peak Energy, Inc. (a)
|
25,225 | 456,573 | ||||||
|
Comstock Resources, Inc. (a)(b)
|
18,638 | 342,566 | ||||||
|
Contango Oil & Gas Co. (a)(b)
|
5,270 | 258,968 | ||||||
|
Gulfport Energy Corp. (a)
|
20,620 | 644,581 | ||||||
|
Overseas Shipholding Group, Inc. (b)
|
10,833 | 71,498 | ||||||
|
PDC Energy, Inc. (a)(b)
|
12,645 | 399,961 | ||||||
|
Penn Virginia Corp. (b)
|
19,403 | 120,299 | ||||||
|
Petroquest Energy, Inc. (a)(b)
|
23,551 | 158,027 | ||||||
|
Stone Energy Corp. (a)
|
20,541 | 515,990 | ||||||
|
Swift Energy Co. (a)(b)
|
17,710 | 369,785 | ||||||
| 3,753,439 | ||||||||
|
PAPER & FOREST PRODUCTS — 1.1%
|
||||||||
|
Buckeye Technologies, Inc.
|
16,594 | 532,004 | ||||||
|
Clearwater Paper Corp. (a)
|
9,723 | 401,657 | ||||||
|
Deltic Timber Corp. (b)
|
4,477 | 292,169 | ||||||
|
KapStone Paper and Packaging Corp. (a)
|
16,186 | 362,405 | ||||||
|
Neenah Paper, Inc.
|
6,599 | 188,995 | ||||||
|
Schweitzer-Mauduit
International, Inc.
|
12,876 | 424,779 | ||||||
|
Wausau Paper Corp.
|
19,283 | 178,561 | ||||||
| 2,380,570 | ||||||||
|
PERSONAL PRODUCTS — 0.3%
|
||||||||
|
Inter Parfums, Inc. (b)
|
6,634 | 121,402 | ||||||
|
Medifast, Inc. (a)
|
5,659 | 147,983 | ||||||
|
Prestige Brands Holdings, Inc. (a)
|
20,958 | 355,448 | ||||||
| 624,833 | ||||||||
|
PHARMACEUTICALS — 1.9%
|
||||||||
|
Akorn, Inc. (a)(b)
|
27,907 | 368,931 | ||||||
|
Hi-Tech
Pharmacal Co., Inc. (a)(b)
|
4,376 | 144,889 | ||||||
|
Par Pharmaceutical Cos., Inc. (a)
|
15,262 | 762,795 | ||||||
|
Questcor Pharmaceuticals, Inc. (a)(b)
|
24,922 | 461,057 | ||||||
|
Salix Pharmaceuticals, Ltd. (a)
|
20,779 | 879,783 | ||||||
|
The Medicines Co. (a)
|
22,302 | 575,615 | ||||||
|
ViroPharma, Inc. (a)(b)
|
28,784 | 869,852 | ||||||
| 4,062,922 | ||||||||
|
PROFESSIONAL SERVICES — 1.0%
|
||||||||
|
CDI Corp. (b)
|
5,769 | 98,246 | ||||||
|
Exponent, Inc. (a)
|
5,591 | 319,190 | ||||||
|
Heidrick & Struggles International, Inc.
|
7,393 | 94,187 | ||||||
|
Insperity, Inc.
|
9,298 | 234,589 | ||||||
|
Kelly Services, Inc. (Class A) (b)
|
11,698 | 147,395 | ||||||
|
Navigant Consulting, Inc. (a)
|
21,553 | 238,161 | ||||||
|
On Assignment, Inc. (a)
|
17,857 | 355,711 | ||||||
|
Resources Connection, Inc.
|
17,602 | 230,762 | ||||||
|
The Dolan Co. (a)
|
12,460 | 67,035 | ||||||
|
TrueBlue, Inc. (a)
|
16,716 | 262,775 | ||||||
| 2,048,051 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 8.0%
|
||||||||
|
Acadia Realty Trust
|
19,022 | 472,126 | ||||||
|
Cedar Shopping Centers, Inc. (b)
|
23,583 | 124,518 | ||||||
|
Colonial Properties Trust
|
34,476 | 725,720 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Cousins Properties, Inc.
|
37,728 | $ | 299,560 | |||||
|
DiamondRock Hospitality Co.
|
81,327 | 783,179 | ||||||
|
EastGroup Properties, Inc.
|
12,140 | 645,848 | ||||||
|
Entertainment Properties Trust (b)
|
19,439 | 863,675 | ||||||
|
Extra Space Storage, Inc.
|
40,344 | 1,341,438 | ||||||
|
Franklin Street Properties Corp.
|
29,996 | 332,056 | ||||||
|
Getty Realty Corp. (b)
|
11,193 | 200,914 | ||||||
|
Healthcare Realty Trust, Inc.
|
35,674 | 822,286 | ||||||
|
Inland Real Estate Corp. (b)
|
32,004 | 264,033 | ||||||
|
Kilroy Realty Corp.
|
30,775 | 1,378,104 | ||||||
|
Kite Realty Group Trust
|
26,480 | 135,048 | ||||||
|
LaSalle Hotel Properties
|
35,926 | 958,865 | ||||||
|
Lexington Realty Trust (b)
|
56,137 | 542,283 | ||||||
|
LTC Properties, Inc.
|
12,675 | 403,699 | ||||||
|
Medical Properties Trust, Inc.
|
56,180 | 587,081 | ||||||
|
Mid-America
Apartment Communities, Inc.
|
17,078 | 1,115,364 | ||||||
|
Parkway Properties, Inc. (b)
|
9,015 | 120,531 | ||||||
|
Pennsylvania Real Estate Investment Trust
|
21,941 | 347,984 | ||||||
|
Post Properties, Inc.
|
22,542 | 1,081,114 | ||||||
|
PS Business Parks, Inc.
|
7,462 | 498,611 | ||||||
|
Sabra Healthcare REIT, Inc.
|
15,281 | 305,773 | ||||||
|
Saul Centers, Inc.
|
5,312 | 235,853 | ||||||
|
Sovran Self Storage, Inc.
|
12,269 | 709,762 | ||||||
|
Tanger Factory Outlet Centers, Inc.
|
39,135 | 1,265,235 | ||||||
|
Universal Health Realty Income Trust (b)
|
5,327 | 244,935 | ||||||
|
Urstadt Biddle Properties, Inc. (Class A) (b)
|
9,689 | 196,008 | ||||||
| 17,001,603 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.1%
|
||||||||
|
Forestar Group, Inc. (a)(b)
|
14,443 | 240,620 | ||||||
|
ROAD & RAIL — 0.7%
|
||||||||
|
Arkansas Best Corp.
|
10,454 | 82,795 | ||||||
|
Heartland Express, Inc. (b)
|
19,228 | 256,886 | ||||||
|
Knight Transportation, Inc. (b)
|
24,379 | 348,620 | ||||||
|
Old Dominion Freight Line, Inc. (a)
|
29,387 | 886,312 | ||||||
| 1,574,613 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 4.4% |
||||||||
|
Advanced Energy Industries, Inc. (a)
|
14,603 | 179,909 | ||||||
|
ATMI, Inc. (a)
|
13,177 | 244,697 | ||||||
|
Brooks Automation, Inc.
|
27,568 | 221,371 | ||||||
|
Cabot Microelectronics Corp.
|
9,709 | 341,174 | ||||||
|
CEVA, Inc. (a)
|
9,708 | 139,601 | ||||||
|
Cirrus Logic, Inc. (a)(b)
|
26,876 | 1,031,770 | ||||||
|
Cohu, Inc.
|
10,046 | 94,332 | ||||||
|
Cymer, Inc. (a)
|
12,980 | 662,759 | ||||||
|
Diodes, Inc. (a)(b)
|
15,265 | 259,658 | ||||||
|
DSP Group, Inc. (a)
|
9,371 | 55,664 | ||||||
|
Entropic Communications, Inc. (a)
|
36,254 | 210,998 | ||||||
|
Exar Corp. (a)(b)
|
18,746 | 149,968 | ||||||
|
GT Advanced Technologies, Inc. (a)(b)
|
49,588 | 270,255 | ||||||
|
Hittite Microwave Corp. (a)
|
11,255 | 624,315 | ||||||
|
Kopin Corp. (a)(b)
|
25,697 | 96,621 | ||||||
|
Kulicke & Soffa Industries, Inc. (a)
|
30,687 | 319,145 | ||||||
|
Micrel, Inc. (b)
|
20,513 | 213,745 | ||||||
|
Microsemi Corp. (a)
|
37,075 | 744,095 | ||||||
|
MKS Instruments, Inc.
|
21,845 | 556,829 | ||||||
|
Monolithic Power Systems, Inc. (a)
|
12,931 | 255,387 | ||||||
|
Nanometrics, Inc. (a)(b)
|
8,854 | 122,274 | ||||||
|
Pericom Semiconductor Corp. (a)
|
9,862 | 85,651 | ||||||
|
Power Integrations, Inc. (b)
|
11,980 | 364,551 | ||||||
|
Rubicon Technology, Inc. (a)(b)
|
7,240 | 69,359 | ||||||
|
Rudolph Technologies, Inc. (a)(b)
|
13,284 | 139,482 | ||||||
|
Sigma Designs, Inc. (a)(b)
|
13,233 | 87,470 | ||||||
|
STR Holdings, Inc. (a)(b)
|
16,965 | 52,592 | ||||||
|
Supertex, Inc. (a)
|
4,457 | 79,691 | ||||||
|
Tessera Technologies, Inc.
|
21,586 | 295,297 | ||||||
|
TriQuint Semiconductor, Inc. (a)(b)
|
69,683 | 351,899 | ||||||
|
Ultratech, Inc. (a)
|
10,874 | 341,226 | ||||||
|
Veeco Instruments, Inc. (a)
|
16,313 | 489,716 | ||||||
|
Volterra Semiconductor Corp. (a)
|
10,461 | 228,782 | ||||||
| 9,380,283 | ||||||||
|
SOFTWARE — 3.7%
|
||||||||
|
Blackbaud, Inc.
|
18,630 | 445,630 | ||||||
|
Bottomline Technologies, Inc. (a)
|
15,184 | 374,893 | ||||||
|
CommVault Systems, Inc. (a)
|
17,401 | 1,021,439 | ||||||
|
Ebix, Inc. (b)
|
13,253 | 312,903 | ||||||
|
EPIQ Systems, Inc.
|
13,441 | 180,378 | ||||||
|
Interactive Intelligence Group (a)(b)
|
6,191 | 186,040 | ||||||
|
JDA Software Group, Inc. (a)
|
17,844 | 567,082 | ||||||
|
Manhattan Associates, Inc. (a)
|
8,394 | 480,724 | ||||||
|
MicroStrategy, Inc. (a)
|
3,550 | 475,949 | ||||||
|
Monotype Imaging Holdings, Inc.
|
14,987 | 233,647 | ||||||
|
Netscout Systems, Inc. (a)
|
14,950 | 381,375 | ||||||
|
OPNET Technologies, Inc. (b)
|
6,365 | 216,856 | ||||||
|
Progress Software Corp. (a)
|
26,437 | 565,487 | ||||||
|
Quality Systems, Inc.
|
16,419 | 304,572 | ||||||
|
Sourcefire, Inc. (a)(b)
|
12,470 | 611,404 | ||||||
|
Synchronoss Technologies, Inc. (a)(b)
|
11,230 | 257,167 | ||||||
|
Take-Two
Interactive Software, Inc. (a)
|
37,243 | 388,444 | ||||||
|
Tyler Technologies, Inc. (a)(b)
|
10,841 | 477,221 | ||||||
|
Vasco Data Security International (a)(b)
|
11,841 | 111,069 | ||||||
|
Websense, Inc. (a)(b)
|
15,322 | 239,789 | ||||||
| 7,832,069 | ||||||||
|
SPECIALTY RETAIL — 5.4%
|
||||||||
|
Big 5 Sporting Goods Corp.
|
7,079 | 70,436 | ||||||
|
Brown Shoe Co., Inc.
|
16,916 | 271,163 | ||||||
|
Cabela’s, Inc. (a)
|
19,203 | 1,050,020 | ||||||
|
Christopher & Banks Corp.
|
14,607 | 51,271 | ||||||
|
Coldwater Creek, Inc. (a)
|
35,811 | 29,723 | ||||||
|
Genesco, Inc. (a)
|
10,133 | 676,175 | ||||||
|
Group 1 Automotive, Inc. (b)
|
8,873 | 534,421 | ||||||
|
Haverty Furniture Cos., Inc. (b)
|
7,880 | 109,374 | ||||||
|
Hibbett Sports, Inc. (a)(b)
|
10,830 | 643,843 | ||||||
|
Hot Topic, Inc. (b)
|
17,585 | 152,990 | ||||||
|
Jos. A. Bank Clothiers, Inc. (a)(b)
|
11,588 | 561,786 | ||||||
|
Kirkland’s, Inc. (a)
|
6,485 | 64,396 | ||||||
|
Lithia Motors, Inc. (Class A) (b)
|
8,913 | 296,892 | ||||||
|
Lumber Liquidators Holdings, Inc. (a)
|
11,342 | 574,813 | ||||||
|
MarineMax, Inc. (a)
|
9,766 | 80,960 | ||||||
|
Monro Muffler Brake, Inc. (b)
|
12,140 | 427,207 | ||||||
|
OfficeMax, Inc. (b)
|
35,603 | 278,059 | ||||||
|
Pep
Boys-Manny,
Moe & Jack (b)
|
21,843 | 222,362 | ||||||
|
Rue21, Inc. (a)
|
6,492 | 202,226 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Select Comfort Corp. (a)
|
23,471 | $ | 740,510 | |||||
|
Sonic Automotive, Inc. (Class A)
|
15,645 | 296,942 | ||||||
|
Stage Stores, Inc.
|
13,058 | 275,001 | ||||||
|
Stein Mart, Inc. (a)
|
11,096 | 94,427 | ||||||
|
The Buckle, Inc. (b)
|
11,306 | 513,632 | ||||||
|
The Cato Corp. (Class A)
|
11,181 | 332,188 | ||||||
|
The Children’s Place Retail Stores, Inc. (a)(b)
|
10,019 | 601,140 | ||||||
|
The Finish Line, Inc. (Class A)
|
21,127 | 480,428 | ||||||
|
The Men’s Wearhouse, Inc.
|
19,898 | 685,088 | ||||||
|
Vitamin Shoppe, Inc. (a)(b)
|
12,380 | 722,002 | ||||||
|
Zale Corp. (a)
|
10,839 | 74,789 | ||||||
|
Zumiez, Inc. (a)
|
9,241 | 256,253 | ||||||
| 11,370,517 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 2.4%
|
||||||||
|
Crocs, Inc. (a)
|
37,320 | 604,957 | ||||||
|
Fifth & Pacific Cos, Inc. (a)
|
47,129 | 602,309 | ||||||
|
Iconix Brand Group, Inc. (a)(b)
|
28,411 | 518,217 | ||||||
|
K-Swiss,
Inc. (Class A) (a)(b)
|
11,027 | 37,823 | ||||||
|
Maidenform Brands, Inc. (a)(b)
|
9,759 | 199,864 | ||||||
|
Movado Group, Inc.
|
7,253 | 244,571 | ||||||
|
Oxford Industries, Inc.
|
5,974 | 337,232 | ||||||
|
Perry Ellis International, Inc. (a)
|
5,049 | 111,330 | ||||||
|
Quiksilver, Inc. (a)
|
50,590 | 167,959 | ||||||
|
Skechers U.S.A., Inc. (a)
|
15,836 | 323,054 | ||||||
|
Steven Madden, Ltd. (a)
|
16,993 | 742,934 | ||||||
|
True Religion Apparel, Inc. (b)
|
10,062 | 214,623 | ||||||
|
Wolverine World Wide, Inc. (b)
|
20,353 | 903,063 | ||||||
| 5,007,936 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 1.0%
|
||||||||
|
Bank Mutual Corp. (b)
|
19,024 | 86,559 | ||||||
|
Brookline Bancorp, Inc.
|
29,151 | 257,112 | ||||||
|
Dime Community Bancshares
|
11,713 | 169,136 | ||||||
|
Northwest Bancshares, Inc.
|
40,600 | 496,538 | ||||||
|
Oritani Financial Corp.
|
16,176 | 243,449 | ||||||
|
Provident Financial Services, Inc. (b)
|
22,292 | 351,991 | ||||||
|
TrustCo Bank Corp. NY (b)
|
38,645 | 221,049 | ||||||
|
ViewPoint Financial Group
|
14,752 | 282,796 | ||||||
| 2,108,630 | ||||||||
|
TOBACCO — 0.1%
|
||||||||
|
Alliance One International, Inc. (a)(b)
|
36,170 | 116,829 | ||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.5%
|
||||||||
|
Applied Industrial Technologies, Inc. (b)
|
17,519 | 725,812 | ||||||
|
Kaman Corp. (b)
|
10,941 | 392,344 | ||||||
|
Lawson Products, Inc.
|
1,582 | 10,948 | ||||||
| 1,129,104 | ||||||||
|
WATER UTILITIES — 0.2%
|
||||||||
|
American States Water Co.
|
7,801 | 346,598 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.1%
|
||||||||
|
NTELOS Holdings Corp.
|
6,232 | 108,250 | ||||||
|
USA Mobility, Inc. (b)
|
9,110 | 108,135 | ||||||
| 216,385 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $202,147,474)
|
211,464,309 | |||||||
|
SHORT TERM INVESTMENTS — 12.3%
|
||||||||
|
MONEY MARKET FUNDS — 12.3%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
25,333,228 | 25,333,228 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
633,708 | 633,708 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $25,966,936)
|
25,966,936 | |||||||
|
TOTAL INVESTMENTS — 112.4% (f)
|
||||||||
|
(Cost $228,114,410)
|
237,431,245 | |||||||
|
OTHER ASSETS &
LIABILITIES — (12.4)% |
(26,257,414 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 211,173,831 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 100.2%
|
||||||||
|
AEROSPACE & DEFENSE — 2.2%
|
||||||||
|
Aerovironment, Inc. (a)
|
12,908 | $ | 302,951 | |||||
|
American Science & Engineering, Inc.
|
5,743 | 376,798 | ||||||
|
Cubic Corp.
|
10,847 | 543,001 | ||||||
|
Engility Holdings, Inc. (a)(b)
|
5,829 | 107,545 | ||||||
|
Moog, Inc. (Class A) (a)
|
20,134 | 762,475 | ||||||
|
National Presto Industries, Inc. (b)
|
3,320 | 241,962 | ||||||
|
Teledyne Technologies, Inc. (a)
|
25,191 | 1,596,857 | ||||||
| 3,931,589 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.6%
|
||||||||
|
Forward Air Corp.
|
19,894 | 604,977 | ||||||
|
HUB Group, Inc. (Class A) (a)
|
13,825 | 410,326 | ||||||
| 1,015,303 | ||||||||
|
AIRLINES — 0.4%
|
||||||||
|
Allegiant Travel Co. (a)(b)
|
10,352 | 655,903 | ||||||
|
BEVERAGES — 0.4%
|
||||||||
|
Boston Beer Co., Inc. (Class A) (a)
|
5,795 | 648,866 | ||||||
|
BIOTECHNOLOGY — 1.9%
|
||||||||
|
ArQule, Inc. (a)
|
41,759 | 213,388 | ||||||
|
Cubist Pharmaceuticals, Inc. (a)(b)
|
43,678 | 2,082,567 | ||||||
|
Emergent Biosolutions, Inc. (a)
|
11,970 | 170,094 | ||||||
|
Momenta Pharmaceuticals, Inc. (a)(b)
|
31,160 | 454,001 | ||||||
|
Spectrum Pharmaceuticals, Inc. (a)(b)
|
35,654 | 417,152 | ||||||
| 3,337,202 | ||||||||
|
BUILDING PRODUCTS — 0.7%
|
||||||||
|
A.O. Smith Corp.
|
11,448 | 658,718 | ||||||
|
AAON, Inc. (b)
|
6,716 | 132,238 | ||||||
|
NCI Building Systems, Inc. (a)
|
3,729 | 37,402 | ||||||
|
Simpson Manufacturing Co., Inc.
|
12,170 | 348,305 | ||||||
| 1,176,663 | ||||||||
|
CAPITAL MARKETS — 1.0%
|
||||||||
|
Financial Engines, Inc. (a)
|
27,777 | 661,926 | ||||||
|
HFF, Inc. (Class A) (a)
|
7,800 | 116,220 | ||||||
|
Stifel Financial Corp. (a)
|
19,446 | 653,386 | ||||||
|
Virtus Investment Partners, Inc. (a)(b)
|
2,984 | 256,624 | ||||||
| 1,688,156 | ||||||||
|
CHEMICALS — 2.3%
|
||||||||
|
American Vanguard Corp. (b)
|
6,132 | 213,394 | ||||||
|
Balchem Corp.
|
20,067 | 737,061 | ||||||
|
Calgon Carbon Corp. (a)(b)
|
16,349 | 233,954 | ||||||
|
H.B. Fuller Co.
|
15,819 | 485,327 | ||||||
|
Hawkins, Inc.
|
6,291 | 261,391 | ||||||
|
Innophos Holdings, Inc.
|
14,863 | 720,707 | ||||||
|
Koppers Holdings, Inc.
|
6,928 | 241,995 | ||||||
|
Kraton Performance Polymers, Inc. (a)
|
12,598 | 328,808 | ||||||
|
LSB Industries, Inc. (a)
|
6,455 | 283,181 | ||||||
|
Quaker Chemical Corp. (b)
|
5,259 | 245,437 | ||||||
|
Stepan Co.
|
4,091 | 393,227 | ||||||
| 4,144,482 | ||||||||
|
COMMERCIAL BANKS — 2.2%
|
||||||||
|
Bank of the Ozarks, Inc.
|
11,702 | 403,368 | ||||||
|
City Holding Co. (b)
|
4,314 | 154,614 | ||||||
|
Community Bank System, Inc. (b)
|
12,449 | 350,937 | ||||||
|
CVB Financial Corp.
|
18,287 | 218,347 | ||||||
|
First Financial Bancorp
|
18,040 | 305,057 | ||||||
|
First Financial Bankshares, Inc. (b)
|
11,646 | 419,605 | ||||||
|
Hanmi Financial Corp. (a)
|
7,336 | 93,974 | ||||||
|
Home Bancshares, Inc.
|
6,444 | 219,676 | ||||||
|
PacWest Bancorp
|
7,340 | 171,536 | ||||||
|
Texas Capital Bancshares, Inc. (a)
|
11,658 | 579,519 | ||||||
|
Tompkins Financial Corp. (b)
|
5,477 | 221,928 | ||||||
|
UMB Financial Corp. (b)
|
13,694 | 666,624 | ||||||
| 3,805,185 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 2.0%
|
||||||||
|
Consolidated Graphics, Inc. (a)
|
3,599 | 93,898 | ||||||
|
Encore Capital Group, Inc. (a)
|
11,521 | 325,583 | ||||||
|
Healthcare Services Group, Inc. (b)
|
29,541 | 675,603 | ||||||
|
Portfolio Recovery Associates, Inc. (a)
|
11,668 | 1,218,489 | ||||||
|
Tetra Tech, Inc. (a)
|
25,604 | 672,361 | ||||||
|
UniFirst Corp.
|
7,506 | 501,326 | ||||||
| 3,487,260 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.2%
|
||||||||
|
Netgear, Inc. (a)
|
25,871 | 986,720 | ||||||
|
Oplink Communications, Inc. (a)
|
7,998 | 132,287 | ||||||
|
ViaSat, Inc. (a)(b)
|
27,089 | 1,012,587 | ||||||
| 2,131,594 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.6%
|
||||||||
|
3D Systems Corp. (a)(b)
|
17,570 | 577,174 | ||||||
|
Synaptics, Inc. (a)(b)
|
22,932 | 550,827 | ||||||
| 1,128,001 | ||||||||
|
CONSTRUCTION MATERIALS — 0.4%
|
||||||||
|
Eagle Materials, Inc.
|
11,318 | 523,571 | ||||||
|
Headwaters, Inc. (a)
|
16,621 | 109,366 | ||||||
| 632,937 | ||||||||
|
CONSUMER FINANCE — 1.6%
|
||||||||
|
Cash America International, Inc. (b)
|
20,134 | 776,568 | ||||||
|
Ezcorp, Inc. (a)
|
30,847 | 707,322 | ||||||
|
First Cash Financial Services, Inc. (a)
|
18,047 | 830,343 | ||||||
|
World Acceptance Corp. (a)(b)
|
8,862 | 597,742 | ||||||
| 2,911,975 | ||||||||
|
DISTRIBUTORS — 0.4%
|
||||||||
|
Pool Corp.
|
15,289 | 635,717 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 1.3%
|
||||||||
|
American Public Education, Inc. (a)(b)
|
12,397 | 451,623 | ||||||
|
Capella Education Co. (a)(b)
|
8,076 | 283,145 | ||||||
|
Coinstar, Inc. (a)(b)
|
21,288 | 957,534 | ||||||
|
Hillenbrand, Inc.
|
28,722 | 522,453 | ||||||
|
Universal Technical Institute, Inc.
|
8,480 | 116,176 | ||||||
| 2,330,931 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.5%
|
||||||||
|
MarketAxess Holdings, Inc.
|
25,500 | 805,800 | ||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.3%
|
||||||||
|
Atlantic
Tele-Network, Inc.
|
6,444 | 276,963 | ||||||
|
General Communication, Inc. (Class A) (a)
|
10,160 | 99,568 | ||||||
|
Neutral Tandem, Inc. (a)
|
14,490 | 135,916 | ||||||
| 512,447 | ||||||||
|
ELECTRIC UTILITIES — 1.3%
|
||||||||
|
ALLETE, Inc.
|
11,818 | 493,284 | ||||||
|
El Paso Electric Co.
|
16,824 | 576,222 | ||||||
|
UIL Holdings Corp.
|
13,236 | 474,643 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
UNS Energy Corp.
|
16,977 | $ | 710,657 | |||||
| 2,254,806 | ||||||||
|
ELECTRICAL EQUIPMENT — 1.5%
|
||||||||
|
AZZ, Inc.
|
17,292 | 656,750 | ||||||
|
Belden, Inc.
|
11,370 | 419,326 | ||||||
|
Franklin Electric Co., Inc.
|
13,025 | 787,882 | ||||||
|
II-VI,
Inc. (a)
|
37,480 | 712,870 | ||||||
|
Vicor Corp.
|
6,929 | 46,216 | ||||||
| 2,623,044 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 3.6% |
||||||||
|
Badger Meter, Inc. (b)
|
6,883 | 250,472 | ||||||
|
Cognex Corp.
|
27,259 | 942,616 | ||||||
|
DTS Inc. (a)(b)
|
12,718 | 296,075 | ||||||
|
FARO Technologies, Inc. (a)
|
11,535 | 476,626 | ||||||
|
FEI Co.
|
17,986 | 962,251 | ||||||
|
Littelfuse, Inc.
|
14,869 | 840,693 | ||||||
|
Measurement Specialties, Inc. (a)
|
6,972 | 229,937 | ||||||
|
Mercury Computer Systems, Inc. (a)
|
11,018 | 117,011 | ||||||
|
MTS Systems Corp.
|
10,956 | 586,694 | ||||||
|
OSI Systems, Inc. (a)
|
12,790 | 995,574 | ||||||
|
Park Electrochemical Corp.
|
5,956 | 147,887 | ||||||
|
Rofin-Sinar
Technologies, Inc. (a)(b)
|
9,124 | 180,017 | ||||||
|
Rogers Corp. (a)
|
7,184 | 304,314 | ||||||
| 6,330,167 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.1%
|
||||||||
|
Basic Energy Services, Inc. (a)(b)
|
6,852 | 76,879 | ||||||
|
Geospace Technologies Corp. (a)
|
4,334 | 530,525 | ||||||
|
Hornbeck Offshore Services, Inc. (a)
|
11,079 | 406,045 | ||||||
|
ION Geophysical Corp. (a)(b)
|
27,169 | 188,553 | ||||||
|
Lufkin Industries, Inc. (b)
|
23,036 | 1,239,798 | ||||||
|
Pioneer Energy Services Corp. (a)
|
17,697 | 137,860 | ||||||
|
SEACOR Holdings, Inc. (a)
|
13,637 | 1,136,780 | ||||||
| 3,716,440 | ||||||||
|
FOOD & STAPLES RETAILING — 1.5%
|
||||||||
|
Casey’s General Stores, Inc.
|
26,255 | 1,500,211 | ||||||
|
United Natural Foods, Inc. (a)
|
19,767 | 1,155,381 | ||||||
| 2,655,592 | ||||||||
|
FOOD PRODUCTS — 3.1%
|
||||||||
|
B&G Foods, Inc.
|
15,285 | 463,288 | ||||||
|
Calavo Growers, Inc. (b)
|
5,088 | 127,200 | ||||||
|
Darling International, Inc. (a)
|
37,801 | 691,380 | ||||||
|
Diamond Foods, Inc. (b)
|
8,850 | 166,557 | ||||||
|
Hain Celestial Group, Inc. (a)
|
19,411 | 1,222,893 | ||||||
|
J&J Snack Foods Corp.
|
10,197 | 584,594 | ||||||
|
Sanderson Farms, Inc.
|
13,651 | 605,695 | ||||||
|
Snyders-Lance, Inc.
|
13,852 | 346,300 | ||||||
|
TreeHouse Foods, Inc. (a)
|
24,765 | 1,300,163 | ||||||
| 5,508,070 | ||||||||
|
GAS UTILITIES — 2.1%
|
||||||||
|
New Jersey Resources Corp.
|
15,393 | 703,768 | ||||||
|
Northwest Natural Gas Co. (b)
|
10,810 | 532,284 | ||||||
|
Piedmont Natural Gas Co., Inc.
|
22,680 | 736,646 | ||||||
|
South Jersey Industries, Inc.
|
21,120 | 1,117,882 | ||||||
|
Southwest Gas Corp.
|
14,535 | 642,447 | ||||||
| 3,733,027 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 5.2%
|
||||||||
|
Abaxis, Inc. (a)(b)
|
14,064 | 505,179 | ||||||
|
Align Technology, Inc. (a)(b)
|
32,846 | 1,214,317 | ||||||
|
Analogic Corp.
|
8,362 | 653,657 | ||||||
|
Cantel Medical Corp.
|
9,777 | 264,761 | ||||||
|
Cyberonics, Inc. (a)(b)
|
16,288 | 853,817 | ||||||
|
Greatbatch, Inc. (a)
|
10,997 | 267,557 | ||||||
|
Haemonetics Corp. (a)
|
17,545 | 1,407,109 | ||||||
|
HealthStream, Inc. (a)(b)
|
10,530 | 299,684 | ||||||
|
ICU Medical, Inc. (a)(b)
|
8,475 | 512,568 | ||||||
|
Integra LifeSciences Holdings Corp. (a)
|
10,028 | 412,151 | ||||||
|
Meridian Bioscience, Inc. (b)
|
16,079 | 308,395 | ||||||
|
Merit Medical Systems, Inc. (a)
|
16,007 | 238,984 | ||||||
|
Neogen Corp. (a)(b)
|
15,241 | 650,791 | ||||||
|
NuVasive, Inc. (a)
|
29,447 | 674,631 | ||||||
|
SurModics, Inc. (a)
|
3,354 | 67,818 | ||||||
|
West Pharmaceutical Services, Inc.
|
15,187 | 805,974 | ||||||
| 9,137,393 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 4.1%
|
||||||||
|
Air Methods Corp. (a)(b)
|
7,930 | 946,604 | ||||||
|
AmSurg Corp. (a)
|
13,571 | 385,145 | ||||||
|
Bio-Reference
Laboratories, Inc. (a)(b)
|
10,281 | 293,831 | ||||||
|
Centene Corp. (a)
|
23,682 | 885,944 | ||||||
|
Chemed Corp. (b)
|
13,131 | 909,847 | ||||||
|
Corvel Corp. (a)
|
4,278 | 191,441 | ||||||
|
IPC The Hospitalist Co. (a)(b)
|
11,285 | 515,725 | ||||||
|
Landauer, Inc. (b)
|
6,485 | 387,284 | ||||||
|
Magellan Health Services, Inc. (a)
|
18,642 | 962,114 | ||||||
|
MWI Veterinary Supply, Inc. (a)(b)
|
8,233 | 878,296 | ||||||
|
PSS World Medical, Inc. (a)
|
21,916 | 499,246 | ||||||
|
The Ensign Group, Inc.
|
11,885 | 363,740 | ||||||
| 7,219,217 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.6%
|
||||||||
|
Computer Programs and Systems, Inc. (b)
|
7,119 | 395,460 | ||||||
|
Medidata Solutions, Inc. (a)
|
15,295 | 634,743 | ||||||
|
Omnicell, Inc. (a)
|
9,040 | 125,656 | ||||||
| 1,155,859 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 3.5%
|
||||||||
|
Biglari Holdings, Inc. (a)
|
821 | 299,714 | ||||||
|
BJ’s Restaurants, Inc. (a)(b)
|
16,890 | 765,962 | ||||||
|
Buffalo Wild Wings, Inc. (a)(b)
|
12,686 | 1,087,698 | ||||||
|
CEC Entertainment, Inc.
|
11,534 | 347,404 | ||||||
|
Cracker Barrel Old Country Store, Inc.
|
10,327 | 693,045 | ||||||
|
DineEquity, Inc. (a)(b)
|
10,726 | 600,656 | ||||||
|
Interval Leisure Group, Inc. (b)
|
12,077 | 228,618 | ||||||
|
Multimedia Games Holding Co., Inc. (a)
|
6,054 | 95,229 | ||||||
|
Papa John’s International, Inc. (a)
|
12,022 | 642,095 | ||||||
|
Peet’s Coffee & Tea, Inc. (a)
|
8,983 | 658,813 | ||||||
|
Shuffle Master, Inc. (a)
|
16,725 | 264,422 | ||||||
|
Texas Roadhouse, Inc. (Class A) (b)
|
24,473 | 418,488 | ||||||
| 6,102,144 | ||||||||
|
HOUSEHOLD DURABLES — 0.8%
|
||||||||
|
Blyth, Inc. (b)
|
5,260 | 136,707 | ||||||
|
Helen of Troy, Ltd. (a)
|
12,181 | 387,721 | ||||||
|
iRobot Corp. (a)
|
17,768 | 404,400 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
The Ryland Group, Inc.
|
14,643 | $ | 439,290 | |||||
| 1,368,118 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.3%
|
||||||||
|
WD-40 Co.
|
10,173 | 535,507 | ||||||
|
INSURANCE — 2.0%
|
||||||||
|
eHealth, Inc. (a)
|
9,212 | 172,909 | ||||||
|
Infinity Property & Casualty Corp.
|
7,976 | 481,671 | ||||||
|
ProAssurance Corp.
|
20,994 | 1,898,697 | ||||||
|
RLI Corp.
|
11,617 | 774,389 | ||||||
|
The Navigators Group, Inc. (a)
|
3,985 | 196,162 | ||||||
| 3,523,828 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.2%
|
||||||||
|
Blue Nile, Inc. (a)(b)
|
8,468 | 314,078 | ||||||
|
INTERNET SOFTWARE &
SERVICES — 2.9%
|
||||||||
|
Blucora, Inc. (a)
|
27,652 | 492,482 | ||||||
|
comScore, Inc. (a)(b)
|
21,976 | 335,134 | ||||||
|
DealerTrack Holdings, Inc. (a)
|
16,061 | 447,299 | ||||||
|
Dice Holdings, Inc. (a)(b)
|
16,018 | 134,871 | ||||||
|
j2 Global, Inc. (b)
|
29,379 | 964,219 | ||||||
|
Liquidity Services, Inc. (a)(b)
|
16,578 | 832,381 | ||||||
|
LivePerson, Inc. (a)(b)
|
34,314 | 621,426 | ||||||
|
LogMeIn, Inc. (a)(b)
|
15,295 | 343,067 | ||||||
|
OpenTable, Inc. (a)(b)
|
15,501 | 644,842 | ||||||
|
QuinStreet, Inc. (a)
|
11,161 | 93,641 | ||||||
|
Stamps.com, Inc. (a)
|
10,163 | 235,172 | ||||||
| 5,144,534 | ||||||||
|
IT SERVICES — 2.8%
|
||||||||
|
CACI International, Inc. (Class A) (a)
|
15,405 | 797,825 | ||||||
|
Cardtronics, Inc. (a)
|
18,719 | 557,452 | ||||||
|
CSG Systems International, Inc. (a)
|
14,086 | 316,794 | ||||||
|
ExlService Holdings, Inc. (a)
|
14,057 | 414,682 | ||||||
|
Forrester Research, Inc. (b)
|
9,900 | 284,823 | ||||||
|
Heartland Payment Systems, Inc.
|
16,471 | 521,801 | ||||||
|
Higher One Holdings, Inc. (a)
|
22,469 | 302,882 | ||||||
|
iGate Corp. (a)
|
9,789 | 177,866 | ||||||
|
MAXIMUS, Inc.
|
23,213 | 1,386,280 | ||||||
|
TeleTech Holdings, Inc. (a)
|
6,195 | 105,625 | ||||||
|
Virtusa Corp. (a)
|
6,351 | 112,857 | ||||||
| 4,978,887 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.6%
|
||||||||
|
Brunswick Corp.
|
19,695 | 445,698 | ||||||
|
Sturm Ruger & Co, Inc. (b)
|
13,043 | 645,498 | ||||||
| 1,091,196 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.6%
|
||||||||
|
Enzo Biochem, Inc. (a)(b)
|
9,408 | 19,192 | ||||||
|
Luminex Corp. (a)
|
26,133 | 508,026 | ||||||
|
PAREXEL International Corp. (a)
|
18,028 | 554,541 | ||||||
| 1,081,759 | ||||||||
|
MACHINERY — 2.7%
|
||||||||
|
Cascade Corp.
|
2,718 | 148,783 | ||||||
|
CIRCOR International, Inc.
|
4,757 | 179,577 | ||||||
|
Kaydon Corp.
|
8,334 | 186,182 | ||||||
|
Lindsay Corp. (b)
|
8,663 | 623,476 | ||||||
|
Robbins & Myers, Inc.
|
21,020 | 1,252,792 | ||||||
|
Tennant Co.
|
8,738 | 374,161 | ||||||
|
The Toro Co.
|
40,196 | 1,598,997 | ||||||
|
Watts Water Technologies, Inc. (Class A) (b)
|
9,784 | 370,129 | ||||||
| 4,734,097 | ||||||||
|
MEDIA — 0.4%
|
||||||||
|
Arbitron, Inc. (b)
|
18,181 | 689,060 | ||||||
|
METALS & MINING — 0.6%
|
||||||||
|
AMCOL International Corp. (b)
|
10,151 | 343,916 | ||||||
|
Globe Specialty Metals, Inc.
|
29,233 | 444,926 | ||||||
|
Haynes International, Inc.
|
5,361 | 279,576 | ||||||
| 1,068,418 | ||||||||
|
MULTI-UTILITIES — 0.5%
|
||||||||
|
CH Energy Group, Inc. (b)
|
6,244 | 407,171 | ||||||
|
NorthWestern Corp.
|
13,221 | 478,997 | ||||||
| 886,168 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 1.3%
|
||||||||
|
Approach Resources, Inc. (a)(b)
|
22,689 | 683,620 | ||||||
|
Cloud Peak Energy, Inc. (a)
|
9,814 | 177,633 | ||||||
|
Contango Oil & Gas Co. (a)(b)
|
8,652 | 425,159 | ||||||
|
Gulfport Energy Corp. (a)
|
22,346 | 698,536 | ||||||
|
PDC Energy, Inc. (a)(b)
|
8,275 | 261,738 | ||||||
| 2,246,686 | ||||||||
|
PAPER & FOREST PRODUCTS — 1.5%
|
||||||||
|
Buckeye Technologies, Inc.
|
18,077 | 579,549 | ||||||
|
Clearwater Paper Corp. (a)
|
9,684 | 400,046 | ||||||
|
Deltic Timber Corp.
|
7,495 | 489,124 | ||||||
|
KapStone Paper and Packaging Corp. (a)
|
18,965 | 424,626 | ||||||
|
Schweitzer-Mauduit
International, Inc.
|
21,385 | 705,491 | ||||||
| 2,598,836 | ||||||||
|
PERSONAL PRODUCTS — 0.2%
|
||||||||
|
Inter Parfums, Inc.
|
5,502 | 100,687 | ||||||
|
Medifast, Inc. (a)
|
9,543 | 249,549 | ||||||
| 350,236 | ||||||||
|
PHARMACEUTICALS — 3.6%
|
||||||||
|
Akorn, Inc. (a)(b)
|
45,690 | 604,022 | ||||||
|
Hi-Tech
Pharmacal Co., Inc. (a)(b)
|
7,409 | 245,312 | ||||||
|
Par Pharmaceutical Cos., Inc. (a)
|
18,521 | 925,679 | ||||||
|
Questcor Pharmaceuticals, Inc. (a)(b)
|
41,094 | 760,239 | ||||||
|
Salix Pharmaceuticals, Ltd. (a)
|
34,222 | 1,448,959 | ||||||
|
The Medicines Co. (a)
|
36,623 | 945,240 | ||||||
|
ViroPharma, Inc. (a)(b)
|
47,036 | 1,421,428 | ||||||
| 6,350,879 | ||||||||
|
PROFESSIONAL SERVICES — 0.4%
|
||||||||
|
Exponent, Inc. (a)
|
9,201 | 525,285 | ||||||
|
The Dolan Co. (a)
|
20,069 | 107,971 | ||||||
| 633,256 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 7.0%
|
||||||||
|
Acadia Realty Trust
|
19,443 | 482,575 | ||||||
|
Colonial Properties Trust
|
16,456 | 346,399 | ||||||
|
EastGroup Properties, Inc.
|
20,027 | 1,065,436 | ||||||
|
Entertainment Properties Trust
|
16,944 | 752,822 | ||||||
|
Extra Space Storage, Inc.
|
32,490 | 1,080,293 | ||||||
|
Healthcare Realty Trust, Inc.
|
24,104 | 555,597 | ||||||
|
Inland Real Estate Corp. (b)
|
15,977 | 131,810 | ||||||
|
Kilroy Realty Corp.
|
25,788 | 1,154,787 | ||||||
|
LTC Properties, Inc.
|
11,223 | 357,453 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Mid-America
Apartment Communities, Inc.
|
28,106 | $ | 1,835,603 | |||||
|
Post Properties, Inc.
|
20,732 | 994,307 | ||||||
|
PS Business Parks, Inc.
|
12,315 | 822,888 | ||||||
|
Sabra Healthcare REIT, Inc.
|
10,019 | 200,480 | ||||||
|
Saul Centers, Inc.
|
5,855 | 259,962 | ||||||
|
Sovran Self Storage, Inc.
|
10,854 | 627,904 | ||||||
|
Tanger Factory Outlet Centers, Inc.
|
37,894 | 1,225,113 | ||||||
|
Universal Health Realty Income Trust
|
5,617 | 258,270 | ||||||
|
Urstadt Biddle Properties, Inc. (Class A)
|
7,406 | 149,823 | ||||||
| 12,301,522 | ||||||||
|
ROAD & RAIL — 0.8%
|
||||||||
|
Heartland Express, Inc. (b)
|
13,606 | 181,776 | ||||||
|
Knight Transportation, Inc. (b)
|
18,229 | 260,675 | ||||||
|
Old Dominion Freight Line, Inc. (a)
|
34,845 | 1,050,925 | ||||||
| 1,493,376 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 6.8% |
||||||||
|
ATMI, Inc. (a)
|
9,642 | 179,052 | ||||||
|
Brooks Automation, Inc.
|
30,298 | 243,293 | ||||||
|
Cabot Microelectronics Corp.
|
16,074 | 564,840 | ||||||
|
CEVA, Inc. (a)
|
15,602 | 224,357 | ||||||
|
Cirrus Logic, Inc. (a)(b)
|
44,196 | 1,696,685 | ||||||
|
Cymer, Inc. (a)(b)
|
21,187 | 1,081,808 | ||||||
|
Diodes, Inc. (a)(b)
|
15,799 | 268,741 | ||||||
|
Entropic Communications, Inc. (a)
|
60,437 | 351,743 | ||||||
|
Exar Corp. (a)
|
31,238 | 249,904 | ||||||
|
GT Advanced Technologies, Inc. (a)(b)
|
81,551 | 444,453 | ||||||
|
Hittite Microwave Corp. (a)
|
18,557 | 1,029,357 | ||||||
|
Kopin Corp. (a)
|
21,228 | 79,817 | ||||||
|
Kulicke & Soffa Industries, Inc. (a)
|
50,631 | 526,562 | ||||||
|
Micrel, Inc. (b)
|
20,867 | 217,434 | ||||||
|
Microsemi Corp. (a)
|
43,290 | 868,830 | ||||||
|
MKS Instruments, Inc.
|
22,856 | 582,600 | ||||||
|
Monolithic Power Systems, Inc. (a)
|
13,522 | 267,060 | ||||||
|
Nanometrics, Inc. (a)
|
9,910 | 136,857 | ||||||
|
Power Integrations, Inc. (b)
|
19,767 | 601,510 | ||||||
|
Rubicon Technology, Inc. (a)(b)
|
11,619 | 111,310 | ||||||
|
STR Holdings, Inc. (a)(b)
|
17,382 | 53,884 | ||||||
|
Supertex, Inc. (a)
|
3,089 | 55,231 | ||||||
|
Tessera Technologies, Inc.
|
22,675 | 310,194 | ||||||
|
TriQuint Semiconductor, Inc. (a)(b)
|
66,817 | 337,426 | ||||||
|
Ultratech, Inc. (a)
|
12,313 | 386,382 | ||||||
|
Veeco Instruments, Inc. (a)(b)
|
26,794 | 804,356 | ||||||
|
Volterra Semiconductor Corp. (a)
|
17,192 | 375,989 | ||||||
| 12,049,675 | ||||||||
|
SOFTWARE — 6.3%
|
||||||||
|
Blackbaud, Inc.
|
30,745 | 735,420 | ||||||
|
Bottomline Technologies, Inc. (a)
|
16,465 | 406,521 | ||||||
|
CommVault Systems, Inc. (a)
|
28,658 | 1,682,225 | ||||||
|
Ebix, Inc. (b)
|
21,886 | 516,728 | ||||||
|
EPIQ Systems, Inc.
|
9,935 | 133,328 | ||||||
|
Interactive Intelligence Group (a)
|
10,017 | 301,011 | ||||||
|
JDA Software Group, Inc. (a)
|
29,356 | 932,934 | ||||||
|
Manhattan Associates, Inc. (a)
|
13,747 | 787,291 | ||||||
|
MicroStrategy, Inc. (a)
|
5,897 | 790,611 | ||||||
|
Monotype Imaging Holdings, Inc.
|
12,683 | 197,728 | ||||||
|
Netscout Systems, Inc. (a)
|
24,603 | 627,622 | ||||||
|
OPNET Technologies, Inc. (b)
|
10,226 | 348,400 | ||||||
|
Progress Software Corp. (a)
|
20,112 | 430,196 | ||||||
|
Quality Systems, Inc.
|
27,289 | 506,211 | ||||||
|
Sourcefire, Inc. (a)(b)
|
20,469 | 1,003,595 | ||||||
|
Synchronoss Technologies, Inc. (a)
|
18,485 | 423,306 | ||||||
|
Tyler Technologies, Inc. (a)
|
17,793 | 783,248 | ||||||
|
Vasco Data Security International (a)
|
7,653 | 71,785 | ||||||
|
Websense, Inc. (a)(b)
|
25,162 | 393,785 | ||||||
| 11,071,945 | ||||||||
|
SPECIALTY RETAIL — 5.3%
|
||||||||
|
Genesco, Inc. (a)
|
16,647 | 1,110,854 | ||||||
|
Hibbett Sports, Inc. (a)
|
17,837 | 1,060,410 | ||||||
|
Jos. A. Bank Clothiers, Inc. (a)(b)
|
19,145 | 928,150 | ||||||
|
Kirkland’s, Inc. (a)
|
5,941 | 58,994 | ||||||
|
Lumber Liquidators Holdings, Inc. (a)
|
13,193 | 668,621 | ||||||
|
Monro Muffler Brake, Inc. (b)
|
19,978 | 703,026 | ||||||
|
Rue21, Inc. (a)
|
10,783 | 335,890 | ||||||
|
Select Comfort Corp. (a)
|
16,160 | 509,848 | ||||||
|
The Buckle, Inc. (b)
|
18,594 | 844,725 | ||||||
|
The Cato Corp. (Class A)
|
11,039 | 327,969 | ||||||
|
The Children’s Place Retail Stores, Inc. (a)(b)
|
16,659 | 999,540 | ||||||
|
The Finish Line, Inc. (Class A)
|
17,628 | 400,861 | ||||||
|
Vitamin Shoppe, Inc. (a)(b)
|
20,363 | 1,187,570 | ||||||
|
Zumiez, Inc. (a)
|
10,167 | 281,931 | ||||||
| 9,418,389 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 2.8%
|
||||||||
|
Crocs, Inc. (a)
|
22,250 | 360,673 | ||||||
|
Fifth & Pacific Cos, Inc. (a)(b)
|
38,668 | 494,177 | ||||||
|
Iconix Brand Group, Inc. (a)(b)
|
33,604 | 612,937 | ||||||
|
Maidenform Brands, Inc. (a)
|
8,665 | 177,459 | ||||||
|
Oxford Industries, Inc.
|
4,200 | 237,090 | ||||||
|
Steven Madden, Ltd. (a)
|
27,869 | 1,218,433 | ||||||
|
True Religion Apparel, Inc.
|
16,574 | 353,523 | ||||||
|
Wolverine World Wide, Inc. (b)
|
33,447 | 1,484,043 | ||||||
| 4,938,335 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.3%
|
||||||||
|
Oritani Financial Corp.
|
19,699 | 296,470 | ||||||
|
ViewPoint Financial Group
|
16,479 | 315,902 | ||||||
| 612,372 | ||||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.6%
|
||||||||
|
Applied Industrial Technologies, Inc.
|
15,931 | 660,021 | ||||||
|
Kaman Corp.
|
9,795 | 351,249 | ||||||
| 1,011,270 | ||||||||
|
WATER UTILITIES — 0.3%
|
||||||||
|
American States Water Co.
|
12,821 | 569,637 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $160,398,802)
|
176,477,834 | |||||||
|
SHORT TERM INVESTMENTS — 13.1%
|
||||||||
|
MONEY MARKET FUNDS — 13.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
22,243,778 | 22,243,778 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
731,735 | $ | 731,735 | |||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $22,975,513)
|
22,975,513 | |||||||
|
TOTAL INVESTMENTS — 113.3% (f)
|
||||||||
|
(Cost $183,374,315)
|
199,453,347 | |||||||
|
OTHER ASSETS &
LIABILITIES — (13.3)% |
(23,415,995 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 176,037,352 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.7%
|
||||||||
|
AEROSPACE & DEFENSE — 2.0%
|
||||||||
|
AAR Corp.
|
21,816 | $ | 358,219 | |||||
|
Ceradyne, Inc.
|
12,357 | 301,881 | ||||||
|
Curtiss-Wright Corp.
|
25,528 | 834,766 | ||||||
|
Engility Holdings, Inc. (a)(b)
|
4,100 | 75,645 | ||||||
|
GenCorp, Inc. (a)(b)
|
32,766 | 310,949 | ||||||
|
Moog, Inc. (Class A) (b)
|
8,579 | 324,887 | ||||||
|
Orbital Sciences Corp. (b)
|
32,203 | 468,876 | ||||||
| 2,675,223 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.2%
|
||||||||
|
HUB Group, Inc. (Class A) (b)
|
8,324 | 247,056 | ||||||
|
AIRLINES — 0.2%
|
||||||||
|
SkyWest, Inc.
|
27,891 | 288,114 | ||||||
|
AUTO COMPONENTS — 0.6%
|
||||||||
|
Drew Industries, Inc. (b)
|
10,219 | 308,716 | ||||||
|
Spartan Motors, Inc.
|
16,970 | 84,850 | ||||||
|
Standard Motor Products, Inc.
|
10,615 | 195,529 | ||||||
|
Superior Industries International, Inc. (a)
|
12,825 | 219,179 | ||||||
| 808,274 | ||||||||
|
AUTOMOBILES — 0.1%
|
||||||||
|
Winnebago Industries, Inc. (b)
|
15,917 | 201,032 | ||||||
|
BIOTECHNOLOGY — 0.0% (c)
|
||||||||
|
Emergent Biosolutions, Inc. (b)
|
4,344 | 61,728 | ||||||
|
BUILDING PRODUCTS — 2.1%
|
||||||||
|
A.O. Smith Corp.
|
12,140 | 698,535 | ||||||
|
AAON, Inc. (a)
|
4,666 | 91,873 | ||||||
|
Apogee Enterprises, Inc.
|
15,222 | 298,656 | ||||||
|
Gibraltar Industries, Inc. (b)
|
16,273 | 208,620 | ||||||
|
Griffon Corp.
|
25,071 | 258,231 | ||||||
|
NCI Building Systems, Inc. (a)(b)
|
7,571 | 75,937 | ||||||
|
Quanex Building Products Corp. (a)
|
20,106 | 378,797 | ||||||
|
Simpson Manufacturing Co., Inc.
|
12,193 | 348,964 | ||||||
|
Universal Forest Products, Inc.
|
10,829 | 449,837 | ||||||
| 2,809,450 | ||||||||
|
CAPITAL MARKETS — 1.6%
|
||||||||
|
Calamos Asset Management, Inc. (Class A)
|
10,942 | 127,365 | ||||||
|
HFF, Inc. (Class A) (b)
|
11,500 | 171,350 | ||||||
|
Investment Technology Group, Inc. (b)
|
21,369 | 185,910 | ||||||
|
Piper Jaffray Co., Inc. (a)(b)
|
8,935 | 227,396 | ||||||
|
Prospect Capital Corp. (a)
|
78,811 | 907,903 | ||||||
|
Stifel Financial Corp. (b)
|
11,676 | 392,313 | ||||||
|
SWS Group, Inc. (b)
|
15,361 | 93,856 | ||||||
|
Virtus Investment Partners, Inc. (b)
|
834 | 71,724 | ||||||
| 2,177,817 | ||||||||
|
CHEMICALS — 2.8%
|
||||||||
|
A. Schulman, Inc.
|
16,272 | 387,599 | ||||||
|
American Vanguard Corp.
|
7,877 | 274,120 | ||||||
|
Calgon Carbon Corp. (a)(b)
|
17,693 | 253,187 | ||||||
|
H.B. Fuller Co.
|
14,667 | 449,984 | ||||||
|
Koppers Holdings, Inc.
|
5,738 | 200,428 | ||||||
|
Kraton Performance Polymers, Inc. (b)
|
7,505 | 195,881 | ||||||
|
LSB Industries, Inc. (b)
|
5,160 | 226,369 | ||||||
|
OM Group, Inc. (b)
|
17,918 | 332,200 | ||||||
|
PolyOne Corp.
|
48,234 | 799,237 | ||||||
|
Quaker Chemical Corp. (a)
|
2,852 | 133,103 | ||||||
|
Stepan Co.
|
1,320 | 126,878 | ||||||
|
Tredegar Corp.
|
13,102 | 232,429 | ||||||
|
Zep, Inc.
|
11,931 | 180,397 | ||||||
| 3,791,812 | ||||||||
|
COMMERCIAL BANKS — 10.6%
|
||||||||
|
Bank of the Ozarks, Inc. (a)
|
6,748 | 232,604 | ||||||
|
BBCN Bancorp, Inc. (b)
|
42,046 | 530,200 | ||||||
|
Boston Private Financial Holdings, Inc. (a)
|
43,149 | 413,799 | ||||||
|
City Holding Co. (a)
|
4,439 | 159,094 | ||||||
|
Columbia Banking System, Inc.
|
21,847 | 405,043 | ||||||
|
Community Bank System, Inc. (a)
|
11,729 | 330,640 | ||||||
|
CVB Financial Corp.
|
33,926 | 405,076 | ||||||
|
F.N.B. Corp. (a)
|
76,056 | 852,588 | ||||||
|
First BanCorp- Puerto Rico (b)
|
38,100 | 168,402 | ||||||
|
First Commonwealth Financial Corp. (a)
|
56,499 | 398,318 | ||||||
|
First Financial Bancorp (a)
|
17,252 | 291,731 | ||||||
|
First Financial Bankshares, Inc. (a)
|
7,009 | 252,534 | ||||||
|
First Midwest Bancorp, Inc.
|
40,377 | 506,731 | ||||||
|
Glacier Bancorp, Inc. (a)
|
38,856 | 605,376 | ||||||
|
Hanmi Financial Corp. (b)
|
11,139 | 142,691 | ||||||
|
Home Bancshares, Inc.
|
7,365 | 251,073 | ||||||
|
Independent Bank
Corp.-Massachusetts (a)
|
11,651 | 350,579 | ||||||
|
National Penn Bancshares, Inc. (a)
|
66,254 | 603,574 | ||||||
|
NBT Bancorp, Inc. (a)
|
18,387 | 405,801 | ||||||
|
Old National Bancorp (a)
|
55,033 | 748,999 | ||||||
|
PacWest Bancorp (a)
|
11,688 | 273,149 | ||||||
|
Pinnacle Financial Partners, Inc. (a)(b)
|
17,716 | 342,273 | ||||||
|
PrivateBancorp, Inc.
|
31,950 | 510,880 | ||||||
|
S&T Bancorp, Inc.
|
15,755 | 277,445 | ||||||
|
Simmons First National Corp. (a)
|
9,366 | 228,109 | ||||||
|
Sterling Bancorp
|
16,824 | 166,894 | ||||||
|
Susquehanna Bancshares, Inc.
|
101,432 | 1,060,979 | ||||||
|
Texas Capital Bancshares, Inc. (a)(b)
|
12,431 | 617,945 | ||||||
|
Tompkins Financial Corp. (a)
|
1,891 | 76,623 | ||||||
|
UMB Financial Corp. (a)
|
6,701 | 326,205 | ||||||
|
Umpqua Holdings Corp. (a)
|
60,567 | 780,709 | ||||||
|
United Bankshares, Inc. (a)
|
24,927 | 620,932 | ||||||
|
United Community Banks, Inc. (b)
|
25,167 | 211,151 | ||||||
|
Wilshire Bancorp, Inc. (a)(b)
|
33,769 | 212,745 | ||||||
|
Wintrust Financial Corp. (a)
|
19,684 | 739,528 | ||||||
| 14,500,420 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 3.3%
|
||||||||
|
ABM Industries, Inc.
|
27,481 | 520,215 | ||||||
|
Consolidated Graphics, Inc. (b)
|
1,904 | 49,675 | ||||||
|
Encore Capital Group, Inc. (b)
|
3,224 | 91,110 | ||||||
|
G & K Services, Inc. (Class A)
|
10,142 | 317,546 | ||||||
|
Healthcare Services Group, Inc.
|
13,206 | 302,021 | ||||||
|
Interface, Inc.
|
31,218 | 412,390 | ||||||
|
Mobile Mini, Inc. (a)(b)
|
20,662 | 345,262 | ||||||
|
Sykes Enterprises, Inc. (b)
|
21,315 | 286,474 | ||||||
|
Tetra Tech, Inc. (b)
|
14,276 | 374,888 | ||||||
|
The Geo Group, Inc.
|
33,281 | 920,885 | ||||||
|
UniFirst Corp.
|
2,264 | 151,213 | ||||||
|
United Stationers, Inc.
|
22,024 | 573,065 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Viad Corp. (a)
|
10,918 | $ | 227,749 | |||||
| 4,572,493 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.6%
|
||||||||
|
Arris Group, Inc. (b)
|
61,628 | 788,222 | ||||||
|
Bel Fuse, Inc. (Class B)
|
5,782 | 108,008 | ||||||
|
Black Box Corp.
|
9,217 | 235,126 | ||||||
|
Comtech Telecommunications Corp. (a)
|
9,629 | 266,146 | ||||||
|
Digi International, Inc. (a)(b)
|
13,989 | 142,128 | ||||||
|
Harmonic, Inc. (b)
|
64,915 | 294,714 | ||||||
|
Oplink Communications, Inc. (b)
|
3,806 | 62,951 | ||||||
|
PC-Tel,
Inc. (a)
|
9,960 | 70,218 | ||||||
|
Symmetricom, Inc. (a)(b)
|
23,217 | 161,822 | ||||||
| 2,129,335 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.7%
|
||||||||
|
3D Systems Corp. (a)(b)
|
11,972 | 393,280 | ||||||
|
Avid Technology, Inc. (a)(b)
|
15,969 | 151,067 | ||||||
|
Intermec, Inc. (b)
|
30,543 | 189,672 | ||||||
|
Intevac, Inc. (b)
|
12,516 | 76,473 | ||||||
|
Novatel Wireless, Inc. (a)(b)
|
17,438 | 34,527 | ||||||
|
Super Micro Computer, Inc. (b)
|
14,220 | 171,067 | ||||||
| 1,016,086 | ||||||||
|
CONSTRUCTION & ENGINEERING — 1.5%
|
||||||||
|
Aegion Corp. (a)(b)
|
21,473 | 411,423 | ||||||
|
Comfort Systems USA, Inc.
|
20,032 | 218,950 | ||||||
|
Dycom Industries, Inc. (b)
|
18,056 | 259,645 | ||||||
|
EMCOR Group, Inc.
|
36,402 | 1,038,913 | ||||||
|
Orion Marine Group, Inc. (b)
|
14,798 | 109,949 | ||||||
| 2,038,880 | ||||||||
|
CONSTRUCTION MATERIALS — 1.0%
|
||||||||
|
Eagle Materials, Inc.
|
16,013 | 740,762 | ||||||
|
Headwaters, Inc. (b)
|
19,600 | 128,968 | ||||||
|
Texas Industries, Inc. (a)
|
11,245 | 457,109 | ||||||
| 1,326,839 | ||||||||
|
CONTAINERS & PACKAGING — 0.2%
|
||||||||
|
Myers Industries, Inc.
|
16,907 | 264,087 | ||||||
|
DISTRIBUTORS — 0.5%
|
||||||||
|
Pool Corp.
|
13,593 | 565,197 | ||||||
|
VOXX International Corp. (a)(b)
|
9,852 | 73,693 | ||||||
| 638,890 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.4%
|
||||||||
|
Career Education Corp. (b)
|
28,754 | 108,402 | ||||||
|
Corinthian Colleges, Inc. (a)(b)
|
42,378 | 100,860 | ||||||
|
Hillenbrand, Inc.
|
11,049 | 200,981 | ||||||
|
Lincoln Educational Services Corp. (a)
|
12,356 | 51,895 | ||||||
|
Universal Technical Institute, Inc.
|
4,758 | 65,185 | ||||||
| 527,323 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 0.2%
|
||||||||
|
Interactive Brokers Group, Inc. (Class A)
|
22,182 | 310,992 | ||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.7%
|
||||||||
|
Cbeyond, Inc. (b)
|
16,470 | 162,394 | ||||||
|
Cincinnati Bell, Inc. (a)(b)
|
108,630 | 619,191 | ||||||
|
General Communication, Inc. (Class A) (b)
|
10,552 | 103,409 | ||||||
|
Lumos Networks Corp.
|
8,014 | 62,990 | ||||||
|
Neutral Tandem, Inc. (b)
|
4,970 | 46,619 | ||||||
| 994,603 | ||||||||
|
ELECTRIC UTILITIES — 1.2%
|
||||||||
|
ALLETE, Inc.
|
9,362 | 390,770 | ||||||
|
El Paso Electric Co.
|
8,410 | 288,042 | ||||||
|
UIL Holdings Corp.
|
17,035 | 610,875 | ||||||
|
UNS Energy Corp.
|
8,994 | 376,489 | ||||||
| 1,666,176 | ||||||||
|
ELECTRICAL EQUIPMENT — 2.0%
|
||||||||
|
Belden, Inc.
|
15,478 | 570,829 | ||||||
|
Brady Corp. (Class A)
|
25,754 | 754,077 | ||||||
|
Encore Wire Corp.
|
10,045 | 293,917 | ||||||
|
EnerSys (b)
|
26,004 | 917,681 | ||||||
|
Powell Industries, Inc. (a)(b)
|
4,841 | 187,201 | ||||||
|
Vicor Corp.
|
5,072 | 33,830 | ||||||
| 2,757,535 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 4.6% |
||||||||
|
Agilysys, Inc. (a)(b)
|
7,870 | 67,682 | ||||||
|
Anixter International, Inc. (a)
|
15,044 | 864,428 | ||||||
|
Badger Meter, Inc. (a)
|
2,561 | 93,195 | ||||||
|
Benchmark Electronics, Inc. (a)(b)
|
30,596 | 467,201 | ||||||
|
Brightpoint, Inc. (b)
|
37,621 | 337,837 | ||||||
|
Checkpoint Systems, Inc. (b)
|
22,056 | 182,624 | ||||||
|
CTS Corp.
|
18,645 | 187,755 | ||||||
|
Daktronics, Inc.
|
19,690 | 187,252 | ||||||
|
Electro Scientific Industries, Inc.
|
13,523 | 165,251 | ||||||
|
FEI Co.
|
6,378 | 341,223 | ||||||
|
Insight Enterprises, Inc. (b)
|
24,312 | 424,974 | ||||||
|
Measurement Specialties, Inc. (b)
|
2,842 | 93,729 | ||||||
|
Mercury Computer Systems, Inc. (b)
|
7,710 | 81,880 | ||||||
|
Methode Electronics, Inc. (Class A)
|
19,131 | 185,762 | ||||||
|
Newport Corp. (b)
|
20,834 | 230,424 | ||||||
|
Park Electrochemical Corp.
|
5,991 | 148,757 | ||||||
|
Plexus Corp. (b)
|
19,186 | 581,144 | ||||||
|
Pulse Electronics Corp.
|
22,442 | 18,402 | ||||||
|
RadiSys Corp. (b)
|
12,372 | 44,539 | ||||||
|
Rofin-Sinar
Technologies, Inc. (a)(b)
|
7,904 | 155,946 | ||||||
|
Rogers Corp. (b)
|
3,147 | 133,307 | ||||||
|
Scansource, Inc. (b)
|
15,137 | 484,687 | ||||||
|
SYNNEX Corp. (a)(b)
|
14,323 | 466,643 | ||||||
|
TTM Technologies, Inc. (a)(b)
|
28,514 | 268,887 | ||||||
| 6,213,529 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 2.3%
|
||||||||
|
Basic Energy Services, Inc. (a)(b)
|
10,125 | 113,603 | ||||||
|
Bristow Group, Inc.
|
19,389 | 980,114 | ||||||
|
Exterran Holdings, Inc. (b)
|
35,290 | 715,681 | ||||||
|
Gulf Island Fabrication, Inc.
|
7,786 | 216,996 | ||||||
|
Hornbeck Offshore Services, Inc. (b)
|
8,468 | 310,352 | ||||||
|
ION Geophysical Corp. (a)(b)
|
44,435 | 308,379 | ||||||
|
Matrix Service Co. (b)
|
13,718 | 144,999 | ||||||
|
Pioneer Energy Services Corp. (b)
|
19,111 | 148,875 | ||||||
|
Tetra Technologies, Inc. (b)
|
41,806 | 252,926 | ||||||
| 3,191,925 | ||||||||
|
FOOD & STAPLES RETAILING — 1.0%
|
||||||||
|
Nash Finch Co.
|
6,586 | 134,486 | ||||||
|
Spartan Stores, Inc. (a)
|
11,867 | 181,684 | ||||||
|
The Andersons, Inc.
|
9,428 | 355,058 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
United Natural Foods, Inc. (b)
|
10,839 | $ | 633,540 | |||||
| 1,304,768 | ||||||||
|
FOOD PRODUCTS — 1.9%
|
||||||||
|
B&G Foods, Inc. (a)
|
14,238 | 431,554 | ||||||
|
Cal-Maine
Foods, Inc.
|
7,563 | 339,881 | ||||||
|
Calavo Growers, Inc. (a)
|
2,644 | 66,100 | ||||||
|
Darling International, Inc. (b)
|
33,822 | 618,604 | ||||||
|
Diamond Foods, Inc. (a)
|
4,743 | 89,263 | ||||||
|
Hain Celestial Group, Inc. (a)(b)
|
9,082 | 572,166 | ||||||
|
Seneca Foods Corp. (a)(b)
|
4,609 | 137,625 | ||||||
|
Snyders-Lance,
Inc. (a)
|
14,847 | 371,175 | ||||||
| 2,626,368 | ||||||||
|
GAS UTILITIES — 1.9%
|
||||||||
|
New Jersey Resources Corp. (a)
|
10,401 | 475,534 | ||||||
|
Northwest Natural Gas Co. (a)
|
5,930 | 291,993 | ||||||
|
Piedmont Natural Gas Co., Inc.
|
21,168 | 687,537 | ||||||
|
Southwest Gas Corp.
|
13,611 | 601,606 | ||||||
|
The Laclede Group, Inc. (a)
|
11,433 | 491,619 | ||||||
| 2,548,289 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 2.1%
|
||||||||
|
Align Technology, Inc. (a)(b)
|
12,862 | 475,508 | ||||||
|
Cantel Medical Corp.
|
3,830 | 103,716 | ||||||
|
CONMED Corp.
|
15,484 | 441,294 | ||||||
|
CryoLife, Inc.
|
13,573 | 91,211 | ||||||
|
Greatbatch, Inc. (a)(b)
|
4,118 | 100,191 | ||||||
|
HealthStream, Inc. (a)(b)
|
2,200 | 62,612 | ||||||
|
Integra LifeSciences Holdings Corp. (b)
|
2,856 | 117,382 | ||||||
|
Invacare Corp.
|
15,740 | 222,564 | ||||||
|
Meridian Bioscience, Inc. (a)
|
9,401 | 180,311 | ||||||
|
Merit Medical Systems, Inc. (b)
|
8,840 | 131,981 | ||||||
|
Natus Medical, Inc. (b)
|
16,019 | 209,368 | ||||||
|
Palomar Medical Technologies, Inc. (a)(b)
|
9,727 | 91,823 | ||||||
|
SurModics, Inc. (b)
|
4,286 | 86,663 | ||||||
|
Symmetry Medical, Inc. (b)
|
19,754 | 195,367 | ||||||
|
West Pharmaceutical Services, Inc.
|
6,419 | 340,656 | ||||||
| 2,850,647 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.6%
|
||||||||
|
Almost Family, Inc. (a)(b)
|
4,442 | 94,526 | ||||||
|
Amedisys, Inc. (b)
|
16,581 | 228,984 | ||||||
|
AMN Healthcare Services, Inc. (a)(b)
|
22,680 | 228,161 | ||||||
|
AmSurg Corp. (b)
|
6,553 | 185,974 | ||||||
|
Bio-Reference
Laboratories, Inc. (a)(b)
|
5,176 | 147,930 | ||||||
|
Centene Corp. (b)
|
9,318 | 348,586 | ||||||
|
Cross Country Healthcare, Inc. (a)(b)
|
16,084 | 75,916 | ||||||
|
Gentiva Health Services, Inc. (b)
|
15,504 | 175,505 | ||||||
|
Hanger Orthopedic Group, Inc. (b)
|
18,457 | 526,578 | ||||||
|
Healthways, Inc. (b)
|
18,188 | 212,982 | ||||||
|
Kindred Healthcare, Inc. (b)
|
28,834 | 328,131 | ||||||
|
LHC Group, Inc. (b)
|
8,598 | 158,805 | ||||||
|
Molina Healthcare, Inc. (b)
|
16,215 | 407,807 | ||||||
|
PharMerica Corp. (b)
|
16,007 | 202,649 | ||||||
|
PSS World Medical, Inc. (b)
|
9,965 | 227,003 | ||||||
| 3,549,537 | ||||||||
|
HEALTH CARE TECHNOLOGY — 0.1%
|
||||||||
|
Omnicell, Inc. (b)
|
10,628 | 147,729 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 3.0%
|
||||||||
|
Boyd Gaming Corp. (a)(b)
|
30,642 | 216,333 | ||||||
|
Cracker Barrel Old Country Store, Inc.
|
4,438 | 297,834 | ||||||
|
Interval Leisure Group, Inc. (a)
|
11,336 | 214,590 | ||||||
|
Jack in the Box, Inc. (b)
|
24,312 | 683,410 | ||||||
|
Marcus Corp.
|
10,574 | 117,371 | ||||||
|
Marriott Vacations Worldwide Corp. (b)
|
15,504 | 558,454 | ||||||
|
Monarch Casino & Resort, Inc. (b)
|
5,135 | 44,726 | ||||||
|
Multimedia Games Holding Co., Inc. (b)
|
10,017 | 157,567 | ||||||
|
Pinnacle Entertainment, Inc. (b)
|
34,010 | 416,623 | ||||||
|
Red Robin Gourmet Burgers, Inc. (b)
|
7,136 | 232,348 | ||||||
|
Ruby Tuesday, Inc. (a)(b)
|
32,710 | 237,148 | ||||||
|
Ruth’s Hospitality Group, Inc. (a)(b)
|
19,186 | 122,215 | ||||||
|
Shuffle Master, Inc. (b)
|
17,267 | 272,991 | ||||||
|
Sonic Corp. (b)
|
29,691 | 304,927 | ||||||
|
Texas Roadhouse, Inc. (Class A)
|
12,904 | 220,658 | ||||||
| 4,097,195 | ||||||||
|
HOUSEHOLD DURABLES — 2.3%
|
||||||||
|
American Greetings Corp. (Class A) (a)
|
18,420 | 309,456 | ||||||
|
Blyth, Inc. (a)
|
2,026 | 52,656 | ||||||
|
Ethan Allen Interiors, Inc.
|
14,071 | 308,436 | ||||||
|
Helen of Troy, Ltd. (b)
|
7,340 | 233,632 | ||||||
|
La-Z-Boy,
Inc. (b)
|
28,468 | 416,487 | ||||||
|
M/I Homes, Inc. (b)
|
11,413 | 220,728 | ||||||
|
Meritage Homes Corp. (a)(b)
|
16,746 | 636,850 | ||||||
|
Standard Pacific Corp. (a)(b)
|
60,146 | 406,587 | ||||||
|
The Ryland Group, Inc.
|
12,782 | 383,460 | ||||||
|
Universal Electronics, Inc. (a)(b)
|
8,036 | 141,273 | ||||||
| 3,109,565 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.2%
|
||||||||
|
Central Garden & Pet Co. (Class A) (a)(b)
|
22,690 | 274,095 | ||||||
|
INDUSTRIAL CONGLOMERATES — 0.2%
|
||||||||
|
Standex International Corp.
|
6,842 | 304,127 | ||||||
|
INSURANCE — 2.7%
|
||||||||
|
AMERISAFE, Inc. (b)
|
9,797 | 265,891 | ||||||
|
eHealth, Inc. (b)
|
3,376 | 63,367 | ||||||
|
Employers Holdings, Inc. (a)
|
17,020 | 311,977 | ||||||
|
Horace Mann Educators Corp.
|
21,388 | 387,337 | ||||||
|
Meadowbrook Insurance Group, Inc.
|
25,503 | 196,118 | ||||||
|
National Financial Partners Corp. (a)(b)
|
21,809 | 368,572 | ||||||
|
Presidential Life Corp.
|
11,593 | 161,490 | ||||||
|
Safety Insurance Group, Inc.
|
6,886 | 315,930 | ||||||
|
Selective Insurance Group, Inc.
|
29,879 | 567,402 | ||||||
|
Stewart Information Services Corp. (a)
|
9,718 | 195,720 | ||||||
|
The Navigators Group, Inc. (b)
|
2,683 | 132,071 | ||||||
|
Tower Group, Inc. (a)
|
18,777 | 364,086 | ||||||
|
United Fire Group, Inc.
|
11,874 | 298,275 | ||||||
| 3,628,236 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.2%
|
||||||||
|
NutriSystem, Inc. (a)
|
15,247 | 160,551 | ||||||
|
PetMed Express, Inc. (a)
|
10,736 | 107,789 | ||||||
| 268,340 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
INTERNET SOFTWARE &
SERVICES — 1.0%
|
||||||||
|
DealerTrack Holdings, Inc. (b)
|
10,337 | $ | 287,885 | |||||
|
Dice Holdings, Inc. (a)(b)
|
16,900 | 142,298 | ||||||
|
Digital River, Inc. (b)
|
19,390 | 323,037 | ||||||
|
Perficient, Inc. (b)
|
17,996 | 217,212 | ||||||
|
QuinStreet, Inc. (b)
|
5,080 | 42,621 | ||||||
|
United Online, Inc. (a)
|
50,299 | 277,651 | ||||||
|
XO Group, Inc. (b)
|
13,388 | 111,790 | ||||||
| 1,402,494 | ||||||||
|
IT SERVICES — 1.0%
|
||||||||
|
Cardtronics, Inc. (b)
|
9,286 | 276,537 | ||||||
|
CIBER, Inc. (b)
|
36,238 | 125,746 | ||||||
|
CSG Systems International, Inc. (b)
|
7,398 | 166,381 | ||||||
|
ExlService Holdings, Inc. (b)
|
3,006 | 88,677 | ||||||
|
Heartland Payment Systems, Inc.
|
8,176 | 259,016 | ||||||
|
iGate Corp. (b)
|
8,778 | 159,496 | ||||||
|
NCI, Inc. (Class A) (b)
|
4,313 | 29,674 | ||||||
|
TeleTech Holdings, Inc. (b)
|
7,866 | 134,115 | ||||||
|
Virtusa Corp. (b)
|
5,692 | 101,147 | ||||||
| 1,340,789 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 1.0%
|
||||||||
|
Arctic Cat, Inc. (b)
|
7,188 | 298,014 | ||||||
|
Brunswick Corp.
|
33,066 | 748,284 | ||||||
|
Callaway Golf Co. (a)
|
35,569 | 218,394 | ||||||
|
JAKKS Pacific, Inc.
|
11,243 | 163,810 | ||||||
| 1,428,502 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.7%
|
||||||||
|
Affymetrix, Inc. (a)(b)
|
38,330 | 165,969 | ||||||
|
Cambrex Corp. (b)
|
16,100 | 188,853 | ||||||
|
Enzo Biochem, Inc. (a)(b)
|
10,678 | 21,783 | ||||||
|
PAREXEL International Corp. (b)
|
18,372 | 565,123 | ||||||
| 941,728 | ||||||||
|
MACHINERY — 5.0%
|
||||||||
|
Actuant Corp. (Class A) (a)
|
39,555 | 1,132,064 | ||||||
|
Albany International Corp. (Class A)
|
15,692 | 344,753 | ||||||
|
Astec Industries, Inc. (b)
|
11,393 | 360,133 | ||||||
|
Barnes Group, Inc.
|
25,579 | 639,731 | ||||||
|
Briggs & Stratton Corp. (a)
|
26,255 | 490,181 | ||||||
|
Cascade Corp.
|
2,422 | 132,580 | ||||||
|
CIRCOR International, Inc.
|
5,468 | 206,417 | ||||||
|
EnPro Industries, Inc. (a)(b)
|
11,316 | 407,489 | ||||||
|
ESCO Technologies, Inc.
|
14,541 | 564,918 | ||||||
|
Federal Signal Corp. (b)
|
33,828 | 213,793 | ||||||
|
John Bean Technologies Corp.
|
15,567 | 254,209 | ||||||
|
Kaydon Corp.
|
10,544 | 235,553 | ||||||
|
Lydall, Inc. (b)
|
9,300 | 131,037 | ||||||
|
Mueller Industries, Inc.
|
20,742 | 943,139 | ||||||
|
Robbins & Myers, Inc.
|
6,599 | 393,301 | ||||||
|
Tennant Co.
|
3,370 | 144,303 | ||||||
|
Watts Water Technologies, Inc. (Class A) (a)
|
7,198 | 272,300 | ||||||
| 6,865,901 | ||||||||
|
MEDIA — 0.8%
|
||||||||
|
Digital Generation, Inc. (a)(b)
|
13,820 | 156,995 | ||||||
|
Harte-Hanks, Inc.
|
23,483 | 162,737 | ||||||
|
Live Nation Entertainment, Inc. (a)(b)
|
76,691 | 660,310 | ||||||
|
The E.W. Scripps Co. (Class A) (b)
|
15,477 | 164,830 | ||||||
| 1,144,872 | ||||||||
|
METALS & MINING — 2.2%
|
||||||||
|
A.M. Castle & Co. (a)(b)
|
9,007 | 112,498 | ||||||
|
AK Steel Holding Corp. (a)
|
61,018 | 292,886 | ||||||
|
AMCOL International Corp. (a)
|
5,618 | 190,338 | ||||||
|
Century Aluminum Co. (a)(b)
|
27,953 | 199,864 | ||||||
|
Globe Specialty Metals, Inc.
|
11,270 | 171,529 | ||||||
|
Haynes International, Inc.
|
2,503 | 130,532 | ||||||
|
Kaiser Aluminum Corp. (a)
|
9,157 | 534,677 | ||||||
|
Materion Corp. (a)
|
10,998 | 261,752 | ||||||
|
Olympic Steel, Inc. (a)
|
4,982 | 84,096 | ||||||
|
RTI International Metals, Inc. (a)(b)
|
16,641 | 398,386 | ||||||
|
SunCoke Energy, Inc. (b)
|
37,848 | 610,110 | ||||||
| 2,986,668 | ||||||||
|
MULTI-UTILITIES — 1.0%
|
||||||||
|
Avista Corp.
|
31,952 | 822,444 | ||||||
|
CH Energy Group, Inc. (a)
|
3,150 | 205,412 | ||||||
|
NorthWestern Corp.
|
9,674 | 350,489 | ||||||
| 1,378,345 | ||||||||
|
MULTILINE RETAIL — 0.3%
|
||||||||
|
Fred’s, Inc. (Class A) (a)
|
18,319 | 260,679 | ||||||
|
Tuesday Morning Corp. (b)
|
23,099 | 151,299 | ||||||
| 411,978 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 2.3%
|
||||||||
|
Cloud Peak Energy, Inc. (b)
|
25,360 | 459,016 | ||||||
|
Comstock Resources, Inc. (a)(b)
|
24,380 | 448,104 | ||||||
|
Gulfport Energy Corp. (b)
|
9,140 | 285,716 | ||||||
|
Overseas Shipholding Group, Inc. (a)
|
14,024 | 92,558 | ||||||
|
PDC Energy, Inc. (a)(b)
|
9,912 | 313,517 | ||||||
|
Penn Virginia Corp. (a)
|
25,656 | 159,067 | ||||||
|
Petroquest Energy, Inc. (a)(b)
|
31,066 | 208,453 | ||||||
|
Stone Energy Corp. (b)
|
26,837 | 674,146 | ||||||
|
Swift Energy Co. (a)(b)
|
23,166 | 483,706 | ||||||
| 3,124,283 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.8%
|
||||||||
|
Buckeye Technologies, Inc.
|
7,396 | 237,116 | ||||||
|
Clearwater Paper Corp. (b)
|
4,964 | 205,063 | ||||||
|
KapStone Paper and Packaging Corp. (b)
|
6,342 | 141,997 | ||||||
|
Neenah Paper, Inc.
|
8,602 | 246,361 | ||||||
|
Wausau Paper Corp.
|
25,239 | 233,713 | ||||||
| 1,064,250 | ||||||||
|
PERSONAL PRODUCTS — 0.4%
|
||||||||
|
Inter Parfums, Inc.
|
4,332 | 79,276 | ||||||
|
Prestige Brands Holdings, Inc. (b)
|
27,502 | 466,434 | ||||||
| 545,710 | ||||||||
|
PHARMACEUTICALS — 0.2%
|
||||||||
|
Par Pharmaceutical Cos., Inc. (b)
|
5,168 | 258,297 | ||||||
|
PROFESSIONAL SERVICES — 1.6%
|
||||||||
|
CDI Corp. (a)
|
7,529 | 128,219 | ||||||
|
Heidrick & Struggles International, Inc.
|
8,920 | 113,641 | ||||||
|
Insperity, Inc.
|
12,082 | 304,829 | ||||||
|
Kelly Services, Inc. (Class A) (a)
|
15,175 | 191,205 | ||||||
|
Navigant Consulting, Inc. (b)
|
28,046 | 309,908 | ||||||
|
On Assignment, Inc. (b)
|
23,466 | 467,443 | ||||||
|
Resources Connection, Inc.
|
22,860 | 299,694 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
TrueBlue, Inc. (b)
|
22,060 | $ | 346,783 | |||||
| 2,161,722 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 9.1%
|
||||||||
|
Acadia Realty Trust
|
9,505 | 235,914 | ||||||
|
Cedar Shopping Centers, Inc. (a)
|
30,372 | 160,364 | ||||||
|
Colonial Properties Trust
|
32,027 | 674,168 | ||||||
|
Cousins Properties, Inc.
|
49,328 | 391,664 | ||||||
|
DiamondRock Hospitality Co.
|
106,266 | 1,023,342 | ||||||
|
Entertainment Properties Trust (a)
|
12,078 | 536,626 | ||||||
|
Extra Space Storage, Inc.
|
26,878 | 893,694 | ||||||
|
Franklin Street Properties Corp.
|
39,031 | 432,073 | ||||||
|
Getty Realty Corp. (a)
|
14,698 | 263,829 | ||||||
|
Healthcare Realty Trust, Inc.
|
27,577 | 635,650 | ||||||
|
Inland Real Estate Corp. (a)
|
29,027 | 239,473 | ||||||
|
Kilroy Realty Corp.
|
19,710 | 882,614 | ||||||
|
Kite Realty Group Trust
|
32,765 | 167,102 | ||||||
|
LaSalle Hotel Properties
|
46,950 | 1,253,095 | ||||||
|
Lexington Realty Trust (a)
|
73,229 | 707,392 | ||||||
|
LTC Properties, Inc.
|
7,498 | 238,811 | ||||||
|
Medical Properties Trust, Inc.
|
73,333 | 766,330 | ||||||
|
Parkway Properties, Inc. (a)
|
11,814 | 157,953 | ||||||
|
Pennsylvania Real Estate Investment Trust
|
28,619 | 453,897 | ||||||
|
Post Properties, Inc.
|
12,963 | 621,705 | ||||||
|
Sabra Healthcare REIT, Inc.
|
12,068 | 241,481 | ||||||
|
Saul Centers, Inc.
|
2,208 | 98,035 | ||||||
|
Sovran Self Storage, Inc.
|
7,360 | 425,776 | ||||||
|
Tanger Factory Outlet Centers, Inc.
|
20,914 | 676,150 | ||||||
|
Universal Health Realty Income Trust
|
2,323 | 106,812 | ||||||
|
Urstadt Biddle Properties, Inc. (Class A)
|
6,509 | 131,677 | ||||||
| 12,415,627 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 0.2%
|
||||||||
|
Forestar Group, Inc. (b)
|
19,226 | 320,305 | ||||||
|
ROAD & RAIL — 0.6%
|
||||||||
|
Arkansas Best Corp.
|
13,660 | 108,187 | ||||||
|
Heartland Express, Inc. (a)
|
14,292 | 190,941 | ||||||
|
Knight Transportation, Inc. (a)
|
17,703 | 253,153 | ||||||
|
Old Dominion Freight Line, Inc. (b)
|
10,680 | 322,109 | ||||||
| 874,390 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 2.0% |
||||||||
|
Advanced Energy Industries, Inc. (a)(b)
|
19,164 | 236,100 | ||||||
|
ATMI, Inc. (b)
|
9,508 | 176,564 | ||||||
|
Brooks Automation, Inc.
|
11,210 | 90,016 | ||||||
|
Cohu, Inc.
|
12,361 | 116,070 | ||||||
|
Diodes, Inc. (b)
|
7,614 | 129,514 | ||||||
|
DSP Group, Inc. (b)
|
12,330 | 73,240 | ||||||
|
Kopin Corp. (b)
|
19,536 | 73,455 | ||||||
|
Micrel, Inc. (a)
|
10,038 | 104,596 | ||||||
|
Microsemi Corp. (b)
|
14,081 | 282,606 | ||||||
|
MKS Instruments, Inc.
|
10,772 | 274,578 | ||||||
|
Monolithic Power Systems, Inc. (b)
|
5,912 | 116,762 | ||||||
|
Nanometrics, Inc. (b)
|
3,664 | 50,600 | ||||||
|
Pericom Semiconductor Corp. (b)
|
11,663 | 101,293 | ||||||
|
Rudolph Technologies, Inc. (a)(b)
|
17,346 | 182,133 | ||||||
|
Sigma Designs, Inc. (a)(b)
|
17,539 | 115,933 | ||||||
|
STR Holdings, Inc. (b)
|
8,360 | 25,916 | ||||||
|
Supertex, Inc. (b)
|
3,539 | 63,277 | ||||||
|
Tessera Technologies, Inc.
|
9,562 | 130,808 | ||||||
|
TriQuint Semiconductor, Inc. (a)(b)
|
38,176 | 192,789 | ||||||
|
Ultratech, Inc. (b)
|
4,633 | 145,384 | ||||||
| 2,681,634 | ||||||||
|
SOFTWARE — 1.1%
|
||||||||
|
Bottomline Technologies, Inc. (b)
|
6,872 | 169,670 | ||||||
|
EPIQ Systems, Inc.
|
9,203 | 123,504 | ||||||
|
Monotype Imaging Holdings, Inc.
|
9,765 | 152,236 | ||||||
|
Progress Software Corp. (b)
|
18,240 | 390,154 | ||||||
|
Take-Two
Interactive Software, Inc. (b)
|
49,260 | 513,782 | ||||||
|
Vasco Data Security International (a)(b)
|
9,376 | 87,947 | ||||||
| 1,437,293 | ||||||||
|
SPECIALTY RETAIL — 5.4%
|
||||||||
|
Big 5 Sporting Goods Corp.
|
9,169 | 91,232 | ||||||
|
Brown Shoe Co., Inc.
|
22,164 | 355,289 | ||||||
|
Cabela’s, Inc. (b)
|
25,108 | 1,372,905 | ||||||
|
Christopher & Banks Corp.
|
18,533 | 65,051 | ||||||
|
Coldwater Creek, Inc. (a)(b)
|
44,667 | 37,074 | ||||||
|
Group 1 Automotive, Inc. (a)
|
11,619 | 699,812 | ||||||
|
Haverty Furniture Cos., Inc. (a)
|
10,468 | 145,296 | ||||||
|
Hot Topic, Inc. (a)
|
22,983 | 199,952 | ||||||
|
Kirkland’s, Inc. (b)
|
4,020 | 39,919 | ||||||
|
Lithia Motors, Inc. (Class A) (a)
|
11,303 | 376,503 | ||||||
|
Lumber Liquidators Holdings, Inc. (b)
|
4,538 | 229,986 | ||||||
|
MarineMax, Inc. (b)
|
13,194 | 109,378 | ||||||
|
OfficeMax, Inc. (a)
|
47,612 | 371,850 | ||||||
|
Pep
Boys-Manny,
Moe & Jack
|
29,186 | 297,113 | ||||||
|
Select Comfort Corp. (b)
|
17,773 | 560,738 | ||||||
|
Sonic Automotive, Inc. (Class A) (a)
|
20,525 | 389,565 | ||||||
|
Stage Stores, Inc.
|
17,131 | 360,779 | ||||||
|
Stein Mart, Inc. (b)
|
14,373 | 122,314 | ||||||
|
The Cato Corp. (Class A)
|
5,895 | 175,140 | ||||||
|
The Finish Line, Inc. (Class A)
|
13,929 | 316,745 | ||||||
|
The Men’s Wearhouse, Inc.
|
25,996 | 895,042 | ||||||
|
Zale Corp. (a)(b)
|
14,224 | 98,146 | ||||||
|
Zumiez, Inc. (b)
|
3,806 | 105,540 | ||||||
| 7,415,369 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 1.9%
|
||||||||
|
Crocs, Inc. (b)
|
31,406 | 509,091 | ||||||
|
Fifth & Pacific Cos, Inc. (a)(b)
|
30,793 | 393,535 | ||||||
|
Iconix Brand Group, Inc. (a)(b)
|
10,400 | 189,696 | ||||||
|
K-Swiss,
Inc. (Class A) (a)(b)
|
14,098 | 48,356 | ||||||
|
Maidenform Brands, Inc. (b)
|
6,024 | 123,372 | ||||||
|
Movado Group, Inc.
|
9,456 | 318,856 | ||||||
|
Oxford Industries, Inc.
|
4,432 | 250,186 | ||||||
|
Perry Ellis International, Inc. (a)(b)
|
6,457 | 142,377 | ||||||
|
Quiksilver, Inc. (b)
|
67,746 | 224,917 | ||||||
|
Skechers U.S.A., Inc. (b)
|
20,705 | 422,382 | ||||||
| 2,622,768 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 1.7%
|
||||||||
|
Bank Mutual Corp. (a)
|
24,089 | 109,605 | ||||||
|
Brookline Bancorp, Inc.
|
37,952 | 334,737 | ||||||
|
Dime Community Bancshares
|
15,620 | 225,553 | ||||||
|
Northwest Bancshares, Inc.
|
53,276 | 651,565 | ||||||
|
Oritani Financial Corp.
|
5,490 | 82,625 | ||||||
|
Provident Financial Services, Inc.
|
29,374 | 463,815 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
TrustCo Bank Corp. NY (a)
|
51,128 | $ | 292,452 | |||||
|
ViewPoint Financial Group
|
6,182 | 118,509 | ||||||
| 2,278,861 | ||||||||
|
TOBACCO — 0.1%
|
||||||||
|
Alliance One International, Inc. (a)(b)
|
44,712 | 144,420 | ||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.5%
|
||||||||
|
Applied Industrial Technologies, Inc.
|
10,221 | 423,456 | ||||||
|
Kaman Corp. (a)
|
6,533 | 234,273 | ||||||
|
Lawson Products, Inc.
|
2,031 | 14,055 | ||||||
| 671,784 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.2%
|
||||||||
|
NTELOS Holdings Corp.
|
7,984 | 138,682 | ||||||
|
USA Mobility, Inc.
|
12,039 | 142,903 | ||||||
| 281,585 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $132,076,020)
|
136,118,090 | |||||||
|
SHORT TERM INVESTMENTS — 13.1%
|
||||||||
|
MONEY MARKET FUNDS — 13.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
17,099,300 | 17,099,300 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
726,553 | 726,553 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $17,825,853)
|
17,825,853 | |||||||
|
TOTAL INVESTMENTS — 112.8% (g)
|
||||||||
|
(Cost $149,901,873)
|
153,943,943 | |||||||
|
OTHER ASSETS &
LIABILITIES — (12.8)% |
(17,456,846 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 136,487,097 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.5%
|
||||||||
|
AUSTRALIA — 1.4%
|
||||||||
|
BHP Billiton, Ltd.
|
17,983 | $ | 617,865 | |||||
|
National Australia Bank, Ltd.
|
23,536 | 623,870 | ||||||
| 1,241,735 | ||||||||
|
BELGIUM — 0.7%
|
||||||||
|
Anheuser-Busch
InBev NV
|
7,316 | 622,794 | ||||||
|
BRAZIL — 1.9%
|
||||||||
|
Cia Energetica de Minas Gerais Preference Shares
|
47,019 | 569,660 | ||||||
|
Petroleo Brasileiro SA Preference Shares
|
1,500 | 16,539 | ||||||
|
Petroleo Brasileiro SA Preference Shares ADR
|
26,507 | 585,010 | ||||||
|
Vale SA Preference Shares
|
33,477 | 581,986 | ||||||
| 1,753,195 | ||||||||
|
CANADA — 2.0%
|
||||||||
|
Canadian Oil Sands, Ltd.
|
27,598 | 590,414 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
|
4,576 | 198,690 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
|
9,993 | 433,966 | ||||||
|
Royal Bank of Canada (a)
|
10,772 | 618,984 | ||||||
| 1,842,054 | ||||||||
|
CHINA — 2.8%
|
||||||||
|
China Construction Bank Corp.
|
943,689 | 654,828 | ||||||
|
China Petroleum & Chemical Corp.
|
669,323 | 625,015 | ||||||
|
Industrial & Commercial Bank of China
|
1,115,850 | 659,155 | ||||||
|
PetroChina Co., Ltd.
|
497,257 | 651,615 | ||||||
| 2,590,613 | ||||||||
|
DENMARK — 0.8%
|
||||||||
|
Vestas Wind Systems A/S (a)(b)
|
102,944 | 732,649 | ||||||
|
FINLAND — 0.7%
|
||||||||
|
Sampo Oyj (Class A)
|
20,109 | 626,318 | ||||||
|
FRANCE — 5.7%
|
||||||||
|
BNP Paribas
|
12,456 | 592,591 | ||||||
|
Carrefour SA
|
28,387 | 589,431 | ||||||
|
Compagnie de
Saint-Gobain
|
16,779 | 590,058 | ||||||
|
GDF Suez (a)
|
24,322 | 544,450 | ||||||
|
LVMH Moet Hennessy Louis Vuitton SA
|
3,870 | 582,514 | ||||||
|
Societe Generale (b)
|
19,945 | 567,069 | ||||||
|
Total SA
|
11,670 | 579,519 | ||||||
|
Veolia Environnement SA
|
51,113 | 552,095 | ||||||
|
Vinci SA
|
13,459 | 573,906 | ||||||
| 5,171,633 | ||||||||
|
GERMANY — 4.6%
|
||||||||
|
Allianz SE
|
5,052 | 601,779 | ||||||
|
BASF SE
|
7,342 | 620,096 | ||||||
|
Daimler AG
|
12,362 | 599,013 | ||||||
|
Deutsche Bank AG
|
14,813 | 585,905 | ||||||
|
E.ON AG
|
24,446 | 580,720 | ||||||
|
SAP AG
|
8,756 | 620,791 | ||||||
|
Siemens AG
|
6,094 | 608,457 | ||||||
| 4,216,761 | ||||||||
|
HONG KONG — 3.4%
|
||||||||
|
China Mobile, Ltd.
|
58,039 | 643,402 | ||||||
|
China Unicom (Hong Kong), Ltd.
|
363,130 | 595,752 | ||||||
|
CLP Holdings, Ltd.
|
73,696 | 626,391 | ||||||
|
Esprit Holdings, Ltd.
|
371,926 | 571,806 | ||||||
|
Hutchison Whampoa, Ltd.
|
64,589 | 626,459 | ||||||
| 3,063,810 | ||||||||
|
INDIA — 2.9%
|
||||||||
|
Bharti Airtel, Ltd.
|
134,546 | 677,130 | ||||||
|
Infosys Technologies, Ltd. ADR
|
13,373 | 649,125 | ||||||
|
Reliance Industries Ltd.
|
11,321 | 179,179 | ||||||
|
Reliance Industries, Ltd. GDR (c)
|
15,716 | 494,740 | ||||||
|
Tata Steel, Ltd. GDR
|
88,082 | 664,579 | ||||||
| 2,664,753 | ||||||||
|
ITALY — 1.2%
|
||||||||
|
Assicurazioni Generali SpA (a)
|
38,359 | 552,214 | ||||||
|
UniCredit SpA (a)(b)
|
129,110 | 536,835 | ||||||
| 1,089,049 | ||||||||
|
JAPAN — 10.4%
|
||||||||
|
Bridgestone Corp.
|
25,077 | 583,411 | ||||||
|
Canon, Inc. (a)
|
17,663 | 566,442 | ||||||
|
Honda Motor Co., Ltd. (a)
|
18,191 | 560,460 | ||||||
|
Komatsu, Ltd.
|
29,549 | 583,764 | ||||||
|
Mitsubishi Corp. (a)
|
32,303 | 589,177 | ||||||
|
Mitsubishi UFJ Financial Group, Inc. (a)
|
129,257 | 608,073 | ||||||
|
Mitsui & Co., Ltd. (a)
|
41,975 | 592,398 | ||||||
|
Mizuho Financial Group, Inc. (a)
|
364,091 | 594,339 | ||||||
|
Nintendo Co., Ltd. (a)
|
5,150 | 654,672 | ||||||
|
Nippon Steel Corp. (a)
|
283,009 | 582,023 | ||||||
|
Panasonic Corp. (a)
|
85,710 | 568,462 | ||||||
|
Seven & I Holdings Co., Ltd.
|
20,032 | 617,181 | ||||||
|
Sony Corp. (a)
|
50,118 | 592,011 | ||||||
|
Takeda Pharmaceutical Co., Ltd. (a)
|
12,861 | 594,284 | ||||||
|
Toshiba Corp. (a)
|
187,733 | 603,255 | ||||||
|
Toyota Motor Corp. (a)
|
15,046 | 587,916 | ||||||
| 9,477,868 | ||||||||
|
LUXEMBOURG — 0.6%
|
||||||||
|
ArcelorMittal
|
38,906 | 558,586 | ||||||
|
MEXICO — 0.7%
|
||||||||
|
America Movil SAB de CV (a)
|
482,824 | 617,366 | ||||||
|
NETHERLANDS — 0.6%
|
||||||||
|
Royal Dutch Shell PLC (Class A)
|
17,177 | 594,442 | ||||||
|
NETHERLANDS ANTILLES — 0.6%
|
||||||||
|
Schlumberger, Ltd.
|
8,139 | 588,694 | ||||||
|
PORTUGAL — 0.6%
|
||||||||
|
EDP — Energias de Portugal SA
|
215,923 | 595,015 | ||||||
|
RUSSIA — 0.7%
|
||||||||
|
Gazprom OAO ADR
|
11,985 | 120,929 | ||||||
|
Gazprom OAO ADR
|
47,607 | 477,498 | ||||||
| 598,427 | ||||||||
|
SOUTH KOREA — 1.3%
|
||||||||
|
LG Electronics, Inc. (a)
|
9,380 | 582,333 | ||||||
|
Samsung Electronics Co., Ltd. GDR
|
1,068 | 642,936 | ||||||
| 1,225,269 | ||||||||
|
SPAIN — 1.9%
|
||||||||
|
Banco Bilbao Vizcaya Argentaria SA (a)
|
73,290 | 576,380 | ||||||
|
Banco Santander SA (b)
|
77,731 | 579,505 | ||||||
|
Telefonica SA
|
42,155 | 562,661 | ||||||
| 1,718,546 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
SWEDEN — 0.7%
|
||||||||
|
Telefonaktiebolaget LM Ericsson (Class B)
|
65,526 | $ | 598,135 | |||||
|
SWITZERLAND — 4.0%
|
||||||||
|
ABB, Ltd. (b)
|
31,929 | 599,306 | ||||||
|
Credit Suisse Group AG (b)
|
27,629 | 585,918 | ||||||
|
Nestle SA
|
9,864 | 622,404 | ||||||
|
Novartis AG
|
10,426 | 638,451 | ||||||
|
Roche Holding AG
|
3,293 | 615,642 | ||||||
|
UBS AG (b)
|
48,093 | 585,938 | ||||||
| 3,647,659 | ||||||||
|
TAIWAN — 0.7%
|
||||||||
|
Taiwan Semiconductor Manufacturing Co., Ltd. ADR
|
43,019 | 680,561 | ||||||
|
UNITED KINGDOM — 6.6%
|
||||||||
|
Anglo American PLC
|
20,018 | 587,346 | ||||||
|
AstraZeneca PLC
|
13,121 | 626,099 | ||||||
|
BAE Systems PLC
|
113,363 | 595,123 | ||||||
|
BP PLC
|
85,905 | 605,510 | ||||||
|
GlaxoSmithKline PLC
|
26,547 | 611,942 | ||||||
|
HSBC Holdings PLC
|
67,268 | 622,743 | ||||||
|
National Grid PLC
|
55,747 | 614,838 | ||||||
|
Rio Tinto PLC
|
12,414 | 578,331 | ||||||
|
Tesco PLC
|
111,707 | 598,876 | ||||||
|
Vodafone Group PLC
|
215,477 | 611,526 | ||||||
| 6,052,334 | ||||||||
|
UNITED STATES — 42.0%
|
||||||||
|
3M Co.
|
6,690 | 618,290 | ||||||
|
Abbott Laboratories
|
8,891 | 609,567 | ||||||
|
Alcoa, Inc.
|
63,957 | 566,019 | ||||||
|
Amazon.com, Inc. (b)
|
2,366 | 601,721 | ||||||
|
American Express Co.
|
10,430 | 593,050 | ||||||
|
Amgen, Inc.
|
7,388 | 622,956 | ||||||
|
Apple, Inc.
|
902 | 601,869 | ||||||
|
AT&T, Inc.
|
16,144 | 608,629 | ||||||
|
Bank of America Corp.
|
65,522 | 578,559 | ||||||
|
Baxter International, Inc.
|
10,135 | 610,735 | ||||||
|
Carnival Corp.
|
16,285 | 593,425 | ||||||
|
Caterpillar, Inc.
|
6,761 | 581,716 | ||||||
|
Chevron Corp.
|
5,284 | 615,903 | ||||||
|
Cisco Systems, Inc.
|
31,813 | 607,310 | ||||||
|
Colgate-Palmolive Co.
|
5,892 | 631,740 | ||||||
|
ConocoPhillips
|
10,684 | 610,911 | ||||||
|
Deere & Co.
|
7,663 | 632,121 | ||||||
|
E. I. du Pont de Nemours & Co.
|
12,046 | 605,552 | ||||||
|
eBay, Inc. (b)
|
12,590 | 609,482 | ||||||
|
Express Scripts Holding Co. (b)
|
9,776 | 612,662 | ||||||
|
Exxon Mobil Corp.
|
6,751 | 617,379 | ||||||
|
FedEx Corp.
|
6,816 | 576,770 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
|
14,738 | 583,330 | ||||||
|
General Electric Co.
|
27,970 | 635,199 | ||||||
|
Gilead Sciences, Inc. (b)
|
10,214 | 677,495 | ||||||
|
Google, Inc. (Class A) (b)
|
872 | 657,924 | ||||||
|
Hewlett-Packard Co.
|
33,767 | 576,065 | ||||||
|
Honeywell International, Inc.
|
10,077 | 602,101 | ||||||
|
Intel Corp.
|
26,344 | 597,482 | ||||||
|
International Business Machines Corp.
|
2,985 | 619,238 | ||||||
|
Johnson & Johnson
|
9,005 | 620,535 | ||||||
|
JPMorgan Chase & Co.
|
14,877 | 602,221 | ||||||
|
Kraft Foods, Inc. (Class A)
|
15,360 | 635,136 | ||||||
|
McDonald’s Corp.
|
6,726 | 617,111 | ||||||
|
Medtronic, Inc.
|
14,561 | 627,870 | ||||||
|
Merck & Co., Inc.
|
13,791 | 621,974 | ||||||
|
Microsoft Corp.
|
19,887 | 592,235 | ||||||
|
Monsanto Co.
|
6,851 | 623,578 | ||||||
|
News Corp. (Class A)
|
25,263 | 619,701 | ||||||
|
NIKE, Inc. (Class B)
|
6,209 | 589,296 | ||||||
|
Pfizer, Inc.
|
25,398 | 631,140 | ||||||
|
Philip Morris International, Inc.
|
6,832 | 614,470 | ||||||
|
QUALCOMM, Inc.
|
9,637 | 602,216 | ||||||
|
Southwest Airlines Co.
|
67,608 | 592,922 | ||||||
|
Starbucks Corp.
|
11,906 | 604,230 | ||||||
|
The Bank of New York Mellon Corp.
|
26,265 | 594,114 | ||||||
|
The Boeing Co.
|
8,604 | 599,010 | ||||||
|
The
Coca-Cola Co.
|
16,060 | 609,156 | ||||||
|
The Goldman Sachs Group, Inc.
|
5,104 | 580,223 | ||||||
|
The Home Depot, Inc.
|
10,565 | 637,809 | ||||||
|
The NASDAQ OMX Group, Inc.
|
25,155 | 585,986 | ||||||
|
The Procter & Gamble Co.
|
8,938 | 619,940 | ||||||
|
The Travelers Cos., Inc.
|
8,998 | 614,203 | ||||||
|
The Walt Disney Co.
|
11,709 | 612,147 | ||||||
|
The Williams Cos., Inc.
|
17,755 | 620,892 | ||||||
|
Time Warner, Inc.
|
13,894 | 629,815 | ||||||
|
United Parcel Service, Inc. (Class B)
|
8,242 | 589,880 | ||||||
|
United Technologies Corp.
|
7,648 | 598,762 | ||||||
|
UnitedHealth Group, Inc.
|
11,429 | 633,281 | ||||||
|
Verizon Communications, Inc.
|
13,512 | 615,742 | ||||||
|
Visa, Inc. (Class A)
|
4,563 | 612,720 | ||||||
|
Wal-Mart
Stores, Inc.
|
8,197 | 604,939 | ||||||
|
Wells Fargo & Co.
|
17,325 | 598,232 | ||||||
| 38,406,686 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $102,673,842)
|
90,974,952 | |||||||
|
SHORT TERM INVESTMENTS — 6.4%
|
||||||||
|
MONEY MARKET FUNDS — 6.4%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
5,393,482 | 5,393,482 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
403,718 | 403,718 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $5,797,200)
|
5,797,200 | |||||||
|
TOTAL INVESTMENTS — 105.9% (g)
|
||||||||
|
(Cost $108,471,042)
|
96,772,152 | |||||||
|
OTHER ASSETS &
LIABILITIES — (5.9)% |
(5,349,937 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 91,422,215 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 0.5% of net assets as of September 30, 2012, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(d)
|
Investment of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Percent of
|
||||
|
Industry**
|
Net Assets | |||
|
Oil, Gas & Consumable Fuels
|
8.7 | % | ||
|
Commercial Banks
|
8.6 | |||
|
Pharmaceuticals
|
6.1 | |||
|
Metals & Mining
|
5.8 | |||
|
Capital Markets
|
3.2 | |||
|
Wireless Telecommunication Services
|
2.8 | |||
|
Industrial Conglomerates
|
2.7 | |||
|
Chemicals
|
2.7 | |||
|
Food & Staples Retailing
|
2.6 | |||
|
Aerospace & Defense
|
2.6 | |||
|
Insurance
|
2.6 | |||
|
Diversified Telecommunication Services
|
2.6 | |||
|
Multi-Utilities
|
2.5 | |||
|
Semiconductors & Semiconductor Equipment
|
2.1 | |||
|
IT Services
|
2.1 | |||
|
Software
|
2.0 | |||
|
Media
|
2.0 | |||
|
Hotels, Restaurants & Leisure
|
2.0 | |||
|
Communications Equipment
|
2.0 | |||
|
Machinery
|
2.0 | |||
|
Electric Utilities
|
2.0 | |||
|
Computers & Peripherals
|
2.0 | |||
|
Diversified Financial Services
|
1.9 | |||
|
Automobiles
|
1.9 | |||
|
Household Durables
|
1.9 | |||
|
Electrical Equipment
|
1.5 | |||
|
Biotechnology
|
1.4 | |||
|
Internet Software & Services
|
1.4 | |||
|
Food Products
|
1.4 | |||
|
Household Products
|
1.4 | |||
|
Health Care Providers & Services
|
1.4 | |||
|
Health Care Equipment & Supplies
|
1.4 | |||
|
Beverages
|
1.3 | |||
|
Specialty Retail
|
1.3 | |||
|
Trading Companies & Distributors
|
1.3 | |||
|
Textiles, Apparel & Luxury Goods
|
1.3 | |||
|
Air Freight & Logistics
|
1.3 | |||
|
Tobacco
|
0.7 | |||
|
Internet & Catalog Retail
|
0.7 | |||
|
Consumer Finance
|
0.7 | |||
|
Airlines
|
0.7 | |||
|
Building Products
|
0.6 | |||
|
Energy Equipment & Services
|
0.6 | |||
|
Auto Components
|
0.6 | |||
|
Construction & Engineering
|
0.6 | |||
|
Office Electronics
|
0.6 | |||
|
Short Term Investments
|
6.3 | |||
|
Other Assets & Liabilities
|
(5.9 | ) | ||
|
TOTAL
|
100.0 | % | ||
| * | The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time. | |
| ** | Each security is valued based on Level 1 inputs. (See accompanying Notes to Financial Statements). |
|
Security Description
|
Shares
|
Value
|
||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
20,216,571 | $ | 20,216,571 | |||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $127,012,251)
|
127,012,251 | |||||||
|
TOTAL INVESTMENTS — 106.2% (f)
|
||||||||
|
(Cost $1,884,507,753)
|
2,047,531,129 | |||||||
|
OTHER ASSETS &
LIABILITIES — (6.2)% |
(119,343,696 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,928,187,433 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
ASSET MANAGEMENT & CUSTODY
BANKS — 5.1%
|
||||||||
|
Northern Trust Corp.
|
916,367 | $ | 42,533,174 | |||||
|
The Bank of New York Mellon Corp.
|
1,906,132 | 43,116,706 | ||||||
| 85,649,880 | ||||||||
|
DIVERSIFIED BANKS — 7.8%
|
||||||||
|
Comerica, Inc.
|
1,363,096 | 42,324,131 | ||||||
|
U.S. Bancorp
|
1,288,957 | 44,211,225 | ||||||
|
Wells Fargo & Co.
|
1,246,148 | 43,029,491 | ||||||
| 129,564,847 | ||||||||
|
OTHER DIVERSIFIED FINANCIAL SERVICES — 7.7%
|
||||||||
|
Bank of America Corp.
|
4,714,331 | 41,627,543 | ||||||
|
Citigroup, Inc.
|
1,294,092 | 42,342,690 | ||||||
|
JPMorgan Chase & Co.
|
1,083,113 | 43,844,414 | ||||||
| 127,814,647 | ||||||||
|
REGIONAL BANKS — 65.8%
|
||||||||
|
Associated
Banc-Corp.
|
3,245,172 | 42,738,915 | ||||||
|
Bank of Hawaii Corp. (a)
|
921,831 | 42,053,930 | ||||||
|
BB&T Corp.
|
1,324,515 | 43,920,917 | ||||||
|
CapitalSource, Inc.
|
6,035,200 | 45,746,816 | ||||||
|
CIT Group, Inc. (b)
|
1,088,021 | 42,857,147 | ||||||
|
City National Corp. (a)
|
826,403 | 42,568,019 | ||||||
|
Commerce Bancshares, Inc.
|
1,058,084 | 42,672,528 | ||||||
|
Cullen/Frost Bankers, Inc. (a)
|
753,175 | 43,254,840 | ||||||
|
East West Bancorp, Inc.
|
1,964,255 | 41,485,066 | ||||||
|
Fifth Third Bancorp
|
2,853,049 | 44,250,790 | ||||||
|
First Horizon National Corp. (a)
|
4,400,963 | 42,381,274 | ||||||
|
Fulton Financial Corp.
|
2,838,704 | 27,989,621 | ||||||
|
Hancock Holding Co.
|
1,360,258 | 42,099,985 | ||||||
|
Huntington Bancshares, Inc.
|
6,261,779 | 43,206,275 | ||||||
|
Keycorp
|
4,980,343 | 43,528,198 | ||||||
|
M&T Bank Corp.
|
474,898 | 45,191,294 | ||||||
|
PNC Financial Services Group, Inc.
|
674,182 | 42,540,884 | ||||||
|
Popular, Inc. (b)
|
2,402,496 | 41,875,505 | ||||||
|
Prosperity Bancshares, Inc. (a)
|
961,937 | 40,997,755 | ||||||
|
Regions Financial Corp.
|
5,908,441 | 42,599,860 | ||||||
|
Signature Bank (b)
|
652,380 | 43,761,650 | ||||||
|
SunTrust Banks, Inc.
|
1,505,218 | 42,552,513 | ||||||
|
SVB Financial Group (b)
|
720,968 | 43,589,725 | ||||||
|
TCF Financial Corp. (a)
|
3,657,391 | 43,669,249 | ||||||
|
Valley National Bancorp (a)
|
3,324,183 | 33,308,314 | ||||||
|
Zions Bancorporation (a)
|
2,108,796 | 43,557,181 | ||||||
| 1,094,398,251 | ||||||||
|
THRIFTS & MORTGAGE
FINANCE — 13.4%
|
||||||||
|
First Niagara Financial Group, Inc.
|
5,340,662 | 43,205,956 | ||||||
|
Hudson City Bancorp, Inc.
|
5,670,272 | 45,135,365 | ||||||
|
New York Community Bancorp, Inc. (a)
|
3,188,538 | 45,149,698 | ||||||
|
Ocwen Financial Corp. (b)
|
1,649,196 | 45,204,462 | ||||||
|
People’s United Financial, Inc. (a)
|
3,616,238 | 43,901,130 | ||||||
| 222,596,611 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $1,697,166,378)
|
1,660,024,236 | |||||||
|
SHORT TERM INVESTMENTS — 7.6%
|
||||||||
|
MONEY MARKET FUNDS — 7.6%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
116,648,886 | 116,648,886 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
10,042,516 | 10,042,516 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $126,691,402)
|
126,691,402 | |||||||
|
TOTAL INVESTMENTS — 107.4% (f)
|
||||||||
|
(Cost $1,823,857,780)
|
1,786,715,638 | |||||||
|
OTHER ASSETS &
LIABILITIES — (7.4)% |
(122,436,944 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,664,278,694 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.5%
|
||||||||
|
ASSET MANAGEMENT & CUSTODY
BANKS — 65.3%
|
||||||||
|
Affiliated Managers Group, Inc. (a)(b)
|
4,378 | $ | 538,494 | |||||
|
American Capital, Ltd. (b)
|
46,933 | 532,220 | ||||||
|
Ameriprise Financial, Inc.
|
9,434 | 534,813 | ||||||
|
Apollo Investment Corp. (a)
|
55,423 | 436,179 | ||||||
|
Ares Capital Corp.
|
32,025 | 548,909 | ||||||
|
BlackRock Kelso Capital Corp. (a)
|
12,521 | 121,704 | ||||||
|
BlackRock, Inc.
|
3,052 | 544,172 | ||||||
|
Cohen & Steers, Inc. (a)
|
5,070 | 150,173 | ||||||
|
Eaton Vance Corp. (a)
|
18,805 | 544,593 | ||||||
|
Federated Investors, Inc. (Class B) (a)
|
25,679 | 531,299 | ||||||
|
Fifth Street Finance Corp. (a)
|
21,018 | 230,778 | ||||||
|
Financial Engines, Inc. (b)
|
8,293 | 197,622 | ||||||
|
Franklin Resources, Inc. (a)
|
4,363 | 545,680 | ||||||
|
Hercules Technology Growth Capital, Inc. (a)
|
8,468 | 93,233 | ||||||
|
Invesco, Ltd.
|
21,630 | 540,534 | ||||||
|
Janus Capital Group, Inc. (a)
|
59,478 | 561,472 | ||||||
|
Legg Mason, Inc. (a)
|
20,724 | 511,468 | ||||||
|
Main Street Capital Corp.
|
9,153 | 270,105 | ||||||
|
MCG Capital Corp.
|
10,278 | 47,382 | ||||||
|
Northern Trust Corp. (a)
|
11,368 | 527,646 | ||||||
|
PennantPark Investment Corp. (a)
|
11,368 | 120,615 | ||||||
|
Prospect Capital Corp.
|
46,538 | 536,118 | ||||||
|
SEI Investments Co. (a)
|
24,463 | 524,731 | ||||||
|
State Street Corp. (c)
|
12,715 | 533,521 | ||||||
|
T. Rowe Price Group, Inc. (a)
|
8,487 | 537,227 | ||||||
|
The Bank of New York Mellon Corp.
|
23,645 | 534,850 | ||||||
|
Triangle Capital Corp. (a)
|
8,200 | 210,412 | ||||||
|
Virtus Investment Partners, Inc. (b)
|
678 | 58,308 | ||||||
|
Waddell & Reed Financial, Inc. (Class A) (a)
|
16,412 | 537,821 | ||||||
| 11,602,079 | ||||||||
|
INVESTMENT BANKING &
BROKERAGE — 34.2%
|
||||||||
|
BGC Partners, Inc. (Class A) (a)
|
42,753 | 209,490 | ||||||
|
E*TRADE Financial Corp. (b)
|
56,528 | 498,012 | ||||||
|
Evercore Partners, Inc. (Class A) (a)
|
8,454 | 228,258 | ||||||
|
Greenhill & Co., Inc. (a)
|
9,748 | 504,459 | ||||||
|
Investment Technology Group, Inc. (b)
|
9,061 | 78,831 | ||||||
|
Jefferies Group, Inc.
|
34,841 | 476,973 | ||||||
|
KBW, Inc. (a)
|
8,050 | 132,583 | ||||||
|
Lazard, Ltd. (Class A)
|
18,028 | 526,958 | ||||||
|
LPL Investment Holdings, Inc. (a)
|
16,108 | 459,722 | ||||||
|
Morgan Stanley
|
30,619 | 512,562 | ||||||
|
Piper Jaffray Co., Inc. (a)(b)
|
3,119 | 79,379 | ||||||
|
Raymond James Financial, Inc.
|
14,473 | 530,435 | ||||||
|
Stifel Financial Corp. (a)(b)
|
9,708 | 326,189 | ||||||
|
TD Ameritrade Holding Corp.
|
31,988 | 491,656 | ||||||
|
The Charles Schwab Corp. (a)
|
38,705 | 495,037 | ||||||
|
The Goldman Sachs Group, Inc.
|
4,602 | 523,155 | ||||||
| 6,073,699 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $22,652,729)
|
17,675,778 | |||||||
|
SHORT TERM INVESTMENTS — 24.2%
|
||||||||
|
MONEY MARKET FUNDS — 24.2%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
4,094,745 | 4,094,745 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
214,956 | 214,956 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $4,309,701)
|
4,309,701 | |||||||
|
TOTAL INVESTMENTS — 123.7% (g)
|
||||||||
|
(Cost $26,962,430)
|
21,985,479 | |||||||
|
OTHER ASSETS &
LIABILITIES — (23.7)% |
(4,211,949 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 17,773,530 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
INSURANCE BROKERS — 9.3%
|
||||||||
|
Aon PLC
|
48,377 | $ | 2,529,633 | |||||
|
Arthur J. Gallagher & Co. (a)
|
68,955 | 2,469,968 | ||||||
|
Brown & Brown, Inc.
|
96,353 | 2,511,923 | ||||||
|
Marsh & McLennan Cos., Inc.
|
73,663 | 2,499,386 | ||||||
| 10,010,910 | ||||||||
|
LIFE & HEALTH INSURANCE — 20.2%
|
||||||||
|
Aflac, Inc.
|
51,746 | 2,477,598 | ||||||
|
CNO Financial Group, Inc.
|
257,098 | 2,480,996 | ||||||
|
Lincoln National Corp. (a)
|
99,698 | 2,411,695 | ||||||
|
MetLife, Inc. (a)
|
70,962 | 2,445,350 | ||||||
|
Principal Financial Group, Inc. (a)
|
88,212 | 2,376,431 | ||||||
|
Protective Life Corp. (a)
|
89,893 | 2,356,096 | ||||||
|
Prudential Financial, Inc.
|
43,812 | 2,388,192 | ||||||
|
Torchmark Corp. (a)
|
48,759 | 2,503,775 | ||||||
|
Unum Group
|
122,924 | 2,362,599 | ||||||
| 21,802,732 | ||||||||
|
MULTI-LINE
INSURANCE — 15.9%
|
||||||||
|
American Financial Group, Inc.
|
65,923 | 2,498,482 | ||||||
|
American International Group, Inc. (b)
|
73,383 | 2,406,229 | ||||||
|
Assurant, Inc. (a)
|
67,347 | 2,512,043 | ||||||
|
Genworth Financial, Inc. (Class A) (a)(b)
|
420,131 | 2,197,285 | ||||||
|
Hartford Financial Services Group, Inc.
|
126,386 | 2,456,944 | ||||||
|
HCC Insurance Holdings, Inc. (a)
|
75,504 | 2,558,830 | ||||||
|
Loews Corp.
|
60,182 | 2,483,109 | ||||||
| 17,112,922 | ||||||||
|
PROPERTY & CASUALTY
INSURANCE — 36.4%
|
||||||||
|
ACE, Ltd.
|
33,405 | 2,525,418 | ||||||
|
Alleghany Corp. (a)(b)
|
7,261 | 2,504,609 | ||||||
|
Allied World Assurance Company Holdings, Ltd.
|
32,443 | 2,506,222 | ||||||
|
Aspen Insurance Holdings, Ltd.
|
66,102 | 2,015,450 | ||||||
|
Assured Guaranty, Ltd.
|
165,603 | 2,255,513 | ||||||
|
Axis Capital Holdings, Ltd.
|
70,610 | 2,465,701 | ||||||
|
Cincinnati Financial Corp. (a)
|
64,427 | 2,441,139 | ||||||
|
Fidelity National Financial, Inc. (Class A)
|
129,366 | 2,767,139 | ||||||
|
First American Financial Corp.
|
90,540 | 1,962,002 | ||||||
|
Old Republic International Corp.
|
265,086 | 2,465,300 | ||||||
|
ProAssurance Corp.
|
28,757 | 2,600,783 | ||||||
|
The Allstate Corp.
|
64,517 | 2,555,518 | ||||||
|
The Chubb Corp.
|
33,838 | 2,581,163 | ||||||
|
The Progressive Corp. (a)
|
123,556 | 2,562,551 | ||||||
|
The Travelers Cos., Inc.
|
37,497 | 2,559,545 | ||||||
|
W.R. Berkley Corp. (a)
|
66,808 | 2,504,632 | ||||||
| 39,272,685 | ||||||||
|
REINSURANCE — 18.0%
|
||||||||
|
Alterra Capital Holdings Ltd. (a)
|
74,226 | 1,776,970 | ||||||
|
Arch Capital Group, Ltd. (a)(b)
|
62,466 | 2,603,583 | ||||||
|
Everest Re Group, Ltd.
|
23,236 | 2,485,323 | ||||||
|
PartnerRe, Ltd. (a)
|
33,564 | 2,493,134 | ||||||
|
Reinsurance Group of America, Inc.
|
42,856 | 2,480,077 | ||||||
|
RenaissanceRe Holdings, Ltd.
|
33,151 | 2,553,953 | ||||||
|
Validus Holdings, Ltd.
|
75,020 | 2,543,928 | ||||||
|
XL Group PLC
|
104,203 | 2,503,998 | ||||||
| 19,440,966 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $110,149,278)
|
107,640,215 | |||||||
|
SHORT TERM INVESTMENTS — 12.6%
|
||||||||
|
MONEY MARKET FUNDS — 12.6%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
13,016,899 | 13,016,899 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
610,641 | 610,641 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $13,627,540)
|
13,627,540 | |||||||
|
TOTAL INVESTMENTS — 112.4% (f)
|
||||||||
|
(Cost $123,776,818)
|
121,267,755 | |||||||
|
OTHER ASSETS &
LIABILITIES — (12.4)% |
(13,364,774 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 107,902,981 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
HOUSEHOLD DURABLES — 22.6%
|
||||||||
|
D.R. Horton, Inc. (a)
|
5,620 | $ | 115,997 | |||||
|
Lennar Corp. (Class A) (a)
|
3,389 | 117,835 | ||||||
|
M.D.C. Holdings, Inc. (a)
|
3,184 | 122,616 | ||||||
|
NVR, Inc. (b)
|
142 | 119,919 | ||||||
|
Pulte Group, Inc. (a)(b)
|
7,481 | 115,955 | ||||||
|
Standard Pacific Corp. (a)(b)
|
16,566 | 111,986 | ||||||
|
The Ryland Group, Inc. (a)
|
3,921 | 117,630 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
3,403 | 113,082 | ||||||
| 935,020 | ||||||||
|
INSURANCE — 58.3%
|
||||||||
|
ACE, Ltd. (a)
|
1,604 | 121,262 | ||||||
|
Allied World Assurance Company Holdings, Ltd. (a)
|
1,559 | 120,433 | ||||||
|
Amtrust Financial Services, Inc. (a)
|
1,811 | 46,398 | ||||||
|
Arch Capital Group, Ltd. (a)(b)
|
3,003 | 125,165 | ||||||
|
Aspen Insurance Holdings, Ltd. (a)
|
2,530 | 77,140 | ||||||
|
Assured Guaranty, Ltd.
|
7,957 | 108,374 | ||||||
|
Axis Capital Holdings, Ltd.
|
3,394 | 118,518 | ||||||
|
Cincinnati Financial Corp. (a)
|
3,097 | 117,345 | ||||||
|
CNA Financial Corp.
|
1,429 | 38,297 | ||||||
|
Employers Holdings, Inc.
|
924 | 16,937 | ||||||
|
Fidelity National Financial, Inc. (Class A)
|
6,219 | 133,024 | ||||||
|
First American Financial Corp. (a)
|
3,465 | 75,087 | ||||||
|
MBIA, Inc. (b)
|
10,517 | 106,537 | ||||||
|
Mercury General Corp.
|
2,177 | 84,141 | ||||||
|
Old Republic International Corp. (a)
|
12,740 | 118,482 | ||||||
|
ProAssurance Corp.
|
1,382 | 124,988 | ||||||
|
RLI Corp. (a)
|
706 | 47,062 | ||||||
|
The Allstate Corp. (a)
|
3,100 | 122,791 | ||||||
|
The Chubb Corp. (a)
|
1,624 | 123,879 | ||||||
|
The Hanover Insurance Group, Inc.
|
1,783 | 66,435 | ||||||
|
The Progressive Corp. (a)
|
5,938 | 123,154 | ||||||
|
The Travelers Cos., Inc.
|
1,802 | 123,005 | ||||||
|
Tower Group, Inc. (a)
|
1,856 | 35,988 | ||||||
|
W.R. Berkley Corp.
|
3,210 | 120,343 | ||||||
|
XL Group PLC
|
5,007 | 120,318 | ||||||
| 2,415,103 | ||||||||
|
THRIFTS & MORTGAGE
FINANCE — 18.9%
|
||||||||
|
Astoria Financial Corp. (a)
|
3,956 | 39,085 | ||||||
|
Brookline Bancorp, Inc. (a)
|
2,152 | 18,981 | ||||||
|
Capitol Federal Financial, Inc.
|
5,919 | 70,791 | ||||||
|
Hudson City Bancorp, Inc.
|
15,564 | 123,889 | ||||||
|
New York Community Bancorp, Inc. (a)
|
8,752 | 123,928 | ||||||
|
Northwest Bancshares, Inc. (a)
|
3,261 | 39,882 | ||||||
|
Ocwen Financial Corp. (b)
|
4,527 | 124,085 | ||||||
|
Oritani Financial Corp. (a)
|
1,343 | 20,212 | ||||||
|
People’s United Financial, Inc. (a)
|
9,926 | 120,502 | ||||||
|
Provident Financial Services, Inc. (a)
|
1,464 | 23,117 | ||||||
|
TFS Financial Corp. (b)
|
2,039 | 18,494 | ||||||
|
Washington Federal, Inc.
|
3,597 | 59,998 | ||||||
| 782,964 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $3,357,128)
|
4,133,087 | |||||||
|
SHORT TERM INVESTMENTS — 24.8%
|
||||||||
|
MONEY MARKET FUNDS — 24.8%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
986,114 | 986,114 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
42,132 | 42,132 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $1,028,246)
|
1,028,246 | |||||||
|
TOTAL INVESTMENTS — 124.6% (f)
|
||||||||
|
(Cost $4,385,374)
|
5,161,333 | |||||||
|
OTHER ASSETS &
LIABILITIES — (24.6)% |
(1,017,753 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 4,143,580 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
REGIONAL BANKS — 95.1%
|
||||||||
|
Associated
Banc-Corp.
|
1,943,645 | $ | 25,597,805 | |||||
|
BancorpSouth, Inc.
|
1,244,487 | 18,343,738 | ||||||
|
Bank of Hawaii Corp. (a)
|
548,745 | 25,033,747 | ||||||
|
Bank of the Ozarks, Inc. (a)
|
380,789 | 13,125,797 | ||||||
|
BB&T Corp.
|
788,511 | 26,147,025 | ||||||
|
BBCN Bancorp, Inc. (b)
|
752,468 | 9,488,621 | ||||||
|
BOK Financial Corp.
|
127,830 | 7,554,753 | ||||||
|
Boston Private Financial Holdings, Inc. (a)
|
1,005,768 | 9,645,315 | ||||||
|
CapitalSource, Inc.
|
3,592,825 | 27,233,613 | ||||||
|
Cathay General Bancorp (a)
|
860,418 | 14,850,815 | ||||||
|
Chemical Financial Corp. (a)
|
148,767 | 3,600,161 | ||||||
|
CIT Group, Inc. (b)
|
647,748 | 25,514,794 | ||||||
|
Citizens Republic Bancorp, Inc. (b)
|
910,185 | 17,612,080 | ||||||
|
City Holding Co. (a)
|
106,632 | 3,821,691 | ||||||
|
City National Corp.
|
492,003 | 25,343,074 | ||||||
|
Columbia Banking System, Inc.
|
433,497 | 8,037,034 | ||||||
|
Commerce Bancshares, Inc.
|
629,959 | 25,406,246 | ||||||
|
Community Bank System, Inc. (a)
|
338,551 | 9,543,753 | ||||||
|
Cullen/Frost Bankers, Inc. (a)
|
448,352 | 25,748,855 | ||||||
|
CVB Financial Corp.
|
1,012,102 | 12,084,498 | ||||||
|
East West Bancorp, Inc.
|
1,169,431 | 24,698,383 | ||||||
|
F.N.B. Corp. (a)
|
1,311,360 | 14,700,346 | ||||||
|
Fifth Third Bancorp
|
1,698,506 | 26,343,828 | ||||||
|
First Commonwealth Financial Corp. (a)
|
1,195,936 | 8,431,349 | ||||||
|
First Financial Bancorp
|
476,330 | 8,054,740 | ||||||
|
First Financial Bankshares, Inc. (a)
|
200,375 | 7,219,511 | ||||||
|
First Horizon National Corp. (a)
|
2,619,979 | 25,230,398 | ||||||
|
First Midwest Bancorp, Inc.
|
850,420 | 10,672,771 | ||||||
|
First Republic Bank
|
788,583 | 27,174,570 | ||||||
|
FirstMerit Corp.
|
1,761,040 | 25,940,119 | ||||||
|
Fulton Financial Corp.
|
2,249,466 | 22,179,735 | ||||||
|
Glacier Bancorp, Inc. (a)
|
754,193 | 11,750,327 | ||||||
|
Hancock Holding Co.
|
809,720 | 25,060,834 | ||||||
|
Home Bancshares, Inc.
|
136,751 | 4,661,842 | ||||||
|
Huntington Bancshares, Inc.
|
3,727,763 | 25,721,565 | ||||||
|
IBERIABANK Corp.
|
377,621 | 17,295,042 | ||||||
|
Independent Bank
Corp.-Massachusetts (a)
|
127,195 | 3,827,298 | ||||||
|
International Bancshares Corp.
|
492,811 | 9,388,049 | ||||||
|
Investors Bancorp, Inc. (b)
|
385,842 | 7,037,758 | ||||||
|
Keycorp
|
2,964,948 | 25,913,645 | ||||||
|
M&T Bank Corp.
|
282,675 | 26,899,353 | ||||||
|
MB Financial, Inc.
|
517,657 | 10,223,726 | ||||||
|
National Penn Bancshares, Inc. (a)
|
1,677,558 | 15,282,553 | ||||||
|
NBT Bancorp, Inc. (a)
|
235,984 | 5,208,167 | ||||||
|
Old National Bancorp
|
808,210 | 10,999,738 | ||||||
|
Oriental Financial Group, Inc.
|
882,705 | 9,286,057 | ||||||
|
PacWest Bancorp
|
403,637 | 9,432,997 | ||||||
|
Park National Corp.
|
75,729 | 5,302,545 | ||||||
|
Pinnacle Financial Partners, Inc. (a)(b)
|
362,527 | 7,004,022 | ||||||
|
PNC Financial Services Group, Inc.
|
401,354 | 25,325,437 | ||||||
|
Popular, Inc. (b)
|
1,430,246 | 24,929,188 | ||||||
|
PrivateBancorp, Inc. (a)
|
928,108 | 14,840,447 | ||||||
|
Prosperity Bancshares, Inc. (a)
|
592,809 | 25,265,520 | ||||||
|
Regions Financial Corp.
|
3,517,405 | 25,360,490 | ||||||
|
S&T Bancorp, Inc.
|
170,274 | 2,998,525 | ||||||
|
Signature Bank (b)
|
388,432 | 26,056,019 | ||||||
|
State Bank Financial Corp.
|
223,469 | 3,685,004 | ||||||
|
Sterling Financial Corp.
|
438,360 | 9,762,277 | ||||||
|
SunTrust Banks, Inc.
|
896,093 | 25,332,549 | ||||||
|
Susquehanna Bancshares, Inc.
|
2,399,538 | 25,099,167 | ||||||
|
SVB Financial Group (b)
|
429,172 | 25,947,739 | ||||||
|
Synovus Financial Corp. (a)
|
10,984,750 | 26,033,857 | ||||||
|
TCF Financial Corp.
|
2,177,330 | 25,997,320 | ||||||
|
Texas Capital Bancshares, Inc. (a)(b)
|
551,373 | 27,408,752 | ||||||
|
Trustmark Corp. (a)
|
713,421 | 17,364,667 | ||||||
|
UMB Financial Corp. (a)
|
476,966 | 23,218,705 | ||||||
|
Umpqua Holdings Corp. (a)
|
1,398,439 | 18,025,879 | ||||||
|
United Bankshares, Inc. (a)
|
1,040,458 | 25,917,809 | ||||||
|
Valley National Bancorp (a)
|
2,502,608 | 25,076,132 | ||||||
|
Westamerica Bancorporation (a)
|
266,258 | 12,527,439 | ||||||
|
Western Alliance Bancorp (b)
|
710,667 | 7,248,803 | ||||||
|
Wintrust Financial Corp. (a)
|
545,065 | 20,478,092 | ||||||
|
Zions Bancorporation
|
1,255,408 | 25,930,452 | ||||||
| 1,254,504,952 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 4.7%
|
||||||||
|
BankUnited, Inc. (a)
|
554,438 | 13,644,719 | ||||||
|
First Niagara Financial Group, Inc.
|
3,179,430 | 25,721,589 | ||||||
|
Webster Financial Corp.
|
935,219 | 22,164,690 | ||||||
| 61,530,998 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $1,317,560,818)
|
1,316,035,950 | |||||||
|
SHORT TERM INVESTMENTS — 7.9%
|
||||||||
|
MONEY MARKET FUNDS — 7.9%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
98,493,596 | 98,493,596 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
6,249,998 | 6,249,998 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $104,743,594)
|
104,743,594 | |||||||
|
TOTAL INVESTMENTS — 107.7% (f)
|
||||||||
|
(Cost $1,422,304,412)
|
1,420,779,544 | |||||||
|
OTHER ASSETS &
LIABILITIES — (7.7)% |
(102,025,853 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,318,753,691 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investment of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
AEROSPACE & DEFENSE — 1.5%
|
||||||||
|
General Dynamics Corp.
|
2,166,431 | $ | 143,244,418 | |||||
|
BEVERAGES — 3.4%
|
||||||||
|
Brown-Forman
Corp. (Class B)
|
1,020,860 | 66,611,115 | ||||||
|
PepsiCo, Inc.
|
1,963,415 | 138,950,880 | ||||||
|
The
Coca-Cola Co.
|
3,067,724 | 116,358,771 | ||||||
| 321,920,766 | ||||||||
|
CAPITAL MARKETS — 3.8%
|
||||||||
|
Eaton Vance Corp. (a)
|
4,780,767 | 138,451,012 | ||||||
|
Franklin Resources, Inc.
|
388,256 | 48,559,178 | ||||||
|
SEI Investments Co.
|
3,292,584 | 70,625,927 | ||||||
|
T. Rowe Price Group, Inc.
|
1,563,028 | 98,939,672 | ||||||
| 356,575,789 | ||||||||
|
CHEMICALS — 6.2%
|
||||||||
|
Air Products & Chemicals, Inc.
|
1,804,477 | 149,230,248 | ||||||
|
Ecolab, Inc.
|
783,584 | 50,784,079 | ||||||
|
PPG Industries, Inc.
|
977,708 | 112,279,987 | ||||||
|
RPM International, Inc.
|
2,922,564 | 83,409,977 | ||||||
|
Sigma-Aldrich
Corp. (a)
|
686,588 | 49,413,738 | ||||||
|
The
Sherwin-Williams Co.
|
411,472 | 61,272,295 | ||||||
|
Valspar Corp.
|
1,327,816 | 74,490,478 | ||||||
| 580,880,802 | ||||||||
|
COMMERCIAL BANKS — 0.8%
|
||||||||
|
Commerce Bancshares, Inc.
|
1,764,223 | 71,151,114 | ||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 3.5%
|
||||||||
|
Cintas Corp. (a)
|
1,593,808 | 66,063,342 | ||||||
|
Pitney Bowes, Inc. (a)(b)
|
19,203,881 | 265,397,635 | ||||||
| 331,460,977 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.1%
|
||||||||
|
Diebold, Inc.
|
3,148,337 | 106,130,440 | ||||||
|
CONTAINERS & PACKAGING — 1.9%
|
||||||||
|
Bemis Co., Inc.
|
3,635,536 | 114,410,318 | ||||||
|
Sonoco Products Co.
|
1,975,497 | 61,220,652 | ||||||
| 175,630,970 | ||||||||
|
DISTRIBUTORS — 1.6%
|
||||||||
|
Genuine Parts Co. (a)
|
2,436,120 | 148,676,404 | ||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 2.5%
|
||||||||
|
AT&T, Inc.
|
6,343,365 | 239,144,861 | ||||||
|
ELECTRICAL EQUIPMENT — 1.8%
|
||||||||
|
Emerson Electric Co.
|
3,472,690 | 167,626,746 | ||||||
|
FOOD & STAPLES RETAILING — 5.1%
|
||||||||
|
Sysco Corp. (a)
|
5,695,642 | 178,102,725 | ||||||
|
Wal-Mart
Stores, Inc.
|
1,415,923 | 104,495,117 | ||||||
|
Walgreen Co.
|
5,525,015 | 201,331,547 | ||||||
| 483,929,389 | ||||||||
|
FOOD PRODUCTS — 3.1%
|
||||||||
|
Archer-Daniels-Midland Co.
|
3,933,410 | 106,910,084 | ||||||
|
Hormel Foods Corp. (a)
|
3,107,216 | 90,854,996 | ||||||
|
McCormick & Co., Inc. (a)
|
1,525,313 | 94,630,418 | ||||||
| 292,395,498 | ||||||||
|
GAS UTILITIES — 5.2%
|
||||||||
|
Atmos Energy Corp.
|
1,772,328 | 63,431,619 | ||||||
|
National Fuel Gas Co. (a)
|
2,661,753 | 143,841,132 | ||||||
|
Piedmont Natural Gas Co., Inc. (a)
|
1,628,072 | 52,879,779 | ||||||
|
Questar Corp.
|
4,374,309 | 88,929,702 | ||||||
|
UGI Corp.
|
2,794,888 | 88,737,694 | ||||||
|
WGL Holdings, Inc. (a)
|
1,416,281 | 57,005,310 | ||||||
| 494,825,236 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 3.1%
|
||||||||
|
Becton, Dickinson and Co. (a)
|
1,470,063 | 115,488,149 | ||||||
|
C.R. Bard, Inc.
|
315,428 | 33,009,540 | ||||||
|
Medtronic, Inc.
|
3,248,191 | 140,061,996 | ||||||
| 288,559,685 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 1.0%
|
||||||||
|
Cardinal Health, Inc.
|
2,417,504 | 94,210,131 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.5%
|
||||||||
|
McDonald’s Corp.
|
1,557,060 | 142,860,255 | ||||||
|
HOUSEHOLD DURABLES — 2.4%
|
||||||||
|
Leggett & Platt, Inc. (a)(b)
|
9,184,244 | 230,065,312 | ||||||
|
HOUSEHOLD PRODUCTS — 6.4%
|
||||||||
|
Colgate-Palmolive Co.
|
1,026,353 | 110,045,568 | ||||||
|
Kimberly-Clark Corp.
|
1,884,042 | 161,613,123 | ||||||
|
The Clorox Co.
|
2,196,435 | 158,253,142 | ||||||
|
The Procter & Gamble Co.
|
2,561,894 | 177,692,968 | ||||||
| 607,604,801 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 2.0%
|
||||||||
|
3M Co.
|
1,366,280 | 126,271,597 | ||||||
|
Carlisle Cos., Inc. (a)
|
1,166,540 | 60,566,757 | ||||||
| 186,838,354 | ||||||||
|
INSURANCE — 6.4%
|
||||||||
|
Aflac, Inc.
|
3,229,664 | 154,636,313 | ||||||
|
Cincinnati Financial Corp. (a)
|
4,336,320 | 164,303,165 | ||||||
|
Mercury General Corp.
|
866,425 | 33,487,326 | ||||||
|
Old Republic International Corp. (b)
|
14,995,040 | 139,453,872 | ||||||
|
The Chubb Corp.
|
1,424,901 | 108,691,448 | ||||||
| 600,572,124 | ||||||||
|
IT SERVICES — 1.4%
|
||||||||
|
Automatic Data Processing, Inc.
|
2,309,672 | 135,485,360 | ||||||
|
MACHINERY — 6.6%
|
||||||||
|
CLARCOR, Inc.
|
927,122 | 41,377,455 | ||||||
|
Dover Corp.
|
2,028,565 | 120,679,332 | ||||||
|
Illinois Tool Works, Inc. (a)
|
2,437,383 | 144,951,167 | ||||||
|
Nordson Corp.
|
870,356 | 51,020,268 | ||||||
|
Pentair, Inc. (a)
|
2,688,384 | 119,659,972 | ||||||
|
Stanley Black & Decker, Inc.
|
1,923,431 | 146,661,614 | ||||||
| 624,349,808 | ||||||||
|
MEDIA — 1.3%
|
||||||||
|
The
McGraw-Hill
Cos., Inc.
|
2,228,541 | 121,656,053 | ||||||
|
METALS & MINING — 1.9%
|
||||||||
|
Nucor Corp.
|
4,555,487 | 174,292,933 | ||||||
|
MULTI-UTILITIES — 3.0%
|
||||||||
|
Consolidated Edison, Inc.
|
2,787,724 | 166,956,790 | ||||||
|
MDU Resources Group, Inc. (a)
|
3,267,992 | 72,026,544 | ||||||
|
Vectren Corp.
|
1,681,084 | 48,079,002 | ||||||
| 287,062,336 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
MULTILINE RETAIL — 1.8%
|
||||||||
|
Family Dollar Stores, Inc.
|
850,888 | $ | 56,413,874 | |||||
|
Target Corp.
|
1,814,882 | 115,190,561 | ||||||
| 171,604,435 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 3.9%
|
||||||||
|
Chevron Corp.
|
1,462,424 | 170,460,141 | ||||||
|
Energen Corp.
|
1,216,324 | 63,747,541 | ||||||
|
Exxon Mobil Corp.
|
1,416,357 | 129,525,848 | ||||||
| 363,733,530 | ||||||||
|
PERSONAL PRODUCTS — 2.9%
|
||||||||
|
Avon Products, Inc. (a)
|
16,975,559 | 270,760,166 | ||||||
|
PHARMACEUTICALS — 3.3%
|
||||||||
|
Abbott Laboratories
|
2,196,593 | 150,598,416 | ||||||
|
Johnson & Johnson (a)
|
2,391,595 | 164,804,812 | ||||||
| 315,403,228 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 4.8%
|
||||||||
|
Federal Realty Investment Trust
|
1,120,947 | 118,035,719 | ||||||
|
HCP, Inc.
|
4,533,380 | 201,644,743 | ||||||
|
National Retail Properties, Inc.
|
4,348,384 | 132,625,712 | ||||||
| 452,306,174 | ||||||||
|
SPECIALTY RETAIL — 1.2%
|
||||||||
|
Lowe’s Cos., Inc.
|
3,826,431 | 115,711,273 | ||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 1.2%
|
||||||||
|
V.F. Corp.
|
700,992 | 111,710,085 | ||||||
|
TRADING COMPANIES &
DISTRIBUTORS — 0.9%
|
||||||||
|
W.W. Grainger, Inc.
|
400,652 | 83,483,857 | ||||||
|
WATER UTILITIES — 0.6%
|
||||||||
|
Aqua America, Inc. (a)
|
2,196,048 | 54,374,148 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.7%
|
||||||||
|
Telephone & Data Systems, Inc.
|
2,548,990 | 65,279,634 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $8,391,930,232)
|
9,411,517,092 | |||||||
|
SHORT TERM INVESTMENTS — 7.2%
|
||||||||
|
MONEY MARKET FUNDS — 7.2%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
594,650,206 | 594,650,206 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
83,884,295 | 83,884,295 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $678,534,501)
|
678,534,501 | |||||||
|
TOTAL INVESTMENTS — 107.0% (f)
|
||||||||
|
(Cost $9,070,464,733)
|
10,090,051,593 | |||||||
|
OTHER ASSETS &
LIABILITIES — (7.0)% |
(655,866,963 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 9,434,184,630 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
AEROSPACE & DEFENSE — 99.9%
|
||||||||
|
AAR Corp.
|
12,563 | $ | 206,284 | |||||
|
Aerovironment, Inc. (a)(b)
|
6,917 | 162,342 | ||||||
|
Alliant Techsystems, Inc.
|
8,720 | 436,959 | ||||||
|
American Science & Engineering, Inc. (a)
|
1,982 | 130,039 | ||||||
|
BE Aerospace, Inc. (b)
|
16,645 | 700,754 | ||||||
|
Ceradyne, Inc. (a)
|
4,976 | 121,564 | ||||||
|
Cubic Corp.
|
2,975 | 148,929 | ||||||
|
Curtiss-Wright
Corp. (a)
|
6,424 | 210,065 | ||||||
|
DigitalGlobe, Inc. (b)
|
16,285 | 332,051 | ||||||
|
Engility Holdings, Inc. (a)(b)
|
17,256 | 318,373 | ||||||
|
Esterline Technologies Corp. (b)
|
6,367 | 357,443 | ||||||
|
Exelis, Inc. (a)
|
27,997 | 289,489 | ||||||
|
GenCorp, Inc. (a)(b)
|
11,515 | 109,277 | ||||||
|
General Dynamics Corp.
|
10,364 | 685,268 | ||||||
|
GeoEye, Inc. (b)
|
10,190 | 269,322 | ||||||
|
HEICO Corp. (a)
|
6,862 | 265,491 | ||||||
|
Hexcel Corp. (a)(b)
|
28,077 | 674,410 | ||||||
|
Honeywell International, Inc. (a)
|
11,342 | 677,684 | ||||||
|
Huntington Ingalls Industries, Inc. (a)(b)
|
6,821 | 286,823 | ||||||
|
L-3
Communications Holdings, Inc. (a)
|
9,468 | 678,950 | ||||||
|
Lockheed Martin Corp. (a)
|
7,481 | 698,576 | ||||||
|
Moog, Inc. (Class A) (a)(b)
|
4,053 | 153,487 | ||||||
|
National Presto Industries, Inc.
|
1,003 | 73,099 | ||||||
|
Northrop Grumman Corp. (a)
|
10,434 | 693,131 | ||||||
|
Orbital Sciences Corp. (a)(b)
|
7,715 | 112,330 | ||||||
|
Precision Castparts Corp. (a)
|
4,288 | 700,402 | ||||||
|
Raytheon Co. (a)
|
11,972 | 684,320 | ||||||
|
Rockwell Collins, Inc. (a)
|
13,031 | 698,983 | ||||||
|
Spirit Aerosystems Holdings, Inc. (Class A) (b)
|
26,189 | 581,658 | ||||||
|
Teledyne Technologies, Inc. (a)(b)
|
5,278 | 334,572 | ||||||
|
Textron, Inc. (a)
|
24,404 | 638,653 | ||||||
|
The Boeing Co.
|
9,710 | 676,010 | ||||||
|
TransDigm Group, Inc. (b)
|
4,753 | 674,308 | ||||||
|
Triumph Group, Inc.
|
11,329 | 708,402 | ||||||
|
United Technologies Corp.
|
8,394 | 657,166 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $13,745,623)
|
15,146,614 | |||||||
|
SHORT TERM INVESTMENTS — 23.4%
|
||||||||
|
MONEY MARKET FUNDS — 23.4%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
3,486,402 | 3,486,402 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
63,611 | 63,611 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $3,550,013)
|
3,550,013 | |||||||
|
TOTAL INVESTMENTS — 123.3% (f)
|
||||||||
|
(Cost $17,295,636)
|
18,696,627 | |||||||
|
OTHER ASSETS &
LIABILITIES — (23.3)% |
(3,532,311 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 15,164,316 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
BIOTECHNOLOGY — 99.9%
|
||||||||
|
Achillion Pharmaceuticals, Inc. (a)
|
867,397 | $ | 9,029,603 | |||||
|
Acorda Therapeutics, Inc. (a)
|
384,840 | 9,855,752 | ||||||
|
Affymax, Inc. (a)(b)
|
932,830 | 19,645,400 | ||||||
|
Alexion Pharmaceuticals, Inc. (a)
|
176,902 | 20,237,589 | ||||||
|
Alkermes PLC (a)(b)
|
1,020,548 | 21,176,371 | ||||||
|
Alnylam Pharmaceuticals, Inc. (a)(b)
|
547,552 | 10,288,502 | ||||||
|
Amgen, Inc.
|
240,204 | 20,254,001 | ||||||
|
Arena Pharmaceuticals, Inc. (a)(b)
|
2,340,487 | 19,472,852 | ||||||
|
ARIAD Pharmaceuticals, Inc. (a)
|
843,798 | 20,441,007 | ||||||
|
Aveo Pharmaceuticals, Inc. (a)(b)
|
541,475 | 5,636,755 | ||||||
|
Biogen Idec, Inc. (a)
|
126,664 | 18,902,069 | ||||||
|
BioMarin Pharmaceutical, Inc. (a)
|
513,304 | 20,670,752 | ||||||
|
Celgene Corp. (a)
|
256,256 | 19,577,958 | ||||||
|
Cepheid, Inc. (a)(b)
|
492,249 | 16,987,513 | ||||||
|
Cubist Pharmaceuticals, Inc. (a)(b)
|
403,434 | 19,235,733 | ||||||
|
Dendreon Corp. (a)(b)
|
4,122,952 | 19,913,858 | ||||||
|
Dynavax Technologies Corp. (a)(b)
|
1,547,794 | 7,367,499 | ||||||
|
Emergent Biosolutions, Inc. (a)
|
218,910 | 3,110,711 | ||||||
|
Enzon Pharmaceuticals, Inc. (a)(b)
|
304,087 | 2,116,446 | ||||||
|
Exact Sciences Corp. (a)(b)
|
674,730 | 7,428,777 | ||||||
|
Exelixis, Inc. (a)(b)
|
3,722,472 | 17,942,315 | ||||||
|
Genomic Health, Inc. (a)(b)
|
204,141 | 7,081,651 | ||||||
|
Gilead Sciences, Inc. (a)
|
315,201 | 20,907,282 | ||||||
|
Halozyme Therapeutics, Inc. (a)
|
1,750,376 | 13,232,843 | ||||||
|
Idenix Pharmaceuticals, Inc. (a)
|
3,440,594 | 15,723,515 | ||||||
|
ImmunoGen, Inc. (a)(b)
|
1,152,176 | 16,821,770 | ||||||
|
Incyte Corp. (a)(b)
|
1,092,982 | 19,728,325 | ||||||
|
InterMune, Inc. (a)(b)
|
1,739,442 | 15,602,795 | ||||||
|
Ironwood Pharmaceuticals, Inc. (a)(b)
|
630,784 | 8,061,419 | ||||||
|
Isis Pharmaceuticals, Inc. (a)(b)
|
1,140,785 | 16,050,845 | ||||||
|
Medivation, Inc. (a)
|
385,442 | 21,723,511 | ||||||
|
Momenta Pharmaceuticals, Inc. (a)(b)
|
640,193 | 9,327,612 | ||||||
|
Myriad Genetics, Inc. (a)
|
709,911 | 19,160,498 | ||||||
|
Neurocrine Biosciences, Inc. (a)
|
508,365 | 4,056,753 | ||||||
|
NPS Pharmaceuticals, Inc. (a)(b)
|
1,115,247 | 10,316,035 | ||||||
|
Onyx Pharmaceuticals, Inc. (a)
|
254,880 | 21,537,360 | ||||||
|
Opko Health, Inc. (a)(b)
|
1,430,132 | 5,977,952 | ||||||
|
Pharmacyclics, Inc. (a)(b)
|
312,903 | 20,182,243 | ||||||
|
Regeneron Pharmaceuticals, Inc. (a)(b)
|
130,522 | 19,925,488 | ||||||
|
Rigel Pharmaceuticals, Inc. (a)(b)
|
392,049 | 4,018,502 | ||||||
|
Seattle Genetics, Inc. (a)(b)
|
715,606 | 19,285,582 | ||||||
|
Spectrum Pharmaceuticals, Inc. (a)(b)
|
1,625,897 | 19,022,995 | ||||||
|
Theravance, Inc. (a)(b)
|
747,362 | 19,364,149 | ||||||
|
United Therapeutics Corp. (a)
|
341,973 | 19,109,451 | ||||||
|
Vertex Pharmaceuticals, Inc. (a)
|
336,519 | 18,828,238 | ||||||
|
ZIOPHARM Oncology, Inc. (a)(b)
|
596,539 | 3,251,138 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $666,047,292)
|
677,589,415 | |||||||
|
SHORT TERM INVESTMENTS — 20.0%
|
||||||||
|
MONEY MARKET FUNDS — 20.0%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
135,267,732 | 135,267,732 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
501,875 | 501,875 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $135,769,607)
|
135,769,607 | |||||||
|
TOTAL INVESTMENTS — 119.9% (f)
|
||||||||
|
(Cost $801,816,899)
|
813,359,022 | |||||||
|
OTHER ASSETS &
LIABILITIES — (19.9)% |
(135,274,839 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 678,084,183 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.7%
|
||||||||
|
HEALTH CARE EQUIPMENT — 80.4%
|
||||||||
|
Abaxis, Inc. (a)
|
4,631 | $ | 166,346 | |||||
|
ABIOMED, Inc. (a)
|
20,955 | 439,845 | ||||||
|
Accuray, Inc. (a)
|
18,206 | 128,898 | ||||||
|
Analogic Corp.
|
1,948 | 152,275 | ||||||
|
ArthroCare Corp. (a)
|
6,445 | 208,818 | ||||||
|
Baxter International, Inc.
|
8,658 | 521,731 | ||||||
|
Becton, Dickinson and Co.
|
6,615 | 519,674 | ||||||
|
Boston Scientific Corp. (a)
|
89,977 | 516,468 | ||||||
|
C.R. Bard, Inc.
|
5,123 | 536,122 | ||||||
|
Cantel Medical Corp.
|
3,886 | 105,233 | ||||||
|
CareFusion Corp. (a)
|
18,797 | 533,647 | ||||||
|
Conceptus, Inc. (a)
|
6,985 | 141,865 | ||||||
|
CONMED Corp.
|
3,368 | 95,988 | ||||||
|
Covidien PLC
|
8,872 | 527,174 | ||||||
|
Cyberonics, Inc. (a)
|
10,035 | 526,035 | ||||||
|
DexCom, Inc. (a)
|
18,127 | 272,449 | ||||||
|
Edwards Lifesciences Corp. (a)
|
4,982 | 534,917 | ||||||
|
Greatbatch, Inc. (a)
|
3,582 | 87,150 | ||||||
|
HeartWare International, Inc. (a)
|
5,284 | 499,285 | ||||||
|
Hill-Rom
Holdings, Inc.
|
17,254 | 501,401 | ||||||
|
Hologic, Inc. (a)
|
24,997 | 505,939 | ||||||
|
IDEXX Laboratories, Inc. (a)
|
5,236 | 520,197 | ||||||
|
Insulet Corp. (a)
|
10,956 | 236,431 | ||||||
|
Integra LifeSciences Holdings Corp. (a)
|
5,866 | 241,093 | ||||||
|
Intuitive Surgical, Inc. (a)
|
1,045 | 517,933 | ||||||
|
Invacare Corp.
|
6,650 | 94,031 | ||||||
|
MAKO Surgical Corp. (a)
|
30,535 | 531,614 | ||||||
|
Masimo Corp. (a)
|
13,636 | 329,719 | ||||||
|
Medtronic, Inc.
|
12,165 | 524,555 | ||||||
|
NuVasive, Inc. (a)
|
23,557 | 539,691 | ||||||
|
NxStage Medical, Inc. (a)
|
20,619 | 272,377 | ||||||
|
Orthofix International NV (a)
|
3,596 | 160,921 | ||||||
|
Quidel Corp. (a)
|
3,343 | 63,283 | ||||||
|
ResMed, Inc.
|
13,218 | 534,932 | ||||||
|
Sirona Dental Systems, Inc. (a)
|
9,409 | 535,937 | ||||||
|
St. Jude Medical, Inc.
|
12,495 | 526,414 | ||||||
|
STERIS Corp.
|
13,300 | 471,751 | ||||||
|
Stryker Corp.
|
9,351 | 520,477 | ||||||
|
Teleflex, Inc.
|
5,270 | 362,787 | ||||||
|
Thoratec Corp. (a)
|
15,286 | 528,896 | ||||||
|
Varian Medical Systems, Inc. (a)
|
8,499 | 512,660 | ||||||
|
Volcano Corp. (a)
|
14,275 | 407,837 | ||||||
|
Wright Medical Group, Inc. (a)
|
16,818 | 371,846 | ||||||
|
Zimmer Holdings, Inc.
|
7,828 | 529,329 | ||||||
| 16,855,971 | ||||||||
|
HEALTH CARE SUPPLIES — 19.3%
|
||||||||
|
Alere, Inc. (a)
|
21,529 | 419,600 | ||||||
|
Align Technology, Inc. (a)
|
13,701 | 506,526 | ||||||
|
DENTSPLY International, Inc.
|
13,905 | 530,337 | ||||||
|
Endologix, Inc. (a)
|
23,922 | 330,602 | ||||||
|
Haemonetics Corp. (a)
|
4,607 | 369,482 | ||||||
|
ICU Medical, Inc. (a)
|
3,265 | 197,467 | ||||||
|
Meridian Bioscience, Inc.
|
7,410 | 142,124 | ||||||
|
Merit Medical Systems, Inc. (a)
|
6,386 | 95,343 | ||||||
|
Neogen Corp. (a)
|
5,287 | 225,755 | ||||||
|
OraSure Technologies, Inc. (a)
|
33,850 | 376,412 | ||||||
|
The Cooper Cos., Inc.
|
5,581 | 527,181 | ||||||
|
West Pharmaceutical Services, Inc.
|
6,275 | 333,014 | ||||||
| 4,053,843 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $20,053,799)
|
20,909,814 | |||||||
|
SHORT TERM INVESTMENT — 0.3%
|
||||||||
|
MONEY MARKET FUND — 0.3%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c) (Cost $72,210) |
72,210 | 72,210 | ||||||
|
TOTAL INVESTMENTS — 100.0% (d)
|
||||||||
|
(Cost $20,126,009)
|
20,982,024 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.0% (e) |
(6,686 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 20,975,338 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(d)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.6%
|
||||||||
|
HEALTH CARE DISTRIBUTORS — 17.5%
|
||||||||
|
AmerisourceBergen Corp. (a)
|
6,055 | $ | 234,389 | |||||
|
Cardinal Health, Inc.
|
5,896 | 229,767 | ||||||
|
Henry Schein, Inc. (a)(b)
|
2,935 | 232,657 | ||||||
|
McKesson Corp.
|
2,588 | 222,646 | ||||||
|
MWI Veterinary Supply, Inc. (a)(b)
|
1,465 | 156,286 | ||||||
|
Owens & Minor, Inc. (a)
|
7,726 | 230,853 | ||||||
|
Patterson Cos., Inc.
|
6,578 | 225,231 | ||||||
|
PSS World Medical, Inc. (a)(b)
|
9,759 | 222,310 | ||||||
| 1,754,139 | ||||||||
|
HEALTH CARE FACILITIES — 27.3%
|
||||||||
|
AmSurg Corp. (b)
|
3,123 | 88,631 | ||||||
|
Brookdale Senior Living, Inc. (b)
|
9,597 | 222,842 | ||||||
|
Community Health Systems, Inc. (b)
|
7,929 | 231,051 | ||||||
|
Emeritus Corp. (b)
|
1,415 | 29,630 | ||||||
|
Hanger Orthopedic Group, Inc. (a)(b)
|
3,107 | 88,643 | ||||||
|
HCA Holdings, Inc.
|
7,260 | 241,395 | ||||||
|
Health Management Associates, Inc. (Class A) (a)(b)
|
26,834 | 225,137 | ||||||
|
HEALTHSOUTH Corp. (a)(b)
|
9,426 | 226,790 | ||||||
|
Kindred Healthcare, Inc. (a)(b)
|
6,552 | 74,562 | ||||||
|
LifePoint Hospitals, Inc. (a)(b)
|
4,914 | 210,221 | ||||||
|
Select Medical Holdings Corp. (b)
|
9,025 | 101,351 | ||||||
|
Sunrise Assisted Living, Inc. (b)
|
15,797 | 225,423 | ||||||
|
Tenet Healthcare Corp. (a)(b)
|
39,273 | 246,242 | ||||||
|
The Ensign Group, Inc. (a)
|
2,528 | 77,369 | ||||||
|
Universal Health Services, Inc. (Class B)
|
5,182 | 236,973 | ||||||
|
VCA Antech, Inc. (a)(b)
|
11,143 | 219,851 | ||||||
| 2,746,111 | ||||||||
|
HEALTH CARE SERVICES — 27.3%
|
||||||||
|
Accretive Health, Inc. (b)
|
16,886 | 188,448 | ||||||
|
Air Methods Corp. (a)(b)
|
1,873 | 223,580 | ||||||
|
Amedisys, Inc. (b)
|
5,571 | 76,935 | ||||||
|
Bio-Reference
Laboratories, Inc. (a)(b)
|
4,758 | 135,984 | ||||||
|
Chemed Corp. (a)
|
2,437 | 168,860 | ||||||
|
DaVita, Inc. (a)(b)
|
2,298 | 238,096 | ||||||
|
Express Scripts Holding Co. (a)(b)
|
3,600 | 225,612 | ||||||
|
HMS Holdings Corp. (a)(b)
|
6,956 | 232,539 | ||||||
|
IPC The Hospitalist Co. (a)(b)
|
2,218 | 101,362 | ||||||
|
Laboratory Corp. of America Holdings (a)(b)
|
2,486 | 229,880 | ||||||
|
Landauer, Inc. (a)
|
546 | 32,607 | ||||||
|
MEDNAX, Inc. (a)(b)
|
3,064 | 228,115 | ||||||
|
Omnicare, Inc. (a)
|
6,367 | 216,287 | ||||||
|
Quest Diagnostics, Inc. (a)
|
3,676 | 233,169 | ||||||
|
Team Health Holdings, Inc. (b)
|
7,976 | 216,389 | ||||||
| 2,747,863 | ||||||||
|
MANAGED HEALTH CARE — 27.5%
|
||||||||
|
Aetna, Inc. (a)
|
5,794 | 229,442 | ||||||
|
AMERIGROUP Corp. (b)
|
2,487 | 227,386 | ||||||
|
Centene Corp. (a)(b)
|
6,065 | 226,892 | ||||||
|
CIGNA Corp.
|
4,732 | 223,208 | ||||||
|
Coventry Health Care, Inc.
|
5,442 | 226,877 | ||||||
|
Health Net, Inc. (a)(b)
|
10,001 | 225,122 | ||||||
|
Humana, Inc. (a)
|
3,181 | 223,147 | ||||||
|
Magellan Health Services, Inc. (b)
|
4,485 | 231,471 | ||||||
|
Molina Healthcare, Inc. (a)(b)
|
9,763 | 245,539 | ||||||
|
UnitedHealth Group, Inc.
|
4,170 | 231,060 | ||||||
|
Universal American Corp. (b)
|
3,994 | 36,905 | ||||||
|
WellCare Health Plans, Inc. (a)(b)
|
3,774 | 213,420 | ||||||
|
WellPoint, Inc. (a)
|
3,877 | 224,905 | ||||||
| 2,765,374 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $8,992,937)
|
10,013,487 | |||||||
|
SHORT TERM INVESTMENTS — 26.6%
|
||||||||
|
MONEY MARKET FUNDS — 26.6%
|
||||||||
|
State Street Navigator Securities Lending
Prime Portfolio (c)(d) |
2,631,218 | 2,631,218 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
40,475 | 40,475 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $2,671,693)
|
2,671,693 | |||||||
|
TOTAL INVESTMENTS — 126.2% (f)
|
||||||||
|
(Cost $11,664,630)
|
12,685,180 | |||||||
|
OTHER ASSETS &
LIABILITIES — (26.2)% |
(2,635,610 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 10,049,570 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
BUILDING PRODUCTS — 28.2%
|
||||||||
|
A.O. Smith Corp. (a)
|
1,204,189 | $ | 69,289,035 | |||||
|
Armstrong World Industries, Inc. (a)
|
1,266,147 | 58,711,236 | ||||||
|
Fortune Brands Home & Security, Inc. (b)
|
2,413,490 | 65,188,365 | ||||||
|
Lennox International, Inc.
|
1,463,700 | 70,784,532 | ||||||
|
Masco Corp.
|
4,306,008 | 64,805,421 | ||||||
|
Owens Corning, Inc. (b)
|
1,956,685 | 65,470,680 | ||||||
|
Quanex Building Products Corp. (a)
|
1,167,139 | 21,988,899 | ||||||
|
Simpson Manufacturing Co., Inc. (a)
|
702,119 | 20,094,646 | ||||||
|
Trex Co., Inc. (a)(b)
|
812,960 | 27,738,195 | ||||||
|
Universal Forest Products, Inc.
|
359,958 | 14,952,655 | ||||||
|
USG Corp. (a)(b)
|
2,895,158 | 63,548,718 | ||||||
| 542,572,382 | ||||||||
|
HOME FURNISHINGS — 13.1%
|
||||||||
|
Ethan Allen Interiors, Inc. (a)
|
1,371,002 | 30,052,364 | ||||||
|
La-Z-Boy,
Inc. (b)
|
1,832,232 | 26,805,554 | ||||||
|
Leggett & Platt, Inc. (a)
|
2,721,387 | 68,170,744 | ||||||
|
Mohawk Industries, Inc. (b)
|
862,076 | 68,983,322 | ||||||
|
Tempur-Pedic
International, Inc. (b)
|
1,957,845 | 58,519,987 | ||||||
| 252,531,971 | ||||||||
|
HOME FURNISHING RETAIL — 15.6%
|
||||||||
|
Aaron’s, Inc.
|
1,567,578 | 43,594,344 | ||||||
|
Bed Bath & Beyond, Inc. (b)
|
950,199 | 59,862,537 | ||||||
|
Pier 1 Imports, Inc. (a)
|
3,439,586 | 64,457,842 | ||||||
|
Select Comfort Corp. (a)(b)
|
2,026,086 | 63,923,013 | ||||||
|
Williams-Sonoma, Inc.
|
1,525,804 | 67,089,602 | ||||||
| 298,927,338 | ||||||||
|
HOME IMPROVEMENT RETAIL — 10.6%
|
||||||||
|
Lowe’s Cos., Inc.
|
2,314,074 | 69,977,598 | ||||||
|
Lumber Liquidators Holdings, Inc. (a)(b)
|
1,266,199 | 64,170,965 | ||||||
|
The Home Depot, Inc.
|
1,144,234 | 69,077,407 | ||||||
| 203,225,970 | ||||||||
|
HOMEBUILDING — 26.8%
|
||||||||
|
D.R. Horton, Inc. (a)
|
3,093,875 | 63,857,580 | ||||||
|
Lennar Corp. (Class A) (a)
|
1,865,521 | 64,864,165 | ||||||
|
M.D.C. Holdings, Inc. (a)
|
1,753,057 | 67,510,225 | ||||||
|
NVR, Inc. (b)
|
77,991 | 65,863,400 | ||||||
|
Pulte Group, Inc. (a)(b)
|
4,118,362 | 63,834,611 | ||||||
|
Standard Pacific Corp. (a)(b)
|
9,119,987 | 61,651,112 | ||||||
|
The Ryland Group, Inc. (a)
|
2,158,486 | 64,754,580 | ||||||
|
Toll Brothers, Inc. (a)(b)
|
1,873,709 | 62,263,350 | ||||||
| 514,599,023 | ||||||||
|
HOUSEHOLD APPLIANCES — 5.6%
|
||||||||
|
Helen of Troy, Ltd. (b)
|
519,380 | 16,531,865 | ||||||
|
iRobot Corp. (a)(b)
|
1,043,522 | 23,750,561 | ||||||
|
Whirlpool Corp.
|
816,390 | 67,686,895 | ||||||
| 107,969,321 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $1,728,339,608)
|
1,919,826,005 | |||||||
|
SHORT TERM INVESTMENTS — 13.7%
|
||||||||
|
MONEY MARKET FUNDS — 13.7%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
259,500,759 | 259,500,759 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
2,908,733 | 2,908,733 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $262,409,492)
|
262,409,492 | |||||||
|
TOTAL INVESTMENTS — 113.6% (f)
|
||||||||
|
(Cost $1,990,749,100)
|
2,182,235,497 | |||||||
|
OTHER ASSETS &
LIABILITIES — (13.6)% |
(261,689,439 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,920,546,058 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.8%
|
||||||||
|
ALUMINUM — 6.9%
|
||||||||
|
Alcoa, Inc.
|
3,490,583 | $ | 30,891,660 | |||||
|
Century Aluminum Co. (a)(b)
|
2,075,406 | 14,839,153 | ||||||
|
Kaiser Aluminum Corp. (a)
|
271,112 | 15,830,230 | ||||||
|
Noranda Aluminium Holding Corp.
|
993,937 | 6,649,438 | ||||||
| 68,210,481 | ||||||||
|
COAL & CONSUMABLE FUELS — 14.8%
|
||||||||
|
Alpha Natural Resources, Inc. (a)(b)
|
4,017,214 | 26,393,096 | ||||||
|
Arch Coal, Inc.
|
4,342,197 | 27,486,107 | ||||||
|
Cloud Peak Energy, Inc. (b)
|
1,744,417 | 31,573,948 | ||||||
|
CONSOL Energy, Inc. (a)
|
1,046,520 | 31,447,926 | ||||||
|
Peabody Energy Corp.
|
1,341,162 | 29,894,501 | ||||||
| 146,795,578 | ||||||||
|
DIVERSIFIED METALS &
MINING — 22.7%
|
||||||||
|
AMCOL International Corp. (a)
|
158,166 | 5,358,664 | ||||||
|
Compass Minerals International, Inc. (a)
|
476,196 | 35,519,460 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
|
805,501 | 31,881,729 | ||||||
|
Globe Specialty Metals, Inc.
|
766,824 | 11,671,061 | ||||||
|
Horsehead Holding Corp. (a)(b)
|
488,566 | 4,563,206 | ||||||
|
Materion Corp. (a)
|
219,872 | 5,232,954 | ||||||
|
Molycorp, Inc. (a)(b)
|
2,557,438 | 29,410,537 | ||||||
|
RTI International Metals, Inc. (a)(b)
|
720,275 | 17,243,383 | ||||||
|
SunCoke Energy, Inc. (b)
|
1,448,715 | 23,353,286 | ||||||
|
Titanium Metals Corp.
|
2,483,502 | 31,863,331 | ||||||
|
Walter Energy, Inc.
|
898,206 | 29,155,767 | ||||||
| 225,253,378 | ||||||||
|
GOLD — 10.5%
|
||||||||
|
Allied Nevada Gold Corp. (a)(b)
|
878,229 | 34,303,625 | ||||||
|
Newmont Mining Corp.
|
600,462 | 33,631,876 | ||||||
|
Royal Gold, Inc. (a)
|
363,300 | 36,279,138 | ||||||
| 104,214,639 | ||||||||
|
PRECIOUS METALS &
MINERALS — 11.4%
|
||||||||
|
Coeur d’Alene Mines Corp. (b)
|
1,204,311 | 34,720,286 | ||||||
|
Hecla Mining Co. (a)
|
5,400,470 | 35,373,079 | ||||||
|
McEwen Mining, Inc. (a)(b)
|
3,166,731 | 14,535,295 | ||||||
|
Stillwater Mining Co. (b)
|
2,419,138 | 28,521,637 | ||||||
| 113,150,297 | ||||||||
|
STEEL — 33.5%
|
||||||||
|
AK Steel Holding Corp. (a)(c)
|
5,851,218 | 28,085,846 | ||||||
|
Allegheny Technologies, Inc.
|
934,637 | 29,814,920 | ||||||
|
Carpenter Technology Corp.
|
616,632 | 32,262,186 | ||||||
|
Cliffs Natural Resources, Inc. (a)
|
754,032 | 29,505,272 | ||||||
|
Commercial Metals Co.
|
1,729,910 | 22,834,812 | ||||||
|
Haynes International, Inc.
|
157,305 | 8,203,456 | ||||||
|
Nucor Corp.
|
842,911 | 32,249,775 | ||||||
|
Reliance Steel & Aluminum Co.
|
595,691 | 31,184,424 | ||||||
|
Schnitzer Steel Industries, Inc. (Class A) (a)
|
995,117 | 28,012,544 | ||||||
|
Steel Dynamics, Inc.
|
2,640,005 | 29,647,256 | ||||||
|
United States Steel Corp. (a)
|
1,536,743 | 29,305,689 | ||||||
|
Worthington Industries, Inc. (a)
|
1,416,993 | 30,692,068 | ||||||
| 331,798,248 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $1,285,258,830)
|
989,422,621 | |||||||
|
SHORT TERM INVESTMENTS — 14.6%
|
||||||||
|
MONEY MARKET FUNDS — 14.6%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
139,709,356 | 139,709,356 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
4,581,792 | 4,581,792 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $144,291,148)
|
144,291,148 | |||||||
|
TOTAL INVESTMENTS — 114.4% (g)
|
||||||||
|
(Cost $1,429,549,978)
|
1,133,713,769 | |||||||
|
OTHER ASSETS &
LIABILITIES — (14.4)% |
(142,530,686 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 991,183,083 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
OIL & GAS DRILLING — 29.8%
|
||||||||
|
Atwood Oceanics, Inc. (a)
|
171,890 | $ | 7,812,400 | |||||
|
Diamond Offshore Drilling, Inc.
|
122,768 | 8,079,362 | ||||||
|
Ensco PLC (Class A)
|
145,900 | 7,960,304 | ||||||
|
Helmerich & Payne, Inc.
|
164,718 | 7,842,224 | ||||||
|
Hercules Offshore, Inc. (a)
|
1,711,939 | 8,354,262 | ||||||
|
Nabors Industries, Ltd. (a)
|
508,051 | 7,127,956 | ||||||
|
Noble Corp. (a)
|
220,078 | 7,874,391 | ||||||
|
Parker Drilling Co. (a)
|
377,202 | 1,595,564 | ||||||
|
Patterson-UTI
Energy, Inc. (b)
|
486,143 | 7,700,505 | ||||||
|
Pioneer Energy Services Corp. (a)
|
395,334 | 3,079,652 | ||||||
|
Rowan Cos. PLC (a)
|
228,313 | 7,710,130 | ||||||
|
Transocean, Ltd.
|
182,039 | 8,171,731 | ||||||
|
Unit Corp. (a)
|
174,656 | 7,248,224 | ||||||
| 90,556,705 | ||||||||
|
OIL & GAS EQUIPMENT &
SERVICES — 70.1%
|
||||||||
|
Baker Hughes, Inc.
|
169,415 | 7,662,641 | ||||||
|
Basic Energy Services, Inc. (a)(b)
|
620,308 | 6,959,856 | ||||||
|
Bristow Group, Inc.
|
127,811 | 6,460,846 | ||||||
|
Cameron International Corp. (a)
|
143,778 | 8,061,633 | ||||||
|
CARBO Ceramics, Inc. (b)
|
114,349 | 7,194,839 | ||||||
|
Core Laboratories NV (b)
|
65,014 | 7,897,901 | ||||||
|
Dresser-Rand
Group, Inc. (a)
|
152,817 | 8,421,745 | ||||||
|
Dril-Quip,
Inc. (a)
|
113,506 | 8,158,811 | ||||||
|
Exterran Holdings, Inc. (a)(b)
|
411,765 | 8,350,594 | ||||||
|
FMC Technologies, Inc. (a)
|
169,721 | 7,858,082 | ||||||
|
Forum Energy Technologies, Inc. (a)
|
215,400 | 5,238,528 | ||||||
|
Geospace Technologies Corp. (a)
|
24,027 | 2,941,145 | ||||||
|
Gulfmark Offshore, Inc. (Class A) (a)(b)
|
139,460 | 4,607,758 | ||||||
|
Halliburton Co.
|
226,485 | 7,630,280 | ||||||
|
Heckmann Corp. (a)(b)
|
873,050 | 3,666,810 | ||||||
|
Helix Energy Solutions Group, Inc. (a)
|
412,368 | 7,533,963 | ||||||
|
Hornbeck Offshore Services, Inc. (a)(b)
|
207,725 | 7,613,121 | ||||||
|
ION Geophysical Corp. (a)(b)
|
649,596 | 4,508,196 | ||||||
|
Key Energy Services, Inc. (a)
|
891,551 | 6,240,857 | ||||||
|
Lufkin Industries, Inc. (b)
|
136,831 | 7,364,244 | ||||||
|
McDermott International, Inc. (a)
|
636,585 | 7,779,069 | ||||||
|
National Oilwell Varco, Inc.
|
99,910 | 8,003,790 | ||||||
|
Newpark Resources, Inc. (a)(b)
|
406,808 | 3,014,447 | ||||||
|
Oceaneering International, Inc.
|
147,689 | 8,159,817 | ||||||
|
Oil States International, Inc. (a)
|
97,817 | 7,772,539 | ||||||
|
RPC, Inc. (b)
|
566,637 | 6,737,314 | ||||||
|
Schlumberger, Ltd.
|
109,274 | 7,903,788 | ||||||
|
SEACOR Holdings, Inc. (a)
|
47,063 | 3,923,172 | ||||||
|
Superior Energy Services, Inc. (a)
|
352,751 | 7,238,451 | ||||||
|
Tetra Technologies, Inc. (a)
|
404,297 | 2,445,997 | ||||||
|
Tidewater, Inc.
|
168,219 | 8,163,668 | ||||||
|
Weatherford International, Ltd. (a)
|
613,117 | 7,774,324 | ||||||
| 213,288,226 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $340,162,870)
|
303,844,931 | |||||||
|
SHORT TERM INVESTMENTS — 12.1%
|
||||||||
|
MONEY MARKET FUNDS — 12.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
36,619,510 | 36,619,510 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
199,423 | 199,423 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $36,818,933)
|
36,818,933 | |||||||
|
TOTAL INVESTMENTS — 112.0% (f)
|
||||||||
|
(Cost $376,981,803)
|
340,663,864 | |||||||
|
OTHER ASSETS &
LIABILITIES — (12.0)% |
(36,623,932 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 304,039,932 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
Investments of cash collateral for securities loaned. | |||||
|
(f)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 103.6%
|
||||||||
|
PHARMACEUTICALS — 103.6%
|
||||||||
|
Abbott Laboratories
|
256,623 | $ | 17,594,073 | |||||
|
Akorn, Inc. (a)(b)
|
1,104,690 | 14,604,002 | ||||||
|
Allergan, Inc.
|
196,459 | 17,991,715 | ||||||
|
Auxilium Pharmaceuticals, Inc. (a)(b)
|
665,638 | 16,281,505 | ||||||
|
AVANIR Pharmaceuticals, Inc. (Class A) (a)(b)
|
977,583 | 3,128,266 | ||||||
|
Bristol-Myers
Squibb Co.
|
527,008 | 17,786,520 | ||||||
|
Eli Lilly & Co.
|
374,996 | 17,778,560 | ||||||
|
Endo Pharmaceuticals Holdings, Inc. (b)
|
520,113 | 16,497,984 | ||||||
|
Forest Laboratories, Inc. (b)
|
502,372 | 17,889,467 | ||||||
|
Hi-Tech
Pharmacal Co., Inc. (a)(b)
|
79,527 | 2,633,139 | ||||||
|
Hospira, Inc. (b)
|
505,349 | 16,585,554 | ||||||
|
Impax Laboratories, Inc. (b)
|
404,078 | 10,489,865 | ||||||
|
Jazz Pharmaceuticals PLC (a)(b)
|
364,032 | 20,753,464 | ||||||
|
Johnson & Johnson
|
255,908 | 17,634,620 | ||||||
|
Medicis Pharmaceutical Corp. (Class A)
|
403,006 | 17,438,070 | ||||||
|
Merck & Co., Inc.
|
401,574 | 18,110,987 | ||||||
|
Mylan, Inc. (b)
|
720,970 | 17,591,668 | ||||||
|
Nektar Therapeutics (a)(b)
|
720,410 | 7,693,979 | ||||||
|
Optimer Pharmaceuticals, Inc. (a)(b)
|
338,196 | 4,775,328 | ||||||
|
Par Pharmaceutical Cos., Inc. (b)
|
337,354 | 16,860,953 | ||||||
|
Perrigo Co. (a)
|
155,784 | 18,097,427 | ||||||
|
Pfizer, Inc.
|
736,094 | 18,291,936 | ||||||
|
Questcor Pharmaceuticals, Inc. (a)(b)
|
350,063 | 6,476,165 | ||||||
|
Salix Pharmaceuticals, Ltd. (a)(b)
|
408,158 | 17,281,410 | ||||||
|
The Medicines Co. (b)
|
525,512 | 13,563,465 | ||||||
|
ViroPharma, Inc. (a)(b)
|
624,064 | 18,859,214 | ||||||
|
VIVUS, Inc. (b)
|
793,417 | 14,138,691 | ||||||
|
Warner Chilcott PLC
|
1,351,760 | 18,248,760 | ||||||
|
Watson Pharmaceuticals, Inc. (b)
|
214,049 | 18,228,413 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $392,559,343)
|
433,305,200 | |||||||
|
SHORT TERM INVESTMENTS — 7.5%
|
||||||||
|
MONEY MARKET FUNDS — 7.5%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
25,318,505 | 25,318,505 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
6,067,689 | 6,067,689 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $31,386,194)
|
31,386,194 | |||||||
|
TOTAL INVESTMENTS — 111.1% (f)
|
||||||||
|
(Cost $423,945,537)
|
464,691,394 | |||||||
|
OTHER ASSETS &
LIABILITIES — (11.1)% |
(46,458,280 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 418,233,114 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.7%
|
||||||||
|
APPAREL RETAIL — 29.3%
|
||||||||
|
Abercrombie & Fitch Co. (Class A) (a)
|
227,448 | $ | 7,715,036 | |||||
|
Aeropostale, Inc. (b)
|
603,228 | 8,161,675 | ||||||
|
American Eagle Outfitters, Inc. (a)
|
379,132 | 7,992,103 | ||||||
|
ANN, Inc. (b)
|
229,171 | 8,646,622 | ||||||
|
Ascena Retail Group, Inc. (b)
|
418,745 | 8,982,080 | ||||||
|
Brown Shoe Co., Inc.
|
570,216 | 9,140,562 | ||||||
|
Chico’s FAS, Inc.
|
468,452 | 8,483,666 | ||||||
|
Collective Brands, Inc. (b)
|
412,007 | 8,944,672 | ||||||
|
DSW, Inc. (Class A)
|
137,276 | 9,159,055 | ||||||
|
Express, Inc. (b)
|
543,823 | 8,059,457 | ||||||
|
Foot Locker, Inc.
|
242,758 | 8,617,909 | ||||||
|
Genesco, Inc. (b)
|
125,068 | 8,345,788 | ||||||
|
Guess?, Inc. (a)
|
321,899 | 8,182,673 | ||||||
|
Hot Topic, Inc.
|
979,419 | 8,520,945 | ||||||
|
Jos. A. Bank Clothiers, Inc. (a)(b)
|
176,571 | 8,560,162 | ||||||
|
Limited Brands, Inc.
|
177,959 | 8,766,260 | ||||||
|
Ross Stores, Inc.
|
131,506 | 8,495,288 | ||||||
|
Rue21, Inc. (b)
|
266,648 | 8,306,085 | ||||||
|
Stage Stores, Inc.
|
404,733 | 8,523,677 | ||||||
|
The Buckle, Inc. (a)
|
188,078 | 8,544,384 | ||||||
|
The Cato Corp. (Class A)
|
207,972 | 6,178,848 | ||||||
|
The Children’s Place Retail Stores, Inc. (a)(b)
|
147,521 | 8,851,260 | ||||||
|
The Finish Line, Inc. (Class A)
|
380,727 | 8,657,732 | ||||||
|
The Gap, Inc.
|
254,312 | 9,099,283 | ||||||
|
The Men’s Wearhouse, Inc.
|
239,815 | 8,256,830 | ||||||
|
TJX Cos., Inc.
|
192,637 | 8,628,211 | ||||||
|
Urban Outfitters, Inc. (b)
|
225,466 | 8,468,503 | ||||||
|
Zumiez, Inc. (b)
|
316,287 | 8,770,638 | ||||||
| 237,059,404 | ||||||||
|
AUTOMOTIVE RETAIL — 13.1%
|
||||||||
|
Advance Auto Parts, Inc.
|
131,592 | 9,006,157 | ||||||
|
Asbury Automotive Group, Inc. (b)
|
299,117 | 8,360,320 | ||||||
|
AutoNation, Inc. (a)(b)
|
212,290 | 9,270,704 | ||||||
|
AutoZone, Inc. (b)
|
25,378 | 9,381,485 | ||||||
|
CarMax, Inc. (b)
|
276,841 | 7,834,600 | ||||||
|
Group 1 Automotive, Inc. (a)
|
147,413 | 8,878,685 | ||||||
|
Lithia Motors, Inc. (Class A) (a)
|
273,899 | 9,123,576 | ||||||
|
Monro Muffler Brake, Inc. (a)
|
229,067 | 8,060,868 | ||||||
|
O’Reilly Automotive, Inc. (b)
|
111,353 | 9,311,338 | ||||||
|
Penske Automotive Group, Inc. (a)
|
296,681 | 8,927,131 | ||||||
|
Pep
Boys-Manny,
Moe & Jack
|
875,988 | 8,917,558 | ||||||
|
Sonic Automotive, Inc. (Class A) (a)
|
459,085 | 8,713,433 | ||||||
| 105,785,855 | ||||||||
|
CATALOG RETAIL — 1.1%
|
||||||||
|
HSN, Inc. (a)
|
185,932 | 9,119,965 | ||||||
|
COMPUTER & ELECTRONICS
RETAIL — 3.1%
|
||||||||
|
Best Buy Co., Inc.
|
481,835 | 8,282,743 | ||||||
|
GameStop Corp. (Class A) (a)
|
386,735 | 8,121,435 | ||||||
|
Rent-A-Center, Inc.
|
241,335 | 8,466,032 | ||||||
| 24,870,210 | ||||||||
|
DEPARTMENT STORES — 7.1%
|
||||||||
|
Dillard’s, Inc. (Class A)
|
113,124 | 8,181,128 | ||||||
|
J.C. Penney Co., Inc. (a)
|
310,691 | 7,546,684 | ||||||
|
Kohl’s Corp.
|
167,693 | 8,589,235 | ||||||
|
Macy’s, Inc.
|
228,152 | 8,583,078 | ||||||
|
Nordstrom, Inc.
|
155,503 | 8,580,656 | ||||||
|
Saks, Inc. (a)(b)
|
769,821 | 7,936,854 | ||||||
|
Sears Holdings Corp. (a)(b)
|
145,093 | 8,051,211 | ||||||
| 57,468,846 | ||||||||
|
DRUG RETAIL — 3.2%
|
||||||||
|
CVS Caremark Corp.
|
190,606 | 9,229,143 | ||||||
|
Rite Aid Corp. (a)(b)
|
6,731,032 | 7,875,307 | ||||||
|
Walgreen Co.
|
248,508 | 9,055,632 | ||||||
| 26,160,082 | ||||||||
|
FOOD RETAIL — 8.7%
|
||||||||
|
Casey’s General Stores, Inc.
|
151,919 | 8,680,652 | ||||||
|
Harris Teeter Supermarkets, Inc.
|
220,868 | 8,578,513 | ||||||
|
Safeway, Inc. (a)
|
530,963 | 8,543,195 | ||||||
|
SUPERVALU, Inc. (a)
|
3,714,695 | 8,952,415 | ||||||
|
Susser Holdings Corp. (b)
|
231,885 | 8,387,280 | ||||||
|
The Fresh Market, Inc. (b)
|
154,459 | 9,264,451 | ||||||
|
The Kroger Co.
|
376,138 | 8,854,288 | ||||||
|
Whole Foods Market, Inc.
|
91,598 | 8,921,645 | ||||||
| 70,182,439 | ||||||||
|
GENERAL MERCHANDISE STORES — 6.3%
|
||||||||
|
Big Lots, Inc. (b)
|
281,218 | 8,318,428 | ||||||
|
Dollar General Corp. (b)
|
178,431 | 9,196,334 | ||||||
|
Dollar Tree, Inc. (b)
|
189,695 | 9,157,526 | ||||||
|
Family Dollar Stores, Inc.
|
139,482 | 9,247,657 | ||||||
|
Fred’s, Inc. (Class A) (a)
|
416,301 | 5,923,963 | ||||||
|
Target Corp.
|
138,448 | 8,787,295 | ||||||
| 50,631,203 | ||||||||
|
HYPERMARKETS & SUPER
CENTERS — 3.2%
|
||||||||
|
Costco Wholesale Corp.
|
87,616 | 8,772,552 | ||||||
|
PriceSmart, Inc. (a)
|
114,485 | 8,668,804 | ||||||
|
Wal-Mart
Stores, Inc.
|
120,202 | 8,870,908 | ||||||
| 26,312,264 | ||||||||
|
INTERNET RETAIL — 8.3%
|
||||||||
|
Amazon.com, Inc. (b)
|
34,257 | 8,712,240 | ||||||
|
Blue Nile, Inc. (a)(b)
|
214,388 | 7,951,651 | ||||||
|
Expedia, Inc.
|
160,251 | 9,268,918 | ||||||
|
Groupon, Inc. (a)(b)
|
1,698,778 | 8,086,183 | ||||||
|
Netflix, Inc. (a)(b)
|
147,911 | 8,052,275 | ||||||
|
Priceline.com, Inc. (b)
|
14,054 | 8,695,631 | ||||||
|
Shutterfly, Inc. (a)(b)
|
265,294 | 8,255,949 | ||||||
|
TripAdvisor, Inc. (b)
|
248,263 | 8,175,301 | ||||||
| 67,198,148 | ||||||||
|
SPECIALTY STORES — 16.3%
|
||||||||
|
Barnes & Noble, Inc. (a)(b)
|
716,256 | 9,153,752 | ||||||
|
Cabela’s, Inc. (b)
|
167,162 | 9,140,418 | ||||||
|
Dick’s Sporting Goods, Inc.
|
170,619 | 8,846,595 | ||||||
|
GNC Holdings, Inc. (Class A)
|
222,504 | 8,670,981 | ||||||
|
Hibbett Sports, Inc. (b)
|
152,125 | 9,043,831 | ||||||
|
Office Depot, Inc. (a)(b)
|
3,624,441 | 9,278,569 | ||||||
|
OfficeMax, Inc. (a)
|
1,098,476 | 8,579,098 | ||||||
|
PetSmart, Inc.
|
130,351 | 8,991,612 | ||||||
|
Sally Beauty Holdings, Inc. (b)
|
339,238 | 8,511,481 | ||||||
|
Signet Jewelers, Ltd.
|
176,109 | 8,587,075 | ||||||
|
Staples, Inc. (a)
|
733,233 | 8,446,844 | ||||||
|
Tiffany & Co. (a)
|
136,465 | 8,444,454 | ||||||
|
Tractor Supply Co.
|
92,235 | 9,121,119 | ||||||
|
Ulta Salon Cosmetics & Fragrance, Inc.
|
88,717 | 8,543,891 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
Vitamin Shoppe, Inc. (b)
|
154,184 | $ | 8,992,011 | |||||
| 132,351,731 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $874,919,070)
|
807,140,147 | |||||||
|
SHORT TERM INVESTMENTS — 8.5%
|
||||||||
|
MONEY MARKET FUNDS — 8.5%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
64,653,906 | 64,653,906 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
3,599,684 | 3,599,684 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $68,253,590)
|
68,253,590 | |||||||
|
TOTAL INVESTMENTS — 108.2% (f)
|
||||||||
|
(Cost $943,172,660)
|
875,393,737 | |||||||
|
OTHER ASSETS &
LIABILITIES — (8.2)% |
(65,975,617 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 809,418,120 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
SEMICONDUCTORS — 99.9%
|
||||||||
|
Advanced Micro Devices, Inc. (a)(b)
|
257,147 | $ | 866,585 | |||||
|
Altera Corp.
|
26,251 | 892,140 | ||||||
|
Analog Devices, Inc. (a)
|
24,034 | 941,892 | ||||||
|
Applied Micro Circuits Corp. (a)(b)
|
42,975 | 217,454 | ||||||
|
Atmel Corp. (a)(b)
|
154,526 | 812,807 | ||||||
|
Broadcom Corp. (Class A) (b)
|
27,689 | 957,486 | ||||||
|
Cavium, Inc. (a)(b)
|
27,704 | 923,374 | ||||||
|
CEVA, Inc. (a)(b)
|
13,908 | 199,997 | ||||||
|
Cirrus Logic, Inc. (b)
|
22,700 | 871,453 | ||||||
|
Cree, Inc. (a)(b)
|
34,562 | 882,368 | ||||||
|
Cypress Semiconductor Corp. (a)(b)
|
76,206 | 816,928 | ||||||
|
Diodes, Inc. (a)(b)
|
19,158 | 325,878 | ||||||
|
Entropic Communications, Inc. (b)
|
67,223 | 391,238 | ||||||
|
Fairchild Semiconductor International, Inc. (a)(b)
|
66,858 | 877,177 | ||||||
|
First Solar, Inc. (a)(b)
|
40,744 | 902,276 | ||||||
|
Freescale Semiconductor Holdings I, Ltd. (a)(b)
|
79,209 | 753,278 | ||||||
|
Hittite Microwave Corp. (a)(b)
|
10,831 | 600,796 | ||||||
|
Integrated Device Technology, Inc. (b)
|
119,996 | 705,576 | ||||||
|
Intel Corp.
|
42,911 | 973,221 | ||||||
|
International Rectifier Corp. (a)(b)
|
52,589 | 877,710 | ||||||
|
Intersil Corp. (Class A) (a)
|
104,466 | 914,077 | ||||||
|
Lattice Semiconductor Corp. (a)(b)
|
92,953 | 356,010 | ||||||
|
Linear Technology Corp.
|
29,785 | 948,652 | ||||||
|
LSI Corp. (b)
|
127,107 | 878,309 | ||||||
|
Marvell Technology Group, Ltd.
|
96,990 | 887,458 | ||||||
|
Maxim Integrated Products, Inc.
|
35,601 | 947,699 | ||||||
|
Micrel, Inc. (a)
|
17,408 | 181,391 | ||||||
|
Microchip Technology, Inc. (a)
|
29,175 | 955,189 | ||||||
|
Micron Technology, Inc. (a)(b)
|
149,682 | 895,847 | ||||||
|
Microsemi Corp. (b)
|
30,671 | 615,567 | ||||||
|
Monolithic Power Systems, Inc. (a)(b)
|
29,413 | 580,907 | ||||||
|
NVIDIA Corp. (a)(b)
|
72,462 | 966,643 | ||||||
|
OmniVision Technologies, Inc. (a)(b)
|
59,192 | 826,024 | ||||||
|
ON Semiconductor Corp. (a)(b)
|
144,503 | 891,584 | ||||||
|
PMC-Sierra,
Inc. (a)(b)
|
157,187 | 886,535 | ||||||
|
Power Integrations, Inc. (a)
|
21,439 | 652,389 | ||||||
|
Rambus, Inc. (a)(b)
|
86,990 | 481,925 | ||||||
|
RF Micro Devices, Inc. (a)(b)
|
232,685 | 919,106 | ||||||
|
Semtech Corp. (a)(b)
|
25,677 | 645,777 | ||||||
|
Silicon Image, Inc. (b)
|
83,473 | 383,141 | ||||||
|
Silicon Laboratories, Inc. (a)(b)
|
19,598 | 720,422 | ||||||
|
Skyworks Solutions, Inc. (a)(b)
|
33,869 | 798,123 | ||||||
|
Spansion, Inc. (b)
|
28,239 | 336,609 | ||||||
|
Texas Instruments, Inc.
|
33,927 | 934,689 | ||||||
|
TriQuint Semiconductor, Inc. (a)(b)
|
168,550 | 851,178 | ||||||
|
Volterra Semiconductor Corp. (a)(b)
|
25,478 | 557,204 | ||||||
|
Xilinx, Inc. (a)
|
28,466 | 951,049 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $40,217,382)
|
34,753,138 | |||||||
|
SHORT TERM INVESTMENTS — 21.2%
|
||||||||
|
MONEY MARKET FUNDS — 21.2%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
7,294,866 | 7,294,866 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
63,063 | 63,063 | ||||||
|
TOTAL SHORT TERM INVESTMENTS —
|
||||||||
|
(Cost $7,357,929)
|
7,357,929 | |||||||
|
TOTAL INVESTMENTS — 121.1% (f)
|
||||||||
|
(Cost $47,575,311)
|
42,111,067 | |||||||
|
OTHER ASSETS &
LIABILITIES — (21.1)% |
(7,340,588 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 34,770,479 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 100.5%
|
||||||||
|
APPLICATION SOFTWARE — 30.9%
|
||||||||
|
ACI Worldwide, Inc. (a)
|
2,583 | $ | 109,158 | |||||
|
Adobe Systems, Inc. (a)
|
3,543 | 115,006 | ||||||
|
Advent Software, Inc. (a)(b)
|
4,748 | 116,658 | ||||||
|
Ansys, Inc. (a)(b)
|
1,618 | 118,761 | ||||||
|
Aspen Technology, Inc. (a)
|
4,507 | 116,506 | ||||||
|
Autodesk, Inc. (a)(b)
|
3,530 | 117,796 | ||||||
|
Blackbaud, Inc. (b)
|
4,856 | 116,155 | ||||||
|
Bottomline Technologies, Inc. (a)(b)
|
4,989 | 123,178 | ||||||
|
BroadSoft, Inc. (a)(b)
|
2,934 | 120,353 | ||||||
|
Cadence Design Systems, Inc. (a)(b)
|
8,722 | 112,209 | ||||||
|
Citrix Systems, Inc. (a)
|
1,433 | 109,725 | ||||||
|
Compuware Corp. (a)(b)
|
11,665 | 115,600 | ||||||
|
Concur Technologies, Inc. (a)(b)
|
1,562 | 115,166 | ||||||
|
Ebix, Inc. (b)
|
4,800 | 113,328 | ||||||
|
Factset Research Systems, Inc. (b)
|
1,129 | 108,858 | ||||||
|
Fair Isaac Corp.
|
2,593 | 114,766 | ||||||
|
Informatica Corp. (a)(b)
|
3,029 | 105,439 | ||||||
|
Interactive Intelligence Group (a)(b)
|
1,868 | 56,133 | ||||||
|
Intuit, Inc.
|
1,960 | 115,405 | ||||||
|
JDA Software Group, Inc. (a)(b)
|
3,752 | 119,239 | ||||||
|
Kenexa Corp. (a)
|
2,577 | 118,104 | ||||||
|
Manhattan Associates, Inc. (a)(b)
|
2,051 | 117,461 | ||||||
|
Mentor Graphics Corp. (a)(b)
|
6,914 | 107,029 | ||||||
|
MicroStrategy, Inc. (a)
|
888 | 119,054 | ||||||
|
Monotype Imaging Holdings, Inc. (b)
|
4,108 | 64,044 | ||||||
|
Netscout Systems, Inc. (a)
|
4,491 | 114,565 | ||||||
|
Nuance Communications, Inc. (a)(b)
|
4,542 | 113,050 | ||||||
|
Parametric Technology Corp. (a)
|
4,820 | 105,076 | ||||||
|
Pegasystems, Inc. (b)
|
3,960 | 114,998 | ||||||
|
QLIK Technologies, Inc. (a)(b)
|
4,633 | 103,826 | ||||||
|
Quest Software, Inc. (a)
|
4,186 | 117,208 | ||||||
|
RealPage, Inc. (a)
|
4,898 | 110,695 | ||||||
|
Salesforce.com, Inc. (a)(b)
|
735 | 112,227 | ||||||
|
Solarwinds, Inc. (a)(b)
|
1,962 | 109,362 | ||||||
|
Solera Holdings, Inc. (b)
|
2,684 | 117,747 | ||||||
|
Splunk, Inc. (a)
|
3,024 | 111,041 | ||||||
|
SS&C Technologies Holdings, Inc. (a)(b)
|
4,738 | 119,445 | ||||||
|
Synchronoss Technologies, Inc. (a)(b)
|
4,783 | 109,531 | ||||||
|
Synopsys, Inc. (a)(b)
|
3,516 | 116,098 | ||||||
|
TIBCO Software, Inc. (a)(b)
|
3,756 | 113,544 | ||||||
|
TiVo, Inc. (a)(b)
|
12,007 | 125,233 | ||||||
|
Tyler Technologies, Inc. (a)(b)
|
2,846 | 125,281 | ||||||
|
Ultimate Software Group, Inc. (a)(b)
|
1,167 | 119,151 | ||||||
|
Verint Systems, Inc. (a)(b)
|
4,174 | 114,535 | ||||||
|
VirnetX Holding Corp. (a)(b)
|
4,021 | 102,254 | ||||||
| 5,039,998 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.7%
|
||||||||
|
Comverse Technology, Inc. (a)
|
18,048 | 110,995 | ||||||
|
DATA PROCESSING & OUTSOURCED
SERVICES — 22.0%
|
||||||||
|
Alliance Data Systems Corp. (a)(b)
|
839 | 119,096 | ||||||
|
Automatic Data Processing, Inc. (b)
|
2,022 | 118,611 | ||||||
|
Broadridge Financial Solutions, Inc.
|
4,879 | 113,827 | ||||||
|
Cardtronics, Inc. (a)(b)
|
3,867 | 115,159 | ||||||
|
Computer Sciences Corp. (b)
|
3,377 | 108,773 | ||||||
|
Convergys Corp. (b)
|
7,345 | 115,096 | ||||||
|
CoreLogic, Inc. (a)(b)
|
4,393 | 116,546 | ||||||
|
CSG Systems International, Inc. (a)(b)
|
5,210 | 117,173 | ||||||
|
DST Systems, Inc.
|
2,137 | 120,869 | ||||||
|
Euronet Worldwide, Inc. (a)(b)
|
6,363 | 119,561 | ||||||
|
ExlService Holdings, Inc. (a)(b)
|
4,206 | 124,077 | ||||||
|
Fidelity National Information Services, Inc.
|
3,728 | 116,388 | ||||||
|
Fiserv, Inc. (a)(b)
|
1,646 | 121,853 | ||||||
|
FleetCor Technologies, Inc. (a)(b)
|
2,648 | 118,631 | ||||||
|
Genpact, Ltd. (b)
|
6,931 | 115,609 | ||||||
|
Global Payments, Inc.
|
2,724 | 113,945 | ||||||
|
Heartland Payment Systems, Inc. (b)
|
3,687 | 116,804 | ||||||
|
Higher One Holdings, Inc. (a)
|
9,230 | 124,421 | ||||||
|
Jack Henry & Associates, Inc. (b)
|
3,126 | 118,475 | ||||||
|
Lender Processing Services, Inc.
|
4,042 | 112,731 | ||||||
|
Mastercard, Inc. (Class A)
|
260 | 117,385 | ||||||
|
NeuStar, Inc. (Class A) (a)
|
2,975 | 119,089 | ||||||
|
Paychex, Inc.
|
3,429 | 114,152 | ||||||
|
Syntel, Inc. (b)
|
1,898 | 118,454 | ||||||
|
TeleTech Holdings, Inc. (a)(b)
|
5,431 | 92,599 | ||||||
|
The Western Union Co.
|
6,184 | 112,673 | ||||||
|
Total System Services, Inc. (b)
|
4,952 | 117,362 | ||||||
|
Vantiv, Inc. (a)
|
5,357 | 115,443 | ||||||
|
VeriFone Systems, Inc. (a)(b)
|
3,691 | 102,794 | ||||||
|
Visa, Inc. (Class A) (b)
|
880 | 118,166 | ||||||
|
Wright Express Corp. (a)
|
1,616 | 112,668 | ||||||
| 3,588,430 | ||||||||
|
DIVERSIFIED COMMERCIAL & PROFESSIONAL
SERVICES — 1.3%
|
||||||||
|
CoStar Group, Inc. (a)(b)
|
1,417 | 115,542 | ||||||
|
Global Cash Access Holdings, Inc. (a)
|
13,018 | 104,795 | ||||||
| 220,337 | ||||||||
|
HOME ENTERTAINMENT SOFTWARE — 2.0%
|
||||||||
|
Activision Blizzard, Inc.
|
9,672 | 109,100 | ||||||
|
Electronic Arts, Inc. (a)(b)
|
8,078 | 102,510 | ||||||
|
Take-Two
Interactive Software, Inc. (a)(b)
|
10,812 | 112,769 | ||||||
| 324,379 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 21.8%
|
||||||||
|
Akamai Technologies, Inc. (a)
|
3,028 | 115,851 | ||||||
|
Ancestry.com, Inc. (a)(b)
|
3,818 | 114,845 | ||||||
|
AOL, Inc. (a)
|
3,484 | 122,741 | ||||||
|
Bankrate, Inc. (a)(b)
|
7,093 | 110,509 | ||||||
|
Blucora, Inc. (a)(b)
|
6,676 | 118,900 | ||||||
|
comScore, Inc. (a)(b)
|
6,705 | 102,251 | ||||||
|
Constant Contact, Inc. (a)(b)
|
5,904 | 102,730 | ||||||
|
DealerTrack Holdings, Inc. (a)(b)
|
4,231 | 117,833 | ||||||
|
Dice Holdings, Inc. (a)(b)
|
13,853 | 116,642 | ||||||
|
Digital River, Inc. (a)(b)
|
6,803 | 113,338 | ||||||
|
EarthLink, Inc. (b)
|
16,424 | 116,939 | ||||||
|
eBay, Inc. (a)(b)
|
2,365 | 114,490 | ||||||
|
Equinix, Inc. (a)(b)
|
605 | 124,660 | ||||||
|
Google, Inc. (Class A) (a)(b)
|
166 | 125,247 | ||||||
|
IAC/InterActiveCorp.
|
2,244 | 116,823 | ||||||
|
j2 Global, Inc. (b)
|
3,876 | 127,210 | ||||||
|
LinkedIn Corp. (Class A) (a)
|
959 | 115,464 | ||||||
|
Liquidity Services, Inc. (a)(b)
|
2,198 | 110,362 | ||||||
|
LivePerson, Inc. (a)(b)
|
6,323 | 114,509 | ||||||
|
LogMeIn, Inc. (a)(b)
|
4,905 | 110,019 | ||||||
|
Monster Worldwide, Inc. (a)(b)
|
14,215 | 104,196 | ||||||
|
NIC, Inc. (b)
|
7,201 | 106,575 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.5%
|
||||||||
|
ALTERNATIVE CARRIERS — 7.7%
|
||||||||
|
8x8, Inc. (a)
|
5,105 | $ | 33,489 | |||||
|
Cogent Communications Group, Inc.
|
2,270 | 52,187 | ||||||
|
Iridium Communications, Inc. (a)
|
4,685 | 34,294 | ||||||
|
Level 3 Communications, Inc. (a)
|
4,423 | 101,597 | ||||||
|
Neutral Tandem, Inc. (a)
|
1,877 | 17,606 | ||||||
|
tw telecom, Inc. (a)
|
4,242 | 110,589 | ||||||
| 349,762 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 56.6%
|
||||||||
|
Acme Packet, Inc. (a)
|
5,571 | 95,264 | ||||||
|
ADTRAN, Inc.
|
5,390 | 93,139 | ||||||
|
Arris Group, Inc. (a)
|
7,617 | 97,421 | ||||||
|
Aruba Networks, Inc. (a)
|
4,892 | 109,997 | ||||||
|
Black Box Corp.
|
704 | 17,959 | ||||||
|
Brocade Communications Systems, Inc. (a)
|
17,132 | 101,336 | ||||||
|
Ciena Corp. (a)
|
7,367 | 100,191 | ||||||
|
Cisco Systems, Inc.
|
5,617 | 107,229 | ||||||
|
Comtech Telecommunications Corp.
|
1,200 | 33,168 | ||||||
|
EchoStar Corp. (Class A) (a)
|
1,558 | 44,652 | ||||||
|
Emulex Corp. (a)
|
8,113 | 58,495 | ||||||
|
F5 Networks, Inc. (a)
|
1,056 | 110,563 | ||||||
|
Finisar Corp. (a)
|
6,528 | 93,350 | ||||||
|
Harmonic, Inc. (a)
|
4,098 | 18,605 | ||||||
|
Harris Corp.
|
2,167 | 110,994 | ||||||
|
Infinera Corp. (a)
|
6,819 | 37,368 | ||||||
|
InterDigital, Inc.
|
3,093 | 115,307 | ||||||
|
Ixia (a)
|
3,408 | 54,767 | ||||||
|
JDS Uniphase Corp. (a)
|
8,146 | 100,888 | ||||||
|
Juniper Networks, Inc. (a)
|
5,664 | 96,911 | ||||||
|
Loral Space & Communications, Inc.
|
563 | 40,029 | ||||||
|
Motorola Solutions, Inc.
|
2,166 | 109,491 | ||||||
|
Netgear, Inc. (a)
|
2,789 | 106,372 | ||||||
|
Plantronics, Inc.
|
2,782 | 98,288 | ||||||
|
Polycom, Inc. (a)
|
9,115 | 89,965 | ||||||
|
Procera Networks, Inc. (a)
|
2,783 | 65,401 | ||||||
|
QUALCOMM, Inc.
|
1,687 | 105,421 | ||||||
|
Riverbed Technology, Inc. (a)
|
4,797 | 111,626 | ||||||
|
Sonus Networks, Inc. (a)
|
14,342 | 26,963 | ||||||
|
Tellabs, Inc.
|
28,962 | 102,526 | ||||||
|
ViaSat, Inc. (a)
|
2,695 | 100,739 | ||||||
| 2,554,425 | ||||||||
|
INTEGRATED TELECOMMUNICATION
SERVICES — 14.1%
|
||||||||
|
AT&T, Inc.
|
2,938 | 110,762 | ||||||
|
CenturyLink, Inc.
|
2,584 | 104,393 | ||||||
|
Cincinnati Bell, Inc. (a)
|
8,471 | 48,285 | ||||||
|
Consolidated Communications Holdings, Inc.
|
2,619 | 45,021 | ||||||
|
Frontier Communications Corp.
|
23,543 | 115,361 | ||||||
|
Verizon Communications, Inc.
|
2,458 | 112,011 | ||||||
|
Windstream Corp.
|
10,155 | 102,667 | ||||||
| 638,500 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 21.1%
|
||||||||
|
Clearwire Corp. (Class A) (a)
|
67,578 | 91,230 | ||||||
|
Crown Castle International Corp. (a)
|
1,724 | 110,508 | ||||||
|
Leap Wireless International, Inc. (a)
|
18,036 | 123,006 | ||||||
|
MetroPCS Communications, Inc. (a)
|
10,299 | 120,601 | ||||||
|
NII Holdings, Inc. (a)
|
16,291 | 127,884 | ||||||
|
SBA Communications Corp. (Class A) (a)
|
1,839 | 115,673 | ||||||
|
Sprint Nextel Corp. (a)
|
20,813 | 114,888 | ||||||
|
Telephone & Data Systems, Inc.
|
4,278 | 109,560 | ||||||
|
US Cellular Corp. (a)
|
1,007 | 39,404 | ||||||
| 952,754 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $5,312,039)
|
4,495,441 | |||||||
|
SHORT TERM INVESTMENT — 0.7%
|
||||||||
|
MONEY MARKET FUND — 0.7%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c) (Cost $30,495) |
30,495 | 30,495 | ||||||
|
TOTAL INVESTMENTS — 100.2% (d)
|
||||||||
|
(Cost $5,342,534)
|
4,525,936 | |||||||
|
OTHER ASSETS &
LIABILITIES — (0.2)% |
(8,779 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 4,517,157 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(d)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
COMMON STOCKS — 99.9%
|
||||||||
|
AIR FREIGHT & LOGISTICS — 18.9%
|
||||||||
|
Atlas Air Worldwide Holdings, Inc. (a)
|
4,697 | $ | 242,506 | |||||
|
C.H. Robinson Worldwide, Inc.
|
7,336 | 429,523 | ||||||
|
Expeditors International of Washington, Inc.
|
10,729 | 390,106 | ||||||
|
FedEx Corp.
|
4,661 | 394,414 | ||||||
|
Forward Air Corp.
|
2,477 | 75,326 | ||||||
|
HUB Group, Inc. (Class A) (a)
|
6,432 | 190,902 | ||||||
|
United Parcel Service, Inc. (Class B)
|
5,702 | 408,092 | ||||||
|
UTI Worldwide, Inc.
|
9,876 | 133,030 | ||||||
| 2,263,899 | ||||||||
|
AIRLINES — 23.6%
|
||||||||
|
Alaska Air Group, Inc. (a)
|
12,150 | 425,979 | ||||||
|
Allegiant Travel Co. (a)
|
3,951 | 250,335 | ||||||
|
Delta Air Lines, Inc. (a)
|
45,323 | 415,159 | ||||||
|
JetBlue Airways Corp. (a)
|
84,878 | 406,565 | ||||||
|
SkyWest, Inc.
|
8,987 | 92,836 | ||||||
|
Southwest Airlines Co.
|
46,323 | 406,253 | ||||||
|
United Continental Holdings, Inc. (a)
|
20,944 | 408,408 | ||||||
|
US Airways Group, Inc. (a)
|
39,900 | 417,354 | ||||||
| 2,822,889 | ||||||||
|
MARINE — 4.4%
|
||||||||
|
Kirby Corp. (a)
|
7,176 | 396,689 | ||||||
|
Matson, Inc.
|
6,457 | 135,016 | ||||||
| 531,705 | ||||||||
|
RAILROADS — 18.3%
|
||||||||
|
CSX Corp.
|
18,141 | 376,426 | ||||||
|
Genesee & Wyoming, Inc. (Class A) (a)
|
6,307 | 421,686 | ||||||
|
Kansas City Southern
|
5,024 | 380,719 | ||||||
|
Norfolk Southern Corp.
|
5,625 | 357,919 | ||||||
|
RailAmerica, Inc. (a)
|
9,454 | 259,701 | ||||||
|
Union Pacific Corp.
|
3,271 | 388,267 | ||||||
| 2,184,718 | ||||||||
|
TRUCKING — 34.7%
|
||||||||
|
AMERCO, Inc.
|
634 | 67,432 | ||||||
|
Avis Budget Group, Inc. (a)
|
24,146 | 371,366 | ||||||
|
Con-way, Inc.
|
13,748 | 376,283 | ||||||
|
Dollar Thrifty Automotive Group, Inc. (a)
|
4,828 | 419,698 | ||||||
|
Heartland Express, Inc.
|
8,543 | 114,134 | ||||||
|
Hertz Global Holdings, Inc. (a)
|
28,010 | 384,577 | ||||||
|
J.B. Hunt Transport Services, Inc.
|
8,027 | 417,725 | ||||||
|
Knight Transportation, Inc.
|
15,059 | 215,344 | ||||||
|
Landstar System, Inc.
|
8,507 | 402,211 | ||||||
|
Old Dominion Freight Line, Inc. (a)
|
13,200 | 398,112 | ||||||
|
Ryder Systems, Inc.
|
9,773 | 381,733 | ||||||
|
Swift Transportation Co. (a)
|
40,835 | 351,998 | ||||||
|
Werner Enterprises, Inc.
|
11,819 | 252,572 | ||||||
| 4,153,185 | ||||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $12,038,066)
|
11,956,396 | |||||||
|
SHORT TERM INVESTMENT — 0.2%
|
||||||||
|
MONEY MARKET FUND — 0.2%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c) (Cost $26,846) |
26,846 | 26,846 | ||||||
|
TOTAL INVESTMENTS — 100.1% (d)
|
||||||||
|
(Cost $12,064,912)
|
11,983,242 | |||||||
|
OTHER ASSETS &
LIABILITIES — (0.1)% |
(9,521 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 11,973,721 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(d)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Security Description
|
Shares
|
Value
|
||||||
|
PREFERRED STOCKS — 99.5%
|
||||||||
|
AUTOMOBILES — 0.8%
|
||||||||
|
Ford Motor Co., 7.50% (a)
|
88,685 | $ | 2,405,137 | |||||
|
CAPITAL MARKETS — 5.1%
|
||||||||
|
State Street Corp., 5.25% (a)(b)
|
74,808 | 1,888,902 | ||||||
|
The Bank of New York Capital V Series F, 5.95% (a)
|
52,366 | 1,326,431 | ||||||
|
The Bank Of New York Mellon Corp., 5.20%
|
82,289 | 2,044,882 | ||||||
|
The Charles Schwab Corp., 6.00%
|
72,564 | 1,896,823 | ||||||
|
The Goldman Sachs Group, Inc., 6.50% (a)
|
86,029 | 2,338,268 | ||||||
|
The Goldman Sachs Group, Inc., 6.13% (a)
|
198,242 | 5,213,764 | ||||||
| 14,709,070 | ||||||||
|
COMMERCIAL BANKS — 27.3%
|
||||||||
|
Barclays Bank PLC Series 2, 6.63% (a)
|
71,117 | 1,777,214 | ||||||
|
Barclays Bank PLC Series 3, 7.10%
|
129,370 | 3,249,774 | ||||||
|
Barclays Bank PLC Series 4, 7.75% (a)
|
108,080 | 2,767,929 | ||||||
|
Barclays Bank PLC Series 5, 8.13% (a)
|
251,033 | 6,506,775 | ||||||
|
BB&T Corp., 5.85% (a)
|
86,029 | 2,240,195 | ||||||
|
BB&T Corp., 5.63%
|
172,059 | 4,399,549 | ||||||
|
HSBC Holdings PLC, 8.13% (a)
|
128,750 | 3,314,025 | ||||||
|
HSBC Holdings PLC, 8.00% (a)
|
222,862 | 6,295,852 | ||||||
|
HSBC Holdings PLC, Series A, 6.20%
|
84,724 | 2,140,975 | ||||||
|
HSBC USA, Inc. Series F, 3.50% (a)
|
30,452 | 676,643 | ||||||
|
HSBC USA, Inc. Series G, 4.00% (a)
|
21,996 | 511,847 | ||||||
|
Lloyds Banking Group PLC, 7.75% (a)
|
129,044 | 3,511,287 | ||||||
|
M&T Capital Trust IV, 8.50% (a)
|
52,366 | 1,345,283 | ||||||
|
PNC Financial Services Group, Inc., 6.13% (a)
|
224,424 | 6,164,927 | ||||||
|
Santander Finance Preferred SA Unipersonal, 10.50%
|
123,450 | 3,333,150 | ||||||
|
UBS Preferred Funding Trust IV Series D, 0.92% (a)
|
46,491 | 725,260 | ||||||
|
US Bancorp Series B, 3.50% (a)
|
149,616 | 3,595,273 | ||||||
|
US Bancorp Series D, 7.88% (a)
|
74,808 | 1,990,641 | ||||||
|
US Bancorp Series F, 6.50%
|
164,578 | 4,789,220 | ||||||
|
US Bancorp Series G, 6.00% (a)
|
162,334 | 4,542,105 | ||||||
|
Wells Fargo & Co., 5.20% (a)
|
71,867 | 1,811,048 | ||||||
|
Wells Fargo & Co. Series J, 8.00% (a)
|
206,055 | 6,123,955 | ||||||
|
Wells Fargo Capital IX, 5.63% (a)
|
47,877 | 1,220,864 | ||||||
|
Wells Fargo Capital VII, 5.85% (a)
|
47,877 | 1,238,099 | ||||||
|
Wells Fargo Capital XII, 7.88%
|
150,921 | 3,896,780 | ||||||
| 78,168,670 | ||||||||
|
CONSUMER FINANCE — 1.0%
|
||||||||
|
Capital One Capital II, 7.50%
|
51,618 | 1,332,261 | ||||||
|
HSBC Finance Corp., 6.36% (a)
|
33,835 | 848,920 | ||||||
|
HSBC USA, Inc. Series H, 6.50% (a)
|
21,996 | 558,038 | ||||||
| 2,739,219 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 22.8%
|
||||||||
|
Credit Suisse Guernsey, 7.90%
|
228,165 | 5,918,600 | ||||||
|
Deutsche Bank Capital Funding Trust IX, 6.63% (a)
|
93,805 | 2,350,753 | ||||||
|
Deutsche Bank Capital Funding Trust VIII, 6.38% (a)
|
48,942 | 1,225,997 | ||||||
|
Deutsche Bank Capital Funding Trust X, 7.35% (a)
|
65,664 | 1,658,673 | ||||||
|
Deutsche Bank Contingent Capital Trust II, 6.55% (a)
|
65,256 | 1,654,240 | ||||||
|
Deutsche Bank Contingent Capital Trust III, 7.60% (a)
|
161,100 | 4,278,816 | ||||||
|
Deutsche Bank Contingent Capital Trust V, 8.05% (a)
|
112,974 | 3,067,244 | ||||||
|
General Electric Capital Corp., 6.63% (a)
|
107,191 | 2,867,359 | ||||||
|
General Electric Capital Corp., 6.50% (a)
|
26,921 | 731,174 | ||||||
|
General Electric Capital Corp., 6.10% (a)
|
107,203 | 2,800,142 | ||||||
|
General Electric Capital Corp., 6.05% (a)
|
64,855 | 1,661,585 | ||||||
|
General Electric Capital Corp., 6.00% (a)
|
107,218 | 2,738,348 | ||||||
|
General Electric Capital Corp., 5.88% (a)
|
80,299 | 2,073,320 | ||||||
|
General Electric Capital Corp. Series A, 6.45% (a)
|
54,045 | 1,425,167 | ||||||
|
ING Groep NV, 8.50% (a)
|
148,905 | 3,901,311 | ||||||
|
ING Groep NV, 7.38% (a)
|
111,679 | 2,784,158 | ||||||
|
ING Groep NV, 7.20% (a)
|
81,898 | 2,047,450 | ||||||
|
ING Groep NV, 7.05% (a)
|
59,562 | 1,490,241 | ||||||
|
ING Groep NV, 6.38% (a)
|
77,803 | 1,860,270 | ||||||
|
ING Groep NV, 6.20% (a)
|
37,606 | 885,997 | ||||||
|
ING Groep NV, 6.13% (a)
|
52,117 | 1,218,496 | ||||||
|
JP Morgan Chase & Co., 8.63% (a)
|
106,325 | 2,817,613 | ||||||
|
JP Morgan Chase Capital X, 7.00%
|
59,070 | 1,516,918 | ||||||
|
JP Morgan Chase Capital XI Series K, 5.88% (a)
|
63,500 | 1,598,930 | ||||||
|
JP Morgan Chase Capital XII, 6.25%
|
23,628 | 603,695 | ||||||
|
JP Morgan Chase Capital XIV, 6.20% (a)
|
35,442 | 904,480 | ||||||
|
JP Morgan Chase Capital XIX Series S, 6.63% (a)
|
33,227 | 839,314 | ||||||
|
JP Morgan Chase Capital XVI, 6.35% (a)
|
29,535 | 750,484 | ||||||
|
JP Morgan Chase Capital XXIV Series X, 6.88%
|
41,349 | 1,054,813 | ||||||
|
JP Morgan Chase Capital XXIX, 6.70% (a)
|
88,604 | 2,303,704 | ||||||
|
JPMorgan Chase & Co., 5.50%
|
74,280 | 1,849,572 | ||||||
|
KKR Financial Holdings LLC, 8.38%
|
38,713 | 1,099,449 | ||||||
|
Raymond James Financial, Inc., 6.90% (a)
|
52,366 | 1,437,970 | ||||||
| 65,416,283 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 3.4%
|
||||||||
|
Qwest Corp., 7.50%
|
86,029 | 2,312,460 | ||||||
|
Qwest Corp., 7.38% (a)
|
98,934 | 2,659,346 | ||||||
|
Qwest Corp., 7.00% (a)
|
59,846 | 1,578,737 | ||||||
|
Qwest Corp., 7.00% (a)
|
78,549 | 2,089,403 | ||||||
|
Telephone & Data Systems, 7.00%
|
44,885 | 1,220,872 | ||||||
| 9,860,818 | ||||||||
|
ELECTRIC UTILITIES — 5.3%
|
||||||||
|
American Electric Power, 8.75% (a)
|
47,129 | 1,270,127 | ||||||
|
BGE Capital Trust II, 6.20%
|
37,404 | 957,168 | ||||||
|
Constellation Energy Group, Inc. Series A, 8.63%
|
67,327 | 1,761,274 | ||||||
|
FPC Capital I Series A, 7.10% (a)
|
44,885 | 1,149,056 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Affiliated issuer. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. TREASURY OBLIGATIONS — 99.9%
|
||||||||
|
Treasury Bills*
|
||||||||
|
0.07%, 12/6/2012
|
$ | 107,047,000 | $ | 107,031,303 | ||||
|
0.07%, 11/15/2012
|
152,406,000 | 152,391,709 | ||||||
|
0.07%, 11/1/2012
|
108,862,000 | 108,856,842 | ||||||
|
0.08%, 12/13/2012
|
152,406,000 | 152,379,733 | ||||||
|
0.08%, 11/8/2012
|
108,862,000 | 108,853,960 | ||||||
|
0.08%, 11/23/2012
|
107,047,000 | 107,035,182 | ||||||
|
0.08%, 12/20/2012
|
107,047,000 | 107,026,779 | ||||||
|
0.09%, 11/29/2012
|
107,047,000 | 107,036,473 | ||||||
|
0.10%, 12/27/2012
|
107,047,000 | 107,022,425 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $1,057,633,427)
|
1,057,634,406 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.1%
|
||||||||
|
MONEY MARKET FUND — 0.1%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (a)(b)(c) (Cost $634,985) |
634,985 | 634,985 | ||||||
|
TOTAL INVESTMENTS — 100.0% (d)
|
||||||||
|
(Cost $1,058,268,412)
|
1,058,269,391 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.0% (e) |
67,937 | |||||||
|
NET ASSETS — 100.0%
|
$ | 1,058,337,328 | ||||||
|
*
|
Rate shown is the discount rate at time of purchase, not a coupon rate. | |||||
|
(a)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(b)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(c)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. TREASURY OBLIGATIONS — 99.6%
|
||||||||
|
Treasury Inflation Protected
Indexed Notes |
||||||||
|
0.13%, 4/15/2016
|
$ | 32,919,147 | $ | 34,878,824 | ||||
|
0.50%, 4/15/2015
|
18,557,742 | 19,494,351 | ||||||
|
1.13%, 1/15/2021
|
31,754,481 | 37,584,286 | ||||||
|
1.25%, 4/15/2014
|
13,671,205 | 14,220,240 | ||||||
|
1.25%, 7/15/2020
|
28,118,786 | 33,606,448 | ||||||
|
1.38%, 7/15/2018 (a)
|
13,150,568 | 15,423,118 | ||||||
|
1.38%, 1/15/2020
|
16,617,520 | 19,868,239 | ||||||
|
1.63%, 1/15/2015
|
18,844,595 | 20,196,130 | ||||||
|
1.63%, 1/15/2018 (a)
|
14,836,462 | 17,372,607 | ||||||
|
1.88%, 7/15/2015
|
16,552,141 | 18,215,134 | ||||||
|
1.88%, 7/15/2019
|
13,473,221 | 16,534,202 | ||||||
|
2.00%, 1/15/2014
|
21,098,260 | 22,037,765 | ||||||
|
2.00%, 7/15/2014
|
19,090,493 | 20,364,211 | ||||||
|
2.00%, 1/15/2016
|
16,221,214 | 18,183,008 | ||||||
|
2.13%, 1/15/2019
|
13,018,169 | 15,977,720 | ||||||
|
2.38%, 1/15/2017
|
16,200,086 | 19,002,214 | ||||||
|
2.50%, 7/15/2016
|
18,755,727 | 21,783,089 | ||||||
|
2.63%, 7/15/2017 (a)
|
12,792,504 | 15,468,952 | ||||||
|
Treasury Inflation Protected
Indexed Bonds |
||||||||
|
0.13%, 4/15/2017
|
25,372,847 | 27,335,183 | ||||||
|
0.13%, 1/15/2022
|
34,543,398 | 37,716,900 | ||||||
|
0.13%, 7/15/2022 (a)
|
23,058,197 | 25,216,213 | ||||||
|
0.63%, 7/15/2021
|
30,116,618 | 34,478,709 | ||||||
|
0.75%, 2/15/2042
|
13,517,244 | 14,695,813 | ||||||
|
1.75%, 1/15/2028
|
14,134,338 | 18,321,636 | ||||||
|
2.00%, 1/15/2026
|
19,084,053 | 25,104,499 | ||||||
|
2.13%, 2/15/2040
|
13,292,911 | 19,426,394 | ||||||
|
2.13%, 2/15/2041
|
20,742,766 | 30,504,934 | ||||||
|
2.38%, 1/15/2025
|
28,132,527 | 38,211,849 | ||||||
|
2.38%, 1/15/2027
|
15,478,643 | 21,394,425 | ||||||
|
2.50%, 1/15/2029
|
12,481,392 | 17,879,594 | ||||||
|
3.38%, 4/15/2032
|
5,347,788 | 8,884,869 | ||||||
|
3.63%, 4/15/2028
|
19,652,083 | 31,246,812 | ||||||
|
3.88%, 4/15/2029
|
22,461,041 | 37,359,000 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $694,076,350)
|
767,987,368 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 4.1%
|
||||||||
|
MONEY MARKET FUNDS — 4.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (b)(c) |
30,925,838 | 30,925,838 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d) |
485,803 | 485,803 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (e)
|
||||||||
|
(Cost $31,411,641)
|
31,411,641 | |||||||
|
TOTAL INVESTMENTS — 103.7% (f)
|
||||||||
|
(Cost $725,487,991)
|
799,399,009 | |||||||
|
OTHER ASSETS &
LIABILITIES — (3.7)% |
(28,520,395 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 770,878,614 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Investments of cash collateral for securities loaned. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. TREASURY OBLIGATIONS — 98.8%
|
||||||||
|
Treasury Bonds
|
||||||||
|
7.25%, 5/15/2016
|
$ | 13,000 | $ | 16,195 | ||||
|
7.50%, 11/15/2016
|
10,000 | 12,860 | ||||||
|
8.75%, 5/15/2017
|
5,000 | 6,869 | ||||||
|
8.88%, 8/15/2017
|
5,000 | 6,986 | ||||||
|
9.25%, 2/15/2016
|
3,000 | 3,892 | ||||||
|
9.88%, 11/15/2015
|
3,000 | 3,887 | ||||||
|
10.63%, 8/15/2015
|
2,000 | 2,588 | ||||||
|
11.25%, 2/15/2015
|
6,000 | 7,555 | ||||||
|
Treasury Notes
|
||||||||
|
0.13%, 12/31/2013
|
30,000 | 29,968 | ||||||
|
0.13%, 7/31/2014
|
25,000 | 24,947 | ||||||
|
0.25%, 10/31/2013 (a)
|
32,000 | 32,018 | ||||||
|
0.25%, 11/30/2013
|
34,000 | 34,016 | ||||||
|
0.25%, 1/31/2014
|
28,000 | 28,013 | ||||||
|
0.25%, 2/28/2014
|
30,000 | 30,015 | ||||||
|
0.25%, 3/31/2014
|
25,000 | 25,007 | ||||||
|
0.25%, 4/30/2014
|
25,000 | 25,006 | ||||||
|
0.25%, 5/31/2014
|
25,000 | 25,007 | ||||||
|
0.25%, 6/30/2014
|
25,000 | 25,004 | ||||||
|
0.25%, 8/31/2014
|
20,000 | 20,004 | ||||||
|
0.25%, 9/15/2014
|
26,000 | 26,002 | ||||||
|
0.25%, 9/30/2014
|
25,000 | 25,005 | ||||||
|
0.25%, 12/15/2014
|
28,000 | 27,995 | ||||||
|
0.25%, 1/15/2015 (a)
|
23,000 | 22,994 | ||||||
|
0.25%, 2/15/2015
|
25,000 | 24,985 | ||||||
|
0.25%, 5/15/2015
|
20,000 | 19,979 | ||||||
|
0.25%, 7/15/2015
|
25,000 | 24,964 | ||||||
|
0.25%, 8/15/2015
|
15,000 | 14,976 | ||||||
|
0.25%, 9/15/2015
|
25,000 | 24,956 | ||||||
|
0.38%, 11/15/2014
|
31,000 | 31,075 | ||||||
|
0.38%, 3/15/2015
|
25,000 | 25,061 | ||||||
|
0.38%, 4/15/2015
|
25,000 | 25,056 | ||||||
|
0.38%, 6/15/2015
|
23,000 | 23,048 | ||||||
|
0.50%, 10/15/2013 (a)
|
18,000 | 18,057 | ||||||
|
0.50%, 11/15/2013
|
24,000 | 24,079 | ||||||
|
0.50%, 8/15/2014
|
28,000 | 28,134 | ||||||
|
0.50%, 10/15/2014
|
26,000 | 26,132 | ||||||
|
0.50%, 7/31/2017 (a)
|
25,000 | 24,877 | ||||||
|
0.63%, 7/15/2014
|
31,000 | 31,212 | ||||||
|
0.63%, 5/31/2017
|
25,000 | 25,064 | ||||||
|
0.63%, 8/31/2017 (a)
|
25,000 | 25,015 | ||||||
|
0.75%, 12/15/2013
|
18,000 | 18,117 | ||||||
|
0.75%, 6/15/2014
|
31,000 | 31,272 | ||||||
|
0.75%, 6/30/2017
|
25,000 | 25,191 | ||||||
|
0.88%, 11/30/2016
|
33,000 | 33,532 | ||||||
|
0.88%, 12/31/2016
|
27,000 | 27,420 | ||||||
|
0.88%, 1/31/2017
|
25,000 | 25,383 | ||||||
|
0.88%, 2/28/2017
|
28,000 | 28,431 | ||||||
|
0.88%, 4/30/2017
|
20,000 | 20,283 | ||||||
|
1.00%, 1/15/2014
|
14,000 | 14,142 | ||||||
|
1.00%, 5/15/2014
|
22,000 | 22,272 | ||||||
|
1.00%, 8/31/2016
|
24,000 | 24,509 | ||||||
|
1.00%, 9/30/2016
|
34,000 | 34,720 | ||||||
|
1.00%, 10/31/2016
|
29,000 | 29,610 | ||||||
|
1.00%, 3/31/2017
|
30,000 | 30,601 | ||||||
|
1.25%, 2/15/2014
|
17,000 | 17,239 | ||||||
|
1.25%, 3/15/2014
|
18,000 | 18,266 | ||||||
|
1.25%, 4/15/2014
|
20,000 | 20,311 | ||||||
|
1.25%, 8/31/2015
|
25,000 | 25,682 | ||||||
|
1.25%, 9/30/2015
|
30,000 | 30,833 | ||||||
|
1.25%, 10/31/2015
|
25,000 | 25,702 | ||||||
|
1.38%, 11/30/2015
|
25,000 | 25,809 | ||||||
|
1.50%, 12/31/2013
|
23,000 | 23,369 | ||||||
|
1.50%, 6/30/2016
|
26,000 | 27,038 | ||||||
|
1.50%, 7/31/2016
|
24,000 | 24,964 | ||||||
|
1.75%, 1/31/2014
|
23,000 | 23,469 | ||||||
|
1.75%, 3/31/2014
|
26,000 | 26,591 | ||||||
|
1.75%, 7/31/2015
|
27,000 | 28,096 | ||||||
|
1.75%, 5/31/2016
|
22,000 | 23,067 | ||||||
|
1.88%, 2/28/2014
|
18,000 | 18,421 | ||||||
|
1.88%, 4/30/2014
|
27,000 | 27,698 | ||||||
|
1.88%, 6/30/2015
|
23,000 | 23,992 | ||||||
|
1.88%, 8/31/2017
|
25,000 | 26,536 | ||||||
|
1.88%, 9/30/2017
|
20,000 | 21,223 | ||||||
|
2.00%, 11/30/2013
|
19,000 | 19,395 | ||||||
|
2.00%, 1/31/2016
|
24,000 | 25,308 | ||||||
|
2.00%, 4/30/2016
|
22,000 | 23,252 | ||||||
|
2.13%, 11/30/2014
|
33,000 | 34,327 | ||||||
|
2.13%, 5/31/2015
|
27,000 | 28,306 | ||||||
|
2.13%, 12/31/2015
|
14,000 | 14,801 | ||||||
|
2.13%, 2/29/2016
|
15,000 | 15,891 | ||||||
|
2.25%, 5/31/2014
|
27,000 | 27,902 | ||||||
|
2.25%, 1/31/2015
|
34,000 | 35,562 | ||||||
|
2.25%, 3/31/2016
|
21,000 | 22,362 | ||||||
|
2.38%, 8/31/2014
|
33,000 | 34,340 | ||||||
|
2.38%, 9/30/2014
|
35,000 | 36,490 | ||||||
|
2.38%, 10/31/2014
|
32,000 | 33,405 | ||||||
|
2.38%, 2/28/2015
|
38,000 | 39,916 | ||||||
|
2.38%, 3/31/2016
|
15,000 | 16,035 | ||||||
|
2.38%, 7/31/2017
|
15,000 | 16,273 | ||||||
|
2.50%, 3/31/2015
|
39,000 | 41,161 | ||||||
|
2.50%, 4/30/2015
|
30,000 | 31,710 | ||||||
|
2.50%, 6/30/2017
|
20,000 | 21,791 | ||||||
|
2.63%, 6/30/2014
|
31,000 | 32,288 | ||||||
|
2.63%, 7/31/2014
|
32,000 | 33,392 | ||||||
|
2.63%, 12/31/2014
|
35,000 | 36,864 | ||||||
|
2.63%, 2/29/2016
|
12,000 | 12,915 | ||||||
|
2.63%, 4/30/2016
|
13,000 | 14,032 | ||||||
|
2.75%, 10/31/2013
|
20,000 | 20,550 | ||||||
|
2.75%, 11/30/2016
|
21,000 | 22,958 | ||||||
|
2.75%, 5/31/2017
|
10,000 | 11,007 | ||||||
|
3.00%, 8/31/2016
|
22,000 | 24,182 | ||||||
|
3.00%, 9/30/2016
|
23,000 | 25,309 | ||||||
|
3.00%, 2/28/2017
|
15,000 | 16,614 | ||||||
|
3.13%, 10/31/2016
|
25,000 | 27,675 | ||||||
|
3.13%, 1/31/2017
|
23,000 | 25,561 | ||||||
|
3.13%, 4/30/2017
|
20,000 | 22,316 | ||||||
|
3.25%, 5/31/2016
|
11,000 | 12,135 | ||||||
|
3.25%, 6/30/2016
|
16,000 | 17,684 | ||||||
|
3.25%, 7/31/2016 (a)
|
22,000 | 24,356 | ||||||
|
3.25%, 12/31/2016
|
18,000 | 20,074 | ||||||
|
3.25%, 3/31/2017
|
20,000 | 22,400 | ||||||
|
4.00%, 2/15/2014
|
24,000 | 25,243 | ||||||
|
4.00%, 2/15/2015
|
25,000 | 27,199 | ||||||
|
4.13%, 5/15/2015
|
21,000 | 23,098 | ||||||
|
4.25%, 11/15/2013
|
27,000 | 28,224 | ||||||
|
4.25%, 8/15/2014
|
20,000 | 21,494 | ||||||
|
4.25%, 11/15/2014
|
21,000 | 22,770 | ||||||
|
4.25%, 8/15/2015
|
24,000 | 26,700 | ||||||
|
4.50%, 11/15/2015
|
20,000 | 22,579 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
4.50%, 2/15/2016
|
$ | 19,000 | $ | 21,632 | ||||
|
4.50%, 5/15/2017
|
13,000 | 15,334 | ||||||
|
4.63%, 11/15/2016
|
18,000 | 21,034 | ||||||
|
4.63%, 2/15/2017
|
13,000 | 15,299 | ||||||
|
4.75%, 5/15/2014
|
23,000 | 24,681 | ||||||
|
4.75%, 8/15/2017
|
10,000 | 11,992 | ||||||
|
4.88%, 8/15/2016
|
16,000 | 18,714 | ||||||
|
5.13%, 5/15/2016
|
14,000 | 16,366 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $2,967,812)
|
2,985,190 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 3.8%
|
||||||||
|
MONEY MARKET FUNDS — 3.8%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (b)(c) |
101,460 | 101,460 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d) |
12,662 | 12,662 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (e)
|
||||||||
|
(Cost $114,122)
|
114,122 | |||||||
|
TOTAL INVESTMENTS — 102.6% (f)
|
||||||||
|
(Cost $3,081,934)
|
3,099,312 | |||||||
|
OTHER ASSETS &
LIABILITIES — (2.6)% |
(79,516 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 3,019,796 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Investments of cash collateral for securities loaned. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. TREASURY OBLIGATIONS — 99.3%
|
||||||||
|
Treasury Bonds
|
||||||||
|
7.25%, 5/15/2016
|
$ | 715,000 | $ | 890,711 | ||||
|
7.25%, 8/15/2022
|
226,000 | 344,813 | ||||||
|
7.50%, 11/15/2016
|
301,000 | 387,089 | ||||||
|
7.88%, 2/15/2021
|
154,000 | 235,026 | ||||||
|
8.00%, 11/15/2021
|
382,000 | 598,350 | ||||||
|
8.13%, 8/15/2019
|
347,000 | 512,474 | ||||||
|
8.13%, 5/15/2021
|
70,000 | 108,914 | ||||||
|
8.13%, 8/15/2021
|
70,000 | 109,697 | ||||||
|
8.50%, 2/15/2020
|
154,000 | 235,201 | ||||||
|
8.75%, 5/15/2017
|
238,000 | 326,955 | ||||||
|
8.75%, 5/15/2020 (a)
|
130,000 | 202,588 | ||||||
|
8.75%, 8/15/2020
|
235,000 | 369,206 | ||||||
|
8.88%, 8/15/2017
|
158,000 | 220,756 | ||||||
|
8.88%, 2/15/2019
|
238,000 | 356,348 | ||||||
|
9.00%, 11/15/2018
|
186,000 | 276,883 | ||||||
|
9.13%, 5/15/2018
|
253,000 | 369,967 | ||||||
|
9.25%, 2/15/2016 (a)
|
183,000 | 237,435 | ||||||
|
9.88%, 11/15/2015
|
215,000 | 278,586 | ||||||
|
10.63%, 8/15/2015
|
133,000 | 172,134 | ||||||
|
11.25%, 2/15/2015
|
410,000 | 516,231 | ||||||
|
Treasury Notes
|
||||||||
|
0.13%, 12/31/2013
|
1,090,000 | 1,088,855 | ||||||
|
0.13%, 7/31/2014
|
1,174,000 | 1,171,523 | ||||||
|
0.25%, 10/31/2013 (a)
|
1,205,000 | 1,205,675 | ||||||
|
0.25%, 11/30/2013
|
1,171,000 | 1,171,562 | ||||||
|
0.25%, 1/31/2014
|
1,200,000 | 1,200,576 | ||||||
|
0.25%, 2/28/2014
|
1,236,000 | 1,236,606 | ||||||
|
0.25%, 3/31/2014
|
1,169,000 | 1,169,327 | ||||||
|
0.25%, 4/30/2014
|
1,020,000 | 1,020,255 | ||||||
|
0.25%, 5/31/2014
|
1,334,000 | 1,334,374 | ||||||
|
0.25%, 6/30/2014
|
1,322,000 | 1,322,212 | ||||||
|
0.25%, 8/31/2014
|
1,356,000 | 1,356,244 | ||||||
|
0.25%, 9/15/2014
|
1,203,000 | 1,203,084 | ||||||
|
0.25%, 9/30/2014
|
1,200,000 | 1,200,240 | ||||||
|
0.25%, 12/15/2014
|
778,000 | 777,860 | ||||||
|
0.25%, 1/15/2015 (a)
|
799,000 | 798,776 | ||||||
|
0.25%, 2/15/2015
|
1,236,000 | 1,235,234 | ||||||
|
0.25%, 5/15/2015
|
1,275,000 | 1,273,687 | ||||||
|
0.25%, 7/15/2015
|
631,000 | 630,079 | ||||||
|
0.25%, 8/15/2015
|
678,000 | 676,929 | ||||||
|
0.25%, 9/15/2015
|
1,000,000 | 998,240 | ||||||
|
0.38%, 11/15/2014
|
793,000 | 794,919 | ||||||
|
0.38%, 3/15/2015
|
618,000 | 619,508 | ||||||
|
0.38%, 4/15/2015
|
850,000 | 851,896 | ||||||
|
0.38%, 6/15/2015
|
1,055,000 | 1,057,194 | ||||||
|
0.50%, 10/15/2013 (a)
|
1,032,000 | 1,035,240 | ||||||
|
0.50%, 11/15/2013
|
1,068,000 | 1,071,524 | ||||||
|
0.50%, 8/15/2014
|
1,021,000 | 1,025,901 | ||||||
|
0.50%, 10/15/2014
|
793,000 | 797,028 | ||||||
|
0.50%, 7/31/2017
|
452,000 | 449,776 | ||||||
|
0.63%, 7/15/2014
|
1,021,000 | 1,027,984 | ||||||
|
0.63%, 5/31/2017
|
850,000 | 852,167 | ||||||
|
0.63%, 8/31/2017
|
678,000 | 678,400 | ||||||
|
0.63%, 9/30/2017
|
500,000 | 499,865 | ||||||
|
0.75%, 12/15/2013
|
855,000 | 860,540 | ||||||
|
0.75%, 6/15/2014
|
1,167,000 | 1,177,223 | ||||||
|
0.75%, 6/30/2017
|
1,051,000 | 1,059,019 | ||||||
|
0.88%, 11/30/2016
|
1,171,000 | 1,189,877 | ||||||
|
0.88%, 12/31/2016
|
891,000 | 904,855 | ||||||
|
0.88%, 1/31/2017
|
1,042,000 | 1,057,953 | ||||||
|
0.88%, 2/28/2017
|
826,000 | 838,720 | ||||||
|
0.88%, 4/30/2017
|
850,000 | 862,028 | ||||||
|
0.88%, 7/31/2019
|
452,000 | 447,688 | ||||||
|
1.00%, 1/15/2014
|
771,000 | 778,818 | ||||||
|
1.00%, 5/15/2014
|
1,312,000 | 1,328,243 | ||||||
|
1.00%, 8/31/2016
|
1,171,000 | 1,195,814 | ||||||
|
1.00%, 9/30/2016
|
795,000 | 811,838 | ||||||
|
1.00%, 10/31/2016
|
795,000 | 811,735 | ||||||
|
1.00%, 3/31/2017
|
1,081,000 | 1,102,642 | ||||||
|
1.00%, 6/30/2019
|
876,000 | 875,860 | ||||||
|
1.00%, 8/31/2019 (a)
|
678,000 | 676,285 | ||||||
|
1.00%, 9/30/2019
|
700,000 | 697,319 | ||||||
|
1.13%, 5/31/2019
|
550,000 | 555,181 | ||||||
|
1.25%, 2/15/2014
|
775,000 | 785,904 | ||||||
|
1.25%, 3/15/2014
|
973,000 | 987,401 | ||||||
|
1.25%, 4/15/2014
|
778,000 | 790,098 | ||||||
|
1.25%, 8/31/2015
|
837,000 | 859,817 | ||||||
|
1.25%, 9/30/2015
|
1,123,000 | 1,154,174 | ||||||
|
1.25%, 10/31/2015
|
1,144,000 | 1,176,124 | ||||||
|
1.25%, 1/31/2019
|
640,000 | 653,638 | ||||||
|
1.25%, 4/30/2019
|
425,000 | 432,986 | ||||||
|
1.38%, 11/30/2015
|
1,180,000 | 1,218,208 | ||||||
|
1.38%, 9/30/2018
|
789,000 | 813,948 | ||||||
|
1.38%, 11/30/2018
|
789,000 | 813,238 | ||||||
|
1.38%, 12/31/2018 (a)
|
547,000 | 563,344 | ||||||
|
1.38%, 2/28/2019
|
410,000 | 421,665 | ||||||
|
1.50%, 12/31/2013
|
970,000 | 985,568 | ||||||
|
1.50%, 6/30/2016
|
1,136,000 | 1,181,372 | ||||||
|
1.50%, 7/31/2016
|
1,171,000 | 1,218,039 | ||||||
|
1.50%, 8/31/2018
|
939,000 | 975,752 | ||||||
|
1.50%, 3/31/2019
|
410,000 | 424,518 | ||||||
|
1.63%, 8/15/2022 (a)
|
752,000 | 751,120 | ||||||
|
1.75%, 1/31/2014
|
887,000 | 905,095 | ||||||
|
1.75%, 3/31/2014
|
989,000 | 1,011,480 | ||||||
|
1.75%, 7/31/2015
|
979,000 | 1,018,757 | ||||||
|
1.75%, 5/31/2016
|
875,000 | 917,437 | ||||||
|
1.75%, 10/31/2018 (a)
|
789,000 | 831,338 | ||||||
|
1.75%, 5/15/2022 (a)
|
2,086,000 | 2,115,496 | ||||||
|
1.88%, 2/28/2014
|
794,000 | 812,564 | ||||||
|
1.88%, 4/30/2014
|
1,247,000 | 1,279,223 | ||||||
|
1.88%, 6/30/2015
|
974,000 | 1,016,009 | ||||||
|
1.88%, 8/31/2017 (a)
|
1,023,000 | 1,085,853 | ||||||
|
1.88%, 9/30/2017
|
866,000 | 918,939 | ||||||
|
1.88%, 10/31/2017
|
869,000 | 922,278 | ||||||
|
2.00%, 11/30/2013
|
855,000 | 872,767 | ||||||
|
2.00%, 1/31/2016
|
1,029,000 | 1,085,091 | ||||||
|
2.00%, 4/30/2016
|
782,000 | 826,519 | ||||||
|
2.00%, 11/15/2021
|
1,584,000 | 1,653,664 | ||||||
|
2.00%, 2/15/2022
|
2,122,000 | 2,207,219 | ||||||
|
2.13%, 11/30/2014
|
1,482,000 | 1,541,576 | ||||||
|
2.13%, 5/31/2015
|
1,240,000 | 1,299,979 | ||||||
|
2.13%, 12/31/2015
|
621,000 | 656,521 | ||||||
|
2.13%, 2/29/2016
|
547,000 | 579,475 | ||||||
|
2.13%, 8/15/2021
|
1,836,000 | 1,942,139 | ||||||
|
2.25%, 5/31/2014
|
981,000 | 1,013,755 | ||||||
|
2.25%, 1/31/2015
|
1,051,000 | 1,099,283 | ||||||
|
2.25%, 3/31/2016
|
780,000 | 830,599 | ||||||
|
2.25%, 11/30/2017
|
665,000 | 718,699 | ||||||
|
2.25%, 7/31/2018
|
707,000 | 765,335 | ||||||
|
2.38%, 8/31/2014
|
1,421,000 | 1,478,721 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
2.38%, 9/30/2014
|
$ | 1,436,000 | $ | 1,497,145 | ||||
|
2.38%, 10/31/2014
|
1,396,000 | 1,457,298 | ||||||
|
2.38%, 2/28/2015
|
1,574,000 | 1,653,345 | ||||||
|
2.38%, 3/31/2016
|
678,000 | 724,762 | ||||||
|
2.38%, 7/31/2017
|
883,000 | 957,914 | ||||||
|
2.38%, 5/31/2018
|
772,000 | 840,639 | ||||||
|
2.38%, 6/30/2018
|
780,000 | 849,818 | ||||||
|
2.50%, 3/31/2015
|
1,576,000 | 1,663,326 | ||||||
|
2.50%, 4/30/2015
|
1,290,000 | 1,363,517 | ||||||
|
2.50%, 6/30/2017
|
631,000 | 687,493 | ||||||
|
2.63%, 6/30/2014
|
1,248,000 | 1,299,867 | ||||||
|
2.63%, 7/31/2014
|
1,341,000 | 1,399,333 | ||||||
|
2.63%, 12/31/2014
|
1,357,000 | 1,429,274 | ||||||
|
2.63%, 2/29/2016
|
391,000 | 420,825 | ||||||
|
2.63%, 4/30/2016
|
685,000 | 739,389 | ||||||
|
2.63%, 1/31/2018
|
456,000 | 502,074 | ||||||
|
2.63%, 4/30/2018
|
621,000 | 684,684 | ||||||
|
2.63%, 8/15/2020
|
1,568,000 | 1,733,424 | ||||||
|
2.63%, 11/15/2020
|
2,089,000 | 2,306,695 | ||||||
|
2.75%, 10/31/2013
|
711,000 | 730,538 | ||||||
|
2.75%, 11/30/2016
|
1,013,000 | 1,107,452 | ||||||
|
2.75%, 5/31/2017
|
705,000 | 775,972 | ||||||
|
2.75%, 12/31/2017
|
660,000 | 730,726 | ||||||
|
2.75%, 2/28/2018
|
566,000 | 627,394 | ||||||
|
2.75%, 2/15/2019
|
1,233,000 | 1,373,821 | ||||||
|
2.88%, 3/31/2018
|
562,000 | 627,158 | ||||||
|
3.00%, 8/31/2016
|
845,000 | 928,790 | ||||||
|
3.00%, 9/30/2016
|
1,097,000 | 1,207,139 | ||||||
|
3.00%, 2/28/2017
|
529,000 | 585,936 | ||||||
|
3.13%, 10/31/2016
|
634,000 | 701,838 | ||||||
|
3.13%, 1/31/2017
|
1,012,000 | 1,124,686 | ||||||
|
3.13%, 4/30/2017
|
704,000 | 785,537 | ||||||
|
3.13%, 5/15/2019
|
935,000 | 1,066,012 | ||||||
|
3.13%, 5/15/2021
|
1,305,000 | 1,492,085 | ||||||
|
3.25%, 5/31/2016
|
362,000 | 399,362 | ||||||
|
3.25%, 6/30/2016
|
746,000 | 824,531 | ||||||
|
3.25%, 7/31/2016 (a)
|
679,000 | 751,728 | ||||||
|
3.25%, 12/31/2016 (a)
|
708,000 | 789,583 | ||||||
|
3.25%, 3/31/2017
|
1,017,000 | 1,139,050 | ||||||
|
3.38%, 11/15/2019
|
1,190,000 | 1,379,936 | ||||||
|
3.50%, 2/15/2018
|
1,082,000 | 1,241,086 | ||||||
|
3.50%, 5/15/2020
|
1,612,000 | 1,887,636 | ||||||
|
3.63%, 8/15/2019
|
1,196,000 | 1,404,917 | ||||||
|
3.63%, 2/15/2020
|
1,841,000 | 2,169,931 | ||||||
|
3.63%, 2/15/2021
|
1,400,000 | 1,657,502 | ||||||
|
3.75%, 11/15/2018
|
949,000 | 1,113,917 | ||||||
|
3.88%, 5/15/2018
|
463,000 | 542,960 | ||||||
|
4.00%, 2/15/2014
|
1,116,000 | 1,173,809 | ||||||
|
4.00%, 2/15/2015
|
1,051,000 | 1,143,446 | ||||||
|
4.00%, 8/15/2018
|
347,000 | 411,369 | ||||||
|
4.13%, 5/15/2015
|
714,000 | 785,329 | ||||||
|
4.25%, 11/15/2013
|
896,000 | 936,634 | ||||||
|
4.25%, 8/15/2014
|
704,000 | 756,582 | ||||||
|
4.25%, 11/15/2014
|
560,000 | 607,202 | ||||||
|
4.25%, 8/15/2015
|
1,019,000 | 1,133,627 | ||||||
|
4.25%, 11/15/2017
|
846,000 | 998,948 | ||||||
|
4.50%, 11/15/2015
|
771,000 | 870,436 | ||||||
|
4.50%, 2/15/2016
|
676,000 | 769,653 | ||||||
|
4.50%, 5/15/2017
|
500,000 | 589,755 | ||||||
|
4.63%, 11/15/2016
|
775,000 | 905,626 | ||||||
|
4.63%, 2/15/2017 (a)
|
418,000 | 491,911 | ||||||
|
4.75%, 5/15/2014
|
967,000 | 1,037,678 | ||||||
|
4.75%, 8/15/2017 (a)
|
771,000 | 924,575 | ||||||
|
4.88%, 8/15/2016
|
853,000 | 997,686 | ||||||
|
5.13%, 5/15/2016
|
451,000 | 527,242 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $162,941,888)
|
170,866,020 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 4.0%
|
||||||||
|
MONEY MARKET FUNDS — 4.0%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (b)(c) |
6,318,480 | 6,318,480 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d) |
474,266 | 474,266 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (e)
|
||||||||
|
(Cost $6,792,746)
|
6,792,746 | |||||||
|
TOTAL INVESTMENTS — 103.3% (f)
|
||||||||
|
(Cost $169,734,634)
|
177,658,766 | |||||||
|
OTHER ASSETS &
LIABILITIES — (3.3)% |
(5,637,323 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 172,021,443 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Investments of cash collateral for securities loaned. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedule of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. TREASURY OBLIGATIONS — 99.2%
|
||||||||
|
Treasury Bonds
|
||||||||
|
2.75%, 8/15/2042
|
$ | 1,875,000 | $ | 1,844,831 | ||||
|
3.00%, 5/15/2042 (a)
|
2,548,000 | 2,643,652 | ||||||
|
3.13%, 11/15/2041
|
2,357,000 | 2,512,326 | ||||||
|
3.13%, 2/15/2042
|
2,425,000 | 2,580,928 | ||||||
|
3.50%, 2/15/2039
|
1,313,000 | 1,508,256 | ||||||
|
3.75%, 8/15/2041
|
1,908,000 | 2,282,750 | ||||||
|
3.88%, 8/15/2040
|
1,643,000 | 2,008,502 | ||||||
|
4.25%, 5/15/2039
|
1,342,000 | 1,740,037 | ||||||
|
4.25%, 11/15/2040
|
1,940,000 | 2,520,409 | ||||||
|
4.38%, 2/15/2038
|
767,000 | 1,010,162 | ||||||
|
4.38%, 11/15/2039
|
1,968,000 | 2,602,837 | ||||||
|
4.38%, 5/15/2040
|
1,770,000 | 2,343,038 | ||||||
|
4.38%, 5/15/2041
|
1,504,000 | 1,993,973 | ||||||
|
4.50%, 2/15/2036
|
1,101,000 | 1,469,218 | ||||||
|
4.50%, 5/15/2038
|
1,050,000 | 1,409,541 | ||||||
|
4.50%, 8/15/2039
|
1,000,000 | 1,346,840 | ||||||
|
4.63%, 2/15/2040
|
1,475,000 | 2,026,045 | ||||||
|
4.75%, 2/15/2037
|
450,000 | 622,863 | ||||||
|
4.75%, 2/15/2041
|
1,444,000 | 2,024,979 | ||||||
|
5.00%, 5/15/2037
|
474,000 | 679,043 | ||||||
|
5.25%, 11/15/2028
|
495,000 | 692,842 | ||||||
|
5.25%, 2/15/2029
|
496,000 | 695,749 | ||||||
|
5.38%, 2/15/2031
|
776,000 | 1,122,624 | ||||||
|
5.50%, 8/15/2028
|
421,000 | 602,784 | ||||||
|
6.00%, 2/15/2026
|
510,000 | 746,472 | ||||||
|
6.13%, 11/15/2027
|
855,000 | 1,287,014 | ||||||
|
6.13%, 8/15/2029
|
351,000 | 538,883 | ||||||
|
6.25%, 8/15/2023
|
927,000 | 1,345,318 | ||||||
|
6.25%, 5/15/2030
|
598,000 | 937,186 | ||||||
|
6.38%, 8/15/2027
|
316,000 | 484,855 | ||||||
|
6.50%, 11/15/2026
|
330,000 | 507,523 | ||||||
|
6.63%, 2/15/2027
|
317,000 | 493,766 | ||||||
|
6.75%, 8/15/2026
|
258,000 | 403,713 | ||||||
|
6.88%, 8/15/2025
|
383,000 | 597,105 | ||||||
|
7.13%, 2/15/2023
|
465,000 | 709,818 | ||||||
|
7.50%, 11/15/2024
|
367,000 | 591,780 | ||||||
|
7.63%, 11/15/2022 (a)
|
236,000 | 370,149 | ||||||
|
7.63%, 2/15/2025
|
300,000 | 489,915 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $49,542,299)
|
49,787,726 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 1.1%
|
||||||||
|
MONEY MARKET FUNDS — 1.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (b)(c) |
532,873 | 532,873 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d) |
26,683 | 26,683 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (e)
|
||||||||
|
(Cost $559,556)
|
559,556 | |||||||
|
TOTAL INVESTMENTS — 100.3% (f)
|
||||||||
|
(Cost $50,101,855)
|
50,347,282 | |||||||
|
OTHER ASSETS &
LIABILITIES — (0.3)% |
(132,805 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 50,214,477 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Investments of cash collateral for securities loaned. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 99.3%
|
||||||||
|
AEROSPACE & DEFENSE — 1.3%
|
||||||||
|
General Dynamics Corp.:
|
||||||||
|
1.38%, 1/15/2015
|
$ | 2,013,000 | $ | 2,045,638 | ||||
|
5.25%, 2/1/2014
|
1,450,000 | 1,541,203 | ||||||
|
Honeywell International, Inc.
3.88%, 2/15/2014 |
1,600,000 | 1,674,650 | ||||||
|
Northrop Grumman Corp.
3.70%, 8/1/2014 |
350,000 | 367,842 | ||||||
|
Raytheon Co.
1.40%, 12/15/2014 |
1,250,000 | 1,272,152 | ||||||
|
Textron, Inc.
6.20%, 3/15/2015 |
1,000,000 | 1,104,458 | ||||||
|
The Boeing Co.:
|
||||||||
|
3.50%, 2/15/2015
|
1,000,000 | 1,068,694 | ||||||
|
5.00%, 3/15/2014
|
2,250,000 | 2,398,696 | ||||||
|
United Technologies Corp.:
|
||||||||
|
1.20%, 6/1/2015
|
2,000,000 | 2,033,836 | ||||||
|
4.88%, 5/1/2015
|
2,500,000 | 2,776,285 | ||||||
| 16,283,454 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.3%
|
||||||||
|
FedEx Corp.
7.38%, 1/15/2014 |
250,000 | 271,235 | ||||||
|
GATX Corp.
8.75%, 5/15/2014 |
1,250,000 | 1,393,807 | ||||||
|
United Parcel Service, Inc.
3.88%, 4/1/2014 |
1,825,000 | 1,920,031 | ||||||
| 3,585,073 | ||||||||
|
AIRLINES — 0.0% (a)
|
||||||||
|
Southwest Airlines Co.
5.25%, 10/1/2014 |
122,000 | 130,506 | ||||||
|
AUTO COMPONENTS — 0.1%
|
||||||||
|
Johnson Controls, Inc.
1.75%, 3/1/2014 |
775,000 | 783,812 | ||||||
|
AUTOMOBILES — 0.6%
|
||||||||
|
Daimler Finance North America LLC
6.50%, 11/15/2013 |
4,100,000 | 4,365,794 | ||||||
|
Harley-Davidson, Inc.
15.00%, 2/1/2014 |
50,000 | 57,575 | ||||||
|
PACCAR Financial Corp.:
|
||||||||
|
0.75%, 8/14/2015
|
500,000 | 502,417 | ||||||
|
1.05%, 6/5/2015
|
1,000,000 | 1,003,168 | ||||||
|
1.55%, 9/29/2014
|
1,500,000 | 1,526,408 | ||||||
|
PACCAR, Inc.
6.88%, 2/15/2014 |
250,000 | 270,827 | ||||||
| 7,726,189 | ||||||||
|
BEVERAGES — 3.5%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
0.80%, 7/15/2015
|
3,500,000 | 3,508,691 | ||||||
|
1.50%, 7/14/2014
|
2,600,000 | 2,641,970 | ||||||
|
3.63%, 4/15/2015
|
1,000,000 | 1,071,908 | ||||||
|
4.13%, 1/15/2015
|
2,000,000 | 2,157,161 | ||||||
|
5.38%, 11/15/2014
|
3,875,000 | 4,256,784 | ||||||
|
Bottling Group LLC
6.95%, 3/15/2014 |
1,625,000 | 1,773,313 | ||||||
|
Coca-Cola
Enterprises, Inc.:
|
||||||||
|
1.13%, 11/12/2013
|
1,525,000 | 1,533,194 | ||||||
|
2.13%, 9/15/2015
|
425,000 | 435,633 | ||||||
|
Coca-Cola
HBC Finance BV
5.50%, 9/17/2015 |
2,935,000 | 3,153,469 | ||||||
|
Coca-Cola
Refreshments USA, Inc.:
|
||||||||
|
4.25%, 3/1/2015
|
350,000 | 380,075 | ||||||
|
7.38%, 3/3/2014
|
1,250,000 | 1,370,875 | ||||||
|
Diageo Capital PLC
7.38%, 1/15/2014 |
2,169,000 | 2,356,181 | ||||||
|
Diageo Finance BV
3.25%, 1/15/2015 |
500,000 | 528,547 | ||||||
|
PepsiAmericas, Inc.
4.38%, 2/15/2014 |
600,000 | 630,988 | ||||||
|
PepsiCo, Inc.:
|
||||||||
|
0.70%, 8/13/2015
|
2,100,000 | 2,103,579 | ||||||
|
0.75%, 3/5/2015
|
2,500,000 | 2,508,428 | ||||||
|
0.80%, 8/25/2014
|
1,500,000 | 1,504,524 | ||||||
|
0.88%, 10/25/2013
|
1,500,000 | 1,507,736 | ||||||
|
3.10%, 1/15/2015
|
2,625,000 | 2,767,179 | ||||||
|
3.75%, 3/1/2014
|
1,825,000 | 1,907,558 | ||||||
|
The
Coca-Cola
Co.:
|
||||||||
|
0.75%, 11/15/2013
|
2,450,000 | 2,460,691 | ||||||
|
0.75%, 3/13/2015
|
1,500,000 | 1,508,759 | ||||||
|
3.63%, 3/15/2014
|
2,875,000 | 3,005,561 | ||||||
| 45,072,804 | ||||||||
|
BIOTECHNOLOGY — 0.9%
|
||||||||
|
Amgen, Inc.:
|
||||||||
|
1.88%, 11/15/2014
|
1,188,000 | 1,215,071 | ||||||
|
4.85%, 11/18/2014
|
3,500,000 | 3,795,716 | ||||||
|
Genentech, Inc.
4.75%, 7/15/2015 |
2,500,000 | 2,771,065 | ||||||
|
Genzyme Corp.
3.63%, 6/15/2015 |
500,000 | 537,589 | ||||||
|
Gilead Sciences, Inc.
2.40%, 12/1/2014 |
1,500,000 | 1,550,129 | ||||||
|
Life Technologies Corp.
4.40%, 3/1/2015 |
1,000,000 | 1,060,962 | ||||||
| 10,930,532 | ||||||||
|
BUILDING PRODUCTS — 0.1%
|
||||||||
|
CRH America, Inc.
5.30%, 10/15/2013 |
1,203,000 | 1,253,893 | ||||||
|
CAPITAL MARKETS — 7.4%
|
||||||||
|
BlackRock, Inc.:
|
||||||||
|
1.38%, 6/1/2015
|
2,000,000 | 2,045,766 | ||||||
|
3.50%, 12/10/2014
|
1,800,000 | 1,917,957 | ||||||
|
Deutsche Bank Financial LLC
5.38%, 3/2/2015 |
2,000,000 | 2,131,236 | ||||||
|
Jefferies Group, Inc.
5.88%, 6/8/2014 |
500,000 | 523,750 | ||||||
|
Morgan Stanley:
|
||||||||
|
2.88%, 1/24/2014
|
2,250,000 | 2,280,059 | ||||||
|
2.88%, 7/28/2014
|
135,000 | 137,251 | ||||||
|
4.10%, 1/26/2015
|
6,500,000 | 6,731,292 | ||||||
|
4.20%, 11/20/2014
|
2,500,000 | 2,596,279 | ||||||
|
4.75%, 4/1/2014
|
7,125,000 | 7,382,007 | ||||||
|
6.00%, 5/13/2014
|
3,600,000 | 3,819,556 | ||||||
|
6.00%, 4/28/2015
|
8,000,000 | 8,660,596 | ||||||
|
6.75%, 10/15/2013
|
625,000 | 657,426 | ||||||
|
Northern Trust Corp.
4.63%, 5/1/2014 |
500,000 | 532,156 | ||||||
|
TD Ameritrade Holding Corp.
4.15%, 12/1/2014 |
1,070,000 | 1,137,533 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
The Bank of New York Mellon Corp.:
|
||||||||
|
1.20%, 2/20/2015
|
$ | 3,270,000 | $ | 3,321,598 | ||||
|
1.50%, 1/31/2014
|
500,000 | 506,903 | ||||||
|
4.30%, 5/15/2014
|
4,800,000 | 5,107,228 | ||||||
|
4.95%, 3/15/2015
|
500,000 | 552,809 | ||||||
|
The Bear Stearns Cos. LLC
5.70%, 11/15/2014 |
5,500,000 | 6,030,409 | ||||||
|
The Charles Schwab Corp.
4.95%, 6/1/2014 |
1,700,000 | 1,821,260 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
3.30%, 5/3/2015
|
10,000,000 | 10,400,914 | ||||||
|
3.70%, 8/1/2015
|
2,000,000 | 2,109,595 | ||||||
|
5.00%, 10/1/2014
|
3,000,000 | 3,209,811 | ||||||
|
5.13%, 1/15/2015
|
5,750,000 | 6,182,070 | ||||||
|
5.15%, 1/15/2014
|
1,500,000 | 1,575,725 | ||||||
|
5.25%, 10/15/2013
|
4,350,000 | 4,541,040 | ||||||
|
5.50%, 11/15/2014
|
2,550,000 | 2,759,995 | ||||||
|
6.00%, 5/1/2014
|
5,438,000 | 5,829,173 | ||||||
| 94,501,394 | ||||||||
|
CHEMICALS — 1.9%
|
||||||||
|
Airgas, Inc.:
|
||||||||
|
2.85%, 10/1/2013
|
250,000 | 255,372 | ||||||
|
4.50%, 9/15/2014
|
1,124,000 | 1,194,573 | ||||||
|
E.I. du Pont de Nemours & Co.:
|
||||||||
|
1.75%, 3/25/2014
|
2,600,000 | 2,650,303 | ||||||
|
3.25%, 1/15/2015
|
2,250,000 | 2,382,159 | ||||||
|
Ecolab, Inc.:
|
||||||||
|
1.00%, 8/9/2015
|
1,793,000 | 1,800,069 | ||||||
|
2.38%, 12/8/2014
|
1,500,000 | 1,548,110 | ||||||
|
ICI Wilmington, Inc.
5.63%, 12/1/2013 |
1,000,000 | 1,053,015 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
5.25%, 5/15/2014 |
1,250,000 | 1,340,096 | ||||||
|
Praxair, Inc.
4.63%, 3/30/2015 |
2,100,000 | 2,308,649 | ||||||
|
The Dow Chemical Co.:
|
||||||||
|
5.90%, 2/15/2015
|
5,000,000 | 5,571,636 | ||||||
|
7.60%, 5/15/2014
|
2,100,000 | 2,319,194 | ||||||
|
The
Sherwin-Williams Co.
3.13%, 12/15/2014 |
1,250,000 | 1,306,671 | ||||||
| 23,729,847 | ||||||||
|
COMMERCIAL BANKS — 13.7%
|
||||||||
|
Abbey National Treasury Services PLC/London
2.88%, 4/25/2014 |
1,375,000 | 1,393,668 | ||||||
|
Banco Bradesco SA/Cayman Islands
8.75%, 4/24/2015 |
500,000 | 532,270 | ||||||
|
Bank of Montreal
1.75%, 4/29/2014 |
1,750,000 | 1,784,612 | ||||||
|
Bank of Nova Scotia:
|
||||||||
|
1.85%, 1/12/2015
|
2,000,000 | 2,049,193 | ||||||
|
2.38%, 12/17/2013
|
3,500,000 | 3,579,558 | ||||||
|
3.40%, 1/22/2015
|
3,875,000 | 4,104,040 | ||||||
|
Bank One Corp.
4.90%, 4/30/2015 |
2,000,000 | 2,176,260 | ||||||
|
Barclays Bank PLC:
|
||||||||
|
2.38%, 1/13/2014
|
1,000,000 | 1,008,012 | ||||||
|
2.75%, 2/23/2015
|
5,300,000 | 5,460,279 | ||||||
|
3.90%, 4/7/2015
|
500,000 | 530,039 | ||||||
|
5.20%, 7/10/2014
|
5,000,000 | 5,337,312 | ||||||
|
BB&T Corp.:
|
||||||||
|
2.05%, 4/28/2014
|
1,150,000 | 1,174,899 | ||||||
|
5.70%, 4/30/2014
|
1,250,000 | 1,351,370 | ||||||
|
BBVA US Senior SAU
3.25%, 5/16/2014 |
2,050,000 | 2,042,239 | ||||||
|
BNP Paribas
3.25%, 3/11/2015 |
6,000,000 | 6,205,664 | ||||||
|
Comerica, Inc.
3.00%, 9/16/2015 |
690,000 | 725,786 | ||||||
|
Commonwealth Bank of Australia/New York, NY:
|
||||||||
|
1.25%, 9/18/2015
|
2,000,000 | 2,009,897 | ||||||
|
1.95%, 3/16/2015
|
3,750,000 | 3,826,187 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Netherlands
1.85%, 1/10/2014 |
2,625,000 | 2,663,578 | ||||||
|
Credit Suisse of New York, NY:
|
||||||||
|
2.20%, 1/14/2014
|
3,050,000 | 3,089,178 | ||||||
|
3.50%, 3/23/2015
|
4,000,000 | 4,207,873 | ||||||
|
5.50%, 5/1/2014
|
4,790,000 | 5,124,576 | ||||||
|
Deutsche Bank AG London:
|
||||||||
|
3.45%, 3/30/2015
|
2,100,000 | 2,210,062 | ||||||
|
3.88%, 8/18/2014
|
2,150,000 | 2,263,201 | ||||||
|
Fifth Third Bank
4.75%, 2/1/2015 |
1,000,000 | 1,073,993 | ||||||
|
HSBC Bank USA NA
4.63%, 4/1/2014 |
3,000,000 | 3,134,433 | ||||||
|
HSBC Finance Corp.
5.25%, 1/15/2014 |
1,000,000 | 1,053,082 | ||||||
|
HSBC USA, Inc.
2.38%, 2/13/2015 |
7,675,000 | 7,892,046 | ||||||
|
JPMorgan Chase & Co.
5.38%, 1/15/2014 |
500,000 | 529,801 | ||||||
|
Key Bank NA
5.80%, 7/1/2014 |
1,050,000 | 1,127,859 | ||||||
|
KeyCorp
3.75%, 8/13/2015 |
1,760,000 | 1,895,913 | ||||||
|
National Australia Bank/New York:
|
||||||||
|
1.60%, 8/7/2015
|
3,500,000 | 3,533,206 | ||||||
|
2.00%, 3/9/2015
|
2,500,000 | 2,550,356 | ||||||
|
National Bank of Canada
1.50%, 6/26/2015 |
2,500,000 | 2,543,175 | ||||||
|
PNC Funding Corp.:
|
||||||||
|
3.00%, 5/19/2014
|
200,000 | 208,156 | ||||||
|
3.63%, 2/8/2015
|
3,500,000 | 3,741,868 | ||||||
|
4.25%, 9/21/2015
|
1,500,000 | 1,651,236 | ||||||
|
5.40%, 6/10/2014
|
750,000 | 807,977 | ||||||
|
Regions Financial Corp.
5.75%, 6/15/2015 |
1,500,000 | 1,605,000 | ||||||
|
Royal Bank of Canada:
|
||||||||
|
1.13%, 1/15/2014
|
1,000,000 | 1,006,858 | ||||||
|
1.15%, 3/13/2015
|
2,250,000 | 2,274,008 | ||||||
|
1.45%, 10/30/2014
|
4,475,000 | 4,549,791 | ||||||
|
SouthTrust Corp.
5.80%, 6/15/2014 |
1,750,000 | 1,882,679 | ||||||
|
Sumitomo Mitsui Banking Corp.
1.35%, 7/18/2015 |
2,000,000 | 2,015,943 | ||||||
|
The Bank Of New York Mellon Corp.
2.95%, 6/18/2015 |
500,000 | 531,443 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
The Royal Bank of Scotland PLC
3.25%, 1/11/2014 |
$ | 750,000 | $ | 771,947 | ||||
|
The
Toronto-Dominion
Bank
1.38%, 7/14/2014 |
1,650,000 | 1,674,454 | ||||||
|
Union Bank NA
2.13%, 12/16/2013 |
500,000 | 508,921 | ||||||
|
UnionBanCal Corp.
5.25%, 12/16/2013 |
1,500,000 | 1,575,609 | ||||||
|
US Bancorp:
|
||||||||
|
1.13%, 10/30/2013
|
3,400,000 | 3,425,077 | ||||||
|
2.88%, 11/20/2014
|
2,000,000 | 2,101,232 | ||||||
|
4.20%, 5/15/2014
|
3,725,000 | 3,941,765 | ||||||
|
US Bank NA:
|
||||||||
|
4.95%, 10/30/2014
|
1,450,000 | 1,569,510 | ||||||
|
6.30%, 2/4/2014
|
1,500,000 | 1,606,919 | ||||||
|
US Bank NA/Cincinnati OH
3.78%, 4/29/2020 |
3,000,000 | 3,190,993 | ||||||
|
Wachovia Bank
4.80%, 11/1/2014 |
337,000 | 361,957 | ||||||
|
Wachovia Corp.:
|
||||||||
|
4.88%, 2/15/2014
|
500,000 | 524,997 | ||||||
|
5.25%, 8/1/2014
|
5,150,000 | 5,527,981 | ||||||
|
Wells Fargo & Co.:
|
||||||||
|
1.25%, 2/13/2015
|
7,250,000 | 7,307,589 | ||||||
|
1.50%, 7/1/2015
|
5,000,000 | 5,079,935 | ||||||
|
3.63%, 4/15/2015
|
2,000,000 | 2,135,977 | ||||||
|
3.75%, 10/1/2014
|
6,450,000 | 6,821,484 | ||||||
|
4.95%, 10/16/2013
|
3,250,000 | 3,389,969 | ||||||
|
Westpac Banking Corp.:
|
||||||||
|
1.13%, 9/25/2015
|
700,000 | 699,900 | ||||||
|
1.85%, 12/9/2013
|
600,000 | 608,583 | ||||||
|
3.00%, 8/4/2015
|
5,536,000 | 5,827,860 | ||||||
|
4.20%, 2/27/2015
|
4,725,000 | 5,076,446 | ||||||
|
Zions Bancorporation
7.75%, 9/23/2014 |
1,000,000 | 1,090,000 | ||||||
| 175,277,681 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.3%
|
||||||||
|
Cornell University
4.35%, 2/1/2014 |
10,000 | 10,499 | ||||||
|
Pitney Bowes, Inc.:
|
||||||||
|
4.88%, 8/15/2014
|
800,000 | 833,175 | ||||||
|
5.00%, 3/15/2015
|
750,000 | 791,444 | ||||||
|
The Board Of Trustees Of The Leland Stanford Junior
University
3.63%, 5/1/2014 |
680,000 | 713,580 | ||||||
|
Waste Management, Inc.
5.00%, 3/15/2014 |
1,350,000 | 1,428,033 | ||||||
| 3,776,731 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.4%
|
||||||||
|
Cisco Systems, Inc.:
|
||||||||
|
1.63%, 3/14/2014
|
4,188,000 | 4,265,922 | ||||||
|
2.90%, 11/17/2014
|
1,400,000 | 1,472,855 | ||||||
| 5,738,777 | ||||||||
|
COMPUTERS & PERIPHERALS — 2.3%
|
||||||||
|
Computer Sciences Corp.
2.50%, 9/15/2015 |
446,000 | 454,172 | ||||||
|
Dell, Inc.:
|
||||||||
|
2.10%, 4/1/2014
|
1,000,000 | 1,021,005 | ||||||
|
2.30%, 9/10/2015
|
2,119,000 | 2,188,665 | ||||||
|
5.63%, 4/15/2014
|
1,500,000 | 1,610,709 | ||||||
|
Hewlett-Packard
Co.:
|
||||||||
|
1.55%, 5/30/2014
|
2,250,000 | 2,258,477 | ||||||
|
2.35%, 3/15/2015
|
5,100,000 | 5,180,626 | ||||||
|
2.63%, 12/9/2014
|
1,000,000 | 1,024,561 | ||||||
|
4.75%, 6/2/2014
|
500,000 | 527,194 | ||||||
|
6.13%, 3/1/2014
|
4,750,000 | 5,067,834 | ||||||
|
International Business Machines Corp.:
|
||||||||
|
0.75%, 5/11/2015
|
500,000 | 501,812 | ||||||
|
0.88%, 10/31/2014
|
5,500,000 | 5,560,952 | ||||||
|
1.25%, 5/12/2014
|
873,000 | 884,359 | ||||||
|
6.50%, 10/15/2013
|
2,525,000 | 2,684,244 | ||||||
| 28,964,610 | ||||||||
|
CONSUMER FINANCE — 1.0%
|
||||||||
|
Caterpillar Financial Services Corp.:
|
||||||||
|
1.05%, 3/26/2015
|
1,000,000 | 1,009,604 | ||||||
|
1.10%, 5/29/2015
|
500,000 | 505,132 | ||||||
|
1.38%, 5/20/2014
|
3,313,000 | 3,360,717 | ||||||
|
1.55%, 12/20/2013
|
2,750,000 | 2,787,753 | ||||||
|
1.65%, 4/1/2014
|
200,000 | 203,312 | ||||||
|
4.60%, 1/15/2014
|
500,000 | 526,568 | ||||||
|
6.13%, 2/17/2014
|
4,538,000 | 4,885,397 | ||||||
| 13,278,483 | ||||||||
|
CONTAINERS & PACKAGING — 0.1%
|
||||||||
|
Bemis Co., Inc.
5.65%, 8/1/2014 |
1,000,000 | 1,080,626 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.1%
|
||||||||
|
Yale University
2.90%, 10/15/2014 |
1,750,000 | 1,835,456 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 20.6%
|
||||||||
|
American Express Co.
7.25%, 5/20/2014 |
3,943,000 | 4,359,623 | ||||||
|
American Express Credit Corp.:
|
||||||||
|
1.75%, 6/12/2015
|
2,519,000 | 2,582,046 | ||||||
|
2.75%, 9/15/2015
|
3,000,000 | 3,165,123 | ||||||
|
5.13%, 8/25/2014
|
4,350,000 | 4,717,829 | ||||||
|
Bank of America Corp.:
|
||||||||
|
4.50%, 4/1/2015
|
16,500,000 | 17,684,938 | ||||||
|
4.75%, 8/1/2015
|
500,000 | 543,305 | ||||||
|
5.38%, 6/15/2014
|
600,000 | 640,149 | ||||||
|
7.38%, 5/15/2014
|
7,125,000 | 7,800,464 | ||||||
|
Boeing Capital Corp.
3.25%, 10/27/2014 |
1,000,000 | 1,056,833 | ||||||
|
BP Capital Markets PLC:
|
||||||||
|
3.63%, 5/8/2014
|
1,250,000 | 1,310,425 | ||||||
|
3.88%, 3/10/2015
|
5,500,000 | 5,902,584 | ||||||
|
5.25%, 11/7/2013
|
5,513,000 | 5,800,506 | ||||||
|
Capital One Financial Corp.:
|
||||||||
|
2.13%, 7/15/2014
|
350,000 | 357,024 | ||||||
|
2.15%, 3/23/2015
|
4,100,000 | 4,209,015 | ||||||
|
6.25%, 11/15/2013
|
250,000 | 264,927 | ||||||
|
7.38%, 5/23/2014
|
3,200,000 | 3,529,616 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
2.25%, 8/7/2015
|
3,125,000 | 3,167,362 | ||||||
|
2.65%, 3/2/2015
|
2,500,000 | 2,556,651 | ||||||
|
4.70%, 5/29/2015
|
500,000 | 536,692 | ||||||
|
4.75%, 5/19/2015
|
5,750,000 | 6,190,418 | ||||||
|
4.88%, 5/7/2015
|
1,250,000 | 1,330,435 | ||||||
|
5.00%, 9/15/2014
|
7,700,000 | 8,111,905 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
5.13%, 5/5/2014
|
$ | 784,000 | $ | 826,814 | ||||
|
5.50%, 10/15/2014
|
3,250,000 | 3,503,921 | ||||||
|
6.00%, 12/13/2013
|
5,125,000 | 5,424,094 | ||||||
|
6.01%, 1/15/2015
|
5,250,000 | 5,760,788 | ||||||
|
6.38%, 8/12/2014
|
5,975,000 | 6,503,659 | ||||||
|
CME Group, Inc.
5.75%, 2/15/2014 |
3,000,000 | 3,213,377 | ||||||
|
Credit Suisse USA, Inc.:
|
||||||||
|
4.88%, 1/15/2015
|
3,500,000 | 3,780,397 | ||||||
|
5.13%, 1/15/2014
|
2,250,000 | 2,362,870 | ||||||
|
5.13%, 8/15/2015
|
3,000,000 | 3,321,551 | ||||||
|
Ford Motor Credit Co. LLC:
|
||||||||
|
2.75%, 5/15/2015
|
3,000,000 | 3,063,750 | ||||||
|
3.88%, 1/15/2015
|
7,500,000 | 7,818,750 | ||||||
|
5.63%, 9/15/2015
|
1,500,000 | 1,635,000 | ||||||
|
7.00%, 4/15/2015
|
5,500,000 | 6,173,750 | ||||||
|
8.00%, 6/1/2014
|
6,500,000 | 7,215,000 | ||||||
|
Franklin Resources, Inc.
3.13%, 5/20/2015 |
500,000 | 532,834 | ||||||
|
General Electric Capital Corp.:
|
||||||||
|
1.63%, 7/2/2015
|
5,000,000 | 5,090,112 | ||||||
|
2.10%, 1/7/2014
|
3,875,000 | 3,946,243 | ||||||
|
2.15%, 1/9/2015
|
6,750,000 | 6,945,500 | ||||||
|
2.38%, 6/30/2015
|
500,000 | 515,005 | ||||||
|
3.50%, 6/29/2015
|
750,000 | 801,472 | ||||||
|
3.75%, 11/14/2014
|
4,500,000 | 4,764,703 | ||||||
|
4.38%, 9/21/2015
|
1,102,000 | 1,210,311 | ||||||
|
4.75%, 9/15/2014
|
2,000,000 | 2,145,279 | ||||||
|
4.88%, 3/4/2015
|
1,500,000 | 1,642,322 | ||||||
|
5.50%, 6/4/2014
|
3,125,000 | 3,355,787 | ||||||
|
5.65%, 6/9/2014
|
1,125,000 | 1,213,560 | ||||||
|
5.90%, 5/13/2014
|
3,625,000 | 3,925,010 | ||||||
|
HSBC Finance Corp.:
|
||||||||
|
5.00%, 6/30/2015
|
673,000 | 724,630 | ||||||
|
5.25%, 4/15/2015
|
1,000,000 | 1,084,981 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
1.88%, 3/20/2015
|
7,500,000 | 7,648,613 | ||||||
|
2.05%, 1/24/2014
|
2,000,000 | 2,035,508 | ||||||
|
3.40%, 6/24/2015
|
2,500,000 | 2,646,597 | ||||||
|
3.70%, 1/20/2015
|
5,700,000 | 6,041,386 | ||||||
|
4.65%, 6/1/2014
|
2,500,000 | 2,652,993 | ||||||
|
4.88%, 3/15/2014
|
600,000 | 630,468 | ||||||
|
5.13%, 9/15/2014
|
5,188,000 | 5,560,517 | ||||||
|
5.25%, 5/1/2015
|
1,250,000 | 1,371,338 | ||||||
|
Lazard Group LLC
7.13%, 5/15/2015 |
285,000 | 312,080 | ||||||
|
Mellon Funding Corp.:
|
||||||||
|
5.00%, 12/1/2014
|
625,000 | 677,178 | ||||||
|
5.20%, 5/15/2014
|
549,000 | 592,125 | ||||||
|
Merrill Lynch & Co., Inc.:
|
||||||||
|
5.00%, 2/3/2014
|
1,050,000 | 1,095,082 | ||||||
|
5.00%, 1/15/2015
|
3,000,000 | 3,213,553 | ||||||
|
5.45%, 7/15/2014
|
3,500,000 | 3,737,254 | ||||||
|
National Rural Utilities Cooperative Finance Corp.:
|
||||||||
|
1.00%, 2/2/2015
|
115,000 | 115,638 | ||||||
|
1.13%, 11/1/2013
|
2,500,000 | 2,518,486 | ||||||
|
4.75%, 3/1/2014
|
460,000 | 487,292 | ||||||
|
Nomura Holdings, Inc.
5.00%, 3/4/2015 |
3,000,000 | 3,160,139 | ||||||
|
ORIX Corp.
4.71%, 4/27/2015 |
1,000,000 | 1,057,018 | ||||||
|
Royal Bank of Scotland Group PLC:
|
||||||||
|
2.55%, 9/18/2015
|
3,639,000 | 3,684,768 | ||||||
|
4.88%, 3/16/2015
|
4,500,000 | 4,835,784 | ||||||
|
SLM Corp.:
|
||||||||
|
5.00%, 10/1/2013
|
3,450,000 | 3,569,025 | ||||||
|
5.05%, 11/14/2014
|
1,100,000 | 1,155,000 | ||||||
|
5.38%, 5/15/2014
|
1,600,000 | 1,680,000 | ||||||
|
The Nasdaq OMX Group, Inc.
4.00%, 1/15/2015 |
1,000,000 | 1,048,867 | ||||||
|
The Western Union Co.
6.50%, 2/26/2014 |
850,000 | 911,354 | ||||||
|
Toyota Motor Credit Corp.:
|
||||||||
|
0.88%, 7/17/2015
|
4,500,000 | 4,520,518 | ||||||
|
1.00%, 2/17/2015
|
5,000,000 | 5,040,050 | ||||||
|
1.25%, 11/17/2014
|
1,245,000 | 1,261,023 | ||||||
|
UBS AG of Stamford, CT:
|
||||||||
|
2.25%, 1/28/2014
|
1,200,000 | 1,218,254 | ||||||
|
3.88%, 1/15/2015
|
3,500,000 | 3,693,604 | ||||||
| 262,490,852 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.6%
|
||||||||
|
British Telecommunications PLC
2.00%, 6/22/2015 |
2,000,000 | 2,051,448 | ||||||
|
Qwest Corp.
7.50%, 10/1/2014 |
2,100,000 | 2,341,157 | ||||||
|
Verizon Communications, Inc.
1.95%, 3/28/2014 |
2,850,000 | 2,913,914 | ||||||
| 7,306,519 | ||||||||
|
ELECTRIC UTILITIES — 3.8%
|
||||||||
|
Alabama Power Co.
5.80%, 11/15/2013 |
2,000,000 | 2,118,695 | ||||||
|
Arizona Public Service Co.
5.80%, 6/30/2014 |
800,000 | 863,278 | ||||||
|
Commonwealth Edison Co.
1.63%, 1/15/2014 |
3,750,000 | 3,799,752 | ||||||
|
Consolidated Edison Co. of New York, Inc.
5.55%, 4/1/2014 |
500,000 | 536,591 | ||||||
|
Dominion Resources, Inc.
5.15%, 7/15/2015 |
800,000 | 893,191 | ||||||
|
Duke Energy Carolinas LLC
5.75%, 11/15/2013 |
1,000,000 | 1,059,372 | ||||||
|
Duke Energy Corp.:
|
||||||||
|
3.95%, 9/15/2014
|
2,000,000 | 2,122,396 | ||||||
|
6.30%, 2/1/2014
|
2,000,000 | 2,148,635 | ||||||
|
Enersis SA/Cayman Island
7.38%, 1/15/2014 |
625,000 | 666,969 | ||||||
|
Entergy Louisiana LLC
1.88%, 12/15/2014 |
1,225,000 | 1,253,999 | ||||||
|
Exelon Corp.
4.90%, 6/15/2015 |
2,100,000 | 2,276,336 | ||||||
|
Exelon Generation Co. LLC
5.35%, 1/15/2014 |
500,000 | 528,841 | ||||||
|
FirstEnergy Solutions Corp.
4.80%, 2/15/2015 |
2,100,000 | 2,260,373 | ||||||
|
Georgia Power Co.:
|
||||||||
|
0.75%, 8/10/2015
|
200,000 | 200,509 | ||||||
|
6.00%, 11/1/2013
|
1,250,000 | 1,323,616 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Nevada Power Co.
5.88%, 1/15/2015 |
$ | 1,000,000 | $ | 1,108,584 | ||||
|
NextEra Energy Capital Holdings, Inc.
1.20%, 6/1/2015 |
1,817,000 | 1,833,263 | ||||||
|
Nisource Finance Corp.
5.40%, 7/15/2014 |
1,225,000 | 1,312,596 | ||||||
|
NSTAR Electric Co.
4.88%, 4/15/2014 |
20,000 | 21,168 | ||||||
|
Oncor Electric Delivery Co. LLC
6.38%, 1/15/2015 |
1,250,000 | 1,386,278 | ||||||
|
Pacific Gas & Electric Co.
6.25%, 12/1/2013 |
910,000 | 969,233 | ||||||
|
Peco Energy Co.
5.00%, 10/1/2014 |
50,000 | 54,304 | ||||||
|
PG&E Corp.
5.75%, 4/1/2014 |
2,400,000 | 2,575,286 | ||||||
|
PPL Energy Supply LLC
5.40%, 8/15/2014 |
350,000 | 374,159 | ||||||
|
Progress Energy, Inc.
6.05%, 3/15/2014 |
1,000,000 | 1,076,730 | ||||||
|
PSEG Power LLC
5.00%, 4/1/2014 |
350,000 | 366,822 | ||||||
|
Public Service Co. of Colorado
5.50%, 4/1/2014 |
1,000,000 | 1,073,218 | ||||||
|
Public Service Electric & Gas Co.:
|
||||||||
|
0.85%, 8/15/2014
|
345,000 | 346,989 | ||||||
|
5.00%, 8/15/2014
|
1,000,000 | 1,079,053 | ||||||
|
6.33%, 11/1/2013
|
1,543,000 | 1,639,364 | ||||||
|
Scottish Power, Ltd.
5.38%, 3/15/2015 |
2,509,000 | 2,630,195 | ||||||
|
Southern California Edison Co.:
|
||||||||
|
4.15%, 9/15/2014
|
300,000 | 320,431 | ||||||
|
5.75%, 3/15/2014
|
1,701,000 | 1,829,312 | ||||||
|
Southern California Edison Co., Series 0
5.00%, 1/15/2014 |
1,000,000 | 1,057,868 | ||||||
|
The Cleveland Electric Illuminating Co.
5.65%, 12/15/2013 |
250,000 | 263,457 | ||||||
|
The Dayton Power & Light Co.
5.13%, 10/1/2013 |
950,000 | 990,940 | ||||||
|
The Detroit Edison Co.
6.40%, 10/1/2013 |
250,000 | 264,721 | ||||||
|
The Southern Co.
2.38%, 9/15/2015 |
2,500,000 | 2,571,800 | ||||||
|
Westar Energy, Inc.
6.00%, 7/1/2014 |
200,000 | 216,426 | ||||||
|
Wisconsin Electric Power Co.
6.00%, 4/1/2014 |
500,000 | 537,596 | ||||||
| 47,952,346 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.1%
|
||||||||
|
Emerson Electric Co.
5.63%, 11/15/2013 |
800,000 | 845,913 | ||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.1%
|
||||||||
|
Amphenol Corp.
4.75%, 11/15/2014 |
750,000 | 804,961 | ||||||
|
Avnet, Inc.
5.88%, 3/15/2014 |
350,000 | 368,115 | ||||||
|
Emerson Electric Co.
4.13%, 4/15/2015 |
300,000 | 325,733 | ||||||
| 1,498,809 | ||||||||
|
FOOD & STAPLES RETAILING — 1.6%
|
||||||||
|
CVS Caremark Corp.:
|
||||||||
|
3.25%, 5/18/2015
|
250,000 | 265,508 | ||||||
|
4.88%, 9/15/2014
|
1,625,000 | 1,755,211 | ||||||
|
Safeway, Inc.
6.25%, 3/15/2014 |
1,250,000 | 1,321,373 | ||||||
|
Target Corp.
1.13%, 7/18/2014 |
1,385,000 | 1,401,963 | ||||||
|
The Kroger Co.
7.50%, 1/15/2014 |
2,038,000 | 2,212,981 | ||||||
|
Wal-Mart
Stores, Inc.:
|
||||||||
|
0.75%, 10/25/2013
|
750,000 | 753,431 | ||||||
|
1.63%, 4/15/2014
|
2,510,000 | 2,563,367 | ||||||
|
2.25%, 7/8/2015
|
540,000 | 565,806 | ||||||
|
2.88%, 4/1/2015
|
1,000,000 | 1,061,251 | ||||||
|
3.00%, 2/3/2014
|
938,000 | 972,199 | ||||||
|
3.20%, 5/15/2014
|
5,938,000 | 6,219,423 | ||||||
|
Walgreen Co.
1.00%, 3/13/2015 |
1,209,000 | 1,215,148 | ||||||
| 20,307,661 | ||||||||
|
FOOD PRODUCTS — 1.3%
|
||||||||
|
Bunge Ltd. Finance Corp.
5.35%, 4/15/2014 |
500,000 | 527,287 | ||||||
|
Campbell Soup Co.:
|
||||||||
|
3.38%, 8/15/2014
|
930,000 | 978,150 | ||||||
|
4.88%, 10/1/2013
|
750,000 | 782,536 | ||||||
|
ConAgra Foods, Inc.:
|
||||||||
|
1.35%, 9/10/2015
|
750,000 | 754,111 | ||||||
|
5.88%, 4/15/2014
|
850,000 | 913,935 | ||||||
|
Delhaize Group SA
5.88%, 2/1/2014 |
500,000 | 525,080 | ||||||
|
General Mills, Inc.:
|
||||||||
|
1.55%, 5/16/2014
|
250,000 | 253,671 | ||||||
|
5.20%, 3/17/2015
|
2,000,000 | 2,205,767 | ||||||
|
Kellogg Co.
1.13%, 5/15/2015 |
750,000 | 757,682 | ||||||
|
Kraft Foods Group, Inc.
1.63%, 6/4/2015 (b) |
3,000,000 | 3,046,974 | ||||||
|
Kraft Foods, Inc.:
|
||||||||
|
5.25%, 10/1/2013
|
1,850,000 | 1,934,878 | ||||||
|
6.75%, 2/19/2014
|
1,025,000 | 1,110,360 | ||||||
|
Mead Johnson Nutrition Co.
3.50%, 11/1/2014 |
781,000 | 820,490 | ||||||
|
Unilever Capital Corp.:
|
||||||||
|
0.45%, 7/30/2015
|
250,000 | 249,160 | ||||||
|
3.65%, 2/15/2014
|
2,125,000 | 2,216,416 | ||||||
| 17,076,497 | ||||||||
|
GAS UTILITIES — 0.0% (a)
|
||||||||
|
Atmos Energy Corp.
4.95%, 10/15/2014 |
500,000 | 537,231 | ||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.3%
|
||||||||
|
Baxter International, Inc.
4.00%, 3/1/2014 |
1,875,000 | 1,963,698 | ||||||
|
Boston Scientific Corp.:
|
||||||||
|
4.50%, 1/15/2015
|
2,340,000 | 2,499,521 | ||||||
|
5.45%, 6/15/2014
|
646,000 | 689,474 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CareFusion Corp.
5.13%, 8/1/2014 |
$ | 500,000 | $ | 533,680 | ||||
|
Covidien International Finance SA
1.35%, 5/29/2015 |
2,000,000 | 2,007,309 | ||||||
|
Hospira, Inc.
5.90%, 6/15/2014 |
2,600,000 | 2,801,494 | ||||||
|
Medtronic, Inc.:
|
||||||||
|
3.00%, 3/15/2015
|
2,625,000 | 2,771,077 | ||||||
|
4.50%, 3/15/2014
|
1,050,000 | 1,106,262 | ||||||
|
St Jude Medical, Inc.
3.75%, 7/15/2014 |
950,000 | 997,235 | ||||||
|
Stryker Corp.
3.00%, 1/15/2015 |
750,000 | 789,450 | ||||||
|
Zimmer Holdings, Inc.
1.40%, 11/30/2014 |
450,000 | 453,456 | ||||||
| 16,612,656 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 0.9%
|
||||||||
|
Cardinal Health, Inc.
4.00%, 6/15/2015 |
175,000 | 187,713 | ||||||
|
Coventry Health Care, Inc.
6.30%, 8/15/2014 |
850,000 | 921,895 | ||||||
|
Express Scripts, Inc.
6.25%, 6/15/2014 |
2,600,000 | 2,830,680 | ||||||
|
Howard Hughes Medical Institute
3.45%, 9/1/2014 |
1,490,000 | 1,575,502 | ||||||
|
UnitedHealth Group, Inc.:
|
||||||||
|
4.88%, 3/15/2015
|
275,000 | 301,066 | ||||||
|
5.00%, 8/15/2014
|
2,350,000 | 2,538,068 | ||||||
|
WellPoint, Inc.:
|
||||||||
|
1.25%, 9/10/2015
|
500,000 | 503,180 | ||||||
|
5.00%, 12/15/2014
|
1,900,000 | 2,057,089 | ||||||
|
6.00%, 2/15/2014
|
825,000 | 880,011 | ||||||
| 11,795,204 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 0.1%
|
||||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
7.88%, 10/15/2014 |
1,000,000 | 1,124,510 | ||||||
|
HOUSEHOLD DURABLES — 0.1%
|
||||||||
|
Whirlpool Corp.
8.60%, 5/1/2014 |
607,000 | 670,727 | ||||||
|
HOUSEHOLD PRODUCTS — 0.8%
|
||||||||
|
Colgate-Palmolive
Co.:
|
||||||||
|
0.60%, 11/15/2014
|
500,000 | 501,899 | ||||||
|
1.25%, 5/1/2014
|
1,350,000 | 1,367,234 | ||||||
|
Fortune Brands, Inc.
6.38%, 6/15/2014 |
662,000 | 722,130 | ||||||
|
The Clorox Co.
5.00%, 1/15/2015 |
1,250,000 | 1,358,094 | ||||||
|
The Procter & Gamble Co.:
|
||||||||
|
0.70%, 8/15/2014
|
3,500,000 | 3,518,256 | ||||||
|
3.50%, 2/15/2015
|
1,000,000 | 1,062,343 | ||||||
|
4.95%, 8/15/2014
|
1,350,000 | 1,462,597 | ||||||
| 9,992,553 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.2%
|
||||||||
|
Constellation Energy Group, Inc.
4.55%, 6/15/2015 |
850,000 | 915,886 | ||||||
|
TransAlta Corp.:
|
||||||||
|
4.75%, 1/15/2015
|
1,050,000 | 1,106,767 | ||||||
|
5.75%, 12/15/2013
|
500,000 | 523,188 | ||||||
| 2,545,841 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.1%
|
||||||||
|
Tyco Electronics Group SA
5.95%, 1/15/2014 |
850,000 | 905,552 | ||||||
|
INSURANCE — 3.6%
|
||||||||
|
ACE INA Holdings, Inc.:
|
||||||||
|
2.60%, 11/23/2015
|
605,000 | 632,779 | ||||||
|
5.60%, 5/15/2015
|
100,000 | 111,848 | ||||||
|
5.88%, 6/15/2014
|
715,000 | 775,188 | ||||||
|
Aflac, Inc.
3.45%, 8/15/2015 |
1,000,000 | 1,068,900 | ||||||
|
American International Group, Inc.:
|
||||||||
|
2.38%, 8/24/2015
|
1,000,000 | 1,010,217 | ||||||
|
3.00%, 3/20/2015
|
1,050,000 | 1,087,783 | ||||||
|
3.65%, 1/15/2014
|
1,000,000 | 1,031,359 | ||||||
|
4.25%, 9/15/2014
|
2,900,000 | 3,059,447 | ||||||
|
Assurant, Inc.
5.63%, 2/15/2014 |
150,000 | 156,820 | ||||||
|
Berkshire Hathaway Finance Corp.:
|
||||||||
|
1.50%, 1/10/2014
|
1,750,000 | 1,774,679 | ||||||
|
4.63%, 10/15/2013
|
38,000 | 39,671 | ||||||
|
4.85%, 1/15/2015
|
2,944,000 | 3,223,744 | ||||||
|
5.10%, 7/15/2014
|
1,125,000 | 1,216,197 | ||||||
|
Berkshire Hathaway, Inc.
3.20%, 2/11/2015 |
3,250,000 | 3,445,441 | ||||||
|
CNA Financial Corp.
5.85%, 12/15/2014 |
1,250,000 | 1,360,654 | ||||||
|
Genworth Financial, Inc.
5.75%, 6/15/2014 |
1,600,000 | 1,632,000 | ||||||
|
Jefferson-Pilot Corp.
4.75%, 1/30/2014 |
250,000 | 261,031 | ||||||
|
Lincoln National Corp.
4.30%, 6/15/2015 |
25,000 | 26,704 | ||||||
|
Marsh & McLennan Cos, Inc.
5.38%, 7/15/2014 |
600,000 | 644,858 | ||||||
|
MetLife, Inc.:
|
||||||||
|
2.38%, 2/6/2014
|
3,688,000 | 3,766,163 | ||||||
|
5.00%, 11/24/2013
|
500,000 | 525,170 | ||||||
|
5.00%, 6/15/2015
|
2,150,000 | 2,378,361 | ||||||
|
5.50%, 6/15/2014
|
750,000 | 808,385 | ||||||
|
Principal Financial Group, Inc.
7.88%, 5/15/2014 |
850,000 | 943,933 | ||||||
|
Principal Life Income Funding Trusts
5.10%, 4/15/2014 |
1,500,000 | 1,598,688 | ||||||
|
Prudential Financial, Inc.:
|
||||||||
|
3.88%, 1/14/2015
|
2,500,000 | 2,652,668 | ||||||
|
4.75%, 4/1/2014
|
1,670,000 | 1,761,978 | ||||||
|
4.75%, 9/17/2015
|
2,000,000 | 2,199,182 | ||||||
|
5.10%, 9/20/2014
|
1,550,000 | 1,674,890 | ||||||
|
The Allstate Corp.:
|
||||||||
|
5.00%, 8/15/2014
|
2,490,000 | 2,684,416 | ||||||
|
6.20%, 5/16/2014
|
700,000 | 761,615 | ||||||
|
XL Group PLC
5.25%, 9/15/2014 |
1,350,000 | 1,442,054 | ||||||
| 45,756,823 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 0.3%
|
||||||||
|
eBay, Inc.:
|
||||||||
|
0.70%, 7/15/2015
|
1,288,000 | 1,292,987 | ||||||
|
0.88%, 10/15/2013
|
850,000 | 855,154 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Google, Inc.
1.25%, 5/19/2014 |
$ | 1,925,000 | $ | 1,955,090 | ||||
| 4,103,231 | ||||||||
|
IT SERVICES — 0.3%
|
||||||||
|
International Business Machines Corp.
0.55%, 2/6/2015 |
3,250,000 | 3,256,829 | ||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.1%
|
||||||||
|
Hasbro, Inc.
6.13%, 5/15/2014 |
850,000 | 914,751 | ||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.3%
|
||||||||
|
Thermo Fisher Scientific, Inc.:
|
||||||||
|
2.05%, 2/21/2014
|
620,000 | 630,768 | ||||||
|
3.20%, 5/1/2015
|
2,000,000 | 2,111,405 | ||||||
|
3.25%, 11/20/2014
|
500,000 | 524,910 | ||||||
| 3,267,083 | ||||||||
|
MACHINERY — 1.2%
|
||||||||
|
Caterpillar, Inc.:
|
||||||||
|
0.95%, 6/26/2015
|
3,000,000 | 3,023,557 | ||||||
|
1.38%, 5/27/2014
|
960,000 | 973,193 | ||||||
|
Danaher Corp.
1.30%, 6/23/2014 |
705,000 | 714,201 | ||||||
|
Deere & Co.
6.95%, 4/25/2014 |
160,000 | 175,845 | ||||||
|
Eaton Corp.
5.95%, 3/20/2014 |
350,000 | 374,728 | ||||||
|
Illinois Tool Works, Inc.
5.15%, 4/1/2014 |
1,500,000 | 1,601,998 | ||||||
|
Ingersoll-Rand
Global Holding Co., Ltd.
9.50%, 4/15/2014 |
345,000 | 386,884 | ||||||
|
John Deere Capital Corp.:
|
||||||||
|
0.88%, 4/17/2015
|
2,500,000 | 2,513,547 | ||||||
|
0.95%, 6/29/2015
|
1,000,000 | 1,007,876 | ||||||
|
1.25%, 12/2/2014
|
1,975,000 | 2,003,054 | ||||||
|
1.60%, 3/3/2014
|
500,000 | 507,498 | ||||||
|
2.95%, 3/9/2015
|
2,500,000 | 2,638,285 | ||||||
| 15,920,666 | ||||||||
|
MEDIA — 3.5%
|
||||||||
|
Comcast Corp.:
|
||||||||
|
5.30%, 1/15/2014
|
1,000,000 | 1,058,375 | ||||||
|
6.50%, 1/15/2015
|
3,800,000 | 4,275,415 | ||||||
|
Cox Communications, Inc.
5.45%, 12/15/2014 |
4,000,000 | 4,402,071 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
|
||||||||
|
3.55%, 3/15/2015
|
2,250,000 | 2,382,625 | ||||||
|
4.75%, 10/1/2014
|
2,203,000 | 2,368,915 | ||||||
|
Discovery Communications LLC
3.70%, 6/1/2015 |
2,000,000 | 2,143,926 | ||||||
|
NBCUniversal Media LLC:
|
||||||||
|
2.10%, 4/1/2014
|
2,625,000 | 2,682,122 | ||||||
|
3.65%, 4/30/2015
|
2,000,000 | 2,139,450 | ||||||
|
News America, Inc.
5.30%, 12/15/2014 |
1,312,000 | 1,435,045 | ||||||
|
Reed Elsevier Capital, Inc.
7.75%, 1/15/2014 |
1,250,000 | 1,357,077 | ||||||
|
TCI Communications, Inc.
8.75%, 8/1/2015 |
215,000 | 260,687 | ||||||
|
The Interpublic Group of Cos., Inc.
6.25%, 11/15/2014 (c) |
500,000 | 545,000 | ||||||
|
The Walt Disney Co.:
|
||||||||
|
0.88%, 12/1/2014
|
2,800,000 | 2,829,269 | ||||||
|
4.50%, 12/15/2013
|
1,980,000 | 2,076,538 | ||||||
|
Thomson Reuters Corp.
5.70%, 10/1/2014 |
1,030,000 | 1,122,613 | ||||||
|
Time Warner Cable, Inc.:
|
||||||||
|
3.50%, 2/1/2015
|
1,000,000 | 1,056,081 | ||||||
|
7.50%, 4/1/2014
|
2,438,000 | 2,671,037 | ||||||
|
8.25%, 2/14/2014
|
2,150,000 | 2,361,752 | ||||||
|
Time Warner, Inc.
3.15%, 7/15/2015 |
2,000,000 | 2,125,936 | ||||||
|
Viacom, Inc.:
|
||||||||
|
1.25%, 2/27/2015
|
1,500,000 | 1,515,694 | ||||||
|
4.38%, 9/15/2014
|
2,150,000 | 2,305,804 | ||||||
|
WPP Finance UK:
|
||||||||
|
5.88%, 6/15/2014
|
750,000 | 803,186 | ||||||
|
8.00%, 9/15/2014
|
1,100,000 | 1,231,816 | ||||||
| 45,150,434 | ||||||||
|
METALS & MINING — 2.1%
|
||||||||
|
ArcelorMittal:
|
||||||||
|
4.00%, 2/25/2015
|
1,500,000 | 1,486,875 | ||||||
|
4.00%, 8/5/2015
|
2,000,000 | 1,982,500 | ||||||
|
9.25%, 2/15/2015
|
1,000,000 | 1,093,250 | ||||||
|
ArcelorMittal USA, Inc.
6.50%, 4/15/2014 |
1,000,000 | 1,036,250 | ||||||
|
Barrick Gold Corp.
1.75%, 5/30/2014 |
1,050,000 | 1,065,227 | ||||||
|
Barrick Gold Finance Co.
4.88%, 11/15/2014 |
700,000 | 753,430 | ||||||
|
BHP Billiton Finance USA, Ltd.:
|
||||||||
|
1.00%, 2/24/2015
|
1,500,000 | 1,508,538 | ||||||
|
1.13%, 11/21/2014
|
2,875,000 | 2,901,503 | ||||||
|
5.50%, 4/1/2014
|
5,750,000 | 6,162,018 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
1.40%, 2/13/2015 |
800,000 | 804,843 | ||||||
|
Rio Tinto Finance USA PLC
1.13%, 3/20/2015 |
2,500,000 | 2,513,102 | ||||||
|
Rio Tinto Finance USA, Ltd.
8.95%, 5/1/2014 |
4,750,000 | 5,346,500 | ||||||
| 26,654,036 | ||||||||
|
MULTI-UTILITIES — 0.6%
|
||||||||
|
Alliant Energy Corp.
4.00%, 10/15/2014 |
1,075,000 | 1,121,251 | ||||||
|
Ameren Corp.
8.88%, 5/15/2014 |
900,000 | 998,091 | ||||||
|
Dominion Resources, Inc.
1.80%, 3/15/2014 |
1,359,000 | 1,383,792 | ||||||
|
DTE Energy Co.
7.63%, 5/15/2014 |
810,000 | 897,656 | ||||||
|
MidAmerican Energy Co.
4.65%, 10/1/2014 |
500,000 | 536,152 | ||||||
|
Midamerican Energy Holdings Co.
5.00%, 2/15/2014 |
850,000 | 897,533 | ||||||
|
Sempra Energy:
|
||||||||
|
2.00%, 3/15/2014
|
1,650,000 | 1,681,249 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
8.90%, 11/15/2013
|
$ | 350,000 | $ | 381,646 | ||||
| 7,897,370 | ||||||||
|
MULTILINE RETAIL — 0.2%
|
||||||||
|
Macy’s Retail Holdings, Inc.:
|
||||||||
|
5.75%, 7/15/2014
|
619,000 | 669,376 | ||||||
|
7.88%, 7/15/2015
|
1,500,000 | 1,761,989 | ||||||
|
Nordstrom, Inc.
6.75%, 6/1/2014 |
542,000 | 596,042 | ||||||
| 3,027,407 | ||||||||
|
OFFICE ELECTRONICS — 0.3%
|
||||||||
|
Xerox Corp.:
|
||||||||
|
4.25%, 2/15/2015
|
1,600,000 | 1,695,983 | ||||||
|
8.25%, 5/15/2014
|
2,375,000 | 2,631,317 | ||||||
| 4,327,300 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 5.5%
|
||||||||
|
Anadarko Petroleum Corp.:
|
||||||||
|
5.75%, 6/15/2014
|
775,000 | 833,107 | ||||||
|
7.63%, 3/15/2014
|
500,000 | 545,906 | ||||||
|
BP Capital Markets PLC
1.70%, 12/5/2014 |
3,350,000 | 3,424,465 | ||||||
|
Canadian Natural Resources, Ltd.:
|
||||||||
|
1.45%, 11/14/2014
|
2,150,000 | 2,177,489 | ||||||
|
4.90%, 12/1/2014
|
500,000 | 543,490 | ||||||
|
Cenovus Energy, Inc.
4.50%, 9/15/2014 |
1,500,000 | 1,600,204 | ||||||
|
Chevron Corp.
3.95%, 3/3/2014 |
3,688,000 | 3,868,620 | ||||||
|
ConocoPhillips:
|
||||||||
|
4.60%, 1/15/2015
|
4,850,000 | 5,283,358 | ||||||
|
4.75%, 2/1/2014
|
530,000 | 558,505 | ||||||
|
Consolidated Natural Gas Co.
5.00%, 12/1/2014 |
950,000 | 1,037,895 | ||||||
|
Devon Energy Corp.
5.63%, 1/15/2014 |
1,000,000 | 1,063,205 | ||||||
|
Diamond Offshore Drilling, Inc.
5.15%, 9/1/2014 |
125,000 | 134,972 | ||||||
|
EnCana Corp.
4.75%, 10/15/2013 |
850,000 | 882,498 | ||||||
|
EnCana Holdings Finance Corp.
5.80%, 5/1/2014 |
2,350,000 | 2,517,473 | ||||||
|
Energy Transfer Partners LP
8.50%, 4/15/2014 |
2,031,000 | 2,232,013 | ||||||
|
Enterprise Products Operating LLC:
|
||||||||
|
1.25%, 8/13/2015
|
2,219,000 | 2,230,875 | ||||||
|
9.75%, 1/31/2014
|
1,400,000 | 1,562,673 | ||||||
|
Enterprise Products Operating LLC, Series G
5.60%, 10/15/2014 |
2,700,000 | 2,944,864 | ||||||
|
EOG Resources, Inc.:
|
||||||||
|
2.95%, 6/1/2015
|
1,000,000 | 1,049,560 | ||||||
|
6.13%, 10/1/2013
|
500,000 | 527,294 | ||||||
|
Hess Corp.
7.00%, 2/15/2014 |
300,000 | 323,433 | ||||||
|
Husky Energy, Inc.
5.90%, 6/15/2014 |
1,225,000 | 1,327,981 | ||||||
|
Kinder Morgan Energy Partners LP:
|
||||||||
|
5.00%, 12/15/2013
|
2,400,000 | 2,518,583 | ||||||
|
5.63%, 2/15/2015
|
317,000 | 349,235 | ||||||
|
Magellan Midstream Partners LP
6.45%, 6/1/2014 |
250,000 | 271,414 | ||||||
|
Noble Holding International, Ltd.:
|
||||||||
|
3.45%, 8/1/2015
|
358,000 | 376,678 | ||||||
|
7.38%, 3/15/2014
|
625,000 | 677,760 | ||||||
|
Occidental Petroleum Corp.
1.45%, 12/13/2013 |
1,150,000 | 1,164,578 | ||||||
|
PC Financial Partnership
5.00%, 11/15/2014 |
876,000 | 949,581 | ||||||
|
Phillips 66
1.95%, 3/5/2015 (b) |
1,500,000 | 1,531,914 | ||||||
|
Plains All American Pipeline LP/PAA Finance Corp.
5.63%, 12/15/2013 |
750,000 | 793,882 | ||||||
|
Shell International Finance BV:
|
||||||||
|
3.10%, 6/28/2015
|
3,250,000 | 3,465,099 | ||||||
|
3.25%, 9/22/2015
|
3,000,000 | 3,233,152 | ||||||
|
4.00%, 3/21/2014
|
4,995,000 | 5,248,085 | ||||||
|
Spectra Energy Capital LLC
5.67%, 8/15/2014 |
500,000 | 535,533 | ||||||
|
Talisman Energy, Inc.
5.13%, 5/15/2015 |
1,000,000 | 1,088,536 | ||||||
|
Total Capital Canada, Ltd.
1.63%, 1/28/2014 |
1,125,000 | 1,142,591 | ||||||
|
Total Capital SA
3.00%, 6/24/2015 |
3,000,000 | 3,191,334 | ||||||
|
TransCanada PipeLines Ltd.
4.88%, 1/15/2015 |
1,000,000 | 1,094,389 | ||||||
|
TransCanada PipeLines, Ltd.
0.88%, 3/2/2015 |
1,850,000 | 1,859,536 | ||||||
|
Valero Energy Corp.
4.50%, 2/1/2015 |
1,100,000 | 1,179,049 | ||||||
|
Weatherford International, Ltd.
4.95%, 10/15/2013 |
450,000 | 468,132 | ||||||
|
Williams Partners LP
3.80%, 2/15/2015 |
1,500,000 | 1,590,570 | ||||||
|
XTO Energy, Inc.
5.75%, 12/15/2013 |
750,000 | 798,770 | ||||||
| 70,198,281 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.2%
|
||||||||
|
Celulosa Arauco y Constitucion SA
5.63%, 4/20/2015 |
500,000 | 539,990 | ||||||
|
International Paper Co.:
|
||||||||
|
5.30%, 4/1/2015
|
1,000,000 | 1,091,355 | ||||||
|
7.40%, 6/15/2014
|
750,000 | 822,340 | ||||||
| 2,453,685 | ||||||||
|
PERSONAL PRODUCTS — 0.1%
|
||||||||
|
Avon Products, Inc.
5.63%, 3/1/2014 |
1,000,000 | 1,054,550 | ||||||
|
PHARMACEUTICALS — 4.3%
|
||||||||
|
Abbott Laboratories:
|
||||||||
|
2.70%, 5/27/2015
|
1,500,000 | 1,586,538 | ||||||
|
4.35%, 3/15/2014
|
975,000 | 1,031,719 | ||||||
|
Aristotle Holding, Inc.
2.75%, 11/21/2014 (b) |
3,500,000 | 3,626,251 | ||||||
|
AstraZeneca PLC
5.40%, 6/1/2014 |
1,300,000 | 1,399,019 | ||||||
|
Eli Lilly & Co.
4.20%, 3/6/2014 |
1,932,000 | 2,029,781 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
THRIFTS & MORTGAGE FINANCE — 0.1%
|
||||||||
|
Santander Holdings USA, Inc.
3.00%, 9/24/2015 |
$ | 1,760,000 | $ | 1,767,803 | ||||
|
TOBACCO — 0.8%
|
||||||||
|
Altria Group, Inc.:
|
||||||||
|
4.13%, 9/11/2015
|
2,100,000 | 2,292,506 | ||||||
|
7.75%, 2/6/2014
|
938,000 | 1,024,632 | ||||||
|
8.50%, 11/10/2013
|
2,950,000 | 3,202,179 | ||||||
|
Philip Morris International, Inc.
6.88%, 3/17/2014 |
3,375,000 | 3,685,737 | ||||||
| 10,205,054 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 5.5%
|
||||||||
|
America Movil SAB de CV:
|
||||||||
|
3.63%, 3/30/2015
|
1,500,000 | 1,590,756 | ||||||
|
5.50%, 3/1/2014 (c)
|
1,525,000 | 1,616,500 | ||||||
|
5.75%, 1/15/2015
|
1,000,000 | 1,102,167 | ||||||
|
American Tower Corp.
4.63%, 4/1/2015 |
1,075,000 | 1,148,646 | ||||||
|
AT&T, Inc.:
|
||||||||
|
0.88%, 2/13/2015
|
3,850,000 | 3,878,481 | ||||||
|
2.50%, 8/15/2015
|
4,250,000 | 4,465,911 | ||||||
|
5.10%, 9/15/2014
|
5,350,000 | 5,818,434 | ||||||
|
BellSouth Corp.
5.20%, 9/15/2014 |
2,249,000 | 2,438,784 | ||||||
|
Cellco Partnership/Verizon Wireless Capital LLC:
|
||||||||
|
5.55%, 2/1/2014
|
6,750,000 | 7,178,971 | ||||||
|
7.38%, 11/15/2013
|
2,750,000 | 2,956,098 | ||||||
|
Deutsche Telekom International Finance BV
4.88%, 7/8/2014 |
950,000 | 1,010,754 | ||||||
|
France Telecom SA:
|
||||||||
|
2.13%, 9/16/2015
|
2,500,000 | 2,568,491 | ||||||
|
4.38%, 7/8/2014
|
2,025,000 | 2,138,666 | ||||||
|
Rogers Communications, Inc.:
|
||||||||
|
6.38%, 3/1/2014
|
3,000,000 | 3,226,676 | ||||||
|
7.50%, 3/15/2015
|
1,000,000 | 1,154,364 | ||||||
|
Telecom Italia Capital SA:
|
||||||||
|
4.95%, 9/30/2014
|
5,500,000 | 5,678,750 | ||||||
|
5.25%, 11/15/2013
|
2,350,000 | 2,411,688 | ||||||
|
6.18%, 6/18/2014
|
2,000,000 | 2,095,000 | ||||||
|
Telefonica Emisiones SAU:
|
||||||||
|
3.73%, 4/27/2015
|
750,000 | 746,250 | ||||||
|
4.95%, 1/15/2015
|
3,375,000 | 3,442,500 | ||||||
|
Telefonos de Mexico SAB de CV
5.50%, 1/27/2015 |
1,300,000 | 1,427,816 | ||||||
|
Verizon Communications, Inc.
1.25%, 11/3/2014 |
3,132,000 | 3,163,740 | ||||||
|
Verizon New England, Inc., Series C
4.75%, 10/1/2013 |
625,000 | 650,565 | ||||||
|
Vodafone Group PLC:
|
||||||||
|
4.15%, 6/10/2014
|
3,138,000 | 3,323,004 | ||||||
|
5.00%, 12/16/2013
|
2,650,000 | 2,792,136 | ||||||
|
5.00%, 9/15/2015
|
2,000,000 | 2,247,374 | ||||||
|
5.38%, 1/30/2015
|
500,000 | 553,200 | ||||||
| 70,825,722 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $1,256,719,955)
|
1,268,263,336 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 2.3%
|
||||||||
|
MONEY MARKET FUND — 2.3%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e)(f) (Cost $28,856,030) |
28,856,030 | 28,856,030 | ||||||
|
TOTAL INVESTMENTS — 101.6% (g)
|
||||||||
|
(Cost $1,285,575,985)
|
1,297,119,366 | |||||||
|
OTHER ASSETS &
LIABILITIES — (1.6)% |
(19,843,385 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,277,275,981 | ||||||
|
(a)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(b)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.6% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs established under FAS 157. (See accompanying Notes to Schedule of Investments.) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 99.0%
|
||||||||
|
AEROSPACE & DEFENSE — 1.4%
|
||||||||
|
Embraer SA
5.15%, 6/15/2022 |
$ | 250,000 | $ | 268,750 | ||||
|
General Dynamics Corp.:
|
||||||||
|
5.25%, 2/1/2014
|
100,000 | 106,290 | ||||||
|
5.38%, 8/15/2015
|
150,000 | 169,309 | ||||||
|
Goodrich Corp.
3.60%, 2/1/2021 |
150,000 | 164,450 | ||||||
|
Honeywell International, Inc.
5.00%, 2/15/2019 (a) |
440,000 | 526,219 | ||||||
|
L-3
Communications Corp.:
|
||||||||
|
3.95%, 11/15/2016
|
50,000 | 54,189 | ||||||
|
4.75%, 7/15/2020
|
250,000 | 274,027 | ||||||
|
Lockheed Martin Corp.:
|
||||||||
|
3.35%, 9/15/2021
|
150,000 | 157,858 | ||||||
|
4.25%, 11/15/2019
|
145,000 | 162,585 | ||||||
|
Northrop Grumman Corp.
1.85%, 11/15/2015 |
250,000 | 256,828 | ||||||
|
Raytheon Co.
3.13%, 10/15/2020 |
400,000 | 427,495 | ||||||
|
Textron, Inc.
4.63%, 9/21/2016 |
100,000 | 109,173 | ||||||
|
The Boeing Co.
3.50%, 2/15/2015 |
500,000 | 534,347 | ||||||
|
United Technologies Corp.:
|
||||||||
|
1.20%, 6/1/2015
|
60,000 | 61,015 | ||||||
|
1.80%, 6/1/2017
|
33,000 | 34,078 | ||||||
|
3.10%, 6/1/2022
|
500,000 | 529,679 | ||||||
|
4.50%, 4/15/2020
|
250,000 | 293,768 | ||||||
|
5.38%, 12/15/2017
|
260,000 | 314,899 | ||||||
| 4,444,959 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.4%
|
||||||||
|
FedEx Corp.
8.00%, 1/15/2019 |
150,000 | 198,365 | ||||||
|
GATX Corp.
4.75%, 5/15/2015 |
175,000 | 187,417 | ||||||
|
United Parcel Service of America, Inc.
8.38%, 4/1/2020 |
100,000 | 141,311 | ||||||
|
United Parcel Service, Inc.:
|
||||||||
|
3.13%, 1/15/2021
|
250,000 | 268,651 | ||||||
|
5.13%, 4/1/2019
|
250,000 | 303,547 | ||||||
| 1,099,291 | ||||||||
|
AIRLINES — 0.3%
|
||||||||
|
American Airlines
2011-2
Pass
Through Trust, Class A
8.63%, 4/15/2023 |
388,191 | 415,365 | ||||||
|
Delta Air Lines
2010-2
Pass
Through Trust, Class A
4.95%, 11/23/2020 |
137,433 | 147,740 | ||||||
|
United Air Lines, Inc. Pass Through Trust
9.75%, 7/15/2018 |
199,333 | 228,735 | ||||||
| 791,840 | ||||||||
|
AUTO COMPONENTS — 0.1%
|
||||||||
|
Johnson Controls, Inc.
5.00%, 3/30/2020 |
150,000 | 171,765 | ||||||
|
AUTOMOBILES — 0.2%
|
||||||||
|
Daimler Finance North America LLC
6.50%, 11/15/2013 |
440,000 | 468,524 | ||||||
|
PACCAR Financial Corp.
1.55%, 9/29/2014 |
150,000 | 152,641 | ||||||
| 621,165 | ||||||||
|
BEVERAGES — 2.7%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
0.80%, 7/15/2015
|
150,000 | 150,372 | ||||||
|
1.38%, 7/15/2017
|
388,000 | 391,502 | ||||||
|
1.50%, 7/14/2014
|
100,000 | 101,614 | ||||||
|
2.50%, 7/15/2022
|
500,000 | 506,612 | ||||||
|
2.88%, 2/15/2016 (a)
|
45,000 | 47,898 | ||||||
|
3.63%, 4/15/2015
|
300,000 | 321,572 | ||||||
|
4.13%, 1/15/2015 (a)
|
195,000 | 210,323 | ||||||
|
5.38%, 1/15/2020
|
615,000 | 762,747 | ||||||
|
7.75%, 1/15/2019
|
300,000 | 404,872 | ||||||
|
Coca-Cola
Enterprises, Inc.:
|
||||||||
|
1.13%, 11/12/2013
|
150,000 | 150,806 | ||||||
|
3.50%, 9/15/2020
|
150,000 | 159,225 | ||||||
|
Diageo Capital PLC:
|
||||||||
|
4.83%, 7/15/2020
|
250,000 | 293,116 | ||||||
|
5.75%, 10/23/2017
|
175,000 | 213,211 | ||||||
|
Diageo Finance BV
3.25%, 1/15/2015 |
390,000 | 412,267 | ||||||
|
Dr. Pepper Snapple Group, Inc.
3.20%, 11/15/2021 |
200,000 | 206,440 | ||||||
|
PepsiCo, Inc.:
|
||||||||
|
0.70%, 8/13/2015
|
100,000 | 100,170 | ||||||
|
0.88%, 10/25/2013
|
350,000 | 351,805 | ||||||
|
1.25%, 8/13/2017
|
100,000 | 100,328 | ||||||
|
2.50%, 5/10/2016
|
400,000 | 422,225 | ||||||
|
3.00%, 8/25/2021
|
320,000 | 338,253 | ||||||
|
3.10%, 1/15/2015
|
160,000 | 168,666 | ||||||
|
3.13%, 11/1/2020 (a)
|
250,000 | 268,229 | ||||||
|
3.75%, 3/1/2014
|
250,000 | 261,309 | ||||||
|
5.00%, 6/1/2018
|
285,000 | 338,470 | ||||||
|
The
Coca-Cola
Co.:
|
||||||||
|
0.75%, 3/13/2015
|
100,000 | 100,584 | ||||||
|
1.50%, 11/15/2015
|
500,000 | 512,959 | ||||||
|
1.65%, 3/14/2018
|
250,000 | 257,519 | ||||||
|
3.15%, 11/15/2020
|
270,000 | 293,425 | ||||||
|
3.30%, 9/1/2021
|
300,000 | 328,165 | ||||||
|
3.63%, 3/15/2014
|
250,000 | 261,353 | ||||||
| 8,436,037 | ||||||||
|
BIOTECHNOLOGY — 0.9%
|
||||||||
|
Amgen, Inc.:
|
||||||||
|
2.30%, 6/15/2016
|
250,000 | 259,654 | ||||||
|
4.10%, 6/15/2021
|
350,000 | 381,352 | ||||||
|
5.70%, 2/1/2019
|
250,000 | 298,394 | ||||||
|
5.85%, 6/1/2017
|
100,000 | 119,132 | ||||||
|
6.15%, 6/1/2018
|
350,000 | 427,848 | ||||||
|
Biogen Idec, Inc.
6.88%, 3/1/2018 |
150,000 | 184,496 | ||||||
|
Celgene Corp.:
|
||||||||
|
1.90%, 8/15/2017
|
350,000 | 353,249 | ||||||
|
3.25%, 8/15/2022
|
100,000 | 100,943 | ||||||
|
Genentech, Inc.
4.75%, 7/15/2015 |
150,000 | 166,264 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Gilead Sciences, Inc.
4.50%, 4/1/2021 |
$ | 375,000 | $ | 426,482 | ||||
| 2,717,814 | ||||||||
|
BUILDING MATERIALS — 0.1%
|
||||||||
|
CRH America, Inc.
6.00%, 9/30/2016 |
359,000 | 399,564 | ||||||
|
BUILDING PRODUCTS — 0.1%
|
||||||||
|
Owens Corning
9.00%, 6/15/2019 |
265,000 | 332,677 | ||||||
|
CAPITAL MARKETS — 5.9%
|
||||||||
|
Ameriprise Financial, Inc.
5.30%, 3/15/2020 |
150,000 | 175,758 | ||||||
|
BlackRock, Inc.:
|
||||||||
|
3.38%, 6/1/2022
|
350,000 | 368,211 | ||||||
|
5.00%, 12/10/2019
|
356,000 | 419,680 | ||||||
|
Jefferies Group, Inc.
5.13%, 4/13/2018 (a) |
350,000 | 352,625 | ||||||
|
Morgan Stanley:
|
||||||||
|
2.88%, 7/28/2014 (a)
|
40,000 | 40,667 | ||||||
|
3.45%, 11/2/2015
|
1,500,000 | 1,537,110 | ||||||
|
3.80%, 4/29/2016
|
1,000,000 | 1,029,313 | ||||||
|
4.75%, 4/1/2014 (a)
|
1,245,000 | 1,289,909 | ||||||
|
5.50%, 7/28/2021 (a)
|
200,000 | 216,880 | ||||||
|
5.63%, 9/23/2019
|
1,235,000 | 1,333,672 | ||||||
|
5.75%, 1/25/2021
|
300,000 | 324,937 | ||||||
|
6.00%, 4/28/2015
|
150,000 | 162,386 | ||||||
|
7.30%, 5/13/2019
|
500,000 | 587,508 | ||||||
|
Northern Trust Corp.:
|
||||||||
|
3.38%, 8/23/2021 (a)
|
150,000 | 161,801 | ||||||
|
3.45%, 11/4/2020
|
100,000 | 108,155 | ||||||
|
TD Ameritrade Holding Corp.
5.60%, 12/1/2019 |
145,000 | 169,267 | ||||||
|
The Bank of New York Mellon Corp.:
|
||||||||
|
1.50%, 1/31/2014
|
350,000 | 354,832 | ||||||
|
1.97%, 6/20/2017
|
150,000 | 155,063 | ||||||
|
2.30%, 7/28/2016
|
70,000 | 73,324 | ||||||
|
3.10%, 1/15/2015
|
640,000 | 676,918 | ||||||
|
4.15%, 2/1/2021
|
250,000 | 281,094 | ||||||
|
The Bear Stearns Cos LLC
4.65%, 7/2/2018 |
250,000 | 282,480 | ||||||
|
The Bear Stearns Cos. LLC
7.25%, 2/1/2018 |
1,045,000 | 1,304,351 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
3.63%, 2/7/2016 (a)
|
750,000 | 791,022 | ||||||
|
3.70%, 8/1/2015
|
1,250,000 | 1,318,497 | ||||||
|
5.25%, 10/15/2013
|
750,000 | 782,938 | ||||||
|
5.25%, 7/27/2021
|
550,000 | 605,470 | ||||||
|
5.38%, 3/15/2020
|
400,000 | 442,262 | ||||||
|
5.75%, 1/24/2022
|
400,000 | 457,714 | ||||||
|
5.95%, 1/18/2018
|
1,300,000 | 1,498,130 | ||||||
|
6.00%, 5/1/2014
|
160,000 | 171,509 | ||||||
|
6.00%, 6/15/2020
|
550,000 | 632,600 | ||||||
|
7.50%, 2/15/2019
|
150,000 | 184,113 | ||||||
| 18,290,196 | ||||||||
|
CHEMICALS — 2.0%
|
||||||||
|
Air Products & Chemicals, Inc.:
|
||||||||
|
2.00%, 8/2/2016 (a)
|
55,000 | 57,211 | ||||||
|
4.38%, 8/21/2019
|
100,000 | 113,572 | ||||||
|
Airgas, Inc.
2.85%, 10/1/2013 (a) |
100,000 | 102,149 | ||||||
|
E.I. du Pont de Nemours & Co.:
|
||||||||
|
1.75%, 3/25/2014
|
200,000 | 203,869 | ||||||
|
3.25%, 1/15/2015
|
150,000 | 158,811 | ||||||
|
4.25%, 4/1/2021 (a)
|
50,000 | 57,748 | ||||||
|
4.63%, 1/15/2020 (a)
|
350,000 | 407,173 | ||||||
|
5.25%, 12/15/2016 (a)
|
250,000 | 292,740 | ||||||
|
Eastman Chemical Co.:
|
||||||||
|
3.00%, 12/15/2015
|
150,000 | 157,931 | ||||||
|
3.60%, 8/15/2022
|
350,000 | 369,277 | ||||||
|
Ecolab, Inc.:
|
||||||||
|
1.00%, 8/9/2015
|
94,000 | 94,371 | ||||||
|
2.38%, 12/8/2014
|
250,000 | 258,018 | ||||||
|
4.35%, 12/8/2021
|
300,000 | 337,740 | ||||||
|
Lubrizol Corp.
8.88%, 2/1/2019 |
150,000 | 209,555 | ||||||
|
Monsanto Co.:
|
||||||||
|
2.20%, 7/15/2022
|
150,000 | 150,801 | ||||||
|
2.75%, 4/15/2016
|
100,000 | 105,781 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
3.75%, 9/30/2015 |
360,000 | 388,164 | ||||||
|
PPG Industries, Inc.:
|
||||||||
|
2.70%, 8/15/2022
|
250,000 | 250,256 | ||||||
|
6.65%, 3/15/2018
|
100,000 | 122,007 | ||||||
|
Praxair, Inc.:
|
||||||||
|
2.20%, 8/15/2022
|
150,000 | 147,532 | ||||||
|
2.45%, 2/15/2022 (a)
|
250,000 | 254,355 | ||||||
|
3.25%, 9/15/2015
|
250,000 | 265,890 | ||||||
|
4.05%, 3/15/2021
|
100,000 | 113,067 | ||||||
|
The Dow Chemical Co.:
|
||||||||
|
4.13%, 11/15/2021 (a)
|
250,000 | 274,467 | ||||||
|
4.25%, 11/15/2020
|
40,000 | 43,960 | ||||||
|
7.60%, 5/15/2014
|
355,000 | 392,054 | ||||||
|
8.55%, 5/15/2019
|
560,000 | 749,849 | ||||||
|
The Mosaic Co.
3.75%, 11/15/2021 |
150,000 | 160,301 | ||||||
|
Valspar Corp.
4.20%, 1/15/2022 |
50,000 | 54,151 | ||||||
|
Westlake Chemical Corp.
3.60%, 7/15/2022 |
29,000 | 29,145 | ||||||
| 6,321,945 | ||||||||
|
COMMERCIAL BANKS — 10.1%
|
||||||||
|
Abbey National Treasury Services PLC
4.00%, 4/27/2016 (a) |
250,000 | 259,863 | ||||||
|
Bancolombia SA
5.13%, 9/11/2022 |
500,000 | 508,750 | ||||||
|
Bank of Montreal
2.50%, 1/11/2017 |
250,000 | 262,649 | ||||||
|
Bank of Nova Scotia:
|
||||||||
|
1.85%, 1/12/2015 (a)
|
500,000 | 512,298 | ||||||
|
2.38%, 12/17/2013 (a)
|
250,000 | 255,683 | ||||||
|
2.55%, 1/12/2017 (a)
|
250,000 | 263,177 | ||||||
|
2.90%, 3/29/2016 (a)
|
250,000 | 265,115 | ||||||
|
Barclays Bank PLC:
|
||||||||
|
2.38%, 1/13/2014
|
350,000 | 352,804 | ||||||
|
5.00%, 9/22/2016
|
400,000 | 446,761 | ||||||
|
5.14%, 10/14/2020
|
500,000 | 511,623 | ||||||
|
5.20%, 7/10/2014
|
355,000 | 378,949 | ||||||
|
BB&T Corp.:
|
||||||||
|
2.05%, 4/28/2014 (a)
|
100,000 | 102,165 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
3.95%, 4/29/2016
|
$ | 125,000 | $ | 138,018 | ||||
|
4.90%, 6/30/2017
|
250,000 | 284,122 | ||||||
|
5.25%, 11/1/2019
|
250,000 | 290,184 | ||||||
|
BB&T Corp., Series C
1.60%, 8/15/2017 |
150,000 | 152,613 | ||||||
|
BBVA US Senior SAU
3.25%, 5/16/2014 |
250,000 | 249,054 | ||||||
|
BNP Paribas:
|
||||||||
|
2.38%, 9/14/2017
|
150,000 | 149,822 | ||||||
|
3.25%, 3/11/2015 (a)
|
550,000 | 568,853 | ||||||
|
3.60%, 2/23/2016 (a)
|
250,000 | 261,129 | ||||||
|
5.00%, 1/15/2021 (a)
|
250,000 | 277,948 | ||||||
|
Canadian Imperial Bank of Commerce/Canada
2.35%, 12/11/2015 |
250,000 | 263,333 | ||||||
|
Comerica Bank
5.20%, 8/22/2017 |
250,000 | 284,839 | ||||||
|
Commonwealth Bank of Australia/New York, NY:
|
||||||||
|
1.90%, 9/18/2017
|
500,000 | 502,351 | ||||||
|
1.95%, 3/16/2015
|
250,000 | 255,079 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Netherlands:
|
||||||||
|
2.13%, 10/13/2015
|
500,000 | 514,342 | ||||||
|
4.50%, 1/11/2021
|
350,000 | 387,194 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Utrect:
|
||||||||
|
3.38%, 1/19/2017
|
350,000 | 372,249 | ||||||
|
3.88%, 2/8/2022
|
100,000 | 106,349 | ||||||
|
Credit Suisse of New York, NY:
|
||||||||
|
2.20%, 1/14/2014
|
100,000 | 101,285 | ||||||
|
4.38%, 8/5/2020
|
150,000 | 168,351 | ||||||
|
5.30%, 8/13/2019
|
370,000 | 434,020 | ||||||
|
5.50%, 5/1/2014
|
800,000 | 855,879 | ||||||
|
6.00%, 2/15/2018
|
250,000 | 285,209 | ||||||
|
Deutsche Bank AG London:
|
||||||||
|
3.45%, 3/30/2015
|
250,000 | 263,103 | ||||||
|
3.88%, 8/18/2014
|
670,000 | 705,277 | ||||||
|
6.00%, 9/1/2017 (a)
|
370,000 | 440,296 | ||||||
|
Discover Bank/Greenwood DE
8.70%, 11/18/2019 |
350,000 | 451,459 | ||||||
|
Fifth Third Bancorp:
|
||||||||
|
3.50%, 3/15/2022
|
100,000 | 105,883 | ||||||
|
3.63%, 1/25/2016
|
150,000 | 161,636 | ||||||
|
4.50%, 6/1/2018
|
125,000 | 137,917 | ||||||
|
First Tennessee Bank
5.65%, 4/1/2016 |
250,000 | 265,188 | ||||||
|
HSBC Bank USA NA
6.00%, 8/9/2017 |
250,000 | 287,538 | ||||||
|
HSBC Holdings PLC:
|
||||||||
|
4.00%, 3/30/2022
|
200,000 | 214,067 | ||||||
|
4.88%, 1/14/2022 (a)
|
150,000 | 170,197 | ||||||
|
5.10%, 4/5/2021
|
250,000 | 287,398 | ||||||
|
HSBC USA, Inc.
2.38%, 2/13/2015 |
90,000 | 92,545 | ||||||
|
Huntington BancShares, Inc.
7.00%, 12/15/2020 |
25,000 | 30,127 | ||||||
|
JPMorgan Chase Bank NA
6.00%, 7/5/2017 |
650,000 | 761,672 | ||||||
|
KeyBank NA
4.95%, 9/15/2015 |
200,000 | 217,993 | ||||||
|
KeyCorp
5.10%, 3/24/2021 |
340,000 | 396,216 | ||||||
|
Lloyds TSB Bank PLC:
|
||||||||
|
4.20%, 3/28/2017
|
350,000 | 384,018 | ||||||
|
4.88%, 1/21/2016
|
125,000 | 137,361 | ||||||
|
6.38%, 1/21/2021
|
300,000 | 366,819 | ||||||
|
Manufacturers & Traders Trust Co.
5.63%, 12/1/2021 (b) |
250,000 | 255,000 | ||||||
|
National Australia Bank/New York:
|
||||||||
|
1.60%, 8/7/2015
|
100,000 | 100,949 | ||||||
|
2.75%, 3/9/2017
|
300,000 | 313,012 | ||||||
|
PNC Funding Corp.:
|
||||||||
|
2.70%, 9/19/2016
|
250,000 | 266,341 | ||||||
|
5.13%, 2/8/2020
|
360,000 | 426,078 | ||||||
|
5.40%, 6/10/2014
|
350,000 | 377,056 | ||||||
|
5.63%, 2/1/2017
|
350,000 | 398,803 | ||||||
|
6.70%, 6/10/2019
|
250,000 | 318,960 | ||||||
|
Royal Bank of Canada:
|
||||||||
|
1.13%, 1/15/2014
|
500,000 | 503,429 | ||||||
|
1.45%, 10/30/2014
|
100,000 | 101,671 | ||||||
|
2.30%, 7/20/2016 (a)
|
100,000 | 104,150 | ||||||
|
2.63%, 12/15/2015
|
250,000 | 263,921 | ||||||
|
Sumitomo Mitsui Banking Corp.:
|
||||||||
|
1.80%, 7/18/2017
|
250,000 | 254,266 | ||||||
|
3.20%, 7/18/2022 (a)
|
250,000 | 253,406 | ||||||
|
SunTrust Banks, Inc.:
|
||||||||
|
3.50%, 1/20/2017
|
150,000 | 160,635 | ||||||
|
3.60%, 4/15/2016
|
55,000 | 58,626 | ||||||
|
7.25%, 3/15/2018
|
150,000 | 180,766 | ||||||
|
Svenska Handelsbanken AB
3.13%, 7/12/2016 |
250,000 | 264,585 | ||||||
|
The Royal Bank of Scotland PLC
4.38%, 3/16/2016 |
500,000 | 538,955 | ||||||
|
The
Toronto-Dominion
Bank
2.38%, 10/19/2016 |
500,000 | 525,580 | ||||||
|
Union Bank NA
5.95%, 5/11/2016 |
255,000 | 291,060 | ||||||
|
US Bancorp:
|
||||||||
|
3.15%, 3/4/2015
|
640,000 | 675,890 | ||||||
|
4.13%, 5/24/2021
|
650,000 | 736,955 | ||||||
|
4.20%, 5/15/2014
|
200,000 | 211,638 | ||||||
|
US Bank NA
4.80%, 4/15/2015 |
150,000 | 164,413 | ||||||
|
Wachovia Bank
4.80%, 11/1/2014 |
168,000 | 180,442 | ||||||
|
Wachovia Corp.:
|
||||||||
|
4.88%, 2/15/2014
|
350,000 | 367,498 | ||||||
|
5.63%, 10/15/2016
|
500,000 | 575,642 | ||||||
|
Series G 5.75%, 2/1/2018
|
750,000 | 900,815 | ||||||
|
Wells Fargo & Co.:
|
||||||||
|
1.25%, 2/13/2015
|
150,000 | 151,192 | ||||||
|
2.63%, 12/15/2016
|
250,000 | 263,717 | ||||||
|
3.50%, 3/8/2022
|
250,000 | 266,821 | ||||||
|
3.63%, 4/15/2015
|
780,000 | 833,031 | ||||||
|
3.68%, 6/15/2016
|
250,000 | 271,608 | ||||||
|
4.60%, 4/1/2021
|
200,000 | 229,708 | ||||||
|
4.95%, 10/16/2013
|
250,000 | 260,767 | ||||||
|
5.63%, 12/11/2017
|
700,000 | 836,776 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Westpac Banking Corp.:
|
||||||||
|
1.85%, 12/9/2013
|
$ | 500,000 | $ | 507,152 | ||||
|
2.00%, 8/14/2017
|
100,000 | 101,253 | ||||||
|
3.00%, 12/9/2015
|
500,000 | 528,717 | ||||||
|
4.20%, 2/27/2015
|
250,000 | 268,595 | ||||||
| 31,188,649 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.5%
|
||||||||
|
Cintas Corp.
6.13%, 12/1/2017 |
100,000 | 120,528 | ||||||
|
Pitney Bowes, Inc.:
|
||||||||
|
5.00%, 3/15/2015
|
250,000 | 263,815 | ||||||
|
6.25%, 3/15/2019 (a)
|
135,000 | 148,997 | ||||||
|
Republic Services, Inc.
5.50%, 9/15/2019 |
305,000 | 360,140 | ||||||
|
The ADT Corp.:
|
||||||||
|
2.25%, 7/15/2017 (c)
|
100,000 | 101,913 | ||||||
|
3.50%, 7/15/2022 (c)
|
100,000 | 103,884 | ||||||
|
The Western Union Co.
5.93%, 10/1/2016 |
150,000 | 175,511 | ||||||
|
Waste Management, Inc.:
|
||||||||
|
4.60%, 3/1/2021
|
150,000 | 170,868 | ||||||
|
6.38%, 3/11/2015
|
200,000 | 225,065 | ||||||
| 1,670,721 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.6%
|
||||||||
|
Cisco Systems, Inc.:
|
||||||||
|
1.63%, 3/14/2014
|
200,000 | 203,721 | ||||||
|
2.90%, 11/17/2014
|
150,000 | 157,806 | ||||||
|
4.45%, 1/15/2020
|
250,000 | 292,864 | ||||||
|
4.95%, 2/15/2019
|
320,000 | 382,810 | ||||||
|
5.50%, 2/22/2016
|
300,000 | 347,845 | ||||||
|
Juniper Networks, Inc.:
|
||||||||
|
3.10%, 3/15/2016
|
35,000 | 36,541 | ||||||
|
4.60%, 3/15/2021 (a)
|
100,000 | 107,325 | ||||||
|
Motorola Solutions, Inc.
3.75%, 5/15/2022 |
250,000 | 259,458 | ||||||
| 1,788,370 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.6%
|
||||||||
|
Computer Sciences Corp.:
|
||||||||
|
4.45%, 9/15/2022
|
100,000 | 101,708 | ||||||
|
6.50%, 3/15/2018
|
150,000 | 173,536 | ||||||
|
Dell, Inc.:
|
||||||||
|
5.65%, 4/15/2018 (a)
|
200,000 | 234,877 | ||||||
|
5.88%, 6/15/2019
|
165,000 | 193,745 | ||||||
|
Hewlett-Packard
Co.:
|
||||||||
|
2.60%, 9/15/2017
|
200,000 | 201,107 | ||||||
|
2.65%, 6/1/2016 (a)
|
250,000 | 254,998 | ||||||
|
3.00%, 9/15/2016
|
250,000 | 257,819 | ||||||
|
3.30%, 12/9/2016
|
350,000 | 364,883 | ||||||
|
3.75%, 12/1/2020
|
500,000 | 495,198 | ||||||
|
4.38%, 9/15/2021
|
350,000 | 357,469 | ||||||
|
4.75%, 6/2/2014
|
690,000 | 727,527 | ||||||
|
International Business Machines Corp.:
|
||||||||
|
1.25%, 5/12/2014 (a)
|
655,000 | 663,522 | ||||||
|
1.88%, 8/1/2022 (a)
|
100,000 | 97,245 | ||||||
|
1.95%, 7/22/2016
|
350,000 | 364,657 | ||||||
|
2.00%, 1/5/2016
|
250,000 | 258,159 | ||||||
|
7.63%, 10/15/2018
|
250,000 | 337,564 | ||||||
| 5,084,014 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.3%
|
||||||||
|
ABB Finance USA, Inc.:
|
||||||||
|
1.63%, 5/8/2017
|
250,000 | 253,276 | ||||||
|
2.88%, 5/8/2022
|
100,000 | 102,426 | ||||||
|
Fluor Corp.
3.38%, 9/15/2021 |
250,000 | 263,999 | ||||||
|
URS Corp.
5.00%, 4/1/2022 (c) |
150,000 | 152,988 | ||||||
| 772,689 | ||||||||
|
CONSUMER FINANCE — 0.7%
|
||||||||
|
Caterpillar Financial Services Corp.:
|
||||||||
|
1.38%, 5/20/2014
|
30,000 | 30,432 | ||||||
|
1.63%, 6/1/2017
|
100,000 | 101,784 | ||||||
|
2.05%, 8/1/2016 (a)
|
500,000 | 519,109 | ||||||
|
6.13%, 2/17/2014
|
250,000 | 269,138 | ||||||
|
7.15%, 2/15/2019
|
250,000 | 325,134 | ||||||
|
Discover Financial Services
5.20%, 4/27/2022 (c) |
100,000 | 109,564 | ||||||
|
SLM Corp.:
|
||||||||
|
6.25%, 1/25/2016
|
150,000 | 164,250 | ||||||
|
8.45%, 6/15/2018
|
505,000 | 590,850 | ||||||
| 2,110,261 | ||||||||
|
CONTAINERS & PACKAGING — 0.1%
|
||||||||
|
Bemis Co., Inc.
4.50%, 10/15/2021 |
150,000 | 163,785 | ||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.1%
|
||||||||
|
Yale University
2.90%, 10/15/2014 |
305,000 | 319,894 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 15.9%
|
||||||||
|
American Express Co.:
|
||||||||
|
7.25%, 5/20/2014
|
1,240,000 | 1,371,020 | ||||||
|
8.13%, 5/20/2019
|
305,000 | 411,787 | ||||||
|
American Express Credit Corp.:
|
||||||||
|
2.75%, 9/15/2015
|
400,000 | 422,016 | ||||||
|
2.80%, 9/19/2016
|
750,000 | 798,435 | ||||||
|
Bank of America Corp.:
|
||||||||
|
3.63%, 3/17/2016 (a)
|
1,000,000 | 1,058,186 | ||||||
|
3.75%, 7/12/2016
|
600,000 | 637,349 | ||||||
|
4.50%, 4/1/2015
|
755,000 | 809,220 | ||||||
|
5.00%, 5/13/2021
|
350,000 | 384,167 | ||||||
|
5.25%, 12/1/2015 (a)
|
1,000,000 | 1,081,291 | ||||||
|
5.38%, 6/15/2014
|
350,000 | 373,420 | ||||||
|
5.63%, 7/1/2020
|
750,000 | 847,118 | ||||||
|
5.65%, 5/1/2018
|
600,000 | 685,122 | ||||||
|
5.70%, 1/24/2022
|
250,000 | 290,406 | ||||||
|
5.75%, 12/1/2017
|
250,000 | 286,136 | ||||||
|
6.50%, 8/1/2016
|
350,000 | 405,995 | ||||||
|
Boeing Capital Corp.:
|
||||||||
|
2.13%, 8/15/2016
|
100,000 | 104,627 | ||||||
|
2.90%, 8/15/2018
|
50,000 | 54,650 | ||||||
|
4.70%, 10/27/2019
|
250,000 | 296,337 | ||||||
|
BP Capital Markets PLC:
|
||||||||
|
3.88%, 3/10/2015
|
300,000 | 321,959 | ||||||
|
4.50%, 10/1/2020
|
450,000 | 519,554 | ||||||
|
5.25%, 11/7/2013
|
250,000 | 263,038 | ||||||
|
Capital One Bank USA NA
8.80%, 7/15/2019 |
395,000 | 516,649 | ||||||
|
Capital One Financial Corp.:
|
||||||||
|
2.15%, 3/23/2015
|
200,000 | 205,318 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
3.15%, 7/15/2016 (a)
|
$ | 60,000 | $ | 64,020 | ||||
|
6.15%, 9/1/2016
|
250,000 | 283,034 | ||||||
|
7.38%, 5/23/2014
|
185,000 | 204,056 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
4.50%, 1/14/2022
|
510,000 | 554,845 | ||||||
|
4.59%, 12/15/2015
|
1,100,000 | 1,192,905 | ||||||
|
4.75%, 5/19/2015
|
400,000 | 430,638 | ||||||
|
5.00%, 9/15/2014
|
500,000 | 526,747 | ||||||
|
5.38%, 8/9/2020
|
400,000 | 460,357 | ||||||
|
5.50%, 2/15/2017
|
215,000 | 237,508 | ||||||
|
5.85%, 8/2/2016
|
500,000 | 560,295 | ||||||
|
6.01%, 1/15/2015
|
350,000 | 384,053 | ||||||
|
6.13%, 11/21/2017
|
250,000 | 293,039 | ||||||
|
6.13%, 5/15/2018
|
250,000 | 294,657 | ||||||
|
6.38%, 8/12/2014
|
600,000 | 653,087 | ||||||
|
8.50%, 5/22/2019
|
815,000 | 1,072,253 | ||||||
|
CME Group, Inc.
5.75%, 2/15/2014 |
250,000 | 267,781 | ||||||
|
Credit Suisse USA, Inc.:
|
||||||||
|
4.88%, 1/15/2015
|
5,000 | 5,401 | ||||||
|
5.38%, 3/2/2016
|
300,000 | 338,813 | ||||||
|
5.85%, 8/16/2016
|
250,000 | 286,409 | ||||||
|
Ford Motor Credit Co. LLC:
|
||||||||
|
2.75%, 5/15/2015
|
500,000 | 510,625 | ||||||
|
3.00%, 6/12/2017
|
150,000 | 152,431 | ||||||
|
5.88%, 8/2/2021 (a)
|
650,000 | 731,250 | ||||||
|
6.63%, 8/15/2017
|
1,000,000 | 1,162,500 | ||||||
|
7.00%, 4/15/2015
|
1,000,000 | 1,122,500 | ||||||
|
Franklin Resources, Inc.
2.80%, 9/15/2022 |
150,000 | 151,855 | ||||||
|
General Electric Capital Corp.:
|
||||||||
|
2.30%, 4/27/2017
|
600,000 | 617,091 | ||||||
|
3.50%, 6/29/2015
|
500,000 | 534,315 | ||||||
|
3.75%, 11/14/2014
|
350,000 | 370,588 | ||||||
|
4.38%, 9/16/2020
|
450,000 | 495,593 | ||||||
|
4.63%, 1/7/2021 (a)
|
250,000 | 279,774 | ||||||
|
4.65%, 10/17/2021
|
250,000 | 280,611 | ||||||
|
5.30%, 2/11/2021
|
245,000 | 280,773 | ||||||
|
5.40%, 2/15/2017
|
750,000 | 867,106 | ||||||
|
5.50%, 1/8/2020
|
500,000 | 588,653 | ||||||
|
5.63%, 9/15/2017
|
250,000 | 294,094 | ||||||
|
5.63%, 5/1/2018
|
770,000 | 908,700 | ||||||
|
5.65%, 6/9/2014
|
500,000 | 539,360 | ||||||
|
5.90%, 5/13/2014
|
750,000 | 812,071 | ||||||
|
6.00%, 8/7/2019
|
250,000 | 303,223 | ||||||
|
HSBC Finance Corp.:
|
||||||||
|
5.00%, 6/30/2015 (a)
|
810,000 | 872,140 | ||||||
|
5.25%, 4/15/2015
|
150,000 | 162,747 | ||||||
|
6.68%, 1/15/2021
|
500,000 | 576,864 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
2.60%, 1/15/2016 (a)
|
600,000 | 623,441 | ||||||
|
3.15%, 7/5/2016
|
700,000 | 741,271 | ||||||
|
3.25%, 9/23/2022
|
500,000 | 505,628 | ||||||
|
3.40%, 6/24/2015
|
500,000 | 529,319 | ||||||
|
3.45%, 3/1/2016
|
1,000,000 | 1,065,374 | ||||||
|
4.25%, 10/15/2020
|
800,000 | 865,732 | ||||||
|
4.35%, 8/15/2021
|
150,000 | 163,739 | ||||||
|
4.40%, 7/22/2020
|
500,000 | 547,010 | ||||||
|
4.50%, 1/24/2022
|
500,000 | 554,619 | ||||||
|
4.63%, 5/10/2021
|
150,000 | 166,710 | ||||||
|
4.65%, 6/1/2014
|
1,020,000 | 1,082,421 | ||||||
|
Lazard Group LLC
6.85%, 6/15/2017 |
145,000 | 163,014 | ||||||
|
Merrill Lynch & Co., Inc.:
|
||||||||
|
6.40%, 8/28/2017
|
250,000 | 290,619 | ||||||
|
6.88%, 4/25/2018
|
1,667,000 | 1,988,267 | ||||||
|
National Rural Utilities Cooperative Finance Corp.:
|
||||||||
|
1.00%, 2/2/2015
|
150,000 | 150,832 | ||||||
|
5.45%, 2/1/2018
|
250,000 | 297,173 | ||||||
|
10.38%, 11/1/2018
|
185,000 | 272,250 | ||||||
|
Nomura Holdings, Inc.:
|
||||||||
|
4.13%, 1/19/2016 (a)
|
202,000 | 209,208 | ||||||
|
5.00%, 3/4/2015
|
170,000 | 179,075 | ||||||
|
6.70%, 3/4/2020
|
155,000 | 177,495 | ||||||
|
ORIX Corp.
3.75%, 3/9/2017 (a) |
150,000 | 154,575 | ||||||
|
Royal Bank of Scotland Group PLC:
|
||||||||
|
2.55%, 9/18/2015
|
126,000 | 127,585 | ||||||
|
4.88%, 3/16/2015
|
250,000 | 268,655 | ||||||
|
5.63%, 8/24/2020
|
500,000 | 565,818 | ||||||
|
SLM Corp.:
|
||||||||
|
5.00%, 10/1/2013
|
265,000 | 274,142 | ||||||
|
8.00%, 3/25/2020
|
250,000 | 291,250 | ||||||
|
The Charles Schwab Corp.
4.45%, 7/22/2020 |
250,000 | 280,835 | ||||||
|
The Nasdaq OMX Group, Inc.:
|
||||||||
|
5.25%, 1/16/2018
|
60,000 | 64,637 | ||||||
|
5.55%, 1/15/2020
|
246,000 | 263,653 | ||||||
|
The Western Union Co.
5.25%, 4/1/2020 |
135,000 | 156,888 | ||||||
|
Toyota Motor Credit Corp.:
|
||||||||
|
0.88%, 7/17/2015
|
250,000 | 251,140 | ||||||
|
1.00%, 2/17/2015
|
250,000 | 252,003 | ||||||
|
2.00%, 9/15/2016
|
100,000 | 103,748 | ||||||
|
2.80%, 1/11/2016
|
150,000 | 158,781 | ||||||
|
3.20%, 6/17/2015
|
150,000 | 160,011 | ||||||
|
3.30%, 1/12/2022 (a)
|
300,000 | 322,393 | ||||||
|
3.40%, 9/15/2021
|
150,000 | 162,175 | ||||||
|
4.25%, 1/11/2021
|
150,000 | 171,469 | ||||||
|
UBS AG of Stamford, CT:
|
||||||||
|
2.25%, 1/28/2014
|
250,000 | 253,803 | ||||||
|
3.88%, 1/15/2015
|
250,000 | 263,829 | ||||||
|
4.88%, 8/4/2020
|
45,000 | 50,395 | ||||||
|
5.75%, 4/25/2018
|
555,000 | 651,949 | ||||||
|
5.88%, 12/20/2017 (a)
|
400,000 | 470,358 | ||||||
| 49,161,851 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 1.2%
|
||||||||
|
AT&T, Inc.
3.88%, 8/15/2021 |
150,000 | 169,402 | ||||||
|
British Telecommunications PLC
5.95%, 1/15/2018 |
300,000 | 358,674 | ||||||
|
CenturyLink, Inc.:
|
||||||||
|
5.80%, 3/15/2022
|
250,000 | 272,031 | ||||||
|
6.45%, 6/15/2021
|
500,000 | 568,088 | ||||||
|
Harris Corp.
6.38%, 6/15/2019 |
100,000 | 119,767 | ||||||
|
Qwest Corp.
7.50%, 10/1/2014 |
250,000 | 278,709 | ||||||
|
Telecom Italia Capital SA
7.00%, 6/4/2018 |
250,000 | 273,438 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Verizon Communications, Inc.:
|
||||||||
|
1.95%, 3/28/2014
|
$ | 250,000 | $ | 255,606 | ||||
|
3.50%, 11/1/2021 (a)
|
150,000 | 165,482 | ||||||
|
4.60%, 4/1/2021
|
350,000 | 415,161 | ||||||
|
5.55%, 2/15/2016
|
350,000 | 403,550 | ||||||
|
8.75%, 11/1/2018
|
250,000 | 351,791 | ||||||
| 3,631,699 | ||||||||
|
ELECTRIC UTILITIES — 4.2%
|
||||||||
|
Arizona Public Service Co.
6.25%, 8/1/2016 |
205,000 | 239,464 | ||||||
|
Baltimore Gas & Electric Co.
5.90%, 10/1/2016 |
150,000 | 175,974 | ||||||
|
Carolina Power & Light Co.
5.25%, 12/15/2015 |
320,000 | 365,962 | ||||||
|
Commonwealth Edison Co.:
|
||||||||
|
1.63%, 1/15/2014
|
250,000 | 253,317 | ||||||
|
3.40%, 9/1/2021
|
100,000 | 108,924 | ||||||
|
4.00%, 8/1/2020
|
60,000 | 67,557 | ||||||
|
5.80%, 3/15/2018
|
520,000 | 631,218 | ||||||
|
Consolidated Edison Co. of New York, Inc.:
|
||||||||
|
5.85%, 4/1/2018
|
208,000 | 255,220 | ||||||
|
6.65%, 4/1/2019
|
155,000 | 198,316 | ||||||
|
Consumers Energy Co., Series M
5.50%, 8/15/2016 |
250,000 | 290,753 | ||||||
|
Duke Energy Carolinas LLC:
|
||||||||
|
1.75%, 12/15/2016 (a)
|
350,000 | 360,337 | ||||||
|
3.90%, 6/15/2021
|
150,000 | 169,110 | ||||||
|
Duke Energy Corp.
3.95%, 9/15/2014 |
670,000 | 711,003 | ||||||
|
Edison International
3.75%, 9/15/2017 |
350,000 | 377,376 | ||||||
|
Entergy Corp.
5.13%, 9/15/2020 |
300,000 | 318,362 | ||||||
|
Entergy Louisiana LLC
1.88%, 12/15/2014 (a) |
90,000 | 92,130 | ||||||
|
Exelon Generation Co. LLC
4.25%, 6/15/2022 (a)(c) |
100,000 | 104,453 | ||||||
|
FirstEnergy Solutions Corp.:
|
||||||||
|
4.80%, 2/15/2015
|
155,000 | 166,837 | ||||||
|
6.05%, 8/15/2021
|
250,000 | 281,231 | ||||||
|
Florida Power Corp.
3.10%, 8/15/2021 |
210,000 | 220,175 | ||||||
|
FPL Group Capital, Inc.
6.00%, 3/1/2019 |
470,000 | 559,651 | ||||||
|
Georgia Power Co.:
|
||||||||
|
0.75%, 8/10/2015
|
100,000 | 100,255 | ||||||
|
4.25%, 12/1/2019
|
360,000 | 408,987 | ||||||
|
6.00%, 11/1/2013
|
250,000 | 264,723 | ||||||
|
Great Plains Energy, Inc.
4.85%, 6/1/2021 |
75,000 | 82,877 | ||||||
|
Indiana Michigan Power Co., Series I
7.00%, 3/15/2019 |
165,000 | 205,799 | ||||||
|
Kentucky Utilities Co.
1.63%, 11/1/2015 |
250,000 | 256,965 | ||||||
|
LG&E and KU Energy LLC
3.75%, 11/15/2020 |
300,000 | 316,375 | ||||||
|
Nevada Power Co.
6.50%, 8/1/2018 |
305,000 | 380,575 | ||||||
|
Nisource Finance Corp.
6.40%, 3/15/2018 |
450,000 | 551,053 | ||||||
|
Ohio Power Co.
5.38%, 10/1/2021 |
250,000 | 299,629 | ||||||
|
Oncor Electric Delivery Co. LLC
6.38%, 1/15/2015 |
350,000 | 388,158 | ||||||
|
Pacific Gas & Electric Co.:
|
||||||||
|
3.50%, 10/1/2020 (a)
|
250,000 | 276,088 | ||||||
|
8.25%, 10/15/2018 (a)
|
150,000 | 205,844 | ||||||
|
PG&E Corp.
5.75%, 4/1/2014 |
105,000 | 112,669 | ||||||
|
PPL Electric Utilities Corp.
2.50%, 9/1/2022 |
100,000 | 101,427 | ||||||
|
Progress Energy, Inc.
7.05%, 3/15/2019 |
256,000 | 324,378 | ||||||
|
PSEG Power LLC
5.13%, 4/15/2020 |
280,000 | 318,100 | ||||||
|
Public Service Electric & Gas Co.:
|
||||||||
|
0.85%, 8/15/2014
|
20,000 | 20,115 | ||||||
|
2.70%, 5/1/2015 (a)
|
150,000 | 157,430 | ||||||
|
Scottish Power, Ltd.
5.38%, 3/15/2015 |
150,000 | 157,245 | ||||||
|
South Carolina Electric & Gas Co.
5.25%, 11/1/2018 |
200,000 | 234,794 | ||||||
|
Southern California Edison Co.
3.88%, 6/1/2021 |
35,000 | 39,517 | ||||||
|
Southwestern Electric Power Co.
3.55%, 2/15/2022 |
250,000 | 261,557 | ||||||
|
Tampa Electric Co.
2.60%, 9/15/2022 |
150,000 | 151,741 | ||||||
|
TECO Finance, Inc.
5.15%, 3/15/2020 |
150,000 | 172,071 | ||||||
|
The Cleveland Electric Illuminating Co.
5.65%, 12/15/2013 |
250,000 | 263,457 | ||||||
|
The Detroit Edison Co.
3.45%, 10/1/2020 |
100,000 | 110,078 | ||||||
|
Union Electric Co.
6.40%, 6/15/2017 |
250,000 | 304,425 | ||||||
|
Virginia Electric and Power Co.
5.40%, 4/30/2018 |
155,000 | 188,629 | ||||||
|
Westar Energy, Inc.
5.10%, 7/15/2020 |
250,000 | 298,904 | ||||||
|
Wisconsin Electric Power Co.
4.25%, 12/15/2019 |
150,000 | 173,216 | ||||||
| 13,074,451 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.2%
|
||||||||
|
Emerson Electric Co.
5.00%, 4/15/2019 |
400,000 | 474,883 | ||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.3%
|
||||||||
|
Agilent Technologies, Inc.
5.00%, 7/15/2020 |
200,000 | 228,519 | ||||||
|
Amphenol Corp.
4.00%, 2/1/2022 |
150,000 | 157,487 | ||||||
|
Arrow Electronics, Inc.
5.13%, 3/1/2021 (a) |
150,000 | 158,789 | ||||||
|
Avnet, Inc.
6.63%, 9/15/2016 |
160,000 | 182,566 | ||||||
|
Energizer Holdings, Inc.
4.70%, 5/24/2022 |
100,000 | 105,488 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Tech Data Corp.
3.75%, 9/21/2017 (a) |
$ | 100,000 | $ | 100,765 | ||||
| 933,614 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 0.3%
|
||||||||
|
Cameron International Corp.
4.50%, 6/1/2021 |
50,000 | 54,734 | ||||||
|
FMC Technologies, Inc.
3.45%, 10/1/2022 |
100,000 | 102,315 | ||||||
|
Halliburton Co.
6.15%, 9/15/2019 |
125,000 | 155,879 | ||||||
|
Nabors Industries, Inc.:
|
||||||||
|
4.63%, 9/15/2021
|
150,000 | 160,047 | ||||||
|
9.25%, 1/15/2019 (a)
|
295,000 | 384,391 | ||||||
| 857,366 | ||||||||
|
FOOD & STAPLES RETAILING — 1.9%
|
||||||||
|
Costco Wholesale Corp.
5.50%, 3/15/2017 |
300,000 | 358,533 | ||||||
|
CVS Caremark Corp.:
|
||||||||
|
4.13%, 5/15/2021
|
250,000 | 284,701 | ||||||
|
5.75%, 6/1/2017
|
465,000 | 557,679 | ||||||
|
Safeway, Inc.:
|
||||||||
|
5.00%, 8/15/2019 (a)
|
190,000 | 196,258 | ||||||
|
6.25%, 3/15/2014
|
300,000 | 317,130 | ||||||
|
Sysco Corp.
5.38%, 3/17/2019 |
200,000 | 240,884 | ||||||
|
Target Corp.:
|
||||||||
|
5.38%, 5/1/2017
|
250,000 | 296,035 | ||||||
|
6.00%, 1/15/2018
|
310,000 | 381,012 | ||||||
|
The Kroger Co.:
|
||||||||
|
6.40%, 8/15/2017
|
250,000 | 301,069 | ||||||
|
7.50%, 1/15/2014
|
250,000 | 271,465 | ||||||
|
Wal-Mart
Stores, Inc.:
|
||||||||
|
1.63%, 4/15/2014
|
250,000 | 255,315 | ||||||
|
2.80%, 4/15/2016
|
250,000 | 268,042 | ||||||
|
3.00%, 2/3/2014
|
545,000 | 564,870 | ||||||
|
3.25%, 10/25/2020
|
500,000 | 548,773 | ||||||
|
5.38%, 4/5/2017 (a)
|
350,000 | 416,005 | ||||||
|
Walgreen Co.:
|
||||||||
|
1.80%, 9/15/2017
|
150,000 | 152,281 | ||||||
|
3.10%, 9/15/2022
|
100,000 | 102,084 | ||||||
|
5.25%, 1/15/2019
|
250,000 | 290,752 | ||||||
| 5,802,888 | ||||||||
|
FOOD PRODUCTS — 2.1%
|
||||||||
|
Archer-Daniels-Midland Co.
4.48%, 3/1/2021 (a) |
150,000 | 172,553 | ||||||
|
Bunge Ltd.
8.50%, 6/15/2019 |
150,000 | 189,466 | ||||||
|
Campbell Soup Co.:
|
||||||||
|
3.05%, 7/15/2017
|
100,000 | 107,710 | ||||||
|
4.25%, 4/15/2021 (a)
|
150,000 | 170,839 | ||||||
|
ConAgra Foods, Inc.:
|
||||||||
|
1.35%, 9/10/2015
|
150,000 | 150,822 | ||||||
|
2.10%, 3/15/2018
|
150,000 | 152,089 | ||||||
|
7.00%, 4/15/2019
|
250,000 | 311,699 | ||||||
|
Delhaize Group SA
4.13%, 4/10/2019 (a) |
100,000 | 98,415 | ||||||
|
General Mills, Inc.
5.70%, 2/15/2017 |
500,000 | 594,835 | ||||||
|
H.J. Heinz Co.
3.13%, 9/12/2021 (a) |
150,000 | 156,837 | ||||||
|
Ingredion, Inc.
1.80%, 9/25/2017 |
150,000 | 150,352 | ||||||
|
Kellogg Co.:
|
||||||||
|
1.75%, 5/17/2017
|
200,000 | 203,572 | ||||||
|
1.88%, 11/17/2016
|
200,000 | 205,824 | ||||||
|
3.25%, 5/21/2018
|
35,000 | 38,199 | ||||||
|
4.15%, 11/15/2019
|
150,000 | 168,574 | ||||||
|
Kraft Foods Group, Inc.
2.25%, 6/5/2017 (c) |
750,000 | 775,983 | ||||||
|
Kraft Foods, Inc.:
|
||||||||
|
4.13%, 2/9/2016
|
860,000 | 943,061 | ||||||
|
5.38%, 2/10/2020
|
410,000 | 495,260 | ||||||
|
Sara Lee Corp.
2.75%, 9/15/2015 |
200,000 | 205,678 | ||||||
|
The Hershey Co.
1.50%, 11/1/2016 (a) |
250,000 | 253,977 | ||||||
|
Tyson Foods, Inc.
4.50%, 6/15/2022 |
200,000 | 209,607 | ||||||
|
Unilever Capital Corp.:
|
||||||||
|
0.85%, 8/2/2017
|
350,000 | 346,208 | ||||||
|
3.65%, 2/15/2014
|
155,000 | 161,668 | ||||||
|
4.25%, 2/10/2021
|
150,000 | 174,753 | ||||||
| 6,437,981 | ||||||||
|
GAS UTILITIES — 0.2%
|
||||||||
|
AGL Capital Corp.
3.50%, 9/15/2021 |
140,000 | 149,336 | ||||||
|
Atmos Energy Corp.
8.50%, 3/15/2019 |
150,000 | 199,775 | ||||||
|
National Grid PLC
6.30%, 8/1/2016 |
100,000 | 116,067 | ||||||
| 465,178 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.4%
|
||||||||
|
Baxter International, Inc.
4.00%, 3/1/2014 |
510,000 | 534,126 | ||||||
|
Becton Dickinson and Co.
3.25%, 11/12/2020 |
250,000 | 265,810 | ||||||
|
Boston Scientific Corp.:
|
||||||||
|
5.45%, 6/15/2014
|
150,000 | 160,095 | ||||||
|
6.40%, 6/15/2016
|
350,000 | 404,990 | ||||||
|
C.R. Bard, Inc.
2.88%, 1/15/2016 |
75,000 | 78,715 | ||||||
|
CareFusion Corp.
5.13%, 8/1/2014 |
150,000 | 160,104 | ||||||
|
Covidien International Finance SA
2.80%, 6/15/2015 |
350,000 | 364,290 | ||||||
|
DENTSPLY International, Inc.
4.13%, 8/15/2021 |
100,000 | 105,090 | ||||||
|
Hospira, Inc.
5.90%, 6/15/2014 |
250,000 | 269,374 | ||||||
|
Johnson & Johnson
2.95%, 9/1/2020 |
250,000 | 268,487 | ||||||
|
Medtronic, Inc.:
|
||||||||
|
2.63%, 3/15/2016 (a)
|
250,000 | 263,498 | ||||||
|
3.00%, 3/15/2015
|
300,000 | 316,694 | ||||||
|
3.13%, 3/15/2022
|
250,000 | 265,152 | ||||||
|
4.45%, 3/15/2020
|
185,000 | 212,273 | ||||||
|
St. Jude Medical, Inc.
2.50%, 1/15/2016 |
250,000 | 260,197 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Stryker Corp.
2.00%, 9/30/2016 |
$ | 300,000 | $ | 311,122 | ||||
|
Zimmer Holdings, Inc.
3.38%, 11/30/2021 |
150,000 | 157,514 | ||||||
| 4,397,531 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 1.6%
|
||||||||
|
Aetna, Inc.
6.00%, 6/15/2016 |
350,000 | 409,586 | ||||||
|
AmerisourceBergen Corp.
4.88%, 11/15/2019 (a) |
250,000 | 289,609 | ||||||
|
Cardinal Health, Inc.
5.80%, 10/15/2016 |
250,000 | 289,521 | ||||||
|
CIGNA Corp.
4.50%, 3/15/2021 |
150,000 | 165,656 | ||||||
|
Cigna Corp.
5.13%, 6/15/2020 |
350,000 | 399,836 | ||||||
|
Coventry Health Care, Inc.
5.45%, 6/15/2021 |
190,000 | 223,949 | ||||||
|
Express Scripts, Inc.
6.25%, 6/15/2014 |
395,000 | 430,046 | ||||||
|
Humana, Inc.
7.20%, 6/15/2018 |
260,000 | 316,393 | ||||||
|
Laboratory Corp. of America Holdings:
|
||||||||
|
2.20%, 8/23/2017
|
67,000 | 67,839 | ||||||
|
3.13%, 5/15/2016
|
250,000 | 260,842 | ||||||
|
McKesson Corp.:
|
||||||||
|
3.25%, 3/1/2016
|
250,000 | 267,274 | ||||||
|
7.50%, 2/15/2019 (a)
|
135,000 | 176,497 | ||||||
|
Quest Diagnostics, Inc.
4.70%, 4/1/2021 |
150,000 | 167,958 | ||||||
|
UnitedHealth Group, Inc.:
|
||||||||
|
1.88%, 11/15/2016 (a)
|
250,000 | 255,948 | ||||||
|
3.88%, 10/15/2020 (a)
|
250,000 | 273,866 | ||||||
|
4.88%, 3/15/2015
|
150,000 | 164,218 | ||||||
|
WellPoint, Inc.:
|
||||||||
|
3.13%, 5/15/2022
|
100,000 | 100,139 | ||||||
|
5.25%, 1/15/2016
|
200,000 | 223,084 | ||||||
|
5.88%, 6/15/2017
|
300,000 | 356,694 | ||||||
|
7.00%, 2/15/2019
|
45,000 | 56,293 | ||||||
| 4,895,248 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 0.7%
|
||||||||
|
Darden Restaurants, Inc.
6.20%, 10/15/2017 |
150,000 | 174,343 | ||||||
|
International Game Technology
5.50%, 6/15/2020 |
100,000 | 108,559 | ||||||
|
Marriott International, Inc.
6.38%, 6/15/2017 |
150,000 | 176,517 | ||||||
|
McDonald’s Corp.:
|
||||||||
|
2.63%, 1/15/2022
|
150,000 | 156,769 | ||||||
|
3.50%, 7/15/2020
|
55,000 | 61,183 | ||||||
|
3.63%, 5/20/2021 (a)
|
50,000 | 55,835 | ||||||
|
5.35%, 3/1/2018
|
390,000 | 467,594 | ||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
6.75%, 5/15/2018 |
250,000 | 298,439 | ||||||
|
Wyndham Worldwide Corp.
5.63%, 3/1/2021 |
250,000 | 275,256 | ||||||
|
Yum! Brands, Inc.:
|
||||||||
|
3.75%, 11/1/2021
|
30,000 | 32,053 | ||||||
|
5.30%, 9/15/2019
|
150,000 | 173,674 | ||||||
|
6.25%, 3/15/2018
|
100,000 | 120,538 | ||||||
| 2,100,760 | ||||||||
|
HOUSEHOLD DURABLES — 0.1%
|
||||||||
|
Leggett & Platt, Inc.
3.40%, 8/15/2022 |
100,000 | 103,067 | ||||||
|
Whirlpool Corp.:
|
||||||||
|
4.85%, 6/15/2021 (a)
|
50,000 | 52,392 | ||||||
|
6.50%, 6/15/2016
|
250,000 | 280,638 | ||||||
| 436,097 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.9%
|
||||||||
|
Colgate-Palmolive
Co.:
|
||||||||
|
0.60%, 11/15/2014
|
100,000 | 100,380 | ||||||
|
2.95%, 11/1/2020
|
250,000 | 267,878 | ||||||
|
Fortune Brands, Inc.
6.38%, 6/15/2014 |
265,000 | 289,071 | ||||||
|
Kimberly-Clark
Corp.:
|
||||||||
|
3.63%, 8/1/2020
|
85,000 | 94,395 | ||||||
|
7.50%, 11/1/2018
|
495,000 | 661,586 | ||||||
|
Newell Rubbermaid, Inc.
6.25%, 4/15/2018 |
150,000 | 171,167 | ||||||
|
The Clorox Co.
3.80%, 11/15/2021 (a) |
250,000 | 270,252 | ||||||
|
The Procter & Gamble Co.
1.80%, 11/15/2015 |
750,000 | 776,380 | ||||||
| 2,631,109 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.1%
|
||||||||
|
TransAlta Corp.
5.75%, 12/15/2013 |
200,000 | 209,275 | ||||||
|
INDUSTRIAL CONGLOMERATES — 0.8%
|
||||||||
|
3M Co.
1.00%, 6/26/2017 |
420,000 | 421,933 | ||||||
|
Cooper US, Inc.:
|
||||||||
|
2.38%, 1/15/2016
|
100,000 | 102,860 | ||||||
|
3.88%, 12/15/2020
|
150,000 | 163,801 | ||||||
|
General Electric Co.
5.25%, 12/6/2017 |
1,010,000 | 1,190,877 | ||||||
|
Koninklijke Philips Electronics NV:
|
||||||||
|
3.75%, 3/15/2022
|
200,000 | 215,897 | ||||||
|
5.75%, 3/11/2018
|
100,000 | 121,377 | ||||||
|
Tyco Electronics Group SA
6.55%, 10/1/2017 |
210,000 | 253,245 | ||||||
| 2,469,990 | ||||||||
|
INSURANCE — 4.0%
|
||||||||
|
ACE INA Holdings, Inc.:
|
||||||||
|
2.60%, 11/23/2015
|
250,000 | 261,479 | ||||||
|
5.90%, 6/15/2019
|
155,000 | 190,699 | ||||||
|
AEGON Funding Co. LLC
5.75%, 12/15/2020 |
100,000 | 114,862 | ||||||
|
Aflac, Inc.
8.50%, 5/15/2019 |
145,000 | 193,723 | ||||||
|
Alleghany Corp.
4.95%, 6/27/2022 |
100,000 | 108,369 | ||||||
|
Allied World Assurance Co., Ltd.
7.50%, 8/1/2016 |
100,000 | 115,858 | ||||||
|
American International Group, Inc.:
|
||||||||
|
4.88%, 6/1/2022
|
100,000 | 112,783 | ||||||
|
5.85%, 1/16/2018
|
1,150,000 | 1,331,731 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
8.25%, 8/15/2018
|
$ | 600,000 | $ | 769,138 | ||||
|
AON Corp.
5.00%, 9/30/2020 (a) |
225,000 | 258,374 | ||||||
|
Axis Specialty Finance LLC
5.88%, 6/1/2020 |
100,000 | 111,307 | ||||||
|
Berkshire Hathaway Finance Corp.:
|
||||||||
|
1.50%, 1/10/2014
|
100,000 | 101,410 | ||||||
|
4.25%, 1/15/2021 (a)
|
100,000 | 113,122 | ||||||
|
5.40%, 5/15/2018 (a)
|
145,000 | 174,679 | ||||||
|
Berkshire Hathaway, Inc.:
|
||||||||
|
1.90%, 1/31/2017 (a)
|
500,000 | 516,858 | ||||||
|
3.20%, 2/11/2015
|
350,000 | 371,048 | ||||||
|
3.40%, 1/31/2022
|
150,000 | 160,038 | ||||||
|
Chubb Corp.
6.38%, 3/29/2067 (b) |
195,000 | 205,725 | ||||||
|
CNA Financial Corp.:
|
||||||||
|
5.88%, 8/15/2020
|
150,000 | 173,898 | ||||||
|
6.50%, 8/15/2016
|
150,000 | 173,325 | ||||||
|
Fidelity National Financial, Inc.
5.50%, 9/1/2022 |
100,000 | 106,787 | ||||||
|
Genworth Financial, Inc.:
|
||||||||
|
5.75%, 6/15/2014
|
45,000 | 45,900 | ||||||
|
7.20%, 2/15/2021
|
150,000 | 153,000 | ||||||
|
8.63%, 12/15/2016 (a)
|
150,000 | 166,500 | ||||||
|
Hartford Financial Services Group, Inc.:
|
||||||||
|
4.00%, 3/30/2015
|
100,000 | 105,199 | ||||||
|
6.30%, 3/15/2018
|
330,000 | 384,775 | ||||||
|
Infinity Property & Casualty Corp.
5.00%, 9/19/2022 |
100,000 | 103,914 | ||||||
|
ING US, Inc.
5.50%, 7/15/2022 (c) |
100,000 | 103,920 | ||||||
|
Lincoln National Corp.
8.75%, 7/1/2019 |
300,000 | 391,033 | ||||||
|
Manulife Financial Corp.
3.40%, 9/17/2015 |
100,000 | 104,270 | ||||||
|
Marsh & McLennan Cos., Inc.:
|
||||||||
|
4.80%, 7/15/2021
|
50,000 | 56,784 | ||||||
|
5.75%, 9/15/2015
|
185,000 | 207,304 | ||||||
|
MetLife, Inc.:
|
||||||||
|
2.38%, 2/6/2014
|
150,000 | 153,179 | ||||||
|
4.75%, 2/8/2021 (a)
|
250,000 | 289,346 | ||||||
|
6.75%, 6/1/2016
|
515,000 | 613,527 | ||||||
|
PartnerRe, Ltd.
5.50%, 6/1/2020 (a) |
100,000 | 110,246 | ||||||
|
Principal Financial Group, Inc.
7.88%, 5/15/2014 |
250,000 | 277,627 | ||||||
|
Prudential Financial, Inc.:
|
||||||||
|
3.88%, 1/14/2015
|
125,000 | 132,633 | ||||||
|
4.75%, 4/1/2014 (a)
|
300,000 | 316,523 | ||||||
|
4.75%, 9/17/2015
|
320,000 | 351,869 | ||||||
|
7.38%, 6/15/2019
|
200,000 | 251,978 | ||||||
|
Reinsurance Group of America, Inc.
6.45%, 11/15/2019 |
250,000 | 288,662 | ||||||
|
StanCorp Financial Group, Inc.
5.00%, 8/15/2022 |
100,000 | 102,438 | ||||||
|
The Allstate Corp.
5.00%, 8/15/2014 |
500,000 | 539,039 | ||||||
|
The Progressive Corp.
3.75%, 8/23/2021 |
150,000 | 165,021 | ||||||
|
The Travelers Cos., Inc.
6.25%, 6/20/2016 |
320,000 | 376,298 | ||||||
|
Torchmark Corp.
3.80%, 9/15/2022 |
75,000 | 76,955 | ||||||
|
Transatlantic Holdings, Inc.
5.75%, 12/14/2015 |
100,000 | 110,558 | ||||||
|
Unum Group
7.13%, 9/30/2016 |
100,000 | 116,123 | ||||||
|
Willis North America, Inc.
7.00%, 9/29/2019 |
250,000 | 296,407 | ||||||
|
WR Berkley Corp.
4.63%, 3/15/2022 |
150,000 | 158,070 | ||||||
|
XL Group PLC
5.25%, 9/15/2014 |
250,000 | 267,047 | ||||||
| 12,481,358 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.1%
|
||||||||
|
Expedia, Inc.
5.95%, 8/15/2020 |
200,000 | 218,000 | ||||||
|
INTERNET SOFTWARE &
SERVICES — 0.2%
|
||||||||
|
eBay, Inc.:
|
||||||||
|
0.70%, 7/15/2015 (a)
|
38,000 | 38,147 | ||||||
|
2.60%, 7/15/2022
|
150,000 | 150,413 | ||||||
|
3.25%, 10/15/2020 (a)
|
150,000 | 159,364 | ||||||
|
Google, Inc.:
|
||||||||
|
1.25%, 5/19/2014
|
250,000 | 253,908 | ||||||
|
3.63%, 5/19/2021
|
150,000 | 168,757 | ||||||
| 770,589 | ||||||||
|
IT SERVICES — 0.3%
|
||||||||
|
Fiserv, Inc.
6.80%, 11/20/2017 |
150,000 | 182,676 | ||||||
|
International Business Machines Corp.
5.70%, 9/14/2017 |
645,000 | 784,833 | ||||||
| 967,509 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.3%
|
||||||||
|
Life Technologies Corp.
5.00%, 1/15/2021 |
250,000 | 280,021 | ||||||
|
Thermo Fisher Scientific, Inc.:
|
||||||||
|
2.25%, 8/15/2016
|
400,000 | 413,067 | ||||||
|
3.20%, 5/1/2015
|
250,000 | 263,926 | ||||||
|
3.20%, 3/1/2016
|
40,000 | 42,558 | ||||||
| 999,572 | ||||||||
|
MACHINERY — 1.3%
|
||||||||
|
Caterpillar, Inc.:
|
||||||||
|
1.38%, 5/27/2014
|
50,000 | 50,687 | ||||||
|
1.50%, 6/26/2017
|
750,000 | 762,741 | ||||||
|
2.60%, 6/26/2022
|
100,000 | 102,709 | ||||||
|
3.90%, 5/27/2021 (a)
|
250,000 | 285,699 | ||||||
|
Danaher Corp.
5.40%, 3/1/2019 (a) |
250,000 | 301,147 | ||||||
|
Deere & Co.
2.60%, 6/8/2022 |
500,000 | 513,484 | ||||||
|
Eaton Corp.
6.95%, 3/20/2019 |
150,000 | 188,238 | ||||||
|
Illinois Tool Works, Inc.:
|
||||||||
|
3.38%, 9/15/2021
|
45,000 | 48,291 | ||||||
|
6.25%, 4/1/2019
|
250,000 | 310,365 | ||||||
|
Ingersoll-Rand
Global Holding Co., Ltd.
9.50%, 4/15/2014 |
180,000 | 201,853 | ||||||
|
John Deere Capital Corp.:
|
||||||||
|
1.25%, 12/2/2014
|
500,000 | 507,102 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
2.80%, 9/18/2017 (a)
|
$ | 250,000 | $ | 268,213 | ||||
|
3.90%, 7/12/2021 (a)
|
150,000 | 169,772 | ||||||
|
Joy Global, Inc.
5.13%, 10/15/2021 |
80,000 | 89,094 | ||||||
|
Pentair, Inc.
5.00%, 5/15/2021 |
150,000 | 169,837 | ||||||
|
Stanley Black & Decker, Inc.
3.40%, 12/1/2021 (a) |
100,000 | 104,919 | ||||||
| 4,074,151 | ||||||||
|
MEDIA — 4.4%
|
||||||||
|
CBS Corp.:
|
||||||||
|
3.38%, 3/1/2022 (a)
|
150,000 | 156,218 | ||||||
|
8.88%, 5/15/2019
|
145,000 | 196,457 | ||||||
|
Comcast Corp.:
|
||||||||
|
3.13%, 7/15/2022
|
100,000 | 105,503 | ||||||
|
4.65%, 7/15/2042
|
48,000 | 51,119 | ||||||
|
5.70%, 5/15/2018
|
1,015,000 | 1,229,945 | ||||||
|
6.50%, 1/15/2015
|
500,000 | 562,554 | ||||||
|
Cox Communications, Inc.
5.45%, 12/15/2014 |
500,000 | 550,259 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
|
||||||||
|
3.50%, 3/1/2016
|
250,000 | 266,328 | ||||||
|
3.55%, 3/15/2015
|
395,000 | 418,283 | ||||||
|
3.80%, 3/15/2022
|
250,000 | 257,253 | ||||||
|
5.00%, 3/1/2021
|
150,000 | 168,746 | ||||||
|
5.20%, 3/15/2020
|
350,000 | 396,401 | ||||||
|
Discovery Communications LLC:
|
||||||||
|
4.38%, 6/15/2021
|
100,000 | 112,354 | ||||||
|
5.05%, 6/1/2020
|
200,000 | 232,077 | ||||||
|
5.63%, 8/15/2019
|
100,000 | 118,660 | ||||||
|
NBCUniversal Media LLC:
|
||||||||
|
3.65%, 4/30/2015
|
500,000 | 534,862 | ||||||
|
4.38%, 4/1/2021
|
250,000 | 282,876 | ||||||
|
5.15%, 4/30/2020
|
150,000 | 178,000 | ||||||
|
News America, Inc.:
|
||||||||
|
4.50%, 2/15/2021
|
200,000 | 225,407 | ||||||
|
6.90%, 3/1/2019
|
260,000 | 328,521 | ||||||
|
Omnicom Group, Inc.:
|
||||||||
|
4.45%, 8/15/2020
|
250,000 | 277,318 | ||||||
|
6.25%, 7/15/2019
|
500,000 | 604,652 | ||||||
|
Reed Elsevier Capital, Inc.
8.63%, 1/15/2019 |
150,000 | 191,217 | ||||||
|
The Interpublic Group of Cos., Inc.
6.25%, 11/15/2014 (d) |
100,000 | 109,000 | ||||||
|
The Walt Disney Co.:
|
||||||||
|
3.75%, 6/1/2021
|
200,000 | 225,381 | ||||||
|
4.50%, 12/15/2013
|
380,000 | 398,527 | ||||||
|
5.50%, 3/15/2019 (a)
|
500,000 | 607,584 | ||||||
|
The Washington Post Co.
7.25%, 2/1/2019 (a) |
100,000 | 117,176 | ||||||
|
Thomson Reuters Corp.
6.50%, 7/15/2018 |
405,000 | 504,631 | ||||||
|
Time Warner Cable, Inc.:
|
||||||||
|
4.00%, 9/1/2021
|
250,000 | 275,435 | ||||||
|
5.00%, 2/1/2020 (a)
|
500,000 | 581,888 | ||||||
|
5.85%, 5/1/2017
|
500,000 | 595,238 | ||||||
|
8.25%, 2/14/2014
|
500,000 | 549,245 | ||||||
|
Time Warner, Inc.:
|
||||||||
|
4.88%, 3/15/2020
|
350,000 | 402,678 | ||||||
|
5.88%, 11/15/2016
|
490,000 | 577,946 | ||||||
|
Viacom, Inc.:
|
||||||||
|
3.50%, 4/1/2017
|
100,000 | 108,988 | ||||||
|
4.50%, 3/1/2021
|
200,000 | 226,330 | ||||||
|
6.25%, 4/30/2016
|
400,000 | 468,578 | ||||||
|
Virgin Media Secured Finance PLC
5.25%, 1/15/2021 (a) |
125,000 | 142,663 | ||||||
|
WPP Finance UK
5.88%, 6/15/2014 |
250,000 | 267,729 | ||||||
| 13,604,027 | ||||||||
|
METALS & MINING — 3.2%
|
||||||||
|
Alcoa, Inc.:
|
||||||||
|
5.40%, 4/15/2021 (a)
|
250,000 | 261,248 | ||||||
|
6.15%, 8/15/2020 (a)
|
200,000 | 219,744 | ||||||
|
6.75%, 7/15/2018
|
205,000 | 232,947 | ||||||
|
ArcelorMittal:
|
||||||||
|
4.00%, 3/1/2016 (a)
|
250,000 | 245,000 | ||||||
|
5.75%, 3/1/2021 (a)
|
200,000 | 190,000 | ||||||
|
6.13%, 6/1/2018 (a)
|
300,000 | 297,750 | ||||||
|
6.50%, 2/25/2022 (a)
|
500,000 | 492,500 | ||||||
|
Barrick Gold Corp.:
|
||||||||
|
1.75%, 5/30/2014
|
45,000 | 45,653 | ||||||
|
2.90%, 5/30/2016 (a)
|
250,000 | 261,422 | ||||||
|
6.95%, 4/1/2019
|
250,000 | 308,959 | ||||||
|
Barrick North America Finance LLC
4.40%, 5/30/2021 |
50,000 | 54,279 | ||||||
|
BHP Billiton Finance USA, Ltd.:
|
||||||||
|
2.88%, 2/24/2022 (a)
|
300,000 | 308,913 | ||||||
|
3.25%, 11/21/2021
|
250,000 | 264,855 | ||||||
|
5.25%, 12/15/2015
|
500,000 | 567,547 | ||||||
|
5.50%, 4/1/2014
|
715,000 | 766,234 | ||||||
|
Cliffs Natural Resources, Inc.
4.88%, 4/1/2021 (a) |
100,000 | 98,208 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
3.55%, 3/1/2022 |
500,000 | 500,477 | ||||||
|
Newmont Mining Corp.
3.50%, 3/15/2022 |
150,000 | 151,714 | ||||||
|
Nucor Corp.
5.75%, 12/1/2017 |
250,000 | 302,205 | ||||||
|
Rio Tinto Finance USA PLC
2.88%, 8/21/2022 (a) |
500,000 | 497,738 | ||||||
|
Rio Tinto Finance USA, Ltd.:
|
||||||||
|
2.25%, 9/20/2016
|
150,000 | 155,315 | ||||||
|
3.50%, 11/2/2020
|
400,000 | 423,463 | ||||||
|
3.75%, 9/20/2021
|
150,000 | 160,154 | ||||||
|
6.50%, 7/15/2018
|
300,000 | 372,872 | ||||||
|
8.95%, 5/1/2014
|
250,000 | 281,395 | ||||||
|
9.00%, 5/1/2019
|
300,000 | 407,056 | ||||||
|
Teck Resources, Ltd.:
|
||||||||
|
3.75%, 2/1/2023 (a)
|
500,000 | 492,075 | ||||||
|
10.75%, 5/15/2019
|
225,000 | 271,125 | ||||||
|
Vale Overseas, Ltd.:
|
||||||||
|
4.38%, 1/11/2022
|
100,000 | 104,553 | ||||||
|
5.63%, 9/15/2019
|
360,000 | 405,965 | ||||||
|
6.25%, 1/23/2017
|
500,000 | 576,980 | ||||||
|
Xstrata Canada Corp.
6.00%, 10/15/2015 |
150,000 | 168,028 | ||||||
| 9,886,374 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MULTI-UTILITIES — 1.1%
|
||||||||
|
Dominion Resources, Inc.:
|
||||||||
|
1.80%, 3/15/2014
|
$ | 600,000 | $ | 610,946 | ||||
|
4.45%, 3/15/2021 (a)
|
250,000 | 288,226 | ||||||
|
5.60%, 11/15/2016
|
300,000 | 353,188 | ||||||
|
MidAmerican Energy Holdings Co.
5.75%, 4/1/2018 |
490,000 | 582,989 | ||||||
|
NSTAR
4.50%, 11/15/2019 |
150,000 | 168,543 | ||||||
|
Sempra Energy:
|
||||||||
|
6.15%, 6/15/2018
|
150,000 | 184,034 | ||||||
|
6.50%, 6/1/2016
|
395,000 | 463,179 | ||||||
|
Veolia Environnement SA
6.00%, 6/1/2018 |
100,000 | 115,915 | ||||||
|
Xcel Energy, Inc.
4.70%, 5/15/2020 |
650,000 | 761,564 | ||||||
| 3,528,584 | ||||||||
|
MULTILINE RETAIL — 0.3%
|
||||||||
|
Kohl’s Corp.
4.00%, 11/1/2021 (a) |
150,000 | 162,318 | ||||||
|
Macy’s Retail Holdings, Inc.:
|
||||||||
|
3.88%, 1/15/2022 (a)
|
100,000 | 107,804 | ||||||
|
5.75%, 7/15/2014
|
200,000 | 216,277 | ||||||
|
Nordstrom, Inc.
6.75%, 6/1/2014 |
200,000 | 219,941 | ||||||
|
Target Corp.
2.90%, 1/15/2022 (a) |
100,000 | 105,095 | ||||||
| 811,435 | ||||||||
|
OFFICE ELECTRONICS — 0.3%
|
||||||||
|
Xerox Corp.:
|
||||||||
|
4.25%, 2/15/2015
|
395,000 | 418,696 | ||||||
|
5.63%, 12/15/2019
|
350,000 | 397,277 | ||||||
| 815,973 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 8.2%
|
||||||||
|
Anadarko Petroleum Corp.:
|
||||||||
|
5.95%, 9/15/2016
|
550,000 | 636,069 | ||||||
|
6.95%, 6/15/2019
|
155,000 | 193,662 | ||||||
|
Apache Corp.
6.90%, 9/15/2018 |
300,000 | 385,440 | ||||||
|
Baker Hughes, Inc.
7.50%, 11/15/2018 |
185,000 | 248,659 | ||||||
|
Boardwalk Pipelines LP
5.75%, 9/15/2019 |
150,000 | 164,484 | ||||||
|
BP Capital Markets PLC:
|
||||||||
|
2.25%, 11/1/2016
|
250,000 | 260,811 | ||||||
|
3.20%, 3/11/2016
|
500,000 | 534,332 | ||||||
|
4.74%, 3/11/2021
|
500,000 | 582,050 | ||||||
|
Canadian Natural Resources, Ltd.
5.70%, 5/15/2017 |
355,000 | 419,932 | ||||||
|
Cenovus Energy, Inc.
4.50%, 9/15/2014 |
250,000 | 266,701 | ||||||
|
CenterPoint Energy Resources Corp.:
|
||||||||
|
4.50%, 1/15/2021
|
65,000 | 72,223 | ||||||
|
6.15%, 5/1/2016
|
250,000 | 288,696 | ||||||
|
Chevron Corp.:
|
||||||||
|
3.95%, 3/3/2014
|
150,000 | 157,346 | ||||||
|
4.95%, 3/3/2019
|
205,000 | 247,618 | ||||||
|
ConocoPhillips:
|
||||||||
|
4.60%, 1/15/2015
|
150,000 | 163,403 | ||||||
|
5.75%, 2/1/2019
|
510,000 | 628,758 | ||||||
|
6.00%, 1/15/2020
|
250,000 | 318,714 | ||||||
|
ConocoPhillips Canada Funding Co.
5.63%, 10/15/2016 |
250,000 | 294,781 | ||||||
|
Devon Energy Corp.
2.40%, 7/15/2016 |
750,000 | 778,906 | ||||||
|
Diamond Offshore Drilling, Inc.
5.88%, 5/1/2019 |
145,000 | 179,617 | ||||||
|
El Paso Natural Gas Co.
5.95%, 4/15/2017 |
150,000 | 172,556 | ||||||
|
Enbridge Energy Partners LP
5.20%, 3/15/2020 |
250,000 | 285,817 | ||||||
|
Enbridge, Inc.
5.60%, 4/1/2017 |
250,000 | 289,943 | ||||||
|
EnCana Corp.
6.50%, 5/15/2019 |
310,000 | 371,873 | ||||||
|
Energy Transfer Partners LP:
|
||||||||
|
6.70%, 7/1/2018
|
250,000 | 295,888 | ||||||
|
8.50%, 4/15/2014
|
257,000 | 282,436 | ||||||
|
Ensco PLC:
|
||||||||
|
3.25%, 3/15/2016
|
400,000 | 425,846 | ||||||
|
4.70%, 3/15/2021 (a)
|
125,000 | 140,886 | ||||||
|
Enterprise Products Operating LLC:
|
||||||||
|
1.25%, 8/13/2015
|
49,000 | 49,262 | ||||||
|
3.20%, 2/1/2016
|
100,000 | 105,404 | ||||||
|
6.30%, 9/15/2017
|
360,000 | 433,051 | ||||||
|
9.75%, 1/31/2014
|
250,000 | 279,049 | ||||||
|
EOG Resources, Inc.:
|
||||||||
|
2.95%, 6/1/2015
|
350,000 | 367,346 | ||||||
|
4.40%, 6/1/2020 (a)
|
500,000 | 570,090 | ||||||
|
EQT Corp.
8.13%, 6/1/2019 |
150,000 | 181,603 | ||||||
|
Hess Corp.
8.13%, 2/15/2019 |
100,000 | 130,278 | ||||||
|
Husky Energy, Inc.
7.25%, 12/15/2019 |
250,000 | 319,909 | ||||||
|
Kinder Morgan Energy Partners LP:
|
||||||||
|
4.15%, 3/1/2022
|
250,000 | 270,487 | ||||||
|
5.30%, 9/15/2020 (a)
|
200,000 | 233,296 | ||||||
|
6.00%, 2/1/2017
|
505,000 | 587,736 | ||||||
|
Magellan Midstream Partners LP
6.55%, 7/15/2019 |
150,000 | 182,604 | ||||||
|
Marathon Oil Corp.
6.00%, 10/1/2017 |
300,000 | 361,098 | ||||||
|
Marathon Petroleum Corp.
5.13%, 3/1/2021 (a) |
150,000 | 173,094 | ||||||
|
Nexen, Inc.
6.20%, 7/30/2019 |
155,000 | 186,612 | ||||||
|
Noble Energy, Inc.
8.25%, 3/1/2019 |
150,000 | 192,738 | ||||||
|
Noble Holding International, Ltd.
4.90%, 8/1/2020 (a) |
200,000 | 222,830 | ||||||
|
Occidental Petroleum Corp.:
|
||||||||
|
1.45%, 12/13/2013
|
250,000 | 253,169 | ||||||
|
1.75%, 2/15/2017
|
200,000 | 204,409 | ||||||
|
2.50%, 2/1/2016
|
300,000 | 314,911 | ||||||
|
ONEOK Partners LP:
|
||||||||
|
3.25%, 2/1/2016
|
50,000 | 52,553 | ||||||
|
6.15%, 10/1/2016
|
150,000 | 173,001 | ||||||
|
ONEOK, Inc.
4.25%, 2/1/2022 (a) |
150,000 | 161,256 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Panhandle Eastern Pipeline Co. LP
6.20%, 11/1/2017 |
$ | 150,000 | $ | 173,769 | ||||
|
PC Financial Partnership
5.00%, 11/15/2014 |
250,000 | 270,999 | ||||||
|
Phillips 66:
|
||||||||
|
2.95%, 5/1/2017 (c)
|
350,000 | 367,146 | ||||||
|
4.30%, 4/1/2022 (c)
|
500,000 | 545,271 | ||||||
|
Pioneer Natural Resources Co.
7.50%, 1/15/2020 |
250,000 | 311,250 | ||||||
|
Plains All American Pipeline LP/PAA Finance Corp.:
|
||||||||
|
5.00%, 2/1/2021
|
250,000 | 290,863 | ||||||
|
5.75%, 1/15/2020
|
250,000 | 300,357 | ||||||
|
Rowan Cos., Inc.
7.88%, 8/1/2019 |
150,000 | 184,061 | ||||||
|
Shell International Finance BV:
|
||||||||
|
1.13%, 8/21/2017
|
500,000 | 501,770 | ||||||
|
3.10%, 6/28/2015
|
150,000 | 159,928 | ||||||
|
4.00%, 3/21/2014
|
680,000 | 714,454 | ||||||
|
4.30%, 9/22/2019
|
350,000 | 407,916 | ||||||
|
Southern Natural Gas Co.
4.40%, 6/15/2021 |
250,000 | 268,929 | ||||||
|
Southwestern Energy Co.
4.10%, 3/15/2022 (c) |
250,000 | 261,618 | ||||||
|
Spectra Energy Capital LLC
5.67%, 8/15/2014 |
250,000 | 267,766 | ||||||
|
Suncor Energy, Inc.
6.10%, 6/1/2018 (a) |
150,000 | 184,137 | ||||||
|
Talisman Energy, Inc.
7.75%, 6/1/2019 |
150,000 | 189,768 | ||||||
|
Total Capital Canada, Ltd.
1.63%, 1/28/2014 |
250,000 | 253,909 | ||||||
|
Total Capital International SA:
|
||||||||
|
1.55%, 6/28/2017
|
100,000 | 101,699 | ||||||
|
2.88%, 2/17/2022
|
150,000 | 156,105 | ||||||
|
Total Capital SA:
|
||||||||
|
3.00%, 6/24/2015
|
250,000 | 265,945 | ||||||
|
3.13%, 10/2/2015 (a)
|
300,000 | 321,674 | ||||||
|
4.13%, 1/28/2021
|
250,000 | 284,630 | ||||||
|
TransCanada PipeLines, Ltd.:
|
||||||||
|
0.88%, 3/2/2015
|
150,000 | 150,773 | ||||||
|
2.50%, 8/1/2022
|
250,000 | 251,348 | ||||||
|
3.80%, 10/1/2020 (a)
|
350,000 | 390,389 | ||||||
|
7.13%, 1/15/2019
|
150,000 | 192,776 | ||||||
|
Transocean, Inc.:
|
||||||||
|
2.50%, 10/15/2017
|
250,000 | 251,998 | ||||||
|
4.95%, 11/15/2015 (a)
|
350,000 | 382,652 | ||||||
|
6.38%, 12/15/2021
|
250,000 | 299,212 | ||||||
|
Valero Energy Corp.:
|
||||||||
|
6.13%, 6/15/2017
|
250,000 | 301,950 | ||||||
|
6.13%, 2/1/2020 (a)
|
145,000 | 175,815 | ||||||
|
Weatherford International, Ltd.:
|
||||||||
|
4.95%, 10/15/2013
|
195,000 | 202,857 | ||||||
|
5.13%, 9/15/2020
|
250,000 | 273,671 | ||||||
|
Williams Partners LP:
|
||||||||
|
3.80%, 2/15/2015
|
265,000 | 281,001 | ||||||
|
4.00%, 11/15/2021 (a)
|
150,000 | 160,186 | ||||||
|
XTO Energy, Inc.
5.75%, 12/15/2013 |
250,000 | 266,257 | ||||||
| 25,458,082 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.4%
|
||||||||
|
Celulosa Arauco y Constitucion SA
5.63%, 4/20/2015 |
250,000 | 269,995 | ||||||
|
International Paper Co.:
|
||||||||
|
7.50%, 8/15/2021
|
250,000 | 325,961 | ||||||
|
7.95%, 6/15/2018
|
250,000 | 322,316 | ||||||
|
9.38%, 5/15/2019
|
130,000 | 175,816 | ||||||
| 1,094,088 | ||||||||
|
PERSONAL PRODUCTS — 0.1%
|
||||||||
|
Avon Products, Inc.
4.20%, 7/15/2018 |
200,000 | 201,006 | ||||||
|
The Procter & Gamble Co.
1.45%, 8/15/2016 (a) |
250,000 | 256,371 | ||||||
| 457,377 | ||||||||
|
PHARMACEUTICALS — 3.6%
|
||||||||
|
Abbott Laboratories
5.60%, 11/30/2017 |
930,000 | 1,131,133 | ||||||
|
Allergan, Inc.
5.75%, 4/1/2016 |
200,000 | 231,992 | ||||||
|
Aristotle Holding, Inc.:
|
||||||||
|
3.90%, 2/15/2022 (c)
|
600,000 | 652,109 | ||||||
|
4.75%, 11/15/2021 (c)
|
250,000 | 287,093 | ||||||
|
AstraZeneca PLC
5.90%, 9/15/2017 |
250,000 | 304,876 | ||||||
|
Bristol-Myers
Squibb Co.
2.00%, 8/1/2022 |
100,000 | 97,046 | ||||||
|
Eli Lilly & Co.
5.20%, 3/15/2017 |
350,000 | 413,390 | ||||||
|
GlaxoSmithKline Capital PLC:
|
||||||||
|
1.50%, 5/8/2017
|
350,000 | 355,468 | ||||||
|
2.85%, 5/8/2022
|
350,000 | 361,976 | ||||||
|
GlaxoSmithKline Capital, Inc.:
|
||||||||
|
4.38%, 4/15/2014
|
200,000 | 211,993 | ||||||
|
5.65%, 5/15/2018
|
250,000 | 306,029 | ||||||
|
Johnson & Johnson
5.55%, 8/15/2017 |
350,000 | 424,975 | ||||||
|
Mead Johnson Nutrition Co.
4.90%, 11/1/2019 |
150,000 | 173,890 | ||||||
|
Medco Health Solutions, Inc.
7.13%, 3/15/2018 |
205,000 | 258,070 | ||||||
|
Merck & Co., Inc.:
|
||||||||
|
2.40%, 9/15/2022
|
500,000 | 507,198 | ||||||
|
5.00%, 6/30/2019
|
310,000 | 370,843 | ||||||
|
5.30%, 12/1/2013
|
250,000 | 264,122 | ||||||
|
Novartis Capital Corp.
4.13%, 2/10/2014 |
570,000 | 598,014 | ||||||
|
Novartis Securities Investment, Ltd.
5.13%, 2/10/2019 |
500,000 | 601,520 | ||||||
|
Pfizer, Inc.:
|
||||||||
|
5.35%, 3/15/2015
|
350,000 | 390,373 | ||||||
|
6.20%, 3/15/2019
|
560,000 | 708,056 | ||||||
|
Sanofi:
|
||||||||
|
1.20%, 9/30/2014
|
250,000 | 253,273 | ||||||
|
2.63%, 3/29/2016
|
300,000 | 316,907 | ||||||
|
4.00%, 3/29/2021 (a)
|
250,000 | 283,908 | ||||||
|
Schering-Plough Corp.
6.00%, 9/15/2017 |
250,000 | 308,507 | ||||||
|
Teva Pharmaceutical Finance Co. BV
3.65%, 11/10/2021 (a) |
300,000 | 323,933 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
SOFTWARE — 1.0%
|
||||||||
|
Adobe Systems, Inc.
3.25%, 2/1/2015 |
$ | 200,000 | $ | 209,122 | ||||
|
BMC Software, Inc.
4.25%, 2/15/2022 |
150,000 | 154,465 | ||||||
|
CA, Inc.
6.13%, 12/1/2014 (a) |
150,000 | 164,427 | ||||||
|
Intuit, Inc.
5.75%, 3/15/2017 |
150,000 | 173,625 | ||||||
|
Microsoft Corp.:
|
||||||||
|
2.50%, 2/8/2016 (a)
|
250,000 | 265,652 | ||||||
|
2.95%, 6/1/2014
|
250,000 | 261,048 | ||||||
|
4.20%, 6/1/2019 (a)
|
435,000 | 506,605 | ||||||
|
Oracle Corp.:
|
||||||||
|
3.75%, 7/8/2014 (a)
|
505,000 | 534,612 | ||||||
|
5.00%, 7/8/2019
|
400,000 | 484,407 | ||||||
|
5.75%, 4/15/2018
|
250,000 | 308,807 | ||||||
|
Symantec Corp.
2.75%, 9/15/2015 (a) |
125,000 | 128,914 | ||||||
| 3,191,684 | ||||||||
|
SPECIALTY RETAIL — 0.7%
|
||||||||
|
Advance Auto Parts, Inc.
4.50%, 1/15/2022 |
50,000 | 53,894 | ||||||
|
AutoZone, Inc.
5.75%, 1/15/2015 |
300,000 | 328,149 | ||||||
|
Home Depot, Inc.
5.25%, 12/16/2013 |
250,000 | 264,631 | ||||||
|
Lowe’s Cos., Inc.:
|
||||||||
|
2.13%, 4/15/2016 (a)
|
250,000 | 259,699 | ||||||
|
3.12%, 4/15/2022 (a)
|
250,000 | 258,833 | ||||||
|
4.63%, 4/15/2020
|
125,000 | 142,798 | ||||||
|
O’Reilly Automotive, Inc.
4.63%, 9/15/2021 |
100,000 | 109,486 | ||||||
|
Staples, Inc.
9.75%, 1/15/2014 |
100,000 | 110,776 | ||||||
|
The Home Depot, Inc.:
|
||||||||
|
3.95%, 9/15/2020 (a)
|
250,000 | 284,943 | ||||||
|
5.40%, 3/1/2016
|
250,000 | 287,033 | ||||||
|
TJX Cos., Inc.
4.20%, 8/15/2015 (a) |
150,000 | 162,622 | ||||||
| 2,262,864 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.3%
|
||||||||
|
Murray Street Investment Trust I
4.65%, 3/9/2017 |
500,000 | 536,557 | ||||||
|
Santander Holdings USA, Inc.
4.63%, 4/19/2016 |
250,000 | 260,918 | ||||||
| 797,475 | ||||||||
|
TOBACCO — 1.1%
|
||||||||
|
Altria Group, Inc.:
|
||||||||
|
2.85%, 8/9/2022
|
500,000 | 494,144 | ||||||
|
4.13%, 9/11/2015
|
400,000 | 436,668 | ||||||
|
4.75%, 5/5/2021
|
400,000 | 457,961 | ||||||
|
8.50%, 11/10/2013
|
250,000 | 271,371 | ||||||
|
9.70%, 11/10/2018
|
149,000 | 212,745 | ||||||
|
Lorillard Tobacco Co.:
|
||||||||
|
2.30%, 8/21/2017
|
100,000 | 100,550 | ||||||
|
3.50%, 8/4/2016
|
45,000 | 47,517 | ||||||
|
6.88%, 5/1/2020 (a)
|
150,000 | 183,593 | ||||||
|
Philip Morris International, Inc.:
|
||||||||
|
2.90%, 11/15/2021
|
250,000 | 259,396 | ||||||
|
5.65%, 5/16/2018
|
500,000 | 610,599 | ||||||
|
6.88%, 3/17/2014
|
250,000 | 273,018 | ||||||
|
Reynolds American, Inc.
7.63%, 6/1/2016 |
155,000 | 187,012 | ||||||
| 3,534,574 | ||||||||
|
TRANSPORTATION INFRASTRUCTURE — 0.1%
|
||||||||
|
Norfolk Southern Corp.
5.75%, 1/15/2016 |
150,000 | 172,149 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 4.1%
|
||||||||
|
America Movil SAB de CV:
|
||||||||
|
2.38%, 9/8/2016
|
250,000 | 259,665 | ||||||
|
3.13%, 7/16/2022
|
250,000 | 257,173 | ||||||
|
5.00%, 3/30/2020
|
350,000 | 408,498 | ||||||
|
5.50%, 3/1/2014 (d)
|
250,000 | 265,000 | ||||||
|
American Tower Corp.:
|
||||||||
|
4.50%, 1/15/2018
|
100,000 | 111,260 | ||||||
|
4.63%, 4/1/2015
|
250,000 | 267,127 | ||||||
|
5.05%, 9/1/2020
|
100,000 | 111,455 | ||||||
|
AT&T, Inc.:
|
||||||||
|
1.70%, 6/1/2017
|
250,000 | 257,606 | ||||||
|
2.95%, 5/15/2016
|
250,000 | 267,478 | ||||||
|
4.45%, 5/15/2021
|
400,000 | 469,713 | ||||||
|
5.10%, 9/15/2014
|
200,000 | 217,512 | ||||||
|
5.50%, 2/1/2018
|
798,000 | 964,168 | ||||||
|
BellSouth Corp.
5.20%, 9/15/2014 |
1,150,000 | 1,247,044 | ||||||
|
Cellco Partnership/Verizon Wireless Capital LLC:
|
||||||||
|
5.55%, 2/1/2014
|
515,000 | 547,729 | ||||||
|
8.50%, 11/15/2018
|
310,000 | 433,591 | ||||||
|
Deutsche Telekom International
Finance BV: |
||||||||
|
6.00%, 7/8/2019 (a)
|
250,000 | 302,648 | ||||||
|
6.75%, 8/20/2018
|
150,000 | 187,196 | ||||||
|
Deutsche Telekom International Finance BV
4.88%, 7/8/2014 |
115,000 | 122,354 | ||||||
|
France Telecom SA:
|
||||||||
|
2.75%, 9/14/2016 (a)
|
200,000 | 208,928 | ||||||
|
4.38%, 7/8/2014
|
205,000 | 216,507 | ||||||
|
5.38%, 7/8/2019 (a)
|
200,000 | 233,727 | ||||||
|
Rogers Communications, Inc.
6.80%, 8/15/2018 |
430,000 | 540,265 | ||||||
|
Telecom Italia Capital SA:
|
||||||||
|
6.18%, 6/18/2014
|
450,000 | 471,375 | ||||||
|
7.18%, 6/18/2019 (a)
|
150,000 | 164,625 | ||||||
|
Telefonica Emisiones SAU:
|
||||||||
|
3.99%, 2/16/2016
|
105,000 | 103,950 | ||||||
|
4.95%, 1/15/2015
|
500,000 | 510,000 | ||||||
|
5.13%, 4/27/2020
|
255,000 | 247,350 | ||||||
|
6.22%, 7/3/2017
|
250,000 | 262,813 | ||||||
|
Verizon Communications, Inc.:
|
||||||||
|
3.00%, 4/1/2016
|
250,000 | 268,223 | ||||||
|
6.35%, 4/1/2019
|
800,000 | 1,025,859 | ||||||
|
Vodafone Group PLC:
|
||||||||
|
1.25%, 9/26/2017
|
250,000 | 250,597 | ||||||
|
2.50%, 9/26/2022
|
250,000 | 250,708 | ||||||
|
4.15%, 6/10/2014
|
455,000 | 481,825 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
4.38%, 3/16/2021 (a)
|
$ | 250,000 | $ | 289,919 | ||||
|
5.63%, 2/27/2017
|
450,000 | 533,480 | ||||||
| 12,757,368 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $289,028,162)
|
305,624,388 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 6.6%
|
||||||||
|
MONEY MARKET FUNDS — 6.6%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (e)(f) |
17,030,870 | 17,030,870 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (f)(g) |
3,216,822 | 3,216,822 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (h)
|
||||||||
|
(Cost $20,247,692)
|
20,247,692 | |||||||
|
TOTAL INVESTMENTS — 105.6% (i)
|
||||||||
|
(Cost $309,275,854)
|
325,872,080 | |||||||
|
OTHER ASSETS &
LIABILITIES — (5.6)% |
(17,245,631 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 308,626,449 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(c)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 1.2% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(d)
|
Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
Investments of cash collateral for securities loaned. | |||||
|
(f)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(h)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(i)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 98.7%
|
||||||||
|
AEROSPACE & DEFENSE — 2.4%
|
||||||||
|
Honeywell International, Inc.:
|
||||||||
|
5.38%, 3/1/2041 (a)
|
$ | 200,000 | $ | 261,449 | ||||
|
5.70%, 3/15/2036
|
100,000 | 131,509 | ||||||
|
Lockheed Martin Corp.:
|
||||||||
|
5.72%, 6/1/2040
|
100,000 | 124,490 | ||||||
|
6.15%, 9/1/2036
|
260,000 | 335,458 | ||||||
|
Northrop Grumman Systems Corp.
7.75%, 2/15/2031 |
150,000 | 219,865 | ||||||
|
Raytheon Co.:
|
||||||||
|
4.70%, 12/15/2041
|
150,000 | 173,327 | ||||||
|
7.20%, 8/15/2027
|
50,000 | 70,498 | ||||||
|
The Boeing Co.:
|
||||||||
|
6.63%, 2/15/2038
|
115,000 | 168,509 | ||||||
|
6.88%, 3/15/2039
|
100,000 | 152,997 | ||||||
|
United Technologies Corp.:
|
||||||||
|
3.10%, 6/1/2022
|
59,000 | 62,502 | ||||||
|
4.50%, 6/1/2042
|
347,000 | 389,162 | ||||||
|
5.40%, 5/1/2035
|
150,000 | 183,256 | ||||||
|
5.70%, 4/15/2040
|
100,000 | 129,972 | ||||||
|
6.05%, 6/1/2036
|
100,000 | 130,945 | ||||||
|
6.13%, 7/15/2038
|
230,000 | 309,882 | ||||||
| 2,843,821 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.6%
|
||||||||
|
FedEx Corp.:
|
||||||||
|
2.63%, 8/1/2022
|
100,000 | 99,458 | ||||||
|
3.88%, 8/1/2042 (a)
|
41,000 | 40,024 | ||||||
|
United Parcel Service, Inc.:
|
||||||||
|
2.45%, 10/1/2022
|
94,000 | 94,851 | ||||||
|
4.88%, 11/15/2040
|
100,000 | 120,957 | ||||||
|
6.20%, 1/15/2038
|
225,000 | 316,284 | ||||||
| 671,574 | ||||||||
|
AIRLINES — 0.2%
|
||||||||
|
Continental Airlines
2012-1
Pass
Through Trust, Class A
4.15%, 10/11/2025 |
150,000 | 153,000 | ||||||
|
Delta Air Lines
2007-1
Pass
Through Trust, Class A
6.82%, 2/10/2024 (b) |
106,454 | 117,100 | ||||||
| 270,100 | ||||||||
|
AUTO COMPONENTS — 0.1%
|
||||||||
|
Johnson Controls, Inc.:
|
||||||||
|
5.25%, 12/1/2041
|
50,000 | 55,465 | ||||||
|
5.70%, 3/1/2041
|
50,000 | 59,006 | ||||||
| 114,471 | ||||||||
|
AUTOMOBILES — 0.6%
|
||||||||
|
Daimler Finance North America LLC
8.50%, 1/18/2031 |
177,000 | 277,701 | ||||||
|
Ford Motor Co.
7.45%, 7/16/2031 (a) |
400,000 | 499,000 | ||||||
| 776,701 | ||||||||
|
BEVERAGES — 1.8%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
3.75%, 7/15/2042
|
324,000 | 323,853 | ||||||
|
6.38%, 1/15/2040 (a)
|
190,000 | 270,076 | ||||||
|
8.00%, 11/15/2039
|
200,000 | 326,377 | ||||||
|
Diageo Investment Corp.:
|
||||||||
|
4.25%, 5/11/2042
|
35,000 | 37,704 | ||||||
|
7.45%, 4/15/2035
|
150,000 | 221,660 | ||||||
|
Molson Coors Brewing Co.
5.00%, 5/1/2042 |
250,000 | 279,927 | ||||||
|
PepsiAmericas, Inc.
5.50%, 5/15/2035 |
100,000 | 124,551 | ||||||
|
PepsiCo, Inc.:
|
||||||||
|
4.00%, 3/5/2042
|
100,000 | 103,301 | ||||||
|
4.88%, 11/1/2040
|
150,000 | 177,330 | ||||||
|
5.50%, 1/15/2040
|
200,000 | 254,935 | ||||||
| 2,119,714 | ||||||||
|
BIOTECHNOLOGY — 1.2%
|
||||||||
|
Amgen, Inc.:
|
||||||||
|
5.15%, 11/15/2041
|
350,000 | 392,082 | ||||||
|
5.38%, 5/15/2043
|
375,000 | 435,299 | ||||||
|
6.38%, 6/1/2037
|
150,000 | 188,699 | ||||||
|
6.40%, 2/1/2039
|
150,000 | 190,629 | ||||||
|
Genentech, Inc.
5.25%, 7/15/2035 |
100,000 | 120,385 | ||||||
|
Gilead Sciences, Inc.
5.65%, 12/1/2041 |
100,000 | 124,763 | ||||||
| 1,451,857 | ||||||||
|
BUILDING PRODUCTS — 0.0% (c)
|
||||||||
|
Owens Corning
7.00%, 12/1/2036 |
41,000 | 45,283 | ||||||
|
CAPITAL MARKETS — 2.1%
|
||||||||
|
Jefferies Group, Inc.:
|
||||||||
|
6.25%, 1/15/2036
|
50,000 | 49,375 | ||||||
|
6.45%, 6/8/2027
|
100,000 | 102,000 | ||||||
|
Morgan Stanley:
|
||||||||
|
6.25%, 8/9/2026
|
200,000 | 222,894 | ||||||
|
6.38%, 7/24/2042
|
200,000 | 217,941 | ||||||
|
7.25%, 4/1/2032
|
100,000 | 117,943 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
5.95%, 1/15/2027
|
100,000 | 103,025 | ||||||
|
6.13%, 2/15/2033 (a)
|
400,000 | 442,785 | ||||||
|
6.25%, 2/1/2041
|
430,000 | 488,679 | ||||||
|
6.45%, 5/1/2036
|
250,000 | 262,062 | ||||||
|
6.75%, 10/1/2037
|
522,000 | 550,542 | ||||||
| 2,557,246 | ||||||||
|
CHEMICALS — 1.3%
|
||||||||
|
Agrium, Inc.
6.13%, 1/15/2041 |
125,000 | 156,320 | ||||||
|
E.I. du Pont de Nemours & Co.
5.60%, 12/15/2036 |
100,000 | 129,024 | ||||||
|
Eastman Chemical Co.
3.60%, 8/15/2022 |
100,000 | 105,508 | ||||||
|
Ecolab, Inc.
5.50%, 12/8/2041 |
100,000 | 123,452 | ||||||
|
Monsanto Co.:
|
||||||||
|
3.60%, 7/15/2042
|
37,000 | 36,916 | ||||||
|
5.88%, 4/15/2038
|
100,000 | 134,477 | ||||||
|
Potash Corp. of Saskatchewan, Inc.:
|
||||||||
|
5.63%, 12/1/2040
|
100,000 | 126,069 | ||||||
|
5.88%, 12/1/2036
|
100,000 | 127,190 | ||||||
|
Praxair, Inc.
2.20%, 8/15/2022 |
100,000 | 98,355 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Rohm & Haas Co.
7.85%, 7/15/2029 |
$ | 200,000 | $ | 268,011 | ||||
|
The Dow Chemical Co.:
|
||||||||
|
5.25%, 11/15/2041 (a)
|
100,000 | 112,656 | ||||||
|
9.40%, 5/15/2039
|
80,000 | 128,755 | ||||||
| 1,546,733 | ||||||||
|
COMMERCIAL BANKS — 3.4%
|
||||||||
|
Bank One Corp.
7.63%, 10/15/2026 |
200,000 | 262,358 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Netherlands
5.25%, 5/24/2041 |
250,000 | 295,245 | ||||||
|
Fifth Third Bancorp
8.25%, 3/1/2038 |
100,000 | 142,513 | ||||||
|
HSBC Bank USA NA
5.88%, 11/1/2034 |
250,000 | 276,816 | ||||||
|
HSBC Holdings PLC:
|
||||||||
|
6.10%, 1/14/2042
|
300,000 | 394,759 | ||||||
|
6.50%, 5/2/2036
|
300,000 | 349,817 | ||||||
|
6.50%, 9/15/2037
|
170,000 | 199,040 | ||||||
|
6.80%, 6/1/2038
|
150,000 | 182,261 | ||||||
|
7.63%, 5/17/2032 (a)
|
100,000 | 126,541 | ||||||
|
JPMorgan Chase & Co.
5.60%, 7/15/2041 |
350,000 | 414,162 | ||||||
|
NBD Bank NA/Michigan
8.25%, 11/1/2024 |
100,000 | 134,790 | ||||||
|
Wachovia Bank NA
6.60%, 1/15/2038 |
350,000 | 479,229 | ||||||
|
Wachovia Corp.:
|
||||||||
|
5.50%, 8/1/2035
|
100,000 | 114,759 | ||||||
|
6.61%, 10/1/2025
|
150,000 | 189,525 | ||||||
|
7.50%, 4/15/2035
|
300,000 | 387,994 | ||||||
|
Wells Fargo Capital X
5.95%, 12/15/2036 |
100,000 | 102,000 | ||||||
| 4,051,809 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.7%
|
||||||||
|
Republic Services, Inc.
4.75%, 5/15/2023 |
200,000 | 226,994 | ||||||
|
The ADT Corp.:
|
||||||||
|
3.50%, 7/15/2022 (d)
|
100,000 | 103,884 | ||||||
|
4.88%, 7/15/2042 (d)
|
100,000 | 107,621 | ||||||
|
Waste Management, Inc.
7.75%, 5/15/2032 |
300,000 | 425,552 | ||||||
| 864,051 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.8%
|
||||||||
|
Cisco Systems, Inc.:
|
||||||||
|
5.50%, 1/15/2040
|
150,000 | 192,701 | ||||||
|
5.90%, 2/15/2039 (a)
|
395,000 | 523,428 | ||||||
|
Harris Corp.
6.15%, 12/15/2040 |
50,000 | 59,822 | ||||||
|
Juniper Networks, Inc.
5.95%, 3/15/2041 |
100,000 | 110,877 | ||||||
|
Motorola Solutions, Inc.
7.50%, 5/15/2025 |
50,000 | 63,004 | ||||||
| 949,832 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.4%
|
||||||||
|
Dell, Inc.:
|
||||||||
|
6.50%, 4/15/2038
|
150,000 | 183,184 | ||||||
|
7.10%, 4/15/2028
|
50,000 | 62,102 | ||||||
|
Hewlett-Packard
Co.:
|
||||||||
|
4.05%, 9/15/2022
|
100,000 | 100,505 | ||||||
|
6.00%, 9/15/2041
|
175,000 | 185,953 | ||||||
| 531,744 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.1%
|
||||||||
|
ABB Finance USA, Inc.
4.38%, 5/8/2042 |
160,000 | 174,688 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 6.5%
|
||||||||
|
American Express Co.
8.15%, 3/19/2038 |
100,000 | 160,049 | ||||||
|
Aon Corp.
6.25%, 9/30/2040 |
50,000 | 65,173 | ||||||
|
Bank of America Corp.
5.88%, 2/7/2042 |
500,000 | 578,677 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
5.85%, 12/11/2034
|
71,000 | 84,225 | ||||||
|
5.88%, 5/29/2037
|
100,000 | 117,330 | ||||||
|
5.88%, 1/30/2042
|
100,000 | 119,272 | ||||||
|
6.00%, 10/31/2033
|
200,000 | 212,060 | ||||||
|
6.13%, 8/25/2036
|
150,000 | 163,169 | ||||||
|
6.63%, 6/15/2032
|
150,000 | 169,892 | ||||||
|
6.88%, 3/5/2038
|
280,000 | 366,667 | ||||||
|
8.13%, 7/15/2039
|
400,000 | 594,251 | ||||||
|
Credit Suisse USA, Inc.
7.13%, 7/15/2032 |
200,000 | 279,341 | ||||||
|
General Electric Capital Corp.:
|
||||||||
|
5.88%, 1/14/2038
|
510,000 | 605,504 | ||||||
|
6.75%, 3/15/2032
|
430,000 | 553,724 | ||||||
|
6.88%, 1/10/2039
|
580,000 | 775,362 | ||||||
|
General Electric Capital Corp., Series A
6.15%, 8/7/2037 |
600,000 | 735,575 | ||||||
|
General Electric Capital Services, Inc.
7.50%, 8/21/2035 |
100,000 | 137,903 | ||||||
|
Goldman Sachs Capital I
6.35%, 2/15/2034 (a) |
200,000 | 199,000 | ||||||
|
HJ Heinz Finance Co.
6.75%, 3/15/2032 |
50,000 | 63,629 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
5.50%, 10/15/2040
|
200,000 | 233,011 | ||||||
|
6.40%, 5/15/2038
|
285,000 | 366,204 | ||||||
|
Merrill Lynch & Co., Inc.:
|
||||||||
|
6.11%, 1/29/2037
|
265,000 | 278,737 | ||||||
|
6.75%, 6/1/2028
|
150,000 | 172,726 | ||||||
|
7.75%, 5/14/2038
|
120,000 | 149,835 | ||||||
|
National Rural Utilities Cooperative Finance Corp.
8.00%, 3/1/2032 |
175,000 | 268,495 | ||||||
|
Raymond James Financial, Inc.
5.63%, 4/1/2024 |
100,000 | 109,658 | ||||||
|
The Western Union Co.
6.20%, 11/17/2036 |
100,000 | 114,217 | ||||||
|
UBS AG of Stamford, CT
7.75%, 9/1/2026 |
100,000 | 121,262 | ||||||
| 7,794,948 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 3.5%
|
||||||||
|
AT&T Mobility LLC
7.13%, 12/15/2031 |
100,000 | 138,905 | ||||||
|
AT&T, Inc.:
|
||||||||
|
5.55%, 8/15/2041
|
350,000 | 436,635 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
6.40%, 5/15/2038
|
$ | 100,000 | $ | 132,936 | ||||
|
6.50%, 9/1/2037
|
100,000 | 133,204 | ||||||
|
Bellsouth Capital Funding Corp.
7.88%, 2/15/2030 |
275,000 | 370,231 | ||||||
|
British Telecommunications PLC
9.63%, 12/15/2030 |
300,000 | 483,855 | ||||||
|
CenturyLink, Inc.
7.65%, 3/15/2042 |
100,000 | 107,239 | ||||||
|
Qwest Corp.
7.25%, 10/15/2035 (a) |
100,000 | 103,000 | ||||||
|
Verizon Communications, Inc.:
|
||||||||
|
4.75%, 11/1/2041 (a)
|
300,000 | 344,553 | ||||||
|
6.00%, 4/1/2041
|
250,000 | 329,807 | ||||||
|
6.25%, 4/1/2037
|
250,000 | 328,765 | ||||||
|
7.75%, 12/1/2030
|
570,000 | 833,475 | ||||||
|
8.95%, 3/1/2039
|
100,000 | 171,525 | ||||||
|
Verizon Maryland, Inc.
5.13%, 6/15/2033 |
150,000 | 160,177 | ||||||
|
Verizon New York, Inc., Series A
7.38%, 4/1/2032 |
100,000 | 132,950 | ||||||
| 4,207,257 | ||||||||
|
ELECTRIC UTILITIES — 10.8%
|
||||||||
|
Alabama Power Co.:
|
||||||||
|
5.20%, 6/1/2041
|
100,000 | 123,662 | ||||||
|
6.13%, 5/15/2038
|
170,000 | 228,825 | ||||||
|
Appalachian Power Co.:
|
||||||||
|
5.80%, 10/1/2035
|
50,000 | 61,033 | ||||||
|
6.70%, 8/15/2037
|
100,000 | 130,340 | ||||||
|
Arizona Public Service Co.
4.50%, 4/1/2042 |
100,000 | 109,860 | ||||||
|
CenterPoint Energy Houston Electric LLC
3.55%, 8/1/2042 |
100,000 | 97,970 | ||||||
|
Commonwealth Edison Co.
3.80%, 10/1/2042 |
150,000 | 152,368 | ||||||
|
Commonwealth Edison Co., Series 1
5.90%, 3/15/2036 |
100,000 | 133,114 | ||||||
|
Consolidated Edison Co. of New York, Inc.:
|
||||||||
|
4.20%, 3/15/2042
|
75,000 | 81,517 | ||||||
|
5.50%, 12/1/2039
|
75,000 | 97,052 | ||||||
|
5.70%, 12/1/2036
|
230,000 | 300,320 | ||||||
|
5.70%, 6/15/2040
|
50,000 | 66,579 | ||||||
|
6.30%, 8/15/2037
|
50,000 | 70,377 | ||||||
|
Duke Energy Carolinas LLC:
|
||||||||
|
4.25%, 12/15/2041
|
225,000 | 240,185 | ||||||
|
6.00%, 1/15/2038
|
150,000 | 198,530 | ||||||
|
6.10%, 6/1/2037
|
100,000 | 129,695 | ||||||
|
Duke Energy Indiana, Inc.
6.45%, 4/1/2039 |
230,000 | 316,288 | ||||||
|
Entergy Louisiana LLC
5.40%, 11/1/2024 |
100,000 | 122,038 | ||||||
|
Exelon Corp.
5.63%, 6/15/2035 |
100,000 | 114,922 | ||||||
|
Exelon Generation Co. LLC:
|
||||||||
|
5.60%, 6/15/2042 (d)
|
160,000 | 171,843 | ||||||
|
6.25%, 10/1/2039
|
170,000 | 191,399 | ||||||
|
FirstEnergy Corp.
7.38%, 11/15/2031 |
200,000 | 263,590 | ||||||
|
FirstEnergy Solutions Corp.
6.80%, 8/15/2039 |
100,000 | 109,714 | ||||||
|
Florida Power & Light Co.:
|
||||||||
|
4.05%, 6/1/2042
|
100,000 | 107,847 | ||||||
|
4.13%, 2/1/2042
|
200,000 | 216,387 | ||||||
|
5.25%, 2/1/2041
|
250,000 | 316,341 | ||||||
|
5.69%, 3/1/2040
|
115,000 | 153,913 | ||||||
|
6.20%, 6/1/2036
|
150,000 | 206,953 | ||||||
|
Florida Power Corp.:
|
||||||||
|
6.35%, 9/15/2037
|
100,000 | 135,670 | ||||||
|
6.40%, 6/15/2038
|
80,000 | 108,868 | ||||||
|
Georgia Power Co.:
|
||||||||
|
4.30%, 3/15/2042
|
100,000 | 105,838 | ||||||
|
4.75%, 9/1/2040
|
225,000 | 252,714 | ||||||
|
Iberdrola International BV
6.75%, 7/15/2036 |
100,000 | 103,458 | ||||||
|
Interstate Power & Light Co.
6.25%, 7/15/2039 |
50,000 | 66,757 | ||||||
|
John Sevier Combined Cycle Generation LLC
4.63%, 1/15/2042 |
993 | 1,127 | ||||||
|
Kansas City Power & Light Co.
5.30%, 10/1/2041 |
50,000 | 58,331 | ||||||
|
Kentucky Utilities Co.
5.13%, 11/1/2040 |
75,000 | 93,191 | ||||||
|
MidAmerican Energy Holdings Co.
8.48%, 9/15/2028 |
125,000 | 184,645 | ||||||
|
Mississippi Power Co.
4.25%, 3/15/2042 |
100,000 | 103,206 | ||||||
|
Nevada Power Co.
5.38%, 9/15/2040 |
175,000 | 213,844 | ||||||
|
Nisource Finance Corp.:
|
||||||||
|
5.25%, 2/15/2043
|
200,000 | 226,024 | ||||||
|
5.95%, 6/15/2041
|
100,000 | 120,255 | ||||||
|
Northern States Power Co.
5.35%, 11/1/2039 |
50,000 | 63,911 | ||||||
|
Oglethorpe Power Corp.:
|
||||||||
|
5.38%, 11/1/2040
|
65,000 | 77,980 | ||||||
|
5.95%, 11/1/2039
|
50,000 | 64,922 | ||||||
|
Ohio Edison Co.
6.88%, 7/15/2036 |
100,000 | 132,117 | ||||||
|
Ohio Power Co.
6.60%, 2/15/2033 |
102,000 | 133,912 | ||||||
|
Oncor Electric Delivery Co. LLC:
|
||||||||
|
7.00%, 9/1/2022
|
50,000 | 62,467 | ||||||
|
7.00%, 5/1/2032
|
150,000 | 182,656 | ||||||
|
7.50%, 9/1/2038
|
125,000 | 165,396 | ||||||
|
Pacific Gas & Electric Co.:
|
||||||||
|
5.40%, 1/15/2040
|
50,000 | 61,728 | ||||||
|
5.80%, 3/1/2037
|
150,000 | 192,318 | ||||||
|
6.05%, 3/1/2034
|
600,000 | 779,671 | ||||||
|
PacifiCorp:
|
||||||||
|
4.10%, 2/1/2042
|
125,000 | 132,455 | ||||||
|
6.00%, 1/15/2039
|
100,000 | 134,086 | ||||||
|
Potomac Electric Power Co.
7.90%, 12/15/2038 (a) |
100,000 | 163,826 | ||||||
|
PPL Electric Utilities Corp.:
|
||||||||
|
5.20%, 7/15/2041
|
105,000 | 131,397 | ||||||
|
6.25%, 5/15/2039
|
50,000 | 70,802 | ||||||
|
Progress Energy, Inc.:
|
||||||||
|
6.00%, 12/1/2039
|
100,000 | 124,062 | ||||||
|
7.00%, 10/30/2031
|
200,000 | 263,190 | ||||||
|
7.75%, 3/1/2031
|
40,000 | 56,080 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Public Service Co. of Colorado
6.25%, 9/1/2037 |
$ | 150,000 | $ | 211,526 | ||||
|
Public Service Electric & Gas Co.:
|
||||||||
|
3.95%, 5/1/2042
|
100,000 | 105,169 | ||||||
|
5.50%, 3/1/2040
|
100,000 | 131,623 | ||||||
|
5.80%, 5/1/2037
|
100,000 | 134,449 | ||||||
|
Puget Sound Energy, Inc.:
|
||||||||
|
4.43%, 11/15/2041
|
200,000 | 225,306 | ||||||
|
5.64%, 4/15/2041
|
100,000 | 132,321 | ||||||
|
5.80%, 3/15/2040
|
55,000 | 73,461 | ||||||
|
San Diego Gas & Electric Co.:
|
||||||||
|
3.95%, 11/15/2041
|
25,000 | 26,419 | ||||||
|
4.30%, 4/1/2042
|
100,000 | 112,491 | ||||||
|
San Diego Gas & Electric Co., Series D
6.00%, 6/1/2026 |
100,000 | 133,324 | ||||||
|
South Carolina Electric & Gas Co.:
|
||||||||
|
4.35%, 2/1/2042
|
50,000 | 53,761 | ||||||
|
5.30%, 5/15/2033
|
50,000 | 58,971 | ||||||
|
5.45%, 2/1/2041 (a)
|
150,000 | 185,950 | ||||||
|
Southern California Edison Co.:
|
||||||||
|
4.05%, 3/15/2042
|
100,000 | 105,960 | ||||||
|
5.95%, 2/1/2038
|
100,000 | 134,526 | ||||||
|
6.00%, 1/15/2034
|
200,000 | 265,143 | ||||||
|
Southern California Edison Co., Series G
5.75%, 4/1/2035 |
150,000 | 194,990 | ||||||
|
Southwestern Electric Power Co.
6.20%, 3/15/2040 |
130,000 | 163,856 | ||||||
|
Southwestern Public Service Co., Series F
6.00%, 10/1/2036 |
100,000 | 122,511 | ||||||
|
System Energy Resources, Inc.
4.10%, 4/1/2023 |
100,000 | 101,987 | ||||||
|
Tampa Electric Co.
6.55%, 5/15/2036 |
50,000 | 69,726 | ||||||
|
The Connecticut Light & Power Co.
6.35%, 6/1/2036 |
50,000 | 68,222 | ||||||
|
The Detroit Edison Co.:
|
||||||||
|
3.95%, 6/15/2042
|
75,000 | 78,884 | ||||||
|
5.70%, 10/1/2037
|
50,000 | 65,126 | ||||||
|
The Toledo Edison Co.
6.15%, 5/15/2037 |
100,000 | 126,459 | ||||||
|
Union Electric Co.
8.45%, 3/15/2039 |
100,000 | 169,545 | ||||||
|
Virginia Electric and Power Co.
6.00%, 5/15/2037 |
189,000 | 255,759 | ||||||
|
Westar Energy, Inc.
4.13%, 3/1/2042 |
100,000 | 109,239 | ||||||
|
Xcel Energy, Inc.
6.50%, 7/1/2036 |
100,000 | 136,911 | ||||||
| 13,033,181 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.3%
|
||||||||
|
Emerson Electric Co.
6.00%, 8/15/2032 |
150,000 | 197,926 | ||||||
|
Hubbell, Inc.
3.63%, 11/15/2022 |
100,000 | 107,154 | ||||||
| 305,080 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.2%
|
||||||||
|
Corning, Inc.:
|
||||||||
|
4.75%, 3/15/2042
|
100,000 | 106,392 | ||||||
|
5.75%, 8/15/2040
|
75,000 | 89,636 | ||||||
|
7.25%, 8/15/2036
|
50,000 | 63,105 | ||||||
| 259,133 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 0.8%
|
||||||||
|
Cameron International Corp.
5.95%, 6/1/2041 |
100,000 | 121,148 | ||||||
|
Halliburton Co.:
|
||||||||
|
4.50%, 11/15/2041
|
100,000 | 111,914 | ||||||
|
6.70%, 9/15/2038
|
200,000 | 284,132 | ||||||
|
Weatherford International, Ltd.
6.50%, 8/1/2036 |
125,000 | 134,313 | ||||||
|
Weatherford International, Ltd./Bermuda:
|
||||||||
|
5.95%, 4/15/2042
|
150,000 | 158,326 | ||||||
|
6.75%, 9/15/2040
|
100,000 | 112,877 | ||||||
| 922,710 | ||||||||
|
FOOD & STAPLES RETAILING — 3.1%
|
||||||||
|
CVS Caremark Corp.:
|
||||||||
|
5.75%, 5/15/2041
|
200,000 | 250,857 | ||||||
|
6.13%, 9/15/2039
|
100,000 | 129,678 | ||||||
|
6.25%, 6/1/2027
|
100,000 | 131,226 | ||||||
|
Delhaize America LLC
9.00%, 4/15/2031 |
50,000 | 59,058 | ||||||
|
Safeway, Inc.
7.25%, 2/1/2031 |
150,000 | 160,057 | ||||||
|
Sysco Corp.
6.63%, 3/17/2039 |
100,000 | 146,616 | ||||||
|
The Kroger Co.:
|
||||||||
|
5.40%, 7/15/2040
|
150,000 | 161,014 | ||||||
|
6.90%, 4/15/2038
|
100,000 | 125,332 | ||||||
|
7.50%, 4/1/2031
|
65,000 | 84,818 | ||||||
|
Wal-Mart
Stores, Inc.:
|
||||||||
|
4.88%, 7/8/2040
|
300,000 | 364,848 | ||||||
|
5.00%, 10/25/2040
|
250,000 | 306,826 | ||||||
|
5.25%, 9/1/2035
|
280,000 | 350,544 | ||||||
|
5.63%, 4/15/2041
|
350,000 | 463,466 | ||||||
|
5.88%, 4/5/2027
|
100,000 | 135,920 | ||||||
|
6.20%, 4/15/2038
|
100,000 | 138,755 | ||||||
|
6.50%, 8/15/2037
|
200,000 | 285,871 | ||||||
|
7.55%, 2/15/2030
|
250,000 | 374,929 | ||||||
|
Walgreen Co.
4.40%, 9/15/2042 |
50,000 | 52,023 | ||||||
| 3,721,838 | ||||||||
|
FOOD PRODUCTS — 2.4%
|
||||||||
|
Ahold Finance USA LLC
6.88%, 5/1/2029 |
100,000 | 125,354 | ||||||
|
Archer-Daniels-Midland
Co.:
|
||||||||
|
5.38%, 9/15/2035
|
100,000 | 120,316 | ||||||
|
5.77%, 3/1/2041
|
250,000 | 321,358 | ||||||
|
Campbell Soup Co.
3.80%, 8/2/2042 |
58,000 | 57,361 | ||||||
|
ConAgra Foods, Inc.
7.13%, 10/1/2026 |
150,000 | 201,076 | ||||||
|
Kellogg Co., Series B
7.45%, 4/1/2031 |
100,000 | 140,193 | ||||||
|
Kraft Foods Group, Inc.:
|
||||||||
|
6.50%, 2/9/2040 (d)
|
350,000 | 462,011 | ||||||
|
6.88%, 1/26/2039 (d)
|
100,000 | 136,173 | ||||||
|
Kraft Foods, Inc.:
|
||||||||
|
5.00%, 6/4/2042 (d)
|
150,000 | 165,825 | ||||||
|
6.50%, 2/9/2040
|
165,000 | 220,365 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
6.88%, 1/26/2039
|
$ | 145,000 | $ | 197,450 | ||||
|
7.00%, 8/11/2037
|
200,000 | 273,885 | ||||||
|
Ralcorp Holdings, Inc.
6.63%, 8/15/2039 |
150,000 | 160,073 | ||||||
|
The Hershey Co.
7.20%, 8/15/2027 |
50,000 | 68,225 | ||||||
|
Unilever Capital Corp.
5.90%, 11/15/2032 |
160,000 | 223,363 | ||||||
| 2,873,028 | ||||||||
|
GAS UTILITIES — 0.2%
|
||||||||
|
AGL Capital Corp.
5.88%, 3/15/2041 |
70,000 | 91,572 | ||||||
|
Southern Union Co.
7.60%, 2/1/2024 |
100,000 | 122,886 | ||||||
| 214,458 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 0.6%
|
||||||||
|
Baxter International, Inc.
3.65%, 8/15/2042 |
200,000 | 199,548 | ||||||
|
Becton Dickinson and Co.
6.00%, 5/15/2039 |
100,000 | 134,335 | ||||||
|
Boston Scientific Corp.
7.38%, 1/15/2040 |
101,000 | 137,207 | ||||||
|
Covidien International Finance SA
6.55%, 10/15/2037 |
100,000 | 140,854 | ||||||
|
Medtronic, Inc.
5.55%, 3/15/2040 |
100,000 | 130,437 | ||||||
| 742,381 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.0%
|
||||||||
|
Aetna, Inc.:
|
||||||||
|
4.50%, 5/15/2042 (a)
|
190,000 | 192,082 | ||||||
|
6.63%, 6/15/2036
|
100,000 | 130,555 | ||||||
|
CIGNA Corp.
5.88%, 3/15/2041 |
150,000 | 179,842 | ||||||
|
Kaiser Foundation Hospitals
4.88%, 4/1/2042 |
100,000 | 111,133 | ||||||
|
McKesson Corp.
6.00%, 3/1/2041 |
50,000 | 67,633 | ||||||
|
Quest Diagnostics, Inc.
6.95%, 7/1/2037 |
75,000 | 98,040 | ||||||
|
UnitedHealth Group, Inc.:
|
||||||||
|
4.38%, 3/15/2042
|
50,000 | 52,911 | ||||||
|
5.80%, 3/15/2036
|
150,000 | 183,988 | ||||||
|
5.95%, 2/15/2041
|
100,000 | 127,039 | ||||||
|
6.63%, 11/15/2037
|
100,000 | 134,321 | ||||||
|
6.88%, 2/15/2038
|
315,000 | 435,714 | ||||||
|
WellPoint, Inc.:
|
||||||||
|
4.63%, 5/15/2042
|
100,000 | 101,991 | ||||||
|
4.65%, 1/15/2043
|
250,000 | 254,740 | ||||||
|
5.95%, 12/15/2034
|
150,000 | 175,380 | ||||||
|
6.38%, 6/15/2037
|
130,000 | 160,249 | ||||||
| 2,405,618 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 0.5%
|
||||||||
|
McDonald’s Corp.:
|
||||||||
|
3.70%, 2/15/2042
|
150,000 | 152,912 | ||||||
|
4.88%, 7/15/2040
|
75,000 | 91,070 | ||||||
|
6.30%, 3/1/2038 (a)
|
175,000 | 248,352 | ||||||
|
Yum! Brands, Inc.
6.88%, 11/15/2037 |
100,000 | 137,162 | ||||||
| 629,496 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.7%
|
||||||||
|
Church & Dwight Co., Inc.
2.88%, 10/1/2022 |
107,000 | 108,745 | ||||||
|
Colgate-Palmolive Co.
1.95%, 2/1/2023 |
50,000 | 48,905 | ||||||
|
Kimberly-Clark Corp.
5.30%, 3/1/2041 |
150,000 | 193,156 | ||||||
|
The Procter & Gamble Co.:
|
||||||||
|
5.50%, 2/1/2034
|
100,000 | 130,195 | ||||||
|
5.55%, 3/5/2037
|
250,000 | 335,563 | ||||||
| 816,564 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.5%
|
||||||||
|
3M Co.
5.70%, 3/15/2037 |
150,000 | 204,461 | ||||||
|
Koninklijke Philips Electronics NV:
|
||||||||
|
5.00%, 3/15/2042 (a)
|
150,000 | 170,659 | ||||||
|
6.88%, 3/11/2038
|
100,000 | 137,425 | ||||||
|
Tyco Electronics Group SA
7.13%, 10/1/2037 |
100,000 | 131,655 | ||||||
| 644,200 | ||||||||
|
INSURANCE — 4.9%
|
||||||||
|
ACE INA Holdings, Inc.
6.70%, 5/15/2036 |
100,000 | 140,387 | ||||||
|
Aflac, Inc.:
|
||||||||
|
6.45%, 8/15/2040
|
50,000 | 61,163 | ||||||
|
6.90%, 12/17/2039
|
18,000 | 23,015 | ||||||
|
Alleghany Corp.
4.95%, 6/27/2022 |
50,000 | 54,184 | ||||||
|
American International Group, Inc.:
|
||||||||
|
6.25%, 5/1/2036
|
425,000 | 537,290 | ||||||
|
6.25%, 3/15/2037
|
100,000 | 101,000 | ||||||
|
8.18%, 5/15/2038 (e)
|
400,000 | 490,000 | ||||||
|
AON Corp.
8.21%, 1/1/2027 (a) |
55,000 | 67,022 | ||||||
|
Assurant, Inc.
6.75%, 2/15/2034 |
50,000 | 57,026 | ||||||
|
AXA SA
8.60%, 12/15/2030 |
115,000 | 138,000 | ||||||
|
Berkshire Hathaway Finance Corp.:
|
||||||||
|
4.40%, 5/15/2042
|
50,000 | 51,150 | ||||||
|
5.75%, 1/15/2040
|
100,000 | 122,925 | ||||||
|
Chubb Corp.
6.50%, 5/15/2038 |
170,000 | 240,766 | ||||||
|
Cincinnati Financial Corp.
6.92%, 5/15/2028 |
100,000 | 119,883 | ||||||
|
Endurance Specialty Holdings, Ltd.
7.00%, 7/15/2034 |
50,000 | 54,662 | ||||||
|
Genworth Financial, Inc.
6.50%, 6/15/2034 (a) |
100,000 | 93,500 | ||||||
|
Hartford Financial Services Group, Inc.
6.63%, 3/30/2040 |
100,000 | 118,865 | ||||||
|
Lincoln National Corp.:
|
||||||||
|
6.30%, 10/9/2037
|
100,000 | 114,342 | ||||||
|
7.00%, 6/15/2040
|
100,000 | 124,326 | ||||||
|
Marsh & McLennan Cos., Inc.
5.88%, 8/1/2033 (a) |
50,000 | 58,762 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MetLife, Inc.:
|
||||||||
|
4.13%, 8/13/2042
|
$ | 300,000 | $ | 295,560 | ||||
|
5.70%, 6/15/2035
|
150,000 | 182,406 | ||||||
|
6.38%, 6/15/2034
|
100,000 | 128,877 | ||||||
|
6.40%, 12/15/2036
|
200,000 | 210,000 | ||||||
|
Principal Financial Group, Inc.
6.05%, 10/15/2036 (a) |
50,000 | 60,624 | ||||||
|
Protective Life Corp.
8.45%, 10/15/2039 |
100,000 | 126,775 | ||||||
|
Prudential Financial, Inc.:
|
||||||||
|
5.63%, 5/12/2041
|
125,000 | 139,641 | ||||||
|
5.75%, 7/15/2033
|
75,000 | 83,120 | ||||||
|
6.63%, 12/1/2037
|
245,000 | 303,161 | ||||||
|
Prudential Financial, Inc., Series D
5.70%, 12/14/2036 |
150,000 | 167,751 | ||||||
|
Swiss Re Solutions Holding Corp.
7.00%, 2/15/2026 |
85,000 | 102,936 | ||||||
|
The Allstate Corp.:
|
||||||||
|
5.20%, 1/15/2042
|
50,000 | 59,688 | ||||||
|
5.95%, 4/1/2036 (a)
|
130,000 | 168,099 | ||||||
|
6.13%, 12/15/2032
|
100,000 | 126,634 | ||||||
|
6.90%, 5/15/2038
|
100,000 | 139,889 | ||||||
|
The Progressive Corp.:
|
||||||||
|
6.25%, 12/1/2032
|
50,000 | 64,957 | ||||||
|
6.63%, 3/1/2029
|
100,000 | 131,192 | ||||||
|
The Travelers Cos., Inc.
6.25%, 6/15/2037 |
280,000 | 374,938 | ||||||
|
Unum Group
5.75%, 8/15/2042 |
100,000 | 104,209 | ||||||
|
XL Group PLC
6.25%, 5/15/2027 |
200,000 | 225,426 | ||||||
| 5,964,151 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 0.1%
|
||||||||
|
eBay, Inc.
4.00%, 7/15/2042 (a) |
100,000 | 96,412 | ||||||
|
IT SERVICES — 0.6%
|
||||||||
|
International Business Machines Corp.:
|
||||||||
|
5.60%, 11/30/2039
|
187,000 | 250,978 | ||||||
|
6.50%, 1/15/2028
|
150,000 | 205,895 | ||||||
|
7.00%, 10/30/2025
|
100,000 | 145,213 | ||||||
|
SAIC, Inc.
5.95%, 12/1/2040 |
100,000 | 109,254 | ||||||
| 711,340 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.1%
|
||||||||
|
Hasbro, Inc.
6.35%, 3/15/2040 |
50,000 | 58,499 | ||||||
|
Mattel, Inc.
5.45%, 11/1/2041 |
100,000 | 111,611 | ||||||
| 170,110 | ||||||||
|
MACHINERY — 1.2%
|
||||||||
|
Caterpillar, Inc.:
|
||||||||
|
3.80%, 8/15/2042 (d)
|
139,000 | 141,260 | ||||||
|
5.20%, 5/27/2041 (a)
|
215,000 | 268,913 | ||||||
|
6.05%, 8/15/2036
|
100,000 | 134,290 | ||||||
|
Deere & Co.
3.90%, 6/9/2042 |
350,000 | 358,479 | ||||||
|
Dover Corp.
5.38%, 3/1/2041 |
50,000 | 64,969 | ||||||
|
Illinois Tool Works, Inc.:
|
||||||||
|
3.90%, 9/1/2042
|
300,000 | 303,053 | ||||||
|
4.88%, 9/15/2041
|
25,000 | 29,347 | ||||||
|
Parker Hannifin Corp.
3.50%, 9/15/2022 |
100,000 | 107,052 | ||||||
|
Stanley Black & Decker, Inc.
5.20%, 9/1/2040 |
50,000 | 57,163 | ||||||
| 1,464,526 | ||||||||
|
MEDIA — 7.5%
|
||||||||
|
CBS Corp.:
|
||||||||
|
4.85%, 7/1/2042
|
100,000 | 106,343 | ||||||
|
5.50%, 5/15/2033
|
150,000 | 169,743 | ||||||
|
7.88%, 7/30/2030
|
125,000 | 170,467 | ||||||
|
Comcast Cable Communications Holdings, Inc.
9.46%, 11/15/2022 |
100,000 | 151,618 | ||||||
|
Comcast Corp.:
|
||||||||
|
4.65%, 7/15/2042
|
98,000 | 104,368 | ||||||
|
5.65%, 6/15/2035
|
100,000 | 116,837 | ||||||
|
6.40%, 5/15/2038
|
150,000 | 192,739 | ||||||
|
6.40%, 3/1/2040
|
200,000 | 259,041 | ||||||
|
6.45%, 3/15/2037 (a)
|
200,000 | 257,039 | ||||||
|
6.50%, 11/15/2035
|
150,000 | 192,518 | ||||||
|
6.55%, 7/1/2039
|
150,000 | 197,192 | ||||||
|
6.95%, 8/15/2037
|
260,000 | 351,744 | ||||||
|
7.05%, 3/15/2033
|
150,000 | 198,080 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
|
||||||||
|
5.15%, 3/15/2042
|
100,000 | 102,261 | ||||||
|
6.00%, 8/15/2040
|
250,000 | 282,633 | ||||||
|
6.38%, 3/1/2041
|
100,000 | 117,966 | ||||||
|
Discovery Communications LLC:
|
||||||||
|
4.95%, 5/15/2042
|
175,000 | 191,384 | ||||||
|
6.35%, 6/1/2040
|
50,000 | 63,038 | ||||||
|
Grupo Televisa SA
6.63%, 3/18/2025 (a) |
150,000 | 195,460 | ||||||
|
NBCUniversal Media LLC:
|
||||||||
|
5.95%, 4/1/2041
|
200,000 | 249,608 | ||||||
|
6.40%, 4/30/2040
|
50,000 | 63,867 | ||||||
|
News America, Inc.:
|
||||||||
|
6.15%, 3/1/2037
|
100,000 | 119,900 | ||||||
|
6.15%, 2/15/2041
|
375,000 | 462,270 | ||||||
|
6.40%, 12/15/2035
|
375,000 | 459,452 | ||||||
|
6.65%, 11/15/2037
|
140,000 | 177,745 | ||||||
|
The Walt Disney Co.:
|
||||||||
|
4.13%, 12/1/2041 (a)
|
50,000 | 55,366 | ||||||
|
4.38%, 8/16/2041 (a)
|
50,000 | 57,290 | ||||||
|
7.00%, 3/1/2032
|
100,000 | 146,980 | ||||||
|
Thomson Reuters Corp.
5.85%, 4/15/2040 (a) |
50,000 | 60,484 | ||||||
|
Time Warner Cable, Inc.:
|
||||||||
|
4.50%, 9/15/2042
|
200,000 | 197,970 | ||||||
|
5.50%, 9/1/2041
|
250,000 | 284,072 | ||||||
|
5.88%, 11/15/2040
|
150,000 | 177,298 | ||||||
|
6.55%, 5/1/2037
|
250,000 | 312,215 | ||||||
|
7.30%, 7/1/2038
|
305,000 | 413,497 | ||||||
|
Time Warner Cos., Inc.
6.95%, 1/15/2028 |
100,000 | 127,347 | ||||||
|
Time Warner Entertainment Co. LP
8.38%, 3/15/2023 |
150,000 | 210,536 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Time Warner, Inc.:
|
||||||||
|
4.90%, 6/15/2042
|
$ | 175,000 | $ | 189,041 | ||||
|
6.10%, 7/15/2040
|
150,000 | 183,391 | ||||||
|
6.20%, 3/15/2040
|
150,000 | 185,510 | ||||||
|
6.25%, 3/29/2041
|
100,000 | 124,895 | ||||||
|
6.50%, 11/15/2036
|
100,000 | 126,442 | ||||||
|
7.63%, 4/15/2031
|
340,000 | 465,666 | ||||||
|
7.70%, 5/1/2032
|
250,000 | 348,018 | ||||||
|
Viacom, Inc.
6.88%, 4/30/2036 |
300,000 | 395,896 | ||||||
|
WPP Finance UK
5.13%, 9/7/2042 |
50,000 | 49,565 | ||||||
| 9,064,792 | ||||||||
|
METALS & MINING — 3.5%
|
||||||||
|
Alcoa, Inc.:
|
||||||||
|
5.95%, 2/1/2037
|
150,000 | 149,750 | ||||||
|
6.75%, 1/15/2028
|
50,000 | 54,969 | ||||||
|
ArcelorMittal:
|
||||||||
|
7.00%, 3/1/2041
|
185,000 | 164,650 | ||||||
|
7.25%, 10/15/2039
|
100,000 | 91,000 | ||||||
|
Barrick Gold Corp.
5.25%, 4/1/2042 |
100,000 | 108,860 | ||||||
|
Barrick North America Finance LLC
5.70%, 5/30/2041 |
50,000 | 57,545 | ||||||
|
Barrick PD Australia Finance Pty Ltd.
5.95%, 10/15/2039 |
200,000 | 227,599 | ||||||
|
BHP Billiton Finance USA, Ltd.
4.13%, 2/24/2042 |
125,000 | 131,870 | ||||||
|
Cliffs Natural Resources, Inc.
6.25%, 10/1/2040 |
100,000 | 97,268 | ||||||
|
Newmont Mining Corp.:
|
||||||||
|
4.88%, 3/15/2042
|
150,000 | 153,352 | ||||||
|
6.25%, 10/1/2039
|
190,000 | 221,463 | ||||||
|
Nucor Corp.:
|
||||||||
|
4.13%, 9/15/2022
|
100,000 | 112,946 | ||||||
|
6.40%, 12/1/2037 (a)
|
50,000 | 68,802 | ||||||
|
Rio Tinto Alcan, Inc.:
|
||||||||
|
6.13%, 12/15/2033
|
165,000 | 210,312 | ||||||
|
7.25%, 3/15/2031
|
200,000 | 272,686 | ||||||
|
Rio Tinto Finance USA, Ltd.
5.20%, 11/2/2040 |
200,000 | 232,345 | ||||||
|
Southern Copper Corp.
6.75%, 4/16/2040 (a) |
275,000 | 318,598 | ||||||
|
Teck Resources, Ltd.:
|
||||||||
|
3.75%, 2/1/2023 (a)
|
200,000 | 196,830 | ||||||
|
6.13%, 10/1/2035
|
50,000 | 53,289 | ||||||
|
6.25%, 7/15/2041
|
250,000 | 269,973 | ||||||
|
Vale Overseas, Ltd.
6.88%, 11/21/2036 |
620,000 | 720,945 | ||||||
|
Vale SA
5.63%, 9/11/2042 |
350,000 | 358,336 | ||||||
| 4,273,388 | ||||||||
|
MULTI-UTILITIES — 1.5%
|
||||||||
|
Dominion Resources, Inc.:
|
||||||||
|
4.90%, 8/1/2041
|
100,000 | 116,025 | ||||||
|
5.25%, 8/1/2033
|
150,000 | 178,400 | ||||||
|
Dominion Resources, Inc., Series E
6.30%, 3/15/2033 |
150,000 | 195,091 | ||||||
|
MidAmerican Energy Holdings Co.:
|
||||||||
|
5.95%, 5/15/2037
|
250,000 | 318,422 | ||||||
|
6.13%, 4/1/2036
|
280,000 | 357,928 | ||||||
|
6.50%, 9/15/2037
|
230,000 | 308,594 | ||||||
|
Nisource Finance Corp.
3.85%, 2/15/2023 |
100,000 | 103,924 | ||||||
|
Sempra Energy
6.00%, 10/15/2039 |
200,000 | 263,236 | ||||||
| 1,841,620 | ||||||||
|
MULTILINE RETAIL — 1.4%
|
||||||||
|
Kohl’s Corp.
6.88%, 12/15/2037 |
100,000 | 131,697 | ||||||
|
Macy’s Retail Holdings, Inc.:
|
||||||||
|
5.13%, 1/15/2042
|
100,000 | 108,118 | ||||||
|
6.65%, 7/15/2024
|
125,000 | 153,395 | ||||||
|
6.70%, 7/15/2034
|
100,000 | 119,965 | ||||||
|
Nordstrom, Inc.
6.95%, 3/15/2028 |
150,000 | 198,328 | ||||||
|
Target Corp.:
|
||||||||
|
4.00%, 7/1/2042
|
250,000 | 256,044 | ||||||
|
6.50%, 10/15/2037
|
100,000 | 140,065 | ||||||
|
7.00%, 1/15/2038
|
365,000 | 533,458 | ||||||
| 1,641,070 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 12.5%
|
||||||||
|
Anadarko Petroleum Corp.:
|
||||||||
|
6.20%, 3/15/2040 (a)
|
75,000 | 92,084 | ||||||
|
6.45%, 9/15/2036
|
200,000 | 246,271 | ||||||
|
Apache Corp.:
|
||||||||
|
4.75%, 4/15/2043
|
150,000 | 171,217 | ||||||
|
5.10%, 9/1/2040 (a)
|
150,000 | 176,975 | ||||||
|
5.25%, 2/1/2042
|
50,000 | 60,515 | ||||||
|
6.00%, 1/15/2037
|
225,000 | 300,341 | ||||||
|
Baker Hughes, Inc.
5.13%, 9/15/2040 |
200,000 | 244,901 | ||||||
|
Canadian Natural Resources, Ltd.:
|
||||||||
|
5.85%, 2/1/2035
|
100,000 | 121,900 | ||||||
|
6.25%, 3/15/2038
|
230,000 | 300,594 | ||||||
|
7.20%, 1/15/2032
|
100,000 | 137,549 | ||||||
|
Cenovus Energy, Inc.
6.75%, 11/15/2039 |
200,000 | 270,764 | ||||||
|
Conoco Funding Co.
7.25%, 10/15/2031 |
165,000 | 245,638 | ||||||
|
Conoco, Inc.
6.95%, 4/15/2029 |
165,000 | 233,120 | ||||||
|
ConocoPhillips
6.50%, 2/1/2039 |
475,000 | 685,966 | ||||||
|
Devon Energy Corp.:
|
||||||||
|
5.60%, 7/15/2041
|
200,000 | 238,158 | ||||||
|
7.95%, 4/15/2032
|
200,000 | 295,405 | ||||||
|
Devon Financing Corp. ULC
7.88%, 9/30/2031 |
65,000 | 94,824 | ||||||
|
Enbridge Energy Partners LP, Series B
7.50%, 4/15/2038 |
100,000 | 132,093 | ||||||
|
EnCana Corp.:
|
||||||||
|
6.50%, 8/15/2034
|
200,000 | 235,396 | ||||||
|
6.50%, 2/1/2038
|
50,000 | 59,549 | ||||||
|
6.63%, 8/15/2037 (a)
|
150,000 | 180,049 | ||||||
|
Energy Transfer Partners LP:
|
||||||||
|
6.05%, 6/1/2041
|
75,000 | 83,687 | ||||||
|
6.50%, 2/1/2042
|
230,000 | 271,976 | ||||||
|
6.63%, 10/15/2036
|
50,000 | 55,924 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Enterprise Products Operating LLC:
|
||||||||
|
4.45%, 2/15/2043
|
$ | 200,000 | $ | 197,940 | ||||
|
6.13%, 10/15/2039
|
350,000 | 419,072 | ||||||
|
6.65%, 10/15/2034
|
100,000 | 127,191 | ||||||
|
7.55%, 4/15/2038
|
115,000 | 154,725 | ||||||
|
Hess Corp.:
|
||||||||
|
5.60%, 2/15/2041
|
100,000 | 115,536 | ||||||
|
6.00%, 1/15/2040 (a)
|
50,000 | 59,826 | ||||||
|
7.13%, 3/15/2033
|
100,000 | 130,665 | ||||||
|
7.30%, 8/15/2031
|
165,000 | 216,740 | ||||||
|
7.88%, 10/1/2029
|
100,000 | 135,995 | ||||||
|
Husky Energy, Inc.
6.80%, 9/15/2037 |
50,000 | 64,608 | ||||||
|
Kerr-McGee
Corp.:
|
||||||||
|
6.95%, 7/1/2024
|
100,000 | 128,875 | ||||||
|
7.88%, 9/15/2031
|
150,000 | 199,920 | ||||||
|
Kinder Morgan Energy Partners LP:
|
||||||||
|
3.45%, 2/15/2023 (a)
|
100,000 | 102,743 | ||||||
|
5.63%, 9/1/2041
|
100,000 | 112,614 | ||||||
|
6.38%, 3/1/2041
|
150,000 | 186,091 | ||||||
|
6.95%, 1/15/2038
|
350,000 | 443,613 | ||||||
|
7.40%, 3/15/2031
|
300,000 | 381,355 | ||||||
|
Marathon Oil Corp.:
|
||||||||
|
6.60%, 10/1/2037
|
50,000 | 65,552 | ||||||
|
6.80%, 3/15/2032
|
150,000 | 194,124 | ||||||
|
Marathon Petroleum Corp.
6.50%, 3/1/2041 |
150,000 | 183,335 | ||||||
|
Nexen, Inc.:
|
||||||||
|
5.88%, 3/10/2035
|
200,000 | 237,257 | ||||||
|
7.50%, 7/30/2039
|
165,000 | 236,905 | ||||||
|
Noble Energy, Inc.
6.00%, 3/1/2041 |
300,000 | 368,288 | ||||||
|
Noble Holding International, Ltd.:
|
||||||||
|
5.25%, 3/15/2042
|
150,000 | 160,277 | ||||||
|
6.05%, 3/1/2041
|
50,000 | 57,813 | ||||||
|
Occidental Petroleum Corp.
2.70%, 2/15/2023 |
125,000 | 127,981 | ||||||
|
ONEOK Partners LP:
|
||||||||
|
3.38%, 10/1/2022
|
250,000 | 252,476 | ||||||
|
6.13%, 2/1/2041
|
50,000 | 59,571 | ||||||
|
6.85%, 10/15/2037
|
100,000 | 121,950 | ||||||
|
Petro-Canada:
|
||||||||
|
5.35%, 7/15/2033
|
100,000 | 114,145 | ||||||
|
6.80%, 5/15/2038
|
320,000 | 435,326 | ||||||
|
Phillips 66
5.88%, 5/1/2042 (d) |
150,000 | 177,668 | ||||||
|
Plains All American Pipeline LP/PAA Finance Corp.:
|
||||||||
|
3.65%, 6/1/2022
|
100,000 | 105,818 | ||||||
|
5.15%, 6/1/2042
|
100,000 | 112,915 | ||||||
|
6.65%, 1/15/2037
|
50,000 | 63,922 | ||||||
|
Shell International Finance BV:
|
||||||||
|
5.50%, 3/25/2040
|
150,000 | 197,193 | ||||||
|
6.38%, 12/15/2038
|
290,000 | 416,781 | ||||||
|
Southern Natural Gas Co.
8.00%, 3/1/2032 |
15,000 | 21,349 | ||||||
|
Suncor Energy, Inc.
6.85%, 6/1/2039 |
200,000 | 275,186 | ||||||
|
Talisman Energy, Inc.:
|
||||||||
|
5.50%, 5/15/2042
|
200,000 | 222,261 | ||||||
|
6.25%, 2/1/2038
|
100,000 | 116,524 | ||||||
|
Tennessee Gas Pipeline Co.
7.00%, 3/15/2027 |
100,000 | 132,849 | ||||||
|
Tosco Corp.:
|
||||||||
|
7.80%, 1/1/2027
|
150,000 | 216,832 | ||||||
|
8.13%, 2/15/2030
|
150,000 | 226,633 | ||||||
|
TransCanada Pipelines, Ltd.:
|
||||||||
|
6.10%, 6/1/2040
|
100,000 | 137,190 | ||||||
|
6.20%, 10/15/2037
|
220,000 | 299,879 | ||||||
|
7.63%, 1/15/2039
|
165,000 | 255,775 | ||||||
|
Transcontinental Gas Pipe Line Co. LLC:
|
||||||||
|
4.45%, 8/1/2042 (d)
|
22,000 | 22,686 | ||||||
|
5.40%, 8/15/2041 (a)
|
50,000 | 59,775 | ||||||
|
Transocean, Inc.:
|
||||||||
|
6.80%, 3/15/2038
|
100,000 | 120,629 | ||||||
|
7.50%, 4/15/2031
|
130,000 | 160,634 | ||||||
|
Valero Energy Corp.:
|
||||||||
|
7.50%, 4/15/2032
|
225,000 | 282,792 | ||||||
|
10.50%, 3/15/2039
|
100,000 | 155,333 | ||||||
|
Western Gas Partners LP
4.00%, 7/1/2022 |
100,000 | 103,292 | ||||||
|
Williams Cos., Inc.
8.75%, 3/15/2032 (a) |
200,000 | 275,191 | ||||||
|
Williams Partners LP
6.30%, 4/15/2040 |
200,000 | 248,694 | ||||||
| 15,135,206 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.4%
|
||||||||
|
Georgia-Pacific LLC
8.88%, 5/15/2031 |
200,000 | 295,967 | ||||||
|
International Paper Co.:
|
||||||||
|
6.00%, 11/15/2041
|
100,000 | 122,107 | ||||||
|
8.70%, 6/15/2038
|
50,000 | 72,213 | ||||||
| 490,287 | ||||||||
|
PERSONAL PRODUCTS — 0.1%
|
||||||||
|
The Estee Lauder Cos., Inc.:
|
||||||||
|
3.70%, 8/15/2042
|
50,000 | 49,265 | ||||||
|
6.00%, 5/15/2037
|
100,000 | 130,907 | ||||||
| 180,172 | ||||||||
|
PHARMACEUTICALS — 4.8%
|
||||||||
|
Abbott Laboratories:
|
||||||||
|
5.30%, 5/27/2040
|
100,000 | 128,735 | ||||||
|
6.00%, 4/1/2039
|
350,000 | 485,788 | ||||||
|
AstraZeneca PLC
6.45%, 9/15/2037 |
350,000 | 478,263 | ||||||
|
Bristol-Myers
Squibb Co.:
|
||||||||
|
2.00%, 8/1/2022
|
50,000 | 48,523 | ||||||
|
3.25%, 8/1/2042 (a)
|
71,000 | 66,944 | ||||||
|
5.88%, 11/15/2036
|
224,000 | 294,329 | ||||||
|
Eli Lilly & Co.:
|
||||||||
|
5.50%, 3/15/2027
|
165,000 | 212,242 | ||||||
|
5.95%, 11/15/2037
|
100,000 | 134,949 | ||||||
|
Express Scripts Holding Co.
6.13%, 11/15/2041 (d) |
75,000 | 97,421 | ||||||
|
GlaxoSmithKline Capital, Inc.
6.38%, 5/15/2038 |
480,000 | 675,067 | ||||||
|
Hospira, Inc.
5.60%, 9/15/2040 |
100,000 | 107,993 | ||||||
|
Johnson & Johnson:
|
||||||||
|
4.50%, 9/1/2040
|
150,000 | 180,742 | ||||||
|
5.95%, 8/15/2037
|
75,000 | 105,155 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
6.73%, 11/15/2023
|
$ | 250,000 | $ | 346,585 | ||||
|
Merck & Co, Inc.:
|
||||||||
|
5.85%, 6/30/2039
|
100,000 | 137,100 | ||||||
|
5.95%, 12/1/2028
|
100,000 | 133,923 | ||||||
|
6.50%, 12/1/2033
|
200,000 | 290,993 | ||||||
|
6.55%, 9/15/2037
|
200,000 | 294,794 | ||||||
|
Pfizer, Inc.
7.20%, 3/15/2039 |
210,000 | 326,459 | ||||||
|
Teva Pharmaceutical Finance Co. LLC
6.15%, 2/1/2036 |
100,000 | 132,186 | ||||||
|
Wyeth:
|
||||||||
|
5.95%, 4/1/2037
|
250,000 | 335,579 | ||||||
|
6.45%, 2/1/2024
|
125,000 | 169,945 | ||||||
|
6.50%, 2/1/2034
|
425,000 | 589,184 | ||||||
| 5,772,899 | ||||||||
|
PIPELINES — 0.1%
|
||||||||
|
CenterPoint Energy Resources Corp.
5.85%, 1/15/2041 |
35,000 | 44,672 | ||||||
|
Texas Eastern Transmission LP
7.00%, 7/15/2032 |
100,000 | 131,539 | ||||||
| 176,211 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 0.6%
|
||||||||
|
Boston Properties LP
3.85%, 2/1/2023 |
200,000 | 211,343 | ||||||
|
Digital Realty Trust LP
3.63%, 10/1/2022 |
100,000 | 100,309 | ||||||
|
HCP, Inc.
6.75%, 2/1/2041 |
100,000 | 128,619 | ||||||
|
Health Care REIT, Inc.
6.50%, 3/15/2041 |
86,000 | 101,490 | ||||||
|
OMEGA Healthcare Investors, Inc.
6.75%, 10/15/2022 |
100,000 | 110,750 | ||||||
|
Simon Property Group LP
6.75%, 2/1/2040 |
65,000 | 90,170 | ||||||
| 742,681 | ||||||||
|
ROAD & RAIL — 2.2%
|
||||||||
|
Burlington Northern Santa Fe LLC:
|
||||||||
|
4.38%, 9/1/2042 (a)
|
100,000 | 105,382 | ||||||
|
4.40%, 3/15/2042
|
75,000 | 79,288 | ||||||
|
5.40%, 6/1/2041
|
150,000 | 177,272 | ||||||
|
5.75%, 5/1/2040
|
150,000 | 186,482 | ||||||
|
6.15%, 5/1/2037
|
100,000 | 128,219 | ||||||
|
7.95%, 8/15/2030
|
50,000 | 70,698 | ||||||
|
Canadian National Railway Co.:
|
||||||||
|
6.38%, 11/15/2037
|
100,000 | 141,186 | ||||||
|
6.90%, 7/15/2028
|
95,000 | 132,326 | ||||||
|
Canadian Pacific Railway Co.
4.45%, 3/15/2023 |
100,000 | 110,211 | ||||||
|
Canadian Pacific Railway Ltd.
5.75%, 1/15/2042 |
100,000 | 120,926 | ||||||
|
CSX Corp.:
|
||||||||
|
4.40%, 3/1/2043
|
200,000 | 205,655 | ||||||
|
4.75%, 5/30/2042
|
115,000 | 124,386 | ||||||
|
6.22%, 4/30/2040
|
120,000 | 155,554 | ||||||
|
Norfolk Southern Corp.:
|
||||||||
|
2.90%, 2/15/2023 (d)
|
347,000 | 350,573 | ||||||
|
6.00%, 3/15/2105
|
100,000 | 120,684 | ||||||
|
Union Pacific Corp.:
|
||||||||
|
2.95%, 1/15/2023
|
50,000 | 51,367 | ||||||
|
4.16%, 7/15/2022
|
75,000 | 84,456 | ||||||
|
4.30%, 6/15/2042
|
50,000 | 52,904 | ||||||
|
5.78%, 7/15/2040
|
200,000 | 251,816 | ||||||
| 2,649,385 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 0.3% |
||||||||
|
Applied Materials, Inc.
5.85%, 6/15/2041 |
100,000 | 124,214 | ||||||
|
Intel Corp.
4.80%, 10/1/2041 |
164,000 | 192,598 | ||||||
| 316,812 | ||||||||
|
SOFTWARE — 1.1%
|
||||||||
|
Microsoft Corp.:
|
||||||||
|
4.50%, 10/1/2040
|
300,000 | 353,730 | ||||||
|
5.20%, 6/1/2039
|
100,000 | 128,038 | ||||||
|
Oracle Corp.:
|
||||||||
|
5.38%, 7/15/2040
|
350,000 | 448,897 | ||||||
|
6.13%, 7/8/2039 (a)
|
305,000 | 421,397 | ||||||
| 1,352,062 | ||||||||
|
SPECIALTY RETAIL — 1.1%
|
||||||||
|
Lowe’s Cos., Inc.:
|
||||||||
|
4.65%, 4/15/2042
|
100,000 | 107,711 | ||||||
|
5.80%, 10/15/2036
|
150,000 | 184,478 | ||||||
|
5.80%, 4/15/2040
|
100,000 | 124,781 | ||||||
|
6.65%, 9/15/2037
|
150,000 | 204,693 | ||||||
|
The Home Depot, Inc.:
|
||||||||
|
5.40%, 9/15/2040
|
100,000 | 126,147 | ||||||
|
5.88%, 12/16/2036
|
265,000 | 349,883 | ||||||
|
5.95%, 4/1/2041
|
175,000 | 237,798 | ||||||
| 1,335,491 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.1%
|
||||||||
|
V.F. Corp.
6.45%, 11/1/2037 |
100,000 | 136,365 | ||||||
|
TOBACCO — 1.0%
|
||||||||
|
Altria Group, Inc.:
|
||||||||
|
9.95%, 11/10/2038
|
165,000 | 275,821 | ||||||
|
10.20%, 2/6/2039
|
200,000 | 339,879 | ||||||
|
Lorillard Tobacco Co.
8.13%, 5/1/2040 |
50,000 | 66,219 | ||||||
|
Philip Morris International, Inc.:
|
||||||||
|
4.38%, 11/15/2041 (a)
|
100,000 | 107,632 | ||||||
|
4.50%, 3/20/2042
|
150,000 | 163,398 | ||||||
|
6.38%, 5/16/2038
|
150,000 | 206,405 | ||||||
| 1,159,354 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 5.8%
|
||||||||
|
Alltel Corp.
7.88%, 7/1/2032 |
100,000 | 154,156 | ||||||
|
America Movil SAB de CV:
|
||||||||
|
4.38%, 7/16/2042 (a)
|
250,000 | 258,582 | ||||||
|
6.13%, 3/30/2040
|
200,000 | 261,166 | ||||||
|
6.38%, 3/1/2035
|
140,000 | 183,153 | ||||||
|
AT&T Corp.
8.00%, 11/15/2031 |
219,000 | 338,728 | ||||||
|
AT&T, Inc.:
|
||||||||
|
5.35%, 9/1/2040
|
720,000 | 864,410 | ||||||
|
6.15%, 9/15/2034
|
400,000 | 510,314 | ||||||
|
6.30%, 1/15/2038
|
165,000 | 216,411 | ||||||
|
6.55%, 2/15/2039
|
250,000 | 338,576 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
BellSouth Corp.
6.88%, 10/15/2031 |
$ | 50,000 | $ | 62,763 | ||||
|
BellSouth Telecommunications, Inc.:
|
||||||||
|
6.38%, 6/1/2028
|
200,000 | 237,765 | ||||||
|
7.00%, 12/1/2095
|
100,000 | 125,567 | ||||||
|
Deutsche Telekom International Finance BV:
|
||||||||
|
8.75%, 6/15/2030
|
430,000 | 647,065 | ||||||
|
9.25%, 6/1/2032
|
50,000 | 78,877 | ||||||
|
Embarq Corp.
8.00%, 6/1/2036 |
350,000 | 400,528 | ||||||
|
France Telecom SA
8.50%, 3/1/2031 |
300,000 | 448,542 | ||||||
|
Koninklijke KPN NV
8.38%, 10/1/2030 |
100,000 | 133,110 | ||||||
|
New Cingular Wireless Services, Inc.
8.75%, 3/1/2031 |
150,000 | 239,221 | ||||||
|
Telecom Italia Capital SA:
|
||||||||
|
6.38%, 11/15/2033
|
250,000 | 228,125 | ||||||
|
7.20%, 7/18/2036
|
150,000 | 146,625 | ||||||
|
7.72%, 6/4/2038
|
150,000 | 150,375 | ||||||
|
Telefonica Emisiones SAU
7.05%, 6/20/2036 |
200,000 | 194,500 | ||||||
|
Telefonica Europe BV
8.25%, 9/15/2030 |
195,000 | 206,700 | ||||||
|
US Cellular Corp.
6.70%, 12/15/2033 |
100,000 | 104,485 | ||||||
|
Vodafone Group PLC:
|
||||||||
|
6.15%, 2/27/2037 (a)
|
115,000 | 153,028 | ||||||
|
6.25%, 11/30/2032
|
200,000 | 259,822 | ||||||
| 6,942,594 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $110,760,988)
|
119,156,444 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 3.7%
|
||||||||
|
MONEY MARKET FUNDS — 3.7%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (f)(g) |
3,410,228 | 3,410,228 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (g)(h) |
1,059,664 | 1,059,664 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (i)
|
||||||||
|
(Cost $4,469,892)
|
4,469,892 | |||||||
|
TOTAL INVESTMENTS — 102.4% (j)
|
||||||||
|
(Cost $115,230,880)
|
123,626,336 | |||||||
|
OTHER ASSETS &
LIABILITIES — (2.4)% |
(2,950,325 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 120,676,011 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 1.6% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(e)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(f)
|
Investments of cash collateral for securities loaned. | |||||
|
(g)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(h)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(i)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(j)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 98.3%
|
||||||||
|
AEROSPACE & DEFENSE — 2.4%
|
||||||||
|
Embraer Overseas, Ltd.
6.38%, 1/15/2020 |
$ | 125,000 | $ | 142,895 | ||||
|
Exelis, Inc.
5.55%, 10/1/2021 |
50,000 | 55,064 | ||||||
|
General Dynamics Corp.
5.25%, 2/1/2014 |
50,000 | 53,145 | ||||||
|
Goodrich Corp.
3.60%, 2/1/2021 |
50,000 | 54,817 | ||||||
|
Honeywell International, Inc.
4.25%, 3/1/2021 |
50,000 | 58,641 | ||||||
|
L-3
Communications Corp.:
|
||||||||
|
3.95%, 11/15/2016
|
25,000 | 27,094 | ||||||
|
4.75%, 7/15/2020
|
25,000 | 27,403 | ||||||
|
Lockheed Martin Corp.
2.13%, 9/15/2016 |
50,000 | 51,526 | ||||||
|
Northrop Grumman Corp.
1.85%, 11/15/2015 |
50,000 | 51,365 | ||||||
|
Raytheon Co.:
|
||||||||
|
3.13%, 10/15/2020
|
50,000 | 53,437 | ||||||
|
4.88%, 10/15/2040
|
15,000 | 17,445 | ||||||
|
Textron, Inc.
6.20%, 3/15/2015 |
60,000 | 66,267 | ||||||
|
The Boeing Co.
5.88%, 2/15/2040 |
20,000 | 27,825 | ||||||
|
United Technologies Corp.
6.13%, 7/15/2038 |
25,000 | 33,683 | ||||||
| 720,607 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.5%
|
||||||||
|
FedEx Corp.
2.63%, 8/1/2022 |
75,000 | 74,594 | ||||||
|
GATX Corp.
8.75%, 5/15/2014 |
50,000 | 55,752 | ||||||
|
United Parcel Service, Inc.
4.88%, 11/15/2040 |
25,000 | 30,239 | ||||||
| 160,585 | ||||||||
|
AIRLINES — 0.2%
|
||||||||
|
Continental Airlines, Inc.
5.98%, 10/19/2023 (a) |
45,600 | 50,160 | ||||||
|
AUTO COMPONENTS — 0.4%
|
||||||||
|
BorgWarner, Inc.
4.63%, 9/15/2020 |
50,000 | 55,384 | ||||||
|
Johnson Controls, Inc.
4.25%, 3/1/2021 |
50,000 | 54,665 | ||||||
| 110,049 | ||||||||
|
AUTOMOBILES — 0.5%
|
||||||||
|
Daimler Finance North America LLC:
|
||||||||
|
6.50%, 11/15/2013
|
50,000 | 53,242 | ||||||
|
8.50%, 1/18/2031
|
25,000 | 39,223 | ||||||
|
PACCAR Financial Corp.
1.55%, 9/29/2014 |
50,000 | 50,880 | ||||||
| 143,345 | ||||||||
|
BEVERAGES — 2.0%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
2.50%, 3/26/2013
|
50,000 | 50,494 | ||||||
|
8.00%, 11/15/2039
|
50,000 | 81,594 | ||||||
|
Beam, Inc.
5.88%, 1/15/2036 |
25,000 | 29,475 | ||||||
|
Brown-Forman Corp.
5.00%, 2/1/2014 |
50,000 | 52,601 | ||||||
|
Coca-Cola
Enterprises, Inc.
2.13%, 9/15/2015 |
50,000 | 51,251 | ||||||
|
Coca-Cola
HBC Finance BV
5.50%, 9/17/2015 |
125,000 | 134,304 | ||||||
|
Diageo Capital PLC
5.20%, 1/30/2013 |
25,000 | 25,389 | ||||||
|
Dr Pepper Snapple Group, Inc.
2.90%, 1/15/2016 |
50,000 | 52,352 | ||||||
|
PepsiCo, Inc.
3.13%, 11/1/2020 |
50,000 | 53,646 | ||||||
|
The
Coca-Cola Co.
4.88%, 3/15/2019 |
50,000 | 59,708 | ||||||
| 590,814 | ||||||||
|
BIOTECHNOLOGY — 1.1%
|
||||||||
|
Amgen, Inc.
6.38%, 6/1/2037 |
25,000 | 31,450 | ||||||
|
Biogen Idec, Inc.
6.88%, 3/1/2018 |
25,000 | 30,749 | ||||||
|
Celgene Corp.
3.95%, 10/15/2020 |
50,000 | 53,231 | ||||||
|
Genentech, Inc.
4.75%, 7/15/2015 |
35,000 | 38,795 | ||||||
|
Genzyme Corp.
3.63%, 6/15/2015 |
50,000 | 53,759 | ||||||
|
Gilead Sciences, Inc.
4.50%, 4/1/2021 |
50,000 | 56,864 | ||||||
|
Life Technologies Corp.
4.40%, 3/1/2015 |
50,000 | 53,048 | ||||||
| 317,896 | ||||||||
|
BUILDING MATERIALS — 0.2%
|
||||||||
|
CRH America, Inc.
6.00%, 9/30/2016 |
50,000 | 55,650 | ||||||
|
BUILDING PRODUCTS — 0.4%
|
||||||||
|
Martin Marietta Materials, Inc.
6.60%, 4/15/2018 |
75,000 | 81,760 | ||||||
|
Owens Corning
7.00%, 12/1/2036 |
25,000 | 27,612 | ||||||
| 109,372 | ||||||||
|
CAPITAL MARKETS — 2.2%
|
||||||||
|
Ameriprise Financial, Inc.
7.30%, 6/28/2019 |
25,000 | 32,154 | ||||||
|
BlackRock, Inc.
3.50%, 12/10/2014 |
60,000 | 63,932 | ||||||
|
Janus Capital Group, Inc.
6.70%, 6/15/2017 |
25,000 | 28,581 | ||||||
|
Jefferies Group, Inc.
3.88%, 11/9/2015 |
50,000 | 50,500 | ||||||
|
Morgan Stanley:
|
||||||||
|
5.45%, 1/9/2017
|
100,000 | 109,622 | ||||||
|
6.25%, 8/9/2026
|
25,000 | 27,862 | ||||||
|
Raymond James Financial, Inc.
8.60%, 8/15/2019 |
50,000 | 62,648 | ||||||
|
TD Ameritrade Holding Corp.
4.15%, 12/1/2014 |
50,000 | 53,156 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
The Bank of New York Mellon Corp.:
|
||||||||
|
4.30%, 5/15/2014
|
$ | 55,000 | $ | 58,520 | ||||
|
5.45%, 5/15/2019
|
65,000 | 77,123 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
5.50%, 11/15/2014
|
25,000 | 27,059 | ||||||
|
6.00%, 5/1/2014
|
50,000 | 53,596 | ||||||
| 644,753 | ||||||||
|
CHEMICALS — 3.2%
|
||||||||
|
Agrium, Inc.
6.13%, 1/15/2041 |
25,000 | 31,264 | ||||||
|
Air Products & Chemicals, Inc.:
|
||||||||
|
2.00%, 8/2/2016
|
15,000 | 15,603 | ||||||
|
4.38%, 8/21/2019
|
50,000 | 56,786 | ||||||
|
Airgas, Inc.
3.25%, 10/1/2015 |
100,000 | 104,785 | ||||||
|
E.I. du Pont de Nemours & Co.
6.00%, 7/15/2018 |
50,000 | 62,807 | ||||||
|
Eastman Chemical Co.
3.00%, 12/15/2015 |
25,000 | 26,322 | ||||||
|
Ecolab, Inc.
5.50%, 12/8/2041 |
50,000 | 61,726 | ||||||
|
FMC Corp.
3.95%, 2/1/2022 |
50,000 | 52,641 | ||||||
|
ICI Wilmington, Inc.
5.63%, 12/1/2013 |
42,000 | 44,226 | ||||||
|
Monsanto Co.
2.75%, 4/15/2016 |
25,000 | 26,445 | ||||||
|
Potash Corp. of Saskatchewan, Inc.
4.88%, 3/30/2020 |
50,000 | 58,753 | ||||||
|
PPG Industries, Inc.
5.75%, 3/15/2013 |
50,000 | 51,161 | ||||||
|
Praxair, Inc.
5.25%, 11/15/2014 |
50,000 | 54,628 | ||||||
|
RPM International, Inc.
6.13%, 10/15/2019 |
25,000 | 29,168 | ||||||
|
Sigma-Aldrich Corp.
3.38%, 11/1/2020 |
50,000 | 53,323 | ||||||
|
Syngenta Finance NV
3.13%, 3/28/2022 |
50,000 | 52,549 | ||||||
|
The Dow Chemical Co.
7.38%, 11/1/2029 |
50,000 | 66,917 | ||||||
|
The Mosaic Co.:
|
||||||||
|
3.75%, 11/15/2021
|
25,000 | 26,717 | ||||||
|
4.88%, 11/15/2041
|
25,000 | 27,518 | ||||||
|
The
Sherwin-Williams Co.
3.13%, 12/15/2014 |
50,000 | 52,267 | ||||||
| 955,606 | ||||||||
|
COMMERCIAL BANKS — 5.9%
|
||||||||
|
Abbey National Treasury Services PLC
4.00%, 4/27/2016 |
50,000 | 51,973 | ||||||
|
American Express Bank FSB
6.00%, 9/13/2017 |
25,000 | 30,174 | ||||||
|
Associated
Banc-Corp.
5.13%, 3/28/2016 |
85,000 | 93,180 | ||||||
|
Bank of Montreal
2.13%, 6/28/2013 |
50,000 | 50,668 | ||||||
|
Bank of Nova Scotia
3.40%, 1/22/2015 |
50,000 | 52,955 | ||||||
|
BB&T Corp.
3.20%, 3/15/2016 |
50,000 | 53,589 | ||||||
|
BB&T Corp., Series C
2.15%, 3/22/2017 |
50,000 | 52,069 | ||||||
|
BBVA US Senior SAU
3.25%, 5/16/2014 |
50,000 | 49,811 | ||||||
|
BNP Paribas
5.00%, 1/15/2021 |
50,000 | 55,590 | ||||||
|
Canadian Imperial Bank of Commerce/Canada
1.45%, 9/13/2013 |
60,000 | 60,562 | ||||||
|
Credit Suisse of New York, NY
5.00%, 5/15/2013 |
50,000 | 51,336 | ||||||
|
Deutsche Bank AG
4.88%, 5/20/2013 |
50,000 | 51,344 | ||||||
|
Discover Bank/Greenwood DE
7.00%, 4/15/2020 |
50,000 | 59,722 | ||||||
|
First Horizon National Corp.
5.38%, 12/15/2015 |
95,000 | 102,872 | ||||||
|
KeyCorp:
|
||||||||
|
5.10%, 3/24/2021
|
50,000 | 58,267 | ||||||
|
6.50%, 5/14/2013
|
75,000 | 77,659 | ||||||
|
Lloyds TSB Bank PLC:
|
||||||||
|
4.20%, 3/28/2017
|
50,000 | 54,860 | ||||||
|
4.88%, 1/21/2016
|
50,000 | 54,944 | ||||||
|
PNC Funding Corp.:
|
||||||||
|
2.70%, 9/19/2016
|
100,000 | 106,536 | ||||||
|
3.63%, 2/8/2015
|
20,000 | 21,382 | ||||||
|
Regions Financial Corp.
5.75%, 6/15/2015 |
75,000 | 80,250 | ||||||
|
Royal Bank of Canada
1.13%, 1/15/2014 |
50,000 | 50,343 | ||||||
|
SVB Financial Group
5.38%, 9/15/2020 |
50,000 | 56,136 | ||||||
|
The
Toronto-Dominion
Bank
2.38%, 10/19/2016 |
50,000 | 52,558 | ||||||
|
UnionBanCal Corp.
3.50%, 6/18/2022 |
50,000 | 52,575 | ||||||
|
US Bancorp
4.20%, 5/15/2014 |
50,000 | 52,910 | ||||||
|
Wells Fargo & Co.
5.63%, 12/11/2017 |
50,000 | 59,770 | ||||||
|
Westpac Banking Corp.:
|
||||||||
|
2.10%, 8/2/2013
|
75,000 | 76,021 | ||||||
|
3.00%, 8/4/2015
|
25,000 | 26,318 | ||||||
|
Zions Bancorporation
7.75%, 9/23/2014 |
25,000 | 27,250 | ||||||
| 1,723,624 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.9%
|
||||||||
|
Avery Dennison Corp.
5.38%, 4/15/2020 |
35,000 | 37,266 | ||||||
|
Block Financial LLC
7.88%, 1/15/2013 |
50,000 | 50,873 | ||||||
|
Pitney Bowes, Inc.
4.88%, 8/15/2014 |
25,000 | 26,037 | ||||||
|
Republic Services, Inc.:
|
||||||||
|
3.80%, 5/15/2018
|
50,000 | 54,678 | ||||||
|
5.25%, 11/15/2021
|
20,000 | 23,764 | ||||||
|
The ADT Corp.
2.25%, 7/15/2017 (b) |
50,000 | 50,957 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Waste Management, Inc.
6.38%, 11/15/2012 |
$ | 25,000 | $ | 25,168 | ||||
| 268,743 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.7%
|
||||||||
|
Cisco Systems, Inc.
5.90%, 2/15/2039 |
25,000 | 33,128 | ||||||
|
Harris Corp.
5.00%, 10/1/2015 |
50,000 | 55,333 | ||||||
|
Juniper Networks, Inc.
4.60%, 3/15/2021 |
50,000 | 53,662 | ||||||
|
Motorola Solutions, Inc.
6.00%, 11/15/2017 |
50,000 | 59,608 | ||||||
| 201,731 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.5%
|
||||||||
|
Dell, Inc.
5.40%, 9/10/2040 |
25,000 | 27,244 | ||||||
|
Hewlett-Packard
Co.:
|
||||||||
|
3.00%, 9/15/2016
|
50,000 | 51,564 | ||||||
|
4.75%, 6/2/2014
|
25,000 | 26,360 | ||||||
|
Lexmark International, Inc.
5.90%, 6/1/2013 |
50,000 | 51,279 | ||||||
| 156,447 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.4%
|
||||||||
|
ABB Finance USA, Inc.
4.38%, 5/8/2042 |
50,000 | 54,590 | ||||||
|
Fluor Corp.
3.38%, 9/15/2021 |
50,000 | 52,800 | ||||||
| 107,390 | ||||||||
|
CONSUMER FINANCE — 0.1%
|
||||||||
|
SLM Corp.
5.00%, 4/15/2015 |
25,000 | 26,375 | ||||||
|
CONTAINERS & PACKAGING — 0.5%
|
||||||||
|
Bemis Co., Inc.
4.50%, 10/15/2021 |
50,000 | 54,595 | ||||||
|
Packaging Corp. of America
3.90%, 6/15/2022 |
50,000 | 51,683 | ||||||
|
Sonoco Products Co.
5.75%, 11/1/2040 |
40,000 | 46,369 | ||||||
| 152,647 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 5.4%
|
||||||||
|
Allstate Life Global Funding Trusts
5.38%, 4/30/2013 |
50,000 | 51,452 | ||||||
|
Alterra Finance LLC
6.25%, 9/30/2020 |
50,000 | 55,866 | ||||||
|
American Express Credit Corp.
1.75%, 6/12/2015 |
50,000 | 51,252 | ||||||
|
AXA Financial, Inc.
7.00%, 4/1/2028 |
35,000 | 39,209 | ||||||
|
Bank of America Corp.
3.88%, 3/22/2017 |
125,000 | 134,260 | ||||||
|
Boeing Capital Corp.
2.90%, 8/15/2018 |
15,000 | 16,395 | ||||||
|
BP Capital Markets PLC
3.13%, 10/1/2015 |
50,000 | 53,301 | ||||||
|
Capital One Financial Corp.:
|
||||||||
|
4.75%, 7/15/2021
|
50,000 | 56,558 | ||||||
|
6.75%, 9/15/2017
|
17,000 | 20,809 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
3.95%, 6/15/2016
|
50,000 | 53,321 | ||||||
|
5.50%, 10/15/2014
|
60,000 | 64,688 | ||||||
|
CME Group, Inc.
5.40%, 8/1/2013 |
50,000 | 52,068 | ||||||
|
Ford Motor Credit Co. LLC
4.25%, 9/20/2022 |
200,000 | 205,107 | ||||||
|
General Electric Capital Corp.
3.50%, 6/29/2015 |
50,000 | 53,432 | ||||||
|
HSBC Finance Corp.
6.38%, 11/27/2012 |
25,000 | 25,215 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
4.75%, 5/1/2013
|
25,000 | 25,634 | ||||||
|
5.50%, 10/15/2040
|
25,000 | 29,126 | ||||||
|
Lazard Group LLC
6.85%, 6/15/2017 |
95,000 | 106,802 | ||||||
|
Moody’s Corp.
5.50%, 9/1/2020 |
50,000 | 56,353 | ||||||
|
Nomura Holdings, Inc.
5.00%, 3/4/2015 |
50,000 | 52,669 | ||||||
|
NYSE Euronext
4.80%, 6/28/2013 |
50,000 | 51,576 | ||||||
|
ORIX Corp.
5.00%, 1/12/2016 |
60,000 | 64,438 | ||||||
|
SLM Corp.
8.00%, 3/25/2020 |
50,000 | 58,250 | ||||||
|
The Charles Schwab Corp.
3.23%, 9/1/2022 (b) |
50,000 | 50,283 | ||||||
|
The Nasdaq OMX Group, Inc.
5.25%, 1/16/2018 |
30,000 | 32,318 | ||||||
|
The Western Union Co.
5.25%, 4/1/2020 |
25,000 | 29,053 | ||||||
|
Toyota Motor Credit Corp.
1.38%, 8/12/2013 |
50,000 | 50,466 | ||||||
|
UBS AG of Stamford, CT
2.25%, 8/12/2013 |
50,000 | 50,649 | ||||||
| 1,590,550 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.6%
|
||||||||
|
British Telecommunications PLC
5.15%, 1/15/2013 |
50,000 | 50,650 | ||||||
|
CenturyLink, Inc.
6.45%, 6/15/2021 |
50,000 | 56,809 | ||||||
|
Verizon New York, Inc., Series A
7.38%, 4/1/2032 |
50,000 | 66,475 | ||||||
| 173,934 | ||||||||
|
ELECTRIC UTILITIES — 5.1%
|
||||||||
|
Appalachian Power Co.
5.80%, 10/1/2035 |
25,000 | 30,517 | ||||||
|
Arizona Public Service Co.
8.75%, 3/1/2019 |
50,000 | 66,639 | ||||||
|
Consolidated Edison Co. of New York
5.38%, 12/15/2015 |
50,000 | 57,122 | ||||||
|
Constellation Energy Group, Inc.
5.15%, 12/1/2020 |
50,000 | 57,004 | ||||||
|
Duke Energy Carolinas LLC
6.10%, 6/1/2037 |
25,000 | 32,424 | ||||||
|
Entergy Gulf States Louisiana LLC
5.59%, 10/1/2024 |
25,000 | 29,445 | ||||||
|
Entergy Louisiana LLC
1.88%, 12/15/2014 |
15,000 | 15,355 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Exelon Generation Co. LLC
6.20%, 10/1/2017 |
$ | 50,000 | $ | 58,952 | ||||
|
Florida Power & Light Co.
4.13%, 2/1/2042 |
25,000 | 27,048 | ||||||
|
Georgia Power Co.
5.65%, 3/1/2037 |
25,000 | 31,562 | ||||||
|
Great Plains Energy, Inc.
4.85%, 6/1/2021 |
25,000 | 27,626 | ||||||
|
Kentucky Utilities Co.
5.13%, 11/1/2040 |
25,000 | 31,064 | ||||||
|
Nevada Power Co.
6.65%, 4/1/2036 |
100,000 | 138,943 | ||||||
|
NextEra Energy Capital Holdings, Inc.
2.55%, 11/15/2013 |
50,000 | 50,981 | ||||||
|
Nisource Finance Corp.
5.95%, 6/15/2041 |
25,000 | 30,064 | ||||||
|
Oklahoma Gas & Electric Co.
5.25%, 5/15/2041 |
25,000 | 30,819 | ||||||
|
Pacific Gas & Electric Co.
5.80%, 3/1/2037 |
35,000 | 44,874 | ||||||
|
Potomac Electric Power Co.
7.90%, 12/15/2038 |
35,000 | 57,339 | ||||||
|
Progress Energy, Inc.
4.40%, 1/15/2021 |
50,000 | 55,769 | ||||||
|
Public Service Electric & Gas Co.:
|
||||||||
|
0.85%, 8/15/2014
|
20,000 | 20,115 | ||||||
|
5.50%, 3/1/2040
|
15,000 | 19,743 | ||||||
|
Scottish Power, Ltd.
5.38%, 3/15/2015 |
25,000 | 26,208 | ||||||
|
South Carolina Electric & Gas Co.
6.05%, 1/15/2038 |
50,000 | 66,091 | ||||||
|
Southern California Edison Co.
3.88%, 6/1/2021 |
20,000 | 22,581 | ||||||
|
TECO Finance, Inc.
5.15%, 3/15/2020 |
50,000 | 57,357 | ||||||
|
The Cleveland Electric Illuminating Co.
5.70%, 4/1/2017 |
50,000 | 57,620 | ||||||
|
The Dayton Power & Light Co.
5.13%, 10/1/2013 |
100,000 | 104,310 | ||||||
|
The Detroit Edison Co.
5.60%, 6/15/2018 |
50,000 | 61,228 | ||||||
|
UIL Holdings Corp.
4.63%, 10/1/2020 |
34,000 | 35,829 | ||||||
|
Westar Energy, Inc.
4.13%, 3/1/2042 |
50,000 | 54,620 | ||||||
|
Wisconsin Electric Power Co.
5.70%, 12/1/2036 |
25,000 | 31,943 | ||||||
|
Wisconsin Power & Light Co.
5.00%, 7/15/2019 |
50,000 | 58,652 | ||||||
| 1,489,844 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.8%
|
||||||||
|
Emerson Electric Co.
4.25%, 11/15/2020 |
50,000 | 58,037 | ||||||
|
Hubbell, Inc.
3.63%, 11/15/2022 |
100,000 | 107,155 | ||||||
|
Roper Industries, Inc.
6.25%, 9/1/2019 |
50,000 | 60,123 | ||||||
| 225,315 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.8%
|
||||||||
|
Agilent Technologies, Inc.
6.50%, 11/1/2017 |
50,000 | 60,741 | ||||||
|
Amphenol Corp.
4.00%, 2/1/2022 |
35,000 | 36,747 | ||||||
|
Arrow Electronics, Inc.
3.38%, 11/1/2015 |
50,000 | 51,350 | ||||||
|
Avnet, Inc.
6.63%, 9/15/2016 |
50,000 | 57,052 | ||||||
|
Corning, Inc.
5.75%, 8/15/2040 |
30,000 | 35,854 | ||||||
| 241,744 | ||||||||
|
ENERGY EQUIPMENT &
SERVICES — 0.4%
|
||||||||
|
Cameron International Corp.
5.95%, 6/1/2041 |
25,000 | 30,287 | ||||||
|
Halliburton Co.
6.70%, 9/15/2038 |
25,000 | 35,516 | ||||||
|
Nabors Industries, Inc.
9.25%, 1/15/2019 |
50,000 | 65,151 | ||||||
| 130,954 | ||||||||
|
FOOD & STAPLES RETAILING — 0.9%
|
||||||||
|
Costco Wholesale Corp.
5.50%, 3/15/2017 |
25,000 | 29,878 | ||||||
|
CVS Caremark Corp.
6.13%, 8/15/2016 |
20,000 | 23,690 | ||||||
|
Safeway, Inc.
6.25%, 3/15/2014 |
50,000 | 52,855 | ||||||
|
Sysco Corp.
6.63%, 3/17/2039 |
25,000 | 36,654 | ||||||
|
The Kroger Co.
6.15%, 1/15/2020 |
50,000 | 61,017 | ||||||
|
Wal-Mart
Stores, Inc.
6.20%, 4/15/2038 |
20,000 | 27,751 | ||||||
|
Walgreen Co.
4.88%, 8/1/2013 |
25,000 | 25,881 | ||||||
| 257,726 | ||||||||
|
FOOD PRODUCTS — 2.7%
|
||||||||
|
Archer-Daniels-Midland Co.
5.77%, 3/1/2041 |
25,000 | 32,136 | ||||||
|
Bunge Ltd. Finance Corp.
5.35%, 4/15/2014 |
50,000 | 52,729 | ||||||
|
Campbell Soup Co.
4.25%, 4/15/2021 |
25,000 | 28,473 | ||||||
|
ConAgra Foods, Inc.
7.00%, 4/15/2019 |
50,000 | 62,340 | ||||||
|
Corn Products International, Inc.
4.63%, 11/1/2020 |
50,000 | 54,897 | ||||||
|
Delhaize Group SA
5.70%, 10/1/2040 |
25,000 | 21,823 | ||||||
|
General Mills, Inc.
5.70%, 2/15/2017 |
50,000 | 59,483 | ||||||
|
HJ Heinz Finance Co.
6.75%, 3/15/2032 |
27,000 | 34,360 | ||||||
|
Hormel Foods Corp.
4.13%, 4/15/2021 |
100,000 | 113,181 | ||||||
|
Kellogg Co.
4.15%, 11/15/2019 |
50,000 | 56,191 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Kraft Foods, Inc.
6.13%, 2/1/2018 |
$ | 35,000 | $ | 42,803 | ||||
|
Ralcorp Holdings, Inc.
6.63%, 8/15/2039 |
25,000 | 26,679 | ||||||
|
Sara Lee Corp.
2.75%, 9/15/2015 |
50,000 | 51,419 | ||||||
|
The Hershey Co.
4.13%, 12/1/2020 |
50,000 | 56,806 | ||||||
|
The JM Smucker Co.
3.50%, 10/15/2021 |
50,000 | 53,033 | ||||||
|
Unilever Capital Corp.
2.75%, 2/10/2016 |
50,000 | 53,001 | ||||||
| 799,354 | ||||||||
|
GAS UTILITIES — 0.8%
|
||||||||
|
AGL Capital Corp.
5.25%, 8/15/2019 |
50,000 | 58,846 | ||||||
|
Atmos Energy Corp.
6.35%, 6/15/2017 |
50,000 | 59,520 | ||||||
|
Energen Corp.
4.63%, 9/1/2021 |
50,000 | 51,759 | ||||||
|
National Grid PLC
6.30%, 8/1/2016 |
25,000 | 29,017 | ||||||
|
Southern California Gas Co.
5.45%, 4/15/2018 |
35,000 | 42,362 | ||||||
| 241,504 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.5%
|
||||||||
|
Baxter International, Inc.
6.25%, 12/1/2037 |
25,000 | 34,804 | ||||||
|
Becton Dickinson and Co.
3.25%, 11/12/2020 |
25,000 | 26,581 | ||||||
|
Boston Scientific Corp.
7.38%, 1/15/2040 |
35,000 | 47,547 | ||||||
|
C.R. Bard, Inc.
4.40%, 1/15/2021 |
25,000 | 28,661 | ||||||
|
CareFusion Corp.
6.38%, 8/1/2019 |
50,000 | 59,883 | ||||||
|
Covidien International Finance SA
4.20%, 6/15/2020 |
50,000 | 56,154 | ||||||
|
DENTSPLY International, Inc.
4.13%, 8/15/2021 |
50,000 | 52,545 | ||||||
|
Medtronic, Inc.
3.00%, 3/15/2015 |
25,000 | 26,391 | ||||||
|
St. Jude Medical, Inc.
2.50%, 1/15/2016 |
35,000 | 36,428 | ||||||
|
Stryker Corp.
2.00%, 9/30/2016 |
50,000 | 51,854 | ||||||
|
Zimmer Holdings, Inc.
5.75%, 11/30/2039 |
25,000 | 30,488 | ||||||
| 451,336 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 2.2%
|
||||||||
|
Aetna, Inc.:
|
||||||||
|
3.95%, 9/1/2020
|
50,000 | 54,287 | ||||||
|
6.63%, 6/15/2036
|
50,000 | 65,277 | ||||||
|
AmerisourceBergen Corp.
4.88%, 11/15/2019 |
50,000 | 57,922 | ||||||
|
Cardinal Health, Inc.
5.80%, 10/15/2016 |
50,000 | 57,904 | ||||||
|
Cigna Corp.
8.50%, 5/1/2019 |
50,000 | 66,535 | ||||||
|
Coventry Health Care, Inc.
6.30%, 8/15/2014 |
30,000 | 32,538 | ||||||
|
Express Scripts, Inc.
3.13%, 5/15/2016 |
20,000 | 21,119 | ||||||
|
Humana, Inc.
8.15%, 6/15/2038 |
25,000 | 34,219 | ||||||
|
Laboratory Corp. of America Holdings
4.63%, 11/15/2020 |
35,000 | 38,573 | ||||||
|
McKesson Corp.
4.75%, 3/1/2021 |
50,000 | 58,113 | ||||||
|
Quest Diagnostics, Inc.
6.40%, 7/1/2017 |
15,000 | 17,878 | ||||||
|
UnitedHealth Group, Inc.
3.88%, 10/15/2020 |
50,000 | 54,773 | ||||||
|
WellPoint, Inc.
3.13%, 5/15/2022 |
100,000 | 100,140 | ||||||
| 659,278 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.6%
|
||||||||
|
Darden Restaurants, Inc.
6.80%, 10/15/2037 |
25,000 | 30,515 | ||||||
|
Hyatt Hotels Corp.
5.38%, 8/15/2021 |
100,000 | 110,806 | ||||||
|
International Game Technology
5.50%, 6/15/2020 |
35,000 | 37,996 | ||||||
|
Marriott International, Inc.
6.38%, 6/15/2017 |
50,000 | 58,839 | ||||||
|
McDonald’s Corp.
5.35%, 3/1/2018 |
20,000 | 23,979 | ||||||
|
Starbucks Corp.
6.25%, 8/15/2017 |
35,000 | 41,997 | ||||||
|
Starwood Hotels & Resorts Worldwide, Inc.
6.75%, 5/15/2018 |
75,000 | 89,532 | ||||||
|
Wyndham Worldwide Corp.
4.25%, 3/1/2022 |
50,000 | 50,425 | ||||||
|
Yum! Brands, Inc.
3.88%, 11/1/2020 |
25,000 | 27,048 | ||||||
| 471,137 | ||||||||
|
HOUSEHOLD DURABLES — 0.4%
|
||||||||
|
Newell Rubbermaid, Inc.
4.70%, 8/15/2020 |
50,000 | 54,498 | ||||||
|
Whirlpool Corp.
4.85%, 6/15/2021 |
50,000 | 52,392 | ||||||
| 106,890 | ||||||||
|
HOUSEHOLD PRODUCTS — 1.1%
|
||||||||
|
Church & Dwight Co., Inc.
3.35%, 12/15/2015 |
25,000 | 26,289 | ||||||
|
Colgate-Palmolive Co.
3.15%, 8/5/2015 |
25,000 | 26,751 | ||||||
|
Energizer Holdings, Inc.
4.70%, 5/19/2021 |
50,000 | 53,254 | ||||||
|
Kimberly-Clark Corp.
6.25%, 7/15/2018 |
25,000 | 31,354 | ||||||
|
The Clorox Co.
3.80%, 11/15/2021 |
50,000 | 54,051 | ||||||
|
The Procter & Gamble Co.
1.80%, 11/15/2015 |
50,000 | 51,759 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Tupperware Brands Corp.
4.75%, 6/1/2021 |
$ | 75,000 | $ | 79,038 | ||||
| 322,496 | ||||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.2%
|
||||||||
|
TransAlta Corp.
6.65%, 5/15/2018 |
50,000 | 56,662 | ||||||
|
INDUSTRIAL CONGLOMERATES — 0.7%
|
||||||||
|
3M Co.
1.38%, 9/29/2016 |
50,000 | 51,187 | ||||||
|
Cooper US, Inc.
2.38%, 1/15/2016 |
50,000 | 51,430 | ||||||
|
Koninklijke Philips Electronics NV
6.88%, 3/11/2038 |
25,000 | 34,356 | ||||||
|
Tyco Electronics Group SA
4.88%, 1/15/2021 |
50,000 | 54,953 | ||||||
| 191,926 | ||||||||
|
INSURANCE — 8.1%
|
||||||||
|
ACE INA Holdings, Inc.
2.60%, 11/23/2015 |
50,000 | 52,296 | ||||||
|
AEGON Funding Co. LLC
5.75%, 12/15/2020 |
35,000 | 40,202 | ||||||
|
Aflac, Inc.
6.45%, 8/15/2040 |
50,000 | 61,163 | ||||||
|
Alleghany Corp.
5.63%, 9/15/2020 |
50,000 | 55,713 | ||||||
|
Allied World Assurance Co., Ltd.
7.50%, 8/1/2016 |
25,000 | 28,965 | ||||||
|
American Financial Group, Inc.
9.88%, 6/15/2019 |
30,000 | 38,265 | ||||||
|
American International Group, Inc.:
|
||||||||
|
5.05%, 10/1/2015
|
50,000 | 54,864 | ||||||
|
5.45%, 5/18/2017
|
35,000 | 39,732 | ||||||
|
6.40%, 12/15/2020
|
20,000 | 24,363 | ||||||
|
AON Corp.
3.13%, 5/27/2016 |
35,000 | 36,976 | ||||||
|
Assurant, Inc.
6.75%, 2/15/2034 |
50,000 | 57,026 | ||||||
|
Axis Capital Holdings, Ltd.
5.75%, 12/1/2014 |
50,000 | 53,690 | ||||||
|
Cincinnati Financial Corp.
6.13%, 11/1/2034 |
50,000 | 56,653 | ||||||
|
CNA Financial Corp.
5.75%, 8/15/2021 |
25,000 | 29,241 | ||||||
|
Delphi Financial Group, Inc.
7.88%, 1/31/2020 |
25,000 | 29,978 | ||||||
|
Endurance Specialty Holdings, Ltd.
7.00%, 7/15/2034 |
50,000 | 54,662 | ||||||
|
Fidelity National Financial, Inc.
6.60%, 5/15/2017 |
30,000 | 33,758 | ||||||
|
Genworth Financial, Inc.
6.52%, 5/22/2018 |
100,000 | 102,000 | ||||||
|
Hartford Financial Services Group, Inc.
6.30%, 3/15/2018 |
50,000 | 58,299 | ||||||
|
HCC Insurance Holdings, Inc.
6.30%, 11/15/2019 |
50,000 | 57,104 | ||||||
|
Lincoln National Corp.
6.25%, 2/15/2020 |
25,000 | 29,101 | ||||||
|
Loews Corp.
6.00%, 2/1/2035 |
25,000 | 29,415 | ||||||
|
Manulife Financial Corp.
4.90%, 9/17/2020 |
120,000 | 131,953 | ||||||
|
Markel Corp.
7.13%, 9/30/2019 |
50,000 | 59,496 | ||||||
|
Marsh & McLennan Cos., Inc.:
|
||||||||
|
4.80%, 7/15/2021
|
25,000 | 28,392 | ||||||
|
5.75%, 9/15/2015
|
24,000 | 26,894 | ||||||
|
MetLife, Inc.
6.82%, 8/15/2018 |
100,000 | 125,736 | ||||||
|
PartnerRe, Ltd.
5.50%, 6/1/2020 |
50,000 | 55,123 | ||||||
|
Principal Financial Group, Inc.
8.88%, 5/15/2019 |
50,000 | 66,852 | ||||||
|
Protective Life Corp.
7.38%, 10/15/2019 |
50,000 | 59,459 | ||||||
|
Prudential Financial, Inc.
4.50%, 7/15/2013 |
50,000 | 51,547 | ||||||
|
Reinsurance Group of America, Inc.
6.45%, 11/15/2019 |
50,000 | 57,732 | ||||||
|
Swiss Re Solutions Holding Corp.
6.45%, 3/1/2019 |
50,000 | 58,136 | ||||||
|
The Hanover Insurance Group, Inc.
6.38%, 6/15/2021 |
50,000 | 56,159 | ||||||
|
The Progressive Corp.
3.75%, 8/23/2021 |
50,000 | 55,007 | ||||||
|
Torchmark Corp.
9.25%, 6/15/2019 |
75,000 | 99,839 | ||||||
|
Transatlantic Holdings, Inc.
8.00%, 11/30/2039 |
50,000 | 62,426 | ||||||
|
Travelers Property Casualty Corp.
6.38%, 3/15/2033 |
25,000 | 32,773 | ||||||
|
Unitrin, Inc.
6.00%, 5/15/2017 |
50,000 | 53,677 | ||||||
|
Unum Group
7.13%, 9/30/2016 |
50,000 | 58,062 | ||||||
|
Validus Holdings, Ltd.
8.88%, 1/26/2040 |
25,000 | 31,649 | ||||||
|
W.R. Berkley Corp.
6.25%, 2/15/2037 |
50,000 | 55,994 | ||||||
|
Willis North America, Inc.
7.00%, 9/29/2019 |
50,000 | 59,281 | ||||||
|
XL Group PLC
6.38%, 11/15/2024 |
50,000 | 59,521 | ||||||
| 2,369,174 | ||||||||
|
INTERNET & CATALOG RETAIL — 0.1%
|
||||||||
|
Expedia, Inc.
5.95%, 8/15/2020 |
35,000 | 38,150 | ||||||
|
IT SERVICES — 0.6%
|
||||||||
|
Computer Sciences Corp., Series W
5.50%, 3/15/2013 |
25,000 | 25,558 | ||||||
|
Fiserv, Inc.
3.13%, 6/15/2016 |
35,000 | 36,680 | ||||||
|
International Business Machines Corp.
5.70%, 9/14/2017 |
50,000 | 60,840 | ||||||
|
SAIC, Inc.
4.45%, 12/1/2020 |
50,000 | 54,202 | ||||||
| 177,280 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.2%
|
||||||||
|
Hasbro, Inc.
6.35%, 3/15/2040 |
50,000 | 58,499 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Mattel, Inc.
6.20%, 10/1/2040 |
$ | 10,000 | $ | 11,948 | ||||
| 70,447 | ||||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.3%
|
||||||||
|
Bio-Rad
Laboratories, Inc.
4.88%, 12/15/2020 |
25,000 | 26,270 | ||||||
|
Thermo Fisher Scientific, Inc.
2.25%, 8/15/2016 |
50,000 | 51,633 | ||||||
| 77,903 | ||||||||
|
MACHINERY — 3.1%
|
||||||||
|
Caterpillar, Inc.
3.90%, 5/27/2021 |
50,000 | 57,140 | ||||||
|
Cummins, Inc.
7.13%, 3/1/2028 |
25,000 | 34,056 | ||||||
|
Danaher Corp.
5.40%, 3/1/2019 |
50,000 | 60,230 | ||||||
|
Deere & Co.
5.38%, 10/16/2029 |
25,000 | 32,244 | ||||||
|
Dover Corp.
5.38%, 3/1/2041 |
35,000 | 45,478 | ||||||
|
Eaton Corp.
6.95%, 3/20/2019 |
50,000 | 62,746 | ||||||
|
Harsco Corp.
2.70%, 10/15/2015 |
50,000 | 50,790 | ||||||
|
IDEX Corp.
4.50%, 12/15/2020 |
50,000 | 53,878 | ||||||
|
Illinois Tool Works, Inc.
4.88%, 9/15/2041 |
25,000 | 29,347 | ||||||
|
Ingersoll-Rand
Global Holding Co., Ltd.
6.88%, 8/15/2018 |
35,000 | 43,033 | ||||||
|
Joy Global, Inc.
5.13%, 10/15/2021 |
20,000 | 22,273 | ||||||
|
Kennametal, Inc.
3.88%, 2/15/2022 |
50,000 | 52,063 | ||||||
|
Parker Hannifin Corp.
6.25%, 5/15/2038 |
25,000 | 34,151 | ||||||
|
Pentair, Inc.
5.00%, 5/15/2021 |
50,000 | 56,612 | ||||||
|
Snap-On, Inc.
6.13%, 9/1/2021 |
25,000 | 30,335 | ||||||
|
Stanley Black & Decker, Inc.
5.20%, 9/1/2040 |
35,000 | 40,014 | ||||||
|
Timken Co.
6.00%, 9/15/2014 |
50,000 | 53,053 | ||||||
|
Valmont Industries, Inc.
6.63%, 4/20/2020 |
25,000 | 29,531 | ||||||
|
Xylem, Inc.
3.55%, 9/20/2016 |
115,000 | 122,083 | ||||||
| 909,057 | ||||||||
|
MEDIA — 3.1%
|
||||||||
|
CBS Corp.
7.88%, 7/30/2030 |
75,000 | 102,280 | ||||||
|
Comcast Cable Communications LLC
7.13%, 6/15/2013 |
25,000 | 26,157 | ||||||
|
Comcast Corp.
4.65%, 7/15/2042 |
50,000 | 53,249 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
|
||||||||
|
5.20%, 3/15/2020
|
25,000 | 28,314 | ||||||
|
6.38%, 3/1/2041
|
25,000 | 29,492 | ||||||
|
Discovery Communications LLC
5.63%, 8/15/2019 |
35,000 | 41,531 | ||||||
|
Grupo Televisa SAB
8.50%, 3/11/2032 |
50,000 | 72,302 | ||||||
|
NBCUniversal Media LLC
5.15%, 4/30/2020 |
25,000 | 29,667 | ||||||
|
News America, Inc.
6.20%, 12/15/2034 |
50,000 | 59,782 | ||||||
|
Omnicom Group, Inc.
6.25%, 7/15/2019 |
50,000 | 60,465 | ||||||
|
The Interpublic Group of Cos., Inc.
4.00%, 3/15/2022 |
50,000 | 52,252 | ||||||
|
The
Mcgraw-Hill
Cos., Inc.
6.55%, 11/15/2037 |
25,000 | 30,253 | ||||||
|
The Walt Disney Co.
2.75%, 8/16/2021 |
25,000 | 26,128 | ||||||
|
Time Warner Cable, Inc.
6.55%, 5/1/2037 |
50,000 | 62,443 | ||||||
|
Time Warner, Inc.
4.70%, 1/15/2021 |
50,000 | 57,429 | ||||||
|
Viacom, Inc.:
|
||||||||
|
1.25%, 2/27/2015
|
50,000 | 50,523 | ||||||
|
4.25%, 9/15/2015
|
25,000 | 27,468 | ||||||
|
Virgin Media Secured Finance PLC
5.25%, 1/15/2021 |
50,000 | 57,065 | ||||||
|
WPP Finance UK
8.00%, 9/15/2014 |
50,000 | 55,992 | ||||||
| 922,792 | ||||||||
|
METALS & MINING — 3.2%
|
||||||||
|
Alcoa, Inc.:
|
||||||||
|
5.40%, 4/15/2021
|
75,000 | 78,374 | ||||||
|
5.95%, 2/1/2037
|
50,000 | 49,917 | ||||||
|
Allegheny Technologies, Inc.
9.38%, 6/1/2019 |
50,000 | 63,280 | ||||||
|
AngloGold Ashanti Holdings PLC
5.38%, 4/15/2020 |
50,000 | 52,974 | ||||||
|
ArcelorMittal
5.75%, 3/1/2021 |
50,000 | 47,500 | ||||||
|
Barrick North America Finance LLC
6.80%, 9/15/2018 |
50,000 | 61,795 | ||||||
|
BHP Billiton Finance USA, Ltd.
6.50%, 4/1/2019 |
35,000 | 44,585 | ||||||
|
Cliffs Natural Resources, Inc.
4.80%, 10/1/2020 |
50,000 | 48,903 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
3.55%, 3/1/2022 |
50,000 | 50,048 | ||||||
|
Kinross Gold Corp.
5.13%, 9/1/2021 |
50,000 | 51,028 | ||||||
|
Newmont Mining Corp.
5.88%, 4/1/2035 |
25,000 | 27,890 | ||||||
|
Nucor Corp.
6.40%, 12/1/2037 |
75,000 | 103,204 | ||||||
|
Rio Tinto Finance USA, Ltd.
8.95%, 5/1/2014 |
50,000 | 56,279 | ||||||
|
Southern Copper Corp.
7.50%, 7/27/2035 |
25,000 | 31,028 | ||||||
|
Teck Resources, Ltd.
4.75%, 1/15/2022 |
28,000 | 29,935 | ||||||
|
Vale Overseas, Ltd.:
|
||||||||
|
4.38%, 1/11/2022
|
40,000 | 41,821 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
6.88%, 11/10/2039
|
$ | 25,000 | $ | 29,290 | ||||
|
Xstrata Canada Corp.:
|
||||||||
|
5.38%, 6/1/2015
|
50,000 | 54,482 | ||||||
|
6.20%, 6/15/2035
|
25,000 | 26,703 | ||||||
| 949,036 | ||||||||
|
MULTI-UTILITIES — 1.6%
|
||||||||
|
American Water Capital Corp.
6.09%, 10/15/2017 |
35,000 | 41,396 | ||||||
|
CenterPoint Energy Resources Corp.
7.88%, 4/1/2013 |
35,000 | 36,197 | ||||||
|
Dominion Resources, Inc.
5.60%, 11/15/2016 |
50,000 | 58,865 | ||||||
|
Integrys Energy Group, Inc.
4.17%, 11/1/2020 |
50,000 | 52,744 | ||||||
|
MidAmerican Energy Holdings Co.
6.13%, 4/1/2036 |
50,000 | 63,916 | ||||||
|
NSTAR
4.50%, 11/15/2019 |
25,000 | 28,090 | ||||||
|
Sempra Energy
6.00%, 10/15/2039 |
25,000 | 32,904 | ||||||
|
United Utilities PLC
6.88%, 8/15/2028 |
50,000 | 57,719 | ||||||
|
Veolia Environnement SA
6.75%, 6/1/2038 |
25,000 | 30,202 | ||||||
|
Xcel Energy, Inc.
4.70%, 5/15/2020 |
50,000 | 58,582 | ||||||
| 460,615 | ||||||||
|
MULTILINE RETAIL — 0.6%
|
||||||||
|
Kohl’s Corp.
6.88%, 12/15/2037 |
25,000 | 32,925 | ||||||
|
Macy’s Retail Holdings, Inc.:
|
||||||||
|
3.88%, 1/15/2022
|
25,000 | 26,951 | ||||||
|
6.70%, 7/15/2034
|
25,000 | 29,991 | ||||||
|
Nordstrom, Inc.
4.00%, 10/15/2021 |
50,000 | 55,957 | ||||||
|
Target Corp.
7.00%, 1/15/2038 |
25,000 | 36,538 | ||||||
| 182,362 | ||||||||
|
OFFICE ELECTRONICS — 0.2%
|
||||||||
|
Xerox Corp.
4.50%, 5/15/2021 |
45,000 | 47,677 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 10.0%
|
||||||||
|
Alberta Energy Co., Ltd.
7.38%, 11/1/2031 |
45,000 | 57,313 | ||||||
|
Anadarko Petroleum Corp.
5.95%, 9/15/2016 |
25,000 | 28,912 | ||||||
|
Apache Corp.
6.00%, 9/15/2013 |
25,000 | 26,312 | ||||||
|
Baker Hughes, Inc.
3.20%, 8/15/2021 |
50,000 | 54,271 | ||||||
|
Boardwalk Pipelines LP
5.88%, 11/15/2016 |
25,000 | 27,838 | ||||||
|
BP Capital Markets PLC
3.25%, 5/6/2022 |
50,000 | 52,429 | ||||||
|
Canadian Natural Resources, Ltd.:
|
||||||||
|
5.15%, 2/1/2013
|
25,000 | 25,384 | ||||||
|
6.50%, 2/15/2037
|
100,000 | 132,791 | ||||||
|
Cenovus Energy, Inc.
6.75%, 11/15/2039 |
25,000 | 33,845 | ||||||
|
Chevron Corp.
4.95%, 3/3/2019 |
35,000 | 42,276 | ||||||
|
ConocoPhillips
4.60%, 1/15/2015 |
50,000 | 54,468 | ||||||
|
DCP Midstream Operating LP
3.25%, 10/1/2015 |
50,000 | 51,063 | ||||||
|
Devon Financing Corp. ULC
7.88%, 9/30/2031 |
25,000 | 36,471 | ||||||
|
Diamond Offshore Drilling, Inc.
5.88%, 5/1/2019 |
50,000 | 61,937 | ||||||
|
El Paso Natural Gas Co. LLC
8.38%, 6/15/2032 |
100,000 | 143,388 | ||||||
|
Enbridge Energy Partners LP
4.20%, 9/15/2021 |
100,000 | 107,644 | ||||||
|
Enbridge, Inc.
5.60%, 4/1/2017 |
50,000 | 57,989 | ||||||
|
Energy Transfer Partners LP
9.00%, 4/15/2019 |
25,000 | 31,819 | ||||||
|
Eni USA, Inc.
7.30%, 11/15/2027 |
35,000 | 46,994 | ||||||
|
Ensco PLC
4.70%, 3/15/2021 |
50,000 | 56,354 | ||||||
|
Enterprise Products Operating LLC, Series G
5.60%, 10/15/2014 |
35,000 | 38,174 | ||||||
|
EOG Resources, Inc.
4.40%, 6/1/2020 |
50,000 | 57,009 | ||||||
|
EQT Corp.
6.50%, 4/1/2018 |
50,000 | 57,364 | ||||||
|
Hess Corp.
7.88%, 10/1/2029 |
25,000 | 33,999 | ||||||
|
Husky Energy, Inc.
5.90%, 6/15/2014 |
25,000 | 27,102 | ||||||
|
Kinder Morgan Energy Partners LP
6.50%, 9/1/2039 |
35,000 | 42,350 | ||||||
|
Magellan Midstream Partners LP
6.55%, 7/15/2019 |
50,000 | 60,868 | ||||||
|
Marathon Oil Corp.
6.80%, 3/15/2032 |
35,000 | 45,296 | ||||||
|
Marathon Petroleum Corp.
5.13%, 3/1/2021 |
50,000 | 57,698 | ||||||
|
Murphy Oil Corp.
7.05%, 5/1/2029 |
50,000 | 60,743 | ||||||
|
Nexen, Inc.
6.40%, 5/15/2037 |
30,000 | 38,102 | ||||||
|
Noble Energy, Inc.
8.25%, 3/1/2019 |
25,000 | 32,123 | ||||||
|
Noble Holding International, Ltd.
4.63%, 3/1/2021 |
50,000 | 54,880 | ||||||
|
Occidental Petroleum Corp.
4.10%, 2/1/2021 |
50,000 | 56,455 | ||||||
|
ONEOK Partners LP:
|
||||||||
|
3.25%, 2/1/2016
|
30,000 | 31,532 | ||||||
|
6.13%, 2/1/2041
|
65,000 | 77,442 | ||||||
|
ONEOK, Inc.
5.20%, 6/15/2015 |
50,000 | 54,247 | ||||||
|
Panhandle Eastern Pipeline Co. LP
6.20%, 11/1/2017 |
25,000 | 28,962 | ||||||
|
Petro-Canada
6.05%, 5/15/2018 |
25,000 | 30,581 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Pioneer Natural Resources Co.
3.95%, 7/15/2022 |
$ | 200,000 | $ | 210,141 | ||||
|
Plains All American Pipeline LP/PAA Finance Corp.
5.75%, 1/15/2020 |
50,000 | 60,071 | ||||||
|
Rowan Cos., Inc.
7.88%, 8/1/2019 |
35,000 | 42,947 | ||||||
|
Shell International Finance BV
4.30%, 9/22/2019 |
25,000 | 29,137 | ||||||
|
Southern Natural Gas Co.
8.00%, 3/1/2032 |
25,000 | 35,582 | ||||||
|
Spectra Energy Capital LLC
8.00%, 10/1/2019 |
50,000 | 64,989 | ||||||
|
Sunoco Logistics Partners Operations LP
4.65%, 2/15/2022 |
15,000 | 16,073 | ||||||
|
Talisman Energy, Inc.
5.85%, 2/1/2037 |
25,000 | 27,810 | ||||||
|
TC Pipelines LP
4.65%, 6/15/2021 |
50,000 | 53,169 | ||||||
|
The Williams Cos., Inc.
7.50%, 1/15/2031 |
50,000 | 62,692 | ||||||
|
Total Capital SA
4.25%, 12/15/2021 |
25,000 | 28,826 | ||||||
|
TransCanada Pipelines, Ltd.
6.20%, 10/15/2037 |
25,000 | 34,077 | ||||||
|
Transocean, Inc.
6.50%, 11/15/2020 |
50,000 | 59,595 | ||||||
|
Valero Energy Corp.:
|
||||||||
|
6.63%, 6/15/2037
|
25,000 | 30,269 | ||||||
|
9.38%, 3/15/2019
|
35,000 | 47,300 | ||||||
|
Weatherford International, Inc.
6.35%, 6/15/2017 |
50,000 | 57,819 | ||||||
|
XTO Energy, Inc.
6.25%, 8/1/2017 |
50,000 | 62,407 | ||||||
| 2,937,329 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.8%
|
||||||||
|
Domtar Corp.
4.40%, 4/1/2022 |
50,000 | 51,021 | ||||||
|
International Paper Co.
9.38%, 5/15/2019 |
50,000 | 67,622 | ||||||
|
Rayonier, Inc.
3.75%, 4/1/2022 |
100,000 | 102,512 | ||||||
| 221,155 | ||||||||
|
PERSONAL PRODUCTS — 0.3%
|
||||||||
|
Avon Products, Inc.
4.20%, 7/15/2018 |
25,000 | 25,126 | ||||||
|
The Estee Lauder Cos., Inc.
6.00%, 5/15/2037 |
50,000 | 65,453 | ||||||
| 90,579 | ||||||||
|
PHARMACEUTICALS — 2.2%
|
||||||||
|
Abbott Laboratories:
|
||||||||
|
5.13%, 4/1/2019
|
25,000 | 30,098 | ||||||
|
6.15%, 11/30/2037
|
50,000 | 70,024 | ||||||
|
Allergan, Inc./United States
3.38%, 9/15/2020 |
25,000 | 27,061 | ||||||
|
AstraZeneca PLC
5.90%, 9/15/2017 |
25,000 | 30,488 | ||||||
|
Bristol-Myers
Squibb Co.
6.13%, 5/1/2038 |
25,000 | 34,141 | ||||||
|
Eli Lilly & Co.
5.20%, 3/15/2017 |
50,000 | 59,056 | ||||||
|
GlaxoSmithKline Capital, Inc.
5.38%, 4/15/2034 |
25,000 | 30,496 | ||||||
|
Hospira, Inc.
6.05%, 3/30/2017 |
50,000 | 57,666 | ||||||
|
Johnson & Johnson
5.85%, 7/15/2038 |
25,000 | 34,859 | ||||||
|
Mead Johnson Nutrition Co.
4.90%, 11/1/2019 |
50,000 | 57,963 | ||||||
|
Medco Health Solutions, Inc.
6.13%, 3/15/2013 |
50,000 | 51,227 | ||||||
|
Merck & Co, Inc.
3.88%, 1/15/2021 |
50,000 | 56,564 | ||||||
|
Novartis Capital Corp.
2.90%, 4/24/2015 |
25,000 | 26,454 | ||||||
|
Teva Pharmaceutical Finance Co. LLC
6.15%, 2/1/2036 |
25,000 | 33,046 | ||||||
|
Watson Pharmaceuticals, Inc.
6.13%, 8/15/2019 |
25,000 | 29,839 | ||||||
|
Wyeth
5.50%, 2/1/2014 |
25,000 | 26,617 | ||||||
| 655,599 | ||||||||
|
PIPELINES — 0.8%
|
||||||||
|
Buckeye Partners LP
4.88%, 2/1/2021 |
50,000 | 49,784 | ||||||
|
Northern Border Pipeline Co.
7.50%, 9/15/2021 |
25,000 | 31,238 | ||||||
|
Spectra Energy Partners LP
4.60%, 6/15/2021 |
60,000 | 64,169 | ||||||
|
Williams Partners LP
4.13%, 11/15/2020 |
75,000 | 80,400 | ||||||
| 225,591 | ||||||||
|
PROFESSIONAL SERVICES — 0.2%
|
||||||||
|
Dun & Bradstreet Corp.
2.88%, 11/15/2015 |
50,000 | 51,640 | ||||||
|
REAL ESTATE INVESTMENT TRUSTS — 7.2%
|
||||||||
|
Alexandria Real Estate Equities, Inc.
4.60%, 4/1/2022 |
100,000 | 105,892 | ||||||
|
AvalonBay Communities, Inc.
5.70%, 3/15/2017 |
50,000 | 58,242 | ||||||
|
BioMed Realty LP
3.85%, 4/15/2016 |
50,000 | 51,584 | ||||||
|
Boston Properties LP
4.13%, 5/15/2021 |
50,000 | 53,702 | ||||||
|
Brandywine Operating Partnership LP
4.95%, 4/15/2018 |
50,000 | 54,531 | ||||||
|
BRE Properties, Inc.
5.50%, 3/15/2017 |
50,000 | 56,783 | ||||||
|
Camden Property Trust
4.63%, 6/15/2021 |
25,000 | 28,014 | ||||||
|
CommonWealth REIT
6.25%, 8/15/2016 |
50,000 | 54,202 | ||||||
|
Digital Realty Trust LP
3.63%, 10/1/2022 |
150,000 | 150,463 | ||||||
|
Duke Realty LP
6.75%, 3/15/2020 |
25,000 | 29,950 | ||||||
|
Entertainment Properties Trust
5.75%, 8/15/2022 |
100,000 | 103,067 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
ERP Operating LP
5.25%, 9/15/2014 |
$ | 50,000 | $ | 54,115 | ||||
|
HCP, Inc.
5.65%, 12/15/2013 |
50,000 | 52,679 | ||||||
|
Health Care REIT, Inc.
6.13%, 4/15/2020 |
150,000 | 174,403 | ||||||
|
Healthcare Realty Trust, Inc.
6.50%, 1/17/2017 |
50,000 | 57,150 | ||||||
|
Highwoods Realty LP
5.85%, 3/15/2017 |
30,000 | 32,975 | ||||||
|
Kilroy Realty LP
5.00%, 11/3/2015 |
50,000 | 54,534 | ||||||
|
Kimco Realty Corp.
4.30%, 2/1/2018 |
50,000 | 55,440 | ||||||
|
Liberty Property LP:
|
||||||||
|
4.75%, 10/1/2020
|
70,000 | 75,867 | ||||||
|
6.63%, 10/1/2017
|
25,000 | 29,779 | ||||||
|
Mack-Cali
Realty LP
7.75%, 8/15/2019 |
50,000 | 62,400 | ||||||
|
National Retail Properties, Inc.
3.80%, 10/15/2022 |
150,000 | 152,647 | ||||||
|
ProLogis LP
4.50%, 8/15/2017 |
40,000 | 43,877 | ||||||
|
Realty Income Corp.
6.75%, 8/15/2019 |
50,000 | 61,293 | ||||||
|
Regency Centers LP
5.25%, 8/1/2015 |
50,000 | 54,439 | ||||||
|
Senior Housing Properties Trust
4.30%, 1/15/2016 |
50,000 | 50,811 | ||||||
|
Simon Property Group LP
6.13%, 5/30/2018 |
50,000 | 61,049 | ||||||
|
Tanger Properties LP
6.15%, 11/15/2015 |
60,000 | 67,674 | ||||||
|
UDR, Inc.
5.25%, 1/15/2015 |
50,000 | 53,663 | ||||||
|
Ventas Realty LP/Ventas Capital Corp.:
|
||||||||
|
3.13%, 11/30/2015
|
15,000 | 15,580 | ||||||
|
4.75%, 6/1/2021
|
25,000 | 27,440 | ||||||
|
Vornado Realty LP
4.25%, 4/1/2015 |
85,000 | 89,266 | ||||||
|
Washington Real Estate Investment Trust
4.95%, 10/1/2020 |
50,000 | 53,763 | ||||||
| 2,127,274 | ||||||||
|
ROAD & RAIL — 1.4%
|
||||||||
|
Canadian National Railway Co.
6.20%, 6/1/2036 |
25,000 | 34,250 | ||||||
|
Canadian Pacific Railway Co.
4.45%, 3/15/2023 |
50,000 | 55,106 | ||||||
|
Con-way, Inc.
7.25%, 1/15/2018 |
75,000 | 87,558 | ||||||
|
CSX Corp.
3.70%, 10/30/2020 |
50,000 | 53,553 | ||||||
|
JB Hunt Transport Services, Inc.
3.38%, 9/15/2015 |
50,000 | 51,368 | ||||||
|
Norfolk Southern Corp.:
|
||||||||
|
2.90%, 2/15/2023 (b)
|
32,000 | 32,330 | ||||||
|
3.25%, 12/1/2021
|
25,000 | 26,372 | ||||||
|
Ryder System, Inc.
3.15%, 3/2/2015 |
50,000 | 51,639 | ||||||
|
Union Pacific Corp.
5.13%, 2/15/2014 |
25,000 | 26,511 | ||||||
| 418,687 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 1.1% |
||||||||
|
Analog Devices, Inc.
3.00%, 4/15/2016 |
50,000 | 53,866 | ||||||
|
Applied Materials, Inc.
5.85%, 6/15/2041 |
30,000 | 37,264 | ||||||
|
Intel Corp.:
|
||||||||
|
1.95%, 10/1/2016
|
50,000 | 52,400 | ||||||
|
4.80%, 10/1/2041
|
35,000 | 41,103 | ||||||
|
KLA-Tencor Corp.
6.90%, 5/1/2018 |
30,000 | 36,436 | ||||||
|
Maxim Integrated Products, Inc.
3.45%, 6/14/2013 |
60,000 | 61,172 | ||||||
|
Texas Instruments, Inc.
1.38%, 5/15/2014 |
50,000 | 50,796 | ||||||
| 333,037 | ||||||||
|
SOFTWARE — 1.2%
|
||||||||
|
Adobe Systems, Inc.
3.25%, 2/1/2015 |
25,000 | 26,140 | ||||||
|
BMC Software, Inc.
4.25%, 2/15/2022 |
75,000 | 77,233 | ||||||
|
CA, Inc.
5.38%, 12/1/2019 |
50,000 | 56,783 | ||||||
|
Intuit, Inc.
5.75%, 3/15/2017 |
50,000 | 57,875 | ||||||
|
Microsoft Corp.
1.63%, 9/25/2015 |
50,000 | 51,800 | ||||||
|
Oracle Corp.
6.13%, 7/8/2039 |
25,000 | 34,541 | ||||||
|
Symantec Corp.
2.75%, 9/15/2015 |
50,000 | 51,565 | ||||||
| 355,937 | ||||||||
|
SPECIALTY RETAIL — 1.6%
|
||||||||
|
Advance Auto Parts, Inc.
5.75%, 5/1/2020 |
50,000 | 57,839 | ||||||
|
AutoZone, Inc.
5.75%, 1/15/2015 |
21,000 | 22,970 | ||||||
|
Best Buy Co., Inc.
3.75%, 3/15/2016 |
30,000 | 28,722 | ||||||
|
Family Dollar Stores, Inc.
5.00%, 2/1/2021 |
50,000 | 54,294 | ||||||
|
Lowe’s Cos., Inc.
3.75%, 4/15/2021 |
50,000 | 54,311 | ||||||
|
O’Reilly Automotive, Inc.
4.63%, 9/15/2021 |
25,000 | 27,372 | ||||||
|
Staples, Inc.
9.75%, 1/15/2014 |
35,000 | 38,771 | ||||||
|
The Gap, Inc.
5.95%, 4/12/2021 |
50,000 | 55,923 | ||||||
|
The Home Depot, Inc.
5.40%, 9/15/2040 |
25,000 | 31,537 | ||||||
|
TJX Cos., Inc.
6.95%, 4/15/2019 |
75,000 | 95,080 | ||||||
| 466,819 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.1%
|
||||||||
|
V.F. Corp.
6.45%, 11/1/2037 |
$ | 25,000 | $ | 34,091 | ||||
|
THRIFTS & MORTGAGE FINANCE — 0.2%
|
||||||||
|
First Niagara Financial Group, Inc.
6.75%, 3/19/2020 |
60,000 | 69,769 | ||||||
|
TOBACCO — 0.4%
|
||||||||
|
Altria Group, Inc.
9.25%, 8/6/2019 |
25,000 | 35,196 | ||||||
|
Lorillard Tobacco Co.
3.50%, 8/4/2016 |
25,000 | 26,398 | ||||||
|
Philip Morris International, Inc.
6.38%, 5/16/2038 |
25,000 | 34,401 | ||||||
|
Reynolds American, Inc.
7.75%, 6/1/2018 |
25,000 | 31,546 | ||||||
| 127,541 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 2.4%
|
||||||||
|
America Movil SAB de CV
6.13%, 3/30/2040 |
100,000 | 130,583 | ||||||
|
American Tower Corp.
4.50%, 1/15/2018 |
50,000 | 55,630 | ||||||
|
AT&T, Inc.
2.50%, 8/15/2015 |
50,000 | 52,540 | ||||||
|
Cellco Partnership/Verizon Wireless Capital LLC
8.50%, 11/15/2018 |
25,000 | 34,967 | ||||||
|
Deutsche Telekom International Finance BV
8.75%, 6/15/2030 |
20,000 | 30,096 | ||||||
|
France Telecom SA
4.38%, 7/8/2014 |
50,000 | 52,807 | ||||||
|
Koninklijke KPN NV
8.38%, 10/1/2030 |
35,000 | 46,588 | ||||||
|
Rogers Communications, Inc.
6.38%, 3/1/2014 |
50,000 | 53,778 | ||||||
|
Telecom Italia Capital SA
7.18%, 6/18/2019 |
50,000 | 54,875 | ||||||
|
Telefonica Emisiones SAU
3.99%, 2/16/2016 |
50,000 | 49,500 | ||||||
|
US Cellular Corp.
6.70%, 12/15/2033 |
50,000 | 52,243 | ||||||
|
Vodafone Group PLC:
|
||||||||
|
4.15%, 6/10/2014
|
50,000 | 52,948 | ||||||
|
6.15%, 2/27/2037
|
25,000 | 33,267 | ||||||
| 699,822 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $27,574,290)
|
28,925,807 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 4.9%
|
||||||||
|
MONEY MARKET FUND — 4.9%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d)(e) (Cost $1,431,127) |
1,431,127 | 1,431,127 | ||||||
|
TOTAL INVESTMENTS — 103.2% (f)
|
||||||||
|
(Cost $29,005,417)
|
30,356,934 | |||||||
|
OTHER ASSETS &
LIABILITIES — (3.2)% |
(944,034 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 29,412,900 | ||||||
|
(a)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(b)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.5% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CONVERTIBLE CORPORATE BONDS &
NOTES — 70.5%
|
||||||||
|
AEROSPACE & DEFENSE — 0.6%
|
||||||||
|
L-3
Communications Holdings, Inc.
3.00%, 8/1/2035 (a) |
$ | 4,976,000 | $ | 4,990,331 | ||||
|
AUTOMOBILES — 1.5%
|
||||||||
|
Ford Motor Co.
4.25%, 11/15/2016 (a) |
6,913,000 | 9,474,958 | ||||||
|
Navistar International Corp.
3.00%, 10/15/2014 (a) |
4,022,000 | 3,571,536 | ||||||
| 13,046,494 | ||||||||
|
BEVERAGES — 0.6%
|
||||||||
|
Molson Coors Brewing Co.
2.50%, 7/30/2013 (a) |
4,544,000 | 4,692,316 | ||||||
|
BIOTECHNOLOGY — 8.1%
|
||||||||
|
Amgen, Inc.
0.38%, 2/1/2013 (a) |
19,883,000 | 22,121,428 | ||||||
|
Dendreon Corp.
2.88%, 1/15/2016 |
4,870,000 | 3,235,628 | ||||||
|
Gilead Sciences, Inc.:
|
||||||||
|
0.63%, 5/1/2013
|
4,947,000 | 8,623,858 | ||||||
|
1.00%, 5/1/2014
|
9,488,000 | 14,311,794 | ||||||
|
1.63%, 5/1/2016 (a)
|
9,432,000 | 14,784,660 | ||||||
|
Illumina, Inc.
0.25%, 3/15/2016 (b) |
6,500,000 | 6,088,108 | ||||||
| 69,165,476 | ||||||||
|
BUILDING PRODUCTS — 2.2%
|
||||||||
|
Cemex SAB de CV:
|
||||||||
|
3.25%, 3/15/2016
|
7,587,000 | 7,458,021 | ||||||
|
3.75%, 3/15/2018
|
5,288,000 | 5,203,392 | ||||||
|
4.88%, 3/15/2015 (a)
|
5,680,000 | 5,603,320 | ||||||
| 18,264,733 | ||||||||
|
CAPITAL MARKETS — 1.1%
|
||||||||
|
Ares Capital Corp.
5.75%, 2/1/2016 (b) |
3,657,000 | 3,868,009 | ||||||
|
5.75%, 2/1/2016
|
4,500,000 | 4,759,650 | ||||||
| 8,627,659 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.1%
|
||||||||
|
Alcatel-Lucent
USA, Inc.
Series B, 2.88%, 6/15/2025 (a) |
6,498,000 | 6,359,723 | ||||||
|
Ciena Corp.
0.88%, 6/15/2017 |
3,800,000 | 3,274,650 | ||||||
| 9,634,373 | ||||||||
|
COMPUTERS & PERIPHERALS — 5.9%
|
||||||||
|
EMC Corp.
1.75%, 12/1/2013 |
13,650,000 | 23,445,240 | ||||||
|
NetApp, Inc.
1.75%, 6/1/2013 (a) |
9,649,000 | 11,015,781 | ||||||
|
SanDisk Corp.:
|
||||||||
|
1.00%, 5/15/2013 (a)
|
7,358,000 | 7,308,201 | ||||||
|
1.50%, 8/15/2017 (a)
|
7,194,000 | 8,154,399 | ||||||
| 49,923,621 | ||||||||
|
CONTAINERS & PACKAGING — 0.6%
|
||||||||
|
Owens-Brockway
Glass Container, Inc.
3.00%, 6/1/2015 (b) |
5,153,000 | 5,061,709 | ||||||
|
ELECTRICAL EQUIPMENT — 0.3%
|
||||||||
|
Suntech Power Holdings Co., Ltd.
3.00%, 3/15/2013 (a) |
4,370,000 | 2,097,600 | ||||||
|
FOOD PRODUCTS — 1.0%
|
||||||||
|
Archer-Daniels-Midland Co.
0.88%, 2/15/2014 |
8,517,000 | 8,518,703 | ||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 3.1%
|
||||||||
|
Hologic, Inc.:
|
||||||||
|
2.00%, 12/15/2037 (a)(c)
|
8,131,000 | 8,092,906 | ||||||
|
2.00%, 3/1/2042 (c)
|
1,500,000 | 1,462,973 | ||||||
|
Medtronic, Inc.
1.63%, 4/15/2013 (a) |
17,037,000 | 17,175,511 | ||||||
| 26,731,390 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 0.5%
|
||||||||
|
LifePoint Hospitals, Inc.
3.50%, 5/15/2014 (a) |
4,235,000 | 4,616,870 | ||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.8%
|
||||||||
|
International Game Technology
3.25%, 5/1/2014 |
6,448,000 | 6,739,965 | ||||||
|
MGM Resorts International
4.25%, 4/15/2015 (a) |
8,414,000 | 8,735,836 | ||||||
| 15,475,801 | ||||||||
|
HOUSEHOLD DURABLES — 1.1%
|
||||||||
|
D.R. Horton, Inc.
2.00%, 5/15/2014 |
4,104,000 | 6,706,757 | ||||||
|
Jarden Corp.
1.88%, 9/15/2018 (b) |
2,500,000 | 2,564,000 | ||||||
| 9,270,757 | ||||||||
|
INSURANCE — 0.5%
|
||||||||
|
Old Republic International Corp.
3.75%, 3/15/2018 (a) |
4,411,000 | 4,386,925 | ||||||
|
INTERNET & CATALOG RETAIL — 2.0%
|
||||||||
|
priceline.com, Inc.:
|
||||||||
|
1.00%, 3/15/2018 (a)(b)
|
7,100,000 | 7,603,745 | ||||||
|
1.25%, 3/15/2015 (b)
|
4,420,000 | 9,219,855 | ||||||
| 16,823,600 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 2.2%
|
||||||||
|
TIBCO Software, Inc.
2.25%, 5/1/2032 (a)(b) |
4,500,000 | 4,614,570 | ||||||
|
VeriSign, Inc.
3.25%, 8/15/2037 |
9,448,000 | 14,448,354 | ||||||
| 19,062,924 | ||||||||
|
IT SERVICES — 1.2%
|
||||||||
|
Alliance Data Systems Corp.
1.75%, 8/1/2013 |
5,826,000 | 10,549,371 | ||||||
|
MARINE — 0.5%
|
||||||||
|
DryShips, Inc.
5.00%, 12/1/2014 |
5,116,000 | 4,172,947 | ||||||
|
MEDIA — 3.8%
|
||||||||
|
Liberty Media LLC
3.13%, 3/30/2023 |
8,690,000 | 12,136,541 | ||||||
|
Virgin Media, Inc.
6.50%, 11/15/2016 |
7,736,000 | 13,322,552 | ||||||
|
XM Satellite Radio, Inc.
7.00%, 12/1/2014 (b) |
4,365,000 | 6,813,765 | ||||||
| 32,272,858 | ||||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
NextEra Energy, Inc.:
|
||||||||
|
5.60%, 6/1/2015
|
85,000 | $ | 4,343,500 | |||||
|
5.89%, 9/1/2015
|
105,000 | 5,440,050 | ||||||
|
PPL Corp.:
|
||||||||
|
8.75%, 5/1/2014
|
154,500 | 8,451,150 | ||||||
|
9.50%, 7/1/2013
|
177,474 | 9,503,733 | ||||||
| 31,649,776 | ||||||||
|
FOOD PRODUCTS — 0.6%
|
||||||||
|
Bunge, Ltd.
4.88%, 12/31/2049 (a) |
52,000 | 5,069,662 | ||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 0.3%
|
||||||||
|
Alere, Inc.
Series B 3.00%, 12/31/2049 (a) |
13,461 | 2,730,833 | ||||||
|
INSURANCE — 2.9%
|
||||||||
|
Hartford Financial Services Group, Inc.
7.25%, 4/1/2013 (a) |
182,200 | 3,480,020 | ||||||
|
MetLife, Inc.
5.00%, 9/11/2013 |
309,800 | 21,388,592 | ||||||
| 24,868,612 | ||||||||
|
MACHINERY — 0.7%
|
||||||||
|
Stanley Black & Decker, Inc.
4.75%, 11/17/2015 (a) |
47,632 | 5,983,532 | ||||||
|
METALS & MINING — 0.6%
|
||||||||
|
AngloGold Ashanti, Holdings Finance PLC
6.00%, 9/15/2013 (a) |
118,112 | 4,912,278 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 1.7%
|
||||||||
|
Apache Corp.
6.00%, 8/1/2013 (a) |
195,000 | 9,486,750 | ||||||
|
CenterPoint Energy, Inc.
0.36%, 9/15/2029 (e) |
105,921 | 4,269,527 | ||||||
|
Chesapeake Energy Corp.
5.75%, 12/31/2049 (b) |
500 | 463,493 | ||||||
| 14,219,770 | ||||||||
|
REAL ESTATE INVESTMENT TRUST — 0.7%
|
||||||||
|
Health Care REIT, Inc.
Series I 3.00%, 12/31/2049 (a) |
108,145 | 5,960,952 | ||||||
|
THRIFTS & MORTGAGE FINANCE — 0.7%
|
||||||||
|
Sovereign Capital Trust IV
4.38%, 3/1/2034 (a) |
87,300 | 5,499,900 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 0.5%
|
||||||||
|
Lucent Technologies Capital Trust I
7.75%, 3/15/2017 |
7,605 | 4,410,900 | ||||||
|
TOTAL CONVERTIBLE PREFERRED STOCKS —
|
||||||||
|
(Cost $255,457,460) (f)
|
240,147,974 | |||||||
|
COMMON STOCKS — 0.4%
|
||||||||
|
AUTO COMPONENTS — 0.4%
|
||||||||
|
Dana Holding Corp. (a)
|
296,500 | 3,646,950 | ||||||
|
THRIFTS & MORTGAGE
FINANCE — 0.0% (g)
|
||||||||
|
Federal National Mortgage Association (a)(d)
|
100,000 | 27,800 | ||||||
|
TOTAL COMMON STOCKS —
|
||||||||
|
(Cost $5,394,421) (f)
|
3,674,750 | |||||||
|
SHORT TERM INVESTMENTS — 14.1%
|
||||||||
|
MONEY MARKET FUNDS — 14.1%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (h)(i) |
115,210,200 | 115,210,200 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (i)(j) |
5,060,292 | 5,060,292 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (f)
|
||||||||
|
(Cost $120,270,492)
|
120,270,492 | |||||||
|
TOTAL INVESTMENTS — 113.3% (k)
|
||||||||
|
(Cost $972,377,596)
|
963,204,227 | |||||||
|
OTHER ASSETS &
LIABILITIES — (13.3)% |
(113,180,368 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 850,023,859 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 10.2% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
Step-up Bond. Coupon rate increases in increments to maturity. Rate disclosed is as of September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(d)
|
Non-income producing security. | |||||
|
(e)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(h)
|
Investments of cash collateral for securities loaned. | |||||
|
(i)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(j)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(k)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
U.S. GOVERNMENT AGENCY MBS TBA — 99.7%
|
||||||||
|
Fannie Mae
|
||||||||
|
3.00%, 15yr TBA
|
$ | 300,000 | $ | 317,988 | ||||
|
3.50%, 15yr TBA
|
1,500,000 | 1,595,859 | ||||||
|
3.50%, 30yr TBA
|
2,500,000 | 2,681,641 | ||||||
|
4.00%, 15yr TBA
|
500,000 | 534,375 | ||||||
|
4.00%, 30yr TBA
|
5,000,000 | 5,387,500 | ||||||
|
4.50%, 15yr TBA
|
500,000 | 539,063 | ||||||
|
4.50%, 30yr TBA
|
1,850,000 | 2,002,047 | ||||||
|
5.00%, 15yr TBA
|
850,000 | 922,516 | ||||||
|
5.00%, 30yr TBA
|
1,850,000 | 2,017,656 | ||||||
|
5.50%, 15yr TBA (a)
|
250,000 | 270,781 | ||||||
|
5.50%, 30yr TBA
|
2,500,000 | 2,741,016 | ||||||
|
6.00%, 30yr TBA
|
1,000,000 | 1,104,375 | ||||||
|
6.50%, 30yr TBA
|
500,000 | 562,187 | ||||||
|
Freddie Mac
|
||||||||
|
3.00%, 15yr TBA
|
850,000 | 897,016 | ||||||
|
3.00%, 30yr TBA
|
1,000,000 | 1,054,414 | ||||||
|
3.50%, 15yr TBA
|
500,000 | 528,672 | ||||||
|
4.00%, 15yr TBA
|
750,000 | 797,109 | ||||||
|
4.50%, 15yr TBA
|
400,000 | 428,750 | ||||||
|
4.50%, 30yr TBA
|
3,000,000 | 3,226,406 | ||||||
|
5.00%, 30yr TBA
|
2,250,000 | 2,438,437 | ||||||
|
5.50%, 30yr TBA
|
500,000 | 544,922 | ||||||
|
6.00%, 30yr TBA
|
1,000,000 | 1,098,750 | ||||||
|
6.50%, 30yr TBA
|
400,000 | 447,625 | ||||||
|
Ginnie Mae
|
||||||||
|
3.50%, 30yr TBA
|
1,000,000 | 1,096,094 | ||||||
|
4.00%, 30yr TBA
|
89,599 | 99,082 | ||||||
|
4.00%, 30yr TBA
|
1,750,000 | 1,929,922 | ||||||
|
4.50%, 30yr TBA
|
2,750,000 | 3,018,125 | ||||||
|
5.00%, 30yr TBA
|
1,550,000 | 1,708,875 | ||||||
|
5.50%, 30yr TBA
|
750,000 | 833,555 | ||||||
|
6.00%, 30yr TBA
|
550,000 | 621,156 | ||||||
|
6.50%, 30yr TBA
|
250,000 | 289,063 | ||||||
|
TOTAL U.S. GOVERNMENT AGENCY MBS
TBA —
|
||||||||
|
(Cost $41,551,893)
|
41,734,977 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 99.5%
|
||||||||
|
MONEY MARKET FUND — 99.5%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c)(d)(e) (Cost $41,619,290) |
41,619,290 | 41,619,290 | ||||||
|
TOTAL INVESTMENTS — 199.2% (f)
|
||||||||
|
(Cost $83,171,183)
|
83,354,267 | |||||||
|
OTHER ASSETS &
LIABILITIES — (99.2)% |
(41,511,708 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 41,842,559 | ||||||
|
(a)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(b)
|
Security, or a portion of the security has been designated as collateral for TBA securities. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 24.3%
|
||||||||
|
AEROSPACE & DEFENSE — 0.4%
|
||||||||
|
General Dynamics Corp.
5.25%, 2/1/2014 |
$ | 220,000 | $ | 233,838 | ||||
|
Honeywell International, Inc.:
|
||||||||
|
4.25%, 3/1/2021 (a)
|
50,000 | 58,641 | ||||||
|
5.38%, 3/1/2041 (a)
|
100,000 | 130,724 | ||||||
|
L-3
Communications Corp.
3.95%, 11/15/2016 |
100,000 | 108,377 | ||||||
|
Lockheed Martin Corp.
3.35%, 9/15/2021 |
250,000 | 263,096 | ||||||
|
Northrop Grumman Corp.
3.70%, 8/1/2014 |
250,000 | 262,744 | ||||||
|
Raytheon Co.
1.40%, 12/15/2014 |
100,000 | 101,772 | ||||||
|
The Boeing Co.:
|
||||||||
|
3.50%, 2/15/2015 (a)
|
250,000 | 267,174 | ||||||
|
6.13%, 2/15/2033
|
165,000 | 220,119 | ||||||
|
United Technologies Corp.:
|
||||||||
|
4.50%, 4/15/2020
|
60,000 | 70,504 | ||||||
|
5.38%, 12/15/2017 (a)
|
250,000 | 302,788 | ||||||
|
5.70%, 4/15/2040
|
210,000 | 272,941 | ||||||
|
6.05%, 6/1/2036
|
100,000 | 130,945 | ||||||
| 2,423,663 | ||||||||
|
AIR FREIGHT & LOGISTICS — 0.1%
|
||||||||
|
FedEx Corp.
2.63%, 8/1/2022 |
100,000 | 99,458 | ||||||
|
United Parcel Service, Inc.:
|
||||||||
|
3.88%, 4/1/2014
|
250,000 | 263,018 | ||||||
|
6.20%, 1/15/2038
|
100,000 | 140,571 | ||||||
| 503,047 | ||||||||
|
AIRLINES — 0.0% (b)
|
||||||||
|
Continental Airlines
2012-1
Pass
Through Trust, Class A
4.15%, 4/11/2024 (a) |
100,000 | 102,000 | ||||||
|
Continental Airlines
2012-2
Pass
Through Trust, Class A
4.00%, 10/29/2024 |
20,000 | 20,450 | ||||||
|
Delta Air Lines
2010-2
Pass
Through Trust, Class A
4.95%, 5/25/2019 |
91,622 | 98,493 | ||||||
| 220,943 | ||||||||
|
AUTO COMPONENTS — 0.1%
|
||||||||
|
Johnson Controls, Inc.:
|
||||||||
|
4.25%, 3/1/2021 (a)
|
60,000 | 65,598 | ||||||
|
5.50%, 1/15/2016 (a)
|
250,000 | 280,421 | ||||||
| 346,019 | ||||||||
|
AUTOMOBILES — 0.0% (b)
|
||||||||
|
Daimler Finance North America LLC
6.50%, 11/15/2013 |
100,000 | 106,483 | ||||||
|
BEVERAGES — 0.6%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
1.50%, 7/14/2014
|
500,000 | 508,071 | ||||||
|
5.38%, 1/15/2020
|
335,000 | 415,480 | ||||||
|
6.38%, 1/15/2040 (a)
|
250,000 | 355,363 | ||||||
|
Bottling Group LLC
6.95%, 3/15/2014 (a) |
200,000 | 218,254 | ||||||
|
Diageo Capital PLC
5.75%, 10/23/2017 |
250,000 | 304,587 | ||||||
|
Dr. Pepper Snapple Group, Inc.
3.20%, 11/15/2021 (a) |
150,000 | 154,830 | ||||||
|
PepsiCo, Inc.:
|
||||||||
|
0.75%, 3/5/2015
|
500,000 | 501,686 | ||||||
|
2.75%, 3/5/2022 (a)
|
350,000 | 360,641 | ||||||
|
3.60%, 8/13/2042
|
100,000 | 97,980 | ||||||
|
4.50%, 1/15/2020 (a)
|
100,000 | 116,229 | ||||||
|
The
Coca-Cola
Co.:
|
||||||||
|
0.75%, 11/15/2013
|
100,000 | 100,436 | ||||||
|
1.50%, 11/15/2015
|
600,000 | 615,551 | ||||||
|
3.15%, 11/15/2020
|
70,000 | 76,073 | ||||||
| 3,825,181 | ||||||||
|
BIOTECHNOLOGY — 0.2%
|
||||||||
|
Amgen, Inc.:
|
||||||||
|
1.88%, 11/15/2014 (a)
|
350,000 | 357,975 | ||||||
|
4.10%, 6/15/2021
|
100,000 | 108,958 | ||||||
|
4.50%, 3/15/2020
|
50,000 | 56,444 | ||||||
|
5.15%, 11/15/2041
|
324,000 | 362,955 | ||||||
|
5.75%, 3/15/2040
|
55,000 | 65,654 | ||||||
|
Gilead Sciences, Inc.
4.50%, 4/1/2021 (a) |
200,000 | 227,457 | ||||||
|
Life Technologies Corp.
6.00%, 3/1/2020 |
100,000 | 118,805 | ||||||
| 1,298,248 | ||||||||
|
BUILDING MATERIALS — 0.0% (b)
|
||||||||
|
CRH America, Inc.
6.00%, 9/30/2016 |
100,000 | 111,299 | ||||||
|
CAPITAL MARKETS — 0.9%
|
||||||||
|
BlackRock, Inc.
3.50%, 12/10/2014 |
300,000 | 319,660 | ||||||
|
Jefferies Group, Inc.
5.13%, 4/13/2018 (a) |
300,000 | 302,250 | ||||||
|
Morgan Stanley:
|
||||||||
|
3.80%, 4/29/2016
|
500,000 | 514,656 | ||||||
|
5.75%, 1/25/2021
|
500,000 | 541,562 | ||||||
|
6.00%, 5/13/2014
|
560,000 | 594,153 | ||||||
|
6.63%, 4/1/2018
|
390,000 | 443,590 | ||||||
|
Svensk Exportkredit AB
5.13%, 3/1/2017 (a) |
205,000 | 239,503 | ||||||
|
The Bank of New York Mellon Corp.:
|
||||||||
|
1.20%, 2/20/2015
|
200,000 | 203,156 | ||||||
|
3.55%, 9/23/2021
|
100,000 | 108,429 | ||||||
|
4.30%, 5/15/2014
|
300,000 | 319,202 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
3.70%, 8/1/2015
|
500,000 | 527,399 | ||||||
|
5.35%, 1/15/2016
|
555,000 | 610,517 | ||||||
|
5.95%, 1/15/2027
|
595,000 | 613,001 | ||||||
|
6.13%, 2/15/2033 (a)
|
400,000 | 442,785 | ||||||
| 5,779,863 | ||||||||
|
CHEMICALS — 0.4%
|
||||||||
|
Agrium, Inc.
3.15%, 10/1/2022 |
150,000 | 150,797 | ||||||
|
E.I. du Pont de Nemours & Co.:
|
||||||||
|
5.25%, 12/15/2016 (a)
|
255,000 | 298,594 | ||||||
|
5.75%, 3/15/2019
|
250,000 | 303,340 | ||||||
|
Ecolab, Inc.
4.35%, 12/8/2021 |
100,000 | 112,580 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Monsanto Co.
2.20%, 7/15/2022 |
$ | 100,000 | $ | 100,534 | ||||
|
Potash Corp. of Saskatchewan, Inc.
5.88%, 12/1/2036 |
100,000 | 127,190 | ||||||
|
PPG Industries, Inc.:
|
||||||||
|
2.70%, 8/15/2022
|
200,000 | 200,205 | ||||||
|
6.65%, 3/15/2018
|
100,000 | 122,007 | ||||||
|
Praxair, Inc.
3.00%, 9/1/2021 (a) |
250,000 | 263,252 | ||||||
|
The Dow Chemical Co.:
|
||||||||
|
5.25%, 11/15/2041 (a)
|
250,000 | 281,639 | ||||||
|
8.55%, 5/15/2019
|
330,000 | 441,876 | ||||||
| 2,402,014 | ||||||||
|
COMMERCIAL BANKS — 4.1%
|
||||||||
|
African Development Bank
1.25%, 9/2/2016 (a) |
200,000 | 205,562 | ||||||
|
Asian Development Bank:
|
||||||||
|
1.75%, 3/21/2019
|
500,000 | 521,202 | ||||||
|
2.50%, 3/15/2016
|
200,000 | 213,943 | ||||||
|
2.63%, 2/9/2015
|
200,000 | 210,828 | ||||||
|
2.75%, 5/21/2014
|
205,000 | 213,317 | ||||||
|
Bank of Nova Scotia:
|
||||||||
|
2.38%, 12/17/2013 (a)
|
350,000 | 357,956 | ||||||
|
2.90%, 3/29/2016
|
100,000 | 106,046 | ||||||
|
Barclays Bank PLC
3.90%, 4/7/2015 |
450,000 | 477,035 | ||||||
|
BB&T Corp.:
|
||||||||
|
2.05%, 4/28/2014 (a)
|
100,000 | 102,165 | ||||||
|
3.95%, 4/29/2016 (a)
|
100,000 | 110,414 | ||||||
|
BNP Paribas
5.00%, 1/15/2021 |
350,000 | 389,127 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Netherlands:
|
||||||||
|
4.50%, 1/11/2021
|
100,000 | 110,627 | ||||||
|
5.25%, 5/24/2041
|
250,000 | 295,245 | ||||||
|
Corp. Andina de Fomento
3.75%, 1/15/2016 |
100,000 | 105,115 | ||||||
|
Council Of Europe Development Bank
1.25%, 9/22/2016 |
350,000 | 355,006 | ||||||
|
Credit Suisse of New York, NY:
|
||||||||
|
4.38%, 8/5/2020
|
600,000 | 673,405 | ||||||
|
5.40%, 1/14/2020
|
100,000 | 108,847 | ||||||
|
5.50%, 5/1/2014
|
300,000 | 320,955 | ||||||
|
Deutsche Bank AG London
6.00%, 9/1/2017 (a) |
250,000 | 297,497 | ||||||
|
European Bank for Reconstruction & Development
2.50%, 3/15/2016 |
450,000 | 480,571 | ||||||
|
European Investment Bank:
|
||||||||
|
1.13%, 4/15/2015
|
1,000,000 | 1,016,283 | ||||||
|
2.38%, 3/14/2014
|
545,000 | 560,624 | ||||||
|
2.50%, 5/16/2016 (a)
|
950,000 | 1,009,847 | ||||||
|
2.75%, 3/23/2015
|
300,000 | 316,550 | ||||||
|
4.00%, 2/16/2021 (a)
|
650,000 | 752,002 | ||||||
|
Export-Import
Bank of Korea:
|
||||||||
|
4.13%, 9/9/2015
|
200,000 | 215,577 | ||||||
|
5.88%, 1/14/2015
|
205,000 | 225,858 | ||||||
|
Fifth Third Bancorp
3.63%, 1/25/2016 |
100,000 | 107,757 | ||||||
|
HSBC Bank USA NA
4.63%, 4/1/2014 |
220,000 | 229,858 | ||||||
|
HSBC Finance Corp.
5.25%, 1/15/2014 |
200,000 | 210,616 | ||||||
|
HSBC Holdings PLC:
|
||||||||
|
4.00%, 3/30/2022
|
500,000 | 535,168 | ||||||
|
6.50%, 9/15/2037
|
100,000 | 117,083 | ||||||
|
6.80%, 6/1/2038
|
100,000 | 121,508 | ||||||
|
Inter-American
Development Bank:
|
||||||||
|
1.75%, 8/24/2018
|
500,000 | 523,830 | ||||||
|
5.13%, 9/13/2016
|
405,000 | 477,122 | ||||||
|
International Bank for Reconstruction & Development:
|
||||||||
|
0.50%, 11/26/2013
|
500,000 | 501,389 | ||||||
|
1.00%, 9/15/2016
|
600,000 | 611,522 | ||||||
|
2.38%, 5/26/2015
|
300,000 | 316,389 | ||||||
|
4.75%, 2/15/2035
|
80,000 | 102,414 | ||||||
|
International Finance Corp.
2.25%, 4/11/2016 |
650,000 | 690,078 | ||||||
|
Key Bank NA
5.80%, 7/1/2014 |
205,000 | 220,201 | ||||||
|
Korea Development Bank
4.00%, 9/9/2016 |
100,000 | 108,485 | ||||||
|
Kreditanstalt fuer Wiederaufbau:
|
||||||||
|
2.38%, 8/25/2021
|
700,000 | 726,211 | ||||||
|
2.63%, 2/16/2016 (a)
|
1,950,000 | 2,084,269 | ||||||
|
2.75%, 9/8/2020
|
100,000 | 107,686 | ||||||
|
4.00%, 10/15/2013
|
720,000 | 747,824 | ||||||
|
4.50%, 7/16/2018 (a)
|
215,000 | 255,546 | ||||||
|
Landwirtschaftliche Rentenbank:
|
||||||||
|
1.88%, 9/17/2018
|
400,000 | 417,289 | ||||||
|
3.13%, 7/15/2015 (a)
|
200,000 | 214,344 | ||||||
|
Lloyds TSB Bank PLC
6.38%, 1/21/2021 |
250,000 | 305,682 | ||||||
|
National Australia Bank/New York
2.75%, 3/9/2017 |
150,000 | 156,506 | ||||||
|
Nordic Investment Bank
2.50%, 7/15/2015 (a) |
350,000 | 370,361 | ||||||
|
Oesterreichische Kontrollbank AG
2.00%, 6/3/2016 (a) |
200,000 | 207,610 | ||||||
|
PNC Funding Corp.:
|
||||||||
|
5.13%, 2/8/2020
|
150,000 | 177,532 | ||||||
|
5.25%, 11/15/2015
|
350,000 | 392,048 | ||||||
|
Royal Bank of Canada:
|
||||||||
|
1.13%, 1/15/2014
|
100,000 | 100,686 | ||||||
|
1.20%, 9/19/2017
|
100,000 | 100,630 | ||||||
|
2.30%, 7/20/2016 (a)
|
305,000 | 317,659 | ||||||
|
SunTrust Bank/Atlanta GA
5.00%, 9/1/2015 |
16,000 | 17,325 | ||||||
|
SunTrust Banks, Inc.
7.25%, 3/15/2018 |
60,000 | 72,306 | ||||||
|
The Korea Development Bank
3.50%, 8/22/2017 (a) |
250,000 | 268,591 | ||||||
|
The Royal Bank of Scotland PLC
4.38%, 3/16/2016 |
500,000 | 538,955 | ||||||
|
The
Toronto-Dominion
Bank
2.38%, 10/19/2016 (a) |
100,000 | 105,116 | ||||||
|
Union Bank NA
5.95%, 5/11/2016 |
100,000 | 114,141 | ||||||
|
US Bancorp
2.45%, 7/27/2015 (a) |
100,000 | 104,853 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
US Bank NA
4.95%, 10/30/2014 |
$ | 500,000 | $ | 541,210 | ||||
|
Wachovia Bank NA
5.85%, 2/1/2037 |
200,000 | 251,321 | ||||||
|
Wachovia Corp.
5.63%, 10/15/2016 |
200,000 | 230,257 | ||||||
|
Wells Fargo & Co.:
|
||||||||
|
1.25%, 2/13/2015
|
750,000 | 755,958 | ||||||
|
3.50%, 3/8/2022
|
500,000 | 533,641 | ||||||
|
5.63%, 12/11/2017
|
150,000 | 179,309 | ||||||
|
Westpac Banking Corp.:
|
||||||||
|
3.00%, 12/9/2015 (a)
|
350,000 | 370,102 | ||||||
|
4.88%, 11/19/2019 (a)
|
100,000 | 113,414 | ||||||
| 25,503,406 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 0.2%
|
||||||||
|
Cornell University
5.45%, 2/1/2019 |
150,000 | 183,062 | ||||||
|
Massachusetts Institute of Technology
5.60%, 7/1/2111 |
100,000 | 142,191 | ||||||
|
Pitney Bowes, Inc.
5.25%, 1/15/2037 (a) |
100,000 | 103,000 | ||||||
|
Republic Services, Inc.:
|
||||||||
|
4.75%, 5/15/2023 (a)
|
250,000 | 283,742 | ||||||
|
5.00%, 3/1/2020 (a)
|
100,000 | 115,089 | ||||||
|
The ADT Corp.
3.50%, 7/15/2022 (c) |
150,000 | 155,826 | ||||||
|
The Western Union Co.
5.93%, 10/1/2016 (a) |
100,000 | 117,007 | ||||||
|
Waste Management, Inc.
7.38%, 3/11/2019 |
100,000 | 128,589 | ||||||
| 1,228,506 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 0.2%
|
||||||||
|
Cisco Systems, Inc.:
|
||||||||
|
4.45%, 1/15/2020
|
500,000 | 585,729 | ||||||
|
5.50%, 2/22/2016
|
240,000 | 278,276 | ||||||
| 864,005 | ||||||||
|
COMPUTERS & PERIPHERALS — 0.2%
|
||||||||
|
Dell, Inc.:
|
||||||||
|
2.30%, 9/10/2015 (a)
|
100,000 | 103,288 | ||||||
|
6.50%, 4/15/2038
|
250,000 | 305,308 | ||||||
|
Hewlett-Packard
Co.:
|
||||||||
|
3.00%, 9/15/2016
|
350,000 | 360,946 | ||||||
|
4.05%, 9/15/2022 (a)
|
250,000 | 251,263 | ||||||
|
4.30%, 6/1/2021
|
100,000 | 101,750 | ||||||
|
6.13%, 3/1/2014
|
200,000 | 213,382 | ||||||
| 1,335,937 | ||||||||
|
CONSTRUCTION & ENGINEERING — 0.1%
|
||||||||
|
ABB Finance USA, Inc.
2.88%, 5/8/2022 |
150,000 | 153,640 | ||||||
|
URS Corp.
5.00%, 4/1/2022 (c) |
100,000 | 101,992 | ||||||
| 255,632 | ||||||||
|
CONSUMER FINANCE — 0.2%
|
||||||||
|
Caterpillar Financial Services Corp.:
|
||||||||
|
1.65%, 4/1/2014
|
250,000 | 254,140 | ||||||
|
2.05%, 8/1/2016 (a)
|
300,000 | 311,465 | ||||||
|
7.15%, 2/15/2019
|
70,000 | 91,038 | ||||||
|
SLM Corp.
6.25%, 1/25/2016 |
700,000 | 766,500 | ||||||
| 1,423,143 | ||||||||
|
CONTAINERS &
PACKAGING — 0.0% (b)
|
||||||||
|
Bemis Co., Inc.
4.50%, 10/15/2021 |
100,000 | 109,190 | ||||||
|
DIVERSIFIED CONSUMER
SERVICES — 0.0% (b)
|
||||||||
|
Stanford University
4.75%, 5/1/2019 |
110,000 | 131,515 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 2.8%
|
||||||||
|
American Express Co.:
|
||||||||
|
7.25%, 5/20/2014
|
250,000 | 276,415 | ||||||
|
8.13%, 5/20/2019
|
150,000 | 202,518 | ||||||
|
American Express Credit Corp.
2.38%, 3/24/2017 |
500,000 | 527,111 | ||||||
|
Ameriprise Financial, Inc.
5.65%, 11/15/2015 |
100,000 | 113,563 | ||||||
|
Bank of America Corp.:
|
||||||||
|
4.50%, 4/1/2015
|
1,000,000 | 1,071,814 | ||||||
|
5.00%, 5/13/2021
|
500,000 | 548,810 | ||||||
|
Bank of America NA
5.30%, 3/15/2017 |
385,000 | 426,232 | ||||||
|
Capital One Bank USA NA
8.80%, 7/15/2019 |
100,000 | 130,797 | ||||||
|
Capital One Financial Corp.
2.15%, 3/23/2015 |
500,000 | 513,294 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
4.45%, 1/10/2017
|
750,000 | 822,956 | ||||||
|
4.59%, 12/15/2015
|
200,000 | 216,892 | ||||||
|
5.50%, 2/15/2017
|
150,000 | 165,703 | ||||||
|
6.00%, 12/13/2013
|
879,000 | 930,298 | ||||||
|
6.00%, 10/31/2033
|
100,000 | 106,030 | ||||||
|
6.13%, 11/21/2017
|
250,000 | 293,039 | ||||||
|
6.63%, 6/15/2032
|
100,000 | 113,262 | ||||||
|
8.13%, 7/15/2039
|
150,000 | 222,844 | ||||||
|
Ford Motor Credit Co. LLC:
|
||||||||
|
5.88%, 8/2/2021 (a)
|
500,000 | 562,500 | ||||||
|
7.00%, 4/15/2015
|
650,000 | 729,625 | ||||||
|
General Electric Capital Corp.:
|
||||||||
|
2.25%, 11/9/2015
|
200,000 | 207,252 | ||||||
|
2.90%, 1/9/2017
|
500,000 | 529,272 | ||||||
|
3.15%, 9/7/2022
|
200,000 | 200,714 | ||||||
|
4.75%, 9/15/2014
|
200,000 | 214,528 | ||||||
|
5.63%, 5/1/2018
|
585,000 | 690,376 | ||||||
|
6.75%, 3/15/2032
|
340,000 | 437,828 | ||||||
|
6.88%, 1/10/2039
|
500,000 | 668,416 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
3.45%, 3/1/2016
|
500,000 | 532,687 | ||||||
|
3.70%, 1/20/2015 (a)
|
600,000 | 635,935 | ||||||
|
4.25%, 10/15/2020
|
750,000 | 811,624 | ||||||
|
6.00%, 1/15/2018
|
150,000 | 178,467 | ||||||
|
6.40%, 5/15/2038
|
355,000 | 456,148 | ||||||
|
JPMorgan Chase Bank NA
6.00%, 10/1/2017 |
405,000 | 477,903 | ||||||
|
Merrill Lynch & Co., Inc.:
|
||||||||
|
6.05%, 5/16/2016
|
200,000 | 218,777 | ||||||
|
6.11%, 1/29/2037
|
350,000 | 368,143 | ||||||
|
6.88%, 4/25/2018
|
580,000 | 691,779 | ||||||
|
Moody’s Corp.
4.50%, 9/1/2022 |
100,000 | 105,837 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
National Rural Utilities Cooperative Finance Corp.
8.00%, 3/1/2032 |
$ | 210,000 | $ | 322,194 | ||||
|
Nomura Holdings, Inc.:
|
||||||||
|
4.13%, 1/19/2016 (a)
|
300,000 | 310,705 | ||||||
|
5.00%, 3/4/2015 (a)
|
70,000 | 73,737 | ||||||
|
6.70%, 3/4/2020
|
21,000 | 24,048 | ||||||
|
ORIX Corp.
5.00%, 1/12/2016 (a) |
100,000 | 107,397 | ||||||
|
Private Export Funding Corp.:
|
||||||||
|
1.38%, 2/15/2017
|
225,000 | 231,525 | ||||||
|
2.45%, 7/15/2024
|
200,000 | 204,510 | ||||||
|
Raymond James Financial, Inc.
5.63%, 4/1/2024 |
100,000 | 109,658 | ||||||
|
The Nasdaq OMX Group, Inc.
5.55%, 1/15/2020 |
200,000 | 214,352 | ||||||
|
Toyota Motor Credit Corp.
3.30%, 1/12/2022 (a) |
150,000 | 161,196 | ||||||
|
UBS AG of Stamford, CT
5.75%, 4/25/2018 |
250,000 | 293,671 | ||||||
| 17,452,382 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.4%
|
||||||||
|
British Telecommunications PLC
9.63%, 12/15/2030 |
100,000 | 161,285 | ||||||
|
CenturyLink, Inc.:
|
||||||||
|
6.45%, 6/15/2021
|
350,000 | 397,662 | ||||||
|
7.65%, 3/15/2042 (a)
|
250,000 | 268,097 | ||||||
|
Telefonica Emisiones SAU
5.46%, 2/16/2021 (a) |
350,000 | 342,125 | ||||||
|
Verizon Communications, Inc.:
|
||||||||
|
1.95%, 3/28/2014 (a)
|
150,000 | 153,364 | ||||||
|
2.00%, 11/1/2016
|
500,000 | 525,903 | ||||||
|
6.40%, 2/15/2038
|
300,000 | 406,876 | ||||||
|
8.75%, 11/1/2018
|
200,000 | 281,432 | ||||||
|
8.95%, 3/1/2039
|
100,000 | 171,525 | ||||||
| 2,708,269 | ||||||||
|
ELECTRIC UTILITIES — 1.5%
|
||||||||
|
CenterPoint Energy Houston Electric LLC
2.25%, 8/1/2022 |
100,000 | 99,676 | ||||||
|
Commonwealth Edison Co.
1.63%, 1/15/2014 |
100,000 | 101,327 | ||||||
|
Commonwealth Edison Co., Series 1
5.90%, 3/15/2036 |
100,000 | 133,114 | ||||||
|
Consolidated Edison Co. of New York, Inc.:
|
||||||||
|
4.20%, 3/15/2042
|
100,000 | 108,690 | ||||||
|
4.45%, 6/15/2020 (a)
|
100,000 | 115,958 | ||||||
|
5.50%, 12/1/2039
|
125,000 | 161,753 | ||||||
|
Duke Energy Carolinas LLC:
|
||||||||
|
4.25%, 12/15/2041 (a)
|
250,000 | 266,872 | ||||||
|
7.00%, 11/15/2018
|
220,000 | 286,320 | ||||||
|
Duke Energy Corp.
2.15%, 11/15/2016 |
250,000 | 258,190 | ||||||
|
Edison International
3.75%, 9/15/2017 |
50,000 | 53,911 | ||||||
|
Entergy Corp.
4.70%, 1/15/2017 |
250,000 | 269,433 | ||||||
|
Entergy Texas, Inc.
7.13%, 2/1/2019 |
25,000 | 30,684 | ||||||
|
Exelon Generation Co. LLC
4.00%, 10/1/2020 |
500,000 | 533,014 | ||||||
|
FirstEnergy Corp.
7.38%, 11/15/2031 |
200,000 | 263,589 | ||||||
|
Florida Power & Light Co.
5.69%, 3/1/2040 |
65,000 | 86,994 | ||||||
|
Georgia Power Co.:
|
||||||||
|
0.75%, 8/10/2015
|
250,000 | 250,637 | ||||||
|
4.75%, 9/1/2040
|
100,000 | 112,317 | ||||||
|
Great Plains Energy, Inc.
4.85%, 6/1/2021 |
50,000 | 55,251 | ||||||
|
Hydro Quebec
2.00%, 6/30/2016 |
250,000 | 261,739 | ||||||
|
Jersey Central Power & Light Co.
5.63%, 5/1/2016 |
250,000 | 287,919 | ||||||
|
Kentucky Utilities Co.
1.63%, 11/1/2015 |
100,000 | 102,786 | ||||||
|
LG&E and KU Energy LLC
3.75%, 11/15/2020 |
100,000 | 105,458 | ||||||
|
Nevada Power Co.
5.45%, 5/15/2041 (a) |
60,000 | 74,462 | ||||||
|
NextEra Energy Capital Holdings, Inc.:
|
||||||||
|
1.20%, 6/1/2015
|
50,000 | 50,447 | ||||||
|
4.50%, 6/1/2021
|
200,000 | 223,939 | ||||||
|
Nisource Finance Corp.
6.40%, 3/15/2018 |
100,000 | 122,456 | ||||||
|
Northern States Power Co.:
|
||||||||
|
1.95%, 8/15/2015
|
100,000 | 103,664 | ||||||
|
4.85%, 8/15/2040 (a)
|
100,000 | 119,649 | ||||||
|
Oncor Electric Delivery Co. LLC
6.80%, 9/1/2018 |
100,000 | 122,705 | ||||||
|
Pacific Gas & Electric Co.:
|
||||||||
|
4.80%, 3/1/2014
|
430,000 | 454,870 | ||||||
|
6.25%, 12/1/2013
|
250,000 | 266,273 | ||||||
|
PacifiCorp:
|
||||||||
|
3.85%, 6/15/2021
|
250,000 | 280,663 | ||||||
|
4.10%, 2/1/2042 (a)
|
50,000 | 52,982 | ||||||
|
PPL Electric Utilities Corp.:
|
||||||||
|
2.50%, 9/1/2022
|
100,000 | 101,427 | ||||||
|
5.20%, 7/15/2041
|
50,000 | 62,570 | ||||||
|
Progress Energy, Inc.
7.75%, 3/1/2031 |
505,000 | 708,014 | ||||||
|
PSEG Power LLC
5.13%, 4/15/2020 |
80,000 | 90,886 | ||||||
|
Public Service Co. of Oklahoma
4.40%, 2/1/2021 (a) |
100,000 | 111,911 | ||||||
|
Public Service Electric & Gas Co.
6.33%, 11/1/2013 |
250,000 | 265,613 | ||||||
|
Puget Sound Energy, Inc.
5.64%, 4/15/2041 |
80,000 | 105,857 | ||||||
|
San Diego Gas & Electric Co.:
|
||||||||
|
4.30%, 4/1/2042
|
250,000 | 281,226 | ||||||
|
6.13%, 9/15/2037
|
115,000 | 160,595 | ||||||
|
Scottish Power, Ltd.
5.38%, 3/15/2015 |
100,000 | 104,830 | ||||||
|
South Carolina Electric & Gas Co.
5.45%, 2/1/2041 |
100,000 | 123,967 | ||||||
|
Southern California Edison Co.:
|
||||||||
|
3.88%, 6/1/2021
|
70,000 | 79,034 | ||||||
|
5.50%, 3/15/2040
|
500,000 | 647,931 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
HOUSEHOLD DURABLES — 0.0% (b)
|
||||||||
|
Newell Rubbermaid, Inc.
4.70%, 8/15/2020 |
$ | 100,000 | $ | 108,997 | ||||
|
HOUSEHOLD PRODUCTS — 0.2%
|
||||||||
|
Colgate-Palmolive
Co.:
|
||||||||
|
1.30%, 1/15/2017 (a)
|
100,000 | 101,974 | ||||||
|
1.95%, 2/1/2023
|
100,000 | 97,810 | ||||||
|
Fortune Brands, Inc.
6.38%, 6/15/2014 |
100,000 | 109,083 | ||||||
|
Kimberly-Clark
Corp.:
|
||||||||
|
2.40%, 3/1/2022
|
100,000 | 101,625 | ||||||
|
5.30%, 3/1/2041 (a)
|
45,000 | 57,947 | ||||||
|
The Procter & Gamble Co.:
|
||||||||
|
1.80%, 11/15/2015 (a)
|
350,000 | 362,311 | ||||||
|
5.55%, 3/5/2037 (a)
|
100,000 | 134,225 | ||||||
| 964,975 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.1%
|
||||||||
|
Cooper US, Inc.
3.88%, 12/15/2020 |
50,000 | 54,600 | ||||||
|
General Electric Co.
5.25%, 12/6/2017 |
250,000 | 294,772 | ||||||
|
Koninklijke Philips Electronics NV
3.75%, 3/15/2022 (a) |
100,000 | 107,948 | ||||||
|
Tyco Electronics Group SA
4.88%, 1/15/2021 |
100,000 | 109,906 | ||||||
| 567,226 | ||||||||
|
INSURANCE — 0.9%
|
||||||||
|
ACE INA Holdings, Inc.
5.70%, 2/15/2017 |
100,000 | 118,498 | ||||||
|
Aflac, Inc.
3.45%, 8/15/2015 (a) |
100,000 | 106,890 | ||||||
|
American International Group, Inc.:
|
||||||||
|
5.45%, 5/18/2017
|
490,000 | 556,252 | ||||||
|
8.18%, 5/15/2058 (d)
|
100,000 | 122,500 | ||||||
|
8.25%, 8/15/2018
|
250,000 | 320,474 | ||||||
|
AON Corp.
3.13%, 5/27/2016 |
100,000 | 105,646 | ||||||
|
Berkshire Hathaway, Inc.:
|
||||||||
|
1.90%, 1/31/2017 (a)
|
500,000 | 516,857 | ||||||
|
3.75%, 8/15/2021 (a)
|
100,000 | 109,407 | ||||||
|
CNA Financial Corp.
7.35%, 11/15/2019 |
100,000 | 123,810 | ||||||
|
Genworth Financial, Inc.
7.70%, 6/15/2020 (a) |
100,000 | 103,000 | ||||||
|
Hartford Financial Services Group, Inc.:
|
||||||||
|
4.00%, 3/30/2015
|
100,000 | 105,199 | ||||||
|
6.63%, 3/30/2040
|
100,000 | 118,865 | ||||||
|
Lincoln National Corp.
6.30%, 10/9/2037 |
100,000 | 114,342 | ||||||
|
Marsh & McLennan Cos., Inc.
5.75%, 9/15/2015 |
100,000 | 112,056 | ||||||
|
MetLife, Inc.:
|
||||||||
|
5.70%, 6/15/2035
|
305,000 | 370,892 | ||||||
|
6.75%, 6/1/2016
|
500,000 | 595,657 | ||||||
|
Prudential Financial, Inc.:
|
||||||||
|
3.88%, 1/14/2015
|
135,000 | 143,244 | ||||||
|
4.50%, 11/16/2021
|
600,000 | 659,399 | ||||||
|
5.80%, 11/16/2041 (a)
|
50,000 | 57,259 | ||||||
|
The Allstate Corp.:
|
||||||||
|
5.20%, 1/15/2042
|
250,000 | 298,440 | ||||||
|
5.95%, 4/1/2036 (a)
|
165,000 | 213,357 | ||||||
|
The Travelers Cos., Inc.:
|
||||||||
|
3.90%, 11/1/2020 (a)
|
100,000 | 111,835 | ||||||
|
5.75%, 12/15/2017
|
250,000 | 303,280 | ||||||
|
Willis Group Holdings PLC
5.75%, 3/15/2021 |
100,000 | 112,771 | ||||||
|
WR Berkley Corp.
4.63%, 3/15/2022 |
100,000 | 105,380 | ||||||
|
XLIT Ltd.
5.75%, 10/1/2021 |
100,000 | 115,259 | ||||||
| 5,720,569 | ||||||||
|
INTERNET SOFTWARE &
SERVICES — 0.0% (b)
|
||||||||
|
eBay, Inc.:
|
||||||||
|
0.70%, 7/15/2015 (a)
|
38,000 | 38,147 | ||||||
|
0.88%, 10/15/2013
|
35,000 | 35,212 | ||||||
|
Google, Inc.
2.13%, 5/19/2016 |
100,000 | 104,991 | ||||||
| 178,350 | ||||||||
|
IT SERVICES — 0.2%
|
||||||||
|
Fiserv, Inc.
3.13%, 6/15/2016 |
100,000 | 104,799 | ||||||
|
International Business Machines Corp.:
|
||||||||
|
0.55%, 2/6/2015
|
500,000 | 501,051 | ||||||
|
5.70%, 9/14/2017
|
210,000 | 255,527 | ||||||
|
5.88%, 11/29/2032
|
165,000 | 225,047 | ||||||
| 1,086,424 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.0% (b)
|
||||||||
|
Mattel, Inc.
2.50%, 11/1/2016 (a) |
100,000 | 104,227 | ||||||
|
LIFE SCIENCES TOOLS &
SERVICES — 0.1%
|
||||||||
|
Thermo Fisher Scientific, Inc.:
|
||||||||
|
2.05%, 2/21/2014
|
30,000 | 30,521 | ||||||
|
2.25%, 8/15/2016
|
350,000 | 361,434 | ||||||
|
3.15%, 1/15/2023
|
100,000 | 103,220 | ||||||
| 495,175 | ||||||||
|
MACHINERY — 0.3%
|
||||||||
|
Caterpillar, Inc.:
|
||||||||
|
3.80%, 8/15/2042 (a)(c)
|
100,000 | 101,626 | ||||||
|
6.05%, 8/15/2036 (a)
|
165,000 | 221,579 | ||||||
|
Danaher Corp.
2.30%, 6/23/2016 |
100,000 | 104,443 | ||||||
|
Deere & Co.
3.90%, 6/9/2042 |
150,000 | 153,634 | ||||||
|
Illinois Tool Works, Inc.:
|
||||||||
|
3.90%, 9/1/2042
|
100,000 | 101,018 | ||||||
|
4.88%, 9/15/2041
|
100,000 | 117,390 | ||||||
|
Ingersoll-Rand
Global Holding Co., Ltd.
6.88%, 8/15/2018 |
100,000 | 122,952 | ||||||
|
John Deere Capital Corp.
2.80%, 9/18/2017 (a) |
400,000 | 429,140 | ||||||
|
Snap-On, Inc.
4.25%, 1/15/2018 |
100,000 | 109,496 | ||||||
|
Stanley Black & Decker, Inc.
3.40%, 12/1/2021 (a) |
60,000 | 62,952 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Xylem, Inc.
3.55%, 9/20/2016 |
$ | 150,000 | $ | 159,239 | ||||
| 1,683,469 | ||||||||
|
MEDIA — 1.2%
|
||||||||
|
CBS Corp.
8.88%, 5/15/2019 |
200,000 | 270,975 | ||||||
|
Comcast Corp.:
|
||||||||
|
5.15%, 3/1/2020
|
250,000 | 297,613 | ||||||
|
6.40%, 5/15/2038
|
310,000 | 398,327 | ||||||
|
6.50%, 1/15/2017
|
330,000 | 400,111 | ||||||
|
Cox Communications, Inc.
5.45%, 12/15/2014 |
100,000 | 110,052 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.:
|
||||||||
|
5.20%, 3/15/2020
|
515,000 | 583,276 | ||||||
|
6.38%, 3/1/2041
|
150,000 | 176,949 | ||||||
|
Discovery Communications LLC:
|
||||||||
|
4.38%, 6/15/2021
|
100,000 | 112,354 | ||||||
|
6.35%, 6/1/2040
|
250,000 | 315,192 | ||||||
|
NBCUniversal Media LLC:
|
||||||||
|
3.65%, 4/30/2015
|
75,000 | 80,229 | ||||||
|
5.15%, 4/30/2020
|
335,000 | 397,533 | ||||||
|
News America, Inc.:
|
||||||||
|
4.50%, 2/15/2021 (a)
|
250,000 | 281,759 | ||||||
|
6.15%, 3/1/2037
|
240,000 | 287,760 | ||||||
|
Omnicom Group, Inc.
4.45%, 8/15/2020 |
285,000 | 316,142 | ||||||
|
The Walt Disney Co.:
|
||||||||
|
0.88%, 12/1/2014
|
250,000 | 252,613 | ||||||
|
2.75%, 8/16/2021 (a)
|
100,000 | 104,511 | ||||||
|
3.75%, 6/1/2021
|
100,000 | 112,690 | ||||||
|
4.38%, 8/16/2041
|
100,000 | 114,580 | ||||||
|
Thomson Reuters Corp.
4.70%, 10/15/2019 (a) |
100,000 | 113,511 | ||||||
|
Time Warner Cable, Inc.:
|
||||||||
|
4.00%, 9/1/2021
|
100,000 | 110,174 | ||||||
|
5.50%, 9/1/2041
|
250,000 | 284,072 | ||||||
|
5.85%, 5/1/2017
|
330,000 | 392,857 | ||||||
|
6.55%, 5/1/2037
|
350,000 | 437,101 | ||||||
|
Time Warner, Inc.:
|
||||||||
|
4.88%, 3/15/2020
|
600,000 | 690,305 | ||||||
|
7.70%, 5/1/2032
|
240,000 | 334,098 | ||||||
|
Viacom, Inc.:
|
||||||||
|
3.50%, 4/1/2017
|
100,000 | 108,988 | ||||||
|
3.88%, 12/15/2021
|
350,000 | 380,696 | ||||||
| 7,464,468 | ||||||||
|
METALS & MINING — 0.7%
|
||||||||
|
Alcoa, Inc.
5.40%, 4/15/2021 (a) |
150,000 | 156,749 | ||||||
|
ArcelorMittal:
|
||||||||
|
4.75%, 2/25/2017
|
350,000 | 343,000 | ||||||
|
5.75%, 3/1/2021 (a)
|
100,000 | 95,000 | ||||||
|
Barrick Gold Corp.
2.90%, 5/30/2016 (a) |
250,000 | 261,422 | ||||||
|
Barrick North America Finance LLC
5.70%, 5/30/2041 |
100,000 | 115,091 | ||||||
|
Barrick PD Australia Finance Pty Ltd.
4.95%, 1/15/2020 |
100,000 | 112,275 | ||||||
|
BHP Billiton Finance USA, Ltd.:
|
||||||||
|
2.88%, 2/24/2022
|
250,000 | 257,428 | ||||||
|
5.50%, 4/1/2014
|
350,000 | 375,079 | ||||||
|
6.50%, 4/1/2019
|
100,000 | 127,386 | ||||||
|
Cliffs Natural Resources, Inc.
4.88%, 4/1/2021 (a) |
200,000 | 196,417 | ||||||
|
Freeport-McMoRan
Copper & Gold, Inc.
1.40%, 2/13/2015 |
250,000 | 251,513 | ||||||
|
Newmont Mining Corp.
6.25%, 10/1/2039 |
100,000 | 116,559 | ||||||
|
Nucor Corp.
5.75%, 12/1/2017 (a) |
250,000 | 302,205 | ||||||
|
Rio Tinto Finance USA PLC:
|
||||||||
|
3.50%, 3/22/2022 (a)
|
250,000 | 261,760 | ||||||
|
4.75%, 3/22/2042
|
250,000 | 272,569 | ||||||
|
Rio Tinto Finance USA, Ltd.:
|
||||||||
|
1.88%, 11/2/2015
|
300,000 | 308,791 | ||||||
|
3.75%, 9/20/2021
|
100,000 | 106,769 | ||||||
|
Teck Resources, Ltd.:
|
||||||||
|
2.50%, 2/1/2018
|
100,000 | 100,594 | ||||||
|
3.75%, 2/1/2023 (a)
|
100,000 | 98,415 | ||||||
|
6.25%, 7/15/2041
|
200,000 | 215,978 | ||||||
|
10.75%, 5/15/2019
|
50,000 | 60,250 | ||||||
|
Vale Overseas, Ltd.
6.88%, 11/21/2036 |
330,000 | 383,729 | ||||||
| 4,518,979 | ||||||||
|
MULTI-UTILITIES — 0.2%
|
||||||||
|
Dominion Resources, Inc.:
|
||||||||
|
1.80%, 3/15/2014
|
100,000 | 101,825 | ||||||
|
4.90%, 8/1/2041 (a)
|
250,000 | 290,063 | ||||||
|
6.40%, 6/15/2018
|
250,000 | 312,384 | ||||||
|
MidAmerican Energy Holdings Co.
6.13%, 4/1/2036 |
255,000 | 325,970 | ||||||
|
Sempra Energy
2.30%, 4/1/2017 |
150,000 | 154,670 | ||||||
| 1,184,912 | ||||||||
|
MULTILINE RETAIL — 0.1%
|
||||||||
|
Macy’s Retail Holdings, Inc.:
|
||||||||
|
5.75%, 7/15/2014
|
60,000 | 64,883 | ||||||
|
6.70%, 7/15/2034
|
50,000 | 59,983 | ||||||
|
Nordstrom, Inc.
4.00%, 10/15/2021 |
100,000 | 111,914 | ||||||
|
Target Corp.:
|
||||||||
|
2.90%, 1/15/2022
|
250,000 | 262,737 | ||||||
|
7.00%, 1/15/2038
|
220,000 | 321,536 | ||||||
| 821,053 | ||||||||
|
OFFICE ELECTRONICS — 0.1%
|
||||||||
|
Xerox Corp.
2.95%, 3/15/2017 (a) |
300,000 | 307,820 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 2.6%
|
||||||||
|
Anadarko Petroleum Corp.:
|
||||||||
|
5.95%, 9/15/2016
|
380,000 | 439,466 | ||||||
|
6.45%, 9/15/2036
|
100,000 | 123,135 | ||||||
|
Apache Corp.:
|
||||||||
|
5.10%, 9/1/2040
|
100,000 | 117,983 | ||||||
|
5.63%, 1/15/2017
|
250,000 | 296,331 | ||||||
|
Baker Hughes, Inc.
3.20%, 8/15/2021 |
150,000 | 162,812 | ||||||
|
BP Capital Markets PLC:
|
||||||||
|
1.70%, 12/5/2014 (a)
|
500,000 | 511,114 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
3.56%, 11/1/2021
|
$ | 100,000 | $ | 107,915 | ||||
|
4.74%, 3/11/2021
|
200,000 | 232,820 | ||||||
|
Canadian Natural Resources, Ltd.:
|
||||||||
|
6.25%, 3/15/2038
|
105,000 | 137,228 | ||||||
|
6.50%, 2/15/2037
|
250,000 | 331,977 | ||||||
|
Cenovus Energy, Inc.:
|
||||||||
|
4.45%, 9/15/2042
|
100,000 | 103,150 | ||||||
|
4.50%, 9/15/2014
|
100,000 | 106,680 | ||||||
|
CenterPoint Energy Resources Corp.
6.13%, 11/1/2017 |
100,000 | 119,412 | ||||||
|
Chevron Corp.
3.95%, 3/3/2014 |
100,000 | 104,898 | ||||||
|
Conoco, Inc.
6.95%, 4/15/2029 |
100,000 | 141,285 | ||||||
|
ConocoPhillips Canada Funding Co.
5.63%, 10/15/2016 |
580,000 | 683,891 | ||||||
|
Devon Energy Corp.:
|
||||||||
|
6.30%, 1/15/2019
|
100,000 | 122,715 | ||||||
|
7.95%, 4/15/2032
|
200,000 | 295,405 | ||||||
|
Encana Corp.:
|
||||||||
|
5.15%, 11/15/2041 (a)
|
150,000 | 155,483 | ||||||
|
5.90%, 12/1/2017
|
100,000 | 118,346 | ||||||
|
Energy Transfer Partners LP:
|
||||||||
|
6.50%, 2/1/2042
|
250,000 | 295,626 | ||||||
|
6.70%, 7/1/2018
|
100,000 | 118,355 | ||||||
|
Ensco PLC
4.70%, 3/15/2021 (a) |
100,000 | 112,709 | ||||||
|
Enterprise Products Operating LLC:
|
||||||||
|
3.20%, 2/1/2016 (a)
|
500,000 | 527,020 | ||||||
|
4.85%, 8/15/2042
|
250,000 | 259,495 | ||||||
|
5.20%, 9/1/2020 (a)
|
200,000 | 234,831 | ||||||
|
EOG Resources, Inc.
4.10%, 2/1/2021 (a) |
100,000 | 112,866 | ||||||
|
FMC Technologies, Inc.
2.00%, 10/1/2017 |
100,000 | 101,045 | ||||||
|
Halliburton Co.
7.45%, 9/15/2039 |
100,000 | 154,069 | ||||||
|
Hess Corp.
5.60%, 2/15/2041 |
350,000 | 404,375 | ||||||
|
Husky Energy, Inc.
3.95%, 4/15/2022 (a) |
250,000 | 265,219 | ||||||
|
Kinder Morgan Energy Partners LP:
|
||||||||
|
3.95%, 9/1/2022 (a)
|
500,000 | 531,494 | ||||||
|
5.63%, 9/1/2041
|
50,000 | 56,307 | ||||||
|
5.80%, 3/15/2035
|
175,000 | 195,984 | ||||||
|
Marathon Oil Corp.
6.80%, 3/15/2032 |
100,000 | 129,416 | ||||||
|
Marathon Petroleum Corp.:
|
||||||||
|
3.50%, 3/1/2016
|
55,000 | 58,309 | ||||||
|
6.50%, 3/1/2041
|
25,000 | 30,556 | ||||||
|
Nexen, Inc.
5.88%, 3/10/2035 |
100,000 | 118,628 | ||||||
|
Noble Holding International, Ltd.:
|
||||||||
|
3.05%, 3/1/2016
|
100,000 | 104,358 | ||||||
|
3.95%, 3/15/2022
|
100,000 | 104,928 | ||||||
|
Occidental Petroleum Corp.:
|
||||||||
|
1.50%, 2/15/2018
|
400,000 | 407,678 | ||||||
|
2.50%, 2/1/2016
|
100,000 | 104,971 | ||||||
|
ONEOK Partners LP
6.13%, 2/1/2041 |
100,000 | 119,142 | ||||||
|
ONEOK, Inc.
4.25%, 2/1/2022 (a) |
250,000 | 268,760 | ||||||
|
Pemex Project Funding Master Trust:
|
||||||||
|
5.75%, 3/1/2018 (a)
|
100,000 | 117,500 | ||||||
|
6.63%, 6/15/2035
|
215,000 | 268,750 | ||||||
|
Petro-Canada
5.95%, 5/15/2035 (a) |
100,000 | 122,679 | ||||||
|
Petrobras International Finance Co.:
|
||||||||
|
3.50%, 2/6/2017
|
600,000 | 625,494 | ||||||
|
3.88%, 1/27/2016
|
100,000 | 105,458 | ||||||
|
5.75%, 1/20/2020
|
105,000 | 119,973 | ||||||
|
6.88%, 1/20/2040
|
105,000 | 132,251 | ||||||
|
Petroleos Mexicanos
4.88%, 1/24/2022 (a) |
500,000 | 565,000 | ||||||
|
Phillips 66
5.88%, 5/1/2042 (c) |
250,000 | 296,113 | ||||||
|
Plains All American Pipeline LP/PAA Finance Corp.
6.50%, 5/1/2018 |
100,000 | 122,295 | ||||||
|
Shell International Finance BV:
|
||||||||
|
1.13%, 8/21/2017
|
100,000 | 100,354 | ||||||
|
3.10%, 6/28/2015
|
300,000 | 319,855 | ||||||
|
6.38%, 12/15/2038
|
220,000 | 316,179 | ||||||
|
Southern Natural Gas Co.
5.90%, 4/1/2017 (c) |
580,000 | 674,696 | ||||||
|
Spectra Energy Capital LLC
8.00%, 10/1/2019 |
100,000 | 129,979 | ||||||
|
Statoil ASA:
|
||||||||
|
3.13%, 8/17/2017
|
100,000 | 109,688 | ||||||
|
3.15%, 1/23/2022
|
50,000 | 53,422 | ||||||
|
4.25%, 11/23/2041
|
50,000 | 54,761 | ||||||
|
5.10%, 8/17/2040
|
225,000 | 276,688 | ||||||
|
Suncor Energy, Inc.
6.10%, 6/1/2018 (a) |
200,000 | 245,516 | ||||||
|
Talisman Energy, Inc.
3.75%, 2/1/2021 |
150,000 | 155,967 | ||||||
|
Total Capital Canada, Ltd.
1.63%, 1/28/2014 (a) |
100,000 | 101,564 | ||||||
|
Total Capital International SA
2.88%, 2/17/2022 |
350,000 | 364,245 | ||||||
|
TransCanada PipeLines, Ltd.:
|
||||||||
|
2.50%, 8/1/2022
|
100,000 | 100,539 | ||||||
|
6.10%, 6/1/2040
|
100,000 | 137,190 | ||||||
|
6.50%, 8/15/2018
|
250,000 | 313,916 | ||||||
|
Transocean, Inc.:
|
||||||||
|
6.00%, 3/15/2018
|
55,000 | 64,057 | ||||||
|
6.80%, 3/15/2038
|
250,000 | 301,572 | ||||||
|
Valero Energy Corp.:
|
||||||||
|
6.13%, 2/1/2020 (a)
|
65,000 | 78,814 | ||||||
|
6.63%, 6/15/2037
|
100,000 | 121,078 | ||||||
|
Williams Partners LP:
|
||||||||
|
3.35%, 8/15/2022 (a)
|
100,000 | 102,643 | ||||||
|
5.25%, 3/15/2020
|
110,000 | 125,730 | ||||||
| 15,952,153 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.1%
|
||||||||
|
Domtar Corp.
6.25%, 9/1/2042 |
100,000 | 101,871 | ||||||
|
Georgia-Pacific LLC
7.25%, 6/1/2028 |
190,000 | 240,536 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
International Paper Co.
7.50%, 8/15/2021 (a) |
$ | 250,000 | $ | 325,961 | ||||
| 668,368 | ||||||||
|
PERSONAL PRODUCTS — 0.0% (b)
|
||||||||
|
The Estee Lauder Cos., Inc.
3.70%, 8/15/2042 |
100,000 | 98,529 | ||||||
|
PHARMACEUTICALS — 0.8%
|
||||||||
|
Abbott Laboratories:
|
||||||||
|
5.13%, 4/1/2019
|
250,000 | 300,982 | ||||||
|
6.00%, 4/1/2039
|
250,000 | 346,991 | ||||||
|
Aristotle Holding, Inc.
3.90%, 2/15/2022 (c) |
250,000 | 271,712 | ||||||
|
AstraZeneca PLC:
|
||||||||
|
5.90%, 9/15/2017
|
150,000 | 182,926 | ||||||
|
6.45%, 9/15/2037 (a)
|
75,000 | 102,485 | ||||||
|
Bristol-Myers
Squibb Co.
6.13%, 5/1/2038 |
250,000 | 341,410 | ||||||
|
Eli Lilly & Co.
5.20%, 3/15/2017 |
225,000 | 265,751 | ||||||
|
GlaxoSmithKline Capital, Inc.
6.38%, 5/15/2038 |
355,000 | 499,268 | ||||||
|
Johnson & Johnson:
|
||||||||
|
2.15%, 5/15/2016
|
100,000 | 104,699 | ||||||
|
3.55%, 5/15/2021
|
250,000 | 282,919 | ||||||
|
4.85%, 5/15/2041 (a)
|
100,000 | 127,205 | ||||||
|
Novartis Securities Investment, Ltd.
5.13%, 2/10/2019 |
300,000 | 360,912 | ||||||
|
Pfizer, Inc.:
|
||||||||
|
5.35%, 3/15/2015
|
500,000 | 557,676 | ||||||
|
6.20%, 3/15/2019
|
135,000 | 170,692 | ||||||
|
Sanofi
2.63%, 3/29/2016 |
100,000 | 105,636 | ||||||
|
Schering-Plough Corp.
6.00%, 9/15/2017 |
305,000 | 376,378 | ||||||
|
Teva Pharmaceutical Finance IV BV
3.65%, 11/10/2021 |
50,000 | 53,989 | ||||||
|
Teva Pharmaceutical Finance IV LLC
1.70%, 11/10/2014 |
100,000 | 102,216 | ||||||
|
Wyeth
5.95%, 4/1/2037 |
240,000 | 322,156 | ||||||
| 4,876,003 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 0.4%
|
||||||||
|
Boston Properties LP
4.13%, 5/15/2021 |
100,000 | 107,404 | ||||||
|
Camden Property Trust
4.88%, 6/15/2023 |
250,000 | 287,252 | ||||||
|
Digital Realty Trust LP
3.63%, 10/1/2022 |
100,000 | 100,309 | ||||||
|
Duke Realty LP
6.75%, 3/15/2020 |
25,000 | 29,950 | ||||||
|
ERP Operating LP
5.13%, 3/15/2016 |
250,000 | 280,401 | ||||||
|
HCP, Inc.
5.38%, 2/1/2021 |
100,000 | 113,691 | ||||||
|
Health Care REIT, Inc.:
|
||||||||
|
4.13%, 4/1/2019
|
500,000 | 531,653 | ||||||
|
5.25%, 1/15/2022
|
100,000 | 111,102 | ||||||
|
ProLogis LP
7.63%, 8/15/2014 |
100,000 | 110,498 | ||||||
|
Realty Income Corp.
5.88%, 3/15/2035 |
50,000 | 56,502 | ||||||
|
Simon Property Group LP:
|
||||||||
|
2.15%, 9/15/2017
|
500,000 | 516,318 | ||||||
|
4.20%, 2/1/2015 (a)
|
300,000 | 319,681 | ||||||
|
Vornado Realty LP
4.25%, 4/1/2015 (a) |
100,000 | 105,019 | ||||||
| 2,669,780 | ||||||||
|
ROAD & RAIL — 0.4%
|
||||||||
|
Burlington Northern Santa Fe LLC:
|
||||||||
|
3.45%, 9/15/2021
|
350,000 | 373,391 | ||||||
|
4.38%, 9/1/2042 (a)
|
100,000 | 105,382 | ||||||
|
4.95%, 9/15/2041
|
100,000 | 112,163 | ||||||
|
Canadian National Railway Co.
2.85%, 12/15/2021 |
100,000 | 104,117 | ||||||
|
Canadian Pacific Railway, Ltd.
4.50%, 1/15/2022 |
100,000 | 110,898 | ||||||
|
CSX Corp.:
|
||||||||
|
6.15%, 5/1/2037
|
165,000 | 209,790 | ||||||
|
6.25%, 4/1/2015 (a)
|
250,000 | 283,258 | ||||||
|
Norfolk Southern Corp.
7.70%, 5/15/2017 |
230,000 | 290,732 | ||||||
|
Ryder System, Inc.
2.50%, 3/1/2018 |
100,000 | 100,856 | ||||||
|
Union Pacific Corp.:
|
||||||||
|
5.78%, 7/15/2040
|
200,000 | 251,816 | ||||||
|
6.13%, 2/15/2020
|
100,000 | 124,739 | ||||||
|
United Parcel Service, Inc.
1.13%, 10/1/2017 (a) |
50,000 | 50,230 | ||||||
| 2,117,372 | ||||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 0.1% |
||||||||
|
Applied Materials, Inc.
5.85%, 6/15/2041 |
100,000 | 124,214 | ||||||
|
Broadcom Corp.
2.50%, 8/15/2022 (c) |
100,000 | 100,105 | ||||||
|
Intel Corp.
4.80%, 10/1/2041 |
185,000 | 217,260 | ||||||
|
Texas Instruments, Inc.:
|
||||||||
|
0.45%, 8/3/2015
|
100,000 | 99,691 | ||||||
|
2.38%, 5/16/2016 (a)
|
100,000 | 105,504 | ||||||
| 646,774 | ||||||||
|
SOFTWARE — 0.2%
|
||||||||
|
Microsoft Corp.
3.00%, 10/1/2020 |
400,000 | 439,124 | ||||||
|
Oracle Corp.:
|
||||||||
|
5.75%, 4/15/2018
|
200,000 | 247,046 | ||||||
|
6.13%, 7/8/2039 (a)
|
350,000 | 483,571 | ||||||
| 1,169,741 | ||||||||
|
SPECIALTY RETAIL — 0.2%
|
||||||||
|
Kohl’s Corp.
3.25%, 2/1/2023 |
100,000 | 102,767 | ||||||
|
Lowe’s Cos., Inc.:
|
||||||||
|
2.13%, 4/15/2016 (a)
|
100,000 | 103,879 | ||||||
|
5.50%, 10/15/2035
|
250,000 | 295,117 | ||||||
|
Staples, Inc.
9.75%, 1/15/2014 |
100,000 | 110,776 | ||||||
|
The Home Depot, Inc.:
|
||||||||
|
5.40%, 3/1/2016
|
255,000 | 292,774 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
5.95%, 4/1/2041
|
$ | 250,000 | $ | 339,711 | ||||
| 1,245,024 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.1%
|
||||||||
|
Murray Street Investment Trust I
4.65%, 3/9/2017 |
500,000 | 536,557 | ||||||
|
Santander Holdings USA, Inc.
3.00%, 9/24/2015 |
30,000 | 30,133 | ||||||
| 566,690 | ||||||||
|
TOBACCO — 0.2%
|
||||||||
|
Altria Group, Inc.:
|
||||||||
|
4.13%, 9/11/2015
|
250,000 | 272,917 | ||||||
|
9.70%, 11/10/2018
|
68,000 | 97,092 | ||||||
|
9.95%, 11/10/2038
|
100,000 | 167,164 | ||||||
|
Lorillard Tobacco Co.:
|
||||||||
|
2.30%, 8/21/2017
|
100,000 | 100,550 | ||||||
|
3.50%, 8/4/2016 (a)
|
45,000 | 47,517 | ||||||
|
Philip Morris International, Inc.
2.90%, 11/15/2021 |
500,000 | 518,791 | ||||||
|
Reynolds American, Inc.
7.63%, 6/1/2016 |
100,000 | 120,653 | ||||||
| 1,324,684 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 1.0%
|
||||||||
|
America Movil SAB de CV:
|
||||||||
|
2.38%, 9/8/2016
|
500,000 | 519,330 | ||||||
|
5.00%, 3/30/2020
|
100,000 | 116,714 | ||||||
|
6.13%, 3/30/2040
|
100,000 | 130,583 | ||||||
|
American Tower Corp.
5.90%, 11/1/2021 |
100,000 | 118,638 | ||||||
|
AT&T Corp.
8.00%, 11/15/2031 |
16,000 | 24,747 | ||||||
|
AT&T, Inc.:
|
||||||||
|
2.40%, 8/15/2016
|
150,000 | 158,070 | ||||||
|
4.45%, 5/15/2021
|
700,000 | 821,998 | ||||||
|
5.35%, 9/1/2040
|
320,000 | 384,182 | ||||||
|
5.63%, 6/15/2016 (a)
|
200,000 | 232,924 | ||||||
|
BellSouth Corp.
6.55%, 6/15/2034 |
600,000 | 730,210 | ||||||
|
Cellco Partnership/Verizon Wireless Capital LLC
5.55%, 2/1/2014 |
400,000 | 425,421 | ||||||
|
Deutsche Telekom International
Finance BV 6.75%, 8/20/2018 (a) |
410,000 | 511,670 | ||||||
|
France Telecom SA:
|
||||||||
|
2.13%, 9/16/2015 (a)
|
100,000 | 102,740 | ||||||
|
4.13%, 9/14/2021 (a)
|
350,000 | 385,393 | ||||||
|
Rogers Communications, Inc.
6.80%, 8/15/2018 |
150,000 | 188,465 | ||||||
|
Telecom Italia Capital
5.25%, 10/1/2015 |
200,000 | 210,000 | ||||||
|
Telecom Italia Capital SA
7.72%, 6/4/2038 |
350,000 | 350,875 | ||||||
|
Telefonica Emisiones SAU
4.95%, 1/15/2015 |
210,000 | 214,200 | ||||||
|
US Cellular Corp.
6.70%, 12/15/2033 |
200,000 | 208,970 | ||||||
|
Vodafone Group PLC
5.63%, 2/27/2017 |
490,000 | 580,900 | ||||||
| 6,416,030 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $141,355,329)
|
151,199,115 | |||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 1.9%
|
||||||||
|
Brazilian Government International Bond:
|
||||||||
|
4.88%, 1/22/2021
|
850,000 | 1,018,725 | ||||||
|
7.88%, 3/7/2015 (e)
|
100,000 | 116,600 | ||||||
|
11.00%, 8/17/2040 (e)
|
150,000 | 191,475 | ||||||
|
Canada Government International Bond
0.88%, 2/14/2017 |
250,000 | 253,054 | ||||||
|
Chile Government International Bond
3.25%, 9/14/2021 |
100,000 | 108,088 | ||||||
|
China Development Bank Corp.
5.00%, 10/15/2015 |
100,000 | 109,764 | ||||||
|
Colombia Government International Bond:
|
||||||||
|
7.38%, 3/18/2019
|
200,000 | 265,200 | ||||||
|
7.38%, 9/18/2037
|
250,000 | 383,750 | ||||||
|
Export Development Canada
2.25%, 5/28/2015 |
200,000 | 210,230 | ||||||
|
Federal Republic of Brazil
8.25%, 1/20/2034 |
360,000 | 594,900 | ||||||
|
Israel Government International Bond:
|
||||||||
|
4.00%, 6/30/2022
|
100,000 | 105,750 | ||||||
|
5.13%, 3/26/2019
|
100,000 | 115,250 | ||||||
|
Japan Bank for International Cooperation
1.13%, 7/19/2017 |
200,000 | 201,310 | ||||||
|
Japan Finance Corp.
2.25%, 7/13/2016 |
250,000 | 264,138 | ||||||
|
Japan Finance Organization for Municipalities
4.00%, 1/13/2021 |
100,000 | 116,744 | ||||||
|
Mexico Government International Bond:
|
||||||||
|
3.63%, 3/15/2022
|
934,000 | 1,019,461 | ||||||
|
5.75%, 10/12/2110
|
300,000 | 357,000 | ||||||
|
5.88%, 2/17/2014 (e)
|
200,000 | 213,800 | ||||||
|
Panama Government International Bond:
|
||||||||
|
5.20%, 1/30/2020 (e)
|
50,000 | 59,750 | ||||||
|
6.70%, 1/26/2036 (e)
|
200,000 | 282,500 | ||||||
|
Poland Government International Bond:
|
||||||||
|
5.00%, 3/23/2022
|
200,000 | 231,586 | ||||||
|
5.13%, 4/21/2021
|
450,000 | 524,250 | ||||||
|
Province of British Columbia
2.10%, 5/18/2016 |
350,000 | 369,781 | ||||||
|
Province of Manitoba
1.38%, 4/28/2014 |
350,000 | 355,825 | ||||||
|
Province of New Brunswick Canada
2.75%, 6/15/2018 |
200,000 | 216,723 | ||||||
|
Province of Nova Scotia Canada
5.13%, 1/26/2017 |
100,000 | 117,022 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Province of Ontario:
|
||||||||
|
2.30%, 5/10/2016
|
$ | 300,000 | $ | 317,148 | ||||
|
3.00%, 7/16/2018
|
1,000,000 | 1,095,922 | ||||||
|
4.10%, 6/16/2014
|
400,000 | 425,479 | ||||||
|
Province of Quebec
7.50%, 9/15/2029 |
455,000 | 703,648 | ||||||
|
Republic of Italy
6.88%, 9/27/2023 |
200,000 | 220,014 | ||||||
|
Republic of Korea
5.75%, 4/16/2014 |
100,000 | 107,344 | ||||||
|
Republic of Peru:
|
||||||||
|
7.13%, 3/30/2019
|
100,000 | 133,000 | ||||||
|
8.75%, 11/21/2033
|
250,000 | 435,625 | ||||||
|
Republic of South Africa
5.50%, 3/9/2020 |
100,000 | 118,750 | ||||||
|
South Africa Government International Bond
4.67%, 1/17/2024 |
250,000 | 281,250 | ||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $10,919,762)
|
11,640,856 | |||||||
|
U.S. GOVERNMENT AGENCY MBS TBA — 29.6%
|
||||||||
|
Fannie Mae
|
||||||||
|
3.00%, 15yr TBA
|
3,550,000 | 3,763,000 | ||||||
|
3.00%, 30yr TBA
|
1,500,000 | 1,583,672 | ||||||
|
3.50%, 15yr TBA
|
3,750,000 | 3,989,648 | ||||||
|
3.50%, 30yr TBA
|
10,200,000 | 10,941,094 | ||||||
|
4.00%, 15yr TBA
|
3,000,000 | 3,206,250 | ||||||
|
4.00%, 30yr TBA
|
11,800,000 | 12,714,500 | ||||||
|
4.50%, 15yr TBA
|
1,250,000 | 1,347,656 | ||||||
|
4.50%, 30yr TBA
|
15,000,000 | 16,232,812 | ||||||
|
5.00%, 15yr TBA
|
2,000,000 | 2,170,625 | ||||||
|
5.00%, 30yr TBA
|
9,500,000 | 10,360,937 | ||||||
|
5.50%, 30yr TBA
|
10,000,000 | 10,964,062 | ||||||
|
6.00%, 30yr TBA
|
5,750,000 | 6,350,156 | ||||||
|
6.50%, 30yr TBA
|
1,500,000 | 1,686,563 | ||||||
|
Freddie Mac
|
||||||||
|
3.00%, 15yr TBA
|
4,000,000 | 4,221,250 | ||||||
|
3.50%, 15yr TBA
|
1,500,000 | 1,586,016 | ||||||
|
3.50%, 30yr TBA
|
2,500,000 | 2,680,762 | ||||||
|
4.00%, 30yr TBA
|
7,500,000 | 8,062,793 | ||||||
|
4.00%, 15yr TBA
|
3,500,000 | 3,719,844 | ||||||
|
4.50%, 30yr TBA
|
9,250,000 | 9,948,086 | ||||||
|
4.50%, 15yr TBA
|
1,750,000 | 1,875,781 | ||||||
|
5.00%, 30yr TBA
|
9,000,000 | 9,753,750 | ||||||
|
5.00%, 15yr TBA
|
500,000 | 540,156 | ||||||
|
5.50%, 30yr TBA (e)
|
6,000,000 | 6,539,062 | ||||||
|
5.50%, 15yr TBA
|
1,000,000 | 1,075,938 | ||||||
|
6.00%, 30yr TBA
|
3,750,000 | 4,120,313 | ||||||
|
6.50%, 30yr TBA
|
2,000,000 | 2,238,125 | ||||||
|
Ginnie Mae
|
||||||||
|
3.50%, 30yr TBA
|
5,500,000 | 6,028,516 | ||||||
|
4.00%, 30yr TBA
|
7,350,000 | 8,105,672 | ||||||
|
4.50%, 30yr TBA
|
11,000,000 | 12,072,500 | ||||||
|
5.00%, 30yr TBA
|
8,000,000 | 8,820,000 | ||||||
|
5.50%, 30yr TBA
|
4,000,000 | 4,445,625 | ||||||
|
6.00%, 30yr TBA
|
2,000,000 | 2,258,750 | ||||||
|
6.50%, 30yr TBA
|
750,000 | 867,188 | ||||||
|
TOTAL U.S. GOVERNMENT AGENCY MBS
TBA —
|
||||||||
|
(Cost $183,526,434)
|
184,271,102 | |||||||
|
U.S. GOVERNMENT AGENCY
OBLIGATIONS — 4.9%
|
||||||||
|
Federal Home Loan Bank
|
||||||||
|
0.45%, 8/7/2014
|
1,000,000 | 1,000,020 | ||||||
|
0.88%, 12/27/2013
|
250,000 | 251,890 | ||||||
|
1.38%, 5/28/2014
|
750,000 | 763,856 | ||||||
|
4.75%, 12/16/2016 (a)
|
500,000 | 587,524 | ||||||
|
4.88%, 5/17/2017
|
1,200,000 | 1,431,663 | ||||||
|
5.00%, 11/17/2017 (a)
|
300,000 | 364,017 | ||||||
|
5.38%, 5/18/2016
|
1,250,000 | 1,469,859 | ||||||
|
5.50%, 7/15/2036
|
250,000 | 345,241 | ||||||
|
Federal Home Loan Mortgage Corp.
|
||||||||
|
0.38%, 10/30/2013
|
500,000 | 500,767 | ||||||
|
0.40%, 2/27/2014
|
100,000 | 99,917 | ||||||
|
0.50%, 10/18/2013
|
100,000 | 100,013 | ||||||
|
0.55%, 12/27/2013
|
100,000 | 100,068 | ||||||
|
0.55%, 2/27/2015
|
100,000 | 100,124 | ||||||
|
0.63%, 12/23/2013
|
500,000 | 502,215 | ||||||
|
0.63%, 12/29/2014
|
1,000,000 | 1,006,931 | ||||||
|
0.80%, 1/13/2015
|
100,000 | 100,662 | ||||||
|
0.85%, 1/9/2015
|
100,000 | 100,158 | ||||||
|
0.88%, 12/19/2014
|
100,000 | 100,133 | ||||||
|
1.00%, 7/30/2014 (a)
|
2,000,000 | 2,027,524 | ||||||
|
1.00%, 12/5/2014
|
100,000 | 100,130 | ||||||
|
1.00%, 12/19/2014
|
100,000 | 100,179 | ||||||
|
1.00%, 6/30/2015
|
100,000 | 100,778 | ||||||
|
1.00%, 2/24/2016
|
100,000 | 100,873 | ||||||
|
1.00%, 3/8/2017
|
1,000,000 | 1,015,124 | ||||||
|
1.10%, 7/25/2017
|
100,000 | 100,172 | ||||||
|
2.25%, 1/23/2017
|
100,000 | 102,574 | ||||||
|
2.38%, 1/13/2022
|
800,000 | 839,562 | ||||||
|
4.38%, 7/17/2015 (a)
|
500,000 | 555,891 | ||||||
|
4.50%, 4/2/2014
|
500,000 | 531,726 | ||||||
|
5.00%, 4/18/2017
|
723,000 | 863,039 | ||||||
|
6.75%, 3/15/2031
|
450,000 | 700,943 | ||||||
|
Federal National Mortgage Association
|
||||||||
|
0.50%, 12/27/2013
|
100,000 | 99,968 | ||||||
|
0.60%, 10/25/2013
|
100,000 | 100,001 | ||||||
|
0.60%, 11/14/2013
|
500,000 | 500,193 | ||||||
|
0.63%, 12/6/2013
|
200,000 | 200,026 | ||||||
|
0.75%, 12/18/2013
|
2,000,000 | 2,012,034 | ||||||
|
0.75%, 12/19/2014
|
2,500,000 | 2,524,124 | ||||||
|
0.75%, 12/28/2015
|
300,000 | 300,258 | ||||||
|
0.85%, 7/18/2016
|
100,000 | 100,103 | ||||||
|
1.13%, 10/8/2013
|
100,000 | 100,877 | ||||||
|
1.13%, 4/27/2017
|
1,000,000 | 1,020,041 | ||||||
|
1.25%, 4/23/2015
|
250,000 | 251,422 | ||||||
|
1.75%, 11/14/2016
|
100,000 | 100,181 | ||||||
|
1.75%, 1/30/2019
|
100,000 | 101,281 | ||||||
|
2.00%, 9/21/2015
|
250,000 | 261,614 | ||||||
|
2.25%, 3/15/2016
|
300,000 | 317,568 | ||||||
|
2.50%, 5/15/2014
|
1,235,000 | 1,279,830 | ||||||
|
2.63%, 11/20/2014
|
300,000 | 314,851 | ||||||
|
4.50%, 10/1/2040
|
1,205,980 | 1,304,940 | ||||||
|
5.00%, 5/11/2017
|
510,000 | 609,367 | ||||||
|
6.00%, 6/1/2017
|
85,030 | 86,415 | ||||||
|
7.13%, 1/15/2030 (a)
|
525,000 | 835,659 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Government National Mortgage Association
|
||||||||
|
4.00%, 6/15/2040
|
$ | 219,951 | $ | 243,230 | ||||
|
4.50%, 7/15/2039
|
935,338 | 1,028,711 | ||||||
|
Tennessee Valley Authority
|
||||||||
|
3.88%, 2/15/2021
|
65,000 | 76,336 | ||||||
|
5.25%, 9/15/2039
|
450,000 | 596,070 | ||||||
|
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS —
|
||||||||
|
(Cost $29,402,906)
|
30,428,673 | |||||||
|
U.S. TREASURY OBLIGATIONS — 34.1%
|
||||||||
|
Treasury Bonds
|
||||||||
|
3.13%, 11/15/2041
|
3,150,000 | 3,357,585 | ||||||
|
3.13%, 2/15/2042
|
2,250,000 | 2,394,675 | ||||||
|
3.88%, 8/15/2040
|
2,500,000 | 3,056,150 | ||||||
|
4.38%, 5/15/2040
|
3,050,000 | 4,037,438 | ||||||
|
4.38%, 5/15/2041
|
1,600,000 | 2,121,248 | ||||||
|
4.50%, 8/15/2039
|
2,300,000 | 3,097,732 | ||||||
|
4.75%, 2/15/2037
|
3,000,000 | 4,152,420 | ||||||
|
4.75%, 2/15/2041
|
500,000 | 701,170 | ||||||
|
5.25%, 11/15/2028
|
500,000 | 699,840 | ||||||
|
5.38%, 2/15/2031
|
1,700,000 | 2,459,356 | ||||||
|
6.13%, 11/15/2027
|
2,000,000 | 3,010,560 | ||||||
|
6.25%, 8/15/2023
|
1,000,000 | 1,451,260 | ||||||
|
6.50%, 11/15/2026
|
300,000 | 461,385 | ||||||
|
6.88%, 8/15/2025
|
750,000 | 1,169,265 | ||||||
|
7.13%, 2/15/2023
|
1,000,000 | 1,526,490 | ||||||
|
7.50%, 11/15/2016
|
1,015,000 | 1,305,300 | ||||||
|
8.75%, 8/15/2020
|
1,130,000 | 1,775,332 | ||||||
|
8.88%, 8/15/2017
|
713,000 | 996,196 | ||||||
|
9.13%, 5/15/2018
|
500,000 | 731,160 | ||||||
|
Treasury Notes
|
||||||||
|
0.13%, 12/31/2013
|
2,000,000 | 1,997,900 | ||||||
|
0.25%, 2/28/2014
|
3,850,000 | 3,851,887 | ||||||
|
0.25%, 12/15/2014
|
2,200,000 | 2,199,604 | ||||||
|
0.25%, 1/15/2015 (a)
|
2,000,000 | 1,999,440 | ||||||
|
0.25%, 2/15/2015
|
3,750,000 | 3,747,675 | ||||||
|
0.25%, 7/15/2015
|
1,500,000 | 1,497,810 | ||||||
|
0.38%, 3/15/2015
|
2,500,000 | 2,506,100 | ||||||
|
0.50%, 11/15/2013
|
6,000,000 | 6,019,801 | ||||||
|
0.50%, 8/15/2014
|
8,000,000 | 8,038,401 | ||||||
|
0.50%, 7/31/2017
|
500,000 | 497,540 | ||||||
|
0.88%, 12/31/2016
|
3,000,000 | 3,046,650 | ||||||
|
0.88%, 2/28/2017
|
2,250,000 | 2,284,650 | ||||||
|
0.88%, 4/30/2017
|
2,500,000 | 2,535,375 | ||||||
|
0.88%, 7/31/2019
|
500,000 | 495,230 | ||||||
|
1.00%, 5/15/2014
|
8,000,000 | 8,099,040 | ||||||
|
1.00%, 3/31/2017
|
2,750,000 | 2,805,055 | ||||||
|
1.25%, 2/15/2014
|
3,500,000 | 3,549,245 | ||||||
|
1.25%, 4/15/2014
|
2,500,000 | 2,538,875 | ||||||
|
1.38%, 11/30/2018
|
250,000 | 257,680 | ||||||
|
1.38%, 12/31/2018 (a)
|
300,000 | 308,964 | ||||||
|
1.38%, 2/28/2019
|
3,300,000 | 3,393,885 | ||||||
|
1.50%, 12/31/2013
|
300,000 | 304,815 | ||||||
|
1.50%, 6/30/2016
|
10,000,000 | 10,399,400 | ||||||
|
1.50%, 8/31/2018
|
6,000,000 | 6,234,840 | ||||||
|
1.50%, 3/31/2019
|
2,250,000 | 2,329,673 | ||||||
|
1.75%, 5/15/2022 (a)
|
500,000 | 507,070 | ||||||
|
1.88%, 6/30/2015
|
1,750,000 | 1,825,478 | ||||||
|
1.88%, 9/30/2017
|
2,000,000 | 2,122,260 | ||||||
|
2.00%, 11/15/2021
|
900,000 | 939,582 | ||||||
|
2.00%, 2/15/2022
|
1,000,000 | 1,040,160 | ||||||
|
2.13%, 12/31/2015
|
1,800,000 | 1,902,960 | ||||||
|
2.13%, 8/15/2021
|
3,250,000 | 3,437,882 | ||||||
|
2.25%, 7/31/2018
|
1,000,000 | 1,082,510 | ||||||
|
2.38%, 10/31/2014
|
13,555,000 | 14,150,201 | ||||||
|
2.38%, 2/28/2015
|
5,000,000 | 5,252,050 | ||||||
|
2.38%, 7/31/2017
|
5,000,000 | 5,424,200 | ||||||
|
2.63%, 2/29/2016
|
1,500,000 | 1,614,420 | ||||||
|
2.63%, 4/30/2018
|
1,000,000 | 1,102,550 | ||||||
|
2.63%, 8/15/2020
|
3,500,000 | 3,869,250 | ||||||
|
2.63%, 11/15/2020
|
1,500,000 | 1,656,315 | ||||||
|
2.75%, 10/31/2013 (f)
|
2,565,000 | 2,635,486 | ||||||
|
2.75%, 11/30/2016
|
4,380,000 | 4,788,391 | ||||||
|
2.75%, 2/15/2019
|
500,000 | 557,105 | ||||||
|
3.00%, 2/28/2017
|
2,000,000 | 2,215,260 | ||||||
|
3.13%, 10/31/2016
|
2,750,000 | 3,044,250 | ||||||
|
3.13%, 5/15/2019 (f)
|
5,500,000 | 6,270,660 | ||||||
|
3.13%, 5/15/2021
|
1,000,000 | 1,143,360 | ||||||
|
3.38%, 11/15/2019
|
2,500,000 | 2,899,025 | ||||||
|
3.50%, 2/15/2018
|
500,000 | 573,515 | ||||||
|
3.50%, 5/15/2020
|
1,000,000 | 1,170,990 | ||||||
|
3.63%, 8/15/2019
|
500,000 | 587,340 | ||||||
|
3.63%, 2/15/2020
|
500,000 | 589,335 | ||||||
|
3.63%, 2/15/2021
|
3,000,000 | 3,551,790 | ||||||
|
4.00%, 2/15/2014
|
6,100,000 | 6,415,980 | ||||||
|
4.13%, 5/15/2015
|
3,000,000 | 3,299,700 | ||||||
|
4.63%, 11/15/2016
|
2,500,000 | 2,921,375 | ||||||
|
4.75%, 8/15/2017 (a)
|
2,425,000 | 2,908,036 | ||||||
|
5.13%, 5/15/2016
|
810,000 | 946,930 | ||||||
|
TOTAL U.S. TREASURY OBLIGATIONS —
|
||||||||
|
(Cost $203,038,124)
|
211,889,513 | |||||||
|
COMMERCIAL MORTGAGE BACKED
SECURITIES — 1.0%
|
||||||||
|
Bank of America Commercial Mortgage, Inc.
5.89%, 6/10/2049 (d) |
780,000 | 905,968 | ||||||
|
Bear Stearns Commercial Mortgage Securities
4.75%, 2/13/2046 (d) |
550,000 | 587,434 | ||||||
|
GE Capital Commercial Mortgage Corp.
5.54%, 12/10/2049 |
400,000 | 454,015 | ||||||
|
Greenwich Capital Commercial Funding Corp.
4.80%, 8/10/2042 (d) |
250,000 | 268,641 | ||||||
|
GS Mortgage Securities Corp. II:
|
||||||||
|
5.40%, 8/10/2038 (d)
|
250,000 | 265,666 | ||||||
|
5.55%, 4/10/2038 (d)
|
250,000 | 278,579 | ||||||
|
JPMorgan Chase Commercial Mortgage Securities Corp.:
|
||||||||
|
3.14%, 5/15/2045
|
250,000 | 268,732 | ||||||
|
4.87%, 3/15/2046
|
250,000 | 259,124 | ||||||
|
5.44%, 6/12/2047
|
510,000 | 586,924 | ||||||
|
5.81%, 6/12/2043 (d)
|
500,000 | 568,729 | ||||||
|
LB-UBS
Commercial Mortgage Trust
4.37%, 3/15/2036 |
450,000 | 469,272 | ||||||
|
Merrill Lynch/Countrywide Commercial Mortgage Trust
5.38%, 8/12/2048 |
400,000 | 452,294 | ||||||
|
Morgan Stanley Capital I:
|
||||||||
|
5.51%, 11/12/2049 (d)
|
475,000 | 552,077 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
OHIO — 0.1%
|
||||||||
|
Ohio State University
4.91%, 6/1/2040 |
$ | 100,000 | $ | 118,220 | ||||
|
Ohio, American Municipal Power, Inc., Revenue
6.45%, 2/15/2044 |
200,000 | 241,640 | ||||||
| 359,860 | ||||||||
|
PENNSYLVANIA — 0.1%
|
||||||||
|
Pennsylvania, Public School Building Authority Revenue
5.00%, 9/15/2027 |
100,000 | 114,669 | ||||||
|
Pennsylvania, Turnpike Commission Revenue
5.51%, 12/1/2045 |
75,000 | 88,893 | ||||||
| 203,562 | ||||||||
|
PUERTO RICO — 0.0% (b)
|
||||||||
|
Government Development Bank for Puerto Rico
4.38%, 2/1/2019 |
150,000 | 154,047 | ||||||
|
TEXAS — 0.0% (b)
|
||||||||
|
Texas, State Transportation Commission, Revenue,
Series B
5.18%, 4/1/2030 |
100,000 | 121,329 | ||||||
|
WASHINGTON — 0.0% (b)
|
||||||||
|
Washington, State General Obligation
5.14%, 8/1/2040 |
150,000 | 184,040 | ||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $5,023,743)
|
5,407,184 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 33.2%
|
||||||||
|
MONEY MARKET FUNDS — 33.2%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (f)(g)(h) |
187,976,116 | 187,976,116 | ||||||
|
State Street Navigator Securities
Lending Prime Portfolio (g)(i) |
18,329,313 | 18,329,313 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (j)
|
||||||||
|
(Cost $206,305,429)
|
206,305,429 | |||||||
|
TOTAL INVESTMENTS — 131.1% (k)
|
||||||||
|
(Cost $792,072,625)
|
815,216,911 | |||||||
|
OTHER ASSETS &
LIABILITIES — (31.1)% |
(193,440,734 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 621,776,177 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(c)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.3% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(d)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(e)
|
Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Security, or a portion of the security has been designated as collateral for TBA securities. | |||||
|
(g)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(h)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(i)
|
Investments of cash collateral for securities loaned. | |||||
|
(j)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(k)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 99.7%
|
||||||||
|
ALABAMA — 0.9%
|
||||||||
|
Alabama, Auburn University, General Fee Revenue:
|
||||||||
|
Series A 5.00%, 6/1/2036
|
$ | 890,000 | $ | 1,029,258 | ||||
|
5.00%, 6/1/2038 (a)
|
2,200,000 | 2,406,008 | ||||||
|
Alabama, Public School & College Authority Revenue:
|
||||||||
|
5.00%, 12/1/2017
|
4,315,000 | 5,205,185 | ||||||
|
5.00%, 12/1/2023
|
1,500,000 | 1,770,390 | ||||||
| 10,410,841 | ||||||||
|
ALASKA — 0.3%
|
||||||||
|
Alaska, State General Obligation
Series A 5.00%, 8/1/2024 |
2,580,000 | 3,190,325 | ||||||
|
ARIZONA — 3.4%
|
||||||||
|
Arizona, Salt River Project, Agricultural
Improvement & Power District:
|
||||||||
|
Series A 5.00%, 1/1/2016
|
500,000 | 572,320 | ||||||
|
Series A 5.00%, 1/1/2027
|
500,000 | 575,120 | ||||||
|
Series A 5.00%, 12/1/2031
|
12,000,000 | 14,491,680 | ||||||
|
Series A 5.00%, 1/1/2033
|
5,000,000 | 5,718,350 | ||||||
|
Arizona, State Transportation Board, Excise Tax Revenue
5.00%, 7/1/2021 |
1,500,000 | 1,720,245 | ||||||
|
Arizona, State Transportation Board, Highway Revenue
Series A 5.00%, 7/1/2028 |
7,145,000 | 8,294,130 | ||||||
|
Chandler, AZ, General Obligation
4.25%, 7/1/2026 |
5,000,000 | 5,651,000 | ||||||
|
Phoenix, AZ, Civic Improvement Corp., Wastewater System Revenue,
Senior Lien
5.50%, 7/1/2019 |
1,000,000 | 1,227,380 | ||||||
|
Pima County, AZ, Industrial Development Authority, Lease
Revenue
5.00%, 9/1/2039 |
2,000,000 | 2,093,400 | ||||||
| 40,343,625 | ||||||||
|
CALIFORNIA — 11.8%
|
||||||||
|
California, State Department of Water Resources, Revenue:
|
||||||||
|
Series L 5.00%, 5/1/2020
|
10,000,000 | 12,530,600 | ||||||
|
Series AG 5.00%, 12/1/2025
|
5,760,000 | 7,110,663 | ||||||
|
California, State University Revenue
Series A 5.00%, 11/1/2033 (a) |
3,500,000 | 3,838,135 | ||||||
|
Eastern Municipal Water District, CA, Water & Sewer
Revenue
Series HSeries H 5.00%, 7/1/2033 |
4,035,000 | 4,448,789 | ||||||
|
Los Angeles, CA, Community College District, General Obligation:
|
||||||||
|
Series A 5.00%, 8/1/2027 (a)
|
1,000,000 | 1,145,810 | ||||||
|
Series A 5.00%, 8/1/2032 (a)
|
1,345,000 | 1,506,077 | ||||||
|
Los Angeles, CA, Department of Water & Power
Revenue
Series A 5.00%, 7/1/2020 |
7,400,000 | 9,262,284 | ||||||
|
Los Angeles, CA, General Obligation
Series B 5.00%, 9/1/2022 |
10,000,000 | 12,372,900 | ||||||
|
Los Angeles, CA, Unified School District, General Obligation:
|
||||||||
|
Series A-1
4.00%, 7/1/2016
|
1,250,000 | 1,400,700 | ||||||
|
Series KRY 5.00%, 7/1/2018
|
330,000 | 401,448 | ||||||
|
Series D 5.00%, 1/1/2034
|
575,000 | 651,096 | ||||||
|
Los Angeles, CA, Wastewater System Revenue:
|
||||||||
|
Series A 5.00%, 6/1/2029
|
1,000,000 | 1,145,890 | ||||||
|
5.00%, 6/1/2039
|
1,845,000 | 2,048,577 | ||||||
|
Los Rios, CA, Community College District Election of 2008
Series A 5.00%, 8/1/2035 |
5,000,000 | 5,674,200 | ||||||
|
Metropolitan Water District of Southern California
Series C 5.00%, 10/1/2027 |
4,000,000 | 5,423,880 | ||||||
|
Metropolitan Water District of Southern California, Waterworks
Revenue
Series A 5.00%, 1/1/2029 |
4,900,000 | 5,749,317 | ||||||
|
Oakland, CA, Joint Powers Financing Authority Lease Revenue
Series B 5.00%, 8/1/2022 (a) |
2,105,000 | 2,334,424 | ||||||
|
Pasadena, CA, Unified School District, General Obligation
5.00%, 5/1/2034 |
500,000 | 579,990 | ||||||
|
Sacramento, CA, Sanitation Districts Financing Authority
Revenue
5.00%, 12/1/2024 |
3,500,000 | 4,241,055 | ||||||
|
San Diego, CA, Community College District
5.00%, 8/1/2041 |
1,030,000 | 1,184,376 | ||||||
|
San Diego, CA, Public Facilities Financing Authority, Sewer
Revenue:
|
||||||||
|
Series B 5.00%, 5/15/2021
|
1,000,000 | 1,223,190 | ||||||
|
Series A 5.25%, 5/15/2039
|
1,000,000 | 1,134,730 | ||||||
|
San Diego, CA, Unified School District Election of 2008
Series A Zero Coupon, 7/1/2028 (b) |
2,000,000 | 1,031,500 | ||||||
|
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue:
|
||||||||
|
5.00%, 4/1/2026
|
6,500,000 | 7,927,270 | ||||||
|
5.13%, 4/1/2047
|
655,000 | 724,672 | ||||||
|
San Francisco, CA, Community College District, General
Obligation
Series B 5.00%, 6/15/2028 (a) |
5,000,000 | 5,330,950 | ||||||
|
San Francisco, CA, Public Utilities Commission, Water Revenue:
|
||||||||
|
Series B 5.00%, 9/1/2018
|
9,755,000 | 11,667,078 | ||||||
|
Subseries A 5.00%, 11/1/2024
|
6,750,000 | 8,272,530 | ||||||
|
5.00%, 6/15/2027
|
500,000 | 540,320 | ||||||
|
Series A 5.00%, 11/1/2030
|
6,000,000 | 7,162,980 | ||||||
|
San Francisco, CA, Unified School District, General
Obligation
4.00%, 6/15/2025 |
900,000 | 988,704 | ||||||
|
San Joaquin County, CA, Transportation Authority, Sales Tax
Revenue
Series A 5.50%, 3/1/2041 |
4,700,000 | 5,559,959 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
University of California, Revenue:
|
||||||||
|
Series S 5.00%, 5/15/2040
|
$ | 1,000,000 | $ | 1,099,660 | ||||
|
Series Q 5.25%, 5/15/2028
|
2,855,000 | 3,293,699 | ||||||
| 139,007,453 | ||||||||
|
COLORADO — 1.4%
|
||||||||
|
Adams & Arapahoe, CO, Joint School District 28J
Aurora
5.00%, 12/1/2023 |
5,000,000 | 6,278,750 | ||||||
|
Denver, CO, City & County General Obligation
5.25%, 8/1/2018 |
325,000 | 402,792 | ||||||
|
Denver, CO, City & County, School District No. 1
General Obligation
Series C 5.00%, 12/1/2023 |
1,175,000 | 1,508,383 | ||||||
|
Metropolitan Wastewater Reclamation District, CO, Sewer Revenue:
|
||||||||
|
Series A 3.00%, 4/1/2028
|
5,415,000 | 5,473,157 | ||||||
|
Series A 3.00%, 4/1/2029
|
650,000 | 653,744 | ||||||
|
Platte River, CO, Power Authority Revenue:
|
||||||||
|
Series HH 5.00%, 6/1/2024
|
1,255,000 | 1,474,989 | ||||||
|
Series HH 5.00%, 6/1/2029
|
1,000,000 | 1,153,820 | ||||||
| 16,945,635 | ||||||||
|
CONNECTICUT — 1.9%
|
||||||||
|
Connecticut, State General Obligation:
|
||||||||
|
Series A 5.00%, 1/1/2016
|
500,000 | 571,275 | ||||||
|
Series B 5.00%, 12/1/2016
|
1,575,000 | 1,857,933 | ||||||
|
5.00%, 12/1/2020
|
7,500,000 | 9,281,625 | ||||||
|
5.00%, 12/1/2021
|
7,500,000 | 9,167,625 | ||||||
|
Series C 5.50%, 11/1/2016
|
1,505,000 | 1,800,943 | ||||||
| 22,679,401 | ||||||||
|
DELAWARE — 1.1%
|
||||||||
|
Delaware, State General Obligation
5.00%, 7/1/2017 |
2,755,000 | 3,318,287 | ||||||
|
Delaware, State Transportation Authority, Transportation System
Revenue
5.00%, 7/1/2022 |
5,280,000 | 6,735,010 | ||||||
|
New Castle County, DE, General Obligation
Series A 5.00%, 7/15/2039 |
2,500,000 | 2,848,950 | ||||||
| 12,902,247 | ||||||||
|
DISTRICT OF COLUMBIA — 1.2%
|
||||||||
|
District of Columbia, Income Tax Secured Revenue
Series A 5.00%, 12/1/2023 |
1,235,000 | 1,566,314 | ||||||
|
District of Columbia, Water & Sewer Authority, Public
Utility Revenue
Series A 5.50%, 10/1/2039 |
5,000,000 | 5,875,850 | ||||||
|
Metropolitan Washington, DC, Airport Authority System Revenue:
|
||||||||
|
Zero Coupon, 10/1/2033 (a)(b)
|
1,785,000 | 640,761 | ||||||
|
Series C 5.00%, 10/1/2028
|
5,000,000 | 5,623,700 | ||||||
| 13,706,625 | ||||||||
|
FLORIDA — 5.4%
|
||||||||
|
Broward County, FL, Water & Sewer Utility Revenue
Series A 5.00%, 10/1/2037 |
450,000 | 528,070 | ||||||
|
Citizens Property Insurance Corp., FL
Series A-1 4.50%, 6/1/2020 (a) |
1,000,000 | 1,148,400 | ||||||
|
Florida, State Board of Education, Capital Outlay:
|
||||||||
|
Series A 4.00%, 6/1/2021
|
750,000 | 877,830 | ||||||
|
Series C 4.00%, 6/1/2027
|
520,000 | 584,704 | ||||||
|
Series B 5.00%, 6/1/2015
|
2,600,000 | 2,907,424 | ||||||
|
Series A 5.00%, 6/1/2017
|
5,000,000 | 5,958,850 | ||||||
|
Series A 5.00%, 6/1/2018
|
4,000,000 | 4,873,520 | ||||||
|
Series D 5.00%, 6/1/2021
|
500,000 | 617,925 | ||||||
|
Series D 5.00%, 6/1/2024
|
7,550,000 | 9,238,935 | ||||||
|
Florida, State Board of Education, General Obligation
5.00%, 6/1/2037 |
1,000,000 | 1,121,510 | ||||||
|
Florida, State Hurricane Catastrophe Fund Revenue
Series A 5.00%, 7/1/2014 |
1,045,000 | 1,125,235 | ||||||
|
Florida, State, Department of Transportation General Obligation:
|
||||||||
|
3.25%, 7/1/2030
|
1,000,000 | 1,014,450 | ||||||
|
5.00%, 7/1/2021
|
500,000 | 630,750 | ||||||
|
Florida, Water Pollution Control Financing Revenue
Series A 5.00%, 7/15/2014 |
1,375,000 | 1,488,822 | ||||||
|
JEA, FL, Bulk Power Supply System Revenue, Scherer 4 Project
Series A 5.63%, 10/1/2033 |
5,000,000 | 5,315,950 | ||||||
|
Miami-Dade
County, FL, General Obligation:
|
||||||||
|
4.75%, 7/1/2034
|
1,675,000 | 1,868,797 | ||||||
|
5.00%, 10/1/2023 (a)
|
500,000 | 553,335 | ||||||
|
5.00%, 7/1/2031
|
1,980,000 | 2,257,636 | ||||||
|
6.00%, 10/1/2023
|
1,270,000 | 1,573,441 | ||||||
|
Miami-Dade
County, FL, School Board Certificates of Participation
Series B 4.00%, 5/1/2017 (a) |
1,000,000 | 1,100,870 | ||||||
|
Orlando, FL, Utilities Commission Revenue
5.00%, 10/1/2029 |
1,400,000 | 1,665,874 | ||||||
|
Palm Beach County, FL, Public Improvement Revenue:
|
||||||||
|
5.00%, 6/1/2025
|
9,040,000 | 11,064,418 | ||||||
|
5.00%, 5/1/2038
|
5,000,000 | 5,467,000 | ||||||
|
Tohopekaliga, FL, Water Authority Utility System Revenue
5.75%, 10/1/2029 |
750,000 | 931,590 | ||||||
| 63,915,336 | ||||||||
|
GEORGIA — 2.9%
|
||||||||
|
Augusta, GA, Water & Sewer Revenue
5.00%, 10/1/2014 (a) |
1,085,000 | 1,184,733 | ||||||
|
Douglas County, GA, General Obligation
5.00%, 8/1/2016 |
4,000,000 | 4,671,600 | ||||||
|
Fulton County, GA, Water & Sewer Revenue
5.00%, 1/1/2017 |
1,430,000 | 1,674,258 | ||||||
|
Georgia, State Environmental Loan Acquisition Corp. Revenue
5.13%, 3/15/2031 |
5,000,000 | 5,811,700 | ||||||
|
Georgia, State General Obligation:
|
||||||||
|
Series F 5.00%, 12/1/2016
|
500,000 | 592,540 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series B 5.00%, 7/1/2022
|
$ | 4,500,000 | $ | 5,388,345 | ||||
|
Series I 5.00%, 7/1/2022
|
1,000,000 | 1,217,240 | ||||||
|
Series B 5.00%, 7/1/2024
|
1,145,000 | 1,356,436 | ||||||
|
Georgia, State Road & Tollway Authority Revenue
Series B 5.00%, 10/1/2022 |
4,500,000 | 5,883,750 | ||||||
|
Gwinnett County, GA, School District, General Obligation
5.00%, 2/1/2019 |
5,380,000 | 6,647,959 | ||||||
| 34,428,561 | ||||||||
|
HAWAII — 1.2%
|
||||||||
|
City & County of Honolulu, HI, General Obligation:
|
||||||||
|
Series A 5.25%, 8/1/2031
|
2,620,000 | 3,220,111 | ||||||
|
Series A 5.25%, 8/1/2034
|
1,500,000 | 1,814,325 | ||||||
|
City & County of Honolulu, HI, Wastewater System
Revenue
Series A 5.00%, 7/1/2041 |
7,000,000 | 8,011,570 | ||||||
|
Hawaii, State General Obligation
Series EA 5.00%, 12/1/2016 |
955,000 | 1,126,126 | ||||||
| 14,172,132 | ||||||||
|
IDAHO — 0.5%
|
||||||||
|
Idaho, Housing & Financing Association, Unemployment
Compensation Revenue
5.00%, 8/15/2015 |
5,000,000 | 5,575,800 | ||||||
|
ILLINOIS — 3.6%
|
||||||||
|
Chicago, IL, Board of Education, General Obligation
Series A 5.00%, 12/1/2041 |
1,660,000 | 1,810,130 | ||||||
|
Chicago, IL, General Obligation:
|
||||||||
|
Series C Zero Coupon, 1/1/2031 (b)
|
600,000 | 257,532 | ||||||
|
Series C 5.00%, 1/1/2023
|
3,785,000 | 4,479,245 | ||||||
|
Series A 5.25%, 1/1/2037
|
5,000,000 | 5,455,700 | ||||||
|
Chicago, IL, O’Hare International Airport Revenue
Series A 5.00%, 1/1/2038 (a) |
1,500,000 | 1,598,730 | ||||||
|
Chicago, IL, Park District, General Obligation
Series C 5.25%, 1/1/2040 |
500,000 | 566,375 | ||||||
|
Chicago, IL, Water Revenue
5.25%, 11/1/2038 |
2,500,000 | 2,886,900 | ||||||
|
Cook County, IL, General Obligation:
|
||||||||
|
Series A 5.00%, 11/15/2019
|
2,000,000 | 2,430,140 | ||||||
|
Series A 5.25%, 11/15/2033
|
8,520,000 | 9,687,751 | ||||||
|
Illinois, State Finance Authority Revenue
Series A 5.00%, 10/1/2051 |
3,020,000 | 3,359,569 | ||||||
|
Illinois, State General Obligation
5.00%, 1/1/2015 (a) |
1,055,000 | 1,146,690 | ||||||
|
Illinois, State Toll Highway Authority Revenue
5.00%, 1/1/2028 |
1,300,000 | 1,474,447 | ||||||
|
Illinois, University of Chicago, Finance Authority Revenue:
|
||||||||
|
Series A 4.00%, 10/1/2032
|
955,000 | 1,018,918 | ||||||
|
Series B 6.25%, 7/1/2038
|
5,000,000 | 6,096,000 | ||||||
| 42,268,127 | ||||||||
|
INDIANA — 0.5%
|
||||||||
|
Indiana, State Finance Authority, Lease Revenue
Series A-1 5.00%, 11/1/2015 |
3,000,000 | 3,387,180 | ||||||
|
Indianapolis, IN, Public Improvement Revenue
Series B 5.00%, 2/1/2019 |
1,995,000 | 2,452,853 | ||||||
| 5,840,033 | ||||||||
|
IOWA — 0.2%
|
||||||||
|
Iowa, State Finance Authority Revenue:
|
||||||||
|
5.00%, 8/1/2020
|
600,000 | 757,554 | ||||||
|
5.00%, 8/1/2030
|
1,000,000 | 1,208,350 | ||||||
| 1,965,904 | ||||||||
|
KANSAS — 0.2%
|
||||||||
|
Wichita, KS, Water & Sewer Utility Revenue
Series A 5.00%, 10/1/2039 |
1,975,000 | 2,214,607 | ||||||
|
KENTUCKY — 0.9%
|
||||||||
|
Kentucky, State Asset/Liability Commission Agency Revenue
Series A 5.00%, 9/1/2021 |
570,000 | 702,981 | ||||||
|
Kentucky, State Economic Development Finance Authority
Revenue
Series A-1 6.00%, 12/1/2033 (a) |
1,045,000 | 1,158,811 | ||||||
|
Kentucky, State Property & Buildings Commission
Revenue:
|
||||||||
|
Series A 3.00%, 8/1/2014
|
1,600,000 | 1,665,216 | ||||||
|
5.00%, 11/1/2017 (a)
|
450,000 | 538,160 | ||||||
|
Series A 5.00%, 11/1/2017
|
375,000 | 448,466 | ||||||
|
5.00%, 11/1/2018
|
1,000,000 | 1,221,430 | ||||||
|
5.00%, 8/1/2020
|
2,475,000 | 3,044,695 | ||||||
|
Kentucky, State Turnpike Authority, Economic Development Road
Revenue
Series A 5.00%, 7/1/2028 |
1,475,000 | 1,677,886 | ||||||
| 10,457,645 | ||||||||
|
LOUISIANA — 0.1%
|
||||||||
|
Louisiana, State Gas & Fuels Tax Revenue
Series B 5.00%, 5/1/2025 |
1,000,000 | 1,217,810 | ||||||
|
MARYLAND — 3.1%
|
||||||||
|
Anne Arundel County, MD, General Obligation
5.00%, 4/1/2019 |
1,410,000 | 1,754,759 | ||||||
|
Howard County, MD, General Obligation
Series B 5.00%, 8/15/2017 |
4,745,000 | 5,747,381 | ||||||
|
Maryland, State Department of Transportation Revenue
5.00%, 2/15/2015 |
1,500,000 | 1,663,485 | ||||||
|
Maryland, State Economic Development Corp. Lease Revenue
3.25%, 6/1/2025 |
480,000 | 507,485 | ||||||
|
Maryland, State General Obligation:
|
||||||||
|
Series C 5.00%, 3/1/2017
|
2,900,000 | 3,458,830 | ||||||
|
Series B 5.00%, 8/1/2017
|
500,000 | 603,735 | ||||||
|
Series E 5.00%, 8/1/2018
|
4,000,000 | 4,954,680 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series C 5.00%, 11/1/2018
|
$ | 4,000,000 | $ | 4,989,280 | ||||
|
Maryland, State Transportation Authority, Grant &
Revenue Anticipation
5.25%, 3/1/2017 |
1,355,000 | 1,630,837 | ||||||
|
Montgomery County, MD, General Obligation:
|
||||||||
|
Series A 4.00%, 7/1/2030
|
5,000,000 | 5,534,650 | ||||||
|
Series A 5.00%, 7/1/2017
|
5,000,000 | 6,045,750 | ||||||
| 36,890,872 | ||||||||
|
MASSACHUSETTS — 2.9%
|
||||||||
|
Boston, MA, General Obligation
4.00%, 4/1/2018 |
450,000 | 527,783 | ||||||
|
Massachusetts, State General Obligation:
|
||||||||
|
Series C 3.00%, 1/1/2014
|
4,130,000 | 4,268,396 | ||||||
|
Series B 3.00%, 6/1/2027
|
160,000 | 163,187 | ||||||
|
Series D 4.25%, 10/1/2027
|
2,750,000 | 3,123,642 | ||||||
|
Series A 5.00%, 3/1/2025
|
965,000 | 1,174,656 | ||||||
|
Series B 5.00%, 8/1/2025
|
5,000,000 | 6,085,800 | ||||||
|
Massachusetts, State Health & Educational Facilities
Authority, Revenue
Series A 5.50%, 11/15/2036 |
2,000,000 | 2,433,220 | ||||||
|
Massachusetts, State Port Authority Revenue
5.00%, 7/1/2040 |
405,000 | 453,458 | ||||||
|
Massachusetts, State School Building Authority Revenue:
|
||||||||
|
Series 2009-1
5.00%, 5/1/2019
|
815,000 | 1,009,728 | ||||||
|
Series B 5.00%, 10/15/2041
|
1,500,000 | 1,734,540 | ||||||
|
Massachusetts, State Water Pollution Abatement Trust Revenue:
|
||||||||
|
5.00%, 8/1/2024
|
500,000 | 611,340 | ||||||
|
5.00%, 8/1/2024
|
480,000 | 585,792 | ||||||
|
Massachusetts, State Water Resources Authority Revenue:
|
||||||||
|
Series B 5.00%, 8/1/2026
|
5,830,000 | 7,253,803 | ||||||
|
Series B 5.00%, 8/1/2030
|
2,775,000 | 3,322,036 | ||||||
|
Series A 5.00%, 8/1/2042
|
1,500,000 | 1,732,920 | ||||||
| 34,480,301 | ||||||||
|
MICHIGAN — 0.9%
|
||||||||
|
Detroit, MI, General Obligation:
|
||||||||
|
5.00%, 11/1/2030
|
500,000 | 554,590 | ||||||
|
5.25%, 11/1/2035
|
550,000 | 604,609 | ||||||
|
Michigan, Municipal Bond Authority Revenue:
|
||||||||
|
4.63%, 10/1/2025
|
3,000,000 | 3,403,080 | ||||||
|
5.00%, 10/1/2023
|
1,000,000 | 1,197,070 | ||||||
|
5.00%, 10/1/2029
|
2,905,000 | 3,553,135 | ||||||
|
Michigan, State Finance Authority Revenue
5.00%, 10/1/2022 |
1,000,000 | 1,249,570 | ||||||
|
Michigan, State Grant Anticipation Revenue
5.25%, 9/15/2021 (a) |
450,000 | 514,715 | ||||||
| 11,076,769 | ||||||||
|
MINNESOTA — 0.9%
|
||||||||
|
Minnesota, State General Obligation:
|
||||||||
|
Series D 5.00%, 8/1/2018
|
2,000,000 | 2,472,200 | ||||||
|
Series D 5.00%, 8/1/2019
|
2,275,000 | 2,857,036 | ||||||
|
Series D 5.00%, 8/1/2021
|
715,000 | 901,572 | ||||||
|
Seried D 5.00%, 8/1/2022
|
855,000 | 1,073,786 | ||||||
|
University of Minnesota, Revenue
Series A 5.00%, 12/1/2018 |
2,750,000 | 3,396,388 | ||||||
| 10,700,982 | ||||||||
|
MISSISSIPPI — 0.4%
|
||||||||
|
Mississippi, State General Obligation:
|
||||||||
|
Series B 5.00%, 12/1/2013
|
1,000,000 | 1,054,790 | ||||||
|
Series A 5.00%, 10/1/2036
|
3,000,000 | 3,485,310 | ||||||
| 4,540,100 | ||||||||
|
MISSOURI — 0.6%
|
||||||||
|
Missouri, State Board of Public Buildings, Special Obligation
Series A 1.00%, 10/1/2026 |
965,000 | 723,335 | ||||||
|
Missouri, State Health & Educational Facilities
Authority Revenue
Series A 5.25%, 3/15/2018 |
500,000 | 616,920 | ||||||
|
Missouri, State Highways & Transit Commission, State
Road Revenue, Second Lien:
|
||||||||
|
5.25%, 5/1/2019
|
4,000,000 | 4,822,520 | ||||||
|
5.25%, 5/1/2020
|
1,000,000 | 1,199,130 | ||||||
| 7,361,905 | ||||||||
|
NEBRASKA — 0.2%
|
||||||||
|
Omaha, NE, Public Power District Electric Revenue
Series C 5.00%, 2/1/2018 |
1,000,000 | 1,217,460 | ||||||
|
University of Nebraska, Revenue
5.00%, 7/1/2038 |
1,000,000 | 1,166,020 | ||||||
| 2,383,480 | ||||||||
|
NEVADA — 0.6%
|
||||||||
|
Clark County, NV, General Obligation
5.00%, 6/1/2026 |
390,000 | 444,471 | ||||||
|
Las Vegas Valley, NV, Water District, General Obligation:
|
||||||||
|
Series B 5.00%, 6/1/2015
|
1,500,000 | 1,682,460 | ||||||
|
Series A 5.00%, 2/1/2033
|
350,000 | 384,216 | ||||||
|
Las Vegas, NV, General Obligation
6.00%, 4/1/2039 |
4,265,000 | 4,938,614 | ||||||
| 7,449,761 | ||||||||
|
NEW JERSEY — 1.6%
|
||||||||
|
New Jersey, Environmental Infrastructure Trust Revenue:
|
||||||||
|
Series A 4.00%, 9/1/2022
|
3,200,000 | 3,625,696 | ||||||
|
4.00%, 9/1/2027
|
2,520,000 | 2,798,158 | ||||||
|
New Jersey, State General Obligation
5.00%, 6/1/2019 |
8,825,000 | 10,857,574 | ||||||
|
New Jersey, State Higher Education Assistance Authority
Revenue
Series 1A 5.00%, 12/1/2017 |
1,410,000 | 1,623,883 | ||||||
| 18,905,311 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
NEW MEXICO — 1.4%
|
||||||||
|
Albuquerque, NM, Municipal School District, General
Obligation
Series A 4.00%, 8/1/2022 |
$ | 6,650,000 | $ | 7,535,581 | ||||
|
New Mexico, State Finance Authority Transportation Revenue
5.00%, 6/15/2017 |
3,000,000 | 3,587,700 | ||||||
|
New Mexico, State General Obligation
5.00%, 3/1/2017 |
5,000,000 | 5,965,900 | ||||||
| 17,089,181 | ||||||||
|
NEW YORK — 17.5%
|
||||||||
|
Erie County, NY, Fiscal Stability Authority Sales Tax Revenue
Series A 5.00%, 5/15/2020 |
1,000,000 | 1,218,840 | ||||||
|
Erie County, NY, Industrial Development Agency Revenue:
|
||||||||
|
5.25%, 5/1/2029
|
1,390,000 | 1,633,000 | ||||||
|
Series A 5.75%, 5/1/2019 (a)
|
1,500,000 | 1,874,490 | ||||||
|
Nassau County, NY, Sewer & Storm Water Finance
Authority System, Revenue
Series A 5.38%, 11/1/2028 |
1,275,000 | 1,478,911 | ||||||
|
New York & New Jersey, Port Authority Revenue:
|
||||||||
|
4.00%, 12/1/2027
|
2,600,000 | 2,892,682 | ||||||
|
4.25%, 7/15/2040
|
1,000,000 | 1,054,860 | ||||||
|
156th Series 4.75%, 11/1/2036
|
7,000,000 | 7,757,050 | ||||||
|
5.00%, 7/15/2039
|
4,500,000 | 5,093,685 | ||||||
|
New York, NY, City Municipal Water Finance Authority:
|
||||||||
|
4.25%, 6/15/2031
|
3,000,000 | 3,343,530 | ||||||
|
4.50%, 6/15/2032
|
1,000,000 | 1,090,050 | ||||||
|
Series DD 4.50%, 6/15/2038
|
2,310,000 | 2,470,198 | ||||||
|
Series DD 4.63%, 6/15/2031
|
1,030,000 | 1,133,494 | ||||||
|
5.00%, 6/15/2026
|
3,000,000 | 3,622,140 | ||||||
|
5.00%, 6/15/2027
|
545,000 | 649,553 | ||||||
|
Series A 5.00%, 6/15/2038
|
1,000,000 | 1,133,430 | ||||||
|
5.00%, 6/15/2043
|
3,500,000 | 3,972,115 | ||||||
|
Series GG-2
5.25%, 6/15/2040
|
625,000 | 726,631 | ||||||
|
Series A 5.50%, 6/15/2021
|
1,150,000 | 1,404,599 | ||||||
|
New York, NY, City Transitional Finance Authority:
|
||||||||
|
Series E-1
5.00%, 2/1/2018
|
500,000 | 608,730 | ||||||
|
5.00%, 11/1/2020
|
1,000,000 | 1,235,690 | ||||||
|
5.00%, 5/1/2023
|
865,000 | 1,035,379 | ||||||
|
Series C 5.00%, 11/1/2028
|
2,000,000 | 2,418,240 | ||||||
|
5.50%, 11/1/2035
|
4,545,000 | 5,570,170 | ||||||
|
New York, NY, City Transitional Finance Authority, Building Aid
Revenue
Series S-1 5.00%, 7/15/2030 |
4,675,000 | 5,576,153 | ||||||
|
New York, NY, City Transitional Finance Authority, Future Tax
Secured Revenue:
|
||||||||
|
Series B 5.00%, 11/1/2016
|
330,000 | 389,572 | ||||||
|
Series B 5.00%, 11/1/2016
|
670,000 | 789,166 | ||||||
|
Series F-1
5.00%, 5/1/2021
|
500,000 | 628,450 | ||||||
|
New York, NY, General Obligation:
|
||||||||
|
Series A 4.25%, 2/15/2029
|
940,000 | 1,061,204 | ||||||
|
Series C 5.00%, 8/1/2015
|
5,200,000 | 5,860,920 | ||||||
|
Series C 5.00%, 11/15/2016
|
5,000,000 | 5,855,350 | ||||||
|
5.00%, 3/1/2017
|
5,000,000 | 5,896,450 | ||||||
|
Series C 5.00%, 8/1/2017
|
2,000,000 | 2,386,520 | ||||||
|
Series C 5.25%, 8/1/2017
|
550,000 | 662,778 | ||||||
|
Series B-1
5.25%, 9/1/2021
|
950,000 | 1,159,808 | ||||||
|
Series B-1
5.25%, 9/1/2023
|
7,180,000 | 8,683,923 | ||||||
|
New York, NY, Liberty Development Corp. Revenue:
|
||||||||
|
5.13%, 1/15/2044
|
5,975,000 | 6,602,255 | ||||||
|
5.63%, 1/15/2046
|
1,000,000 | 1,142,430 | ||||||
|
New York, NY, Municipal Bond Bank Agency, Special School Purpose
Revenue
5.00%, 12/1/2016 |
2,375,000 | 2,785,614 | ||||||
|
New York, NY, Triborough Bridge & Tunnel Authority
Revenue:
|
||||||||
|
Series B 5.00%, 11/15/2027
|
4,550,000 | 5,620,706 | ||||||
|
Series A-2
5.00%, 11/15/2029
|
12,620,000 | 14,686,525 | ||||||
|
New York, State Bridge Authority General Obligation
4.00%, 1/1/2027 |
1,000,000 | 1,108,280 | ||||||
|
New York, State Dormitory Authority Revenue:
|
||||||||
|
Series B 5.00%, 7/1/2017
|
3,000,000 | 3,573,060 | ||||||
|
Series A 5.00%, 7/1/2038
|
3,350,000 | 3,662,119 | ||||||
|
5.25%, 7/1/2048
|
3,065,000 | 3,407,452 | ||||||
|
New York, State Dormitory Authority, Personal Income Tax Revenue:
|
||||||||
|
Series A 4.00%, 3/15/2028
|
500,000 | 556,000 | ||||||
|
Series E 5.00%, 8/15/2018
|
400,000 | 492,224 | ||||||
|
Series A 5.00%, 3/15/2020
|
1,000,000 | 1,246,630 | ||||||
|
Series A 5.00%, 12/15/2020
|
500,000 | 632,780 | ||||||
|
Series C 5.00%, 3/15/2025
|
4,550,000 | 5,515,737 | ||||||
|
Series B 5.25%, 2/15/2022
|
500,000 | 616,855 | ||||||
|
New York, State Dormitory Authority, State Income Tax Revenue:
|
||||||||
|
Series E 4.50%, 3/15/2036
|
790,000 | 860,618 | ||||||
|
Series A 5.00%, 2/15/2020
|
7,850,000 | 9,765,478 | ||||||
|
5.00%, 7/1/2021
|
700,000 | 854,070 | ||||||
|
5.00%, 2/15/2029
|
750,000 | 892,253 | ||||||
|
New York, State Environmental Facilities Corp. Revenue
Series A 5.13%, 6/15/2038 |
1,000,000 | 1,133,910 | ||||||
|
New York, State Environmental Facilities Corp., Clean
Water & Drinking Revenue
Series A 5.00%, 6/15/2022 |
500,000 | 642,325 | ||||||
|
New York, State General Obligation:
|
||||||||
|
3.00%, 3/1/2017
|
4,255,000 | 4,698,882 | ||||||
|
4.00%, 3/1/2018
|
1,030,000 | 1,200,630 | ||||||
|
Series E 5.00%, 8/1/2018
|
635,000 | 773,214 | ||||||
|
Series A-1
5.25%, 8/15/2028
|
760,000 | 904,408 | ||||||
|
New York, State Housing Finance Agency, Personal Income Tax
Revenue
Series A 5.00%, 3/15/2039 |
2,760,000 | 3,154,487 | ||||||
|
New York, State Thruway Authority, Personal Income Tax Revenue:
|
||||||||
|
5.00%, 3/15/2022
|
6,510,000 | 8,014,070 | ||||||
|
Series A 5.00%, 3/15/2028
|
2,150,000 | 2,553,877 | ||||||
|
Series A 5.00%, 3/15/2029
|
2,000,000 | 2,384,040 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
New York, State Thruway Authority, Second General
Highway & Bridge Trust Fund
Series A 5.00%, 4/1/2021 |
$ | 500,000 | $ | 580,505 | ||||
|
New York, State Urban Development Corp., Revenue:
|
||||||||
|
Series A 4.00%, 3/15/2041
|
1,470,000 | 1,534,283 | ||||||
|
5.00%, 1/1/2014
|
3,770,000 | 3,985,531 | ||||||
|
Series A-1
5.00%, 12/15/2016
|
2,630,000 | 3,100,823 | ||||||
|
Series B-1
5.00%, 3/15/2036
|
1,000,000 | 1,152,560 | ||||||
|
New York, Triborough Bridge & Tunnel Authority
Revenue
Series A 5.00%, 1/1/2023 |
11,525,000 | 14,286,851 | ||||||
| 206,489,243 | ||||||||
|
NORTH CAROLINA — 3.3%
|
||||||||
|
Charlotte, NC, General Obligation
Series B 5.00%, 6/1/2022 |
475,000 | 577,990 | ||||||
|
Charlotte, NC, Water & Sewer System Revenue
5.00%, 7/1/2038 |
8,585,000 | 9,895,243 | ||||||
|
Fayetteville, NC, Public Works Commission Revenue
Series A 5.00%, 3/1/2019 |
500,000 | 621,435 | ||||||
|
Mecklenburg County, NC, General Obligation:
|
||||||||
|
Series A 4.00%, 8/1/2015
|
3,135,000 | 3,452,952 | ||||||
|
Series A 5.00%, 8/1/2015
|
1,000,000 | 1,129,510 | ||||||
|
North Carolina, State Capital Improvement Revenue:
|
||||||||
|
Series A 4.50%, 5/1/2026
|
4,500,000 | 5,305,500 | ||||||
|
Series A 5.00%, 5/1/2016
|
3,000,000 | 3,460,770 | ||||||
|
Series A 5.00%, 5/1/2017
|
2,125,000 | 2,525,371 | ||||||
|
Series C 5.00%, 5/1/2028
|
905,000 | 1,085,638 | ||||||
|
North Carolina, State General Obligation
Series A 5.00%, 3/1/2018 |
2,165,000 | 2,653,294 | ||||||
|
North Carolina, State Grant Anticipation Revenue
5.00%, 3/1/2019 |
1,930,000 | 2,378,551 | ||||||
|
North Carolina, University of North
Carolina-Chapel
Hill, Revenue
5.00%, 12/1/2031 |
3,640,000 | 4,186,364 | ||||||
|
Wake County, NC, General Obligation
Series C 5.00%, 3/1/2021 |
1,075,000 | 1,376,150 | ||||||
| 38,648,768 | ||||||||
|
OHIO — 2.0%
|
||||||||
|
Columbus, OH, General Obligation:
|
||||||||
|
Series A 4.00%, 6/1/2014
|
10,000,000 | 10,607,400 | ||||||
|
Series A 5.00%, 9/1/2018
|
300,000 | 361,362 | ||||||
|
Ohio, State Common Schools, General Obligation
Series C 5.00%, 9/15/2015 |
5,000,000 | 5,659,600 | ||||||
|
Ohio, State Water Development Authority, Water Pollution Control
Revenue
5.00%, 12/1/2020 |
2,630,000 | 3,324,083 | ||||||
|
Ohio, University of Akron, General Receipts:
|
||||||||
|
Series A 5.00%, 1/1/2033 (a)
|
1,000,000 | 1,100,420 | ||||||
|
Series B 5.25%, 1/1/2023 (a)
|
1,970,000 | 2,271,292 | ||||||
| 23,324,157 | ||||||||
|
OKLAHOMA — 0.3%
|
||||||||
|
Oklahoma, State Turnpike Authority
Series A 5.00%, 1/1/2023 |
2,000,000 | 2,435,220 | ||||||
|
Tulsa County, OK, Educational Facilities Lease Revenue
5.50%, 9/1/2016 |
635,000 | 748,348 | ||||||
| 3,183,568 | ||||||||
|
OREGON — 1.1%
|
||||||||
|
Oregon, State Department of Transportation Revenue
Series A 5.00%, 11/15/2033 |
1,500,000 | 1,722,420 | ||||||
|
Portland, OR, Sewer System Revenue
5.00%, 3/1/2035 |
4,550,000 | 5,295,017 | ||||||
|
Salem-Keizer,
OR, School District No. 24J, General Obligation
Series B Zero Coupon, 6/15/2028 (b) |
9,745,000 | 5,947,471 | ||||||
| 12,964,908 | ||||||||
|
PENNSYLVANIA — 2.3%
|
||||||||
|
Pennsylvania, State General Obligation:
|
||||||||
|
5.00%, 3/15/2015
|
4,750,000 | 5,277,250 | ||||||
|
5.00%, 5/15/2015
|
1,000,000 | 1,118,220 | ||||||
|
5.00%, 7/1/2015
|
5,000,000 | 5,619,800 | ||||||
|
5.00%, 3/15/2017
|
2,630,000 | 3,122,099 | ||||||
|
5.00%, 4/15/2021
|
4,000,000 | 4,929,760 | ||||||
|
Series A 5.00%, 5/1/2021
|
1,340,000 | 1,652,073 | ||||||
|
5.00%, 11/15/2022
|
500,000 | 628,225 | ||||||
|
5.00%, 11/15/2023
|
895,000 | 1,118,580 | ||||||
|
5.13%, 2/15/2023
|
500,000 | 612,380 | ||||||
|
Pennsylvania, Turnpike Commission Revenue:
|
||||||||
|
4.50%, 12/1/2038
|
300,000 | 317,091 | ||||||
|
Series C 6.00%, 6/1/2023 (a)
|
755,000 | 909,133 | ||||||
|
Philadelphia, PA, General Obligation
Series A 5.00%, 8/1/2018 (a) |
1,870,000 | 2,155,755 | ||||||
| 27,460,366 | ||||||||
|
PUERTO RICO — 0.7%
|
||||||||
|
Commonwealth of Puerto Rico
5.00%, 7/1/2016 (a) |
3,250,000 | 3,595,020 | ||||||
|
Puerto Rico, Sales Tax Financing Revenue:
|
||||||||
|
Series C Zero Coupon, 8/1/2037 (b)
|
12,000,000 | 3,090,000 | ||||||
|
Series C Zero Coupon, 8/1/2038 (b)
|
5,000,000 | 1,212,900 | ||||||
| 7,897,920 | ||||||||
|
RHODE ISLAND — 0.0% (c)
|
||||||||
|
Rhode Island, State & Providence Plantations,
Consolidated Capital Development Revenue
Series A 4.00%, 10/1/2018 |
475,000 | 550,216 | ||||||
|
SOUTH CAROLINA — 1.7%
|
||||||||
|
Charleston, SC, General Obligation:
|
||||||||
|
4.00%, 11/1/2028
|
1,000,000 | 1,134,160 | ||||||
|
5.00%, 11/1/2023
|
1,035,000 | 1,308,250 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
South Carolina, State Education Assistance Authority
Series I 5.00%, 10/1/2024 |
$ | 980,000 | $ | 1,069,680 | ||||
|
South Carolina, State General Obligation
Series A 2.00%, 4/1/2024 |
3,000,000 | 3,041,880 | ||||||
|
South Carolina, State Public Service Authority:
|
||||||||
|
Series E 5.00%, 1/1/2017
|
2,500,000 | 2,935,000 | ||||||
|
Series D 5.00%, 12/1/2043
|
7,950,000 | 9,010,689 | ||||||
|
Series A 5.50%, 1/1/2038
|
1,130,000 | 1,331,253 | ||||||
| 19,830,912 | ||||||||
|
SOUTH DAKOTA — 0.0% (c)
|
||||||||
|
Sioux Falls, SD, Sales Tax Revenue
Series A 3.38%, 11/15/2032 |
500,000 | 504,050 | ||||||
|
TENNESSEE — 1.6%
|
||||||||
|
Memphis, TN, Electric System Revenue
5.00%, 12/1/2018 |
1,500,000 | 1,857,630 | ||||||
|
Metropolitan Government of Nashville & Davidson
County, TN, General Obligation
5.00%, 1/1/2019 |
500,000 | 598,815 | ||||||
|
Metropolitan Government of Nashville & Davidson
County, TN, Water & Sewer Revenue
Series A 5.00%, 1/1/2016 (a) |
475,000 | 542,213 | ||||||
|
Nashville & Davidson County, TN, Health &
Educational Facilities Board Revenue:
|
||||||||
|
Series A 5.00%, 10/1/2013
|
2,000,000 | 2,094,500 | ||||||
|
Series B 5.00%, 10/1/2039
|
1,000,000 | 1,133,430 | ||||||
|
Shelby County, TN, General Obligation:
|
||||||||
|
Series A 5.00%, 4/1/2019
|
705,000 | 872,395 | ||||||
|
Series A 5.00%, 3/1/2024
|
8,290,000 | 10,757,104 | ||||||
|
Tennessee, State School Bond Authority
Series A 5.00%, 5/1/2027 |
500,000 | 614,965 | ||||||
| 18,471,052 | ||||||||
|
TEXAS — 9.3%
|
||||||||
|
Austin, TX, General Obligation
5.00%, 9/1/2022 |
570,000 | 726,568 | ||||||
|
Austin, TX, Water & Wastewater System Revenue:
|
||||||||
|
5.00%, 11/15/2041
|
1,500,000 | 1,718,370 | ||||||
|
5.00%, 11/15/2042
|
2,800,000 | 3,253,572 | ||||||
|
Cypress-Fairbanks,
TX, Independent School District, General Obligation
5.00%, 2/15/2025 (a) |
500,000 | 613,295 | ||||||
|
Dallas, TX, Area Rapid Transit, Sales Tax Revenue
Series A 5.00%, 12/1/2015 |
6,785,000 | 7,729,879 | ||||||
|
Dallas, TX, Civic Center Convention Complex Revenue:
|
||||||||
|
5.00%, 8/15/2028 (a)
|
700,000 | 790,909 | ||||||
|
5.25%, 8/15/2038 (a)
|
510,000 | 566,666 | ||||||
|
Dallas, TX, General Obligation:
|
||||||||
|
Series A 5.00%, 2/15/2019
|
1,250,000 | 1,541,162 | ||||||
|
5.00%, 2/15/2021
|
425,000 | 509,180 | ||||||
|
Dallas, TX, Water & Wastewater System Revenue
5.00%, 10/1/2020 |
500,000 | 631,805 | ||||||
|
Garland, TX, General Obligation
5.00%, 2/15/2023 |
400,000 | 483,636 | ||||||
|
Harris County, TX, Metropolitan Transit Authority,
Sales & Use Tax Revenue
Series A 5.00%, 11/1/2031 |
5,395,000 | 6,316,898 | ||||||
|
Harris County, TX, Flood Control District
Series A 5.00%, 10/1/2039 |
1,585,000 | 1,805,220 | ||||||
|
Harris County, TX, General Obligation:
|
||||||||
|
Series A 4.75%, 3/1/2020
|
600,000 | 719,574 | ||||||
|
5.00%, 10/1/2021
|
500,000 | 620,740 | ||||||
|
5.00%, 10/1/2024
|
7,000,000 | 8,509,760 | ||||||
|
5.00%, 10/1/2025
|
400,000 | 483,652 | ||||||
|
Harris County, TX, Revenue
Series C 5.00%, 8/15/2049 |
500,000 | 547,965 | ||||||
|
Harris County, TX, Road Revenue
Series B 5.25%, 8/15/2047 |
3,000,000 | 3,301,200 | ||||||
|
Houston, TX, Airport System Revenue, Senior Lien
Series A 5.50%, 7/1/2034 |
1,850,000 | 2,115,382 | ||||||
|
Houston, TX, General Obligation:
|
||||||||
|
Series A 5.00%, 3/1/2022
|
2,000,000 | 2,428,220 | ||||||
|
Series D-1
5.00%, 10/1/2029
|
500,000 | 605,380 | ||||||
|
Houston, TX, Utility System Revenue
Series A 5.25%, 11/15/2031 (a) |
4,600,000 | 5,354,722 | ||||||
|
Hurst-Euless-Bedford,
TX, Independent School District, General Obligation
5.00%, 8/15/2021 |
2,500,000 | 3,035,250 | ||||||
|
La Joya, TX, Independent School District, General Obligation
5.00%, 2/15/2034 (a) |
3,300,000 | 3,662,802 | ||||||
|
Leander, TX, Independent School District, General Obligation
Series A Zero Coupon, 8/15/2034 (a)(b) |
10,000,000 | 4,152,400 | ||||||
|
Liberty Hill, TX, Independent School District
5.00%, 8/1/2035 (a) |
1,000,000 | 1,153,960 | ||||||
|
North Texas, TX, Municipal Water District, Water System Revenue:
|
||||||||
|
3.13%, 9/1/2027
|
500,000 | 506,315 | ||||||
|
5.00%, 9/1/2026
|
500,000 | 611,750 | ||||||
|
San Antonio, TX, Electric & Gas Revenue:
|
||||||||
|
5.00%, 2/1/2023
|
5,000,000 | 6,371,800 | ||||||
|
5.25%, 2/1/2024
|
5,000,000 | 6,533,250 | ||||||
|
5.25%, 2/1/2025
|
4,000,000 | 5,270,320 | ||||||
|
San Antonio, TX, General Obligation:
|
||||||||
|
5.00%, 2/1/2018
|
2,450,000 | 2,977,068 | ||||||
|
5.00%, 2/1/2019
|
3,000,000 | 3,709,110 | ||||||
|
San Antonio, TX, Independent School District, General
Obligation
5.00%, 8/15/2025 (a) |
2,000,000 | 2,429,160 | ||||||
|
Texas, State General Obligation
4.75%, 4/1/2037 |
1,940,000 | 2,171,248 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Texas, State Public Finance Authority:
|
||||||||
|
Series A 5.00%, 7/1/2014
|
$ | 1,735,000 | $ | 1,875,813 | ||||
|
Series A 5.00%, 1/1/2017
|
1,100,000 | 1,251,459 | ||||||
|
Series B 5.00%, 1/1/2018
|
500,000 | 559,935 | ||||||
|
Series B 5.00%, 7/1/2018
|
825,000 | 923,893 | ||||||
|
Texas, State Transportation Commission
5.00%, 4/1/2024 |
2,125,000 | 2,477,282 | ||||||
|
Texas, State Water Development Board, Revenue, Sub Lien
A-1
5.00%, 7/15/2015 |
6,370,000 | 7,180,200 | ||||||
|
University of Texas, Revenue:
|
||||||||
|
Series A 4.00%, 8/15/2021
|
500,000 | 594,275 | ||||||
|
Series B 5.00%, 8/15/2017
|
500,000 | 602,160 | ||||||
|
Williamson, TX, General Obligation
5.00%, 2/15/2032 |
625,000 | 723,594 | ||||||
| 110,146,799 | ||||||||
|
UTAH — 0.6%
|
||||||||
|
Central Utah, Water Conservancy District, General Obligation
Series A 5.00%, 4/1/2028 |
550,000 | 660,704 | ||||||
|
Utah, State General Obligation:
|
||||||||
|
Series C 5.00%, 7/1/2016
|
500,000 | 583,970 | ||||||
|
Series A 5.00%, 7/1/2022
|
930,000 | 1,178,366 | ||||||
|
Utah, Transport Authority Sales Tax Revenue:
|
||||||||
|
Series A 5.00%, 6/15/2028
|
410,000 | 480,278 | ||||||
|
Series A 5.00%, 6/15/2036 (a)
|
3,850,000 | 4,428,847 | ||||||
| 7,332,165 | ||||||||
|
VIRGINIA — 2.3%
|
||||||||
|
Fairfax County, VA, General Obligation:
|
||||||||
|
Series A 3.00%, 4/1/2026
|
3,180,000 | 3,316,835 | ||||||
|
Series A 5.00%, 4/1/2030
|
450,000 | 544,811 | ||||||
|
Montgomery County, VA, Industrial Development Authority
Revenue
5.00%, 2/1/2024 |
445,000 | 501,101 | ||||||
|
Virginia, College Building Authority, Educational Facilities
Revenue:
|
||||||||
|
5.00%, 9/1/2022
|
5,945,000 | 7,180,252 | ||||||
|
5.00%, 2/1/2027
|
3,620,000 | 4,390,409 | ||||||
|
Virginia, State Public Building Authority, Public Facilities
Revenue:
|
||||||||
|
Series B 5.00%, 8/1/2017
|
3,030,000 | 3,629,879 | ||||||
|
Series B 5.25%, 8/1/2027
|
2,000,000 | 2,345,020 | ||||||
|
Virginia, State Public School Authority Revenue
Series B-1 5.00%, 8/1/2017 |
1,000,000 | 1,197,980 | ||||||
|
Virginia, State Resources Authority, Revenue
Series B 5.00%, 11/1/2028 |
3,540,000 | 4,114,082 | ||||||
|
Virginia, State Transportation Board Revenue
5.00%, 5/15/2014 |
500,000 | 537,615 | ||||||
| 27,757,984 | ||||||||
|
WASHINGTON — 5.5%
|
||||||||
|
Central Puget Sound, WA, Regional Transit Authority,
Sales & Use Tax Revenue:
|
||||||||
|
Series S-1
5.00%, 11/1/2026
|
500,000 | 617,260 | ||||||
|
Series A 5.00%, 11/1/2032 (a)
|
3,000,000 | 3,404,520 | ||||||
|
Series A 5.00%, 11/1/2036
|
2,000,000 | 2,244,100 | ||||||
|
Energy Northwest Washington, Electricity Revenue
Series A 5.00%, 7/1/2014 |
1,000,000 | 1,080,610 | ||||||
|
Energy Northwest, WA, Electric Revenue
Series A 5.00%, 7/1/2017 |
4,195,000 | 5,022,254 | ||||||
|
King County, WA, General Obligation
5.00%, 12/1/2020 |
500,000 | 634,380 | ||||||
|
Snohomish County, WA, School District No. 15
5.00%, 12/1/2018 |
2,250,000 | 2,769,795 | ||||||
|
Snohomish County, WA, School District No. 201
5.25%, 12/1/2024 |
2,825,000 | 3,361,863 | ||||||
|
Washington, State General Obligation:
|
||||||||
|
Series D 4.00%, 2/1/2030
|
1,000,000 | 1,090,160 | ||||||
|
Series D 4.00%, 2/1/2037
|
12,500,000 | 13,074,375 | ||||||
|
Series R 5.00%, 7/1/2016
|
10,000,000 | 11,646,900 | ||||||
|
Series A 5.00%, 7/1/2023
|
900,000 | 1,057,257 | ||||||
|
Series D 5.00%, 1/1/2027
|
6,945,000 | 8,158,708 | ||||||
|
Series A 5.00%, 7/1/2032
|
2,000,000 | 2,295,620 | ||||||
|
Series C 5.00%, 6/1/2041
|
7,000,000 | 8,043,350 | ||||||
| 64,501,152 | ||||||||
|
WISCONSIN — 1.4%
|
||||||||
|
Milwaukee, WI, General Obligation, Promissory Notes
Series N1 5.00%, 2/1/2019 |
11,020,000 | 13,436,576 | ||||||
|
Wisconsin, State General Obligation:
|
||||||||
|
4.00%, 11/1/2016
|
1,300,000 | 1,478,906 | ||||||
|
Series C 5.00%, 5/1/2014
|
2,000,000 | 2,145,540 | ||||||
| 17,061,022 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $1,094,298,405)
|
1,178,245,051 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.3%
|
||||||||
|
MONEY MARKET FUND — 0.3%
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (d)(e)(f) (Cost $3,938,488) |
3,938,488 | 3,938,488 | ||||||
|
TOTAL INVESTMENTS — 100.0% (g)
|
||||||||
|
(Cost $1,098,236,893)
|
1,182,183,539 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.0% (c) |
(471,039 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 1,181,712,500 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
As a % of
|
||||||
|
Insurance Coverage
|
Net Assets | |||||
| Assured Guaranty Municipal Corp. | 2.64 | % | ||||
| Assured Guaranty Corp. | 1.63 | % | ||||
| Permanent School Fund Guaranteed | 1.02 | % | ||||
| National Public Finance Guarantee Corp. | 0.22 | % | ||||
|
(b)
|
Non-income producing security. | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 96.9%
|
||||||||
|
CALIFORNIA — 96.1%
|
||||||||
|
Alameda County, CA, Joint Powers Authority, Lease Revenue
5.00%, 12/1/2034 (a) |
$ | 1,760,000 | $ | 1,887,882 | ||||
|
Bakersfield, CA, Wastewater Revenue
Series A 5.00%, 9/15/2032 (a) |
300,000 | 331,326 | ||||||
|
California, Bay Area Toll Authority Revenue:
|
||||||||
|
3.00%, 4/1/2027 (b)
|
500,000 | 501,230 | ||||||
|
5.00%, 4/1/2024 (b)
|
250,000 | 308,237 | ||||||
|
5.13%, 4/1/2039
|
125,000 | 141,119 | ||||||
|
California, State Department of Water Resources:
|
||||||||
|
Series M 4.00%, 5/1/2019
|
2,000,000 | 2,357,320 | ||||||
|
Series H 4.38%, 5/1/2022 (a)
|
1,150,000 | 1,309,746 | ||||||
|
Series L 5.00%, 5/1/2016
|
200,000 | 231,718 | ||||||
|
Series L 5.00%, 5/1/2017
|
500,000 | 596,940 | ||||||
|
Series L 5.00%, 5/1/2019
|
1,540,000 | 1,912,357 | ||||||
|
Series AJ 5.00%, 12/1/2021
|
400,000 | 511,144 | ||||||
|
Series AE 5.00%, 12/1/2022
|
1,000,000 | 1,206,140 | ||||||
|
Series AF 5.00%, 12/1/2026
|
660,000 | 782,549 | ||||||
|
California, State Department of Water Resources Revenue
Series M 5.00%, 5/1/2016 |
3,025,000 | 3,504,735 | ||||||
|
California, State Public Works Board, Lease Revenue
5.00%, 4/1/2034 |
340,000 | 373,748 | ||||||
|
California, State University Revenue
Series A 5.00%, 11/1/2033 (a) |
1,500,000 | 1,644,915 | ||||||
|
Eastern Municipal Water District, CA, Water & Sewer
Revenue:
|
||||||||
|
Series HSeries H 5.00%, 7/1/2033
|
160,000 | 176,408 | ||||||
|
Series H 5.00%, 7/1/2035
|
1,000,000 | 1,093,720 | ||||||
|
El Dorado, CA, Irrigation District, Certificates of
Participation:
|
||||||||
|
Series A 5.75%, 8/1/2039 (a)
|
500,000 | 541,380 | ||||||
|
Series A 6.25%, 8/1/2029 (a)
|
1,200,000 | 1,318,644 | ||||||
|
Grossmont, CA, Union High School District, Election of 2004
5.00%, 8/1/2033 |
1,780,000 | 2,010,599 | ||||||
|
Long Beach, CA, Unified School District, General Obligation
5.00%, 8/1/2029 |
1,000,000 | 1,187,830 | ||||||
|
Los Angeles County, CA, Metropolitan Transportation Authority,
Sales Tax Revenue:
|
||||||||
|
5.00%, 6/1/2020
|
1,900,000 | 2,367,096 | ||||||
|
5.00%, 7/1/2026
|
2,450,000 | 2,887,815 | ||||||
|
Los Angeles, CA, Community College District, General Obligation:
|
||||||||
|
Series F-1
5.00%, 8/1/2026
|
100,000 | 117,445 | ||||||
|
Series A 5.00%, 8/1/2032 (a)
|
1,000,000 | 1,119,760 | ||||||
|
Los Angeles, CA, Department of Airports Revenue:
|
||||||||
|
Series A 5.00%, 5/15/2021
|
1,000,000 | 1,202,900 | ||||||
|
Series D 5.00%, 5/15/2040
|
1,000,000 | 1,121,500 | ||||||
|
Series C 5.25%, 5/15/2038
|
145,000 | 159,071 | ||||||
|
Los Angeles, CA, Department of Water & Power:
|
||||||||
|
Series A 4.00%, 7/1/2013
|
100,000 | 102,802 | ||||||
|
Series A-1
5.00%, 7/1/2023 (a)
|
400,000 | 461,296 | ||||||
|
5.00%, 7/1/2037 (a)
|
200,000 | 216,728 | ||||||
|
Series A 5.00%, 7/1/2041
|
1,500,000 | 1,709,385 | ||||||
|
Series B 5.00%, 7/1/2043
|
2,000,000 | 2,313,740 | ||||||
|
Los Angeles, CA, General Obligation
Series A 5.00%, 9/1/2019 |
500,000 | 623,020 | ||||||
|
Los Angeles, CA, Harbor Department Revenue:
|
||||||||
|
Series A 5.00%, 8/1/2029
|
1,515,000 | 1,754,415 | ||||||
|
Series C 5.25%, 8/1/2023
|
700,000 | 841,526 | ||||||
|
Los Angeles, CA, Unified School District, General Obligation:
|
||||||||
|
Series A-1
4.00%, 7/1/2016
|
250,000 | 280,140 | ||||||
|
Series KY 5.00%, 7/1/2015
|
2,325,000 | 2,602,349 | ||||||
|
Series KRY 5.00%, 7/1/2018
|
935,000 | 1,137,437 | ||||||
|
Series F 5.00%, 1/1/2034
|
1,000,000 | 1,132,340 | ||||||
|
Series D 5.25%, 7/1/2025
|
1,500,000 | 1,763,655 | ||||||
|
Los Angeles, CA, Wastewater System Revenue:
|
||||||||
|
Series B 5.00%, 6/1/2030
|
1,000,000 | 1,191,590 | ||||||
|
5.00%, 6/1/2039
|
500,000 | 555,170 | ||||||
|
Los Angeles, CA, Water Utility, General Obligation
Series A 4.00%, 9/1/2018 |
1,000,000 | 1,166,770 | ||||||
|
Los Rios, CA, Community College District Election of 2008
Series A 5.00%, 8/1/2035 |
340,000 | 385,846 | ||||||
|
Marin, CA, Water District Financing Authority
Series A 5.00%, 7/1/2044 |
1,000,000 | 1,157,790 | ||||||
|
Metropolitan Water District of Southern California:
|
||||||||
|
Series C 4.00%, 10/1/2017
|
250,000 | 291,628 | ||||||
|
Series C 5.00%, 10/1/2027
|
1,500,000 | 2,033,955 | ||||||
|
Series A 5.00%, 1/1/2031
|
850,000 | 990,284 | ||||||
|
Newport Mesa, CA, Unified School District Election of 2005
Zero Coupon, 8/1/2041 (c) |
4,000,000 | 683,400 | ||||||
|
Oakland, CA, Joint Powers Financing Authority Lease Revenue
Series B 5.00%, 8/1/2022 (a) |
800,000 | 887,192 | ||||||
|
Ohlone, CA, Community College District
5.00%, 8/1/2028 |
500,000 | 602,500 | ||||||
|
Pasadena, CA, Unified School District, General Obligation
5.00%, 5/1/2034 |
1,000,000 | 1,159,980 | ||||||
|
Poway, CA, Unified School District, General Obligation
Zero Coupon, 8/1/2046 (c) |
6,000,000 | 1,103,040 | ||||||
|
Riverside, CA, Electric Revenue
Series D 5.00%, 10/1/2027 (a) |
835,000 | 957,545 | ||||||
|
Sacramento, CA, Municipal Utility District, Electric Revenue:
|
||||||||
|
Series U 5.00%, 8/15/2022 (a)
|
550,000 | 647,559 | ||||||
|
Series U 5.00%, 8/15/2023 (a)
|
1,000,000 | 1,171,910 | ||||||
|
San Diego County, CA, Regional Transportation Commission
Revenue
Series A 5.00%, 4/1/2042 |
1,000,000 | 1,149,030 | ||||||
|
San Diego County, CA, Water Authority Revenue, Certificates of
Participation:
|
||||||||
|
Series 2008-A
5.00%, 5/1/2015 (a)
|
200,000 | 221,876 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series 2008-A
5.00%, 5/1/2018 (a)
|
$ | 200,000 | $ | 240,644 | ||||
|
San Diego, CA, Community College District:
|
||||||||
|
5.00%, 8/1/2028
|
500,000 | 614,670 | ||||||
|
5.00%, 8/1/2041
|
1,000,000 | 1,149,880 | ||||||
|
San Diego, CA, Public Facilities Financing Authority, Sewer
Revenue:
|
||||||||
|
Series B 5.00%, 5/15/2021
|
1,000,000 | 1,223,190 | ||||||
|
Series A 5.25%, 5/15/2039
|
500,000 | 567,365 | ||||||
|
San Diego, CA, Public Facilities Financing Authority, Water
Revenue:
|
||||||||
|
Series A 5.00%, 8/1/2024
|
1,000,000 | 1,213,120 | ||||||
|
Series A 5.00%, 8/1/2028
|
330,000 | 403,092 | ||||||
|
San Francisco, CA, Bay Area Rapid Transit District
5.00%, 7/1/2032 (b) |
1,000,000 | 1,197,760 | ||||||
|
San Francisco, CA, Bay Area Rapid Transit District Election of
2004
Series B 5.00%, 8/1/2022 |
500,000 | 596,370 | ||||||
|
San Francisco, CA, City & County Public Utilities
Commission, Water Revenue:
|
||||||||
|
Series A 4.25%, 11/1/2031
|
535,000 | 587,344 | ||||||
|
Series D 5.00%, 11/1/2015
|
1,000,000 | 1,136,940 | ||||||
|
Series A 5.00%, 11/1/2032
|
1,110,000 | 1,311,365 | ||||||
|
San Francisco, CA, City & County Unified School
District
4.00%, 6/15/2023 |
2,000,000 | 2,265,780 | ||||||
|
San Francisco, CA, City & County Unified School
District Election of 2006
Series B 5.25%, 6/15/2022 |
800,000 | 950,656 | ||||||
|
San Francisco, CA, City & County, Earthquake
Safety & Emergency, General Obligation
4.00%, 6/15/2028 |
500,000 | 543,450 | ||||||
|
San Joaquin County, CA, Transportation Authority, Sales Tax
Revenue:
|
||||||||
|
Series A 5.00%, 3/1/2027
|
1,000,000 | 1,189,400 | ||||||
|
5.25%, 3/1/2031
|
1,000,000 | 1,180,800 | ||||||
|
Series A 5.50%, 3/1/2041
|
300,000 | 354,891 | ||||||
|
San Juan, CA, Public Power Agency Project Revenue
Series L 5.00%, 7/1/2022 (a) |
100,000 | 114,043 | ||||||
|
San Marcos, CA, Unified School District Election of 2010
Series A 5.00%, 8/1/2038 |
1,000,000 | 1,124,340 | ||||||
|
San Ramon Valley, CA, Unified School District
5.00%, 8/1/2028 |
1,000,000 | 1,203,080 | ||||||
|
Santa Clara County, CA, Financing Authority, Lease Revenue:
|
||||||||
|
Series L 5.00%, 5/15/2028
|
750,000 | 835,185 | ||||||
|
Series L 5.25%, 5/15/2036
|
1,000,000 | 1,100,810 | ||||||
|
Santa Clara Valley, CA, Transportation Authority, Sales Tax
Revenue
Series A 5.00%, 4/1/2036 (a) |
500,000 | 562,565 | ||||||
|
Santa Clara Valley, CA, Water District, Certificates of
Participation
Series A 5.00%, 6/1/2037 (a) |
500,000 | 541,140 | ||||||
|
Southern California Public Power Authority:
|
||||||||
|
5.00%, 7/1/2022
|
1,000,000 | 1,222,240 | ||||||
|
5.00%, 7/1/2030
|
1,500,000 | 1,729,395 | ||||||
|
Stanford University, Educational Facilities Authority Revenue:
|
||||||||
|
Series T-4
5.00%, 3/15/2014
|
660,000 | 705,144 | ||||||
|
Series T-1
5.00%, 3/15/2039
|
350,000 | 490,745 | ||||||
|
Sweetwater, CA, Union High School District Election of 2006
Series A 5.00%, 8/1/2038 (a) |
565,000 | 607,454 | ||||||
|
University of California, Revenue:
|
||||||||
|
Series E 4.00%, 5/15/2019
|
2,010,000 | 2,358,554 | ||||||
|
Series K 5.00%, 5/15/2020 (a)
|
250,000 | 280,628 | ||||||
|
5.00%, 5/15/2037
|
1,875,000 | 2,167,537 | ||||||
|
Series Q 5.25%, 5/15/2023
|
1,000,000 | 1,162,330 | ||||||
|
University of Southern California, Educational Facilities
Authority Revenue
Series A 5.00%, 10/1/2039 |
500,000 | 566,805 | ||||||
|
Yosemite, CA, Community College District, General Obligation
Zero Coupon, 8/1/2042 (c) |
500,000 | 200,050 | ||||||
| 97,899,934 | ||||||||
|
PUERTO RICO — 0.8%
|
||||||||
|
Puerto Rico, Sales Tax Financing Revenue:
|
||||||||
|
Series C Zero Coupon, 8/1/2037 (c)
|
2,000,000 | 515,000 | ||||||
|
Series C Zero Coupon, 8/1/2038 (c)
|
1,000,000 | 242,580 | ||||||
| 757,580 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $91,417,628)
|
98,657,514 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 4.8%
|
||||||||
|
MONEY MARKET FUND — 4.8%
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (d)(e)(f) (Cost $4,934,758) |
4,934,758 | 4,934,758 | ||||||
|
TOTAL INVESTMENTS — 101.7% (g)
|
||||||||
|
(Cost $96,352,386)
|
103,592,272 | |||||||
|
OTHER ASSETS &
LIABILITIES — (1.7)% |
(1,737,783 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 101,854,489 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
As a % of
|
||||||
|
Insurance Coverage
|
Net Assets | |||||
| Assured Guaranty Municipal Corp. | 8.97 | % | ||||
| Assured Guaranty Corp. | 2.70 | % | ||||
| National Public Finance Guarantee Corp. | 1.91 | % | ||||
| Ambac Financial Group | 1.22 | % | ||||
|
(b)
|
When-issued security. | |||||
|
(c)
|
Non-income producing security. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 96.2%
|
||||||||
|
NEW YORK — 95.0%
|
||||||||
|
Albany County, NY, Airport Authority Revenue
Series A 4.00%, 12/15/2024 (a) |
$ | 300,000 | $ | 319,629 | ||||
|
Erie County, NY, Industrial Development Agency Revenue
Series A 5.75%, 5/1/2024 (a) |
500,000 | 588,575 | ||||||
|
Nassau County, NY, General Obligation:
|
||||||||
|
Series C 5.00%, 7/1/2015 (a)
|
500,000 | 555,155 | ||||||
|
Series C 5.13%, 10/1/2035 (a)
|
100,000 | 110,265 | ||||||
|
Nassau County, NY, Interim Finance Authority Revenue:
|
||||||||
|
Series A 3.00%, 11/15/2014
|
400,000 | 419,812 | ||||||
|
Series A 5.00%, 11/15/2014
|
100,000 | 109,151 | ||||||
|
Nassau County, NY, Sewer & Storm Water Finance
Authority System, Revenue
Series A 5.38%, 11/1/2028 |
400,000 | 463,972 | ||||||
|
New York & New Jersey, Port Authority Revenue:
|
||||||||
|
4.00%, 12/1/2022
|
300,000 | 349,314 | ||||||
|
5.00%, 7/15/2022
|
100,000 | 116,245 | ||||||
|
5.00%, 7/15/2039
|
500,000 | 565,965 | ||||||
|
New York City, NY, Cultural Resource Revenue, Museum of Modern
Art
Series A-1 5.00%, 4/1/2031 |
300,000 | 347,664 | ||||||
|
New York, NY, City Transitional Finance Authority Future Tax
Secured Revenue
5.00%, 11/1/2020 |
500,000 | 631,355 | ||||||
|
New York, NY, City Transitional Finance Authority Revenue:
|
||||||||
|
Series D 3.20%, 11/1/2018
|
140,000 | 158,736 | ||||||
|
Series E 5.00%, 11/1/2017
|
500,000 | 605,675 | ||||||
|
Series A 5.00%, 11/1/2018
|
100,000 | 123,065 | ||||||
|
Series B 5.00%, 11/1/2018
|
200,000 | 247,990 | ||||||
|
Series S-5
5.00%, 1/15/2026
|
200,000 | 235,904 | ||||||
|
Series S-1A
5.25%, 7/15/2037
|
500,000 | 584,595 | ||||||
|
Series S-4
5.50%, 1/15/2033
|
500,000 | 585,115 | ||||||
|
New York, NY, City Transitional Finance Authority, Future Tax
Secured Revenue:
|
||||||||
|
5.00%, 11/1/2015
|
25,000 | 28,498 | ||||||
|
5.00%, 11/1/2015
|
175,000 | 198,965 | ||||||
|
New York, NY, General Obligation:
|
||||||||
|
Series A 3.00%, 8/1/2017
|
200,000 | 219,798 | ||||||
|
Series E 4.00%, 8/1/2022
|
250,000 | 290,043 | ||||||
|
Series K 5.00%, 8/1/2013
|
— | — | ||||||
|
Series C 5.00%, 8/1/2017
|
825,000 | 984,439 | ||||||
|
Series E 5.00%, 8/1/2021
|
300,000 | 366,120 | ||||||
|
Series G 5.00%, 8/1/2023
|
105,000 | 123,228 | ||||||
|
Series C 5.00%, 8/1/2024
|
950,000 | 1,131,022 | ||||||
|
Series E 5.00%, 8/1/2025
|
775,000 | 915,624 | ||||||
|
Series A-1
5.00%, 8/1/2035
|
250,000 | 286,220 | ||||||
|
New York, NY, Liberty Development Corp. Revenue:
|
||||||||
|
5.13%, 1/15/2044
|
500,000 | 552,490 | ||||||
|
5.25%, 12/15/2043
|
500,000 | 576,365 | ||||||
|
New York, NY, Municipal Bond Bank Agency, Special School Purpose
Revenue
5.00%, 12/1/2016 |
1,000,000 | 1,172,890 | ||||||
|
New York, NY, Municipal Water Finance Authority Revenue:
|
||||||||
|
Series EE 4.00%, 6/15/2045
|
255,000 | 260,967 | ||||||
|
Series HH 5.00%, 6/15/2032
|
1,000,000 | 1,174,690 | ||||||
|
Series GG-2
5.00%, 6/15/2035
|
100,000 | 114,600 | ||||||
|
Series AA 5.00%, 6/15/2044
|
500,000 | 566,635 | ||||||
|
Series DD 5.25%, 6/15/2024
|
200,000 | 240,216 | ||||||
|
Series EE 5.38%, 6/15/2043
|
370,000 | 439,060 | ||||||
|
Series A 5.63%, 6/15/2024
|
130,000 | 158,790 | ||||||
|
New York, State Bridge Authority General Obligation
4.00%, 1/1/2027 |
500,000 | 554,140 | ||||||
|
New York, State Dormitory Authority Revenue:
|
||||||||
|
4.00%, 1/15/2022
|
500,000 | 549,645 | ||||||
|
Series C 5.00%, 10/1/2031
|
600,000 | 672,792 | ||||||
|
New York, State Dormitory Authority Revenue, Columbia
University
5.00%, 7/1/2038 |
250,000 | 285,975 | ||||||
|
New York, State Dormitory Authority Revenue, Cornell University:
|
||||||||
|
Series A 5.00%, 7/1/2034
|
355,000 | 409,042 | ||||||
|
Series A 5.00%, 7/1/2039
|
300,000 | 339,702 | ||||||
|
New York, State Dormitory Authority Revenue, Fordham University:
|
||||||||
|
Series A 5.00%, 3/15/2017
|
100,000 | 118,759 | ||||||
|
5.00%, 10/1/2019 (a)
|
125,000 | 144,784 | ||||||
|
Series B 5.00%, 7/1/2033 (a)
|
500,000 | 548,235 | ||||||
|
New York, State Dormitory Authority Revenue, New York
University
Series A 5.00%, 7/1/2029 |
240,000 | 270,816 | ||||||
|
New York, State Dormitory Authority Revenue, Non State Supported
Debt
Series E 5.00%, 1/1/2019 |
250,000 | 300,810 | ||||||
|
New York, State Dormitory Authority, State Personal Income Tax
Revenue:
|
||||||||
|
Series B 5.00%, 2/15/2018
|
125,000 | 152,010 | ||||||
|
Series B 5.00%, 3/15/2028
|
260,000 | 310,099 | ||||||
|
New York, State Environmental Facilities Corp. Revenue:
|
||||||||
|
Series A 5.00%, 6/15/2018
|
250,000 | 307,292 | ||||||
|
5.00%, 6/15/2036
|
500,000 | 583,135 | ||||||
|
5.00%, 6/15/2041
|
250,000 | 288,028 | ||||||
|
Series A 5.25%, 12/15/2026
|
200,000 | 244,240 | ||||||
|
New York, State Housing Finance Agency, Personal Income Tax
Revenue
Series A 5.00%, 3/15/2039 |
550,000 | 628,611 | ||||||
|
New York, State Local Government Assistance Corp. Revenue:
|
||||||||
|
Series C 5.00%, 4/1/2018
|
200,000 | 244,342 | ||||||
|
Series A 5.00%, 4/1/2020
|
435,000 | 519,064 | ||||||
|
New York, State Municipal Bond Bank Agency
Series C-1 5.00%, 2/15/2016 |
200,000 | 228,060 | ||||||
|
New York, State Power Authority
Series C 5.00%, 11/15/2020 (a) |
250,000 | 292,400 | ||||||
|
New York, State Thruway Authority, General Revenue
Series B 5.00%, 4/1/2027 |
300,000 | 339,222 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
New York, State Thruway Authority, Personal Income Tax
Revenue
5.00%, 3/15/2021 |
$ | 450,000 | $ | 566,019 | ||||
|
New York, State Thruway Authority, Second General
Highway & Bridge Trust:
|
||||||||
|
Series A-1
5.00%, 4/1/2021
|
300,000 | 371,310 | ||||||
|
Series B 5.00%, 4/1/2029
|
300,000 | 343,155 | ||||||
|
New York, State Urban Development Corp. Revenue:
|
||||||||
|
Series A 4.00%, 3/15/2024
|
500,000 | 569,875 | ||||||
|
Series A 5.00%, 3/15/2016
|
250,000 | 287,783 | ||||||
|
5.00%, 12/15/2017
|
200,000 | 242,584 | ||||||
|
New York, State Urban Development Corporation Revenue
4.00%, 3/15/2025 |
500,000 | 564,525 | ||||||
|
New York, Triborough Bridge & Tunnel Authority Revenue:
|
||||||||
|
Series A 5.00%, 1/1/2023
|
500,000 | 619,820 | ||||||
|
5.00%, 11/15/2033
|
250,000 | 285,370 | ||||||
|
State of New York, General Obligation
Series C 4.50%, 2/1/2020 |
200,000 | 241,640 | ||||||
|
Suffolk County, NY, Water Authority
5.00%, 6/1/2021 |
500,000 | 630,060 | ||||||
| 29,972,186 | ||||||||
|
PUERTO RICO — 1.2%
|
||||||||
|
Puerto Rico, Sales Tax Financing Revenue:
|
||||||||
|
Series C Zero Coupon, 8/1/2037 (b)
|
1,000,000 | 257,500 | ||||||
|
Series C Zero Coupon, 8/1/2038 (b)
|
500,000 | 121,290 | ||||||
| 378,790 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $28,302,883)
|
30,350,976 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 3.8%
|
||||||||
|
MONEY MARKET FUND — 3.8%
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (c)(d)(e) (Cost $1,181,115) |
1,181,115 | 1,181,115 | ||||||
|
TOTAL INVESTMENTS — 100.0% (f)
|
||||||||
|
(Cost $29,483,998)
|
31,532,091 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.0% (g) |
13,795 | |||||||
|
NET ASSETS — 100.0%
|
$ | 31,545,886 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 99.7%
|
||||||||
|
ALABAMA — 0.7%
|
||||||||
|
Alabama, Federal Aid Highway Finance Authority
4.00%, 3/1/2016 |
$ | 5,000,000 | $ | 5,555,200 | ||||
|
Alabama, Public School & College Authority Revenue:
|
||||||||
|
5.00%, 5/1/2014
|
850,000 | 911,013 | ||||||
|
Series A 5.00%, 5/1/2014
|
1,500,000 | 1,607,670 | ||||||
|
Series A 5.00%, 5/1/2016
|
1,450,000 | 1,677,722 | ||||||
|
Series A 5.00%, 3/1/2017
|
1,000,000 | 1,180,240 | ||||||
| 10,931,845 | ||||||||
|
ALASKA — 0.1%
|
||||||||
|
Alaska, State Municipal Bond Bank Authority Revenue
5.00%, 9/1/2016 |
1,000,000 | 1,163,500 | ||||||
|
ARIZONA — 1.6%
|
||||||||
|
Arizona, Phoenix Civic Improvement Corp., Water System
Revenue
Series A 5.00%, 7/1/2017 |
1,775,000 | 2,120,451 | ||||||
|
Arizona, Salt River Project, Electrical Systems Revenue:
|
||||||||
|
Series A 3.00%, 1/1/2014
|
1,070,000 | 1,105,588 | ||||||
|
Series B 3.00%, 1/1/2014
|
5,000,000 | 5,166,300 | ||||||
|
Arizona, State Certificates of Participation:
|
||||||||
|
Series A 5.00%, 10/1/2013 (a)
|
6,500,000 | 6,787,820 | ||||||
|
5.00%, 10/1/2014 (a)
|
10,375,000 | 11,156,030 | ||||||
| 26,336,189 | ||||||||
|
ARKANSAS — 1.1%
|
||||||||
|
Arkansas, State Highway Grant Anticipation & Tax
Revenue
4.00%, 8/1/2014 |
17,000,000 | 18,126,250 | ||||||
|
CALIFORNIA — 9.4%
|
||||||||
|
California, State Department of Water Resources Revenue:
|
||||||||
|
Series L 4.00%, 5/1/2015
|
7,630,000 | 8,327,535 | ||||||
|
Series M 4.00%, 5/1/2015
|
6,000,000 | 6,548,520 | ||||||
|
Series L 5.00%, 5/1/2014
|
5,075,000 | 5,449,332 | ||||||
|
Series M 5.00%, 5/1/2014
|
550,000 | 590,568 | ||||||
|
Series L 5.00%, 5/1/2015
|
6,000,000 | 6,702,180 | ||||||
|
Series M 5.00%, 5/1/2016
|
6,925,000 | 8,023,236 | ||||||
|
California, State Public Works Board, Lease Revenue
Series F 5.00%, 10/1/2016 |
4,505,000 | 5,270,625 | ||||||
|
Contra Costa, CA, Water District Revenue
3.00%, 10/1/2015 |
11,750,000 | 12,585,660 | ||||||
|
Los Angeles, CA, General Obligation:
|
||||||||
|
Series A 2.50%, 9/1/2014
|
8,825,000 | 9,186,031 | ||||||
|
Series A 5.00%, 9/1/2016
|
10,000,000 | 11,694,100 | ||||||
|
Series A 5.00%, 9/1/2017
|
13,230,000 | 15,936,064 | ||||||
|
Los Angeles, CA, Unified School District, General Obligation:
|
||||||||
|
Series A-1
4.00%, 7/1/2016
|
2,500,000 | 2,801,400 | ||||||
|
Series I 5.00%, 7/1/2014
|
2,000,000 | 2,162,680 | ||||||
|
5.00%, 7/1/2017
|
1,000,000 | 1,190,000 | ||||||
|
Northern California Power Agency Revenue, Hydroelectric
No-1
Series C 5.00%, 7/1/2014 (a) |
1,500,000 | 1,611,900 | ||||||
|
San Diego, CA, County Water Authority Revenue
5.00%, 7/1/2016 |
10,000,000 | 11,622,500 | ||||||
|
San Diego, CA, Public Facilities Financing Authority, Sewer
Revenue:
|
||||||||
|
5.00%, 5/15/2014
|
750,000 | 806,040 | ||||||
|
5.00%, 5/15/2015
|
2,165,000 | 2,412,524 | ||||||
|
San Francisco, CA, City & County Public Utilities
Commission, Water Revenue
Series D 5.00%, 11/1/2015 |
5,360,000 | 6,093,998 | ||||||
|
San Francisco, CA, City & County, Certificates of
Participation:
|
||||||||
|
Series B 4.00%, 9/1/2015
|
5,000,000 | 5,445,850 | ||||||
|
Series B 5.00%, 9/1/2016
|
5,260,000 | 6,054,050 | ||||||
|
San Francisco, CA, City & County, General
Obligation
Series A 5.00%, 6/15/2014 |
10,075,000 | 10,848,558 | ||||||
|
San Francisco, CA, Unified School District, General
Obligation
5.00%, 6/15/2017 |
8,170,000 | 9,728,836 | ||||||
|
Southern California, State Public Power Authority Revenue
5.00%, 7/1/2016 |
725,000 | 843,226 | ||||||
| 151,935,413 | ||||||||
|
COLORADO — 1.0%
|
||||||||
|
Colorado, State Department of Transportation Revenue
5.00%, 12/15/2016 |
10,000,000 | 11,808,400 | ||||||
|
Colorado, State Higher Education Capital Construction Lease
Program, Certificates of Participation
5.00%, 11/1/2016 |
2,085,000 | 2,406,570 | ||||||
|
Denver, CO, City & County General Obligation
5.50%, 8/1/2016 |
1,900,000 | 2,255,737 | ||||||
| 16,470,707 | ||||||||
|
CONNECTICUT — 4.1%
|
||||||||
|
Connecticut, State General Obligation:
|
||||||||
|
Series D 3.00%, 11/1/2016
|
3,500,000 | 3,836,385 | ||||||
|
Series D 5.00%, 11/1/2013
|
1,000,000 | 1,050,760 | ||||||
|
Series A 5.00%, 1/1/2014
|
1,000,000 | 1,058,200 | ||||||
|
Series D 5.00%, 1/1/2014
|
450,000 | 476,190 | ||||||
|
Series F 5.00%, 12/1/2014
|
13,750,000 | 15,097,087 | ||||||
|
Series A 5.00%, 1/1/2015
|
12,750,000 | 14,040,937 | ||||||
|
5.00%, 3/15/2015
|
5,000,000 | 5,552,400 | ||||||
|
Series D 5.00%, 12/1/2016
|
500,000 | 589,820 | ||||||
|
Series A 5.00%, 4/1/2017
|
950,000 | 1,129,037 | ||||||
|
Connecticut, State Health & Educational Facility
Authority Revenue
Series A-4 5.00%, 7/1/2049 (b) |
5,000,000 | 5,521,850 | ||||||
|
Connecticut, State Special Tax Obligation Revenue:
|
||||||||
|
Series B 3.00%, 12/1/2013
|
300,000 | 309,417 | ||||||
|
Series A 5.00%, 12/1/2013
|
5,575,000 | 5,879,116 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series A 5.00%, 12/1/2014
|
$ | 3,750,000 | $ | 4,115,663 | ||||
|
5.00%, 11/1/2015
|
500,000 | 567,645 | ||||||
|
Series 1 5.00%, 2/1/2016
|
3,100,000 | 3,546,493 | ||||||
|
Series A 5.00%, 11/1/2016
|
2,650,000 | 3,106,118 | ||||||
|
University of Connecticut, Revenue
Series A 3.00%, 2/15/2014 |
415,000 | 429,982 | ||||||
| 66,307,100 | ||||||||
|
DELAWARE — 1.5%
|
||||||||
|
Delaware, State General Obligation:
|
||||||||
|
Series 2009C 2.00%, 10/1/2014
|
225,000 | 232,600 | ||||||
|
Series 2009A 5.00%, 1/1/2014
|
1,200,000 | 1,270,620 | ||||||
|
Series A 5.00%, 7/1/2015
|
4,000,000 | 4,508,720 | ||||||
|
Delaware, State Transportation Authority System Revenue
5.00%, 7/1/2017 |
15,500,000 | 18,516,610 | ||||||
| 24,528,550 | ||||||||
|
DISTRICT OF COLUMBIA — 0.3%
|
||||||||
|
District of Columbia, Income Tax Revenue:
|
||||||||
|
Series B 4.00%, 12/1/2013
|
2,000,000 | 2,085,700 | ||||||
|
Series A 5.00%, 12/1/2016
|
2,000,000 | 2,357,480 | ||||||
| 4,443,180 | ||||||||
|
FLORIDA — 4.8%
|
||||||||
|
Florida, State Board of Education, General Obligation:
|
||||||||
|
Series B 5.00%, 6/1/2014
|
500,000 | 538,300 | ||||||
|
Series C 5.00%, 6/1/2014
|
9,585,000 | 10,319,211 | ||||||
|
Series D 5.00%, 6/1/2017
|
8,210,000 | 9,776,140 | ||||||
|
Florida, State General Obligation
Series B 5.00%, 7/1/2014 |
8,070,000 | 8,716,084 | ||||||
|
Florida, State Hurricane Catastrophe Fund Revenue:
|
||||||||
|
Series A 5.00%, 7/1/2014
|
2,000,000 | 2,153,560 | ||||||
|
Series A 5.00%, 7/1/2016
|
5,690,000 | 6,531,153 | ||||||
|
Jacksonville, FL, Special Tax Revenue:
|
||||||||
|
Series B 5.00%, 10/1/2013
|
7,705,000 | 8,048,489 | ||||||
|
5.00%, 10/1/2014
|
9,120,000 | 9,950,649 | ||||||
|
Series B 5.00%, 10/1/2015
|
7,705,000 | 8,675,291 | ||||||
|
Lakeland, FL, Energy Systems Revenue
5.00%, 10/1/2015 (a) |
7,510,000 | 8,307,111 | ||||||
|
Miami-Dade
County, FL, Water & Sewer Revenue:
|
||||||||
|
4.00%, 10/1/2013
|
150,000 | 155,598 | ||||||
|
Series B 5.00%, 10/1/2014 (a)
|
3,250,000 | 3,547,375 | ||||||
| 76,718,961 | ||||||||
|
GEORGIA — 3.9%
|
||||||||
|
Fulton County, GA, Water & Sewer Revenue
5.00%, 1/1/2017 |
2,430,000 | 2,845,068 | ||||||
|
Georgia, State Environmental Loan Acquisition Corp. Revenue
2.40%, 3/15/2016 |
60,000 | 60,101 | ||||||
|
Georgia, State General Obligation:
|
||||||||
|
Series A 3.00%, 1/1/2014
|
200,000 | 206,752 | ||||||
|
Series B 4.00%, 1/1/2015
|
1,000,000 | 1,081,530 | ||||||
|
Series E-2
4.00%, 9/1/2016
|
4,400,000 | 4,999,368 | ||||||
|
Series F 5.00%, 12/1/2013
|
2,250,000 | 2,373,547 | ||||||
|
Series C 5.00%, 7/1/2014
|
5,000,000 | 5,408,550 | ||||||
|
Series G 5.00%, 11/1/2014
|
6,535,000 | 7,166,412 | ||||||
|
5.00%, 12/1/2014
|
500,000 | 550,125 | ||||||
|
Series D 5.00%, 5/1/2015
|
600,000 | 671,370 | ||||||
|
Series E 5.00%, 7/1/2016
|
2,990,000 | 3,493,337 | ||||||
|
Series I 5.00%, 11/1/2016
|
7,480,000 | 8,840,313 | ||||||
|
Series F 5.00%, 12/1/2016
|
4,790,000 | 5,676,533 | ||||||
|
Series A 5.00%, 7/1/2017
|
5,000,000 | 6,024,900 | ||||||
|
Georgia, State Road & Tollway Authority Revenue:
|
||||||||
|
Series A 5.00%, 3/1/2014
|
500,000 | 532,770 | ||||||
|
Series A 5.00%, 3/1/2016
|
4,590,000 | 5,286,028 | ||||||
|
Series A 5.00%, 6/1/2016
|
2,000,000 | 2,318,180 | ||||||
|
Series A 5.00%, 6/1/2017
|
1,040,000 | 1,240,502 | ||||||
|
Gwinnett Country, GA, Water & Sewer Authority
Revenue
5.00%, 8/1/2016 |
4,000,000 | 4,683,240 | ||||||
| 63,458,626 | ||||||||
|
HAWAII — 1.0%
|
||||||||
|
Hawaii, State General Obligation:
|
||||||||
|
2.25%, 11/1/2013
|
250,000 | 255,350 | ||||||
|
Series DT 4.00%, 11/1/2014
|
2,000,000 | 2,149,700 | ||||||
|
Series DK 5.00%, 5/1/2014
|
1,000,000 | 1,072,930 | ||||||
|
Series DY 5.00%, 2/1/2015
|
1,000,000 | 1,106,470 | ||||||
|
Series EA 5.00%, 12/1/2016
|
1,965,000 | 2,317,108 | ||||||
|
Honolulu, HI, City & County General Obligation:
|
||||||||
|
Series A 2.75%, 4/1/2014
|
1,750,000 | 1,813,088 | ||||||
|
Series B 5.25%, 7/1/2014 (a)
|
3,875,000 | 4,205,615 | ||||||
|
5.25%, 7/1/2016 (a)
|
2,250,000 | 2,632,230 | ||||||
| 15,552,491 | ||||||||
|
ILLINOIS — 1.9%
|
||||||||
|
Chicago, IL, Water Revenue
5.00%, 11/1/2014 (a) |
1,500,000 | 1,634,115 | ||||||
|
Cook County, IL, General Obligation
Series A 5.00%, 11/15/2016 |
1,755,000 | 2,030,483 | ||||||
|
Illinois, State Sales Tax Revenue:
|
||||||||
|
Series B 3.00%, 6/15/2014
|
1,675,000 | 1,746,958 | ||||||
|
3.00%, 6/15/2016
|
2,000,000 | 2,157,800 | ||||||
|
5.00%, 6/15/2015
|
2,575,000 | 2,869,142 | ||||||
|
Illinois, State Unemployment Insurance Fund, Building Receipts
Revenue
Series B 5.00%, 6/15/2017 |
10,000,000 | 11,840,400 | ||||||
|
Illinois, University of Chicago, Educational Facilities
Authority Revenue
Series B 1.88%, 7/1/2036 (b) |
5,000,000 | 5,126,500 | ||||||
|
University of Illinois, Certificates of Participation
Series B 5.00%, 10/1/2015 (a) |
2,420,000 | 2,687,410 | ||||||
| 30,092,808 | ||||||||
|
INDIANA — 0.7%
|
||||||||
|
Indiana, State Finance Authority Revenue
Series A 5.00%, 2/1/2015 |
1,250,000 | 1,381,850 | ||||||
|
Indiana, State Finance Authority, Lease Revenue:
|
||||||||
|
Series A-1
5.00%, 11/1/2014
|
5,000,000 | 5,442,700 | ||||||
|
Series A-1
5.00%, 11/1/2016
|
2,665,000 | 3,107,337 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Purdue University, Revenue
Series Z-1 5.00%, 7/1/2014 |
$ | 500,000 | $ | 540,215 | ||||
| 10,472,102 | ||||||||
|
IOWA — 0.3%
|
||||||||
|
Iowa, State Finance Authority Revenue
5.00%, 8/1/2016 |
1,000,000 | 1,167,900 | ||||||
|
Iowa, State General Obligation
Series A 5.00%, 6/1/2017 |
2,585,000 | 3,082,044 | ||||||
| 4,249,944 | ||||||||
|
KENTUCKY — 0.8%
|
||||||||
|
Kentucky, State Infrastructure Authority Revenue
Series A 5.00%, 2/1/2017 |
2,035,000 | 2,428,488 | ||||||
|
Kentucky, State Property & Buildings Commission
Revenue:
|
||||||||
|
5.00%, 8/1/2014
|
225,000 | 242,325 | ||||||
|
Series A 5.00%, 11/1/2014
|
1,000,000 | 1,089,410 | ||||||
|
Series A 5.00%, 8/1/2016
|
4,690,000 | 5,429,144 | ||||||
|
Kentucky, State Turnpike Authority Revenue:
|
||||||||
|
Series A 4.00%, 7/1/2017
|
1,150,000 | 1,314,622 | ||||||
|
5.00%, 7/1/2016
|
1,865,000 | 2,160,845 | ||||||
| 12,664,834 | ||||||||
|
LOUISIANA — 0.6%
|
||||||||
|
Louisiana, Public Facilities Authority Revenue
4.00%, 6/1/2013 (a) |
4,800,000 | 4,882,752 | ||||||
|
Louisiana, State General Obligation
Series A 5.00%, 5/1/2014 |
5,000,000 | 5,364,650 | ||||||
| 10,247,402 | ||||||||
|
MARYLAND — 4.8%
|
||||||||
|
Anne Arundel County, MD, General Obligation
5.00%, 4/1/2016 |
1,000,000 | 1,156,070 | ||||||
|
Baltimore County, MD, General Obligation:
|
||||||||
|
5.00%, 2/1/2014
|
3,230,000 | 3,431,907 | ||||||
|
5.00%, 2/1/2016
|
2,000,000 | 2,302,380 | ||||||
|
Maryland, State Department of Transportation Revenue
5.00%, 2/15/2015 |
1,100,000 | 1,219,889 | ||||||
|
Maryland, State Department of Transportation, Revenue:
|
||||||||
|
4.00%, 2/15/2014
|
2,500,000 | 2,625,700 | ||||||
|
5.00%, 5/1/2016
|
2,000,000 | 2,321,060 | ||||||
|
Maryland, State General Obligation:
|
||||||||
|
Series A 3.00%, 3/1/2014
|
2,875,000 | 2,984,624 | ||||||
|
Series C 5.00%, 3/1/2016
|
2,240,000 | 2,583,795 | ||||||
|
Series B 5.00%, 8/1/2016
|
4,875,000 | 5,709,746 | ||||||
|
Series E 5.00%, 8/1/2016
|
14,500,000 | 16,982,835 | ||||||
|
Series C 5.00%, 11/1/2016
|
1,025,000 | 1,210,945 | ||||||
|
Series B 5.25%, 8/15/2014
|
200,000 | 218,414 | ||||||
|
Maryland, State Transportation Authority, Grant &
Revenue Anticipation
5.25%, 3/1/2015 |
1,025,000 | 1,147,590 | ||||||
|
Montgomery County, MD, General Obligation:
|
||||||||
|
Series A 5.00%, 7/1/2015
|
525,000 | 591,465 | ||||||
|
Series A 5.00%, 8/1/2015
|
16,250,000 | 18,364,450 | ||||||
|
Series A 5.00%, 7/1/2016
|
3,835,000 | 4,483,729 | ||||||
|
Series A 5.00%, 7/1/2016
|
5,000,000 | 5,864,150 | ||||||
|
Prince George’s County, MD, General Obligation
Series B 5.00%, 9/15/2014 |
500,000 | 545,450 | ||||||
|
Washington, MD, Suburban Sanitation District, General
Obligation
4.00%, 6/1/2016 |
2,700,000 | 3,042,387 | ||||||
| 76,786,586 | ||||||||
|
MASSACHUSETTS — 3.7%
|
||||||||
|
Boston, MA, General Obligation
Series A 5.00%, 4/1/2016 |
7,115,000 | 8,220,031 | ||||||
|
Boston, MA, Water & Sewer Commission, Water Revenue
Series B 5.00%, 11/1/2014 |
4,545,000 | 4,980,138 | ||||||
|
Massachusetts Bay Transportation Authority, Sales Tax Revenue:
|
||||||||
|
Series A 5.00%, 7/1/2015
|
1,000,000 | 1,126,890 | ||||||
|
Series B 5.00%, 7/1/2017
|
940,000 | 1,122,943 | ||||||
|
Massachusetts, State General Obligation:
|
||||||||
|
Series C 3.00%, 1/1/2014
|
4,125,000 | 4,263,229 | ||||||
|
Series C 4.00%, 12/1/2015
|
2,915,000 | 3,235,533 | ||||||
|
Series A 5.00%, 9/1/2014
|
1,500,000 | 1,633,035 | ||||||
|
Series C 5.00%, 1/1/2015
|
1,000,000 | 1,101,960 | ||||||
|
Series B 5.00%, 7/1/2016
|
1,000,000 | 1,164,690 | ||||||
|
Series A 5.00%, 8/1/2016
|
3,290,000 | 3,842,391 | ||||||
|
Series B 5.00%, 8/1/2016
|
10,000,000 | 11,679,000 | ||||||
|
Series A 5.00%, 3/1/2017
|
1,305,000 | 1,550,823 | ||||||
|
Massachusetts, State School Building Authority, Sales Tax
Revenue
Series A 5.00%, 8/15/2013 (a) |
160,000 | 166,632 | ||||||
|
Massachusetts, State Special Obligation Revenue
Series A 5.00%, 6/15/2015 |
2,100,000 | 2,357,334 | ||||||
|
Massachusetts, State Transportation Fund Revenue
5.00%, 6/1/2017 |
9,840,000 | 11,801,997 | ||||||
|
Massachusetts, State Water Pollution Abatement Trust
5.00%, 8/1/2016 |
1,000,000 | 1,169,980 | ||||||
| 59,416,606 | ||||||||
|
MICHIGAN — 1.1%
|
||||||||
|
Michigan, State Finance Authority Revenue
Series A 5.00%, 7/1/2017 |
10,000,000 | 12,003,100 | ||||||
|
University of Michigan, Revenue
Series C 3.00%, 4/1/2014 |
5,920,000 | 6,150,939 | ||||||
| 18,154,039 | ||||||||
|
MINNESOTA — 2.4%
|
||||||||
|
Minnesota, State General Obligation:
|
||||||||
|
Series F 4.00%, 8/1/2015
|
600,000 | 661,386 | ||||||
|
Series F 4.00%, 8/1/2016
|
1,475,000 | 1,669,877 | ||||||
|
Series H 5.00%, 11/1/2013
|
1,000,000 | 1,051,310 | ||||||
|
Series A 5.00%, 6/1/2014
|
1,675,000 | 1,804,461 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series D 5.00%, 8/1/2014
|
$ | 2,825,000 | $ | 3,066,820 | ||||
|
Series A 5.00%, 6/1/2015
|
1,685,000 | 1,892,356 | ||||||
|
Series D 5.00%, 8/1/2015
|
7,675,000 | 8,675,974 | ||||||
|
Series A 5.00%, 10/1/2015
|
645,000 | 733,642 | ||||||
|
Series A 5.00%, 8/1/2016
|
400,000 | 467,992 | ||||||
|
Series D 5.00%, 8/1/2016
|
1,000,000 | 1,169,980 | ||||||
|
Series E 5.00%, 8/1/2016
|
1,550,000 | 1,813,469 | ||||||
|
Series A 5.00%, 10/1/2016
|
5,000,000 | 5,882,200 | ||||||
|
Series A 5.00%, 6/1/2017
|
1,000,000 | 1,199,390 | ||||||
|
Northern Municipal Power Agency, Electric System Revenue
Series A 5.00%, 1/1/2014 (a) |
1,000,000 | 1,054,460 | ||||||
|
University of Minnesota, Revenue
Series A 5.00%, 12/1/2015 |
7,000,000 | 8,003,310 | ||||||
| 39,146,627 | ||||||||
|
MISSOURI — 0.7%
|
||||||||
|
Missouri, State Highways & Transportation Commission,
State Road Revenue:
|
||||||||
|
Series A 5.00%, 5/1/2014
|
7,350,000 | 7,892,136 | ||||||
|
Series A 5.00%, 5/1/2017
|
2,990,000 | 3,571,196 | ||||||
| 11,463,332 | ||||||||
|
NEBRASKA — 0.1%
|
||||||||
|
Omaha, NE, Public Power District Electric Revenue
Series A 5.00%, 2/1/2016 |
2,000,000 | 2,296,640 | ||||||
|
NEVADA — 0.4%
|
||||||||
|
Clark County, NV, Highway Improvement Revenue
5.00%, 7/1/2016 |
2,685,000 | 3,078,702 | ||||||
|
Clark County, NV, Sales and Excise Tax Revenue
Series B 3.00%, 7/1/2015 |
2,985,000 | 3,140,369 | ||||||
|
Las Vegas Valley, NV, Water District General Obligation
Series A 5.00%, 2/1/2013 |
275,000 | 279,194 | ||||||
| 6,498,265 | ||||||||
|
NEW HAMPSHIRE — 0.1%
|
||||||||
|
New Hampshire, State Municipal Bond Bank
Series A 5.00%, 8/15/2017 |
1,265,000 | 1,510,739 | ||||||
|
NEW JERSEY — 1.4%
|
||||||||
|
New Jersey, State General Obligation:
|
||||||||
|
5.00%, 8/1/2014
|
13,000,000 | 14,105,390 | ||||||
|
Series A 5.00%, 6/15/2015
|
220,000 | 242,389 | ||||||
|
5.00%, 8/1/2015
|
2,445,000 | 2,753,535 | ||||||
|
Series Q 5.00%, 8/15/2016
|
4,850,000 | 5,646,176 | ||||||
|
New Jersey, State Higher Education Assistance Authority, Student
Loan Revenue
Series A 5.00%, 12/1/2014 |
250,000 | 272,840 | ||||||
| 23,020,330 | ||||||||
|
NEW MEXICO — 1.4%
|
||||||||
|
Albuquerque, NM, Municipal School District No. 12
Series A 3.00%, 8/1/2015 |
8,250,000 | 8,835,585 | ||||||
|
New Mexico, State Finance Authority Transportation Revenue:
|
||||||||
|
Series A-1
5.00%, 12/15/2013
|
500,000 | 528,315 | ||||||
|
5.00%, 6/15/2017
|
2,000,000 | 2,391,800 | ||||||
|
New Mexico, State Severance Tax Revenue:
|
||||||||
|
Series B 5.00%, 7/1/2014
|
8,230,000 | 8,897,947 | ||||||
|
Series A-2
5.00%, 7/1/2015
|
1,000,000 | 1,122,500 | ||||||
| 21,776,147 | ||||||||
|
NEW YORK — 17.0%
|
||||||||
|
City of New York, NY:
|
||||||||
|
Series B 4.00%, 8/1/2015
|
1,000,000 | 1,099,040 | ||||||
|
Series E 4.00%, 8/1/2015
|
450,000 | 494,568 | ||||||
|
Series A-1
5.00%, 8/1/2014
|
100,000 | 108,368 | ||||||
|
Series B 5.00%, 8/1/2014
|
115,000 | 124,623 | ||||||
|
5.00%, 6/1/2015
|
6,110,000 | 6,842,772 | ||||||
|
5.00%, 8/1/2015
|
3,000,000 | 3,381,300 | ||||||
|
Series B 5.00%, 8/1/2015
|
7,500,000 | 8,453,250 | ||||||
|
Series E 5.00%, 8/1/2015
|
3,250,000 | 3,663,075 | ||||||
|
Series I-1
5.00%, 8/1/2015
|
6,300,000 | 7,100,730 | ||||||
|
Series B 5.00%, 8/1/2016
|
5,000,000 | 5,818,850 | ||||||
|
Series F 5.00%, 8/1/2016
|
1,455,000 | 1,693,285 | ||||||
|
Series A-1
5.00%, 8/15/2016
|
2,470,000 | 2,878,563 | ||||||
|
Series H-1
5.00%, 3/1/2017
|
3,910,000 | 4,611,024 | ||||||
|
Series E 5.00%, 8/1/2017
|
2,950,000 | 3,520,117 | ||||||
|
Series E 5.00%, 8/1/2017
|
2,050,000 | 2,446,183 | ||||||
|
Series G 5.00%, 8/1/2017
|
2,320,000 | 2,768,363 | ||||||
|
New York, Metropolitan Transportation Authority Revenue
Series A 5.00%, 11/15/2015 |
6,525,000 | 7,405,810 | ||||||
|
New York, NY, City Transitional Finance Authority Revenue:
|
||||||||
|
3.00%, 11/1/2013
|
4,500,000 | 4,633,605 | ||||||
|
5.00%, 11/1/2014
|
4,605,000 | 5,052,974 | ||||||
|
Series B 5.00%, 11/1/2014
|
6,735,000 | 7,390,181 | ||||||
|
Series C 5.00%, 11/1/2015
|
9,865,000 | 11,215,913 | ||||||
|
Series E 5.00%, 11/1/2015
|
5,000,000 | 5,684,700 | ||||||
|
Series A 5.00%, 11/1/2016
|
1,500,000 | 1,766,790 | ||||||
|
Series E 5.00%, 11/1/2017
|
500,000 | 605,675 | ||||||
|
New York, NY, City Transitional Finance Authority, Future Tax
Secured Revenue:
|
||||||||
|
5.00%, 11/1/2015
|
680,000 | 775,139 | ||||||
|
5.00%, 11/1/2015
|
5,125,000 | 5,826,817 | ||||||
|
Series C 5.00%, 11/1/2016
|
925,000 | 1,089,521 | ||||||
|
Series B 5.00%, 11/1/2017
|
15,000,000 | 18,103,800 | ||||||
|
New York, NY, General Obligation:
|
||||||||
|
Series C 4.00%, 8/1/2014
|
4,000,000 | 4,261,960 | ||||||
|
Series C 5.00%, 8/1/2017
|
425,000 | 507,136 | ||||||
|
New York, NY, Municipal Bond Bank Agency, Special School Purpose
Revenue
5.00%, 12/1/2016 |
2,375,000 | 2,785,614 | ||||||
|
New York, State Dormitory Authority:
|
||||||||
|
4.00%, 5/15/2015
|
700,000 | 761,698 | ||||||
|
5.00%, 3/15/2013
|
210,000 | 214,570 | ||||||
|
5.00%, 10/1/2013 (a)
|
2,500,000 | 2,611,725 | ||||||
|
5.00%, 2/15/2014
|
1,000,000 | 1,064,050 | ||||||
|
5.00%, 3/15/2014
|
320,000 | 341,744 | ||||||
|
Series E 5.00%, 2/15/2015
|
250,000 | 276,810 | ||||||
|
Series A 5.00%, 2/15/2016
|
5,025,000 | 5,766,238 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series A 5.00%, 4/1/2016
|
$ | 3,190,000 | $ | 3,668,659 | ||||
|
5.00%, 6/15/2016
|
1,300,000 | 1,510,548 | ||||||
|
Series A 5.00%, 12/15/2016
|
1,265,000 | 1,491,460 | ||||||
|
New York, State Dormitory Authority, State Personal Income Tax
Revenue
Series C 5.00%, 3/15/2017 |
370,000 | 439,408 | ||||||
|
New York, State Environmental Facilities Revenue:
|
||||||||
|
Series A 3.50%, 12/15/2013
|
2,500,000 | 2,591,750 | ||||||
|
4.00%, 8/15/2015
|
1,400,000 | 1,545,194 | ||||||
|
Series A 5.00%, 12/15/2013
|
2,200,000 | 2,320,186 | ||||||
|
Series A 5.00%, 6/15/2015
|
825,000 | 927,993 | ||||||
|
5.00%, 6/15/2016
|
3,690,000 | 4,302,392 | ||||||
|
Series A 5.00%, 8/15/2016
|
1,595,000 | 1,872,195 | ||||||
|
Series A 5.00%, 12/15/2016
|
765,000 | 901,950 | ||||||
|
Series A 5.00%, 6/15/2017
|
8,000,000 | 9,587,680 | ||||||
|
New York, State General Obligation:
|
||||||||
|
Series C 3.00%, 2/1/2014
|
15,000,000 | 15,538,350 | ||||||
|
Series A 3.00%, 3/1/2015
|
13,245,000 | 14,086,985 | ||||||
|
New York, State Local Government Assistance Corp. Revenue
Series A 5.00%, 4/1/2015 |
3,200,000 | 3,567,552 | ||||||
|
New York, State Thruway Authority Personal Income Tax Revenue:
|
||||||||
|
Series A 3.50%, 3/15/2014
|
2,330,000 | 2,438,135 | ||||||
|
Series A 5.00%, 3/15/2017
|
6,440,000 | 7,648,080 | ||||||
|
New York, State Urban Development Corp. Revenue:
|
||||||||
|
5.00%, 12/15/2013
|
1,400,000 | 1,479,632 | ||||||
|
5.00%, 1/1/2014
|
4,275,000 | 4,519,402 | ||||||
|
Series A 5.00%, 1/1/2014
|
2,780,000 | 2,938,933 | ||||||
|
Series A 5.00%, 3/15/2014
|
655,000 | 699,704 | ||||||
|
Series A-1
5.00%, 1/1/2015
|
7,390,000 | 8,145,258 | ||||||
|
Series A-2
5.00%, 1/1/2015
|
2,610,000 | 2,876,742 | ||||||
|
Series C 5.00%, 12/15/2015
|
390,000 | 445,509 | ||||||
|
Series B 5.00%, 1/1/2016
|
10,000,000 | 11,376,900 | ||||||
|
Series D 5.00%, 1/1/2016
|
2,075,000 | 2,360,707 | ||||||
|
Series A 5.00%, 3/15/2016
|
11,100,000 | 12,777,543 | ||||||
|
Series D 5.25%, 1/1/2017
|
2,340,000 | 2,765,061 | ||||||
|
New York, Triborough Bridge & Tunnel Authority
Revenue
Series B 5.00%, 11/15/2017 |
3,350,000 | 4,048,374 | ||||||
|
Suffolk County, NY, General Obligation
Series C 4.00%, 10/15/2013 |
500,000 | 517,750 | ||||||
|
Westchester County, NY, General Obligation:
|
||||||||
|
Series A 2.00%, 10/15/2013
|
1,245,000 | 1,267,995 | ||||||
|
5.00%, 11/1/2016
|
600,000 | 708,582 | ||||||
| 274,513,190 | ||||||||
|
NORTH CAROLINA — 3.9%
|
||||||||
|
Charlotte, NC, Certificates of Participation
5.00%, 6/1/2014 |
5,455,000 | 5,866,198 | ||||||
|
Charlotte, NC, General Obligation
5.00%, 8/1/2015 |
550,000 | 620,901 | ||||||
|
Guilford County, NC, General Obligation:
|
||||||||
|
Series A 4.00%, 2/1/2014
|
6,005,000 | 6,302,488 | ||||||
|
Series A 5.00%, 3/1/2017
|
9,220,000 | 10,992,268 | ||||||
|
Mecklenburg County, NC, General Obligation:
|
||||||||
|
Series A 3.00%, 8/1/2014
|
1,970,000 | 2,067,613 | ||||||
|
Series C 5.00%, 12/1/2016
|
4,000,000 | 4,740,320 | ||||||
|
Mecklenburg County, NC, Public Facilities Corp.
5.00%, 3/1/2017 |
1,600,000 | 1,902,160 | ||||||
|
North Carolina, State Annual Appropriation
Series A 5.00%, 5/1/2016 |
1,190,000 | 1,372,772 | ||||||
|
North Carolina, State Capital Improvement Obligation
Series A 4.50%, 5/1/2014 |
1,745,000 | 1,857,116 | ||||||
|
North Carolina, State Capital Improvement Revenue
Series A 5.00%, 5/1/2016 |
6,000,000 | 6,921,540 | ||||||
|
North Carolina, State General Obligation:
|
||||||||
|
Series B 5.00%, 6/1/2015
|
1,125,000 | 1,263,757 | ||||||
|
Series A 5.00%, 3/1/2016
|
5,500,000 | 6,346,120 | ||||||
|
Series A 5.00%, 5/1/2016
|
4,745,000 | 5,473,785 | ||||||
|
North Carolina, State Grant & Revenue Anticipation:
|
||||||||
|
4.00%, 3/1/2016
|
1,030,000 | 1,147,698 | ||||||
|
5.00%, 3/1/2014 (a)
|
1,050,000 | 1,116,969 | ||||||
|
Wake County, NC, General Obligation:
|
||||||||
|
Series D 4.00%, 2/1/2016
|
705,000 | 789,812 | ||||||
|
5.00%, 3/1/2016
|
3,100,000 | 3,586,049 | ||||||
| 62,367,566 | ||||||||
|
OHIO — 2.9%
|
||||||||
|
Ohio, State Building Authority Revenue:
|
||||||||
|
Series C 4.00%, 10/1/2015
|
3,145,000 | 3,451,040 | ||||||
|
Series C 4.00%, 10/1/2016
|
3,000,000 | 3,375,390 | ||||||
|
Series B 5.00%, 10/1/2017
|
2,150,000 | 2,571,421 | ||||||
|
Ohio, State General Obligation:
|
||||||||
|
Series C 5.00%, 9/15/2015
|
10,000,000 | 11,319,200 | ||||||
|
5.00%, 7/1/2016
|
3,225,000 | 3,761,350 | ||||||
|
Series A 5.00%, 9/15/2016
|
1,000,000 | 1,171,930 | ||||||
|
Series B 5.00%, 9/15/2016
|
1,080,000 | 1,265,684 | ||||||
|
Series C 5.00%, 9/15/2016
|
2,000,000 | 2,343,860 | ||||||
|
Ohio, State Infrastructure Project Revenue:
|
||||||||
|
5.00%, 6/15/2015
|
475,000 | 530,071 | ||||||
|
Series 3 5.00%, 12/15/2016
|
12,930,000 | 15,133,272 | ||||||
|
Series 2008-1
6.00%, 6/15/2017
|
1,445,000 | 1,774,388 | ||||||
|
Ohio, State Water Development Authority Revenue
5.00%, 12/1/2015 |
715,000 | 816,509 | ||||||
| 47,514,115 | ||||||||
|
OKLAHOMA — 0.8%
|
||||||||
|
Oklahoma, Capital Improvement Authority, State Highway
Capital Improvement Revenue
Series A 4.00%, 7/1/2017 |
1,010,000 | 1,156,612 | ||||||
|
Oklahoma, Grand River Dam Authority Revenue
Series A 4.00%, 6/1/2016 |
880,000 | 981,059 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Oklahoma, State Turnpike Authority
Series A 5.00%, 1/1/2017 |
$ | 5,000,000 | $ | 5,881,450 | ||||
|
Tulsa County, OK, Industrial Authority, Educational Facilities
Lease Revenue
4.00%, 9/1/2013 |
5,410,000 | 5,583,931 | ||||||
| 13,603,052 | ||||||||
|
OREGON — 0.9%
|
||||||||
|
Oregon, State Department of Transportation, Highway User Tax
Revenue
Series A 5.00%, 11/15/2017 |
1,405,000 | 1,704,181 | ||||||
|
Oregon, State General Obligation
Series J 5.00%, 5/1/2016 |
1,000,000 | 1,161,300 | ||||||
|
Portland, OR, Sewer System Revenue
Series A 5.00%, 3/1/2015 |
8,690,000 | 9,628,259 | ||||||
|
Salem-Keizer,
OR, School District No. 24J, General Obligation
Series A 4.00%, 6/15/2015 |
1,250,000 | 1,361,187 | ||||||
| 13,854,927 | ||||||||
|
PENNSYLVANIA — 4.4%
|
||||||||
|
Pennsylvania, Economic Development Financing Authority
Revenue
Series A 5.00%, 6/15/2014 |
9,175,000 | 9,645,127 | ||||||
|
Pennsylvania, Intergovernmental Cooperative Authority, Special
Tax Revenue:
|
||||||||
|
5.00%, 6/15/2014
|
2,000,000 | 2,157,120 | ||||||
|
5.00%, 6/15/2015
|
5,000,000 | 5,586,850 | ||||||
|
Pennsylvania, State General Obligation:
|
||||||||
|
5.00%, 3/15/2014
|
8,920,000 | 9,519,335 | ||||||
|
Series A 5.00%, 2/15/2015
|
1,000,000 | 1,107,240 | ||||||
|
5.00%, 7/1/2016
|
1,700,000 | 1,977,916 | ||||||
|
Series A 5.00%, 5/1/2017
|
2,000,000 | 2,381,800 | ||||||
|
5.00%, 7/1/2017
|
25,000,000 | 29,917,000 | ||||||
|
Pennsylvania, State Higher Educational Facilities Authority
Revenue
5.00%, 6/15/2015 |
7,110,000 | 7,934,333 | ||||||
| 70,226,721 | ||||||||
|
RHODE ISLAND — 0.3%
|
||||||||
|
Rhode Island, State & Providence Plantations,
Consolidated Capital Development, General Obligation
Series A 5.00%, 10/1/2014 |
4,995,000 | 5,423,821 | ||||||
|
SOUTH CAROLINA — 1.8%
|
||||||||
|
South Carolina, State General Obligation:
|
||||||||
|
Series A 4.00%, 6/1/2015
|
15,000,000 | 16,432,050 | ||||||
|
5.00%, 3/1/2015
|
1,050,000 | 1,166,319 | ||||||
|
5.00%, 3/1/2016
|
5,000,000 | 5,765,550 | ||||||
|
South Carolina, State Public Service Authority Revenue:
|
||||||||
|
Series E 5.00%, 1/1/2014
|
1,200,000 | 1,269,528 | ||||||
|
Series B 5.00%, 12/1/2016
|
3,500,000 | 4,111,380 | ||||||
| 28,744,827 | ||||||||
|
TENNESSEE — 2.0%
|
||||||||
|
Memphis, TN, Electric System Revenue:
|
||||||||
|
5.00%, 12/1/2014
|
3,500,000 | 3,838,100 | ||||||
|
5.00%, 12/1/2017
|
1,200,000 | 1,451,604 | ||||||
|
Murfreesboro, TN, General Obligation
5.00%, 6/1/2014 |
1,605,000 | 1,729,612 | ||||||
|
Nashville & Davidson County, Health &
Educational Facilities Board Revenue
5.00%, 10/1/2014 |
1,000,000 | 1,092,760 | ||||||
|
Sevierville, TN, Public Building Authority Revenue
5.00%, 6/1/2014 |
1,000,000 | 1,076,250 | ||||||
|
Shelby County, TN, General Obligation
Series A 5.00%, 4/1/2017 |
5,360,000 | 6,357,067 | ||||||
|
Tennessee, Metropolitan Government of Nashville &
Davidson County
5.00%, 7/1/2016 |
2,800,000 | 3,257,744 | ||||||
|
Tennessee, Metropolitan Government of Nashville &
Davidson County, General Obligation
Series D 5.00%, 7/1/2017 |
5,700,000 | 6,824,040 | ||||||
|
Tennessee, State General Obligation:
|
||||||||
|
Series A 4.00%, 5/1/2013
|
150,000 | 153,308 | ||||||
|
Series A 5.00%, 10/1/2013
|
500,000 | 523,780 | ||||||
|
Tennessee, State School Bond Authority:
|
||||||||
|
3.00%, 5/1/2014
|
1,950,000 | 2,031,237 | ||||||
|
4.00%, 5/1/2015
|
2,000,000 | 2,182,840 | ||||||
|
5.00%, 5/1/2013 (a)
|
60,000 | 61,658 | ||||||
|
Series C 5.00%, 5/1/2017
|
1,050,000 | 1,235,924 | ||||||
| 31,815,924 | ||||||||
|
TEXAS — 5.8%
|
||||||||
|
Dallas County, TX, Community College District, General
Obligation
5.00%, 2/15/2014 |
1,340,000 | 1,424,876 | ||||||
|
Dallas, TX, Independent School District, General Obligation
4.00%, 2/15/2016 (a) |
2,000,000 | 2,232,680 | ||||||
|
Frisco, TX, Refunding Improvement, General Obligation
5.00%, 2/15/2016 |
4,000,000 | 4,595,800 | ||||||
|
Houston, TX, General Obligation:
|
||||||||
|
Series A 4.00%, 3/1/2017
|
4,000,000 | 4,570,480 | ||||||
|
Series A 5.00%, 3/1/2016
|
5,000,000 | 5,749,000 | ||||||
|
Series A 5.00%, 3/1/2017
|
1,565,000 | 1,856,043 | ||||||
|
Houston, TX, Utilities System Revenue:
|
||||||||
|
Series C 5.00%, 11/15/2013
|
1,905,000 | 2,005,622 | ||||||
|
Series C 5.00%, 11/15/2015
|
4,685,000 | 5,331,436 | ||||||
|
Series E 5.00%, 11/15/2016
|
13,775,000 | 16,192,788 | ||||||
|
Lamar, TX, Consolidated Independent School District, General
Obligation
5.00%, 2/15/2013 (a) |
180,000 | 183,157 | ||||||
|
Northside, TX, Tollway Authority Revenue
Series A 5.00%, 9/1/2016 |
1,100,000 | 1,267,882 | ||||||
|
San Antonio, TX, Electric and Gas:
|
||||||||
|
Series A 5.00%, 2/1/2014
|
200,000 | 212,336 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Series D 5.00%, 2/1/2017
|
$ | 2,755,000 | $ | 3,253,931 | ||||
|
Texas A&M, State University Revenue:
|
||||||||
|
Series D 4.00%, 5/15/2016
|
750,000 | 841,095 | ||||||
|
Series B 5.00%, 5/15/2016
|
1,000,000 | 1,157,180 | ||||||
|
Texas Tech, State University Revenue:
|
||||||||
|
Series A 3.00%, 8/15/2016
|
1,000,000 | 1,092,400 | ||||||
|
5.00%, 2/15/2017
|
2,695,000 | 3,187,403 | ||||||
|
Texas, State General Obligation:
|
||||||||
|
5.00%, 10/1/2015
|
3,495,000 | 3,968,572 | ||||||
|
Series A 5.00%, 10/1/2015
|
8,000,000 | 9,084,000 | ||||||
|
5.00%, 10/1/2016
|
4,000,000 | 4,700,560 | ||||||
|
Series A 5.00%, 10/1/2016
|
2,110,000 | 2,479,545 | ||||||
|
5.00%, 4/1/2017
|
1,125,000 | 1,340,314 | ||||||
|
Series A 5.00%, 10/1/2017
|
1,550,000 | 1,874,028 | ||||||
|
Series B 5.00%, 10/1/2017
|
3,535,000 | 4,273,992 | ||||||
|
Texas, State Public Finance Authority:
|
||||||||
|
Series A 5.00%, 7/1/2014
|
1,000,000 | 1,081,160 | ||||||
|
Series A 5.00%, 1/1/2017
|
1,100,000 | 1,251,459 | ||||||
|
Series A 5.00%, 7/1/2017
|
2,855,000 | 3,248,105 | ||||||
|
Texas, State University Revenue:
|
||||||||
|
5.00%, 3/15/2015
|
500,000 | 554,850 | ||||||
|
5.00%, 3/15/2016
|
1,000,000 | 1,151,130 | ||||||
|
University of Texas, Revenue
Series A 5.00%, 8/15/2015 |
3,100,000 | 3,502,225 | ||||||
| 93,664,049 | ||||||||
|
UTAH — 0.9%
|
||||||||
|
Utah, State General Obligation:
|
||||||||
|
Series A 4.00%, 7/1/2017
|
380,000 | 440,150 | ||||||
|
Series A 5.00%, 7/1/2015
|
6,800,000 | 7,662,852 | ||||||
|
Series C 5.00%, 7/1/2015
|
800,000 | 901,512 | ||||||
|
Series A 5.00%, 7/1/2016
|
5,050,000 | 5,898,097 | ||||||
| 14,902,611 | ||||||||
|
VIRGINIA — 1.9%
|
||||||||
|
Richmond, VA, General Obligation
Series C 5.00%, 7/15/2016 |
2,000,000 | 2,321,340 | ||||||
|
Virginia, State College Building Authority, Educational
Facilities Revenue
5.00%, 2/1/2017 |
1,000,000 | 1,180,170 | ||||||
|
Virginia, State Public Building Authority, Building Revenue:
|
||||||||
|
Series B 5.00%, 8/1/2014
|
1,500,000 | 1,627,245 | ||||||
|
Series B 5.00%, 8/1/2016
|
5,600,000 | 6,521,704 | ||||||
|
Virginia, State Transportation Board Revenue:
|
||||||||
|
Series A 5.00%, 9/15/2015
|
500,000 | 565,175 | ||||||
|
5.00%, 5/15/2016
|
16,170,000 | 18,717,907 | ||||||
| 30,933,541 | ||||||||
|
WASHINGTON — 4.6%
|
||||||||
|
Central Puget Sound, WA, Regional Transit Authority
Series P-1 5.00%, 2/1/2017 |
4,500,000 | 5,306,535 | ||||||
|
Energy Northwest Washington, Electricity Revenue:
|
||||||||
|
Series A 4.00%, 7/1/2014
|
1,375,000 | 1,461,955 | ||||||
|
Series A 5.00%, 7/1/2014
|
1,485,000 | 1,604,706 | ||||||
|
Series D 5.00%, 7/1/2014
|
850,000 | 918,518 | ||||||
|
5.00%, 7/1/2015
|
500,000 | 561,980 | ||||||
|
Series A 5.00%, 7/1/2017
|
4,500,000 | 5,387,400 | ||||||
|
Series A 5.25%, 7/1/2016
|
1,960,000 | 2,298,531 | ||||||
|
King County, WA, School District No. 1
Series B 5.00%, 1/1/2016 |
4,500,000 | 5,135,220 | ||||||
|
Seattle, WA, Municipal Light & Power Revenue
Series B 5.00%, 2/1/2015 |
7,540,000 | 8,327,930 | ||||||
|
Seattle, WA, Water System Revenue
5.00%, 9/1/2017 |
845,000 | 1,016,476 | ||||||
|
Snohomish County, WA, Public Utility Revenue:
|
||||||||
|
4.00%, 12/1/2013
|
3,625,000 | 3,778,591 | ||||||
|
5.00%, 12/1/2016
|
425,000 | 498,861 | ||||||
|
Snohomish County, WA, School District No. 15
4.00%, 12/1/2017 |
2,400,000 | 2,770,416 | ||||||
|
Washington, State General Obligation:
|
||||||||
|
Series R 5.00%, 1/1/2015
|
10,500,000 | 11,575,620 | ||||||
|
Series A 5.00%, 8/1/2015
|
4,110,000 | 4,637,313 | ||||||
|
5.00%, 7/1/2016
|
1,240,000 | 1,444,216 | ||||||
|
5.00%, 7/1/2017
|
15,000,000 | 17,958,000 | ||||||
| 74,682,268 | ||||||||
|
WISCONSIN — 2.6%
|
||||||||
|
Milwaukee, WI, General Obligation:
|
||||||||
|
5.00%, 2/1/2015
|
8,825,000 | 9,740,682 | ||||||
|
Series N3 5.00%, 5/15/2016
|
2,590,000 | 2,995,076 | ||||||
|
Series N2 5.00%, 5/1/2017
|
10,000,000 | 11,869,300 | ||||||
|
Wisconsin, State General Obligation:
|
||||||||
|
4.00%, 11/1/2016
|
1,950,000 | 2,218,359 | ||||||
|
Series A 5.00%, 5/1/2015
|
3,380,000 | 3,774,615 | ||||||
|
Series C 5.00%, 5/1/2015
|
10,000,000 | 11,167,500 | ||||||
|
Series C 5.00%, 5/1/2017
|
470,000 | 557,857 | ||||||
| 42,323,389 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $1,576,140,087)
|
1,608,339,214 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.0% (c)
|
||||||||
|
MONEY MARKET FUND — 0.0% (c)
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (d)(e)(f) (Cost $503,205) |
503,205 | 503,205 | ||||||
|
TOTAL INVESTMENTS — 99.7% (g)
|
||||||||
|
(Cost $1,576,643,292)
|
1,608,842,419 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.3% |
4,094,151 | |||||||
|
NET ASSETS — 100.0%
|
$ | 1,612,936,570 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
As a % of
|
||||||
|
Insurance Coverage
|
Net Assets | |||||
| Assured Guaranty Municipal Corp. | 2.71 | % | ||||
| Ambac Financial Group | 0.30 | % | ||||
| Assured Guaranty Corp. | 0.17 | % | ||||
| Permanent School Fund Guaranteed | 0.15 | % | ||||
| National Public Finance Guarantee Corp. | 0.07 | % | ||||
|
(b)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(c)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 90.8%
|
||||||||
|
CALIFORNIA — 7.9%
|
||||||||
|
California, Statewide Communities Development Authority
Revenue
0.36%, 7/1/2036 (a) |
$ | 200,000 | $ | 200,000 | ||||
|
East Bay, CA, Municipal Utility District
0.17%, 6/1/2038 (a) |
100,000 | 100,000 | ||||||
|
Riverside, CA, Electric Revenue
Series C 0.17%, 10/1/2035 (a) |
150,000 | 150,000 | ||||||
|
Sacramento, CA, Transportation Authority
0.18%, 10/1/2038 (a) |
500,000 | 500,000 | ||||||
| 950,000 | ||||||||
|
COLORADO — 8.3%
|
||||||||
|
Broomfield, CO, Urban Renewal Authority, Tax Revenue
0.85%, 12/1/2030 (a) |
400,000 | 400,000 | ||||||
|
Colorado, Educational & Cultural Facilities
Authority
0.18%, 7/1/2033 (a) |
100,000 | 100,000 | ||||||
|
Denver, CO, City & County Airport Revenue
Series C 0.18%, 11/15/2022 (a) |
500,000 | 500,000 | ||||||
| 1,000,000 | ||||||||
|
CONNECTICUT — 5.8%
|
||||||||
|
Connecticut, State Health & Educational Facility
Authority Revenue
Series M 0.50%, 7/1/2024 (a) |
200,000 | 200,000 | ||||||
|
Connecticut, State Housing Finance Authority Revenue
Series E 0.21%, 5/15/2036 (a) |
500,000 | 500,000 | ||||||
| 700,000 | ||||||||
|
ILLINOIS — 6.7%
|
||||||||
|
Illinois, State Finance Authority Revenue:
|
||||||||
|
0.27%, 11/15/2037 (a)(b)
|
500,000 | 500,000 | ||||||
|
0.30%, 12/1/2022 (a)(b)
|
300,000 | 300,000 | ||||||
| 800,000 | ||||||||
|
MASSACHUSETTS — 4.2%
|
||||||||
|
Massachusetts, State Water Resources Authority Revenue
Series B 0.22%, 8/1/2031 (a) |
500,000 | 500,000 | ||||||
|
NEBRASKA — 0.9%
|
||||||||
|
Nebraska, Central Plains Energy Project Revenue
0.19%, 8/1/2039 (a) |
100,000 | 100,000 | ||||||
|
NEW MEXICO — 0.8%
|
||||||||
|
New Mexico, State Municipal Energy Acquisition Authority, Gas
Supply Revenue
0.19%, 11/1/2039 (a) |
100,000 | 100,000 | ||||||
|
NEW YORK — 21.6%
|
||||||||
|
New York, NY, City Municipal Water Finance Authority Revenue:
|
||||||||
|
Series B-4
0.17%, 6/15/2023 (a)
|
100,000 | 100,000 | ||||||
|
Series F-2
0.18%, 6/15/2033 (a)
|
400,000 | 400,000 | ||||||
|
New York, NY, City Transitional Finance Authority Revenue
Series 3 0.40%, 11/1/2022 (a) |
500,000 | 500,000 | ||||||
|
New York, NY, Metropolitan Transportation Authority Revenue
0.18%, 11/1/2035 (a) |
100,000 | 100,000 | ||||||
|
New York, NY, Triborough Bridge & Tunnel Authority
Revenue
Series B-3 0.23%, 1/1/2032 (a) |
390,000 | 390,000 | ||||||
|
New York, State Dormitory Authority
0.19%, 7/1/2037 (a) |
200,000 | 200,000 | ||||||
|
New York, State Housing Finance Agency:
|
||||||||
|
Series A 0.23%, 11/1/2037 (a)
|
500,000 | 500,000 | ||||||
|
0.48%, 11/1/2041 (a)
|
400,000 | 400,000 | ||||||
| 2,590,000 | ||||||||
|
NORTH CAROLINA — 9.8%
|
||||||||
|
New Hanover, NC, Hospital Revenue
0.30%, 10/1/2026 (a)(b) |
580,000 | 580,000 | ||||||
|
North Carolina, Medical Care Commission, Health Care Facilities
Revenue
0.20%, 12/1/2028 (a) |
100,000 | 100,000 | ||||||
|
Person County, NC, Industrial Facilities & Pollution
Control Financing Authority Revenue
0.40%, 11/1/2035 (a) |
500,000 | 500,000 | ||||||
| 1,180,000 | ||||||||
|
OHIO — 3.2%
|
||||||||
|
Ohio State University, Revenue
1.50%, 12/1/2026 (a)(b) |
380,000 | 380,000 | ||||||
|
PENNSYLVANIA — 5.8%
|
||||||||
|
Pennsylvania, Delaware Valley Regional Financing Authority
Revenue Series B
0.40%, 6/1/2042 (a) |
200,000 | 200,000 | ||||||
|
Pittsburgh, PA, Water & Sewer Authority
0.30%, 9/1/2033 (a)(b) |
500,000 | 500,000 | ||||||
| 700,000 | ||||||||
|
RHODE ISLAND — 0.1%
|
||||||||
|
Rhode Island, Health & Educational Building Corp.,
Revenue
0.26%, 10/1/2033 (a) |
15,000 | 15,000 | ||||||
|
TENNESSEE — 9.1%
|
||||||||
|
Clarksville, TN, Public Building Authority Revenue:
|
||||||||
|
0.28%, 6/1/2024 (a)
|
100,000 | 100,000 | ||||||
|
0.28%, 6/1/2029 (a)
|
100,000 | 100,000 | ||||||
|
Montgomery County, TN, Public Building Authority Revenue
0.26%, 9/1/2029 (a) |
500,000 | 500,000 | ||||||
|
Nashville & Davidson County, TN, Industrial
Development Board Revenue
0.19%, 12/1/2031 (a) |
187,000 | 187,000 | ||||||
|
Sevier County, TN, Public Building Authority
0.26%, 6/1/2020 (a) |
200,000 | 200,000 | ||||||
| 1,087,000 | ||||||||
|
TEXAS — 5.8%
|
||||||||
|
Harris County, TX, Cultural Education Facilities Finance Corp.
Revenue
Series C 0.17%, 6/1/2024 (a) |
400,000 | 400,000 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Tarrant County, TX, Cultural Education Facilities Finance Corp.
Revenue
0.21%, 7/1/2047 (a) |
$ | 300,000 | $ | 300,000 | ||||
| 700,000 | ||||||||
|
WISCONSIN — 0.8%
|
||||||||
|
Wisconsin, State Health & Educational Facilities
Authority Revenue
0.30%, 3/15/2036 (a)(b) |
100,000 | 100,000 | ||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $10,902,000)
|
10,902,000 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 9.2%
|
||||||||
|
MONEY MARKET FUND — 9.2%
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (c)(d)(e) (Cost $1,101,841) |
1,101,841 | 1,101,841 | ||||||
|
TOTAL INVESTMENTS (f) — 100.0%
|
||||||||
|
(Cost $12,003,841)
|
12,003,841 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.0% (g) |
1,849 | |||||||
|
NET ASSETS — 100.0%
|
$ | 12,005,690 | ||||||
|
(a)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(b)
|
Bond is insured by one of these companies: | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 99.0%
|
||||||||
|
ALABAMA — 0.7%
|
||||||||
|
Jefferson County, AL, School Warrant Revenue
Series A 5.00%, 1/1/2024 |
$ | 1,000,000 | $ | 980,120 | ||||
|
ALASKA — 0.3%
|
||||||||
|
Northern Alaska, Tobacco Securitization Corp., Tobacco
Settlement Revenue Asset Backed Bonds
Series A 5.00%, 6/1/2032 |
500,000 | 432,545 | ||||||
|
ARIZONA — 3.7%
|
||||||||
|
Arizona, AZ, Health Facilities Authority, Hospital Revenue
Series A 5.00%, 2/1/2042 |
1,000,000 | 1,048,620 | ||||||
|
Downtown Phoenix, AZ, Hotel Corp. Revenue
Series A 5.25%, 7/1/2023 |
1,000,000 | 1,037,150 | ||||||
|
Phoenix, AZ, Industrial Development Authority Education Revenue:
|
||||||||
|
7.50%, 7/1/2042
|
500,000 | 522,415 | ||||||
|
Series A 7.50%, 7/1/2042
|
1,000,000 | 1,050,100 | ||||||
|
Quechan Indian Tribe, AZ, Fort Yuma Indian Reservation
Revenue
Series A 9.75%, 5/1/2025 |
1,000,000 | 1,056,690 | ||||||
|
Salt Verde, AZ, Financial Corp. Senior Gas Revenue
5.00%, 12/1/2037 |
530,000 | 582,359 | ||||||
| 5,297,334 | ||||||||
|
CALIFORNIA — 18.8%
|
||||||||
|
California County, CA, Tobacco Securitization Agency, Tobacco
Settlement Revenue
5.45%, 6/1/2028 |
990,000 | 916,601 | ||||||
|
California, General Obligation
4.50%, 8/1/2030 |
485,000 | 523,208 | ||||||
|
California, Golden State Tobacco Securitization Corp., Revenue:
|
||||||||
|
Series A-1
5.00%, 6/1/2033
|
2,000,000 | 1,631,900 | ||||||
|
Series A 5.00%, 6/1/2045
|
1,000,000 | 1,018,720 | ||||||
|
Series A-1
5.13%, 6/1/2047
|
1,350,000 | 1,037,772 | ||||||
|
Series A-1
5.75%, 6/1/2047
|
3,050,000 | 2,596,709 | ||||||
|
California, Health Facilities Financing Authority Revenue:
|
||||||||
|
Series A 5.00%, 11/15/2034
|
500,000 | 537,835 | ||||||
|
Series A 5.00%, 4/1/2037 (a)
|
1,000,000 | 1,043,810 | ||||||
|
California, State Municipal Finance Authority, Mobile Home Park
Revenue
Series A 5.50%, 8/15/2047 |
435,000 | 459,060 | ||||||
|
California, Statewide Communities Development Authority Revenue:
|
||||||||
|
5.00%, 8/15/2047
|
330,000 | 337,517 | ||||||
|
Series A 5.13%, 7/15/2031
|
500,000 | 514,345 | ||||||
|
Series A 5.25%, 7/1/2030
|
510,000 | 533,792 | ||||||
|
Series A 6.00%, 10/1/2047
|
2,000,000 | 2,062,200 | ||||||
|
Chino, CA, Public Financing Authority, Special Tax Revenue
5.00%, 9/1/2034 |
100,000 | 102,274 | ||||||
|
Daly City, CA, Housing Development Finance Agency, Mobile Home
Park Revenue
Series A 5.00%, 12/15/2047 |
490,000 | 498,972 | ||||||
|
Hesperia, CA, Public Financing Authority, Tax Allocation:
|
||||||||
|
Series A 5.50%, 9/1/2022
|
1,000,000 | 993,920 | ||||||
|
Series A 5.50%, 9/1/2032
|
405,000 | 382,069 | ||||||
|
Independent Cities, CA, Finance Authority, Mobile Home Park
Revenue
Series A 5.00%, 5/15/2039 |
250,000 | 259,670 | ||||||
|
March, CA, Joint Powers Redevelopment Agency, Tax Allocation
Series B 7.50%, 8/1/2041 |
1,000,000 | 1,173,670 | ||||||
|
Oakley, CA, Public Finance Authority Revenue, Special
Assessment
5.30%, 9/2/2034 |
170,000 | 177,929 | ||||||
|
Pittsburg, CA, Redevelopment Agency, Tax Allocation
6.50%, 9/1/2028 |
1,000,000 | 1,081,550 | ||||||
|
Rancho Mirage, CA, Joint Powers Financing Authority Revenue
Series A 5.00%, 7/1/2027 |
1,000,000 | 1,037,390 | ||||||
|
Riverside County, CA, Redevelopment Agency, Tax Allocation
Series A 6.00%, 10/1/2039 |
315,000 | 344,043 | ||||||
|
San Benito, CA, Health Care District Revenue
5.40%, 10/1/2020 |
1,000,000 | 1,000,600 | ||||||
|
Temecula, CA, Public Financing Authority, Special Tax Revenue:
|
||||||||
|
5.00%, 9/1/2030
|
500,000 | 527,190 | ||||||
|
5.00%, 9/1/2034
|
1,000,000 | 1,038,820 | ||||||
|
Tobacco Securitization Authority of Northern California, Tobacco
Settlement Revenue
Series A1 5.50%, 6/1/2045 |
1,605,000 | 1,292,747 | ||||||
|
Tobacco Securitization Authority of Southern California, Tobacco
Settlement Revenue:
|
||||||||
|
Series A1 5.00%, 6/1/2037
|
1,000,000 | 799,540 | ||||||
|
Series A1 5.13%, 6/1/2046
|
690,000 | 548,032 | ||||||
|
Tulare, CA, Local Health Care District Revenue
5.10%, 11/1/2027 |
1,000,000 | 1,003,510 | ||||||
|
Vernon, CA, Electric System Revenue
Series A 5.13%, 8/1/2021 |
1,000,000 | 1,114,800 | ||||||
|
West Contra Costa, CA, Healthcare District, Certificates of
Participation
5.75%, 7/1/2037 |
375,000 | 417,203 | ||||||
| 27,007,398 | ||||||||
|
COLORADO — 6.1%
|
||||||||
|
Colorado, Health Facilities Authority Revenue:
|
||||||||
|
Series A 5.90%, 8/1/2037
|
1,000,000 | 1,007,260 | ||||||
|
Series A 7.75%, 8/1/2039
|
485,000 | 539,466 | ||||||
|
Denver, CO, City & County Special Facilities, Airport
Revenue
Series A 5.25%, 10/1/2032 |
1,000,000 | 1,009,850 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Great Western, CO, Metropolitan District, General Obligation
Series A1 9.00%, 8/1/2039 |
$ | 1,000,000 | $ | 1,045,850 | ||||
|
Harvest Junction, CO, Metropolitan District, General
Obligation
5.00%, 12/1/2030 |
770,000 | 790,343 | ||||||
|
Metropolitan District, CO, Compark Business Campus, General
Obligation:
|
||||||||
|
Series A 5.75%, 12/1/2027
|
1,000,000 | 1,004,340 | ||||||
|
Series A 6.75%, 12/1/2039
|
1,000,000 | 1,024,260 | ||||||
|
Prairie Center, CO, Metropolitan District No. 3, General
Obligation
Series A 5.40%, 12/15/2031 |
1,000,000 | 996,360 | ||||||
|
Public Authority for Colorado, State Natural Gas Purchase
Revenue
6.50%, 11/15/2038 |
1,035,000 | 1,320,960 | ||||||
| 8,738,689 | ||||||||
|
CONNECTICUT — 1.1%
|
||||||||
|
Harbor Point, CT, Special Obligation Revenue
Series A 7.88%, 4/1/2039 |
1,000,000 | 1,142,500 | ||||||
|
Mohegan Tribe of Indians, CT, Gaming Authority Revenue
5.13%, 1/1/2023 (b) |
500,000 | 501,290 | ||||||
| 1,643,790 | ||||||||
|
FLORIDA — 8.0%
|
||||||||
|
Alachua County, FL, Health Facilities Authority Revenue
7.38%, 11/15/2019 |
300,000 | 304,992 | ||||||
|
Ave Maria, FL, Stewardship Community District, Special
Assessment
6.70%, 5/1/2042 |
1,000,000 | 1,011,900 | ||||||
|
Escambia County, FL, Health Facilities Authority Revenue
Series A 5.75%, 8/15/2029 |
1,000,000 | 1,128,770 | ||||||
|
Florida Development Finance Corp., Educational Facilities
Revenue
Series A 7.50%, 6/15/2033 |
500,000 | 580,845 | ||||||
|
Fort Pierce, FL, Redevelopment Agency Revenue, Tax Allocation
5.00%, 5/1/2031 |
1,000,000 | 1,042,290 | ||||||
|
Hillsborough County, FL, Industrial Development Authority,
Hospital Revenue
5.25%, 10/1/2026 |
1,000,000 | 1,073,040 | ||||||
|
Lakeland, FL, Educational Facilities Revenue
Series A 5.00%, 9/1/2037 |
170,000 | 181,937 | ||||||
|
Lakes by the Bay Community Development District, FL, Special
Assessment
5.75%, 11/1/2042 |
500,000 | 510,370 | ||||||
|
Lee County, FL, Industrial Development Authority, Revenue
Series A 5.38%, 6/15/2037 |
1,000,000 | 1,000,120 | ||||||
|
Madison County, FL, Revenue
Series A 6.00%, 7/1/2025 |
720,000 | 703,447 | ||||||
|
Northern Palm Beach County, FL, Improvement District, Special
Assessment
5.13%, 8/1/2022 |
1,000,000 | 1,024,400 | ||||||
|
Pinellas County, FL, Educational Facilities Authority Revenue
5.25%, 10/1/2030 |
1,000,000 | 1,094,490 | ||||||
|
Renaissance Community Development District, FL, Special
Assessment
5.55%, 5/1/2033 |
500,000 | 502,925 | ||||||
|
Seven Oaks, FL, Community Development District, Special
Assessment
Series A-2 6.50%, 5/1/2033 |
750,000 | 800,378 | ||||||
|
Tolomato, FL, Community Development District, Special Assessment:
|
||||||||
|
Series A-2
Zero Coupon, 5/1/2039 (c)
|
65,000 | 46,640 | ||||||
|
Series A-3
Zero Coupon, 5/1/2040 (c)
|
195,000 | 112,326 | ||||||
|
Series A-4
Zero Coupon, 5/1/2040 (c)
|
85,000 | 36,017 | ||||||
|
Series 1 6.65%, 5/1/2040
|
15,000 | 7,991 | ||||||
|
Series 2 6.65%, 5/1/2040
|
470,000 | 212,464 | ||||||
|
Series 3 6.65%, 5/1/2040 (d)
|
120,000 | 1 | ||||||
|
Series A-1
6.65%, 5/1/2040
|
200,000 | 195,162 | ||||||
| 11,570,505 | ||||||||
|
GEORGIA — 0.7%
|
||||||||
|
Georgia Local Government, Certificates of Participation
Series A 4.75%, 6/1/2028 (a) |
1,000,000 | 1,033,540 | ||||||
|
GUAM — 1.5%
|
||||||||
|
Guam, Government General Obligation
Series A 6.75%, 11/15/2029 |
1,000,000 | 1,124,010 | ||||||
|
Guam, Government Waterworks Authority, Water &
Wastewater System Revenue
5.63%, 7/1/2040 |
1,000,000 | 1,054,160 | ||||||
| 2,178,170 | ||||||||
|
HAWAII — 1.1%
|
||||||||
|
Hawaii, Pacific Health Special Purpose Revenue
Series B 5.75%, 7/1/2040 |
1,000,000 | 1,121,340 | ||||||
|
Hawaii, State Department of Budget & Finance, Special
Purpose Revenue
Series A 4.65%, 3/1/2037 |
480,000 | 493,310 | ||||||
| 1,614,650 | ||||||||
|
ILLINOIS — 4.1%
|
||||||||
|
Cook County, IL, Revenue
6.50%, 10/15/2040 |
1,000,000 | 1,038,810 | ||||||
|
Illinois, State Finance Authority Revenue:
|
||||||||
|
6.13%, 5/15/2027
|
1,000,000 | 1,109,790 | ||||||
|
7.13%, 2/1/2034
|
1,000,000 | 1,095,990 | ||||||
|
7.13%, 2/15/2039
|
1,100,000 | 1,208,020 | ||||||
|
Illinois, State Finance Authority, Student Housing Revenue
Series A 5.00%, 6/1/2024 |
500,000 | 429,985 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Railsplitter, IL, Tobacco Settlement Authority Revenue
5.50%, 6/1/2023 |
$ | 500,000 | $ | 586,115 | ||||
|
Southwestern Illinois Development Authority Revenue
5.75%, 8/1/2042 |
500,000 | 494,330 | ||||||
| 5,963,040 | ||||||||
|
INDIANA — 2.6%
|
||||||||
|
Indiana, State Finance Authority, Environmental Revenue:
|
||||||||
|
6.00%, 12/1/2019
|
1,000,000 | 1,115,690 | ||||||
|
6.00%, 12/1/2026
|
500,000 | 522,435 | ||||||
|
Indiana, State Finance Authority, Hospital Revenue
5.50%, 8/15/2040 |
1,000,000 | 1,059,550 | ||||||
|
Vigo County, IN, Hospital Authority Revenue
5.75%, 9/1/2042 (b) |
1,000,000 | 1,030,580 | ||||||
| 3,728,255 | ||||||||
|
IOWA — 2.1%
|
||||||||
|
Iowa Finance Authority, Midwestern Disaster Area Revenue
4.75%, 8/1/2042 |
1,950,000 | 1,975,915 | ||||||
|
Tobacco Settlement Authority, IA, Tobacco Settlement Revenue
Series C 5.50%, 6/1/2042 |
1,240,000 | 1,107,407 | ||||||
| 3,083,322 | ||||||||
|
KANSAS — 2.2%
|
||||||||
|
Burlington, KS, Environment Improvement Revenue
4.65%, 9/1/2035 (c) |
1,000,000 | 1,039,480 | ||||||
|
Lenexa, KS, Health Facility Revenue
5.25%, 5/15/2022 |
1,000,000 | 1,042,010 | ||||||
|
Overland Park, KS, Development Corp., Revenue
5.25%, 1/1/2032 (a) |
1,000,000 | 1,018,610 | ||||||
| 3,100,100 | ||||||||
|
LOUISIANA — 1.6%
|
||||||||
|
Jefferson Parish, LA, Hospital Service District No. 2,
Hospital Revenue
6.38%, 7/1/2041 |
1,000,000 | 1,167,510 | ||||||
|
Louisiana, State Environmental Facilities & Community
Development Authority Revenue
6.75%, 11/1/2032 |
500,000 | 563,490 | ||||||
|
New Orleans, LA, General Obligation
5.00%, 12/1/2033 |
500,000 | 558,720 | ||||||
| 2,289,720 | ||||||||
|
MAINE — 0.4%
|
||||||||
|
Rumford, ME, Solid Waste Disposal Revenue
6.88%, 10/1/2026 |
525,000 | 525,163 | ||||||
|
MARYLAND — 0.3%
|
||||||||
|
Maryland, State Economic Development Corp., Student Housing
Revenue
5.00%, 6/1/2030 |
350,000 | 379,001 | ||||||
|
MASSACHUSETTS — 0.7%
|
||||||||
|
Massachusetts, Port Authority Facilities Revenue:
|
||||||||
|
Series A 5.00%, 1/1/2027 (a)
|
835,000 | 812,530 | ||||||
|
Series A 5.50%, 1/1/2016 (a)
|
250,000 | 250,170 | ||||||
| 1,062,700 | ||||||||
|
MICHIGAN — 3.4%
|
||||||||
|
Conner Creek Academy, MI, Public School Revenue
5.00%, 11/1/2026 |
1,000,000 | 876,290 | ||||||
|
Detroit, MI, Water and Sewerage Department System Revenue
Series A 5.25%, 7/1/2039 |
960,000 | 1,027,257 | ||||||
|
Kent County, MI, Hospital Finance Authority Revenue
Series A 5.25%, 7/1/2030 |
740,000 | 765,841 | ||||||
|
Michigan Finance Authority Ltd., Miscellaneous Revenue
8.13%, 4/1/2041 |
500,000 | 585,450 | ||||||
|
Michigan, State Public Power Agency Revenue
Series A 5.00%, 1/1/2043 |
1,000,000 | 1,065,520 | ||||||
|
Michigan, State Tobacco Settlement Finance Authority Revenue
Series A 6.88%, 6/1/2042 |
500,000 | 502,820 | ||||||
| 4,823,178 | ||||||||
|
MINNESOTA — 0.9%
|
||||||||
|
St. Paul, MN, Housing & Redevelopment Authority, Lease
Revenue
Series A 6.63%, 12/1/2023 |
875,000 | 909,904 | ||||||
|
Tobacco Securitization Authority, MN, Tobacco Settlement
Revenue
Series B 5.25%, 3/1/2031 |
375,000 | 423,112 | ||||||
| 1,333,016 | ||||||||
|
MISSOURI — 0.5%
|
||||||||
|
Lees Summit, MO, Industrial Development Authority, Special
Assessment & Sales Tax Revenue:
|
||||||||
|
5.00%, 5/1/2035
|
265,000 | 262,861 | ||||||
|
6.00%, 5/1/2042
|
435,000 | 433,182 | ||||||
| 696,043 | ||||||||
|
NEBRASKA — 0.7%
|
||||||||
|
Central Plains Energy Project, NE, Natural Gas Revenue:
|
||||||||
|
5.00%, 9/1/2042
|
500,000 | 533,895 | ||||||
|
5.00%, 9/1/2042
|
500,000 | 524,310 | ||||||
| 1,058,205 | ||||||||
|
NEVADA — 0.9%
|
||||||||
|
Las Vegas, NV, Local Improvement, Special Assessment
6.25%, 6/1/2024 |
200,000 | 205,508 | ||||||
|
Sparks, NV, Tourism Improvement District No. 1, Sales Tax
Revenue
Series A 6.75%, 6/15/2028 (b) |
1,000,000 | 1,028,420 | ||||||
| 1,233,928 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
NEW JERSEY — 5.7%
|
||||||||
|
Bayonne, NJ, Redevelopment Agency Revenue
Series A 5.38%, 11/1/2035 |
$ | 535,000 | $ | 535,926 | ||||
|
New Jersey, Economic Development Authority, Revenue:
|
||||||||
|
5.00%, 6/1/2032
|
1,000,000 | 1,160,450 | ||||||
|
5.25%, 9/15/2029
|
1,050,000 | 1,069,488 | ||||||
|
7.10%, 11/1/2031
|
1,000,000 | 490,080 | ||||||
|
New Jersey, Educational Facilities Authority, Revenue
Series B 4.00%, 7/1/2023 |
500,000 | 562,965 | ||||||
|
Tobacco Settlement Financing Corp., NJ, Revenue:
|
||||||||
|
Series 1A 4.63%, 6/1/2026
|
985,000 | 913,134 | ||||||
|
Series 1A 4.75%, 6/1/2034
|
1,000,000 | 821,090 | ||||||
|
Series 1A 5.00%, 6/1/2029
|
1,020,000 | 946,315 | ||||||
|
Series 1A 5.00%, 6/1/2041
|
1,990,000 | 1,653,093 | ||||||
| 8,152,541 | ||||||||
|
NEW MEXICO — 0.3%
|
||||||||
|
Mariposa, NM, Public Improvement District, General Obligation
6.00%, 9/1/2032 |
500,000 | 402,290 | ||||||
|
NEW YORK — 4.6%
|
||||||||
|
Chautauqua County, NY, Industrial Development Agency, Exempt
Facility Revenue
5.88%, 4/1/2042 |
1,000,000 | 1,126,950 | ||||||
|
Hudson, NY, Yards Infrastructure Corp., Revenue
Series A 5.75%, 2/15/2047 |
500,000 | 590,410 | ||||||
|
New York, NY, Industrial Development Agency Revenue:
|
||||||||
|
4.00%, 1/1/2015 (a)
|
100,000 | 103,471 | ||||||
|
5.00%, 1/1/2031 (a)
|
1,000,000 | 1,024,560 | ||||||
|
5.00%, 9/1/2035
|
1,000,000 | 1,019,510 | ||||||
|
5.75%, 10/1/2037
|
1,000,000 | 534,620 | ||||||
|
Series A 8.50%, 8/1/2028 (d)
|
500,000 | 509,700 | ||||||
|
Syracuse, NY, Industrial Development Agency Revenue
Series A 5.00%, 1/1/2036 |
1,000,000 | 1,025,340 | ||||||
|
TSASC, Inc., NY, Revenue
Series 1 5.13%, 6/1/2042 |
1,000,000 | 755,340 | ||||||
| 6,689,901 | ||||||||
|
OHIO — 5.7%
|
||||||||
|
Buckeye, OH, Tobacco Settlement Financing Authority:
|
||||||||
|
Series A-3
Zero Coupon, 6/1/2037 (c)
|
1,000,000 | 848,390 | ||||||
|
Series A-2
5.13%, 6/1/2024
|
1,150,000 | 969,220 | ||||||
|
Series A-2
5.38%, 6/1/2024
|
1,000,000 | 862,240 | ||||||
|
Series A-2
5.88%, 6/1/2030
|
1,000,000 | 825,620 | ||||||
|
Series A-2
5.88%, 6/1/2047
|
500,000 | 402,600 | ||||||
|
Series A-2
6.00%, 6/1/2042
|
1,235,000 | 1,021,901 | ||||||
|
Series A-2
6.50%, 6/1/2047
|
1,000,000 | 882,440 | ||||||
|
Ohio, State Air Quality Development Authority Revenue:
|
||||||||
|
Series E 5.63%, 10/1/2019
|
290,000 | 337,197 | ||||||
|
6.75%, 6/1/2024
|
1,000,000 | 1,034,150 | ||||||
|
Ohio, State Hospital Facilities Authority Revenue
6.00%, 12/1/2042 (e) |
1,000,000 | 1,063,320 | ||||||
| 8,247,078 | ||||||||
|
OKLAHOMA — 0.8%
|
||||||||
|
Tulsa County, OK, Industrial Authority, Senior Living Community
Revenue
Series A 7.13%, 11/1/2030 |
1,025,000 | 1,164,595 | ||||||
|
PENNSYLVANIA — 2.6%
|
||||||||
|
Allegheny County, PA, Hospital Development Authority Revenue
Series A 5.38%, 11/15/2040 |
680,000 | 516,793 | ||||||
|
Erie, PA, Higher Education Building Authority Revenue
5.35%, 3/15/2028 |
540,000 | 589,821 | ||||||
|
Montgomery County, PA, Industrial Development Authority
Revenue
6.00%, 2/1/2021 |
1,015,000 | 1,038,213 | ||||||
|
Pennsylvania, State Economic Development Financing Authority
Revenue
6.00%, 6/1/2031 |
515,000 | 512,090 | ||||||
|
Philadelphia, PA, Hospitals & Higher Education
Facilities Authority Revenue
Series A 5.63%, 7/1/2042 (e) |
1,000,000 | 1,057,210 | ||||||
| 3,714,127 | ||||||||
|
PUERTO RICO — 4.3%
|
||||||||
|
Puerto Rico Commonwealth, General Obligation:
|
||||||||
|
Series A 5.00%, 7/1/2022
|
1,000,000 | 1,045,910 | ||||||
|
Series A 5.13%, 7/1/2037
|
1,000,000 | 1,015,660 | ||||||
|
Puerto Rico, Electric Power Authority Revenue
Series XX 5.25%, 7/1/2040 |
1,000,000 | 1,006,250 | ||||||
|
Puerto Rico, Industrial Tourist Educational, Medical &
Environmental Revenue
5.38%, 4/1/2042 |
1,000,000 | 1,022,780 | ||||||
|
Puerto Rico, Sales Tax Financing Corp. Revenue
Series A 5.38%, 8/1/2039 |
1,000,000 | 1,063,120 | ||||||
|
The Children’s Trust Fund, PR, Tobacco Settlement
Revenue
5.63%, 5/15/2043 |
1,000,000 | 999,890 | ||||||
| 6,153,610 | ||||||||
|
TENNESSEE — 0.6%
|
||||||||
|
Tennessee, State Energy Acquisition Corp., Gas Revenue
Series A 5.25%, 9/1/2019 |
725,000 | 821,121 | ||||||
|
TEXAS — 4.8%
|
||||||||
|
Austin, TX, Convention Center Revenue
Series A 5.00%, 1/1/2034 |
860,000 | 889,567 | ||||||
|
Central Texas, Regional Mobility Authority Revenue
5.75%, 1/1/2025 |
1,000,000 | 1,158,330 | ||||||
|
Dallas-Fort
Worth, TX, International Airport Facilities Improvement Corp.,
Revenue
6.00%, 11/1/2014 |
1,000,000 | 650,700 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Gulf Coast, TX, Industrial Development Authority Revenue
4.88%, 5/1/2025 |
$ | 750,000 | $ | 753,008 | ||||
|
Houston, TX, Airport System Revenue
Series A 5.00%, 7/1/2028 |
1,000,000 | 1,134,550 | ||||||
|
Love Field, TX, Airport Modernization Corp. Revenue
5.25%, 11/1/2040 |
175,000 | 188,795 | ||||||
|
North Texas, Tollway Authority Revenue
Series B 5.25%, 1/1/2052 |
500,000 | 559,010 | ||||||
|
Texas, Brazos River Authority, Pollution Control Revenue
Series D 5.40%, 10/1/2029 (c) |
1,000,000 | 391,520 | ||||||
|
Travis County, TX, Health Facilities Development Corp.,
Revenue
7.13%, 11/1/2040 |
1,000,000 | 1,173,370 | ||||||
| 6,898,850 | ||||||||
|
UTAH — 0.7%
|
||||||||
|
Utah, State Charter School Finance Authority Revenue
Series A 5.80%, 6/15/2038 |
1,000,000 | 1,027,920 | ||||||
|
VIRGIN ISLANDS — 0.6%
|
||||||||
|
Virgin Islands, Public Finance Authority Revenue
5.00%, 10/1/2031 |
800,000 | 822,760 | ||||||
|
VIRGINIA — 2.7%
|
||||||||
|
Tobacco Settlement Financing Corp., VA, Revenue
Series B1 5.00%, 6/1/2047 |
1,490,000 | 1,066,572 | ||||||
|
Virginia, Small Business Financing Authority Revenue:
|
||||||||
|
5.00%, 7/1/2034
|
500,000 | 524,130 | ||||||
|
5.00%, 1/1/2040
|
900,000 | 939,942 | ||||||
|
5.50%, 1/1/2042
|
1,250,000 | 1,375,762 | ||||||
| 3,906,406 | ||||||||
|
WASHINGTON — 1.8%
|
||||||||
|
Port of Seattle, WA, Industrial Development Corp.
5.00%, 4/1/2030 |
700,000 | 699,104 | ||||||
|
Washington, Health Care Facilities Authority Revenue:
|
||||||||
|
4.75%, 12/1/2031
|
1,000,000 | 987,540 | ||||||
|
5.00%, 12/1/2042
|
320,000 | 328,026 | ||||||
|
Washington, State Higher Education Facilities Authority
Revenue
5.25%, 10/1/2046 |
500,000 | 542,695 | ||||||
| 2,557,365 | ||||||||
|
WISCONSIN — 1.4%
|
||||||||
|
Public Finance Authority, WI, Public Facilities Revenue
5.00%, 7/1/2042 |
1,000,000 | 1,004,530 | ||||||
|
Wisconsin, State Public Finance Authority Revenue
Series A 8.63%, 6/1/2047 |
1,000,000 | 1,052,360 | ||||||
| 2,056,890 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $133,957,948)
|
142,387,866 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 1.6%
|
||||||||
|
MONEY MARKET FUND — 1.6%
|
||||||||
|
State Street Institutional Tax Free
Money Market Fund 0.00% (f)(g)(h) (Cost $2,322,866) |
2,322,866 | 2,322,866 | ||||||
|
TOTAL INVESTMENTS — 100.6% (i)
|
||||||||
|
(Cost $136,280,814)
|
144,710,732 | |||||||
|
OTHER ASSETS &
LIABILITIES — (0.6)% |
(831,383 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 143,879,349 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MUNICIPAL BONDS & NOTES — 98.4%
|
||||||||
|
ARIZONA — 0.6%
|
||||||||
|
Arizona, Salt River Project, Agricultural
Improvement & Power District Revenue
4.84%, 1/1/2041 |
$ | 350,000 | $ | 416,539 | ||||
|
Phoenix, AZ, General Obligation
5.27%, 7/1/2034 |
160,000 | 189,267 | ||||||
| 605,806 | ||||||||
|
CALIFORNIA — 34.7%
|
||||||||
|
California, Bay Area Toll Authority, Toll Bridge Revenue
7.04%, 4/1/2050 |
800,000 | 1,158,128 | ||||||
|
California, State General Obligation:
|
||||||||
|
5.70%, 11/1/2021
|
220,000 | 249,803 | ||||||
|
6.65%, 3/1/2022
|
450,000 | 540,801 | ||||||
|
7.30%, 10/1/2039
|
1,755,000 | 2,293,452 | ||||||
|
7.35%, 11/1/2039
|
1,200,000 | 1,577,604 | ||||||
|
7.50%, 4/1/2034
|
1,715,000 | 2,260,473 | ||||||
|
7.55%, 4/1/2039
|
3,000,000 | 4,069,530 | ||||||
|
7.60%, 11/1/2040
|
1,785,000 | 2,448,699 | ||||||
|
7.63%, 3/1/2040
|
1,415,000 | 1,925,192 | ||||||
|
7.70%, 11/1/2030
|
675,000 | 817,695 | ||||||
|
7.95%, 3/1/2036
|
930,000 | 1,111,183 | ||||||
|
California, State Public Works Board, Lease Revenue
8.36%, 10/1/2034 |
365,000 | 463,838 | ||||||
|
East Bay, CA, Municipal Utility District, Water System
Revenue
5.87%, 6/1/2040 |
445,000 | 592,767 | ||||||
|
Los Angeles County, CA, Metropolitan Transportation Authority,
Sales Tax Revenue
5.74%, 6/1/2039 |
510,000 | 636,730 | ||||||
|
Los Angeles County, CA, Public Works Financing Authority, Lease
Revenue:
|
||||||||
|
7.49%, 8/1/2033
|
250,000 | 321,540 | ||||||
|
7.62%, 8/1/2040
|
305,000 | 408,758 | ||||||
|
Los Angeles, CA, Community College District, General Obligation:
|
||||||||
|
6.60%, 8/1/2042
|
405,000 | 545,162 | ||||||
|
6.75%, 8/1/2049
|
420,000 | 572,082 | ||||||
|
Los Angeles, CA, Department of Airports Revenue
6.58%, 5/15/2039 |
280,000 | 363,006 | ||||||
|
Los Angeles, CA, Department of Water & Power Revenue:
|
||||||||
|
5.72%, 7/1/2039
|
400,000 | 501,232 | ||||||
|
6.17%, 7/1/2040
|
115,000 | 132,900 | ||||||
|
6.57%, 7/1/2045
|
830,000 | 1,198,014 | ||||||
|
6.60%, 7/1/2050
|
400,000 | 584,656 | ||||||
|
Los Angeles, CA, Department of Water & Power
Waterworks Revenue
6.01%, 7/1/2039 |
115,000 | 146,862 | ||||||
|
Los Angeles, CA, Unified School District, General Obligation:
|
||||||||
|
5.75%, 7/1/2034
|
980,000 | 1,154,822 | ||||||
|
5.76%, 7/1/2029
|
460,000 | 535,090 | ||||||
|
6.76%, 7/1/2034
|
1,275,000 | 1,676,663 | ||||||
|
Orange County, CA, Local Transportation Authority, Sales Tax
Revenue
Series A 6.91%, 2/15/2041 |
150,000 | 209,045 | ||||||
|
Sacramento, CA, Municipal Utility District, Electricity
Revenue
6.16%, 5/15/2036 |
280,000 | 350,151 | ||||||
|
San Diego County, CA, Regional Transportation Commission, Sales
Tax Revenue
5.91%, 4/1/2048 |
460,000 | 616,681 | ||||||
|
San Diego County, CA, Water Authority Revenue
6.14%, 5/1/2049 |
570,000 | 758,379 | ||||||
|
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue:
|
||||||||
|
6.26%, 4/1/2049
|
1,415,000 | 1,991,457 | ||||||
|
6.79%, 4/1/2030
|
445,000 | 566,943 | ||||||
|
6.91%, 10/1/2050
|
170,000 | 244,052 | ||||||
|
6.92%, 4/1/2040
|
405,000 | 562,444 | ||||||
|
San Francisco, CA, City & County Public Utilities
Commission, Water Revenue:
|
||||||||
|
6.00%, 11/1/2040
|
450,000 | 551,232 | ||||||
|
6.00%, 11/1/2040
|
150,000 | 185,571 | ||||||
|
6.95%, 11/1/2050
|
400,000 | 566,160 | ||||||
|
Santa Clara Valley, CA, Transportation Authority, Sales Tax
Revenue
5.88%, 4/1/2032 |
265,000 | 323,446 | ||||||
|
Southern California, Metropolitan Water District Revenue
6.95%, 7/1/2040 |
100,000 | 124,097 | ||||||
|
University of California, Revenue:
|
||||||||
|
5.77%, 5/15/2043
|
555,000 | 683,322 | ||||||
|
5.95%, 5/15/2045
|
560,000 | 696,690 | ||||||
|
6.27%, 5/15/2031
|
105,000 | 120,732 | ||||||
|
6.55%, 5/15/2048
|
460,000 | 604,302 | ||||||
|
6.58%, 5/15/2049
|
655,000 | 871,451 | ||||||
| 38,312,837 | ||||||||
|
COLORADO — 1.1%
|
||||||||
|
Colorado, Regional Transportation District, Sales Tax Revenue
5.84%, 11/1/2050 |
150,000 | 206,135 | ||||||
|
Colorado, State Bridge Enterprise Revenue
Series A 6.08%, 12/1/2040 |
300,000 | 388,932 | ||||||
|
Denver, CO, City & County School District No 1,
General Obligation
5.66%, 12/1/2033 |
365,000 | 459,323 | ||||||
|
Denver, CO, General Obligation
5.65%, 8/1/2030 |
100,000 | 116,140 | ||||||
| 1,170,530 | ||||||||
|
CONNECTICUT — 0.9%
|
||||||||
|
Connecticut, State General Obligation:
|
||||||||
|
5.09%, 10/1/2030
|
255,000 | 293,189 | ||||||
|
5.63%, 12/1/2029
|
325,000 | 397,904 | ||||||
|
Connecticut, State Special Tax Revenue
5.46%, 11/1/2030 |
280,000 | 335,023 | ||||||
| 1,026,116 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
DISTRICT OF COLUMBIA — 0.9%
|
||||||||
|
District of Columbia, Income Tax Revenue:
|
||||||||
|
5.58%, 12/1/2035
|
$ | 145,000 | $ | 184,250 | ||||
|
5.59%, 12/1/2034
|
175,000 | 220,768 | ||||||
|
District of Columbia, Water & Sewer Authority
Revenue
5.52%, 10/1/2044 |
100,000 | 123,091 | ||||||
|
Metropolitan Washington, DC, Airport Authority, Dules Road
Revenue
7.46%, 10/1/2046 |
360,000 | 432,839 | ||||||
| 960,948 | ||||||||
|
GEORGIA — 3.2%
|
||||||||
|
Georgia, Municipal Electric Authority Revenue:
|
||||||||
|
6.64%, 4/1/2057
|
1,300,000 | 1,509,911 | ||||||
|
6.66%, 4/1/2057
|
745,000 | 858,381 | ||||||
|
7.06%, 4/1/2057
|
695,000 | 754,666 | ||||||
|
Georgia, State General Obligation
4.50%, 11/1/2025 |
365,000 | 422,020 | ||||||
| 3,544,978 | ||||||||
|
ILLINOIS — 5.2%
|
||||||||
|
Chicago, IL, Board of Education, General Obligation
6.14%, 12/1/2039 |
385,000 | 415,392 | ||||||
|
Chicago, IL, Metropolitan Water Reclamation District, General
Obligation
5.72%, 12/1/2038 |
505,000 | 655,444 | ||||||
|
Chicago, IL, O’Hare International Airport Revenue:
|
||||||||
|
6.40%, 1/1/2040
|
390,000 | 506,516 | ||||||
|
6.85%, 1/1/2038
|
135,000 | 154,779 | ||||||
|
Chicago, IL, Transit Authority, Sales Tax Revenue
6.20%, 12/1/2040 |
635,000 | 721,265 | ||||||
|
Chicago, IL, Waste Water Transmission Revenue
6.90%, 1/1/2040 |
200,000 | 255,932 | ||||||
|
Chicago, IL, Water Revenue
6.74%, 11/1/2040 |
245,000 | 332,433 | ||||||
|
Cook County, IL, General Obligation
6.23%, 11/15/2034 |
315,000 | 353,843 | ||||||
|
Illinois, State General Obligation:
|
||||||||
|
6.63%, 2/1/2035
|
630,000 | 702,469 | ||||||
|
6.73%, 4/1/2035
|
285,000 | 320,819 | ||||||
|
7.35%, 7/1/2035
|
445,000 | 524,232 | ||||||
|
Illinois, State Toll Highway Authority Revenue:
|
||||||||
|
5.85%, 12/1/2034
|
270,000 | 337,203 | ||||||
|
6.18%, 1/1/2034
|
380,000 | 482,034 | ||||||
| 5,762,361 | ||||||||
|
INDIANA — 0.5%
|
||||||||
|
Indianapolis, IN, Public Improvement Revenue
6.12%, 1/15/2040 |
460,000 | 601,105 | ||||||
|
KANSAS — 0.1%
|
||||||||
|
Kansas, State Department of Transportation, Highway Revenue
4.60%, 9/1/2035 |
140,000 | 161,839 | ||||||
|
KENTUCKY — 0.5%
|
||||||||
|
Louisville & Jefferson County, KY, Metropolitan Sewer
District Revenue
6.25%, 5/15/2043 |
400,000 | 533,976 | ||||||
|
LOUISIANA — 0.3%
|
||||||||
|
East Baton Rouge, LA, Sewer Commission Revenue
6.09%, 2/1/2045 |
255,000 | 285,835 | ||||||
|
MARYLAND — 0.6%
|
||||||||
|
Maryland, State Transportation Authority Revenue
5.89%, 7/1/2043 |
520,000 | 693,124 | ||||||
|
MASSACHUSETTS — 2.7%
|
||||||||
|
Massachusetts, State General Obligation:
|
||||||||
|
Series E 4.20%, 12/1/2021
|
580,000 | 664,605 | ||||||
|
Series D 4.50%, 8/1/2031
|
75,000 | 83,569 | ||||||
|
4.91%, 5/1/2029
|
200,000 | 233,934 | ||||||
|
5.46%, 12/1/2039
|
710,000 | 892,328 | ||||||
|
Massachusetts, State School Building Authority Revenue:
|
||||||||
|
5.45%, 11/1/2040
|
300,000 | 366,147 | ||||||
|
5.72%, 8/15/2039
|
510,000 | 657,319 | ||||||
|
Massachusetts, State Water Pollution Abatement Trust
5.19%, 8/1/2040 |
105,000 | 125,085 | ||||||
| 3,022,987 | ||||||||
|
MICHIGAN — 0.2%
|
||||||||
|
Michigan, State General Obligation
Series B 7.63%, 9/15/2027 |
200,000 | 255,628 | ||||||
|
MISSISSIPPI — 0.2%
|
||||||||
|
Mississippi, State General Obligation
5.25%, 11/1/2034 |
135,000 | 163,964 | ||||||
|
MISSOURI — 1.2%
|
||||||||
|
Missouri, State Highways & Transportation Commission,
State Road Revenue
5.45%, 5/1/2033 |
355,000 | 434,605 | ||||||
|
University of Missouri, Revenue:
|
||||||||
|
5.79%, 11/1/2041
|
100,000 | 135,162 | ||||||
|
5.96%, 11/1/2039
|
570,000 | 746,928 | ||||||
| 1,316,695 | ||||||||
|
NEVADA — 1.4%
|
||||||||
|
Clark County, NV, Airport Revenue:
|
||||||||
|
6.82%, 7/1/2045
|
600,000 | 854,718 | ||||||
|
6.88%, 7/1/2042
|
345,000 | 394,973 | ||||||
|
Las Vegas Valley, NV, Water District, General Obligation
7.01%, 6/1/2039 |
225,000 | 304,997 | ||||||
| 1,554,688 | ||||||||
|
NEW JERSEY — 7.0%
|
||||||||
|
New Jersey, State Transportation Trust Revenue:
|
||||||||
|
5.75%, 12/15/2028
|
830,000 | 979,375 | ||||||
|
6.10%, 12/15/2028
|
385,000 | 443,420 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
6.56%, 12/15/2040
|
$ | 415,000 | $ | 556,980 | ||||
|
6.88%, 12/15/2039
|
215,000 | 248,323 | ||||||
|
New Jersey, State Turnpike Authority Revenue:
|
||||||||
|
7.10%, 1/1/2041
|
1,880,000 | 2,683,869 | ||||||
|
7.41%, 1/1/2040
|
1,515,000 | 2,235,549 | ||||||
|
Rutgers University, Revenue
5.67%, 5/1/2040 |
425,000 | 537,208 | ||||||
| 7,684,724 | ||||||||
|
NEW YORK — 14.9%
|
||||||||
|
New York, NY, City Municipal Water Finance Authority,
Water & Sewer System Revenue:
|
||||||||
|
5.44%, 6/15/2043
|
425,000 | 542,003 | ||||||
|
5.72%, 6/15/2042
|
635,000 | 838,359 | ||||||
|
5.75%, 6/15/2041
|
365,000 | 481,373 | ||||||
|
5.79%, 6/15/2041
|
345,000 | 391,327 | ||||||
|
5.88%, 6/15/2044
|
600,000 | 814,710 | ||||||
|
5.95%, 6/15/2042
|
255,000 | 346,293 | ||||||
|
6.01%, 6/15/2042
|
215,000 | 293,935 | ||||||
|
6.28%, 6/15/2042
|
135,000 | 158,794 | ||||||
|
New York, NY, City Transitional Finance Authority Revenue:
|
||||||||
|
5.51%, 8/1/2037
|
670,000 | 836,662 | ||||||
|
5.57%, 11/1/2038
|
450,000 | 561,690 | ||||||
|
5.77%, 8/1/2036
|
195,000 | 240,954 | ||||||
|
6.83%, 7/15/2040
|
265,000 | 352,681 | ||||||
|
New York, NY, General Obligation:
|
||||||||
|
5.21%, 10/1/2031
|
280,000 | 326,256 | ||||||
|
5.52%, 10/1/2037
|
355,000 | 439,898 | ||||||
|
5.85%, 6/1/2040
|
275,000 | 351,150 | ||||||
|
Series G-1
5.97%, 3/1/2036
|
225,000 | 291,159 | ||||||
|
5.99%, 12/1/2036
|
695,000 | 878,980 | ||||||
|
6.25%, 6/1/2035
|
425,000 | 494,619 | ||||||
|
6.27%, 12/1/2037
|
220,000 | 293,143 | ||||||
|
6.65%, 12/1/2031
|
105,000 | 127,248 | ||||||
|
New York, NY, Metropolitan Transportation Authority Revenue:
|
||||||||
|
5.87%, 11/15/2039
|
290,000 | 349,755 | ||||||
|
6.09%, 11/15/2040
|
285,000 | 367,348 | ||||||
|
6.55%, 11/15/2031
|
240,000 | 301,795 | ||||||
|
6.65%, 11/15/2039
|
285,000 | 372,749 | ||||||
|
6.67%, 11/15/2039
|
385,000 | 513,351 | ||||||
|
6.69%, 11/15/2040
|
425,000 | 567,439 | ||||||
|
6.81%, 11/15/2040
|
370,000 | 500,425 | ||||||
|
New York, NY, Metropolitan Transportation Authority, Dedicated
Tax Fund
7.34%, 11/15/2039 |
855,000 | 1,282,286 | ||||||
|
New York, State Dormitory Authority, State Personal Income Tax
Revenue:
|
||||||||
|
5.29%, 3/15/2033
|
75,000 | 88,572 | ||||||
|
5.39%, 3/15/2040
|
105,000 | 127,956 | ||||||
|
5.43%, 3/15/2039
|
525,000 | 643,067 | ||||||
|
5.50%, 3/15/2030
|
125,000 | 151,106 | ||||||
|
5.60%, 3/15/2040
|
435,000 | 547,465 | ||||||
|
5.63%, 3/15/2039
|
395,000 | 488,974 | ||||||
|
New York, State Urban
Development Corp. Revenue: |
||||||||
|
5.77%, 3/15/2039
|
635,000 | 780,517 | ||||||
|
Series C 5.84%, 3/15/2040
|
250,000 | 316,275 | ||||||
| 16,460,314 | ||||||||
|
NORTH CAROLINA — 0.2%
|
||||||||
|
North Carolina, Turnkpike Authority Revenue
Series B 6.70%, 1/1/2039 |
160,000 | 186,470 | ||||||
|
OHIO — 4.6%
|
||||||||
|
Ohio State University, General Receipts Revenue
4.91%, 6/1/2040 |
570,000 | 673,854 | ||||||
|
Ohio, American Municipal Power, Inc. Revenue:
|
||||||||
|
5.94%, 2/15/2047
|
370,000 | 431,853 | ||||||
|
6.05%, 2/15/2043
|
245,000 | 288,262 | ||||||
|
Series E 6.27%, 2/15/2050
|
235,000 | 273,923 | ||||||
|
7.50%, 2/15/2050
|
445,000 | 606,028 | ||||||
|
7.83%, 2/15/2041
|
465,000 | 656,426 | ||||||
|
8.08%, 2/15/2050
|
850,000 | 1,240,439 | ||||||
|
Ohio, American Municipal Power, Inc., Revenue
6.45%, 2/15/2044 |
45,000 | 54,369 | ||||||
|
Ohio, Northeast Regional Sewer District, Wastewater Revenue
6.04%, 11/15/2040 |
280,000 | 324,881 | ||||||
|
Ohio, State Water Development Authority, Water Quality Loan
Fund
4.88%, 12/1/2034 |
465,000 | 523,181 | ||||||
| 5,073,216 | ||||||||
|
OREGON — 0.2%
|
||||||||
|
Oregon, State Department of Transportation Revenue
5.83%, 11/15/2034 |
160,000 | 207,378 | ||||||
|
PENNSYLVANIA — 2.3%
|
||||||||
|
Pennsylvania, Commonwealth Financing Authority Revenue
6.22%, 6/1/2039 |
150,000 | 185,147 | ||||||
|
Pennsylvania, State General Obligation:
|
||||||||
|
4.65%, 2/15/2026
|
425,000 | 490,888 | ||||||
|
5.35%, 5/1/2030
|
340,000 | 375,482 | ||||||
|
5.45%, 2/15/2030
|
110,000 | 133,951 | ||||||
|
5.85%, 7/15/2030
|
150,000 | 173,676 | ||||||
|
Pennsylvania, Turnpike Commission Revenue:
|
||||||||
|
5.51%, 12/1/2045
|
455,000 | 539,284 | ||||||
|
5.56%, 12/1/2049
|
385,000 | 463,109 | ||||||
|
6.11%, 12/1/2039
|
100,000 | 126,253 | ||||||
| 2,487,790 | ||||||||
|
PUERTO RICO — 0.1%
|
||||||||
|
Puerto Rico, Electric Power Authority Revenue
6.13%, 7/1/2040 |
100,000 | 102,144 | ||||||
|
SOUTH CAROLINA — 0.4%
|
||||||||
|
South Carolina, State Public Service Authority Revenue
Series C 6.45%, 1/1/2050 |
345,000 | 468,624 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
TENNESSEE — 0.7%
|
||||||||
|
Nashville & Davidson County, TN, Convention Center
Authority Revenue
6.73%, 7/1/2043 |
$ | 335,000 | $ | 399,484 | ||||
|
Nashville & Davidson County, TN, Metropolitan
Government, General Obligation
5.71%, 7/1/2034 |
275,000 | 346,838 | ||||||
| 746,322 | ||||||||
|
TEXAS — 9.8%
|
||||||||
|
Dallas County, TX, Hospital District General Obligation
5.62%, 8/15/2044 |
370,000 | 477,855 | ||||||
|
Dallas, TX, Area Rapid Transit, Sales Tax Revenue:
|
||||||||
|
4.92%, 12/1/2041
|
300,000 | 360,501 | ||||||
|
5.02%, 12/1/2048
|
435,000 | 538,874 | ||||||
|
6.00%, 12/1/2044
|
335,000 | 460,903 | ||||||
|
6.25%, 12/1/2034
|
170,000 | 196,500 | ||||||
|
Dallas, TX, Convention Center Hotel Development Corp. Revenue
7.09%, 1/1/2042 |
400,000 | 485,660 | ||||||
|
Dallas, TX, Independent School District, General Obligation
6.45%, 2/15/2035 (a) |
460,000 | 572,323 | ||||||
|
North Texas, Tollway Authority Revenue:
|
||||||||
|
6.72%, 1/1/2049
|
870,000 | 1,180,259 | ||||||
|
8.91%, 2/1/2030
|
135,000 | 157,515 | ||||||
|
San Antonio, TX, Electric & Gas Revenue:
|
||||||||
|
5.72%, 2/1/2041
|
150,000 | 195,093 | ||||||
|
5.81%, 2/1/2041
|
50,000 | 65,028 | ||||||
|
5.99%, 2/1/2039
|
620,000 | 827,613 | ||||||
|
Texas, State General Obligation:
|
||||||||
|
4.63%, 4/1/2033
|
110,000 | 127,879 | ||||||
|
4.68%, 4/1/2040
|
220,000 | 256,403 | ||||||
|
5.52%, 4/1/2039
|
1,145,000 | 1,492,164 | ||||||
|
Texas, State Transportation Commission, Revenue
5.03%, 4/1/2026 |
695,000 | 844,418 | ||||||
|
Texas, State Transportation Commission, Revenue,
Series B
5.18%, 4/1/2030 |
1,060,000 | 1,286,087 | ||||||
|
University of Texas, Revenue:
|
||||||||
|
4.79%, 8/15/2046
|
55,000 | 65,130 | ||||||
|
5.13%, 8/15/2042
|
260,000 | 323,027 | ||||||
|
5.26%, 7/1/2039
|
290,000 | 367,198 | ||||||
|
Series B 6.28%, 8/15/2041
|
415,000 | 491,016 | ||||||
| 10,771,446 | ||||||||
|
UTAH — 1.2%
|
||||||||
|
Utah, State General Obligation:
|
||||||||
|
3.54%, 7/1/2025
|
405,000 | 438,311 | ||||||
|
4.55%, 7/1/2024
|
500,000 | 592,120 | ||||||
|
Utah, Transport Authority Sales Tax Revenue
5.94%, 6/15/2039 |
230,000 | 306,119 | ||||||
| 1,336,550 | ||||||||
|
VIRGINIA — 0.8%
|
||||||||
|
University of Virginia, Revenue
6.20%, 9/1/2039 |
300,000 | 433,809 | ||||||
|
Virginia, Commonwealth Transportation Board Revenue
5.35%, 5/15/2035 |
395,000 | 484,890 | ||||||
| 918,699 | ||||||||
|
WASHINGTON — 1.9%
|
||||||||
|
Central Puget Sound, WA, Regional Transit Authority,
Sales & Use Tax Revenue
5.49%, 11/1/2039 |
375,000 | 473,584 | ||||||
|
Washington, State Convention Center, Public Facilities
Revenue
6.79%, 7/1/2040 |
295,000 | 363,776 | ||||||
|
Washington, State General Obligation:
|
||||||||
|
5.09%, 8/1/2033
|
325,000 | 385,726 | ||||||
|
5.14%, 8/1/2040
|
405,000 | 496,911 | ||||||
|
Series D 5.48%, 8/1/2039
|
320,000 | 403,638 | ||||||
| 2,123,635 | ||||||||
|
TOTAL MUNICIPAL BONDS & NOTES —
|
||||||||
|
(Cost $99,809,809)
|
108,540,729 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.1%
|
||||||||
|
MONEY MARKET FUND — 0.1%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c)(d) (Cost $91,118) |
91,118 | 91,118 | ||||||
|
TOTAL INVESTMENTS — 98.5% (e)
|
||||||||
|
(Cost $99,900,927)
|
108,631,847 | |||||||
|
OTHER ASSETS &
LIABILITIES — 1.5% |
1,698,418 | |||||||
|
NET ASSETS — 100.0%
|
$ | 110,330,265 | ||||||
|
(a)
|
Bond is insured by one of these companies: | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 99.1%
|
||||||||
|
AUSTRALIA — 4.0%
|
||||||||
|
Commonwealth of Australia:
|
||||||||
|
2.50%, 9/20/2030
|
AUD | 6,777,934 | $ | 9,052,035 | ||||
|
3.00%, 9/20/2025
|
AUD | 10,298,668 | 13,963,776 | |||||
|
4.00%, 8/20/2015
|
AUD | 8,773,283 | 10,083,211 | |||||
|
4.00%, 8/20/2020
|
AUD | 15,377,344 | 20,510,797 | |||||
| 53,609,819 | ||||||||
|
BRAZIL — 4.4%
|
||||||||
|
Federal Republic of Brazil:
|
||||||||
|
6.00%, 8/15/2014
|
BRL | 545,176 | 285,900 | |||||
|
6.00%, 5/15/2017
|
BRL | 46,582,040 | 25,608,451 | |||||
|
6.00%, 8/15/2024
|
BRL | 35,654,527 | 20,968,057 | |||||
|
6.00%, 5/15/2035
|
BRL | 19,229,457 | 11,874,433 | |||||
| 58,736,841 | ||||||||
|
CANADA — 4.6%
|
||||||||
|
Government of Canada:
|
||||||||
|
1.50%, 12/1/2044
|
CAD | 4,435,515 | 5,987,574 | |||||
|
2.00%, 12/1/2041
|
CAD | 7,133,829 | 10,539,971 | |||||
|
3.00%, 12/1/2036
|
CAD | 6,949,848 | 11,604,717 | |||||
|
4.00%, 12/1/2031
|
CAD | 6,176,038 | 10,930,951 | |||||
|
4.25%, 12/1/2021
|
CAD | 6,917,814 | 10,038,512 | |||||
|
4.25%, 12/1/2026
|
CAD | 7,763,978 | 12,835,438 | |||||
| 61,937,163 | ||||||||
|
CHILE — 4.7%
|
||||||||
|
Republic of Chile:
|
||||||||
|
3.00%, 5/1/2017
|
CLP | 2,100,967,650 | 4,559,870 | |||||
|
3.00%, 1/1/2018
|
CLP | 11,047,023,446 | 24,040,646 | |||||
|
3.00%, 3/1/2028
|
CLP | 3,546,794,845 | 7,879,581 | |||||
|
3.00%, 1/1/2030
|
CLP | 8,132,778,000 | 18,223,344 | |||||
|
3.00%, 2/1/2031
|
CLP | 1,219,916,700 | 2,687,596 | |||||
|
5.00%, 1/1/2016
|
CLP | 2,259,105,000 | 5,142,163 | |||||
| 62,533,200 | ||||||||
|
FRANCE — 15.8%
|
||||||||
|
Republic of France:
|
||||||||
|
0.25%, 7/25/2018
|
EUR | 1,525,665 | 2,050,218 | |||||
|
1.00%, 7/25/2017
|
EUR | 30,954,196 | 43,753,048 | |||||
|
1.10%, 7/25/2022
|
EUR | 2,121,840 | 2,971,056 | |||||
|
1.60%, 7/25/2015
|
EUR | 26,745,322 | 37,349,716 | |||||
|
1.80%, 7/25/2040
|
EUR | 10,674,458 | 17,325,156 | |||||
|
2.25%, 7/25/2020
|
EUR | 37,503,538 | 57,232,117 | |||||
|
3.15%, 7/25/2032
|
EUR | 15,688,031 | 29,351,622 | |||||
|
3.40%, 7/25/2029
|
EUR | 11,559,413 | 21,755,049 | |||||
| 211,787,982 | ||||||||
|
GERMANY — 4.7%
|
||||||||
|
Federal Republic of Germany:
|
||||||||
|
0.10%, 4/15/2023
|
EUR | 6,045,700 | 8,237,170 | |||||
|
1.50%, 4/15/2016
|
EUR | 23,165,335 | 32,669,165 | |||||
|
1.75%, 4/15/2020
|
EUR | 14,180,508 | 21,641,930 | |||||
| 62,548,265 | ||||||||
|
ISRAEL — 4.4%
|
||||||||
|
State of Israel:
|
||||||||
|
2.75%, 8/30/2041
|
ILS | 7,942,545 | 1,992,033 | |||||
|
4.00%, 7/30/2021
|
ILS | 75,304,243 | 22,954,121 | |||||
|
4.00%, 7/31/2024
|
ILS | 62,464,448 | 19,170,973 | |||||
|
4.00%, 5/30/2036
|
ILS | 5,881,575 | 1,838,300 | |||||
|
5.00%, 4/30/2015
|
ILS | 46,936,061 | 13,571,977 | |||||
| 59,527,404 | ||||||||
|
ITALY — 10.1%
|
||||||||
|
Republic of Italy:
|
||||||||
|
2.10%, 9/15/2016
|
EUR | 15,705,150 | 19,855,290 | |||||
|
2.10%, 9/15/2017
|
EUR | 7,672,523 | 9,485,740 | |||||
|
2.10%, 9/15/2021
|
EUR | 17,917,836 | 20,239,032 | |||||
|
2.15%, 9/15/2014
|
EUR | 22,535,168 | 29,571,314 | |||||
|
2.35%, 9/15/2019
|
EUR | 3,199,260 | 3,868,485 | |||||
|
2.35%, 9/15/2035
|
EUR | 20,302,463 | 19,469,185 | |||||
|
2.55%, 9/15/2041
|
EUR | 11,688,600 | 11,243,599 | |||||
|
2.60%, 9/15/2023
|
EUR | 18,166,919 | 20,667,625 | |||||
|
3.10%, 9/15/2026
|
EUR | 1,037,190 | 1,187,033 | |||||
| 135,587,303 | ||||||||
|
JAPAN — 4.4%
|
||||||||
|
Japanese Government CPI Linked Bond:
|
||||||||
|
1.10%, 12/10/2016 (a)
|
JPY | 4,077,711,000 | 56,238,868 | |||||
|
1.40%, 6/10/2018 (a)
|
JPY | 172,550,000 | 2,440,762 | |||||
| 58,679,630 | ||||||||
|
MEXICO — 4.6%
|
||||||||
|
United Mexican States:
|
||||||||
|
3.50%, 12/19/2013
|
MXN | 89,461,568 | 7,246,045 | |||||
|
4.50%, 11/22/2035
|
MXN | 306,046,823 | 32,382,681 | |||||
|
5.00%, 6/16/2016
|
MXN | 251,456,167 | 22,594,670 | |||||
| 62,223,396 | ||||||||
|
POLAND — 2.8%
|
||||||||
|
Republic of Poland:
|
||||||||
|
2.75%, 8/25/2023
|
PLN | 36,529,721 | 11,511,215 | |||||
|
3.00%, 8/24/2016
|
PLN | 79,793,886 | 25,866,913 | |||||
| 37,378,128 | ||||||||
|
SOUTH AFRICA — 4.2%
|
||||||||
|
Republic of South Africa:
|
||||||||
|
2.50%, 1/31/2017
|
ZAR | 187,605,556 | 24,781,823 | |||||
|
3.45%, 12/7/2033
|
ZAR | 205,555,226 | 31,567,753 | |||||
| 56,349,576 | ||||||||
|
SOUTH KOREA — 3.0%
|
||||||||
|
Republic of South Korea:
|
||||||||
|
2.75%, 3/10/2017
|
KRW | 19,697,594,536 | 19,468,520 | |||||
|
2.75%, 6/10/2020
|
KRW | 19,563,726,000 | 20,576,743 | |||||
| 40,045,263 | ||||||||
|
SWEDEN — 4.5%
|
||||||||
|
Kingdom of Sweden:
|
||||||||
|
3.50%, 12/1/2015
|
SEK | 110,812,444 | 19,050,405 | |||||
|
3.50%, 12/1/2028
|
SEK | 106,025,346 | 25,032,949 | |||||
|
4.00%, 12/1/2020
|
SEK | 77,065,090 | 15,847,163 | |||||
| 59,930,517 | ||||||||
|
TURKEY — 4.7%
|
||||||||
|
Republic of Turkey:
|
||||||||
|
3.00%, 2/23/2022
|
TRY | 14,225,386 | 8,373,932 | |||||
|
4.00%, 4/1/2020
|
TRY | 42,065,531 | 26,085,970 | |||||
|
9.00%, 5/21/2014
|
TRY | 44,974,283 | 28,440,799 | |||||
| 62,900,701 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
UNITED KINGDOM — 18.2%
|
||||||||
|
United Kingdom
Treasury Bond: |
||||||||
|
0.38%, 3/22/2062
|
GBP | 5,671,689 | $ | 9,391,039 | ||||
|
0.50%, 3/22/2050
|
GBP | 6,239,420 | 10,650,405 | |||||
|
0.63%, 3/22/2040
|
GBP | 1,118,080 | 1,967,354 | |||||
|
0.63%, 11/22/2042
|
GBP | 6,010,546 | 10,683,202 | |||||
|
0.75%, 11/22/2047
|
GBP | 6,530,946 | 12,072,883 | |||||
|
1.13%, 11/22/2037
|
GBP | 6,894,893 | 13,495,696 | |||||
|
1.25%, 11/22/2017
|
GBP | 7,776,634 | 14,404,942 | |||||
|
1.25%, 11/22/2027
|
GBP | 24,936,725 | 48,602,035 | |||||
|
1.25%, 11/22/2032
|
GBP | 4,928,035 | 9,726,366 | |||||
|
1.25%, 11/22/2055
|
GBP | 6,083,723 | 13,453,957 | |||||
|
1.88%, 11/22/2022
|
GBP | 16,697,873 | 34,268,992 | |||||
|
2.00%, 1/26/2035
|
GBP | 8,398,823 | 18,658,702 | |||||
|
2.50%, 7/26/2016
|
GBP | 5,167,410 | 9,637,443 | |||||
|
2.50%, 4/16/2020
|
GBP | 1,966,257 | 4,038,789 | |||||
|
4.13%, 7/22/2030
|
GBP | 11,965,693 | 33,093,424 | |||||
| 244,145,229 | ||||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $1,211,884,374)
|
1,327,920,417 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.1%
|
||||||||
|
MONEY MARKET FUND — 0.1%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (b)(c)(d) (Cost $648,227) |
648,227 | 648,227 | ||||||
|
TOTAL INVESTMENTS — 99.2% (e)
|
||||||||
|
(Cost $1,212,532,601)
|
1,328,568,644 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.8% |
10,909,577 | |||||||
|
NET ASSETS — 100.0%
|
$ | 1,339,478,221 | ||||||
|
(a)
|
Securities are valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(b)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(d)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 97.8%
|
||||||||
|
AUSTRALIA — 3.6%
|
||||||||
|
Commonwealth of Australia:
|
||||||||
|
4.50%, 10/21/2014 (a)
|
AUD | 2,100,000 | $ | 2,272,146 | ||||
|
5.50%, 12/15/2013 (a)
|
AUD | 1,000,000 | 1,075,163 | |||||
|
6.25%, 6/15/2014
|
AUD | 2,125,000 | 2,344,982 | |||||
|
6.25%, 4/15/2015
|
AUD | 2,400,000 | 2,728,939 | |||||
| 8,421,230 | ||||||||
|
AUSTRIA — 3.9%
|
||||||||
|
Republic of Austria:
|
||||||||
|
3.40%, 10/20/2014 (b)
|
EUR | 2,900,000 | 3,979,100 | |||||
|
3.50%, 7/15/2015 (b)
|
EUR | 1,050,000 | 1,471,210 | |||||
|
3.80%, 10/20/2013 (b)
|
EUR | 1,200,000 | 1,601,383 | |||||
|
4.13%, 1/15/2014 (b)
|
EUR | 600,000 | 811,297 | |||||
|
4.30%, 7/15/2014 (b)
|
EUR | 1,050,000 | 1,448,422 | |||||
| 9,311,412 | ||||||||
|
BELGIUM — 4.2%
|
||||||||
|
Kingdom of Belgium:
|
||||||||
|
3.50%, 3/28/2015
|
EUR | 2,150,000 | 2,971,348 | |||||
|
4.00%, 3/28/2014
|
EUR | 1,805,000 | 2,451,400 | |||||
|
4.25%, 9/28/2014
|
EUR | 3,275,000 | 4,538,130 | |||||
| 9,960,878 | ||||||||
|
CANADA — 4.3%
|
||||||||
|
Government of Canada:
|
||||||||
|
1.00%, 2/1/2014
|
CAD | 550,000 | 558,424 | |||||
|
1.00%, 11/1/2014
|
CAD | 400,000 | 405,895 | |||||
|
1.00%, 2/1/2015
|
CAD | 1,150,000 | 1,166,000 | |||||
|
1.50%, 11/1/2013
|
CAD | 775,000 | 791,296 | |||||
|
1.50%, 8/1/2015
|
CAD | 900,000 | 923,434 | |||||
|
2.00%, 3/1/2014
|
CAD | 1,500,000 | 1,544,164 | |||||
|
2.25%, 8/1/2014
|
CAD | 1,450,000 | 1,504,952 | |||||
|
3.00%, 6/1/2014
|
CAD | 2,100,000 | 2,201,783 | |||||
|
4.50%, 6/1/2015
|
CAD | 1,000,000 | 1,106,723 | |||||
| 10,202,671 | ||||||||
|
DENMARK — 2.8%
|
||||||||
|
Kingdom of Denmark:
|
||||||||
|
2.00%, 11/15/2014
|
DKK | 21,350,000 | 3,844,002 | |||||
|
5.00%, 11/15/2013
|
DKK | 15,750,000 | 2,873,738 | |||||
| 6,717,740 | ||||||||
|
FRANCE — 4.5%
|
||||||||
|
French Treasury Note:
|
||||||||
|
0.75%, 9/25/2014
|
EUR | 300,000 | 390,214 | |||||
|
2.00%, 7/12/2015
|
EUR | 1,000,000 | 1,346,219 | |||||
|
Republic of France:
|
||||||||
|
2.50%, 1/12/2014
|
EUR | 550,000 | 729,137 | |||||
|
2.50%, 1/15/2015
|
EUR | 1,300,000 | 1,759,283 | |||||
|
3.00%, 7/12/2014
|
EUR | 500,000 | 675,727 | |||||
|
3.50%, 4/25/2015
|
EUR | 500,000 | 696,099 | |||||
|
4.00%, 10/25/2013
|
EUR | 1,050,000 | 1,406,816 | |||||
|
4.00%, 4/25/2014
|
EUR | 1,400,000 | 1,909,490 | |||||
|
4.00%, 10/25/2014
|
EUR | 1,200,000 | 1,664,633 | |||||
| 10,577,618 | ||||||||
|
GERMANY — 9.6%
|
||||||||
|
Federal Republic of Germany:
|
||||||||
|
Zero Coupon, 6/13/2014 (c)
|
EUR | 1,100,000 | 1,414,895 | |||||
|
0.01%, 9/12/2014 (c)
|
EUR | 500,000 | 642,864 | |||||
|
0.25%, 12/13/2013
|
EUR | 500,000 | 645,212 | |||||
|
0.25%, 3/14/2014
|
EUR | 1,150,000 | 1,484,845 | |||||
|
2.25%, 4/11/2014
|
EUR | 900,000 | 1,197,517 | |||||
|
2.25%, 4/10/2015
|
EUR | 1,450,000 | 1,968,601 | |||||
|
2.50%, 10/10/2014
|
EUR | 1,300,000 | 1,755,905 | |||||
|
2.50%, 2/27/2015
|
EUR | 1,550,000 | 2,112,024 | |||||
|
3.25%, 7/4/2015
|
EUR | 1,500,000 | 2,098,467 | |||||
|
3.75%, 1/4/2015
|
EUR | 1,250,000 | 1,742,917 | |||||
|
4.00%, 10/11/2013
|
EUR | 1,600,000 | 2,142,382 | |||||
|
4.25%, 1/4/2014
|
EUR | 1,500,000 | 2,033,570 | |||||
|
4.25%, 7/4/2014
|
EUR | 2,525,000 | 3,489,444 | |||||
| 22,728,643 | ||||||||
|
ITALY — 10.0%
|
||||||||
|
Republic of Italy:
|
||||||||
|
Zero Coupon, 1/31/2014 (c)
|
EUR | 600,000 | 749,828 | |||||
|
2.25%, 11/1/2013
|
EUR | 1,400,000 | 1,806,705 | |||||
|
2.50%, 3/1/2015
|
EUR | 1,350,000 | 1,726,250 | |||||
|
3.00%, 4/1/2014
|
EUR | 1,750,000 | 2,278,841 | |||||
|
3.00%, 4/15/2015
|
EUR | 1,500,000 | 1,936,465 | |||||
|
3.00%, 6/15/2015
|
EUR | 1,300,000 | 1,676,965 | |||||
|
3.50%, 6/1/2014
|
EUR | 1,850,000 | 2,423,912 | |||||
|
3.75%, 12/15/2013
|
EUR | 1,325,000 | 1,738,738 | |||||
|
3.75%, 8/1/2015
|
EUR | 1,100,000 | 1,443,247 | |||||
|
4.25%, 7/1/2014
|
EUR | 300,000 | 398,166 | |||||
|
4.25%, 8/1/2014
|
EUR | 2,650,000 | 3,520,706 | |||||
|
4.25%, 2/1/2015
|
EUR | 600,000 | 799,688 | |||||
|
4.50%, 7/15/2015
|
EUR | 900,000 | 1,204,284 | |||||
|
6.00%, 11/15/2014
|
EUR | 1,350,000 | 1,857,994 | |||||
| 23,561,789 | ||||||||
|
JAPAN — 23.1%
|
||||||||
|
Government of Japan 2 Year Bond:
|
||||||||
|
0.10%, 10/15/2013
|
JPY | 100,000,000 | 1,285,269 | |||||
|
0.10%, 1/15/2014
|
JPY | 165,000,000 | 2,120,668 | |||||
|
0.10%, 3/15/2014
|
JPY | 125,000,000 | 1,606,555 | |||||
|
0.10%, 4/15/2014
|
JPY | 70,000,000 | 899,667 | |||||
|
0.10%, 5/15/2014
|
JPY | 80,000,000 | 1,028,188 | |||||
|
0.10%, 6/15/2014
|
JPY | 80,000,000 | 1,028,185 | |||||
|
0.10%, 9/15/2014
|
JPY | 50,000,000 | 642,611 | |||||
|
Government of Japan 5 Year Bond:
|
||||||||
|
0.30%, 6/20/2015
|
JPY | 230,000,000 | 2,972,020 | |||||
|
0.40%, 6/20/2015
|
JPY | 160,000,000 | 2,073,063 | |||||
|
0.40%, 9/20/2015
|
JPY | 375,000,000 | 4,861,817 | |||||
|
0.50%, 12/20/2014
|
JPY | 360,000,000 | 4,668,399 | |||||
|
0.50%, 3/20/2015
|
JPY | 125,000,000 | 1,622,445 | |||||
|
0.70%, 12/20/2013
|
JPY | 185,950,000 | 2,407,323 | |||||
|
0.70%, 6/20/2014
|
JPY | 284,250,000 | 3,690,793 | |||||
|
0.70%, 9/20/2014
|
JPY | 165,000,000 | 2,145,944 | |||||
|
0.80%, 3/20/2014
|
JPY | 198,950,000 | 2,583,105 | |||||
|
0.90%, 12/20/2013
|
JPY | 215,000,000 | 2,790,111 | |||||
|
Government of Japan 10 Year Bond:
|
||||||||
|
1.30%, 3/20/2015
|
JPY | 330,000,000 | 4,366,613 | |||||
|
1.40%, 12/20/2013
|
JPY | 206,650,000 | 2,697,853 | |||||
|
1.50%, 3/20/2014
|
JPY | 227,950,000 | 2,989,550 | |||||
|
1.50%, 9/20/2014
|
JPY | 455,000,000 | 6,008,047 | |||||
| 54,488,226 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
MEXICO — 3.2%
|
||||||||
|
Mexican Bonos:
|
||||||||
|
6.00%, 6/18/2015
|
MXN | 22,500,000 | $ | 1,807,513 | ||||
|
9.50%, 12/18/2014
|
MXN | 30,000,000 | 2,566,895 | |||||
|
United Mexican States:
|
||||||||
|
7.00%, 6/19/2014
|
MXN | 11,350,000 | 917,020 | |||||
|
8.00%, 12/19/2013
|
MXN | 27,150,000 | 2,195,057 | |||||
| 7,486,485 | ||||||||
|
NETHERLANDS — 4.6%
|
||||||||
|
Kingdom of the Netherlands:
|
||||||||
|
0.75%, 4/15/2015 (b)
|
EUR | 1,250,000 | 1,630,799 | |||||
|
1.00%, 1/15/2014 (b)
|
EUR | 1,975,000 | 2,572,597 | |||||
|
2.75%, 1/15/2015 (b)
|
EUR | 1,600,000 | 2,180,318 | |||||
|
3.25%, 7/15/2015 (b)
|
EUR | 1,800,000 | 2,510,195 | |||||
|
3.75%, 7/15/2014 (b)
|
EUR | 1,450,000 | 1,986,996 | |||||
| 10,880,905 | ||||||||
|
POLAND — 3.2%
|
||||||||
|
Republic of Poland:
|
||||||||
|
Zero Coupon, 1/25/2014 (c)
|
PLN | 4,950,000 | 1,465,585 | |||||
|
Zero Coupon, 7/25/2014 (c)
|
PLN | 2,000,000 | 581,105 | |||||
|
5.00%, 10/24/2013
|
PLN | 5,500,000 | 1,732,984 | |||||
|
5.50%, 4/25/2015
|
PLN | 5,750,000 | 1,855,013 | |||||
|
5.75%, 4/25/2014
|
PLN | 6,275,000 | 2,008,125 | |||||
| 7,642,812 | ||||||||
|
SINGAPORE — 2.7%
|
||||||||
|
Government of Singapore:
|
||||||||
|
0.25%, 2/1/2014
|
SGD | 1,000,000 | 814,789 | |||||
|
1.38%, 10/1/2014
|
SGD | 1,650,000 | 1,374,389 | |||||
|
2.88%, 7/1/2015
|
SGD | 2,650,000 | 2,312,845 | |||||
|
3.63%, 7/1/2014
|
SGD | 2,125,000 | 1,833,927 | |||||
| 6,335,950 | ||||||||
|
SOUTH AFRICA — 2.5%
|
||||||||
|
Republic of South Africa:
|
||||||||
|
7.50%, 1/15/2014
|
ZAR | 19,950,000 | 2,489,171 | |||||
|
8.75%, 12/21/2014
|
ZAR | 24,650,000 | 3,223,173 | |||||
|
13.50%, 9/15/2015
|
ZAR | 1,500,000 | 221,479 | |||||
| 5,933,823 | ||||||||
|
SOUTH KOREA — 3.9%
|
||||||||
|
Korea Monetary Stabilization Bond
3.59%, 10/2/2013 |
KRW | 2,250,000,000 | 2,039,506 | |||||
|
Korea Treasury Bond:
|
||||||||
|
3.00%, 12/10/2013
|
KRW | 1,895,000,000 | 1,708,570 | |||||
|
3.25%, 12/10/2014
|
KRW | 2,690,000,000 | 2,443,225 | |||||
|
3.50%, 6/10/2014
|
KRW | 2,290,000,000 | 2,083,167 | |||||
|
5.00%, 9/10/2014
|
KRW | 1,100,000,000 | 1,030,456 | |||||
| 9,304,924 | ||||||||
|
SPAIN — 4.5%
|
||||||||
|
Kingdom of Spain:
|
||||||||
|
2.50%, 10/31/2013
|
EUR | 150,000 | 191,454 | |||||
|
3.00%, 4/30/2015
|
EUR | 1,550,000 | 1,952,757 | |||||
|
3.30%, 10/31/2014
|
EUR | 1,550,000 | 1,985,580 | |||||
|
3.40%, 4/30/2014
|
EUR | 1,150,000 | 1,478,128 | |||||
|
4.00%, 7/30/2015
|
EUR | 150,000 | 192,888 | |||||
|
4.25%, 1/31/2014
|
EUR | 1,750,000 | 2,274,003 | |||||
|
4.40%, 1/31/2015
|
EUR | 1,000,000 | 1,308,357 | |||||
|
4.75%, 7/30/2014
|
EUR | 1,000,000 | 1,315,214 | |||||
| 10,698,381 | ||||||||
|
SWEDEN — 2.7%
|
||||||||
|
Kingdom of Sweden:
|
||||||||
|
4.50%, 8/12/2015
|
SEK | 17,000,000 | 2,862,459 | |||||
|
6.75%, 5/5/2014
|
SEK | 20,275,000 | 3,387,248 | |||||
| 6,249,707 | ||||||||
|
UNITED KINGDOM — 4.5%
|
||||||||
|
United Kingdom Treasury Bond:
|
||||||||
|
2.25%, 3/7/2014
|
GBP | 1,500,000 | 2,493,412 | |||||
|
2.75%, 1/22/2015
|
GBP | 2,900,000 | 4,954,106 | |||||
|
4.75%, 9/7/2015
|
GBP | 1,000,000 | 1,827,307 | |||||
|
5.00%, 9/7/2014
|
GBP | 750,000 | 1,323,368 | |||||
| 10,598,193 | ||||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $228,147,402)
|
231,101,387 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 0.8%
|
||||||||
|
MONEY MARKET FUNDS — 0.8%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
1,759,190 | 1,759,190 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
69,860 | 69,860 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (g)
|
||||||||
|
(Cost $1,829,050)
|
1,829,050 | |||||||
|
TOTAL INVESTMENTS — 98.6% (h)
|
||||||||
|
(Cost $229,976,452)
|
232,930,437 | |||||||
|
OTHER ASSETS &
LIABILITIES — 1.4% |
3,201,211 | |||||||
|
NET ASSETS — 100.0%
|
$ | 236,131,648 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 8.6% of net assets as of September 30, 2012, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
Non-income producing security. | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 97.9%
|
||||||||
|
AUSTRALIA — 4.2%
|
||||||||
|
Commonwealth of Australia:
|
||||||||
|
2.75%, 4/21/2024
|
AUD | 1,300,000 | $ | 1,304,919 | ||||
|
4.25%, 7/21/2017
|
AUD | 2,000,000 | 2,240,943 | |||||
|
4.50%, 10/21/2014 (a)
|
AUD | 5,500,000 | 5,950,859 | |||||
|
4.50%, 4/15/2020
|
AUD | 6,250,000 | 7,271,500 | |||||
|
4.75%, 10/21/2015
|
AUD | 700,000 | 777,225 | |||||
|
4.75%, 6/15/2016
|
AUD | 6,050,000 | 6,803,325 | |||||
|
4.75%, 4/21/2027
|
AUD | 1,600,000 | 1,939,871 | |||||
|
5.25%, 3/15/2019
|
AUD | 7,285,000 | 8,728,006 | |||||
|
5.50%, 12/15/2013 (a)
|
AUD | 2,675,000 | 2,876,061 | |||||
|
5.50%, 1/21/2018
|
AUD | 4,025,000 | 4,786,858 | |||||
|
5.50%, 4/21/2023
|
AUD | 3,500,000 | 4,459,590 | |||||
|
5.75%, 5/15/2021
|
AUD | 6,350,000 | 8,069,642 | |||||
|
5.75%, 7/15/2022
|
AUD | 3,500,000 | 4,513,748 | |||||
|
5.75%, 7/15/2022
|
AUD | 1,600,000 | 2,063,428 | |||||
|
6.00%, 2/15/2017
|
AUD | 5,630,000 | 6,711,053 | |||||
|
6.25%, 6/15/2014
|
AUD | 5,800,000 | 6,400,422 | |||||
|
6.25%, 4/15/2015
|
AUD | 5,250,000 | 5,969,553 | |||||
| 80,867,003 | ||||||||
|
AUSTRIA — 4.4%
|
||||||||
|
Republic of Austria:
|
||||||||
|
1.95%, 6/18/2019 (b)
|
EUR | 1,200,000 | 1,602,984 | |||||
|
3.15%, 6/20/2044 (b)
|
EUR | 700,000 | 947,684 | |||||
|
3.20%, 2/20/2017 (b)
|
EUR | 3,450,000 | 4,914,223 | |||||
|
3.40%, 10/20/2014 (b)
|
EUR | 4,150,000 | 5,694,229 | |||||
|
3.40%, 11/22/2022 (b)
|
EUR | 2,400,000 | 3,472,339 | |||||
|
3.50%, 7/15/2015 (b)
|
EUR | 3,500,000 | 4,904,034 | |||||
|
3.50%, 9/15/2021 (b)
|
EUR | 6,000,000 | 8,774,956 | |||||
|
3.65%, 4/20/2022 (b)
|
EUR | 1,500,000 | 2,216,336 | |||||
|
3.65%, 4/20/2022 (b)
|
EUR | 375,000 | 554,084 | |||||
|
3.80%, 10/20/2013 (b)
|
EUR | 4,200,000 | 5,604,841 | |||||
|
3.80%, 1/26/2062 (b)
|
EUR | 850,000 | 1,326,948 | |||||
|
3.90%, 7/15/2020 (b)
|
EUR | 4,600,000 | 6,891,156 | |||||
|
4.00%, 9/15/2016 (b)
|
EUR | 4,200,000 | 6,122,964 | |||||
|
4.15%, 3/15/2037 (b)
|
EUR | 3,925,000 | 6,201,809 | |||||
|
4.30%, 7/15/2014 (b)
|
EUR | 3,350,000 | 4,621,155 | |||||
|
4.30%, 9/15/2017 (b)
|
EUR | 2,800,000 | 4,202,902 | |||||
|
4.65%, 1/15/2018 (b)
|
EUR | 5,545,000 | 8,470,484 | |||||
|
4.85%, 3/15/2026 (b)
|
EUR | 1,700,000 | 2,795,749 | |||||
|
6.25%, 7/15/2027 (b)
|
EUR | 2,915,000 | 5,483,824 | |||||
| 84,802,701 | ||||||||
|
BELGIUM — 4.6%
|
||||||||
|
Kingdom of Belgium:
|
||||||||
|
2.75%, 3/28/2016
|
EUR | 1,600,000 | 2,198,370 | |||||
|
3.00%, 9/28/2019
|
EUR | 1,300,000 | 1,786,510 | |||||
|
3.25%, 9/28/2016
|
EUR | 2,925,000 | 4,103,564 | |||||
|
3.50%, 3/28/2015
|
EUR | 2,650,000 | 3,662,359 | |||||
|
3.50%, 6/28/2017
|
EUR | 5,050,000 | 7,157,550 | |||||
|
3.75%, 9/28/2015
|
EUR | 4,425,000 | 6,221,333 | |||||
|
4.00%, 3/28/2014
|
EUR | 3,975,000 | 5,398,513 | |||||
|
4.00%, 3/28/2019
|
EUR | 4,220,000 | 6,176,714 | |||||
|
4.00%, 3/28/2022
|
EUR | 5,750,000 | 8,390,840 | |||||
|
4.00%, 3/28/2032
|
EUR | 500,000 | 715,893 | |||||
|
4.25%, 9/28/2014
|
EUR | 4,225,000 | 5,854,535 | |||||
|
4.25%, 9/28/2021
|
EUR | 3,750,000 | 5,571,669 | |||||
|
4.25%, 9/28/2022
|
EUR | 2,250,000 | 3,329,397 | |||||
|
4.25%, 3/28/2041
|
EUR | 2,775,000 | 4,152,702 | |||||
|
4.50%, 3/28/2026
|
EUR | 2,300,000 | 3,481,855 | |||||
|
5.00%, 3/28/2035
|
EUR | 4,975,000 | 8,124,138 | |||||
|
5.50%, 9/28/2017
|
EUR | 4,200,000 | 6,500,222 | |||||
|
5.50%, 3/28/2028
|
EUR | 3,020,000 | 5,080,403 | |||||
| 87,906,567 | ||||||||
|
CANADA — 4.4%
|
||||||||
|
Government of Canada:
|
||||||||
|
0.75%, 5/1/2014
|
CAD | 2,000,000 | 2,022,237 | |||||
|
1.00%, 2/1/2014
|
CAD | 4,000,000 | 4,061,263 | |||||
|
1.00%, 11/1/2014
|
CAD | 1,000,000 | 1,014,736 | |||||
|
1.50%, 8/1/2015
|
CAD | 2,500,000 | 2,565,095 | |||||
|
1.50%, 3/1/2017
|
CAD | 3,900,000 | 4,001,905 | |||||
|
1.50%, 9/1/2017
|
CAD | 1,750,000 | 1,795,086 | |||||
|
1.50%, 6/1/2023
|
CAD | 450,000 | 442,115 | |||||
|
2.00%, 3/1/2014
|
CAD | 4,750,000 | 4,889,852 | |||||
|
2.00%, 12/1/2014
|
CAD | 4,500,000 | 4,661,990 | |||||
|
2.75%, 9/1/2016
|
CAD | 2,800,000 | 3,008,446 | |||||
|
2.75%, 6/1/2022
|
CAD | 2,700,000 | 2,989,634 | |||||
|
3.00%, 6/1/2014
|
CAD | 5,250,000 | 5,504,457 | |||||
|
3.25%, 6/1/2021
|
CAD | 3,000,000 | 3,445,724 | |||||
|
3.50%, 6/1/2020
|
CAD | 3,000,000 | 3,475,055 | |||||
|
3.50%, 12/1/2045
|
CAD | 650,000 | 840,590 | |||||
|
3.75%, 6/1/2019
|
CAD | 3,575,000 | 4,158,837 | |||||
|
4.00%, 6/1/2016
|
CAD | 7,530,000 | 8,416,580 | |||||
|
4.00%, 6/1/2041
|
CAD | 4,475,000 | 6,130,698 | |||||
|
4.25%, 6/1/2018
|
CAD | 1,500,000 | 1,764,266 | |||||
|
4.50%, 6/1/2015
|
CAD | 4,750,000 | 5,256,934 | |||||
|
5.00%, 6/1/2037
|
CAD | 3,900,000 | 5,923,902 | |||||
|
5.75%, 6/1/2029
|
CAD | 3,990,000 | 6,074,962 | |||||
|
5.75%, 6/1/2033
|
CAD | 1,000,000 | 1,595,681 | |||||
|
8.00%, 6/1/2027
|
CAD | 1,000,000 | 1,775,852 | |||||
| 85,815,897 | ||||||||
|
DENMARK — 3.5%
|
||||||||
|
Kingdom of Denmark:
|
||||||||
|
2.00%, 11/15/2014
|
DKK | 27,500,000 | 4,951,291 | |||||
|
2.50%, 11/15/2016
|
DKK | 3,000,000 | 564,391 | |||||
|
3.00%, 11/15/2021
|
DKK | 48,650,000 | 9,661,675 | |||||
|
4.00%, 11/15/2015
|
DKK | 53,900,000 | 10,433,035 | |||||
|
4.00%, 11/15/2017
|
DKK | 27,580,000 | 5,591,487 | |||||
|
4.00%, 11/15/2019
|
DKK | 49,100,000 | 10,281,292 | |||||
|
4.50%, 11/15/2039
|
DKK | 60,485,000 | 15,621,760 | |||||
|
5.00%, 11/15/2013
|
DKK | 35,000,000 | 6,386,084 | |||||
|
7.00%, 11/10/2024
|
DKK | 14,300,000 | 3,972,101 | |||||
| 67,463,116 | ||||||||
|
FRANCE — 9.9%
|
||||||||
|
French Treasury Note:
|
||||||||
|
0.75%, 9/25/2014
|
EUR | 1,250,000 | 1,625,891 | |||||
|
1.00%, 7/25/2017
|
EUR | 800,000 | 1,033,214 | |||||
|
1.75%, 2/25/2017
|
EUR | 2,550,000 | 3,419,014 | |||||
|
2.00%, 7/12/2015
|
EUR | 3,275,000 | 4,408,867 | |||||
|
2.25%, 2/25/2016
|
EUR | 4,000,000 | 5,451,671 | |||||
|
2.50%, 7/25/2016
|
EUR | 5,300,000 | 7,301,876 | |||||
|
Republic of France:
|
||||||||
|
2.50%, 1/12/2014
|
EUR | 3,275,000 | 4,341,682 | |||||
|
2.50%, 1/15/2015
|
EUR | 3,780,000 | 5,115,454 | |||||
|
2.50%, 10/25/2020
|
EUR | 4,600,000 | 6,206,692 | |||||
|
2.75%, 10/25/2027
|
EUR | 750,000 | 959,242 | |||||
|
3.00%, 7/12/2014
|
EUR | 3,800,000 | 5,135,529 | |||||
|
3.00%, 10/25/2015
|
EUR | 4,450,000 | 6,176,047 | |||||
|
3.00%, 4/25/2022
|
EUR | 4,500,000 | 6,196,232 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
3.25%, 4/25/2016
|
EUR | 4,450,000 | $ | 6,273,085 | ||||
|
3.25%, 10/25/2021
|
EUR | 4,500,000 | 6,352,704 | |||||
|
3.50%, 4/25/2015
|
EUR | 3,900,000 | 5,429,569 | |||||
|
3.50%, 4/25/2020
|
EUR | 5,750,000 | 8,322,784 | |||||
|
3.50%, 4/25/2026
|
EUR | 4,500,000 | 6,343,279 | |||||
|
3.75%, 4/25/2017
|
EUR | 3,550,000 | 5,163,990 | |||||
|
3.75%, 10/25/2019
|
EUR | 4,030,000 | 5,928,531 | |||||
|
3.75%, 4/25/2021
|
EUR | 4,100,000 | 6,018,015 | |||||
|
4.00%, 10/25/2013
|
EUR | 1,500,000 | 2,009,737 | |||||
|
4.00%, 4/25/2014
|
EUR | 4,600,000 | 6,274,037 | |||||
|
4.00%, 10/25/2014
|
EUR | 2,100,000 | 2,913,107 | |||||
|
4.00%, 4/25/2018
|
EUR | 3,750,000 | 5,567,327 | |||||
|
4.00%, 10/25/2038
|
EUR | 3,250,000 | 4,809,547 | |||||
|
4.00%, 4/25/2055
|
EUR | 2,150,000 | 3,216,452 | |||||
|
4.00%, 4/25/2060
|
EUR | 1,200,000 | 1,797,586 | |||||
|
4.25%, 10/25/2017
|
EUR | 3,250,000 | 4,848,431 | |||||
|
4.25%, 10/25/2018
|
EUR | 3,500,000 | 5,275,420 | |||||
|
4.25%, 4/25/2019
|
EUR | 4,000,000 | 6,043,975 | |||||
|
4.25%, 10/25/2023
|
EUR | 6,000,000 | 9,106,873 | |||||
|
4.50%, 4/25/2041
|
EUR | 2,950,000 | 4,733,720 | |||||
|
4.75%, 4/25/2035
|
EUR | 3,125,000 | 5,101,775 | |||||
|
5.00%, 10/25/2016
|
EUR | 3,850,000 | 5,810,392 | |||||
|
5.50%, 4/25/2029
|
EUR | 3,250,000 | 5,624,448 | |||||
|
5.75%, 10/25/2032
|
EUR | 3,185,000 | 5,792,801 | |||||
|
6.00%, 10/25/2025
|
EUR | 100,000 | 177,177 | |||||
|
8.50%, 4/25/2023
|
EUR | 2,250,000 | 4,566,212 | |||||
| 190,872,385 | ||||||||
|
GERMANY — 4.5%
|
||||||||
|
Federal Republic of Germany:
|
||||||||
|
Zero Coupon, 6/13/2014 (c)
|
EUR | 900,000 | 1,157,641 | |||||
|
0.25%, 3/14/2014
|
EUR | 1,250,000 | 1,613,962 | |||||
|
0.50%, 4/7/2017
|
EUR | 1,450,000 | 1,874,043 | |||||
|
0.75%, 2/24/2017
|
EUR | 1,000,000 | 1,308,113 | |||||
|
1.25%, 10/14/2016
|
EUR | 750,000 | 1,002,447 | |||||
|
1.75%, 7/4/2022
|
EUR | 2,200,000 | 2,918,661 | |||||
|
2.00%, 1/4/2022
|
EUR | 250,000 | 340,514 | |||||
|
2.25%, 4/11/2014
|
EUR | 2,450,000 | 3,259,909 | |||||
|
2.25%, 4/10/2015
|
EUR | 3,130,000 | 4,249,463 | |||||
|
2.50%, 10/10/2014
|
EUR | 2,375,000 | 3,207,903 | |||||
|
2.50%, 1/4/2021
|
EUR | 2,500,000 | 3,560,066 | |||||
|
2.50%, 7/4/2044
|
EUR | 350,000 | 475,841 | |||||
|
2.75%, 4/8/2016
|
EUR | 1,900,000 | 2,663,583 | |||||
|
3.00%, 7/4/2020
|
EUR | 2,150,000 | 3,166,072 | |||||
|
3.25%, 7/4/2021
|
EUR | 2,650,000 | 3,981,189 | |||||
|
3.25%, 7/4/2042
|
EUR | 1,670,000 | 2,635,767 | |||||
|
3.50%, 1/4/2016
|
EUR | 3,900,000 | 5,565,895 | |||||
|
3.50%, 7/4/2019
|
EUR | 6,225,000 | 9,394,724 | |||||
|
3.75%, 1/4/2015
|
EUR | 400,000 | 557,734 | |||||
|
4.00%, 10/11/2013
|
EUR | 4,000,000 | 5,355,955 | |||||
|
4.00%, 7/4/2016
|
EUR | 4,900,000 | 7,192,754 | |||||
|
4.00%, 1/4/2037
|
EUR | 2,800,000 | 4,817,941 | |||||
|
4.25%, 7/4/2017
|
EUR | 2,090,000 | 3,170,883 | |||||
|
4.25%, 7/4/2039
|
EUR | 800,000 | 1,452,545 | |||||
|
4.75%, 7/4/2034
|
EUR | 200,000 | 370,821 | |||||
|
4.75%, 7/4/2040
|
EUR | 200,000 | 392,448 | |||||
|
5.50%, 1/4/2031
|
EUR | 2,350,000 | 4,564,542 | |||||
|
5.63%, 1/4/2028
|
EUR | 3,115,000 | 5,923,927 | |||||
| 86,175,343 | ||||||||
|
ITALY — 4.6%
|
||||||||
|
Republic of Italy:
|
||||||||
|
Zero Coupon, 1/31/2014 (c)
|
EUR | 1,500,000 | 1,874,570 | |||||
|
Zero Coupon, 5/30/2014 (c)
|
EUR | 400,000 | 493,959 | |||||
|
2.25%, 11/1/2013
|
EUR | 700,000 | 903,352 | |||||
|
2.50%, 3/1/2015
|
EUR | 1,500,000 | 1,918,055 | |||||
|
3.00%, 4/1/2014
|
EUR | 1,750,000 | 2,278,841 | |||||
|
3.00%, 6/15/2015
|
EUR | 3,200,000 | 4,127,914 | |||||
|
3.00%, 11/1/2015
|
EUR | 2,100,000 | 2,701,433 | |||||
|
3.50%, 6/1/2014
|
EUR | 1,300,000 | 1,703,289 | |||||
|
3.75%, 12/15/2013
|
EUR | 1,600,000 | 2,099,609 | |||||
|
3.75%, 4/15/2016
|
EUR | 1,500,000 | 1,960,008 | |||||
|
3.75%, 8/1/2016
|
EUR | 2,250,000 | 2,923,223 | |||||
|
3.75%, 3/1/2021
|
EUR | 1,980,000 | 2,380,933 | |||||
|
3.75%, 8/1/2021
|
EUR | 2,600,000 | 3,093,296 | |||||
|
4.00%, 2/1/2017
|
EUR | 1,000,000 | 1,302,890 | |||||
|
4.00%, 9/1/2020
|
EUR | 2,250,000 | 2,776,225 | |||||
|
4.00%, 2/1/2037
|
EUR | 3,265,000 | 3,350,676 | |||||
|
4.25%, 7/1/2014
|
EUR | 500,000 | 663,610 | |||||
|
4.25%, 2/1/2015
|
EUR | 4,050,000 | 5,397,895 | |||||
|
4.25%, 2/1/2019
|
EUR | 1,750,000 | 2,247,952 | |||||
|
4.25%, 9/1/2019
|
EUR | 2,350,000 | 2,998,423 | |||||
|
4.25%, 3/1/2020
|
EUR | 1,500,000 | 1,892,004 | |||||
|
4.50%, 2/1/2018
|
EUR | 1,700,000 | 2,233,546 | |||||
|
4.50%, 8/1/2018
|
EUR | 1,475,000 | 1,929,011 | |||||
|
4.50%, 3/1/2019
|
EUR | 1,500,000 | 1,945,419 | |||||
|
4.50%, 2/1/2020
|
EUR | 1,750,000 | 2,245,791 | |||||
|
4.50%, 3/1/2026
|
EUR | 1,500,000 | 1,768,959 | |||||
|
4.75%, 9/15/2016
|
EUR | 1,900,000 | 2,548,967 | |||||
|
4.75%, 5/1/2017
|
EUR | 500,000 | 664,824 | |||||
|
4.75%, 6/1/2017
|
EUR | 750,000 | 996,127 | |||||
|
4.75%, 9/1/2021
|
EUR | 2,400,000 | 3,075,804 | |||||
|
4.75%, 8/1/2023
|
EUR | 1,475,000 | 1,849,920 | |||||
|
5.00%, 3/1/2022
|
EUR | 1,100,000 | 1,421,178 | |||||
|
5.00%, 3/1/2025 (b)
|
EUR | 1,925,000 | 2,410,785 | |||||
|
5.00%, 8/1/2034
|
EUR | 700,000 | 817,879 | |||||
|
5.00%, 8/1/2039
|
EUR | 1,650,000 | 1,908,232 | |||||
|
5.00%, 9/1/2040
|
EUR | 525,000 | 605,237 | |||||
|
5.25%, 8/1/2017
|
EUR | 1,525,000 | 2,072,964 | |||||
|
5.25%, 11/1/2029
|
EUR | 1,750,000 | 2,174,467 | |||||
|
5.50%, 9/1/2022
|
EUR | 1,200,000 | 1,597,369 | |||||
|
5.75%, 2/1/2033
|
EUR | 1,475,000 | 1,894,209 | |||||
|
6.00%, 11/15/2014
|
EUR | 400,000 | 550,517 | |||||
|
6.00%, 5/1/2031
|
EUR | 1,250,000 | 1,651,994 | |||||
|
6.50%, 11/1/2027
|
EUR | 2,885,000 | 3,998,083 | |||||
| 89,449,439 | ||||||||
|
JAPAN — 22.5%
|
||||||||
|
Government of Japan 2 Year Bond:
|
||||||||
|
0.10%, 10/15/2013
|
JPY | 50,000,000 | 642,634 | |||||
|
0.10%, 1/15/2014
|
JPY | 400,000,000 | 5,141,013 | |||||
|
0.10%, 5/15/2014
|
JPY | 30,000,000 | 385,571 | |||||
|
0.10%, 6/15/2014
|
JPY | 475,000,000 | 6,104,849 | |||||
|
0.10%, 7/15/2014
|
JPY | 100,000,000 | 1,285,228 | |||||
|
0.20%, 11/15/2013
|
JPY | 100,000,000 | 1,286,698 | |||||
|
0.20%, 12/15/2013
|
JPY | 295,000,000 | 3,796,055 | |||||
|
Government of Japan 5 Year Bond:
|
||||||||
|
0.20%, 6/20/2017
|
JPY | 450,000,000 | 5,788,197 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
0.30%, 6/20/2016
|
JPY | 645,000,000 | $ | 8,342,105 | ||||
|
0.30%, 3/20/2017
|
JPY | 400,000,000 | 5,172,375 | |||||
|
0.40%, 6/20/2015
|
JPY | 400,000,000 | 5,182,658 | |||||
|
0.40%, 6/20/2016
|
JPY | 400,000,000 | 5,194,355 | |||||
|
0.50%, 12/20/2014
|
JPY | 475,000,000 | 6,159,694 | |||||
|
0.50%, 3/20/2015
|
JPY | 510,000,000 | 6,619,577 | |||||
|
0.50%, 3/20/2016
|
JPY | 400,000,000 | 5,208,864 | |||||
|
0.60%, 12/20/2015
|
JPY | 459,750,000 | 6,002,645 | |||||
|
0.60%, 3/20/2016
|
JPY | 480,000,000 | 6,271,934 | |||||
|
0.80%, 3/20/2014
|
JPY | 510,000,000 | 6,621,681 | |||||
|
Government of Japan 10 Year Bond:
|
||||||||
|
0.30%, 12/20/2016
|
JPY | 1,135,000,000 | 14,677,928 | |||||
|
0.80%, 9/20/2020
|
JPY | 240,000,000 | 3,146,486 | |||||
|
0.80%, 6/20/2022
|
JPY | 200,000,000 | 2,583,260 | |||||
|
0.90%, 3/20/2022
|
JPY | 280,000,000 | 3,659,366 | |||||
|
0.90%, 6/20/2022
|
JPY | 200,000,000 | 2,607,303 | |||||
|
1.00%, 9/20/2020
|
JPY | 579,000,000 | 7,712,607 | |||||
|
1.00%, 12/20/2021
|
JPY | 250,000,000 | 3,303,496 | |||||
|
1.00%, 3/20/2022
|
JPY | 400,000,000 | 5,274,576 | |||||
|
1.10%, 9/20/2021
|
JPY | 715,000,000 | 9,522,467 | |||||
|
1.20%, 12/20/2020
|
JPY | 748,250,000 | 10,100,577 | |||||
|
1.20%, 6/20/2021
|
JPY | 625,000,000 | 8,425,860 | |||||
|
1.30%, 3/20/2018
|
JPY | 300,000,000 | 4,076,402 | |||||
|
1.30%, 12/20/2019
|
JPY | 447,000,000 | 6,098,482 | |||||
|
1.30%, 3/20/2020
|
JPY | 400,000,000 | 5,455,126 | |||||
|
1.30%, 3/20/2021
|
JPY | 275,000,000 | 3,734,648 | |||||
|
1.40%, 12/20/2013
|
JPY | 875,000,000 | 11,423,283 | |||||
|
1.50%, 9/20/2014
|
JPY | 2,062,200,000 | 27,230,317 | |||||
|
1.50%, 9/20/2015
|
JPY | 625,000,000 | 8,364,139 | |||||
|
1.50%, 12/20/2017
|
JPY | 100,000,000 | 1,370,269 | |||||
|
1.50%, 6/20/2018
|
JPY | 240,000,000 | 3,300,278 | |||||
|
1.60%, 12/20/2015
|
JPY | 409,500,000 | 5,513,644 | |||||
|
1.70%, 9/20/2016
|
JPY | 777,000,000 | 10,600,617 | |||||
|
1.70%, 12/20/2016
|
JPY | 505,100,000 | 6,913,598 | |||||
|
1.70%, 3/20/2017
|
JPY | 680,000,000 | 9,332,528 | |||||
|
1.70%, 9/20/2017
|
JPY | 648,000,000 | 8,947,489 | |||||
|
1.80%, 6/20/2017
|
JPY | 300,000,000 | 4,148,217 | |||||
|
1.90%, 6/20/2016
|
JPY | 202,600,000 | 2,774,630 | |||||
|
Government of Japan 20 Year Bond:
|
||||||||
|
1.60%, 3/20/2032
|
JPY | 20,000,000 | 255,603 | |||||
|
1.70%, 9/20/2032
|
JPY | 250,000,000 | 3,236,983 | |||||
|
1.80%, 9/20/2030
|
JPY | 251,350,000 | 3,352,686 | |||||
|
1.80%, 9/20/2031
|
JPY | 185,000,000 | 2,446,580 | |||||
|
1.80%, 12/20/2031
|
JPY | 535,000,000 | 7,082,059 | |||||
|
1.90%, 12/20/2023
|
JPY | 335,000,000 | 4,765,414 | |||||
|
1.90%, 3/20/2029
|
JPY | 404,300,000 | 5,544,574 | |||||
|
1.90%, 9/20/2030
|
JPY | 231,000,000 | 3,127,603 | |||||
|
1.90%, 3/20/2031
|
JPY | 55,000,000 | 741,876 | |||||
|
1.90%, 9/20/2042
|
JPY | 300,000,000 | 4,277,287 | |||||
|
2.10%, 9/21/2021
|
JPY | 650,000,000 | 9,405,007 | |||||
|
2.10%, 9/20/2024
|
JPY | 200,000,000 | 2,894,584 | |||||
|
2.10%, 9/20/2025
|
JPY | 480,000,000 | 6,919,188 | |||||
|
2.10%, 9/20/2029
|
JPY | 457,750,000 | 6,425,345 | |||||
|
2.10%, 12/20/2030
|
JPY | 150,000,000 | 2,087,988 | |||||
|
2.20%, 3/20/2031
|
JPY | 400,000,000 | 5,641,373 | |||||
|
2.30%, 6/20/2027
|
JPY | 1,881,200,000 | 27,489,869 | |||||
|
2.60%, 3/20/2019
|
JPY | 468,300,000 | 6,881,548 | |||||
|
2.90%, 9/20/2019
|
JPY | 951,200,000 | 14,302,527 | |||||
|
Government of Japan 30 Year Bond:
|
||||||||
|
1.70%, 6/20/2033
|
JPY | 110,000,000 | 1,419,947 | |||||
|
1.90%, 9/20/2042
|
JPY | 50,000,000 | 644,654 | |||||
|
2.00%, 9/20/2040
|
JPY | 480,000,000 | 6,359,105 | |||||
|
2.00%, 3/20/2042
|
JPY | 100,000,000 | 1,318,809 | |||||
|
2.20%, 3/20/2041
|
JPY | 210,000,000 | 2,900,980 | |||||
|
2.30%, 3/20/2039
|
JPY | 467,500,000 | 6,608,906 | |||||
|
2.30%, 3/20/2040
|
JPY | 303,250,000 | 4,277,068 | |||||
|
2.40%, 3/20/2037
|
JPY | 410,700,000 | 5,920,156 | |||||
|
2.50%, 9/20/2034
|
JPY | 600,000,000 | 8,815,542 | |||||
|
2.50%, 9/20/2035
|
JPY | 80,000,000 | 1,173,751 | |||||
|
Government of Japan 40 Year Bond:
|
||||||||
|
2.00%, 3/20/2052
|
JPY | 95,000,000 | 1,199,820 | |||||
|
2.20%, 3/20/2051
|
JPY | 60,000,000 | 802,514 | |||||
| 433,823,072 | ||||||||
|
MEXICO — 3.6%
|
||||||||
|
Mexican Bonos:
|
||||||||
|
5.00%, 6/15/2017
|
MXN | 15,000,000 | 1,167,538 | |||||
|
6.00%, 6/18/2015
|
MXN | 52,500,000 | 4,217,530 | |||||
|
6.25%, 6/16/2016
|
MXN | 39,000,000 | 3,174,351 | |||||
|
6.50%, 6/10/2021
|
MXN | 48,500,000 | 4,108,338 | |||||
|
6.50%, 6/9/2022
|
MXN | 18,000,000 | 1,522,505 | |||||
|
7.50%, 6/3/2027
|
MXN | 44,250,000 | 3,976,751 | |||||
|
7.75%, 12/14/2017
|
MXN | 10,000,000 | 875,276 | |||||
|
7.75%, 5/29/2031
|
MXN | 22,000,000 | 1,982,941 | |||||
|
7.75%, 11/13/2042
|
MXN | 10,000,000 | 902,006 | |||||
|
8.00%, 12/17/2015
|
MXN | 17,000,000 | 1,445,162 | |||||
|
8.00%, 6/11/2020
|
MXN | 20,000,000 | 1,831,757 | |||||
|
8.50%, 5/31/2029
|
MXN | 51,400,000 | 5,011,425 | |||||
|
8.50%, 11/18/2038
|
MXN | 40,000,000 | 3,887,917 | |||||
|
9.50%, 12/18/2014
|
MXN | 71,250,000 | 6,096,375 | |||||
|
10.00%, 11/20/2036
|
MXN | 45,000,000 | 5,003,740 | |||||
|
United Mexican States:
|
||||||||
|
7.00%, 6/19/2014
|
MXN | 40,000,000 | 3,231,789 | |||||
|
7.25%, 12/15/2016
|
MXN | 75,850,000 | 6,419,315 | |||||
|
8.00%, 12/19/2013
|
MXN | 42,500,000 | 3,436,093 | |||||
|
8.50%, 12/13/2018
|
MXN | 37,250,000 | 3,417,804 | |||||
|
10.00%, 12/5/2024
|
MXN | 71,220,000 | 7,790,260 | |||||
| 69,498,873 | ||||||||
|
NETHERLANDS — 4.5%
|
||||||||
|
Kingdom of the Netherlands:
|
||||||||
|
0.75%, 4/15/2015 (b)
|
EUR | 1,550,000 | 2,022,191 | |||||
|
1.00%, 1/15/2014 (b)
|
EUR | 3,175,000 | 4,135,694 | |||||
|
1.25%, 1/15/2018 (b)
|
EUR | 3,000,000 | 3,933,871 | |||||
|
2.25%, 7/15/2022 (b)
|
EUR | 850,000 | 1,145,876 | |||||
|
2.50%, 1/15/2017 (b)
|
EUR | 4,400,000 | 6,112,903 | |||||
|
2.50%, 1/15/2033 (b)
|
EUR | 1,350,000 | 1,768,939 | |||||
|
3.25%, 7/15/2015 (b)
|
EUR | 8,650,000 | 12,062,881 | |||||
|
3.25%, 7/15/2021 (b)
|
EUR | 4,300,000 | 6,294,749 | |||||
|
3.50%, 7/15/2020 (b)
|
EUR | 5,880,000 | 8,742,202 | |||||
|
3.75%, 7/15/2014 (b)
|
EUR | 6,025,000 | 8,256,311 | |||||
|
3.75%, 1/15/2023 (b)
|
EUR | 3,675,000 | 5,591,572 | |||||
|
3.75%, 1/15/2042 (b)
|
EUR | 3,200,000 | 5,254,690 | |||||
|
4.00%, 7/15/2018 (b)
|
EUR | 4,160,000 | 6,255,336 | |||||
|
4.00%, 1/15/2037 (b)
|
EUR | 2,870,000 | 4,777,680 | |||||
|
4.50%, 7/15/2017 (b)
|
EUR | 3,000,000 | 4,545,718 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
5.50%, 1/15/2028 (b)
|
EUR | 3,680,000 | $ | 6,744,808 | ||||
| 87,645,421 | ||||||||
|
POLAND — 3.4%
|
||||||||
|
Poland Government Bond:
|
||||||||
|
4.75%, 10/25/2016
|
PLN | 10,000,000 | 3,188,026 | |||||
|
4.75%, 4/25/2017
|
PLN | 3,650,000 | 1,165,566 | |||||
|
5.00%, 4/25/2016
|
PLN | 30,000,000 | 9,622,138 | |||||
|
5.25%, 10/25/2017
|
PLN | 16,100,000 | 5,259,369 | |||||
|
5.25%, 10/25/2020
|
PLN | 15,650,000 | 5,107,482 | |||||
|
5.75%, 10/25/2021
|
PLN | 20,350,000 | 6,837,010 | |||||
|
5.75%, 4/25/2029
|
PLN | 6,700,000 | 2,278,613 | |||||
|
Republic of Poland:
|
||||||||
|
Zero Coupon, 1/25/2014 (c)
|
PLN | 9,000,000 | 2,664,700 | |||||
|
5.00%, 10/24/2013
|
PLN | 15,950,000 | 5,025,653 | |||||
|
5.50%, 4/25/2015
|
PLN | 18,550,000 | 5,984,431 | |||||
|
5.50%, 10/25/2019
|
PLN | 10,025,000 | 3,328,054 | |||||
|
5.75%, 4/25/2014
|
PLN | 18,100,000 | 5,792,362 | |||||
|
5.75%, 9/23/2022
|
PLN | 11,960,000 | 4,045,094 | |||||
|
6.25%, 10/24/2015
|
PLN | 18,715,000 | 6,195,395 | |||||
| 66,493,893 | ||||||||
|
SOUTH AFRICA — 3.4%
|
||||||||
|
Republic of South Africa:
|
||||||||
|
7.50%, 1/15/2014
|
ZAR | 24,100,000 | 3,006,969 | |||||
|
8.25%, 9/15/2017
|
ZAR | 54,850,000 | 7,323,615 | |||||
|
8.75%, 12/21/2014
|
ZAR | 12,500,000 | 1,634,469 | |||||
|
13.50%, 9/15/2015
|
ZAR | 52,025,000 | 7,681,603 | |||||
|
South Africa Government Bond:
|
||||||||
|
6.25%, 3/31/2036
|
ZAR | 36,500,000 | 3,557,918 | |||||
|
6.50%, 2/28/2041
|
ZAR | 22,500,000 | 2,234,124 | |||||
|
6.75%, 3/31/2021
|
ZAR | 55,500,000 | 6,804,361 | |||||
|
7.00%, 2/28/2031
|
ZAR | 35,000,000 | 3,874,130 | |||||
|
7.25%, 1/15/2020
|
ZAR | 81,785,000 | 10,366,910 | |||||
|
7.75%, 2/28/2023
|
ZAR | 7,000,000 | 894,942 | |||||
|
8.00%, 12/21/2018
|
ZAR | 48,750,000 | 6,463,644 | |||||
|
8.75%, 2/28/2048
|
ZAR | 8,000,000 | 1,008,080 | |||||
|
10.50%, 12/21/2026
|
ZAR | 6,000,000 | 919,508 | |||||
|
10.50%, 12/21/2026
|
ZAR | 57,600,000 | 8,827,279 | |||||
| 64,597,552 | ||||||||
|
SPAIN — 4.7%
|
||||||||
|
Kingdom of Spain:
|
||||||||
|
2.50%, 10/31/2013
|
EUR | 2,650,000 | 3,382,352 | |||||
|
3.00%, 4/30/2015
|
EUR | 1,000,000 | 1,259,843 | |||||
|
3.15%, 1/31/2016
|
EUR | 4,410,000 | 5,464,112 | |||||
|
3.25%, 4/30/2016
|
EUR | 2,300,000 | 2,837,040 | |||||
|
3.30%, 10/31/2014
|
EUR | 3,850,000 | 4,931,924 | |||||
|
3.40%, 4/30/2014
|
EUR | 3,725,000 | 4,787,850 | |||||
|
3.80%, 1/31/2017
|
EUR | 3,200,000 | 3,952,827 | |||||
|
4.00%, 7/30/2015
|
EUR | 2,800,000 | 3,600,578 | |||||
|
4.00%, 4/30/2020
|
EUR | 3,250,000 | 3,768,865 | |||||
|
4.10%, 7/30/2018
|
EUR | 1,600,000 | 1,947,657 | |||||
|
4.20%, 1/31/2037
|
EUR | 3,985,000 | 3,617,021 | |||||
|
4.25%, 1/31/2014
|
EUR | 2,350,000 | 3,053,661 | |||||
|
4.25%, 10/31/2016
|
EUR | 4,250,000 | 5,364,285 | |||||
|
4.30%, 10/31/2019
|
EUR | 500,000 | 596,357 | |||||
|
4.40%, 1/31/2015
|
EUR | 4,500,000 | 5,887,607 | |||||
|
4.60%, 7/30/2019
|
EUR | 4,220,000 | 5,165,634 | |||||
|
4.65%, 7/30/2025
|
EUR | 2,700,000 | 2,933,829 | |||||
|
4.70%, 7/30/2041
|
EUR | 1,900,000 | 1,837,515 | |||||
|
4.80%, 1/31/2024
|
EUR | 1,850,000 | 2,093,660 | |||||
|
4.85%, 10/31/2020
|
EUR | 2,750,000 | 3,315,480 | |||||
|
4.90%, 7/30/2040
|
EUR | 1,000,000 | 990,579 | |||||
|
5.50%, 7/30/2017
|
EUR | 2,500,000 | 3,284,916 | |||||
|
5.50%, 4/30/2021
|
EUR | 4,500,000 | 5,624,370 | |||||
|
5.75%, 7/30/2032 (a)
|
EUR | 2,150,000 | 2,510,896 | |||||
|
5.85%, 1/31/2022
|
EUR | 2,300,000 | 2,932,792 | |||||
|
5.90%, 7/30/2026
|
EUR | 1,000,000 | 1,217,851 | |||||
|
6.00%, 1/31/2029
|
EUR | 2,800,000 | 3,413,588 | |||||
| 89,773,089 | ||||||||
|
SWEDEN — 3.3%
|
||||||||
|
Kingdom of Sweden:
|
||||||||
|
2.25%, 6/1/2032
|
SEK | 12,000,000 | 1,904,890 | |||||
|
3.00%, 7/12/2016
|
SEK | 28,500,000 | 4,686,682 | |||||
|
3.50%, 6/1/2022
|
SEK | 47,500,000 | 8,560,592 | |||||
|
3.50%, 3/30/2039
|
SEK | 32,300,000 | 6,382,558 | |||||
|
3.75%, 8/12/2017
|
SEK | 39,635,000 | 6,832,724 | |||||
|
4.25%, 3/12/2019
|
SEK | 50,155,000 | 9,107,547 | |||||
|
4.50%, 8/12/2015
|
SEK | 57,350,000 | 9,656,590 | |||||
|
5.00%, 12/1/2020
|
SEK | 41,850,000 | 8,178,769 | |||||
|
6.75%, 5/5/2014
|
SEK | 55,300,000 | 9,238,708 | |||||
| 64,549,060 | ||||||||
|
UNITED KINGDOM — 12.4%
|
||||||||
|
United Kingdom Treasury Bond:
|
||||||||
|
1.00%, 9/7/2017
|
GBP | 2,800,000 | 4,582,478 | |||||
|
1.75%, 1/22/2017
|
GBP | 5,200,000 | 8,823,102 | |||||
|
1.75%, 9/7/2022
|
GBP | 1,000,000 | 1,620,290 | |||||
|
2.00%, 1/22/2016
|
GBP | 4,500,000 | 7,656,014 | |||||
|
2.25%, 3/7/2014
|
GBP | 5,675,000 | 9,433,407 | |||||
|
2.75%, 1/22/2015
|
GBP | 4,875,000 | 8,328,023 | |||||
|
3.75%, 9/7/2019
|
GBP | 4,500,000 | 8,576,982 | |||||
|
3.75%, 9/7/2020
|
GBP | 4,300,000 | 8,237,931 | |||||
|
3.75%, 9/7/2021
|
GBP | 2,750,000 | 5,296,287 | |||||
|
3.75%, 7/22/2052
|
GBP | 2,450,000 | 4,441,652 | |||||
|
4.00%, 9/7/2016
|
GBP | 4,650,000 | 8,555,771 | |||||
|
4.00%, 3/7/2022
|
GBP | 4,350,000 | 8,549,720 | |||||
|
4.00%, 1/22/2060
|
GBP | 2,500,000 | 4,870,719 | |||||
|
4.25%, 12/7/2027
|
GBP | 4,850,000 | 9,879,943 | |||||
|
4.25%, 6/7/2032
|
GBP | 2,975,000 | 6,004,555 | |||||
|
4.25%, 3/7/2036
|
GBP | 700,000 | 1,396,066 | |||||
|
4.25%, 9/7/2039
|
GBP | 1,100,000 | 2,186,440 | |||||
|
4.25%, 12/7/2040
|
GBP | 5,100,000 | 10,117,711 | |||||
|
4.25%, 12/7/2046
|
GBP | 2,825,000 | 5,628,085 | |||||
|
4.25%, 12/7/2049
|
GBP | 2,700,000 | 5,389,562 | |||||
|
4.25%, 12/7/2055
|
GBP | 3,400,000 | 6,885,407 | |||||
|
4.50%, 3/7/2019
|
GBP | 4,200,000 | 8,293,629 | |||||
|
4.50%, 9/7/2034
|
GBP | 5,700,000 | 11,802,727 | |||||
|
4.50%, 12/7/2042
|
GBP | 2,825,000 | 5,852,435 | |||||
|
4.75%, 9/7/2015
|
GBP | 4,415,000 | 8,067,560 | |||||
|
4.75%, 3/7/2020
|
GBP | 4,600,000 | 9,325,431 | |||||
|
4.75%, 12/7/2030
|
GBP | 4,150,000 | 8,920,122 | |||||
|
4.75%, 12/7/2038
|
GBP | 3,914,000 | 8,402,366 | |||||
|
5.00%, 9/7/2014
|
GBP | 4,700,000 | 8,293,109 | |||||
|
5.00%, 3/7/2018
|
GBP | 4,225,000 | 8,360,734 | |||||
|
5.00%, 3/7/2025
|
GBP | 4,125,000 | 8,939,525 | |||||
|
6.00%, 12/7/2028
|
GBP | 2,850,000 | 6,947,816 | |||||
|
8.00%, 12/7/2015
|
GBP | 1,000,000 | 2,011,426 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
8.00%, 6/7/2021
|
GBP | 3,375,000 | $ | 8,429,761 | ||||
| 240,106,786 | ||||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $1,767,000,245)
|
1,889,840,197 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 0.3%
|
||||||||
|
MONEY MARKET FUNDS — 0.3%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
5,294,955 | 5,294,955 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
889,896 | 889,896 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (g)
|
||||||||
|
(Cost $6,184,851)
|
6,184,851 | |||||||
|
TOTAL INVESTMENTS — 98.2% (h)
|
||||||||
|
(Cost $1,773,185,096)
|
1,896,025,048 | |||||||
|
OTHER ASSETS &
LIABILITIES — 1.8% |
35,528,413 | |||||||
|
NET ASSETS — 100.0%
|
$ | 1,931,553,461 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 9.1% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
Non-income producing security. | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 97.2%
|
||||||||
|
AUSTRALIA — 3.4%
|
||||||||
|
Australia & New Zealand Banking Group, Ltd.
3.75%, 3/10/2017 |
EUR | 100,000 | $ | 141,438 | ||||
|
BHP Billiton Finance, Ltd.:
|
||||||||
|
2.13%, 11/29/2018
|
EUR | 200,000 | 261,628 | |||||
|
3.25%, 9/25/2024
|
GBP | 100,000 | 161,788 | |||||
|
4.30%, 9/25/2042
|
GBP | 100,000 | 161,017 | |||||
|
6.38%, 4/4/2016
|
EUR | 50,000 | 75,752 | |||||
|
Commonwealth Bank of Australia:
|
||||||||
|
4.25%, 11/10/2016
|
EUR | 100,000 | 143,582 | |||||
|
4.38%, 2/25/2020
|
EUR | 100,000 | 148,012 | |||||
|
National Australia Bank, Ltd.:
|
||||||||
|
2.75%, 8/8/2022
|
EUR | 100,000 | 129,449 | |||||
|
3.50%, 1/23/2015
|
EUR | 150,000 | 203,679 | |||||
|
4.00%, 7/13/2020
|
EUR | 220,000 | 318,892 | |||||
|
5.50%, 5/20/2015
|
EUR | 100,000 | 143,327 | |||||
|
Telstra Corp., Ltd.:
|
||||||||
|
3.50%, 9/21/2022
|
EUR | 100,000 | 138,153 | |||||
|
4.25%, 3/23/2020
|
EUR | 100,000 | 147,994 | |||||
|
4.75%, 3/21/2017
|
EUR | 100,000 | 148,523 | |||||
|
Westpac Banking Corp.:
|
||||||||
|
4.25%, 9/22/2016
|
EUR | 300,000 | 428,968 | |||||
|
7.25%, 11/18/2016
|
AUD | 100,000 | 115,782 | |||||
| 2,867,984 | ||||||||
|
AUSTRIA — 0.2%
|
||||||||
|
OMV AG
6.25%, 4/7/2014 |
EUR | 50,000 | 69,633 | |||||
|
Raiffeisen Bank International AG
3.63%, 1/27/2014 |
EUR | 50,000 | 66,371 | |||||
| 136,004 | ||||||||
|
BELGIUM — 0.4%
|
||||||||
|
Anheuser-Busch
InBev NV
6.50%, 6/23/2017 |
GBP | 100,000 | 195,829 | |||||
|
Fortis Bank SA/NV
4.50%, 5/30/2014 |
EUR | 100,000 | 135,401 | |||||
| 331,230 | ||||||||
|
CANADA — 0.2%
|
||||||||
|
The
Toronto-Dominion
Bank
5.38%, 5/14/2015 |
EUR | 150,000 | 215,515 | |||||
|
DENMARK — 0.8%
|
||||||||
|
Carlsberg Breweries A/S:
|
||||||||
|
3.38%, 10/13/2017
|
EUR | 100,000 | 138,113 | |||||
|
6.00%, 5/28/2014
|
EUR | 50,000 | 69,670 | |||||
|
Danske Bank A/S:
|
||||||||
|
3.88%, 5/18/2016
|
EUR | 100,000 | 137,020 | |||||
|
3.88%, 2/28/2017
|
EUR | 100,000 | 137,307 | |||||
|
4.75%, 6/4/2014
|
EUR | 150,000 | 203,774 | |||||
| 685,884 | ||||||||
|
FRANCE — 13.1%
|
||||||||
|
Autoroutes du Sud de la France
5.63%, 7/4/2022 |
EUR | 100,000 | 156,577 | |||||
|
AXA SA
4.50%, 1/23/2015 |
EUR | 100,000 | 138,916 | |||||
|
Banque Federative du Credit Mutuel:
|
||||||||
|
4.13%, 7/20/2020
|
EUR | 100,000 | 142,570 | |||||
|
4.25%, 2/5/2014
|
EUR | 100,000 | 134,398 | |||||
|
4.38%, 5/31/2016
|
EUR | 150,000 | 212,233 | |||||
|
Banque PSA Finance SA
4.25%, 2/25/2016 |
EUR | 100,000 | 117,630 | |||||
|
BNP Paribas SA:
|
||||||||
|
2.88%, 7/13/2015
|
EUR | 200,000 | 268,756 | |||||
|
2.88%, 11/27/2017
|
EUR | 150,000 | 203,065 | |||||
|
3.00%, 2/24/2017
|
EUR | 100,000 | 135,780 | |||||
|
3.50%, 3/7/2016
|
EUR | 100,000 | 137,378 | |||||
|
3.75%, 11/25/2020
|
EUR | 200,000 | 281,151 | |||||
|
4.13%, 1/14/2022
|
EUR | 100,000 | 144,603 | |||||
|
4.50%, 3/21/2023
|
EUR | 200,000 | 302,530 | |||||
|
5.00%, 12/16/2013
|
EUR | 50,000 | 67,540 | |||||
|
Bouygues SA:
|
||||||||
|
3.64%, 10/29/2019
|
EUR | 50,000 | 68,345 | |||||
|
4.25%, 7/22/2020
|
EUR | 100,000 | 140,575 | |||||
|
6.13%, 7/3/2015
|
EUR | 100,000 | 145,512 | |||||
|
Caisse Centrale du Credit Immobilier de France
3.75%, 3/10/2014 |
EUR | 50,000 | 64,003 | |||||
|
Carrefour SA:
|
||||||||
|
3.88%, 4/25/2021
|
EUR | 100,000 | 136,130 | |||||
|
4.00%, 4/9/2020
|
EUR | 100,000 | 137,285 | |||||
|
5.13%, 10/10/2014
|
EUR | 100,000 | 138,981 | |||||
|
5.38%, 6/12/2015
|
EUR | 150,000 | 213,309 | |||||
|
Cie de
St-Gobain
4.75%, 4/11/2017 |
EUR | 150,000 | 216,734 | |||||
|
Cie Financiere et Industrielle des Autoroutes SA
5.00%, 5/24/2021 |
EUR | 100,000 | 150,299 | |||||
|
Credit Agricole SA
3.88%, 2/13/2019 |
EUR | 100,000 | 139,231 | |||||
|
Credit Agricole SA/London:
|
||||||||
|
3.00%, 7/20/2015
|
EUR | 100,000 | 134,785 | |||||
|
3.63%, 3/8/2016
|
EUR | 100,000 | 137,779 | |||||
|
5.13%, 4/18/2023
|
EUR | 100,000 | 155,379 | |||||
|
Credit Mutuel Arkea:
|
||||||||
|
5.00%, 6/28/2017
|
EUR | 50,000 | 73,271 | |||||
|
5.38%, 4/22/2014
|
EUR | 150,000 | 205,887 | |||||
|
Dexia Credit Local SA
5.38%, 7/21/2014 |
EUR | 100,000 | 121,860 | |||||
|
France Telecom SA:
|
||||||||
|
3.00%, 6/15/2022
|
EUR | 100,000 | 132,792 | |||||
|
3.63%, 10/14/2015
|
EUR | 100,000 | 138,789 | |||||
|
3.88%, 4/9/2020
|
EUR | 100,000 | 143,933 | |||||
|
3.88%, 1/14/2021
|
EUR | 100,000 | 144,127 | |||||
|
4.75%, 2/21/2017
|
EUR | 100,000 | 147,320 | |||||
|
4.75%, 2/21/2017
|
EUR | 100,000 | 147,320 | |||||
|
5.00%, 1/22/2014
|
EUR | 100,000 | 136,009 | |||||
|
5.00%, 5/12/2016
|
GBP | 50,000 | 89,578 | |||||
|
5.63%, 5/22/2018
|
EUR | 100,000 | 155,230 | |||||
|
8.13%, 1/28/2033
|
EUR | 100,000 | 198,617 | |||||
|
GDF Suez:
|
||||||||
|
2.25%, 6/1/2018
|
EUR | 100,000 | 132,120 | |||||
|
3.50%, 10/18/2022
|
EUR | 100,000 | 139,912 | |||||
|
5.00%, 10/1/2060
|
GBP | 100,000 | 169,795 | |||||
|
5.63%, 1/18/2016
|
EUR | 200,000 | 294,634 | |||||
|
6.13%, 2/11/2021
|
GBP | 200,000 | 400,209 | |||||
|
6.38%, 1/18/2021
|
EUR | 50,000 | 83,726 | |||||
|
6.88%, 1/24/2019
|
EUR | 150,000 | 249,578 | |||||
|
Gie GDF Suez Alliance
5.75%, 6/24/2023 |
EUR | 100,000 | 164,129 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
HSBC France
4.88%, 1/15/2014 |
EUR | 100,000 | $ | 135,567 | ||||
|
LVMH Moet Hennessy Louis Vuitton SA
4.38%, 5/12/2014 |
EUR | 100,000 | 136,105 | |||||
|
Pernod-Ricard
SA
4.88%, 3/18/2016 |
EUR | 150,000 | 212,748 | |||||
|
Sanofi
4.50%, 5/18/2016 |
EUR | 200,000 | 290,315 | |||||
|
Schneider Electric SA
4.00%, 8/11/2017 |
EUR | 100,000 | 144,495 | |||||
|
Societe Des Autoroutes
Paris-Rhin-Rhone
5.00%, 1/12/2017 |
EUR | 100,000 | 140,802 | |||||
|
Societe Generale SA:
|
||||||||
|
2.38%, 2/28/2018
|
EUR | 100,000 | 129,593 | |||||
|
3.00%, 3/31/2015
|
EUR | 150,000 | 200,702 | |||||
|
3.13%, 9/21/2017
|
EUR | 150,000 | 204,350 | |||||
|
3.75%, 8/21/2014
|
EUR | 150,000 | 202,199 | |||||
|
4.00%, 4/20/2016
|
EUR | 100,000 | 139,101 | |||||
|
4.75%, 3/2/2021
|
EUR | 100,000 | 145,280 | |||||
|
Total Capital SA:
|
||||||||
|
3.50%, 2/27/2014
|
EUR | 100,000 | 134,079 | |||||
|
4.75%, 12/10/2013
|
EUR | 50,000 | 67,578 | |||||
|
4.88%, 1/28/2019
|
EUR | 100,000 | 154,550 | |||||
|
Veolia Environnement SA:
|
||||||||
|
4.38%, 1/16/2017
|
EUR | 50,000 | 71,874 | |||||
|
5.13%, 5/24/2022
|
EUR | 100,000 | 150,554 | |||||
|
Vinci SA
4.13%, 2/20/2017 |
EUR | 100,000 | 141,974 | |||||
|
Vivendi SA:
|
||||||||
|
3.50%, 7/13/2015
|
EUR | 100,000 | 135,188 | |||||
|
4.13%, 7/18/2017
|
EUR | 100,000 | 138,068 | |||||
|
4.75%, 7/13/2021
|
EUR | 100,000 | 142,363 | |||||
| 11,107,795 | ||||||||
|
GERMANY — 4.8%
|
||||||||
|
Bertelsmann AG
4.75%, 9/26/2016 |
EUR | 50,000 | 72,264 | |||||
|
BPCE SA:
|
||||||||
|
2.88%, 9/22/2015
|
EUR | 150,000 | 201,106 | |||||
|
3.75%, 7/21/2017
|
EUR | 150,000 | 208,997 | |||||
|
4.50%, 2/10/2022
|
EUR | 100,000 | 143,799 | |||||
|
Commerzbank AG:
|
||||||||
|
3.63%, 7/10/2017
|
EUR | 100,000 | 138,456 | |||||
|
3.88%, 3/22/2017
|
EUR | 100,000 | 139,660 | |||||
|
4.00%, 9/16/2020
|
EUR | 100,000 | 140,100 | |||||
|
4.75%, 1/26/2015
|
EUR | 100,000 | 138,830 | |||||
|
5.00%, 2/6/2014
|
EUR | 150,000 | 203,150 | |||||
|
Daimler AG:
|
||||||||
|
1.75%, 5/21/2015
|
EUR | 100,000 | 130,962 | |||||
|
4.13%, 1/19/2017
|
EUR | 100,000 | 142,634 | |||||
|
4.63%, 9/2/2014
|
EUR | 150,000 | 206,773 | |||||
|
Deutsche Bank AG
5.13%, 8/31/2017 |
EUR | 400,000 | 603,789 | |||||
|
Evonik Degussa GmbH
5.13%, 12/10/2013 |
EUR | 100,000 | 134,804 | |||||
|
Henkel AG & Co. KGaA
4.63%, 3/19/2014 |
EUR | 100,000 | 136,095 | |||||
|
Linde AG
1.75%, 9/17/2020 |
EUR | 100,000 | 126,978 | |||||
|
Merck Financial Services GmbH:
|
||||||||
|
3.38%, 3/24/2015
|
EUR | 100,000 | 136,453 | |||||
|
4.50%, 3/24/2020
|
EUR | 100,000 | 150,696 | |||||
|
Metro AG
7.63%, 3/5/2015 |
EUR | 100,000 | 147,368 | |||||
|
ThyssenKrupp AG:
|
||||||||
|
4.38%, 2/28/2017
|
EUR | 100,000 | 131,278 | |||||
|
8.00%, 6/18/2014
|
EUR | 100,000 | 140,737 | |||||
|
Volkswagen Financial Services AG:
|
||||||||
|
3.38%, 7/28/2014
|
EUR | 100,000 | 134,440 | |||||
|
6.88%, 1/15/2014
|
EUR | 200,000 | 277,164 | |||||
|
Volkswagen Leasing GmbH
2.75%, 7/13/2015 |
EUR | 100,000 | 134,298 | |||||
| 4,120,831 | ||||||||
|
HONG KONG — 0.4%
|
||||||||
|
Hutchison Whampoa Europe Finance 12, Ltd.
2.50%, 6/6/2017 |
EUR | 100,000 | 133,298 | |||||
|
Hutchison Whampoa Finance 09, Ltd.
4.75%, 11/14/2016 |
EUR | 150,000 | 216,634 | |||||
| 349,932 | ||||||||
|
IRELAND — 2.7%
|
||||||||
|
GE Capital European Funding:
|
||||||||
|
1.25%, 10/15/2015
|
EUR | 100,000 | 129,045 | |||||
|
2.00%, 2/27/2015
|
EUR | 100,000 | 131,319 | |||||
|
2.88%, 10/28/2014
|
EUR | 50,000 | 66,735 | |||||
|
2.88%, 9/17/2015
|
EUR | 100,000 | 134,606 | |||||
|
2.88%, 6/18/2019
|
EUR | 100,000 | 132,585 | |||||
|
3.75%, 4/4/2016
|
EUR | 100,000 | 138,641 | |||||
|
4.13%, 10/27/2016
|
EUR | 200,000 | 281,975 | |||||
|
4.25%, 2/6/2014
|
EUR | 100,000 | 134,464 | |||||
|
4.25%, 3/1/2017 (a)
|
EUR | 200,000 | 284,296 | |||||
|
4.75%, 7/30/2014
|
EUR | 130,000 | 178,698 | |||||
|
5.25%, 5/18/2015
|
EUR | 150,000 | 212,843 | |||||
|
5.38%, 1/16/2018
|
EUR | 100,000 | 149,852 | |||||
|
5.38%, 1/23/2020
|
EUR | 100,000 | 153,065 | |||||
|
6.00%, 1/15/2019
|
EUR | 100,000 | 155,694 | |||||
| 2,283,818 | ||||||||
|
ISRAEL — 0.2%
|
||||||||
|
Teva Pharmaceutical Finance IV BV
2.88%, 4/15/2019 |
EUR | 100,000 | 135,517 | |||||
|
ITALY — 7.2%
|
||||||||
|
Assicurazioni Generali SpA
5.13%, 9/16/2024 |
EUR | 150,000 | 194,031 | |||||
|
Atlantia SpA:
|
||||||||
|
3.38%, 9/18/2017
|
EUR | 200,000 | 260,027 | |||||
|
4.50%, 2/8/2019
|
EUR | 200,000 | 266,902 | |||||
|
5.63%, 5/6/2016
|
EUR | 200,000 | 281,538 | |||||
|
Banca Monte dei Paschi di Siena SpA:
|
||||||||
|
4.13%, 11/11/2013
|
EUR | 100,000 | 128,024 | |||||
|
4.50%, 3/7/2014
|
EUR | 100,000 | 128,099 | |||||
|
4.75%, 4/30/2014
|
EUR | 100,000 | 128,722 | |||||
|
Banco Popolare SC
4.13%, 10/22/2014 |
EUR | 100,000 | 128,555 | |||||
|
Enel SpA
5.25%, 6/20/2017 |
EUR | 150,000 | 208,463 | |||||
|
ENI SpA:
|
||||||||
|
3.50%, 1/29/2018
|
EUR | 50,000 | 67,885 | |||||
|
4.00%, 6/29/2020
|
EUR | 200,000 | 273,762 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
4.13%, 9/16/2019
|
EUR | 100,000 | $ | 138,002 | ||||
|
4.25%, 2/3/2020
|
EUR | 100,000 | 138,795 | |||||
|
4.75%, 11/14/2017
|
EUR | 50,000 | 72,030 | |||||
|
5.00%, 1/28/2016
|
EUR | 100,000 | 141,567 | |||||
|
5.88%, 1/20/2014
|
EUR | 150,000 | 204,843 | |||||
|
Intesa Sanpaolo SpA:
|
||||||||
|
3.75%, 11/23/2016
|
EUR | 100,000 | 127,088 | |||||
|
4.00%, 11/8/2018
|
EUR | 100,000 | 125,151 | |||||
|
4.13%, 1/14/2016
|
EUR | 100,000 | 129,959 | |||||
|
4.13%, 4/14/2020
|
EUR | 150,000 | 184,576 | |||||
|
4.75%, 6/15/2017
|
EUR | 150,000 | 197,570 | |||||
|
4.88%, 7/10/2015
|
EUR | 100,000 | 133,043 | |||||
|
5.00%, 2/28/2017
|
EUR | 100,000 | 133,087 | |||||
|
5.38%, 12/19/2013
|
EUR | 150,000 | 199,308 | |||||
|
Snam SpA:
|
||||||||
|
4.38%, 7/11/2016
|
EUR | 100,000 | 135,223 | |||||
|
5.00%, 1/18/2019
|
EUR | 150,000 | 201,443 | |||||
|
5.25%, 9/19/2022
|
EUR | 100,000 | 132,558 | |||||
|
Telecom Italia SpA:
|
||||||||
|
5.13%, 1/25/2016
|
EUR | 100,000 | 136,114 | |||||
|
5.25%, 2/10/2022
|
EUR | 100,000 | 127,784 | |||||
|
6.38%, 6/24/2019
|
GBP | 100,000 | 166,405 | |||||
|
7.00%, 1/20/2017
|
EUR | 100,000 | 143,966 | |||||
|
7.38%, 12/15/2017
|
GBP | 100,000 | 175,393 | |||||
|
Terna Rete Elettrica Nazionale SpA:
|
||||||||
|
4.13%, 2/17/2017
|
EUR | 100,000 | 136,488 | |||||
|
4.75%, 3/15/2021
|
EUR | 100,000 | 138,543 | |||||
|
UniCredit SpA:
|
||||||||
|
4.38%, 2/10/2014
|
EUR | 100,000 | 131,813 | |||||
|
4.38%, 9/11/2015
|
EUR | 100,000 | 131,712 | |||||
|
4.88%, 3/7/2017
|
EUR | 100,000 | 131,442 | |||||
|
5.25%, 1/14/2014
|
EUR | 100,000 | 133,082 | |||||
|
Unione di Banche Italiane SCPA
4.13%, 10/21/2013 |
EUR | 100,000 | 129,506 | |||||
| 6,142,499 | ||||||||
|
LUXEMBOURG — 0.9%
|
||||||||
|
ArcelorMittal
9.38%, 6/3/2016 |
EUR | 150,000 | 223,369 | |||||
|
Glencore Finance Europe SA:
|
||||||||
|
4.13%, 4/3/2018
|
EUR | 100,000 | 135,666 | |||||
|
5.25%, 3/22/2017
|
EUR | 100,000 | 141,201 | |||||
|
Novartis Finance SA
4.25%, 6/15/2016 |
EUR | 100,000 | 144,738 | |||||
|
Telecom Italia Finance SA
7.75%, 1/24/2033 |
EUR | 100,000 | 136,675 | |||||
| 781,649 | ||||||||
|
MEXICO — 0.6%
|
||||||||
|
America Movil SAB de CV:
|
||||||||
|
3.00%, 7/12/2021
|
EUR | 100,000 | 131,094 | |||||
|
3.75%, 6/28/2017
|
EUR | 150,000 | 212,774 | |||||
|
4.38%, 8/7/2041
|
GBP | 100,000 | 160,054 | |||||
| 503,922 | ||||||||
|
NETHERLANDS — 23.5%
|
||||||||
|
ABB Finance BV
2.63%, 3/26/2019 |
EUR | 100,000 | 134,191 | |||||
|
ABN Amro Bank NV:
|
||||||||
|
2.75%, 10/29/2013
|
EUR | 100,000 | 131,345 | |||||
|
3.38%, 1/21/2014
|
EUR | 100,000 | 132,798 | |||||
|
3.63%, 10/6/2017
|
EUR | 200,000 | 277,369 | |||||
|
4.13%, 3/28/2022
|
EUR | 150,000 | 212,099 | |||||
|
4.25%, 4/11/2016
|
EUR | 100,000 | 140,895 | |||||
|
4.75%, 1/11/2019
|
EUR | 100,000 | 146,135 | |||||
|
Allianz Finance II BV:
|
||||||||
|
3.50%, 2/14/2022
|
EUR | 100,000 | 139,508 | |||||
|
4.00%, 11/23/2016
|
EUR | 150,000 | 215,278 | |||||
|
4.75%, 7/22/2019
|
EUR | 100,000 | 150,567 | |||||
|
BASF Finance Europe NV:
|
||||||||
|
5.00%, 9/26/2014
|
EUR | 100,000 | 139,677 | |||||
|
5.13%, 6/9/2015
|
EUR | 150,000 | 215,229 | |||||
|
6.00%, 12/4/2013
|
EUR | 100,000 | 136,871 | |||||
|
Bayer Capital Corp. BV
4.63%, 9/26/2014 |
EUR | 100,000 | 138,754 | |||||
|
BMW Finance NV:
|
||||||||
|
2.13%, 1/13/2015
|
EUR | 100,000 | 132,131 | |||||
|
3.25%, 1/28/2016
|
EUR | 100,000 | 137,605 | |||||
|
3.25%, 1/14/2019
|
EUR | 100,000 | 138,276 | |||||
|
3.63%, 1/29/2018
|
EUR | 150,000 | 211,747 | |||||
|
3.88%, 1/18/2017
|
EUR | 100,000 | 142,079 | |||||
|
4.00%, 9/17/2014
|
EUR | 100,000 | 136,639 | |||||
|
4.25%, 1/22/2014
|
EUR | 150,000 | 202,064 | |||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA/Netherlands:
|
||||||||
|
3.00%, 2/16/2015
|
EUR | 200,000 | 271,211 | |||||
|
3.38%, 1/18/2016
|
EUR | 500,000 | 689,775 | |||||
|
3.38%, 4/21/2017
|
EUR | 450,000 | 623,496 | |||||
|
3.88%, 4/20/2016
|
EUR | 280,000 | 391,512 | |||||
|
4.00%, 9/10/2015
|
GBP | 100,000 | 173,128 | |||||
|
4.13%, 1/14/2020
|
EUR | 100,000 | 143,984 | |||||
|
4.13%, 1/12/2021
|
EUR | 200,000 | 287,924 | |||||
|
4.13%, 7/14/2025
|
EUR | 460,000 | 664,889 | |||||
|
4.25%, 4/22/2014
|
EUR | 250,000 | 339,640 | |||||
|
4.38%, 1/22/2014
|
EUR | 400,000 | 540,433 | |||||
|
4.75%, 1/15/2018
|
EUR | 200,000 | 295,277 | |||||
|
4.75%, 6/6/2022
|
EUR | 300,000 | 454,234 | |||||
|
Daimler International Finance BV
7.88%, 1/16/2014 |
EUR | 150,000 | 210,535 | |||||
|
Deutsche Telekom International Finance BV:
|
||||||||
|
4.00%, 1/19/2015
|
EUR | 100,000 | 137,419 | |||||
|
4.25%, 7/13/2022
|
EUR | 100,000 | 147,882 | |||||
|
4.50%, 10/25/2013
|
EUR | 150,000 | 200,840 | |||||
|
5.75%, 4/14/2015
|
EUR | 100,000 | 143,513 | |||||
|
6.00%, 1/20/2017
|
EUR | 200,000 | 306,263 | |||||
|
6.50%, 4/8/2022
|
GBP | 50,000 | 101,845 | |||||
|
E.ON International Finance BV:
|
||||||||
|
5.25%, 9/8/2015
|
EUR | 200,000 | 289,385 | |||||
|
5.50%, 1/19/2016
|
EUR | 100,000 | 147,139 | |||||
|
5.50%, 10/2/2017
|
EUR | 200,000 | 308,441 | |||||
|
5.75%, 5/7/2020
|
EUR | 100,000 | 163,855 | |||||
|
5.88%, 10/30/2037
|
GBP | 100,000 | 203,468 | |||||
|
6.00%, 10/30/2019
|
GBP | 100,000 | 199,379 | |||||
|
6.38%, 6/7/2032
|
GBP | 50,000 | 107,274 | |||||
|
6.75%, 1/27/2039
|
GBP | 50,000 | 112,319 | |||||
|
EADS Finance BV
4.63%, 8/12/2016 |
EUR | 100,000 | 144,726 | |||||
|
Enel Finance International NV:
|
||||||||
|
4.00%, 9/14/2016
|
EUR | 150,000 | 200,893 | |||||
|
4.63%, 6/24/2015
|
EUR | 100,000 | 135,391 | |||||
|
4.88%, 3/11/2020
|
EUR | 100,000 | 131,442 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
5.00%, 9/14/2022
|
EUR | 150,000 | $ | 197,398 | ||||
|
5.63%, 8/14/2024
|
GBP | 100,000 | 154,603 | |||||
|
5.75%, 10/24/2018
|
EUR | 100,000 | 140,220 | |||||
|
5.75%, 9/14/2040
|
GBP | 100,000 | 138,029 | |||||
|
Fortis Bank Nederland NV:
|
||||||||
|
4.00%, 2/3/2015
|
EUR | 100,000 | 136,612 | |||||
|
4.63%, 7/9/2014
|
EUR | 100,000 | 136,506 | |||||
|
Generali Finance BV
4.75%, 5/12/2014 |
EUR | 100,000 | 134,164 | |||||
|
Heineken NV:
|
||||||||
|
2.13%, 8/4/2020
|
EUR | 100,000 | 126,033 | |||||
|
7.13%, 4/7/2014
|
EUR | 50,000 | 70,267 | |||||
|
HIT Finance BV:
|
||||||||
|
4.88%, 10/27/2021
|
EUR | 200,000 | 243,097 | |||||
|
5.75%, 3/9/2018
|
EUR | 100,000 | 133,635 | |||||
|
Iberdrola International BV
4.25%, 10/11/2018 |
EUR | 200,000 | 254,521 | |||||
|
ING Bank NV:
|
||||||||
|
2.13%, 7/10/2015
|
EUR | 100,000 | 131,030 | |||||
|
3.38%, 3/3/2015
|
EUR | 200,000 | 269,502 | |||||
|
3.88%, 5/24/2016
|
EUR | 100,000 | 138,498 | |||||
|
4.25%, 1/13/2017
|
EUR | 100,000 | 141,806 | |||||
|
4.50%, 2/21/2022
|
EUR | 200,000 | 287,983 | |||||
|
ING Groep NV
4.75%, 5/31/2017 |
EUR | 100,000 | 143,728 | |||||
|
KBC Internationale Financieringsmaatschappij NV:
|
||||||||
|
3.88%, 3/31/2015
|
EUR | 100,000 | 133,816 | |||||
|
4.50%, 9/17/2014
|
EUR | 150,000 | 202,463 | |||||
|
4.50%, 3/27/2017
|
EUR | 100,000 | 137,796 | |||||
|
Koninklijke KPN NV:
|
||||||||
|
3.75%, 9/21/2020
|
EUR | 100,000 | 135,958 | |||||
|
4.00%, 6/22/2015
|
EUR | 50,000 | 69,050 | |||||
|
4.75%, 1/17/2017
|
EUR | 100,000 | 144,024 | |||||
|
5.75%, 9/17/2029
|
GBP | 50,000 | 93,759 | |||||
|
Linde Finance BV
4.75%, 4/24/2017 |
EUR | 100,000 | 149,080 | |||||
|
Nomura Europe Finance NV
5.13%, 12/9/2014 |
EUR | 100,000 | 136,248 | |||||
|
Repsol International Finance BV:
|
||||||||
|
4.63%, 10/8/2014
|
EUR | 150,000 | 200,330 | |||||
|
4.88%, 2/19/2019
|
EUR | 100,000 | 130,140 | |||||
|
Roche Finance Europe BV
2.00%, 6/25/2018 |
EUR | 100,000 | 132,741 | |||||
|
Royal Bank of Scotland NV:
|
||||||||
|
4.25%, 5/11/2016
|
EUR | 50,000 | 69,911 | |||||
|
4.75%, 1/4/2014
|
EUR | 100,000 | 134,262 | |||||
|
RWE Finance BV:
|
||||||||
|
5.00%, 2/10/2015
|
EUR | 150,000 | 211,269 | |||||
|
5.75%, 11/20/2013
|
EUR | 50,000 | 67,994 | |||||
|
6.13%, 7/6/2039
|
GBP | 50,000 | 100,904 | |||||
|
6.25%, 6/3/2030
|
GBP | 50,000 | 102,872 | |||||
|
6.50%, 8/10/2021
|
EUR | 100,000 | 170,112 | |||||
|
6.63%, 1/31/2019
|
EUR | 150,000 | 245,429 | |||||
|
Schlumberger Finance BV:
|
||||||||
|
2.75%, 12/1/2015
|
EUR | 50,000 | 68,160 | |||||
|
4.50%, 3/25/2014
|
EUR | 100,000 | 135,901 | |||||
|
Shell International Finance BV:
|
||||||||
|
4.38%, 5/14/2018
|
EUR | 200,000 | 298,841 | |||||
|
4.50%, 2/9/2016
|
EUR | 100,000 | 144,494 | |||||
|
4.63%, 5/22/2017
|
EUR | 150,000 | 223,521 | |||||
|
Siemens Financieringsmaatschappij NV:
|
||||||||
|
1.50%, 3/10/2020
|
EUR | 100,000 | 126,373 | |||||
|
5.13%, 2/20/2017
|
EUR | 150,000 | 225,613 | |||||
|
5.38%, 6/11/2014
|
EUR | 100,000 | 139,109 | |||||
|
5.63%, 6/11/2018
|
EUR | 100,000 | 157,502 | |||||
|
ThyssenKrupp Finance Nederland BV
8.50%, 2/25/2016 |
EUR | 50,000 | 72,741 | |||||
|
Volkswagen International Finance NV:
|
||||||||
|
1.88%, 5/15/2017
|
EUR | 200,000 | 261,343 | |||||
|
2.13%, 1/19/2015
|
EUR | 100,000 | 131,774 | |||||
|
3.25%, 1/21/2019
|
EUR | 100,000 | 138,018 | |||||
|
3.50%, 2/2/2015
|
EUR | 100,000 | 135,764 | |||||
|
5.38%, 11/15/2013
|
EUR | 100,000 | 135,418 | |||||
|
7.00%, 2/9/2016
|
EUR | 100,000 | 152,583 | |||||
| 19,971,714 | ||||||||
|
NORWAY — 0.9%
|
||||||||
|
DnB NOR Bank ASA:
|
||||||||
|
3.88%, 6/29/2020
|
EUR | 150,000 | 215,661 | |||||
|
4.25%, 1/18/2022
|
EUR | 100,000 | 146,517 | |||||
|
4.38%, 2/24/2021
|
EUR | 100,000 | 147,816 | |||||
|
4.50%, 5/29/2014
|
EUR | 100,000 | 136,759 | |||||
|
Telenor ASA
4.88%, 5/29/2017 |
EUR | 100,000 | 149,376 | |||||
| 796,129 | ||||||||
|
SPAIN — 5.6%
|
||||||||
|
Abertis Infraestructuras SA:
|
||||||||
|
4.63%, 10/14/2016
|
EUR | 50,000 | 64,647 | |||||
|
5.13%, 6/12/2017
|
EUR | 50,000 | 65,346 | |||||
|
BBVA Senior Finance SAU:
|
||||||||
|
3.25%, 4/23/2015
|
EUR | 100,000 | 125,748 | |||||
|
3.63%, 10/3/2014
|
EUR | 100,000 | 128,534 | |||||
|
3.88%, 8/6/2015
|
EUR | 50,000 | 63,592 | |||||
|
4.38%, 9/21/2015
|
EUR | 100,000 | 128,996 | |||||
|
4.88%, 1/23/2014
|
EUR | 150,000 | 195,841 | |||||
|
Caja Ahorros Barcelona
3.75%, 11/5/2013 |
EUR | 50,000 | 64,569 | |||||
|
Criteria Caixacorp SA
4.13%, 11/20/2014 |
EUR | 100,000 | 128,388 | |||||
|
Gas Natural Capital Markets SA:
|
||||||||
|
4.38%, 11/2/2016
|
EUR | 100,000 | 129,647 | |||||
|
5.25%, 7/9/2014
|
EUR | 150,000 | 201,049 | |||||
|
Iberdrola Finanzas SAU:
|
||||||||
|
4.13%, 3/23/2020
|
EUR | 100,000 | 123,289 | |||||
|
7.50%, 11/25/2015
|
EUR | 100,000 | 144,242 | |||||
|
Santander International Debt SA Unipersonal:
|
||||||||
|
3.38%, 12/1/2015
|
EUR | 100,000 | 125,576 | |||||
|
3.50%, 8/12/2014
|
EUR | 200,000 | 257,292 | |||||
|
3.50%, 3/10/2015
|
EUR | 200,000 | 254,132 | |||||
|
4.13%, 10/4/2017
|
EUR | 100,000 | 123,604 | |||||
|
Santander International Debt SAU:
|
||||||||
|
4.00%, 3/27/2017
|
EUR | 100,000 | 123,608 | |||||
|
4.38%, 9/4/2014
|
EUR | 100,000 | 130,515 | |||||
|
4.50%, 5/18/2015
|
EUR | 100,000 | 129,861 | |||||
|
4.63%, 3/21/2016
|
EUR | 100,000 | 128,353 | |||||
|
Telefonica Emisiones SAU:
|
||||||||
|
3.41%, 3/24/2015
|
EUR | 100,000 | 129,124 | |||||
|
3.66%, 9/18/2017
|
EUR | 150,000 | 185,738 | |||||
|
4.38%, 2/2/2016
|
EUR | 100,000 | 130,565 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
4.67%, 2/7/2014
|
EUR | 150,000 | $ | 198,312 | ||||
|
4.69%, 11/11/2019
|
EUR | 200,000 | 250,965 | |||||
|
4.75%, 2/7/2017
|
EUR | 100,000 | 130,466 | |||||
|
4.80%, 2/21/2018
|
EUR | 100,000 | 128,498 | |||||
|
4.97%, 2/3/2016
|
EUR | 100,000 | 132,306 | |||||
|
5.43%, 2/3/2014
|
EUR | 150,000 | 200,117 | |||||
|
5.50%, 4/1/2016
|
EUR | 100,000 | 134,325 | |||||
|
5.60%, 3/12/2020
|
GBP | 200,000 | 317,320 | |||||
| 4,774,565 | ||||||||
|
SWEDEN — 3.8%
|
||||||||
|
Nordea Bank AB:
|
||||||||
|
2.25%, 10/5/2017
|
EUR | 100,000 | 133,695 | |||||
|
2.75%, 8/11/2015
|
EUR | 100,000 | 134,847 | |||||
|
3.63%, 2/11/2016
|
EUR | 100,000 | 139,207 | |||||
|
3.75%, 2/24/2017
|
EUR | 200,000 | 284,073 | |||||
|
3.88%, 12/15/2015
|
GBP | 50,000 | 86,795 | |||||
|
4.00%, 7/11/2019
|
EUR | 100,000 | 144,887 | |||||
|
4.00%, 6/29/2020
|
EUR | 150,000 | 218,813 | |||||
|
4.50%, 5/12/2014
|
EUR | 100,000 | 136,545 | |||||
|
Skandinaviska Enskilda Banken AB
5.50%, 5/6/2014 |
EUR | 150,000 | 207,572 | |||||
|
Svenska Handelsbanken AB:
|
||||||||
|
1.50%, 7/6/2015
|
EUR | 100,000 | 130,477 | |||||
|
2.25%, 6/14/2018
|
EUR | 100,000 | 131,871 | |||||
|
2.63%, 8/23/2022
|
EUR | 100,000 | 129,475 | |||||
|
3.75%, 2/24/2017
|
EUR | 150,000 | 212,353 | |||||
|
4.38%, 10/20/2021
|
EUR | 200,000 | 298,769 | |||||
|
4.88%, 3/25/2014
|
EUR | 200,000 | 273,286 | |||||
|
Swedbank AB:
|
||||||||
|
1.75%, 6/18/2015
|
EUR | 100,000 | 131,131 | |||||
|
2.38%, 4/4/2016
|
EUR | 100,000 | 133,592 | |||||
|
3.38%, 2/9/2017
|
EUR | 100,000 | 138,873 | |||||
|
Volvo Treasury AB
5.00%, 5/31/2017 |
EUR | 100,000 | 145,638 | |||||
| 3,211,899 | ||||||||
|
SWITZERLAND — 1.6%
|
||||||||
|
Roche Kapitalmarkt AG
4.50%, 3/23/2017 |
CHF | 120,000 | 150,351 | |||||
|
Swisscom AG
3.25%, 9/14/2018 |
CHF | 150,000 | 181,315 | |||||
|
UBS AG/London:
|
||||||||
|
3.13%, 1/18/2016
|
EUR | 100,000 | 135,928 | |||||
|
3.50%, 7/15/2015
|
EUR | 100,000 | 136,719 | |||||
|
5.63%, 5/19/2014
|
EUR | 100,000 | 138,528 | |||||
|
6.00%, 4/18/2018
|
EUR | 200,000 | 312,394 | |||||
|
6.63%, 4/11/2018
|
GBP | 150,000 | 290,778 | |||||
| 1,346,013 | ||||||||
|
UNITED KINGDOM — 12.3%
|
||||||||
|
Abbey National Treasury Services PLC/London
3.38%, 10/20/2015 |
EUR | 150,000 | 201,644 | |||||
|
Anglo American Capital PLC
5.88%, 4/17/2015 |
EUR | 100,000 | 143,163 | |||||
|
Barclays Bank PLC:
|
||||||||
|
3.50%, 3/18/2015
|
EUR | 150,000 | 203,790 | |||||
|
4.00%, 1/20/2017
|
EUR | 150,000 | 212,661 | |||||
|
4.13%, 3/15/2016
|
EUR | 100,000 | 140,475 | |||||
|
4.88%, 8/13/2019
|
EUR | 150,000 | 226,559 | |||||
|
5.25%, 5/27/2014
|
EUR | 300,000 | 413,302 | |||||
|
BAT International Finance PLC:
|
||||||||
|
5.38%, 6/29/2017
|
EUR | 50,000 | 75,739 | |||||
|
5.88%, 3/12/2015
|
EUR | 150,000 | 215,368 | |||||
|
BG Energy Capital PLC:
|
||||||||
|
3.00%, 11/16/2018
|
EUR | 100,000 | 137,467 | |||||
|
5.13%, 12/1/2025
|
GBP | 100,000 | 193,216 | |||||
|
BP Capital Markets PLC:
|
||||||||
|
2.18%, 2/16/2016
|
EUR | 100,000 | 132,948 | |||||
|
2.99%, 2/18/2019
|
EUR | 100,000 | 137,107 | |||||
|
3.83%, 10/6/2017
|
EUR | 150,000 | 214,624 | |||||
|
4.33%, 12/10/2018
|
GBP | 100,000 | 182,124 | |||||
|
British Telecommunications PLC
6.50%, 7/7/2015 |
EUR | 150,000 | 220,913 | |||||
|
Centrica PLC
7.00%, 9/19/2033 |
GBP | 100,000 | 229,043 | |||||
|
Credit Suisse AG/Guernsey
2.88%, 9/24/2015 |
EUR | 150,000 | 202,473 | |||||
|
Credit Suisse AG/London:
|
||||||||
|
3.88%, 1/25/2017
|
EUR | 200,000 | 283,084 | |||||
|
4.75%, 8/5/2019
|
EUR | 150,000 | 225,291 | |||||
|
5.13%, 9/18/2017
|
EUR | 200,000 | 300,516 | |||||
|
Diageo Finance PLC
6.63%, 12/5/2014 |
EUR | 50,000 | 72,298 | |||||
|
GlaxoSmithKline Capital PLC:
|
||||||||
|
3.88%, 7/6/2015
|
EUR | 150,000 | 209,559 | |||||
|
5.25%, 12/19/2033
|
GBP | 100,000 | 199,917 | |||||
|
5.25%, 4/10/2042
|
GBP | 50,000 | 96,405 | |||||
|
5.63%, 12/13/2017
|
EUR | 100,000 | 156,727 | |||||
|
6.38%, 3/9/2039
|
GBP | 50,000 | 112,003 | |||||
|
HSBC Bank PLC:
|
||||||||
|
3.13%, 11/15/2017
|
EUR | 100,000 | 139,389 | |||||
|
3.75%, 11/30/2016
|
EUR | 100,000 | 141,838 | |||||
|
3.88%, 10/24/2018
|
EUR | 100,000 | 144,946 | |||||
|
4.00%, 1/15/2021
|
EUR | 100,000 | 147,661 | |||||
|
HSBC Holdings PLC
4.50%, 4/30/2014 |
EUR | 150,000 | 203,943 | |||||
|
Imperial Tobacco Finance PLC:
|
||||||||
|
4.38%, 11/22/2013
|
EUR | 100,000 | 133,839 | |||||
|
8.38%, 2/17/2016
|
EUR | 150,000 | 235,622 | |||||
|
9.00%, 2/17/2022
|
GBP | 100,000 | 229,866 | |||||
|
Lloyds TSB Bank PLC:
|
||||||||
|
4.63%, 2/2/2017
|
EUR | 100,000 | 144,474 | |||||
|
5.38%, 9/3/2019
|
EUR | 100,000 | 152,702 | |||||
|
6.38%, 6/17/2016
|
EUR | 100,000 | 151,161 | |||||
|
6.50%, 9/17/2040
|
GBP | 100,000 | 191,274 | |||||
|
Nationwide Building Society:
|
||||||||
|
3.13%, 4/3/2017
|
EUR | 100,000 | 136,307 | |||||
|
3.75%, 1/20/2015
|
EUR | 100,000 | 135,739 | |||||
|
5.63%, 9/9/2019
|
GBP | 50,000 | 94,529 | |||||
|
SABMiller PLC
4.50%, 1/20/2015 |
EUR | 100,000 | 138,813 | |||||
|
Standard Chartered PLC:
|
||||||||
|
4.13%, 1/18/2019
|
EUR | 200,000 | 285,778 | |||||
|
5.75%, 4/30/2014
|
EUR | 200,000 | 276,784 | |||||
|
Tesco PLC:
|
||||||||
|
5.88%, 9/12/2016
|
EUR | 100,000 | 151,286 | |||||
|
6.13%, 2/24/2022
|
GBP | 50,000 | 97,682 | |||||
|
Thames Water Utilities Finance, Ltd.
5.13%, 9/28/2037 |
GBP | 50,000 | 92,844 | |||||
|
The Royal Bank of Scotland PLC:
|
||||||||
|
4.88%, 7/15/2015
|
EUR | 50,000 | 70,275 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
4.88%, 1/20/2017
|
EUR | 150,000 | $ | 217,879 | ||||
|
5.38%, 9/30/2019
|
EUR | 200,000 | 300,606 | |||||
|
5.50%, 3/23/2020
|
EUR | 200,000 | 303,359 | |||||
|
5.75%, 5/21/2014
|
EUR | 150,000 | 207,077 | |||||
|
Virgin Media Secured Finance PLC
7.00%, 1/15/2018 |
GBP | 50,000 | 87,603 | |||||
|
Vodafone Group PLC:
|
||||||||
|
4.63%, 9/8/2014
|
GBP | 50,000 | 86,049 | |||||
|
4.65%, 1/20/2022
|
EUR | 100,000 | 155,296 | |||||
|
6.25%, 1/15/2016
|
EUR | 100,000 | 150,449 | |||||
|
6.88%, 12/4/2013
|
EUR | 100,000 | 138,065 | |||||
|
Western Power Distribution West Midlands PLC
5.75%, 4/16/2032 |
GBP | 100,000 | 192,770 | |||||
| 10,474,321 | ||||||||
|
UNITED STATES — 14.6%
|
||||||||
|
3M Co.
5.00%, 7/14/2014 |
EUR | 100,000 | 138,505 | |||||
|
American Express Credit Corp.
5.38%, 10/1/2014 |
GBP | 50,000 | 86,751 | |||||
|
AT&T, Inc.:
|
||||||||
|
4.88%, 6/1/2044
|
GBP | 100,000 | 172,767 | |||||
|
5.88%, 4/28/2017
|
GBP | 50,000 | 94,871 | |||||
|
6.13%, 4/2/2015
|
EUR | 100,000 | 145,735 | |||||
|
7.00%, 4/30/2040
|
GBP | 100,000 | 229,821 | |||||
|
BAA Funding, Ltd.:
|
||||||||
|
6.45%, 12/10/2031
|
GBP | 100,000 | 199,826 | |||||
|
6.75%, 12/3/2028
|
GBP | 150,000 | 317,207 | |||||
|
Bank of America Corp.:
|
||||||||
|
4.63%, 8/7/2017
|
EUR | 200,000 | 282,268 | |||||
|
4.75%, 4/3/2017
|
EUR | 150,000 | 212,291 | |||||
|
5.13%, 9/26/2014
|
EUR | 100,000 | 137,158 | |||||
|
5.13%, 9/26/2014
|
EUR | 100,000 | 137,158 | |||||
|
6.13%, 9/15/2021
|
GBP | 50,000 | 93,275 | |||||
|
7.00%, 6/15/2016
|
EUR | 100,000 | 150,422 | |||||
|
7.00%, 7/31/2028
|
GBP | 100,000 | 199,778 | |||||
|
BMW US Capital LLC
5.00%, 5/28/2015 |
EUR | 200,000 | 283,823 | |||||
|
Citigroup, Inc.:
|
||||||||
|
3.50%, 8/5/2015
|
EUR | 100,000 | 135,275 | |||||
|
3.95%, 10/10/2013
|
EUR | 50,000 | 66,112 | |||||
|
4.00%, 11/26/2015
|
EUR | 150,000 | 206,463 | |||||
|
4.38%, 1/30/2017
|
EUR | 100,000 | 140,434 | |||||
|
4.75%, 11/12/2013
|
EUR | 50,000 | 66,765 | |||||
|
5.00%, 8/2/2019
|
EUR | 300,000 | 433,769 | |||||
|
7.38%, 6/16/2014
|
EUR | 100,000 | 141,348 | |||||
|
7.38%, 9/4/2019
|
EUR | 150,000 | 243,563 | |||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co, Inc.
4.38%, 9/14/2029 |
GBP | 100,000 | 162,525 | |||||
|
HSBC Finance Corp.:
|
||||||||
|
3.75%, 11/4/2015
|
EUR | 150,000 | 204,646 | |||||
|
4.88%, 5/30/2017
|
EUR | 50,000 | 72,228 | |||||
|
Johnson & Johnson
4.75%, 11/6/2019 |
EUR | 100,000 | 156,588 | |||||
|
JPMorgan Chase & Co.:
|
||||||||
|
2.75%, 8/24/2022
|
EUR | 100,000 | 128,650 | |||||
|
3.75%, 6/15/2016
|
EUR | 100,000 | 140,114 | |||||
|
3.88%, 9/23/2020
|
EUR | 100,000 | 143,426 | |||||
|
5.25%, 1/14/2015
|
EUR | 200,000 | 282,106 | |||||
|
6.13%, 4/1/2014
|
EUR | 150,000 | 208,015 | |||||
|
Merck & Co., Inc.
5.38%, 10/1/2014 |
EUR | 100,000 | 140,637 | |||||
|
Merrill Lynch & Co., Inc.:
|
||||||||
|
4.45%, 1/31/2014
|
EUR | 100,000 | 133,423 | |||||
|
4.63%, 10/2/2013
|
EUR | 100,000 | 132,807 | |||||
|
4.88%, 5/30/2014
|
EUR | 150,000 | 203,122 | |||||
|
7.75%, 4/30/2018
|
GBP | 50,000 | 96,583 | |||||
|
Morgan Stanley:
|
||||||||
|
3.75%, 9/21/2017
|
EUR | 100,000 | 131,288 | |||||
|
4.00%, 11/17/2015
|
EUR | 100,000 | 134,085 | |||||
|
4.50%, 10/29/2014
|
EUR | 200,000 | 269,417 | |||||
|
4.50%, 2/23/2016
|
EUR | 150,000 | 202,185 | |||||
|
5.38%, 8/10/2020
|
EUR | 100,000 | 138,240 | |||||
|
5.50%, 10/2/2017
|
EUR | 100,000 | 140,711 | |||||
|
NYSE Euronext
5.38%, 6/30/2015 |
EUR | 100,000 | 140,980 | |||||
|
Pfizer, Inc.:
|
||||||||
|
4.75%, 6/3/2016
|
EUR | 200,000 | 292,048 | |||||
|
5.75%, 6/3/2021
|
EUR | 150,000 | 248,588 | |||||
|
6.50%, 6/3/2038
|
GBP | 100,000 | 228,473 | |||||
|
Roche Holdings, Inc.:
|
||||||||
|
5.50%, 3/4/2015
|
GBP | 100,000 | 178,809 | |||||
|
5.63%, 3/4/2016
|
EUR | 200,000 | 297,868 | |||||
|
6.50%, 3/4/2021
|
EUR | 150,000 | 261,909 | |||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
4.00%, 2/2/2015
|
EUR | 130,000 | 175,365 | |||||
|
4.38%, 3/16/2017
|
EUR | 150,000 | 205,634 | |||||
|
4.50%, 5/9/2016
|
EUR | 100,000 | 137,632 | |||||
|
4.50%, 1/30/2017
|
EUR | 100,000 | 137,716 | |||||
|
4.75%, 1/28/2014
|
EUR | 100,000 | 134,131 | |||||
|
5.13%, 10/16/2014
|
EUR | 100,000 | 137,385 | |||||
|
5.13%, 10/23/2019
|
EUR | 100,000 | 142,434 | |||||
|
6.38%, 5/2/2018
|
EUR | 100,000 | 149,916 | |||||
|
The Procter & Gamble Co.:
|
||||||||
|
2.00%, 8/16/2022
|
EUR | 100,000 | 126,937 | |||||
|
4.50%, 5/12/2014
|
EUR | 150,000 | 205,541 | |||||
|
4.88%, 5/11/2027
|
EUR | 100,000 | 162,289 | |||||
|
5.13%, 10/24/2017
|
EUR | 50,000 | 76,713 | |||||
|
Toyota Motor Credit Corp.
6.63%, 2/3/2016 |
EUR | 200,000 | 305,181 | |||||
|
Wal-Mart
Stores, Inc.:
|
||||||||
|
4.88%, 1/19/2039
|
GBP | 100,000 | 186,637 | |||||
|
5.25%, 9/28/2035
|
GBP | 100,000 | 195,968 | |||||
|
5.63%, 3/27/2034
|
GBP | 100,000 | 209,923 | |||||
|
Wells Fargo & Co.:
|
||||||||
|
2.63%, 8/16/2022
|
EUR | 150,000 | 194,791 | |||||
|
4.13%, 11/3/2016
|
EUR | 100,000 | 144,121 | |||||
|
4.63%, 11/2/2035
|
GBP | 50,000 | 87,850 | |||||
|
Zurich Finance USA, Inc.:
|
||||||||
|
4.50%, 9/17/2014
|
EUR | 50,000 | 68,613 | |||||
|
4.50%, 9/17/2014
|
EUR | 50,000 | 68,613 | |||||
| 12,438,246 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $81,652,546)
|
82,675,467 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 0.3%
|
||||||||
|
MONEY MARKET FUNDS — 0.3%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (b)(c) |
149,460 | 149,460 | ||||||
|
Security Description
|
Shares
|
Value
|
||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d) |
105,984 | $ | 105,984 | |||||
|
TOTAL SHORT TERM INVESTMENTS — (e)
|
||||||||
|
(Cost $255,444)
|
255,444 | |||||||
|
TOTAL INVESTMENTS — 97.5% (f)
|
||||||||
|
(Cost $81,907,990)
|
82,930,911 | |||||||
|
OTHER ASSETS &
LIABILITIES — 2.5% |
2,105,780 | |||||||
|
NET ASSETS — 100.0%
|
$ | 85,036,691 | ||||||
|
(a)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(b)
|
Investments of cash collateral for securities loaned. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Net Unrealized
|
||||||||||||||||||
|
Appreciation/
|
||||||||||||||||||
|
Settlement Date
|
Contracts to Deliver
|
In Exchange for
|
(Depreciation)
|
Counterparty
|
||||||||||||||
|
10/4/2012
|
114,900,000 | JPY | 1,149,905 | EUR | $ | 2,491 | Goldman Sachs International | |||||||||||
|
10/4/2012
|
1,163,912 | EUR | 114,900,000 | JPY | (20,511 | ) | HSBC Bank PLC | |||||||||||
|
11/6/2012
|
1,149,845 | EUR | 114,900,000 | JPY | (2,468 | ) | Goldman Sachs International | |||||||||||
| $ | (20,488 | ) | ||||||||||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 96.2%
|
||||||||
|
BRAZIL — 12.3%
|
||||||||
|
Brazil Letras do Tesouro Nacional:
|
||||||||
|
Zero Coupon, 1/1/2014 (a)
|
BRL | 1,950,000 | $ | 874,767 | ||||
|
Zero Coupon, 4/1/2014 (a)
|
BRL | 13,600,000 | 5,975,574 | |||||
|
Zero Coupon, 7/1/2014 (a)
|
BRL | 450,000 | 193,593 | |||||
|
Zero Coupon, 1/1/2015 (a)
|
BRL | 13,350,000 | 5,482,390 | |||||
|
Zero Coupon, 1/1/2016 (a)
|
BRL | 1,800,000 | 673,032 | |||||
|
Brazil Notas do Tesouro Nacional Series F:
|
||||||||
|
10.00%, 1/1/2014
|
BRL | 4,750,000 | 2,398,955 | |||||
|
10.00%, 1/1/2015
|
BRL | 5,800,000 | 2,953,079 | |||||
|
10.00%, 1/1/2017
|
BRL | 13,700,000 | 6,975,862 | |||||
|
10.00%, 1/1/2018
|
BRL | 1,000,000 | 508,569 | |||||
|
10.00%, 1/1/2021
|
BRL | 2,480,000 | 1,246,728 | |||||
|
10.00%, 1/1/2023
|
BRL | 1,200,000 | 597,437 | |||||
|
Brazilian Government International Bond:
|
||||||||
|
8.50%, 1/5/2024
|
BRL | 700,000 | 403,687 | |||||
|
10.25%, 1/10/2028
|
BRL | 750,000 | 483,352 | |||||
|
12.50%, 1/5/2016
|
BRL | 500,000 | 309,419 | |||||
|
12.50%, 1/5/2022
|
BRL | 250,000 | 184,222 | |||||
| 29,260,666 | ||||||||
|
CHILE — 1.8%
|
||||||||
|
Bonos del Banco Central de Chile en Pesos:
|
||||||||
|
6.00%, 1/1/2015
|
CLP | 220,000,000 | 464,756 | |||||
|
6.00%, 5/1/2015
|
CLP | 150,000,000 | 314,445 | |||||
|
6.00%, 2/1/2016
|
CLP | 345,000,000 | 737,837 | |||||
|
6.00%, 8/1/2016
|
CLP | 240,000,000 | 514,980 | |||||
|
6.00%, 1/1/2017
|
CLP | 125,000,000 | 266,647 | |||||
|
6.00%, 2/1/2021
|
CLP | 385,000,000 | 839,204 | |||||
|
6.00%, 3/1/2022
|
CLP | 80,000,000 | 176,226 | |||||
|
8.00%, 6/1/2014
|
CLP | 130,000,000 | 278,743 | |||||
|
Chile Government International Bond
5.50%, 8/5/2020 |
CLP | 300,000,000 | 667,896 | |||||
| 4,260,734 | ||||||||
|
COLOMBIA — 4.6%
|
||||||||
|
Colombia Government International Bond:
|
||||||||
|
7.75%, 4/14/2021
|
COP | 460,000,000 | 314,457 | |||||
|
9.85%, 6/28/2027
|
COP | 200,000,000 | 168,294 | |||||
|
12.00%, 10/22/2015
|
COP | 440,000,000 | 300,858 | |||||
|
Colombian TES:
|
||||||||
|
7.00%, 5/4/2022
|
COP | 1,500,000,000 | 874,729 | |||||
|
7.25%, 6/15/2016
|
COP | 3,000,000,000 | 1,767,283 | |||||
|
7.50%, 8/26/2026
|
COP | 1,000,000,000 | 603,698 | |||||
|
8.00%, 10/28/2015
|
COP | 740,000,000 | 441,724 | |||||
|
9.25%, 5/14/2014
|
COP | 500,000,000 | 295,991 | |||||
|
10.00%, 7/24/2024
|
COP | 1,000,000,000 | 720,307 | |||||
|
10.25%, 11/14/2013
|
COP | 500,000,000 | 293,603 | |||||
|
11.00%, 7/24/2020
|
COP | 4,000,000,000 | 2,878,783 | |||||
|
11.25%, 10/24/2018
|
COP | 500,000,000 | 354,073 | |||||
|
13.50%, 9/12/2014
|
COP | 3,000,000,000 | 1,922,372 | |||||
| 10,936,172 | ||||||||
|
CZECH REPUBLIC — 4.4%
|
||||||||
|
Czech Republic Government Bond:
|
||||||||
|
2.75%, 3/31/2014
|
CZK | 5,700,000 | 300,667 | |||||
|
2.80%, 9/16/2013
|
CZK | 9,650,000 | 503,949 | |||||
|
3.40%, 9/1/2015
|
CZK | 25,500,000 | 1,406,733 | |||||
|
3.75%, 9/12/2020
|
CZK | 11,000,000 | 622,637 | |||||
|
3.85%, 9/29/2021
|
CZK | 27,600,000 | 1,593,929 | |||||
|
4.00%, 4/11/2017
|
CZK | 42,200,000 | 2,422,909 | |||||
|
4.20%, 12/4/2036
|
CZK | 10,400,000 | 599,451 | |||||
|
4.60%, 8/18/2018
|
CZK | 7,900,000 | 472,158 | |||||
|
4.70%, 9/12/2022
|
CZK | 19,500,000 | 1,197,044 | |||||
|
5.00%, 4/11/2019
|
CZK | 9,600,000 | 585,687 | |||||
|
5.70%, 5/25/2024
|
CZK | 6,000,000 | 399,382 | |||||
|
6.95%, 1/26/2016
|
CZK | 4,300,000 | 264,447 | |||||
| 10,368,993 | ||||||||
|
EGYPT — 1.5%
|
||||||||
|
Egypt Government
International Bond 5.75%, 4/29/2020 (b) |
USD | 150,000 | 150,562 | |||||
|
Egypt Treasury Bills:
|
||||||||
|
Zero Coupon, 2/5/2013 (a)
|
EGP | 10,000,000 | 1,552,772 | |||||
|
Zero Coupon, 2/19/2013 (a)
|
EGP | 10,000,000 | 1,543,370 | |||||
|
Zero Coupon, 6/11/2013 (a)
|
EGP | 1,900,000 | 280,555 | |||||
| 3,527,259 | ||||||||
|
HUNGARY — 3.5%
|
||||||||
|
Hungary Government Bond:
|
||||||||
|
5.50%, 2/12/2014
|
HUF | 155,000,000 | 690,970 | |||||
|
5.50%, 2/12/2016
|
HUF | 152,000,000 | 661,544 | |||||
|
6.00%, 11/24/2023
|
HUF | 9,000,000 | 36,400 | |||||
|
6.50%, 6/24/2019
|
HUF | 150,000,000 | 657,341 | |||||
|
6.75%, 8/22/2014
|
HUF | 255,000,000 | 1,157,471 | |||||
|
6.75%, 2/24/2017
|
HUF | 67,000,000 | 301,293 | |||||
|
6.75%, 11/24/2017
|
HUF | 430,000,000 | 1,930,564 | |||||
|
7.00%, 6/24/2022
|
HUF | 214,000,000 | 947,127 | |||||
|
7.50%, 10/24/2013
|
HUF | 151,500,000 | 690,479 | |||||
|
7.50%, 11/12/2020
|
HUF | 80,200,000 | 366,569 | |||||
|
8.00%, 2/12/2015
|
HUF | 169,500,000 | 785,977 | |||||
| 8,225,735 | ||||||||
|
INDONESIA — 4.5%
|
||||||||
|
Indonesia Treasury Bond:
|
||||||||
|
6.25%, 4/15/2017
|
IDR | 5,400,000,000 | 579,352 | |||||
|
6.38%, 4/15/2042
|
IDR | 3,500,000,000 | 356,546 | |||||
|
6.63%, 5/15/2033
|
IDR | 2,000,000,000 | 206,565 | |||||
|
7.00%, 5/15/2022
|
IDR | 17,700,000,000 | 1,983,332 | |||||
|
7.00%, 5/15/2027
|
IDR | 7,100,000,000 | 784,752 | |||||
|
7.38%, 9/15/2016
|
IDR | 4,520,000,000 | 502,184 | |||||
|
8.25%, 7/15/2021
|
IDR | 8,840,000,000 | 1,065,136 | |||||
|
8.25%, 6/15/2032
|
IDR | 16,710,000,000 | 2,029,799 | |||||
|
8.38%, 9/15/2026
|
IDR | 500,000,000 | 61,943 | |||||
|
9.50%, 6/15/2015
|
IDR | 6,940,000,000 | 796,198 | |||||
|
9.50%, 7/15/2031
|
IDR | 580,000,000 | 78,609 | |||||
|
9.50%, 5/15/2041
|
IDR | 2,000,000,000 | 275,548 | |||||
|
9.75%, 5/15/2037
|
IDR | 1,250,000,000 | 174,728 | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
10.00%, 9/15/2024
|
IDR | 1,000,000,000 | $ | 136,950 | ||||
|
10.00%, 2/15/2028
|
IDR | 1,400,000,000 | 196,096 | |||||
|
10.50%, 8/15/2030
|
IDR | 2,600,000,000 | 379,276 | |||||
|
11.00%, 11/15/2020
|
IDR | 4,250,000,000 | 587,380 | |||||
|
11.00%, 9/15/2025
|
IDR | 2,950,000,000 | 433,912 | |||||
| 10,628,306 | ||||||||
|
ISRAEL — 4.3%
|
||||||||
|
Israel Government Bond — Fixed:
|
||||||||
|
3.50%, 9/30/2013
|
ILS | 1,700,000 | 439,015 | |||||
|
3.50%, 8/31/2014
|
ILS | 6,550,000 | 1,707,400 | |||||
|
4.00%, 1/31/2018
|
ILS | 500,000 | 132,047 | |||||
|
4.25%, 8/31/2016
|
ILS | 5,800,000 | 1,557,469 | |||||
|
4.50%, 1/30/2015
|
ILS | 2,260,000 | 603,908 | |||||
|
5.00%, 1/31/2020
|
ILS | 650,000 | 178,230 | |||||
|
5.50%, 2/28/2017
|
ILS | 3,300,000 | 929,396 | |||||
|
5.50%, 1/31/2022
|
ILS | 4,320,000 | 1,208,989 | |||||
|
5.50%, 1/31/2042
|
ILS | 300,000 | 77,235 | |||||
|
6.00%, 2/28/2019
|
ILS | 6,100,000 | 1,771,769 | |||||
|
6.25%, 10/30/2026
|
ILS | 3,110,000 | 915,622 | |||||
|
Israel Government Bond — Shahar:
|
||||||||
|
6.50%, 1/31/2016
|
ILS | 2,000,000 | 572,561 | |||||
|
7.50%, 3/31/2014
|
ILS | 550,000 | 150,896 | |||||
| 10,244,537 | ||||||||
|
MALAYSIA — 6.0%
|
||||||||
|
Malaysia Government Bond:
|
||||||||
|
3.20%, 10/15/2015
|
MYR | 1,300,000 | 425,035 | |||||
|
3.31%, 10/31/2017
|
MYR | 1,300,000 | 424,845 | |||||
|
3.42%, 8/15/2022
|
MYR | 300,000 | 97,048 | |||||
|
3.43%, 8/15/2014
|
MYR | 5,280,000 | 1,738,456 | |||||
|
3.50%, 5/31/2027
|
MYR | 600,000 | 190,710 | |||||
|
3.58%, 9/28/2018
|
MYR | 6,150,000 | 2,030,822 | |||||
|
3.74%, 2/27/2015
|
MYR | 4,825,000 | 1,600,179 | |||||
|
4.01%, 9/15/2017
|
MYR | 3,970,000 | 1,339,138 | |||||
|
4.13%, 4/15/2032
|
MYR | 1,400,000 | 471,938 | |||||
|
4.16%, 7/15/2021
|
MYR | 7,440,000 | 2,534,249 | |||||
|
4.23%, 6/30/2031
|
MYR | 1,100,000 | 376,703 | |||||
|
4.26%, 9/15/2016
|
MYR | 3,210,000 | 1,089,558 | |||||
|
4.38%, 11/29/2019
|
MYR | 840,000 | 290,575 | |||||
|
4.39%, 4/15/2026
|
MYR | 2,400,000 | 841,658 | |||||
|
4.50%, 4/15/2030
|
MYR | 100,000 | 35,437 | |||||
|
5.09%, 4/30/2014
|
MYR | 1,950,000 | 657,941 | |||||
| 14,144,292 | ||||||||
|
MEXICO — 8.9%
|
||||||||
|
Mexican Bonos:
|
||||||||
|
6.00%, 6/18/2015
|
MXN | 29,600,000 | 2,377,883 | |||||
|
6.25%, 6/16/2016
|
MXN | 8,500,000 | 691,846 | |||||
|
6.50%, 6/10/2021
|
MXN | 29,500,000 | 2,498,886 | |||||
|
6.50%, 6/9/2022
|
MXN | 6,000,000 | 507,502 | |||||
|
7.50%, 6/3/2027
|
MXN | 18,120,000 | 1,628,446 | |||||
|
7.75%, 12/14/2017
|
MXN | 6,800,000 | 595,188 | |||||
|
7.75%, 11/13/2042
|
MXN | 5,500,000 | 496,103 | |||||
|
8.00%, 6/11/2020
|
MXN | 5,400,000 | 494,574 | |||||
|
8.50%, 5/31/2029
|
MXN | 33,850,000 | 3,300,325 | |||||
|
8.50%, 11/18/2038
|
MXN | 15,000,000 | 1,457,969 | |||||
|
9.50%, 12/18/2014
|
MXN | 8,800,000 | 752,956 | |||||
|
10.00%, 11/20/2036
|
MXN | 5,800,000 | 644,926 | |||||
|
United Mexican States:
|
||||||||
|
7.00%, 6/19/2014
|
MXN | 37,600,000 | 3,037,882 | |||||
|
7.25%, 12/15/2016
|
MXN | 11,800,000 | 998,654 | |||||
|
8.50%, 12/13/2018
|
MXN | 17,800,000 | 1,633,206 | |||||
| 21,116,346 | ||||||||
|
PERU — 2.2%
|
||||||||
|
Peru Government Bond
6.95%, 8/12/2031 |
PEN | 1,830,000 | 842,371 | |||||
|
Peruvian Government International Bond:
|
||||||||
|
6.85%, 2/12/2042
|
PEN | 1,720,000 | 787,497 | |||||
|
6.90%, 8/12/2037
|
PEN | 400,000 | 185,450 | |||||
|
7.84%, 8/12/2020
|
PEN | 2,150,000 | 1,025,525 | |||||
|
8.20%, 8/12/2026
|
PEN | 2,810,000 | 1,458,191 | |||||
|
8.60%, 8/12/2017
|
PEN | 1,700,000 | 802,434 | |||||
|
9.91%, 5/5/2015
|
PEN | 265,000 | 118,604 | |||||
| 5,220,072 | ||||||||
|
PHILIPPINES — 4.4%
|
||||||||
|
Philippine Government Bond:
|
||||||||
|
5.00%, 8/18/2018
|
PHP | 7,000,000 | 172,172 | |||||
|
5.75%, 11/24/2021
|
PHP | 12,000,000 | 310,526 | |||||
|
5.88%, 1/31/2018
|
PHP | 19,400,000 | 496,975 | |||||
|
5.88%, 12/16/2020
|
PHP | 48,000,000 | 1,245,349 | |||||
|
6.25%, 1/27/2014
|
PHP | 21,500,000 | 545,453 | |||||
|
7.00%, 1/27/2016
|
PHP | 56,900,000 | 1,509,875 | |||||
|
7.00%, 3/31/2017
|
PHP | 12,000,000 | 319,169 | |||||
|
7.75%, 2/18/2020
|
PHP | 13,100,000 | 374,392 | |||||
|
7.88%, 2/19/2019
|
PHP | 13,500,000 | 382,470 | |||||
|
8.00%, 7/19/2031
|
PHP | 98,687,338 | 3,024,114 | |||||
|
8.13%, 12/16/2035
|
PHP | 48,100,000 | 1,497,011 | |||||
|
8.38%, 5/22/2015
|
PHP | 4,000,000 | 109,134 | |||||
|
Philippine Government International Bond:
|
||||||||
|
4.95%, 1/15/2021
|
PHP | 10,000,000 | 252,901 | |||||
|
6.25%, 1/14/2036
|
PHP | 10,000,000 | 266,391 | |||||
| 10,505,932 | ||||||||
|
POLAND — 7.4%
|
||||||||
|
Poland Government Bond:
|
||||||||
|
4.75%, 10/25/2016
|
PLN | 7,100,000 | 2,263,498 | |||||
|
4.75%, 4/25/2017
|
PLN | 1,800,000 | 574,800 | |||||
|
5.00%, 4/25/2016
|
PLN | 2,150,000 | 689,587 | |||||
|
5.25%, 10/25/2017
|
PLN | 3,400,000 | 1,110,674 | |||||
|
5.25%, 10/25/2020
|
PLN | 3,040,000 | 992,124 | |||||
|
5.75%, 10/25/2021
|
PLN | 9,800,000 | 3,292,516 | |||||
|
5.75%, 4/25/2029
|
PLN | 1,430,000 | 486,331 | |||||
|
Republic of Poland:
|
||||||||
|
Zero Coupon, 1/25/2014 (a)
|
PLN | 8,750,000 | 2,590,681 | |||||
|
Zero Coupon, 7/25/2014 (a)
|
PLN | 3,000,000 | 871,658 | |||||
|
5.50%, 4/25/2015
|
PLN | 6,390,000 | 2,061,483 | |||||
|
5.50%, 10/25/2019
|
PLN | 3,900,000 | 1,294,704 | |||||
|
5.75%, 4/25/2014
|
PLN | 1,400,000 | 448,028 | |||||
|
6.25%, 10/24/2015
|
PLN | 3,000,000 | 993,117 | |||||
| 17,669,201 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
RUSSIA — 4.5%
|
||||||||
|
Russian Foreign Bond — Eurobond
7.85%, 3/10/2018 (b) |
RUB | 310,000,000 | $ | 10,655,823 | ||||
|
SOUTH AFRICA — 4.4%
|
||||||||
|
Republic of South Africa:
|
||||||||
|
7.50%, 1/15/2014
|
ZAR | 4,300,000 | 536,513 | |||||
|
8.25%, 9/15/2017
|
ZAR | 8,300,000 | 1,108,222 | |||||
|
8.75%, 12/21/2014
|
ZAR | 5,000,000 | 653,788 | |||||
|
13.50%, 9/15/2015
|
ZAR | 3,120,000 | 460,675 | |||||
|
South Africa Government Bond:
|
||||||||
|
6.25%, 3/31/2036
|
ZAR | 4,900,000 | 477,638 | |||||
|
6.50%, 2/28/2041
|
ZAR | 5,500,000 | 546,119 | |||||
|
6.75%, 3/31/2021
|
ZAR | 14,800,000 | 1,814,496 | |||||
|
7.00%, 2/28/2031
|
ZAR | 8,700,000 | 962,998 | |||||
|
7.25%, 1/15/2020
|
ZAR | 6,950,000 | 880,969 | |||||
|
7.75%, 2/28/2023
|
ZAR | 4,000,000 | 511,395 | |||||
|
8.00%, 12/21/2018
|
ZAR | 11,700,000 | 1,551,275 | |||||
|
10.50%, 12/21/2026
|
ZAR | 6,500,000 | 996,134 | |||||
| 10,500,222 | ||||||||
|
SOUTH KOREA — 12.5%
|
||||||||
|
Korea Treasury Bond:
|
||||||||
|
2.75%, 9/10/2017
|
KRW | 800,000,000 | 716,232 | |||||
|
3.00%, 12/10/2013
|
KRW | 2,420,000,000 | 2,181,921 | |||||
|
3.25%, 12/10/2014
|
KRW | 3,150,000,000 | 2,861,025 | |||||
|
3.50%, 6/10/2014
|
KRW | 3,710,000,000 | 3,374,913 | |||||
|
3.50%, 9/10/2016
|
KRW | 3,480,000,000 | 3,203,062 | |||||
|
3.75%, 6/10/2013
|
KRW | 1,580,000,000 | 1,430,472 | |||||
|
3.75%, 6/10/2022
|
KRW | 400,000,000 | 382,089 | |||||
|
4.00%, 3/10/2016
|
KRW | 1,000,000,000 | 932,840 | |||||
|
4.00%, 12/10/2031
|
KRW | 1,150,000,000 | 1,177,034 | |||||
|
4.25%, 9/10/2014
|
KRW | 530,000,000 | 489,796 | |||||
|
4.25%, 6/10/2021
|
KRW | 3,367,000,000 | 3,314,342 | |||||
|
4.50%, 3/10/2015
|
KRW | 600,000,000 | 561,151 | |||||
|
4.75%, 12/10/2030
|
KRW | 1,920,000,000 | 2,133,790 | |||||
|
5.00%, 6/10/2020
|
KRW | 1,850,000,000 | 1,893,797 | |||||
|
5.25%, 9/10/2015
|
KRW | 1,890,000,000 | 1,814,080 | |||||
|
5.50%, 12/10/2029
|
KRW | 280,000,000 | 333,934 | |||||
|
5.75%, 9/10/2018
|
KRW | 2,660,000,000 | 2,760,194 | |||||
| 29,560,672 | ||||||||
|
THAILAND — 4.5%
|
||||||||
|
Thailand Government Bond:
|
||||||||
|
2.80%, 10/10/2017
|
THB | 42,500,000 | 1,341,981 | |||||
|
3.13%, 12/11/2015
|
THB | 18,050,000 | 583,597 | |||||
|
3.25%, 6/16/2017
|
THB | 36,600,000 | 1,181,862 | |||||
|
3.45%, 3/8/2019
|
THB | 24,500,000 | 790,782 | |||||
|
3.58%, 12/17/2027
|
THB | 16,000,000 | 505,123 | |||||
|
3.63%, 5/22/2015
|
THB | 22,400,000 | 734,719 | |||||
|
3.65%, 12/17/2021
|
THB | 39,200,000 | 1,281,220 | |||||
|
3.65%, 6/20/2031
|
THB | 8,000,000 | 247,605 | |||||
|
3.78%, 6/25/2032
|
THB | 10,000,000 | 313,464 | |||||
|
3.85%, 12/12/2025
|
THB | 27,000,000 | 878,933 | |||||
|
3.88%, 6/13/2019
|
THB | 1,000,000 | 33,174 | |||||
|
4.13%, 11/18/2016
|
THB | 8,000,000 | 267,605 | |||||
|
4.75%, 12/20/2024
|
THB | 7,000,000 | 248,978 | |||||
|
4.88%, 6/22/2029
|
THB | 14,500,000 | 523,117 | |||||
|
5.13%, 3/13/2018
|
THB | 2,500,000 | 87,875 | |||||
|
5.25%, 5/12/2014
|
THB | 36,800,000 | 1,234,904 | |||||
|
5.40%, 7/27/2016
|
THB | 1,100,000 | 38,370 | |||||
|
5.67%, 3/13/2028
|
THB | 1,700,000 | 66,750 | |||||
|
5.85%, 3/31/2021
|
THB | 11,700,000 | 440,848 | |||||
| 10,800,907 | ||||||||
|
TURKEY — 4.5%
|
||||||||
|
Turkey Government Bond:
|
||||||||
|
8.00%, 10/9/2013
|
TRY | 1,930,000 | 1,082,374 | |||||
|
9.00%, 3/5/2014
|
TRY | 1,100,000 | 624,554 | |||||
|
9.00%, 1/27/2016
|
TRY | 1,860,000 | 1,078,336 | |||||
|
9.00%, 3/8/2017
|
TRY | 900,000 | 526,287 | |||||
|
9.50%, 1/12/2022
|
TRY | 2,000,000 | 1,207,953 | |||||
|
10.00%, 12/4/2013
|
TRY | 5,470,000 | 3,134,679 | |||||
|
10.00%, 6/17/2015
|
TRY | 3,500,000 | 2,067,136 | |||||
|
10.50%, 1/15/2020
|
TRY | 1,380,000 | 868,456 | |||||
| 10,589,775 | ||||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $225,978,734)
|
228,215,644 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 4.5%
|
||||||||
|
MONEY MARKET FUNDS — 4.5%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (c)(d) |
5,581,205 | 5,581,205 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (d)(e) |
4,931,619 | 4,931,619 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (f)
|
||||||||
|
(Cost $10,512,824)
|
10,512,824 | |||||||
|
TOTAL INVESTMENTS — 100.7% (g)
|
||||||||
|
(Cost $236,491,558)
|
238,728,468 | |||||||
|
OTHER ASSETS &
LIABILITIES — (0.7)% |
(1,564,137 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 237,164,331 | ||||||
|
(a)
|
Non-income producing security. | |||||
|
(b)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(c)
|
Investments of cash collateral for securities loaned. | |||||
|
(d)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(e)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(f)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(g)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Net Unrealized
|
||||||||||||||||||||
|
Value at
|
In Exchange
|
Appreciation/
|
||||||||||||||||||
|
Settlement Date
|
Contracts to Deliver
|
September 30, 2012
|
for U.S. $
|
(Depreciation)
|
Counterparty
|
|||||||||||||||
|
10/9/2012
|
260,000 | BRL | $ | 128,044 | $ | 127,395 | $ | 649 | UBS AG London | |||||||||||
|
10/9/2012
|
3,200,000 | EGP | 524,114 | 520,325 | 3,789 | UBS AG London | ||||||||||||||
|
10/9/2012
|
18,304,000 | EGP | 2,997,936 | 2,976,260 | 21,676 | UBS AG London | ||||||||||||||
|
10/9/2012
|
2,600,000 | EGP | 425,843 | 424,941 | 902 | UBS AG London | ||||||||||||||
|
10/9/2012
|
3,790,000 | RUB | 121,336 | 115,495 | 5,841 | UBS AG London | ||||||||||||||
|
11/8/2012
|
260,000 | BRL | 127,572 | 127,536 | 36 | UBS AG London | ||||||||||||||
|
11/8/2012
|
790,000 | EGP | 128,583 | 128,723 | (140 | ) | UBS AG London | |||||||||||||
|
11/8/2012
|
24,104,000 | EGP | 3,923,231 | 3,927,509 | (4,278 | ) | UBS AG London | |||||||||||||
|
11/8/2012
|
390,000 | RUB | 12,426 | 12,418 | 8 | UBS AG London | ||||||||||||||
| $ | 28,483 | |||||||||||||||||||
|
Net Unrealized
|
||||||||||||||||||||
|
Value at
|
In Exchange
|
Appreciation/
|
||||||||||||||||||
|
Settlement Date
|
Contracts to Deliver
|
September 30, 2012
|
for U.S. $
|
(Depreciation)
|
Counterparty
|
|||||||||||||||
|
10/9/2012
|
260,000 | BRL | $ | 128,044 | $ | 127,934 | $ | (110 | ) | UBS AG London | ||||||||||
|
10/9/2012
|
24,104,000 | EGP | 3,947,894 | 3,951,980 | 4,086 | UBS AG London | ||||||||||||||
|
10/9/2012
|
3,400,000 | RUB | 108,850 | 103,610 | (5,240 | ) | UBS AG London | |||||||||||||
|
10/9/2012
|
390,000 | RUB | 12,486 | 12,476 | (10 | ) | UBS AG London | |||||||||||||
| $ | (1,274 | ) | ||||||||||||||||||
| $ | 27,209 | |||||||||||||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 97.2%
|
||||||||
|
AEROSPACE & DEFENSE — 1.9%
|
||||||||
|
Aviation Capital Group Corp.
6.75%, 4/6/2021 (a) |
$ | 2,850,000 | $ | 2,905,290 | ||||
|
BE Aerospace, Inc.
5.25%, 4/1/2022 |
65,415,000 | 68,031,600 | ||||||
|
Bombardier, Inc.
7.75%, 3/15/2020 (a) |
42,973,000 | 49,311,517 | ||||||
|
Kratos Defense & Security Solutions, Inc.
10.00%, 6/1/2017 |
31,317,000 | 33,822,360 | ||||||
|
TransDigm, Inc.
7.75%, 12/15/2018 |
79,973,000 | 88,370,165 | ||||||
| 242,440,932 | ||||||||
|
AIRLINES — 0.6%
|
||||||||
|
Air Canada
9.25%, 8/1/2015 (a) |
29,830,000 | 31,023,200 | ||||||
|
Continental Airlines, Inc.
6.75%, 9/15/2015 (a) |
38,170,000 | 40,030,788 | ||||||
| 71,053,988 | ||||||||
|
AUTO COMPONENTS — 0.8%
|
||||||||
|
Continental Rubber of America Corp.
4.50%, 9/15/2019 (a) |
10,919,000 | 11,153,759 | ||||||
|
Exide Technologies
8.63%, 2/1/2018 |
33,842,000 | 29,315,632 | ||||||
|
The Goodyear Tire & Rubber Co.
8.25%, 8/15/2020 |
49,992,000 | 55,366,140 | ||||||
| 95,835,531 | ||||||||
|
AUTOMOBILES — 1.0%
|
||||||||
|
Chrysler Group LLC/CG, Inc.
8.25%, 6/15/2021 |
83,245,000 | 88,655,925 | ||||||
|
Navistar International Corp.
8.25%, 11/1/2021 |
45,111,000 | 42,799,061 | ||||||
| 131,454,986 | ||||||||
|
BEVERAGES — 0.3%
|
||||||||
|
Constellation Brands, Inc.
4.63%, 3/1/2023 |
32,483,000 | 33,132,660 | ||||||
|
BUILDING PRODUCTS — 1.3%
|
||||||||
|
Associated Materials LLC
9.13%, 11/1/2017 |
36,370,000 | 35,642,600 | ||||||
|
Building Materials Corp. of America
6.75%, 5/1/2021 (a) |
51,120,000 | 55,976,400 | ||||||
|
Ply Gem Industries, Inc.
8.25%, 2/15/2018 |
39,725,000 | 41,462,969 | ||||||
|
Texas Industries, Inc.
9.25%, 8/15/2020 |
32,153,000 | 34,082,180 | ||||||
| 167,164,149 | ||||||||
|
CAPITAL MARKETS — 1.2%
|
||||||||
|
PBF Holding Co. LLC/PBF Finance Corp.
8.25%, 2/15/2020 (a) |
33,390,000 | 35,059,500 | ||||||
|
Offshore Group Investments, Ltd.
11.50%, 8/1/2015 |
100,460,000 | 111,008,300 | ||||||
| 146,067,800 | ||||||||
|
CHEMICALS — 2.7%
|
||||||||
|
Celanese US Holdings LLC
6.63%, 10/15/2018 |
29,806,000 | 32,637,570 | ||||||
|
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC
8.88%, 2/1/2018 |
49,485,000 | 50,845,838 | ||||||
|
Ineos Finance PLC
8.38%, 2/15/2019 (a) |
50,700,000 | 53,361,750 | ||||||
|
LyondellBasell Industries NV
5.00%, 4/15/2019 |
99,327,000 | 105,534,937 | ||||||
|
Momentive Performance Materials, Inc.
9.00%, 1/15/2021 |
32,400,000 | 23,490,000 | ||||||
|
Rockwood Specialties Group, Inc.
4.63%, 10/15/2020 |
26,836,000 | 27,238,540 | ||||||
|
Tronox Finance LLC
6.38%, 8/15/2020 (a) |
46,298,000 | 46,760,980 | ||||||
| 339,869,615 | ||||||||
|
COMMERCIAL BANKS — 0.5%
|
||||||||
|
CIT Group, Inc.:
|
||||||||
|
4.25%, 8/15/2017
|
48,662,000 | 50,502,300 | ||||||
|
5.50%, 2/15/2019 (a)
|
12,500,000 | 13,531,250 | ||||||
| 64,033,550 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 3.2%
|
||||||||
|
ARAMARK Holdings Corp. PIK
8.63%, 5/1/2016 (a) |
30,407,000 | 31,167,479 | ||||||
|
Ceridian Corp.
8.88%, 7/15/2019 (a) |
37,000,000 | 39,960,000 | ||||||
|
Clean Harbors, Inc.
5.25%, 8/1/2020 (a) |
40,054,000 | 41,255,620 | ||||||
|
Interactive Data Corp.
10.25%, 8/1/2018 |
35,245,000 | 39,650,625 | ||||||
|
Iron Mountain, Inc.
5.75%, 8/15/2024 |
50,824,000 | 50,951,060 | ||||||
|
RR Donnelley & Sons Co.
7.25%, 5/15/2018 |
30,250,000 | 30,023,125 | ||||||
|
ServiceMaster Co.
7.00%, 8/15/2020 (a) |
37,643,000 | 38,584,075 | ||||||
|
The Hertz Corp.
6.75%, 4/15/2019 |
49,425,000 | 52,143,375 | ||||||
|
UR Financing Escrow Corp.
7.63%, 4/15/2022 (a) |
66,480,000 | 72,795,600 | ||||||
| 396,530,959 | ||||||||
|
COMPUTERS & PERIPHERALS — 2.0%
|
||||||||
|
Fidelity National Information Services, Inc.:
|
||||||||
|
5.00%, 3/15/2022
|
32,975,000 | 34,046,687 | ||||||
|
7.63%, 7/15/2017
|
7,000,000 | 7,665,000 | ||||||
|
iGate Corp.
9.00%, 5/1/2016 |
38,530,000 | 42,286,675 | ||||||
|
Infor US, Inc.
9.38%, 4/1/2019 (a) |
50,768,000 | 56,352,480 | ||||||
|
NCR Corp.
5.00%, 7/15/2022 (a) |
25,589,000 | 25,844,890 | ||||||
|
Seagate HDD Cayman
7.75%, 12/15/2018 |
36,717,000 | 40,572,285 | ||||||
|
SunGard Data Systems, Inc.
7.38%, 11/15/2018 |
45,518,000 | 48,818,055 | ||||||
| 255,586,072 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CONSTRUCTION MATERIALS — 0.3%
|
||||||||
|
Vulcan Materials Co.
7.50%, 6/15/2021 |
$ | 29,325,000 | $ | 33,137,250 | ||||
|
CONTAINERS & PACKAGING — 1.3%
|
||||||||
|
Ball Corp.
5.00%, 3/15/2022 |
37,705,000 | 39,495,988 | ||||||
|
Berry Plastics Corp.
9.75%, 1/15/2021 |
40,700,000 | 46,398,000 | ||||||
|
Crown Americas LLC/Crown Americas Capital Corp. III
6.25%, 2/1/2021 |
35,490,000 | 39,571,350 | ||||||
|
Sealed Air Corp.
8.38%, 9/15/2021 (a) |
38,432,000 | 43,043,840 | ||||||
| 168,509,178 | ||||||||
|
DISTRIBUTORS — 1.2%
|
||||||||
|
HD Supply, Inc.
8.13%, 4/15/2019 (a) |
63,069,000 | 68,429,865 | ||||||
|
McJunkin Red Man Corp.
9.50%, 12/15/2016 |
43,801,000 | 47,250,329 | ||||||
|
VWR Funding, Inc.
7.25%, 9/15/2017 (a) |
38,400,000 | 38,976,000 | ||||||
| 154,656,194 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 1.1%
|
||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds
Group Issuer Lu:
|
||||||||
|
5.75%, 10/15/2020 (a)
|
85,168,000 | 85,168,000 | ||||||
|
9.00%, 4/15/2019
|
17,830,000 | 18,186,600 | ||||||
|
9.88%, 8/15/2019
|
32,000,000 | 34,040,000 | ||||||
| 137,394,600 | ||||||||
|
DIVERSIFIED FINANCIAL SERVICES — 4.6%
|
||||||||
|
Ally Financial, Inc.
8.30%, 2/12/2015 |
98,318,000 | 108,887,185 | ||||||
|
Capital One Capital V
10.25%, 8/15/2039 |
37,780,000 | 38,913,400 | ||||||
|
Capital One Capital VI
8.88%, 5/15/2040 |
11,900,000 | 12,099,468 | ||||||
|
CEVA Group PLC
8.38%, 12/1/2017 (a) |
39,950,000 | 38,501,813 | ||||||
|
General Motors Financial Co., Inc.
4.75%, 8/15/2017 (a) |
49,666,000 | 50,923,046 | ||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
8.00%, 1/15/2018 |
106,239,000 | 113,941,327 | ||||||
|
International Lease Finance Corp.
8.75%, 3/15/2017 |
72,617,000 | 84,961,890 | ||||||
|
Nuveen Investments, Inc.
9.50%, 10/15/2020 (a) |
34,143,000 | 33,972,285 | ||||||
|
TransUnion LLC/TransUnion Financing Corp.
11.38%, 6/15/2018 |
31,958,000 | 37,630,545 | ||||||
|
UPCB Finance III, Ltd.
6.63%, 7/1/2020 (a) |
48,770,000 | 51,086,575 | ||||||
| 570,917,534 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 4.8%
|
||||||||
|
Cricket Communications, Inc.
7.75%, 10/15/2020 |
81,200,000 | 79,170,000 | ||||||
|
Frontier Communications Corp.
8.50%, 4/15/2020 |
53,585,000 | 60,551,050 | ||||||
|
Hughes Satellite Systems Corp.
6.50%, 6/15/2019 |
55,520,000 | 59,406,400 | ||||||
|
Inmarsat Finance PLC
7.38%, 12/1/2017 (a) |
42,825,000 | 46,251,000 | ||||||
|
Intelsat Jackson Holdings SA
7.25%, 4/1/2019 |
74,983,000 | 80,981,640 | ||||||
|
Level 3 Financing, Inc.
8.13%, 7/1/2019 |
59,285,000 | 62,990,312 | ||||||
|
SBA Telecommunications, Inc.
5.75%, 7/15/2020 (a) |
40,726,000 | 42,762,300 | ||||||
|
Telesat Canada/Telesat LLC
6.00%, 5/15/2017 (a) |
35,381,000 | 36,796,240 | ||||||
|
Virgin Media Finance PLC
8.38%, 10/15/2019 |
30,458,000 | 34,645,975 | ||||||
|
West Corp.
7.88%, 1/15/2019 |
32,665,000 | 33,644,950 | ||||||
|
Wind Acquisition Finance SA
7.25%, 2/15/2018 (a) |
68,000,000 | 64,600,000 | ||||||
| 601,799,867 | ||||||||
|
ELECTRIC UTILITIES — 3.8%
|
||||||||
|
Calpine Corp.
7.50%, 2/15/2021 (a) |
102,987,000 | 111,225,960 | ||||||
|
Dubai Electricity & Water Authority
7.38%, 10/21/2020 (a) |
30,275,000 | 35,391,475 | ||||||
|
EDP Finance BV
4.90%, 10/1/2019 (a) |
41,848,000 | 38,918,640 | ||||||
|
Energy Future Intermediate Holding Co. LLC/EFIH
Finance, Inc.
10.00%, 12/1/2020 |
111,792,000 | 125,766,000 | ||||||
|
GenOn Energy, Inc.
9.50%, 10/15/2018 |
33,830,000 | 38,397,050 | ||||||
|
NRG Energy, Inc.
7.88%, 5/15/2021 |
59,250,000 | 64,434,375 | ||||||
|
The AES Corp.
7.38%, 7/1/2021 |
49,974,000 | 56,970,360 | ||||||
| 471,103,860 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 1.4%
|
||||||||
|
Belden, Inc.
5.50%, 9/1/2022 (a) |
26,050,000 | 26,636,125 | ||||||
|
CDW LLC/CDW Finance Corp.
8.50%, 4/1/2019 |
65,144,000 | 70,844,100 | ||||||
|
General Cable Corp.
5.75%, 10/1/2022 (a) |
17,175,000 | 17,432,625 | ||||||
|
NXP BV/NXP Funding LLC, Series 1
9.75%, 8/1/2018 (a) |
49,345,000 | 56,746,750 | ||||||
| 171,659,600 | ||||||||
|
ENGINEERING & CONSTRUCTION — 0.2%
|
||||||||
|
Abengoa Finance SAU
8.88%, 11/1/2017 (a) |
33,245,000 | 30,751,625 | ||||||
|
FOOD PRODUCTS — 1.6%
|
||||||||
|
Del Monte Corp.
7.63%, 2/15/2019 |
64,955,000 | 66,822,456 | ||||||
|
JBS USA LLC/JBS USA Finance, Inc.
8.25%, 2/1/2020 (a) |
35,000,000 | 34,912,500 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Post Holdings, Inc.
7.38%, 2/15/2022 (a) |
$ | 38,200,000 | $ | 40,587,500 | ||||
|
Smithfield Foods, Inc.
6.63%, 8/15/2022 |
50,024,000 | 51,899,900 | ||||||
| 194,222,356 | ||||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.6%
|
||||||||
|
Biomet, Inc.
6.50%, 8/1/2020 (a) |
63,015,000 | 65,299,294 | ||||||
|
Hologic, Inc.
6.25%, 8/1/2020 (a) |
45,903,000 | 48,657,180 | ||||||
|
Kinetic Concepts, Inc.
10.50%, 11/1/2018 (a) |
87,310,000 | 92,330,325 | ||||||
| 206,286,799 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 5.6%
|
||||||||
|
Apria Healthcare Group, Inc.
11.25%, 11/1/2014 |
30,225,000 | 30,980,625 | ||||||
|
CHS/Community Health Systems, Inc.
8.00%, 11/15/2019 |
100,065,000 | 109,821,337 | ||||||
|
DaVita, Inc.:
|
||||||||
|
5.75%, 8/15/2022
|
55,192,000 | 57,399,680 | ||||||
|
6.63%, 11/1/2020
|
5,572,000 | 5,955,075 | ||||||
|
Emergency Medical Services Corp.
8.13%, 6/1/2019 |
48,267,000 | 51,163,020 | ||||||
|
Fresenius Medical Care US Finance II, Inc.
5.63%, 7/31/2019 (a) |
25,723,000 | 27,394,995 | ||||||
|
Fresenius Medical Care US Finance, Inc.
5.75%, 2/15/2021 (a) |
14,496,000 | 15,510,720 | ||||||
|
HCA, Inc.
6.50%, 2/15/2020 |
148,801,000 | 165,541,112 | ||||||
|
Health Management Association, Inc.
7.38%, 1/15/2020 |
42,755,000 | 46,389,175 | ||||||
|
IASIS Healthcare LLC/IASIS Capital Corp.
8.38%, 5/15/2019 |
45,250,000 | 43,213,750 | ||||||
|
Multiplan, Inc.
9.88%, 9/1/2018 (a) |
33,091,000 | 36,565,555 | ||||||
|
Tenet Healthcare Corp.
6.25%, 11/1/2018 |
45,955,000 | 50,665,388 | ||||||
|
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.
Series 1
8.00%, 2/1/2018 |
60,535,000 | 64,621,113 | ||||||
| 705,221,545 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 3.0%
|
||||||||
|
Ameristar Casinos, Inc.
7.50%, 4/15/2021 |
39,864,000 | 42,853,800 | ||||||
|
Burger King Corp.
9.88%, 10/15/2018 |
39,546,000 | 45,873,360 | ||||||
|
Caesars Entertainment Operating Co., Inc.
11.25%, 6/1/2017 |
104,233,000 | 112,050,475 | ||||||
|
CityCenter Holdings LLC/CityCenter Finance Corp.
7.63%, 1/15/2016 |
45,795,000 | 48,886,163 | ||||||
|
MGM Resorts International
7.75%, 3/15/2022 |
50,600,000 | 52,877,000 | ||||||
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
Series 1
7.75%, 8/15/2020 |
64,195,000 | 71,416,937 | ||||||
| 373,957,735 | ||||||||
|
HOUSEHOLD DURABLES — 1.0%
|
||||||||
|
K Hovnanian Enterprises, Inc.
10.63%, 10/15/2016 |
40,875,000 | 44,323,828 | ||||||
|
Shea Homes LP/Shea Homes Funding Corp.
8.63%, 5/15/2019 |
38,550,000 | 42,983,250 | ||||||
|
Spectrum Brands Holdings, Inc.
9.50%, 6/15/2018 |
38,053,000 | 42,904,758 | ||||||
| 130,211,836 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.5%
|
||||||||
|
RBS Global, Inc./Rexnord LLC
8.50%, 5/1/2018 |
55,890,000 | 61,618,725 | ||||||
|
INSURANCE — 0.1%
|
||||||||
|
Hub International, Ltd.
8.13%, 10/15/2018 (a) |
13,050,000 | 13,213,125 | ||||||
|
INTERNET SOFTWARE &
SERVICES — 0.7%
|
||||||||
|
Equinix, Inc.
8.13%, 3/1/2018 |
39,670,000 | 44,033,700 | ||||||
|
Zayo Group LLC/Zayo Capital, Inc.
8.13%, 1/1/2020 |
38,132,000 | 41,659,210 | ||||||
| 85,692,910 | ||||||||
|
IT SERVICES — 1.7%
|
||||||||
|
First Data Corp.
12.63%, 1/15/2021 |
148,942,000 | 154,341,148 | ||||||
|
GXS Worldwide, Inc.
9.75%, 6/15/2015 |
37,415,000 | 38,537,450 | ||||||
|
Lender Processing Services, Inc.
5.75%, 4/15/2023 |
18,700,000 | 18,700,000 | ||||||
| 211,578,598 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.0% (b)
|
||||||||
|
Sabre, Inc.
8.50%, 5/15/2019 (a) |
5,000,000 | 5,137,500 | ||||||
|
MACHINERY — 1.5%
|
||||||||
|
Case New Holland, Inc.
7.88%, 12/1/2017 |
75,278,000 | 88,263,455 | ||||||
|
Huntington Ingalls Industries, Inc.
7.13%, 3/15/2021 |
29,468,000 | 31,714,935 | ||||||
|
SPX Corp.
6.88%, 9/1/2017 |
29,469,000 | 32,931,607 | ||||||
|
The Manitowoc Co, Inc.
8.50%, 11/1/2020 |
30,085,000 | 33,657,594 | ||||||
| 186,567,591 | ||||||||
|
MEDIA — 9.1%
|
||||||||
|
AMC Entertainment, Inc.
9.75%, 12/1/2020 |
29,493,000 | 33,216,491 | ||||||
|
AMC Networks, Inc.
7.75%, 7/15/2021 |
35,128,000 | 39,694,640 | ||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp.
6.50%, 4/30/2021 |
74,571,000 | 79,790,970 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Cengage Learning Acquisitions, Inc.
11.50%, 4/15/2020 (a) |
$ | 37,000,000 | $ | 39,590,000 | ||||
|
Cequel Communications Holdings I LLC and Cequel
Capital Corp.
8.63%, 11/15/2017 (a) |
90,477,000 | 96,584,197 | ||||||
|
Clear Channel Communications, Inc.
9.00%, 3/1/2021 |
87,625,000 | 77,986,250 | ||||||
|
Clear Channel Worldwide Holdings, Inc.
9.25%, 12/15/2017 |
99,322,000 | 107,019,455 | ||||||
|
CSC Holdings LLC
6.75%, 11/15/2021 (a) |
49,685,000 | 54,777,712 | ||||||
|
Cumulus Media Holdings, Inc.
7.75%, 5/1/2019 |
31,245,000 | 30,385,763 | ||||||
|
DISH DBS Corp.
6.75%, 6/1/2021 |
98,534,000 | 107,402,060 | ||||||
|
Nara Cable Funding, Ltd.
8.88%, 12/1/2018 (a) |
50,610,000 | 46,181,625 | ||||||
|
Nielsen Finance LLC/Nielsen Finance Co.
7.75%, 10/15/2018 |
54,000,000 | 60,885,000 | ||||||
|
Sirius XM Radio, Inc.
8.75%, 4/1/2015 (a) |
40,245,000 | 45,778,688 | ||||||
|
The McClatchy Co.
11.50%, 2/15/2017 |
44,830,000 | 48,192,250 | ||||||
|
Unitymedia Hessen Gmbh & Co.
8.13%, 12/1/2017 (a) |
41,985,000 | 45,133,875 | ||||||
|
Univision Communications, Inc.
6.88%, 5/15/2019 (a) |
60,000,000 | 61,800,000 | ||||||
|
Videotron, Ltd.
5.00%, 7/15/2022 |
40,347,000 | 42,162,615 | ||||||
|
Visant Corp.
10.00%, 10/1/2017 |
37,438,000 | 37,063,620 | ||||||
|
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/2019 (a) |
37,293,000 | 39,344,115 | ||||||
|
WMG Acquisition Corp.
11.50%, 10/1/2018 |
35,500,000 | 39,937,500 | ||||||
| 1,132,926,826 | ||||||||
|
METALS & MINING — 3.3%
|
||||||||
|
FMG Resources August 2006 Pty, Ltd.
7.00%, 11/1/2015 (a) |
100,905,000 | 100,400,475 | ||||||
|
IAMGOLD Corp.
6.75%, 10/1/2020 (a) |
5,000,000 | 4,900,000 | ||||||
|
Inmet Mining Corp.
8.75%, 6/1/2020 (a) |
74,643,000 | 77,255,505 | ||||||
|
JMC Steel Group
8.25%, 3/15/2018 (a) |
44,668,000 | 45,561,360 | ||||||
|
Molycorp, Inc.
10.00%, 6/1/2020 (a) |
33,000,000 | 32,670,000 | ||||||
|
Novelis, Inc.
8.75%, 12/15/2020 |
69,843,000 | 77,351,122 | ||||||
|
Ryerson, Inc./Joseph T Ryerson & Son, Inc.
9.00%, 10/15/2017 |
12,225,000 | 12,500,063 | ||||||
|
Schaeffler Finance BV
7.75%, 2/15/2017 (a) |
28,791,000 | 31,814,055 | ||||||
|
United States Steel Corp.
7.38%, 4/1/2020 |
28,218,000 | 28,076,910 | ||||||
| 410,529,490 | ||||||||
|
MULTILINE RETAIL — 0.4%
|
||||||||
|
Sears Holdings Corp.
6.63%, 10/15/2018 |
48,420,000 | 45,151,650 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 15.1%
|
||||||||
|
Alpha Natural Resources, Inc.
6.00%, 6/1/2019 |
43,714,000 | 36,501,190 | ||||||
|
Arch Coal, Inc.
7.25%, 6/15/2021 |
51,036,000 | 42,615,060 | ||||||
|
Berry Petroleum Co.
6.38%, 9/15/2022 |
30,385,000 | 32,056,175 | ||||||
|
Carrizo Oil & Gas, Inc.
8.63%, 10/15/2018 |
29,645,000 | 31,794,262 | ||||||
|
Chesapeake Energy Corp.:
|
||||||||
|
6.63%, 8/15/2020
|
37,431,000 | 38,600,719 | ||||||
|
6.78%, 3/15/2019
|
25,750,000 | 25,814,375 | ||||||
|
Cie Generale de Geophysique — Veritas
6.50%, 6/1/2021 |
30,075,000 | 30,977,250 | ||||||
|
Cimarex Energy Co.
5.88%, 5/1/2022 |
37,500,000 | 39,562,500 | ||||||
|
Concho Resources, Inc.:
|
||||||||
|
5.50%, 4/1/2023
|
22,800,000 | 23,826,000 | ||||||
|
7.00%, 1/15/2021
|
13,391,000 | 14,997,920 | ||||||
|
Consol Energy, Inc.
8.00%, 4/1/2017 |
74,051,000 | 77,383,295 | ||||||
|
Continental Resources, Inc.:
|
||||||||
|
5.00%, 9/15/2022 (a)
|
24,500,000 | 25,602,500 | ||||||
|
5.00%, 9/15/2022
|
35,350,000 | 36,852,375 | ||||||
|
Crosstex Energy LP/Crosstex Energy Finance Corp.
8.88%, 2/15/2018 |
35,543,000 | 38,031,010 | ||||||
|
Denbury Resources, Inc.
8.25%, 2/15/2020 |
49,999,000 | 56,373,872 | ||||||
|
Drill Rigs Holdings, Inc.
6.50%, 10/1/2017 (a) |
22,629,000 | 22,487,569 | ||||||
|
Energy Transfer Equity LP
7.50%, 10/15/2020 |
89,064,000 | 101,087,640 | ||||||
|
Energy XXI Gulf Coast, Inc.
9.25%, 12/15/2017 |
37,960,000 | 42,610,100 | ||||||
|
EP Energy LLC/EP Energy Finance, Inc.
9.38%, 5/1/2020 (a) |
100,500,000 | 109,545,000 | ||||||
|
EXCO Resources, Inc.
7.50%, 9/15/2018 |
41,375,000 | 38,685,625 | ||||||
|
Expro Finance Luxembourg SCA
8.50%, 12/15/2016 (a) |
48,937,000 | 50,405,110 | ||||||
|
Halcon Resources Corp.
9.75%, 7/15/2020 (a) |
38,253,000 | 39,113,692 | ||||||
|
Kodiak Oil & Gas Corp.
8.13%, 12/1/2019 (a) |
39,880,000 | 42,272,800 | ||||||
|
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/1/2019 (a) |
90,210,000 | 89,758,950 | ||||||
|
MEG Energy Corp.
6.38%, 1/30/2023 (a) |
39,658,000 | 42,334,915 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Midstates Petroleum Co., Inc./Midstates Petroleum
Co. LLC
10.75%, 10/1/2020 (a) |
$ | 20,295,000 | $ | 21,157,538 | ||||
|
Murray Energy Corp.
10.25%, 10/15/2015 (a) |
35,190,000 | 34,486,200 | ||||||
|
Newfield Exploration Co.:
|
||||||||
|
5.63%, 7/1/2024
|
26,700,000 | 29,637,000 | ||||||
|
5.75%, 1/30/2022
|
23,636,000 | 26,413,230 | ||||||
|
Oil States International, Inc.
6.50%, 6/1/2019 |
28,835,000 | 30,637,188 | ||||||
|
Peabody Energy Corp.
6.00%, 11/15/2018 (a) |
78,035,000 | 78,035,000 | ||||||
|
Penn Virginia Resource Partners LP/Penn Virginia Resource
Finance Corp. II
8.38%, 6/1/2020 (a) |
29,970,000 | 30,944,025 | ||||||
|
PetroBakken Energy Ltd.
8.63%, 2/1/2020 (a) |
45,525,000 | 47,346,000 | ||||||
|
Plains Exploration & Production Co.:
|
||||||||
|
6.63%, 5/1/2021
|
6,889,000 | 6,992,335 | ||||||
|
6.75%, 2/1/2022
|
46,645,000 | 47,344,675 | ||||||
|
Precision Drilling Corp.
6.63%, 11/15/2020 |
30,472,000 | 32,452,680 | ||||||
|
QEP Resources, Inc.:
|
||||||||
|
5.25%, 5/1/2023
|
5,728,000 | 5,856,880 | ||||||
|
6.88%, 3/1/2021
|
24,522,000 | 27,709,860 | ||||||
|
Range Resources Corp.
5.00%, 8/15/2022 |
30,945,000 | 32,646,975 | ||||||
|
Samson Investment Co.
9.75%, 2/15/2020 (a) |
115,850,000 | 119,325,500 | ||||||
|
SandRidge Energy, Inc.
7.50%, 3/15/2021 |
44,275,000 | 45,603,250 | ||||||
|
SESI LLC
7.13%, 12/15/2021 |
39,992,000 | 44,191,160 | ||||||
|
W&T Offshore, Inc.
8.50%, 6/15/2019 |
33,765,000 | 36,803,850 | ||||||
|
WPX Energy, Inc.
6.00%, 1/15/2022 |
54,385,000 | 58,463,875 | ||||||
| 1,885,337,125 | ||||||||
|
PHARMACEUTICALS — 2.7%
|
||||||||
|
ConvaTec Healthcare E SA
10.50%, 12/15/2018 (a) |
37,830,000 | 41,045,550 | ||||||
|
Grifols, Inc.
8.25%, 2/1/2018 |
55,006,000 | 60,781,630 | ||||||
|
Mylan, Inc.
7.88%, 7/15/2020 (a) |
50,010,000 | 56,136,225 | ||||||
|
NBTY, Inc.
9.00%, 10/1/2018 |
32,985,000 | 36,695,812 | ||||||
|
Valeant Pharmaceuticals International
6.88%, 12/1/2018 (a) |
50,712,000 | 53,374,380 | ||||||
|
VPI Escrow Corp.
6.38%, 10/15/2020 (a) |
20,480,000 | 20,889,600 | ||||||
|
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC,
Series 1
7.75%, 9/15/2018 |
63,960,000 | 68,277,300 | ||||||
| 337,200,497 | ||||||||
|
PIPELINES — 1.5%
|
||||||||
|
Chesapeake Midstream Partners LP/CHKM Finance Corp.
6.13%, 7/15/2022 |
37,600,000 | 39,762,000 | ||||||
|
Kinder Morgan Finance Co. LLC
6.00%, 1/15/2018 (a) |
36,651,000 | 39,723,453 | ||||||
|
MarkWest Energy Partners LP/MarkWest Energy
Finance Corp.
5.50%, 2/15/2023 |
37,626,000 | 39,413,235 | ||||||
|
Regency Energy Partners LP/Regency Energy Finance Corp.
6.88%, 12/1/2018 |
29,719,000 | 31,725,033 | ||||||
|
Rockies Express Pipeline LLC
5.63%, 4/15/2020 (a) |
37,700,000 | 35,815,000 | ||||||
| 186,438,721 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 0.8%
|
||||||||
|
Evergrande Real Estate Group, Ltd.
13.00%, 1/27/2015 (a) |
69,725,000 | 70,509,406 | ||||||
|
The Rouse Co. LP
6.75%, 11/9/2015 |
30,685,000 | 32,372,675 | ||||||
| 102,882,081 | ||||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 1.7%
|
||||||||
|
Agile Property Holdings, Ltd.
8.88%, 4/28/2017 (a) |
33,325,000 | 33,574,938 | ||||||
|
Country Garden Holdings Co.
11.13%, 2/23/2018 (a) |
47,772,000 | 51,952,050 | ||||||
|
Kaisa Group Holdings, Ltd.
13.50%, 4/28/2015 (a) |
29,790,000 | 30,981,600 | ||||||
|
Longfor Properties Co., Ltd.
9.50%, 4/7/2016 (a) |
38,950,000 | 41,676,500 | ||||||
|
Realogy Corp., Series 1
7.88%, 2/15/2019 (a) |
35,815,000 | 37,605,750 | ||||||
|
Renhe Commercial Holdings Co., Ltd.
13.00%, 3/10/2016 (a) |
28,306,000 | 14,153,000 | ||||||
| 209,943,838 | ||||||||
|
ROAD & RAIL — 0.5%
|
||||||||
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
8.25%, 1/15/2019 |
2,000,000 | 2,177,500 | ||||||
|
CHC Helicopter SA
9.25%, 10/15/2020 |
55,200,000 | 56,718,000 | ||||||
| 58,895,500 | ||||||||
|
SEMICONDUCTORS — 1.1%
|
||||||||
|
Freescale Semiconductor, Inc.
Series 1 9.25%, 4/15/2018 (a) |
67,731,000 | 73,657,463 | ||||||
|
Sensata Technologies BV
6.50%, 5/15/2019 (a) |
33,690,000 | 35,964,075 | ||||||
|
STATS ChipPAC, Ltd.
7.50%, 8/12/2015 (a) |
30,335,000 | 31,700,075 | ||||||
| 141,321,613 | ||||||||
|
SOFTWARE — 0.7%
|
||||||||
|
Audatex North America, Inc.
6.75%, 6/15/2018 (a) |
41,955,000 | 44,786,962 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Nuance Communications, Inc.
5.38%, 8/15/2020 (a) |
$ | 36,763,000 | $ | 37,957,798 | ||||
| 82,744,760 | ||||||||
|
SPECIALTY RETAIL — 3.6%
|
||||||||
|
AmeriGas Finance LLC/AmeriGas Finance Corp.
7.00%, 5/20/2022 |
50,225,000 | 54,117,437 | ||||||
|
Best Buy Co., Inc.
5.50%, 3/15/2021 |
28,039,000 | 26,380,774 | ||||||
|
Claire’s Stores, Inc.
9.00%, 3/15/2019 (a) |
27,650,000 | 28,686,875 | ||||||
|
DineEquity, Inc.
9.50%, 10/30/2018 |
38,317,000 | 43,202,417 | ||||||
|
Ltd Brands, Inc.
6.63%, 4/1/2021 |
49,690,000 | 56,398,150 | ||||||
|
Michaels Stores, Inc.
7.75%, 11/1/2018 |
38,740,000 | 41,548,650 | ||||||
|
Party City Holdings, Inc.
8.88%, 8/1/2020 (a) |
34,919,000 | 37,188,735 | ||||||
|
Phillips-Van
Heusen Corp.
7.38%, 5/15/2020 |
30,111,000 | 34,025,430 | ||||||
|
Rite Aid Corp.
9.25%, 3/15/2020 |
45,346,000 | 46,479,650 | ||||||
|
Sally Holdings LLC/Sally Capital, Inc.:
|
||||||||
|
5.75%, 6/1/2022
|
2,950,000 | 3,141,750 | ||||||
|
6.88%, 11/15/2019
|
37,505,000 | 41,724,313 | ||||||
|
Toys R Us Property Co. II LLC
8.50%, 12/1/2017 |
35,900,000 | 38,682,250 | ||||||
| 451,576,431 | ||||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.4%
|
||||||||
|
Hanesbrands, Inc.
6.38%, 12/15/2020 |
49,369,000 | 53,565,365 | ||||||
|
TOBACCO — 0.3%
|
||||||||
|
Alliance One International, Inc.
10.00%, 7/15/2016 |
31,292,000 | 32,387,220 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 4.5%
|
||||||||
|
Avaya, Inc.
7.00%, 4/1/2019 (a) |
51,333,000 | 47,739,690 | ||||||
|
Cincinnati Bell, Inc.
8.38%, 10/15/2020 |
39,100,000 | 42,032,500 | ||||||
|
Clearwire Communications LLC/Clearwire Finance, Inc.
12.00%, 12/1/2015 (a) |
101,060,000 | 100,049,400 | ||||||
|
CommScope, Inc.
8.25%, 1/15/2019 (a) |
73,915,000 | 79,828,200 | ||||||
|
MetroPCS Wireless, Inc.
7.88%, 9/1/2018 |
49,925,000 | 53,919,000 | ||||||
|
Sprint Nextel Corp.
9.00%, 11/15/2018 (a) |
146,035,000 | 175,242,000 | ||||||
|
Windstream Corp.
7.88%, 11/1/2017 |
54,335,000 | 60,719,362 | ||||||
| 559,530,152 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $11,836,591,511)
|
12,147,239,939 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 0.5%
|
||||||||
|
MONEY MARKET FUND — 0.5%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d)(e) (Cost $67,386,117) |
67,386,117 | 67,386,117 | ||||||
|
TOTAL INVESTMENTS — 97.7% (f)
|
||||||||
|
(Cost $11,903,977,628)
|
12,214,626,056 | |||||||
|
OTHER ASSETS &
LIABILITIES — 2.3% |
290,192,995 | |||||||
|
NET ASSETS — 100.0%
|
$ | 12,504,819,051 | ||||||
|
(a)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 37.1% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(b)
|
Amount shown represents less than 0.05% of net assets. | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 96.1%
|
||||||||
|
AEROSPACE & DEFENSE — 0.6%
|
||||||||
|
GeoEye, Inc.
9.63%, 10/1/2015 |
$ | 500,000 | $ | 557,500 | ||||
|
Kratos Defense & Security Solutions, Inc.
10.00%, 6/1/2017 |
750,000 | 810,000 | ||||||
|
Sequa Corp.
11.75%, 12/1/2015 (a) |
500,000 | 525,000 | ||||||
| 1,892,500 | ||||||||
|
AIRLINES — 1.0%
|
||||||||
|
Air Canada
9.25%, 8/1/2015 (a) |
750,000 | 780,000 | ||||||
|
Continental Airlines, Inc.
6.75%, 9/15/2015 (a) |
1,450,000 | 1,520,688 | ||||||
|
Delta Air Lines, Inc.
9.50%, 9/15/2014 (a) |
750,000 | 787,500 | ||||||
|
United Air Lines, Inc.
9.88%, 8/1/2013 (a) |
224,000 | 229,040 | ||||||
| 3,317,228 | ||||||||
|
AUTO COMPONENTS — 0.7%
|
||||||||
|
Affinia Group, Inc.
9.00%, 11/30/2014 |
250,000 | 251,250 | ||||||
|
American Axle & Manufacturing Holdings, Inc.
9.25%, 1/15/2017 (a) |
500,000 | 558,750 | ||||||
|
Tower Automotive Holdings USA LLC/TA Holdings
Finance, Inc.
10.63%, 9/1/2017 (a) |
158,000 | 170,245 | ||||||
|
TRW Automotive, Inc.:
|
||||||||
|
7.00%, 3/15/2014 (a)
|
500,000 | 532,500 | ||||||
|
7.25%, 3/15/2017 (a)
|
500,000 | 571,250 | ||||||
| 2,083,995 | ||||||||
|
AUTOMOBILES — 0.1%
|
||||||||
|
Hyva Global BV
8.63%, 3/24/2016 (a) |
250,000 | 223,750 | ||||||
|
BEVERAGES — 1.2%
|
||||||||
|
CEDC Finance Corp. International, Inc.
9.13%, 12/1/2016 (a) |
500,000 | 343,750 | ||||||
|
Constellation Brands, Inc.:
|
||||||||
|
7.25%, 5/15/2017
|
2,250,000 | 2,626,875 | ||||||
|
8.38%, 12/15/2014
|
625,000 | 708,594 | ||||||
| 3,679,219 | ||||||||
|
BUILDING PRODUCTS — 2.3%
|
||||||||
|
China Shanshui Cement Group, Ltd.
8.50%, 5/25/2016 (a) |
750,000 | 757,500 | ||||||
|
Euramax International, Inc.
9.50%, 4/1/2016 |
250,000 | 228,750 | ||||||
|
Hanson Australia Funding, Ltd.
5.25%, 3/15/2013 |
750,000 | 763,148 | ||||||
|
Hanson PLC
6.13%, 8/15/2016 |
650,000 | 702,000 | ||||||
|
Lafarge SA
6.50%, 7/15/2016 |
1,721,000 | 1,897,402 | ||||||
|
Masco Corp.:
|
||||||||
|
4.80%, 6/15/2015
|
1,250,000 | 1,316,595 | ||||||
|
6.13%, 10/3/2016
|
1,066,000 | 1,173,283 | ||||||
|
USG Corp.
6.30%, 11/15/2016 |
575,000 | 580,750 | ||||||
| 7,419,428 | ||||||||
|
CAPITAL MARKETS — 1.0%
|
||||||||
|
E*TRADE Financial Corp.
6.75%, 6/1/2016 |
500,000 | 526,250 | ||||||
|
Offshore Group Investments, Ltd.
11.50%, 8/1/2015 |
2,500,000 | 2,762,500 | ||||||
| 3,288,750 | ||||||||
|
CHEMICALS — 1.7%
|
||||||||
|
Georgia Gulf Corp.
9.00%, 1/15/2017 (a) |
1,000,000 | 1,117,500 | ||||||
|
Huntsman International LLC
5.50%, 6/30/2016 |
825,000 | 829,125 | ||||||
|
Ineos Finance PLC
9.00%, 5/15/2015 (a) |
935,000 | 988,763 | ||||||
|
Ineos Group Holdings, Ltd.
8.50%, 2/15/2016 (a) |
750,000 | 708,750 | ||||||
|
MacDermid, Inc.
9.50%, 4/15/2017 (a) |
1,250,000 | 1,304,687 | ||||||
|
Momentive Performance Materials, Inc.
11.50%, 12/1/2016 |
500,000 | 281,250 | ||||||
| 5,230,075 | ||||||||
|
COMMERCIAL BANKS — 3.7%
|
||||||||
|
CIT Group, Inc.:
|
||||||||
|
4.25%, 8/15/2017
|
1,788,000 | 1,855,619 | ||||||
|
4.75%, 2/15/2015 (a)
|
1,771,000 | 1,846,267 | ||||||
|
5.00%, 5/15/2017
|
1,500,000 | 1,601,250 | ||||||
|
5.25%, 4/1/2014 (a)
|
1,000,000 | 1,042,500 | ||||||
|
Dresdner Bank AG/New York NY
7.25%, 9/15/2015 |
1,500,000 | 1,588,164 | ||||||
|
Royal Bank of Scotland Group PLC:
|
||||||||
|
5.00%, 11/12/2013
|
250,000 | 255,075 | ||||||
|
5.00%, 10/1/2014
|
2,900,000 | 2,986,481 | ||||||
|
Synovus Financial Corp.
5.13%, 6/15/2017 |
500,000 | 487,500 | ||||||
| 11,662,856 | ||||||||
|
COMMERCIAL SERVICES — 2.1%
|
||||||||
|
Ceridian Corp.:
|
||||||||
|
11.25%, 11/15/2015
|
1,750,000 | 1,723,750 | ||||||
|
12.25%, 11/15/2015
|
500,000 | 497,500 | ||||||
|
National Money Mart Co.
10.38%, 12/15/2016 |
1,500,000 | 1,676,250 | ||||||
|
PHH Corp.
9.25%, 3/1/2016 |
750,000 | 860,625 | ||||||
|
RR Donnelley & Sons Co.:
|
||||||||
|
6.13%, 1/15/2017
|
1,000,000 | 985,000 | ||||||
|
8.60%, 8/15/2016
|
750,000 | 813,750 | ||||||
| 6,556,875 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 1.9%
|
||||||||
|
ARAMARK Corp.
8.50%, 2/1/2015 |
1,500,000 | 1,535,640 | ||||||
|
ARAMARK Holdings Corp. PIK
8.63%, 5/1/2016 (a) |
1,250,000 | 1,281,262 | ||||||
|
Corrections Corp. of America
7.75%, 6/1/2017 |
1,000,000 | 1,072,500 | ||||||
|
DynCorp International, Inc.
10.38%, 7/1/2017 |
625,000 | 539,062 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Education Management LLC/Education Management
Finance Corp.
8.75%, 6/1/2014 |
$ | 625,000 | $ | 492,188 | ||||
|
UR Merger Sub Corp.
10.88%, 6/15/2016 |
1,000,000 | 1,112,500 | ||||||
| 6,033,152 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.2%
|
||||||||
|
Fidelity National Information Services, Inc.
7.63%, 7/15/2017 |
900,000 | 985,500 | ||||||
|
iGate Corp.
9.00%, 5/1/2016 |
725,000 | 795,688 | ||||||
|
Seagate Technology HDD Holdings
6.80%, 10/1/2016 |
750,000 | 830,625 | ||||||
|
SunGard Data Systems, Inc.
10.25%, 8/15/2015 |
1,074,000 | 1,100,850 | ||||||
| 3,712,663 | ||||||||
|
CONSTRUCTION MATERIALS — 0.1%
|
||||||||
|
West China Cement, Ltd.
7.50%, 1/25/2016 (a) |
250,000 | 221,875 | ||||||
|
CONTAINERS & PACKAGING — 1.6%
|
||||||||
|
Ball Corp.
7.13%, 9/1/2016 |
500,000 | 541,250 | ||||||
|
Berry Plastics Corp.
8.25%, 11/15/2015 |
450,000 | 470,813 | ||||||
|
Crown Americas LLC/Crown Americas Capital Corp. III
7.63%, 5/15/2017 |
850,000 | 909,500 | ||||||
|
Graphic Packaging International, Inc.
9.50%, 6/15/2017 |
576,000 | 630,720 | ||||||
|
Owens-Brockway
Glass Container, Inc.
7.38%, 5/15/2016 |
560,000 | 642,600 | ||||||
|
Packaging Dynamics Corp.
8.75%, 2/1/2016 (a) |
500,000 | 527,500 | ||||||
|
Sealed Air Corp.:
|
||||||||
|
5.63%, 7/15/2013 (a)
|
250,000 | 256,250 | ||||||
|
7.88%, 6/15/2017
|
875,000 | 936,250 | ||||||
| 4,914,883 | ||||||||
|
DISTRIBUTORS — 0.8%
|
||||||||
|
McJunkin Red Man Corp.
9.50%, 12/15/2016 |
1,500,000 | 1,618,125 | ||||||
|
VWR Funding, Inc.
7.25%, 9/15/2017 (a) |
1,000,000 | 1,015,000 | ||||||
| 2,633,125 | ||||||||
|
DIVERSIFIED CONSUMER SERVICES — 0.6%
|
||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds
Group Issuer LU
7.75%, 10/15/2016 |
1,750,000 | 1,824,375 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 8.2%
|
||||||||
|
Air Lease Corp.:
|
||||||||
|
4.50%, 1/15/2016 (a)
|
1,000,000 | 1,000,000 | ||||||
|
5.63%, 4/1/2017 (a)
|
1,250,000 | 1,275,000 | ||||||
|
Aircastle, Ltd.
6.75%, 4/15/2017 |
1,000,000 | 1,077,500 | ||||||
|
Ally Financial, Inc.:
|
||||||||
|
4.50%, 2/11/2014
|
2,073,000 | 2,119,642 | ||||||
|
4.63%, 6/26/2015
|
500,000 | 512,749 | ||||||
|
5.50%, 2/15/2017
|
1,500,000 | 1,567,924 | ||||||
|
8.30%, 2/12/2015
|
1,875,000 | 2,076,562 | ||||||
|
CNH Capital LLC
6.25%, 11/1/2016 (a) |
250,000 | 271,563 | ||||||
|
Credit Acceptance Corp.
9.13%, 2/1/2017 |
250,000 | 275,625 | ||||||
|
General Motors Financial Co., Inc.
4.75%, 8/15/2017 (a) |
1,485,000 | 1,522,585 | ||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
7.75%, 1/15/2016 |
1,500,000 | 1,563,750 | ||||||
|
International Lease Finance Corp.:
|
||||||||
|
4.88%, 4/1/2015
|
750,000 | 779,559 | ||||||
|
5.63%, 9/20/2013
|
750,000 | 773,438 | ||||||
|
5.75%, 5/15/2016
|
750,000 | 795,182 | ||||||
|
6.38%, 3/25/2013
|
1,250,000 | 1,275,000 | ||||||
|
8.63%, 9/15/2015
|
750,000 | 854,062 | ||||||
|
8.75%, 3/15/2017
|
1,500,000 | 1,755,000 | ||||||
|
Leucadia National Corp.
8.13%, 9/15/2015 |
750,000 | 845,625 | ||||||
|
Nuveen Investments, Inc.
9.13%, 10/15/2017 (a) |
1,900,000 | 1,885,750 | ||||||
|
Springleaf Finance Corp.:
|
||||||||
|
5.75%, 9/15/2016
|
2,000,000 | 1,726,240 | ||||||
|
5.85%, 6/1/2013
|
2,000,000 | 1,990,000 | ||||||
| 25,942,756 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 8.0%
|
||||||||
|
Brightstar Corp.
9.50%, 12/1/2016 (a) |
500,000 | 536,875 | ||||||
|
Cricket Communications, Inc.
7.75%, 5/15/2016 |
1,665,000 | 1,756,575 | ||||||
|
Frontier Communications Corp.:
|
||||||||
|
6.25%, 1/15/2013
|
2,025,000 | 2,050,312 | ||||||
|
8.25%, 4/15/2017
|
1,375,000 | 1,560,625 | ||||||
|
Integra Telecom Holdings, Inc.
10.75%, 4/15/2016 (a) |
750,000 | 766,875 | ||||||
|
Intelsat Jackson Holdings SA
11.25%, 6/15/2016 |
395,000 | 412,281 | ||||||
|
Intelsat Luxembourg SA
11.25%, 2/4/2017 |
4,500,000 | 4,758,750 | ||||||
|
PAETEC Holding Corp.
8.88%, 6/30/2017 |
1,500,000 | 1,627,500 | ||||||
|
Sable International Finance, Ltd.
7.75%, 2/15/2017 (a) |
750,000 | 789,375 | ||||||
|
Sprint Nextel Corp.
9.13%, 3/1/2017 |
3,500,000 | 3,963,750 | ||||||
|
Telesat Canada/Telesat LLC
6.00%, 5/15/2017 (a) |
1,583,000 | 1,646,320 | ||||||
|
Trilogy International Partners LLC/Trilogy International
Finance, Inc.
10.25%, 8/15/2016 (a)(b) |
250,000 | 203,750 | ||||||
|
Virgin Media Finance PLC
9.50%, 8/15/2016 |
1,375,000 | 1,522,813 | ||||||
|
West Corp.
11.00%, 10/15/2016 |
585,000 | 608,400 | ||||||
|
Wind Acquisition Finance SA
11.75%, 7/15/2017 (a) |
3,100,000 | 2,921,750 | ||||||
| 25,125,951 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
ELECTRIC UTILITIES — 3.8%
|
||||||||
|
Calpine Construction Finance Co. LP/CCFC Finance Corp.
8.00%, 6/1/2016 (a) |
$ | 1,250,000 | $ | 1,343,750 | ||||
|
DPL, Inc.
6.50%, 10/15/2016 (a) |
1,250,000 | 1,371,875 | ||||||
|
Edison Mission Energy
7.00%, 5/15/2017 |
1,750,000 | 905,625 | ||||||
|
EDP Finance BV
5.38%, 11/2/2012 (a) |
1,500,000 | 1,503,643 | ||||||
|
GenOn Energy, Inc.
7.63%, 6/15/2014 |
975,000 | 1,040,813 | ||||||
|
Intergen NV
9.00%, 6/30/2017 (a) |
1,500,000 | 1,443,750 | ||||||
|
RRI Energy, Inc.
7.88%, 6/15/2017 |
1,125,000 | 1,198,125 | ||||||
|
Texas Competitive Electric Holdings Co. LLC
10.25%, 11/1/2015 |
2,000,000 | 540,000 | ||||||
|
Texas Competitive Electric Holdings Co. LLC/TCEH
Finance, Inc.
10.25%, 11/1/2015 |
1,500,000 | 390,000 | ||||||
|
The AES Corp.:
|
||||||||
|
7.75%, 3/1/2014
|
625,000 | 671,875 | ||||||
|
9.75%, 4/15/2016
|
1,250,000 | 1,493,750 | ||||||
| 11,903,206 | ||||||||
|
ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS — 0.2%
|
||||||||
|
WireCo WorldGroup, Inc.
9.50%, 5/15/2017 |
550,000 | 588,500 | ||||||
|
ENERGY EQUIPMENT &
SERVICES — 0.3%
|
||||||||
|
Bristow Group, Inc.
7.50%, 9/15/2017 |
1,000,000 | 1,041,500 | ||||||
|
FOOD PRODUCTS — 1.6%
|
||||||||
|
Dean Foods Co.
7.00%, 6/1/2016 |
653,000 | 705,240 | ||||||
|
Harbinger Group, Inc.
10.63%, 11/15/2015 |
250,000 | 267,813 | ||||||
|
Ingles Markets, Inc.
8.88%, 5/15/2017 |
725,000 | 781,187 | ||||||
|
JBS USA LLC/JBS USA Finance, Inc.
11.63%, 5/1/2014 |
850,000 | 954,125 | ||||||
|
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.:
|
||||||||
|
8.25%, 9/1/2017
|
500,000 | 541,875 | ||||||
|
9.25%, 4/1/2015
|
571,000 | 583,848 | ||||||
|
Smithfield Foods, Inc.
7.75%, 7/1/2017 |
1,000,000 | 1,125,000 | ||||||
| 4,959,088 | ||||||||
|
GAS UTILITIES — 0.2%
|
||||||||
|
Sabine Pass LNG LP
7.25%, 11/30/2013 |
500,000 | 532,500 | ||||||
|
HEALTH CARE EQUIPMENT &
SUPPLIES — 1.0%
|
||||||||
|
Accellent, Inc.
8.38%, 2/1/2017 |
500,000 | 513,750 | ||||||
|
Alere, Inc.
9.00%, 5/15/2016 |
590,000 | 629,825 | ||||||
|
Bausch & Lomb, Inc.
9.88%, 11/1/2015 |
650,000 | 668,688 | ||||||
|
DJO Finance LLC/DJO Finance Corp.
10.88%, 11/15/2014 |
500,000 | 517,500 | ||||||
|
Fresenius US Finance II, Inc.
9.00%, 7/15/2015 (a) |
750,000 | 864,375 | ||||||
| 3,194,138 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 3.8%
|
||||||||
|
Apria Healthcare Group, Inc.
11.25%, 11/1/2014 |
850,000 | 871,250 | ||||||
|
Capella Healthcare, Inc.
9.25%, 7/1/2017 |
750,000 | 799,687 | ||||||
|
Fresenius Medical Care US Finance, Inc.
6.88%, 7/15/2017 |
500,000 | 575,000 | ||||||
|
HCA, Inc.:
|
||||||||
|
5.75%, 3/15/2014
|
1,250,000 | 1,312,500 | ||||||
|
6.25%, 2/15/2013
|
750,000 | 760,313 | ||||||
|
6.50%, 2/15/2016
|
2,250,000 | 2,475,000 | ||||||
|
6.75%, 7/15/2013
|
948,000 | 981,180 | ||||||
|
Health Management Associates, Inc.
6.13%, 4/15/2016 |
750,000 | 817,500 | ||||||
|
Health Net, Inc.
6.38%, 6/1/2017 |
500,000 | 522,500 | ||||||
|
Radiation Therapy Services, Inc.:
|
||||||||
|
8.88%, 1/15/2017
|
750,000 | 723,750 | ||||||
|
9.88%, 4/15/2017
|
250,000 | 181,875 | ||||||
|
Tenet Healthcare Corp.
9.25%, 2/1/2015 |
750,000 | 843,750 | ||||||
|
Universal Health Services, Inc.
7.13%, 6/30/2016 |
875,000 | 995,312 | ||||||
| 11,859,617 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 4.3%
|
||||||||
|
Caesars Entertainment Operating Co., Inc.:
|
||||||||
|
10.75%, 2/1/2016
|
574,000 | 457,765 | ||||||
|
11.25%, 6/1/2017
|
3,675,000 | 3,950,625 | ||||||
|
CityCenter Holdings LLC/CityCenter Finance Corp.
7.63%, 1/15/2016 |
1,425,000 | 1,521,187 | ||||||
|
Marina District Finance Co., Inc.
9.50%, 10/15/2015 |
750,000 | 756,562 | ||||||
|
MGM Mirage, Inc.:
|
||||||||
|
6.63%, 7/15/2015
|
1,872,000 | 2,003,040 | ||||||
|
7.63%, 1/15/2017
|
875,000 | 927,500 | ||||||
|
13.00%, 11/15/2013
|
625,000 | 704,688 | ||||||
|
MGM Resorts International:
|
||||||||
|
7.50%, 6/1/2016
|
1,500,000 | 1,605,000 | ||||||
|
10.00%, 11/1/2016
|
500,000 | 572,500 | ||||||
|
10.38%, 5/15/2014
|
500,000 | 562,500 | ||||||
|
Royal Caribbean Cruises, Ltd.
7.25%, 6/15/2016 |
500,000 | 558,750 | ||||||
| 13,620,117 | ||||||||
|
HOUSEHOLD DURABLES — 1.9%
|
||||||||
|
Centex Corp.
6.50%, 5/1/2016 |
500,000 | 560,000 | ||||||
|
DR Horton, Inc.
4.75%, 5/15/2017 |
1,000,000 | 1,065,000 | ||||||
|
Jarden Corp.
7.50%, 5/1/2017 |
1,144,000 | 1,309,880 | ||||||
|
K Hovnanian Enterprises, Inc.
10.63%, 10/15/2016 |
1,000,000 | 1,084,375 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Lennar Corp.:
|
||||||||
|
Series B 5.60%, 5/31/2015
|
$ | 875,000 | $ | 931,875 | ||||
|
12.25%, 6/1/2017
|
500,000 | 670,000 | ||||||
|
Simmons Bedding Co.
11.25%, 7/15/2015 (a) |
500,000 | 517,750 | ||||||
| 6,138,880 | ||||||||
|
HOUSEHOLD PRODUCTS — 0.2%
|
||||||||
|
American Achievement Corp.
10.88%, 4/15/2016 (a) |
750,000 | 650,625 | ||||||
|
INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS — 0.2%
|
||||||||
|
Edison Mission Energy:
|
||||||||
|
7.50%, 6/15/2013
|
500,000 | 275,000 | ||||||
|
7.75%, 6/15/2016
|
950,000 | 494,000 | ||||||
| 769,000 | ||||||||
|
INDUSTRIAL CONGLOMERATES — 0.2%
|
||||||||
|
SPX Corp.
7.63%, 12/15/2014 |
655,000 | 720,500 | ||||||
|
IT SERVICES — 2.0%
|
||||||||
|
First Data Corp.:
|
||||||||
|
9.88%, 9/24/2015
|
500,000 | 510,000 | ||||||
|
11.25%, 3/31/2016
|
3,375,000 | 3,273,750 | ||||||
|
First Data Corp. PIK
10.55%, 9/24/2015 |
1,000,000 | 1,023,750 | ||||||
|
GXS Worldwide, Inc.
9.75%, 6/15/2015 |
884,000 | 910,520 | ||||||
|
Lender Processing Services, Inc.
8.13%, 7/1/2016 |
500,000 | 522,500 | ||||||
| 6,240,520 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 1.2%
|
||||||||
|
Easton-Bell
Sports, Inc.
9.75%, 12/1/2016 |
410,000 | 443,313 | ||||||
|
Equinox Holdings, Inc.
9.50%, 2/1/2016 (a) |
500,000 | 531,250 | ||||||
|
NCL Corp. Ltd.
11.75%, 11/15/2016 |
500,000 | 576,250 | ||||||
|
Royal Caribbean Cruises, Ltd.:
|
||||||||
|
6.88%, 12/1/2013
|
250,000 | 263,125 | ||||||
|
7.00%, 6/15/2013
|
1,000,000 | 1,032,500 | ||||||
|
Sabre Holdings Corp.
8.35%, 3/15/2016 |
500,000 | 507,500 | ||||||
|
Travelport LLC
9.88%, 9/1/2014 |
500,000 | 400,000 | ||||||
| 3,753,938 | ||||||||
|
MACHINERY — 0.9%
|
||||||||
|
Case New Holland, Inc.
7.75%, 9/1/2013 |
1,625,000 | 1,700,156 | ||||||
|
SPX Corp.
6.88%, 9/1/2017 |
1,000,000 | 1,117,500 | ||||||
| 2,817,656 | ||||||||
|
MEDIA — 7.0%
|
||||||||
|
Affinion Group, Inc.
11.50%, 10/15/2015 |
250,000 | 207,500 | ||||||
|
Cablevision Systems Corp.
8.63%, 9/15/2017 |
1,250,000 | 1,453,125 | ||||||
|
CCH II LLC/CH II Capital Corp.
13.50%, 11/30/2016 |
1,750,000 | 1,898,750 | ||||||
|
Cengage Learn Aquisitions, Inc.
10.50%, 1/15/2015 (a) |
750,000 | 625,312 | ||||||
|
Clear Channel Communications, Inc.:
|
||||||||
|
5.50%, 9/15/2014
|
750,000 | 675,000 | ||||||
|
10.75%, 8/1/2016
|
500,000 | 350,000 | ||||||
|
DISH DBS Corp.:
|
||||||||
|
4.63%, 7/15/2017 (a)
|
700,000 | 715,750 | ||||||
|
6.63%, 10/1/2014
|
1,600,000 | 1,736,000 | ||||||
|
7.13%, 2/1/2016
|
2,000,000 | 2,210,000 | ||||||
|
7.75%, 5/31/2015
|
1,375,000 | 1,546,875 | ||||||
|
Gray Television, Inc.
10.50%, 6/29/2015 |
500,000 | 541,875 | ||||||
|
Lamar Media Corp.
9.75%, 4/1/2014 |
250,000 | 280,000 | ||||||
|
Lions Gate Entertainment, Inc.
10.25%, 11/1/2016 (a) |
500,000 | 556,250 | ||||||
|
Mediacom Broadband LLC/Mediacom Broadband Corp.
8.50%, 10/15/2015 |
1,000,000 | 1,015,800 | ||||||
|
Mohegan Tribal Gaming Authority
10.50%, 12/15/2016 (a) |
600,000 | 546,000 | ||||||
|
Palace Entertainment Holdings LLC/Palace Entertainment
Holdings Corp.
8.88%, 4/15/2017 (a) |
250,000 | 264,375 | ||||||
|
Peninsula Gaming LLC/Peninsula Gaming Corp.
10.75%, 8/15/2017 |
500,000 | 565,000 | ||||||
|
Pinnacle Entertainment, Inc.
8.63%, 8/1/2017 |
500,000 | 546,250 | ||||||
|
Quebecor Media, Inc.
7.75%, 3/15/2016 |
1,250,000 | 1,287,500 | ||||||
|
Shingle Springs Tribal Gaming Authority
9.38%, 6/15/2015 (a) |
250,000 | 206,250 | ||||||
|
Sirius XM Radio, Inc.
8.75%, 4/1/2015 (a) |
1,500,000 | 1,706,250 | ||||||
|
The McClatchy Co.
11.50%, 2/15/2017 |
1,250,000 | 1,343,750 | ||||||
|
WMG Acquisition Corp.
9.50%, 6/15/2016 |
1,500,000 | 1,636,875 | ||||||
| 21,914,487 | ||||||||
|
METALS & MINING — 4.5%
|
||||||||
|
China Oriental Group Co., Ltd.
8.00%, 8/18/2015 (a) |
500,000 | 485,000 | ||||||
|
Commercial Metals Co.
6.50%, 7/15/2017 |
410,000 | 430,500 | ||||||
|
Consolidated Minerals Ltd.
8.88%, 5/1/2016 (a) |
250,000 | 205,000 | ||||||
|
Edgen Murray Corp.
12.25%, 1/15/2015 |
625,000 | 667,187 | ||||||
|
Essar Steel Algoma, Inc.:
|
||||||||
|
9.38%, 3/15/2015 (a)
|
1,000,000 | 952,500 | ||||||
|
9.88%, 6/15/2015 (a)
|
250,000 | 198,125 | ||||||
|
Ferrexpo Finance PLC
7.88%, 4/7/2016 (a) |
750,000 | 708,750 | ||||||
|
FMG Resources August 2006 Pty, Ltd.:
|
||||||||
|
6.00%, 4/1/2017 (a)
|
1,250,000 | 1,162,500 | ||||||
|
6.38%, 2/1/2016 (a)
|
500,000 | 486,250 | ||||||
|
7.00%, 11/1/2015 (a)
|
3,250,000 | 3,233,750 | ||||||
|
Mueller Water Products, Inc.
7.38%, 6/1/2017 |
625,000 | 640,625 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Ryerson, Inc.
12.00%, 11/1/2015 |
$ | 500,000 | $ | 516,250 | ||||
|
Ryerson, Inc./Joseph T Ryerson & Son, Inc.
9.00%, 10/15/2017 |
750,000 | 766,875 | ||||||
|
Schaeffler Finance BV
7.75%, 2/15/2017 (a) |
750,000 | 828,750 | ||||||
|
Steel Dynamics, Inc.
6.75%, 4/1/2015 |
1,325,000 | 1,344,875 | ||||||
|
United States Steel Corp.
6.05%, 6/1/2017 |
1,000,000 | 992,500 | ||||||
|
Winsway Coking Coal Holding, Ltd.
8.50%, 4/8/2016 (a) |
750,000 | 577,500 | ||||||
| 14,196,937 | ||||||||
|
MULTILINE RETAIL — 1.0%
|
||||||||
|
Rite Aid Corp.
9.50%, 6/15/2017 |
850,000 | 874,438 | ||||||
|
SUPERVALU, Inc.
8.00%, 5/1/2016 |
2,500,000 | 2,231,250 | ||||||
| 3,105,688 | ||||||||
|
OIL, GAS & CONSUMABLE
FUELS — 10.1%
|
||||||||
|
Afren PLC
11.50%, 2/1/2016 (a) |
500,000 | 569,859 | ||||||
|
Arch Coal, Inc.
8.75%, 8/1/2016 |
1,250,000 | 1,225,000 | ||||||
|
Aurora USA Oil & Gas, Inc.
9.88%, 2/15/2017 (a) |
500,000 | 532,500 | ||||||
|
Chesapeake Energy Corp.
9.50%, 2/15/2015 |
3,625,000 | 3,992,031 | ||||||
|
Cie Generale de Geophysique — Veritas
7.75%, 5/15/2017 |
500,000 | 520,000 | ||||||
|
CITIC Resources Finance 2007, Ltd.
6.75%, 5/15/2014 (a) |
1,000,000 | 1,045,000 | ||||||
|
Coffeyville Resources LLC/Coffeyville Finance, Inc.
9.00%, 4/1/2015 (a) |
250,000 | 266,875 | ||||||
|
Consol Energy, Inc.
8.00%, 4/1/2017 |
2,000,000 | 2,090,000 | ||||||
|
Denbury Resources, Inc.
9.75%, 3/1/2016 |
500,000 | 537,500 | ||||||
|
Drill Rigs Holdings, Inc.
6.50%, 10/1/2017 (a) |
278,000 | 276,263 | ||||||
|
El Paso Corp.
7.00%, 6/15/2017 |
1,148,000 | 1,317,337 | ||||||
|
Expro Finance Luxembourg SCA
8.50%, 12/15/2016 (a) |
960,000 | 988,800 | ||||||
|
Foresight Energy LLC/Foresight Energy Corp.
9.63%, 8/15/2017 (a) |
1,000,000 | 1,062,500 | ||||||
|
Forest Oil Corp.
8.50%, 2/15/2014 |
750,000 | 811,875 | ||||||
|
Hidili Industry International Development, Ltd.
8.63%, 11/4/2015 (a) |
500,000 | 392,500 | ||||||
|
Kinder Morgan Finance Co. ULC
5.70%, 1/5/2016 |
1,125,000 | 1,214,421 | ||||||
|
Maritimes & Northeast Pipeline LLC
7.50%, 5/31/2014 (a) |
878,400 | 934,152 | ||||||
|
MIE Holdings Corp.
9.75%, 5/12/2016 (a) |
250,000 | 258,125 | ||||||
|
Murray Energy Corp.
10.25%, 10/15/2015 (a) |
1,000,000 | 980,000 | ||||||
|
Peabody Energy Corp.
7.38%, 11/1/2016 |
750,000 | 849,375 | ||||||
|
Quicksilver Resources, Inc.
11.75%, 1/1/2016 |
1,500,000 | 1,515,000 | ||||||
|
Rockies Express Pipeline LLC
3.90%, 4/15/2015 (a) |
1,000,000 | 985,000 | ||||||
|
Sabine Pass LNG LP
7.50%, 11/30/2016 |
2,750,000 | 2,970,000 | ||||||
|
SandRidge Energy, Inc.
9.88%, 5/15/2016 |
750,000 | 817,500 | ||||||
|
Seadrill, Ltd.
5.63%, 9/15/2017 (a) |
1,400,000 | 1,410,500 | ||||||
|
Stone Energy Corp.
8.63%, 2/1/2017 |
750,000 | 802,500 | ||||||
|
Sunoco, Inc.
5.75%, 1/15/2017 |
1,125,000 | 1,244,531 | ||||||
|
Tesoro Corp.
4.25%, 10/1/2017 |
225,000 | 231,750 | ||||||
|
Vulcan Materials Co.
6.50%, 12/1/2016 |
500,000 | 548,750 | ||||||
|
WPX Energy, Inc.
5.25%, 1/15/2017 |
1,250,000 | 1,350,000 | ||||||
| 31,739,644 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.4%
|
||||||||
|
Longview Fibre Paper & Packaging, Inc.
8.00%, 6/1/2016 (a) |
750,000 | 781,875 | ||||||
|
Sappi Papier Holding GmbH
7.75%, 7/15/2017 (a) |
450,000 | 481,500 | ||||||
| 1,263,375 | ||||||||
|
PHARMACEUTICALS — 0.7%
|
||||||||
|
Mylan, Inc./PA
7.63%, 7/15/2017 (a) |
500,000 | 553,750 | ||||||
|
Valeant Pharmaceuticals International
6.50%, 7/15/2016 (a) |
1,477,000 | 1,549,004 | ||||||
| 2,102,754 | ||||||||
|
REAL ESTATE — 0.3%
|
||||||||
|
CBRE Services, Inc.
11.63%, 6/15/2017 |
500,000 | 560,000 | ||||||
|
Crescent Resources LLC/Crescent Ventures, Inc.
10.25%, 8/15/2017 (a) |
500,000 | 520,000 | ||||||
| 1,080,000 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 2.1%
|
||||||||
|
Evergrande Real Estate Group, Ltd.
13.00%, 1/27/2015 (a) |
2,000,000 | 2,022,500 | ||||||
|
Felcor Lodging LP
10.00%, 10/1/2014 |
750,000 | 860,625 | ||||||
|
Host Hotels & Resorts LP:
|
||||||||
|
6.75%, 6/1/2016
|
609,000 | 625,747 | ||||||
|
9.00%, 5/15/2017
|
500,000 | 545,000 | ||||||
|
iStar Financial, Inc.:
|
||||||||
|
Series B 5.95%, 10/15/2013
|
550,000 | 550,000 | ||||||
|
8.63%, 6/1/2013
|
500,000 | 515,000 | ||||||
|
The Rouse Co. LP
6.75%, 11/9/2015 |
1,396,000 | 1,472,780 | ||||||
| 6,591,652 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
REAL ESTATE MANAGEMENT &
DEVELOPMENT — 2.6%
|
||||||||
|
Agile Property Holdings, Ltd.
8.88%, 4/28/2017 (a) |
$ | 750,000 | $ | 755,625 | ||||
|
Atlantic Finance, Ltd.
10.75%, 5/27/2014 (a) |
1,250,000 | 1,360,975 | ||||||
|
Country Garden Holdings Co., Ltd.
11.25%, 4/22/2017 (a) |
1,625,000 | 1,771,250 | ||||||
|
Kaisa Group Holdings, Ltd.
13.50%, 4/28/2015 (a) |
750,000 | 780,000 | ||||||
|
Longfor Properties Co., Ltd.
9.50%, 4/7/2016 (a) |
750,000 | 802,500 | ||||||
|
Realogy Corp.
11.50%, 4/15/2017 |
1,000,000 | 1,072,500 | ||||||
|
Renhe Commercial Holdings Co., Ltd.
13.00%, 3/10/2016 (a) |
500,000 | 250,000 | ||||||
|
Shanghai Industrial Urban Development Group Ltd.
9.75%, 7/23/2014 (a) |
250,000 | 266,250 | ||||||
|
Shimao Property Holdings, Ltd.
8.00%, 12/1/2016 (a) |
500,000 | 502,500 | ||||||
|
Susser Holdings LLC/Susser Finance Corp.
8.50%, 5/15/2016 |
540,000 | 581,175 | ||||||
| 8,142,775 | ||||||||
|
RETAIL — 0.2%
|
||||||||
|
Tops Holding Corp./Tops Markets LLC
10.13%, 10/15/2015 |
500,000 | 526,875 | ||||||
|
SEMICONDUCTORS — 0.2%
|
||||||||
|
STATS ChipPAC, Ltd.
7.50%, 8/12/2015 (a) |
500,000 | 522,500 | ||||||
|
SPECIALTY RETAIL — 2.8%
|
||||||||
|
Best Buy Co., Inc.
3.75%, 3/15/2016 |
1,479,000 | 1,415,989 | ||||||
|
Dollar General Corp.
4.13%, 7/15/2017 |
610,000 | 637,450 | ||||||
|
Limited Brands, Inc.
6.90%, 7/15/2017 |
1,000,000 | 1,150,000 | ||||||
|
Michaels Stores, Inc.
11.38%, 11/1/2016 |
500,000 | 523,800 | ||||||
|
Rite Aid Corp.:
|
||||||||
|
7.50%, 3/1/2017
|
1,000,000 | 1,027,500 | ||||||
|
9.75%, 6/12/2016
|
250,000 | 273,750 | ||||||
|
10.38%, 7/15/2016
|
945,000 | 999,337 | ||||||
|
The Neiman Marcus Group, Inc.
10.38%, 10/15/2015 |
391,000 | 398,820 | ||||||
|
Toys R Us - Delaware, Inc.
7.38%, 9/1/2016 (a) |
500,000 | 508,750 | ||||||
|
Toys R Us Property Co. I LLC
10.75%, 7/15/2017 |
1,125,000 | 1,226,250 | ||||||
|
Toys R Us, Inc.
10.38%, 8/15/2017 (a) |
750,000 | 766,875 | ||||||
| 8,928,521 | ||||||||
|
TELECOMMUNICATIONS — 0.3%
|
||||||||
|
Sorenson Communications, Inc.
10.50%, 2/1/2015 (a) |
1,000,000 | 877,500 | ||||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 1.0%
|
||||||||
|
Hanesbrands, Inc.
8.00%, 12/15/2016 |
1,000,000 | 1,105,010 | ||||||
|
Mohawk Industries, Inc.
6.38%, 1/15/2016 |
1,250,000 | 1,406,250 | ||||||
|
Quiksilver, Inc.
6.88%, 4/15/2015 |
629,000 | 625,855 | ||||||
| 3,137,115 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.2%
|
||||||||
|
Zoomlion HK SPV Co., Ltd.
6.88%, 4/5/2017 (a) |
500,000 | 510,000 | ||||||
|
TOBACCO — 0.2%
|
||||||||
|
Alliance One International, Inc.
10.00%, 7/15/2016 |
550,000 | 569,250 | ||||||
|
TRANSPORTATION INFRASTRUCTURE — 0.4%
|
||||||||
|
AWAS Aviation Capital, Ltd.
7.00%, 10/17/2016 (a) |
428,000 | 453,680 | ||||||
|
CMA CGM SA
8.50%, 4/15/2017 (a) |
500,000 | 347,500 | ||||||
|
Florida East Coast Railway Corp.
8.13%, 2/1/2017 |
500,000 | 526,250 | ||||||
| 1,327,430 | ||||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 3.5%
|
||||||||
|
Avaya, Inc.
9.75%, 11/1/2015 |
1,000,000 | 887,500 | ||||||
|
Avaya, Inc. PIK
10.13%, 11/1/2015 |
1,000,000 | 892,500 | ||||||
|
Clearwire Communications LLC/Clearwire Finance, Inc.
12.00%, 12/1/2015 (a) |
4,500,000 | 4,451,250 | ||||||
|
Crown Castle International Corp.
9.00%, 1/15/2015 |
1,475,000 | 1,581,937 | ||||||
|
Nextel Communications, Inc.
Series D 7.38%, 8/1/2015 |
640,000 | 642,400 | ||||||
|
Sprint Nextel Corp.
8.38%, 8/15/2017 |
1,500,000 | 1,668,750 | ||||||
|
Windstream Corp.
8.13%, 8/1/2013 |
1,000,000 | 1,050,000 | ||||||
| 11,174,337 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $300,437,828)
|
302,264,081 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 2.4%
|
||||||||
|
MONEY MARKET FUND — 2.4%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d)(e) (Cost $7,738,130) |
7,738,130 | 7,738,130 | ||||||
|
TOTAL INVESTMENTS — 98.5% (f)
|
||||||||
|
(Cost $308,175,958)
|
310,002,211 | |||||||
|
OTHER ASSETS &
LIABILITIES — 1.5% |
4,564,837 | |||||||
|
NET ASSETS — 100.0%
|
$ | 314,567,048 | ||||||
|
(a)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 26.2% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(b)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 95.9%
|
||||||||
|
AEROSPACE & DEFENSE — 0.4%
|
||||||||
|
United Technologies Corp.
0.92%, 6/1/2015 (a) |
$ | 50,000 | $ | 50,604 | ||||
|
AUTOMOBILES — 1.6%
|
||||||||
|
Daimler Finance North America LLC
1.60%, 9/13/2013 (a)(b) |
114,000 | 114,799 | ||||||
|
Volkswagen International Finance NV
0.97%, 4/1/2014 (a)(b) |
80,000 | 80,309 | ||||||
| 195,108 | ||||||||
|
BEVERAGES — 3.4%
|
||||||||
|
Anheuser-Busch
InBev Worldwide, Inc.:
|
||||||||
|
1.00%, 1/27/2014 (a)
|
100,000 | 100,709 | ||||||
|
1.10%, 3/26/2013 (a)
|
91,000 | 91,345 | ||||||
|
PepsiCo, Inc.
0.52%, 5/10/2013 (a) |
50,000 | 50,043 | ||||||
|
The
Coca-Cola Co.
0.34%, 3/14/2014 (a) |
175,000 | 175,166 | ||||||
| 417,263 | ||||||||
|
CAPITAL MARKETS — 7.8%
|
||||||||
|
Morgan Stanley
2.05%, 1/24/2014 (a)(c) |
438,000 | 439,466 | ||||||
|
Svensk Exportkredit AB
1.19%, 8/14/2014 (a) |
100,000 | 100,842 | ||||||
|
The Goldman Sachs Group, Inc.:
|
||||||||
|
0.82%, 3/22/2016 (a)(c)
|
50,000 | 48,056 | ||||||
|
0.96%, 9/29/2014 (a)(c)
|
366,000 | 362,063 | ||||||
| 950,427 | ||||||||
|
CHEMICALS — 1.2%
|
||||||||
|
EI du Pont de Nemours & Co.
0.79%, 3/25/2014 (a) |
150,000 | 150,978 | ||||||
|
COMMERCIAL BANKS — 38.1%
|
||||||||
|
Abbey National Treasury Services PLC
2.03%, 4/25/2014 (a) |
111,000 | 110,167 | ||||||
|
African Development Bank
0.77%, 8/4/2014 (a) |
76,000 | 76,257 | ||||||
|
ANZ National International Ltd./New Zealand
1.38%, 12/20/2013 (a)(b) |
150,000 | 151,303 | ||||||
|
Australia & New Zealand Banking Group Ltd.
1.20%, 1/10/2014 (a)(b) |
195,000 | 196,090 | ||||||
|
Bank of Montreal
0.92%, 4/29/2014 (a) |
20,000 | 20,124 | ||||||
|
Bank of Nova Scotia
0.76%, 10/18/2012 (a) |
192,000 | 192,054 | ||||||
|
Barclays Bank PLC
1.50%, 1/13/2014 (a) |
138,000 | 138,564 | ||||||
|
BB&T Corp.
1.15%, 4/28/2014 (a) |
150,000 | 150,927 | ||||||
|
BNP Paribas SA:
|
||||||||
|
0.86%, 4/8/2013 (a)
|
122,000 | 121,780 | ||||||
|
1.36%, 1/10/2014 (a)
|
65,000 | 65,024 | ||||||
|
Commonwealth Bank of Australia:
|
||||||||
|
0.87%, 6/25/2014 (a)(b)
|
50,000 | 50,378 | ||||||
|
0.93%, 3/19/2013 (a)(b)
|
300,000 | 300,726 | ||||||
|
1.12%, 3/17/2014 (a)(b)
|
100,000 | 100,425 | ||||||
|
1.14%, 8/7/2013 (a)(b)
|
30,000 | 30,093 | ||||||
|
Cooperatieve Centrale
Raiffeisen-Boerenleenbank
BA
0.65%, 7/25/2013 (a) |
92,000 | 92,070 | ||||||
|
Credit Agricole SA/London
1.90%, 1/21/2014 (a)(b) |
114,000 | 114,363 | ||||||
|
Danske Bank A/S
1.51%, 4/14/2014 (a)(b) |
20,000 | 19,789 | ||||||
|
Dexia Credit Local/New York
0.81%, 3/5/2013 (a)(b) |
92,000 | 91,827 | ||||||
|
Fifth Third Bank/Ohio
0.54%, 5/17/2013 (a) |
50,000 | 49,935 | ||||||
|
HSBC Bank PLC
0.86%, 5/15/2013 (a)(b) |
244,000 | 244,672 | ||||||
|
ING Bank NV
1.44%, 3/15/2013 (a)(b) |
164,000 | 164,536 | ||||||
|
Inter-American
Development Bank
0.88%, 5/20/2014 (a) |
76,000 | 76,700 | ||||||
|
Intesa Sanpaolo SpA
2.83%, 2/24/2014 (a)(b)(c) |
114,000 | 112,300 | ||||||
|
Kfw Bakengruppe:
|
||||||||
|
0.39%, 3/17/2014 (a)
|
190,000 | 189,815 | ||||||
|
0.64%, 1/17/2014 (a)
|
75,000 | 75,131 | ||||||
|
Kommunalbanken AS
0.56%, 4/1/2015 (a)(b) |
100,000 | 99,926 | ||||||
|
Landwirtschaftliche Rentenbank
0.58%, 1/28/2014 (a)(b) |
76,000 | 75,947 | ||||||
|
Lloyds TSB Bank PLC
2.80%, 1/24/2014 (a) |
92,000 | 93,679 | ||||||
|
National Australia Bank, Ltd.
1.17%, 12/10/2013 (a)(b) |
182,000 | 182,537 | ||||||
|
Nordea Bank AB
1.36%, 1/14/2014 (a)(b) |
35,000 | 35,179 | ||||||
|
PNC Funding Corp.
0.65%, 1/31/2014 (a) |
116,000 | 115,812 | ||||||
|
Royal Bank of Canada
0.76%, 4/17/2014 (a) |
122,000 | 122,380 | ||||||
|
Standard Chartered PLC
1.39%, 5/12/2014 (a)(b) |
15,000 | 15,002 | ||||||
|
SunTrust Bank/Atlanta GA
0.72%, 8/24/2015 (a) |
50,000 | 48,234 | ||||||
|
The Bank of New York Mellon Corp.
0.72%, 1/31/2014 (a) |
76,000 | 76,227 | ||||||
|
The
Toronto-Dominion
Bank:
|
||||||||
|
0.63%, 7/26/2013 (a)
|
74,000 | 74,139 | ||||||
|
0.76%, 7/14/2014 (a)
|
100,000 | 100,482 | ||||||
|
UBS AG/Stamford CT
1.45%, 1/28/2014 (a) |
27,000 | 27,110 | ||||||
|
Wachovia Corp.:
|
||||||||
|
0.83%, 10/15/2016 (a)
|
25,000 | 24,190 | ||||||
|
2.21%, 5/1/2013 (a)
|
232,000 | 234,350 | ||||||
|
Wells Fargo & Co.:
|
||||||||
|
0.65%, 10/28/2015 (a)
|
50,000 | 49,424 | ||||||
|
1.29%, 6/26/2015 (a)(c)
|
40,000 | 40,301 | ||||||
|
Westpac Banking Corp.:
|
||||||||
|
0.58%, 12/14/2012 (a)(b)
|
80,000 | 80,008 | ||||||
|
0.81%, 6/14/2013 (a)(b)
|
214,000 | 214,505 | ||||||
| 4,644,482 | ||||||||
|
COMMUNICATIONS EQUIPMENT — 1.6%
|
||||||||
|
Cisco Systems, Inc.
0.64%, 3/14/2014 (a) |
190,000 | 190,812 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
COMPUTERS & PERIPHERALS — 3.1%
|
||||||||
|
Dell, Inc.
0.96%, 4/1/2014 (a) |
$ | 145,000 | $ | 146,101 | ||||
|
Hewlett-Packard
Co.:
|
||||||||
|
0.71%, 5/24/2013 (a)
|
192,000 | 192,004 | ||||||
|
1.93%, 9/19/2014 (a)
|
45,000 | 45,541 | ||||||
| 383,646 | ||||||||
|
CONSUMER FINANCE — 0.8%
|
||||||||
|
Caterpillar Financial Services Corp.
0.79%, 2/9/2015 (a) |
100,000 | 100,483 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 20.8%
|
||||||||
|
American Express Credit Corp.
1.22%, 6/24/2014 (a) |
92,000 | 92,971 | ||||||
|
Bank of America Corp.
1.87%, 1/30/2014 (a) |
391,000 | 393,803 | ||||||
|
BlackRock, Inc.
0.73%, 5/24/2013 (a) |
50,000 | 50,121 | ||||||
|
BRFkredit A/S
0.71%, 4/15/2013 (a)(b) |
50,000 | 50,003 | ||||||
|
Citigroup, Inc.:
|
||||||||
|
0.68%, 6/9/2016 (a)
|
75,000 | 69,313 | ||||||
|
0.72%, 11/5/2014 (a)
|
50,000 | 49,224 | ||||||
|
1.28%, 2/15/2013 (a)(c)
|
214,000 | 214,418 | ||||||
|
2.44%, 8/13/2013 (a)
|
100,000 | 101,337 | ||||||
|
Credit Suisse USA, Inc.
0.71%, 4/12/2013 (a) |
176,000 | 176,191 | ||||||
|
General Electric Capital Corp.:
|
||||||||
|
0.59%, 5/8/2013 (a)
|
220,000 | 220,153 | ||||||
|
0.65%, 9/15/2014 (a)
|
40,000 | 39,785 | ||||||
|
0.66%, 1/8/2016 (a)
|
40,000 | 39,169 | ||||||
|
0.95%, 10/25/2013 (a)
|
20,000 | 20,075 | ||||||
|
1.31%, 5/9/2016 (a)
|
125,000 | 125,076 | ||||||
|
HSBC Finance Corp.
0.85%, 6/1/2016 (a) |
80,000 | 76,440 | ||||||
|
John Deere Capital Corp.:
|
||||||||
|
0.61%, 7/15/2013 (a)
|
50,000 | 50,084 | ||||||
|
0.70%, 4/25/2014 (a)
|
25,000 | 25,051 | ||||||
|
0.86%, 10/4/2013 (a)
|
100,000 | 100,421 | ||||||
|
JPMorgan Chase & Co.:
|
||||||||
|
1.08%, 2/26/2013 (a)
|
292,000 | 292,887 | ||||||
|
1.14%, 5/2/2014 (a)
|
165,000 | 166,176 | ||||||
|
1.43%, 3/20/2015 (a)
|
50,000 | 50,486 | ||||||
|
SLM Corp.
0.75%, 1/27/2014 (a) |
50,000 | 48,556 | ||||||
|
The Western Union Co.
0.99%, 3/7/2013 (a) |
50,000 | 50,132 | ||||||
|
Toyota Motor Credit Corp.
0.86%, 1/17/2014 (a) |
30,000 | 30,088 | ||||||
| 2,531,960 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 0.4%
|
||||||||
|
Verizon Communications, Inc.
0.97%, 3/28/2014 (a) |
42,000 | 42,324 | ||||||
|
FOOD & STAPLES RETAILING — 0.2%
|
||||||||
|
Walgreen Co.
0.90%, 3/13/2014 (a) |
20,000 | 20,025 | ||||||
|
FOOD PRODUCTS — 1.6%
|
||||||||
|
Campbell Soup Co.
0.74%, 8/1/2014 (a) |
100,000 | 100,462 | ||||||
|
General Mills, Inc.
0.79%, 5/16/2014 (a) |
100,000 | 100,341 | ||||||
| 200,803 | ||||||||
|
HOUSEHOLD PRODUCTS — 1.2%
|
||||||||
|
The Procter & Gamble Co.:
|
||||||||
|
0.34%, 2/14/2014 (a)
|
100,000 | 100,049 | ||||||
|
0.36%, 2/6/2014 (a)
|
50,000 | 50,038 | ||||||
| 150,087 | ||||||||
|
INSURANCE — 4.1%
|
||||||||
|
Berkshire Hathaway, Inc.
0.87%, 2/11/2013 (a) |
238,000 | 238,528 | ||||||
|
MetLife Institutional Funding II
1.36%, 4/4/2014 (a)(b) |
75,000 | 75,594 | ||||||
|
Metropolitan Life Global Funding I
1.21%, 1/10/2014 (a)(b) |
50,000 | 50,271 | ||||||
|
New York Life Global Funding
0.51%, 6/18/2014 (a)(b) |
100,000 | 100,055 | ||||||
|
Sun Life Financial Global Funding III LLC
0.71%, 10/6/2013 (a)(b) |
30,000 | 29,787 | ||||||
| 494,235 | ||||||||
|
MACHINERY — 1.4%
|
||||||||
|
Caterpillar, Inc.
0.60%, 5/21/2013 (a) |
76,000 | 76,127 | ||||||
|
Eaton Corp.
0.72%, 6/16/2014 (a) |
100,000 | 100,299 | ||||||
| 176,426 | ||||||||
|
METALS & MINING — 1.3%
|
||||||||
|
BHP Billiton Finance USA Ltd.
0.70%, 2/18/2014 (a) |
155,000 | 155,604 | ||||||
|
MULTI-UTILITIES — 1.3%
|
||||||||
|
DTE Energy Co.
1.12%, 6/3/2013 (a) |
110,000 | 110,310 | ||||||
|
Sempra Energy
1.15%, 3/15/2014 (a)(c) |
50,000 | 50,220 | ||||||
| 160,530 | ||||||||
|
MULTILINE RETAIL — 0.4%
|
||||||||
|
Target Corp.
0.63%, 7/18/2014 (a) |
45,000 | 45,171 | ||||||
|
OFFICE ELECTRONICS — 0.2%
|
||||||||
|
Xerox Corp.
1.26%, 5/16/2014 (a)(c) |
20,000 | 19,972 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 2.3%
|
||||||||
|
BP Capital Markets PLC
1.01%, 3/11/2014 (a) |
169,000 | 170,246 | ||||||
|
Total Capital Canada, Ltd.
0.53%, 5/13/2013 (a) |
114,000 | 114,127 | ||||||
| 284,373 | ||||||||
|
PHARMACEUTICALS — 2.2%
|
||||||||
|
Sanofi
0.56%, 3/28/2013 (a) |
214,000 | 214,364 | ||||||
|
Teva Pharmaceutical Finance III BV
0.88%, 3/21/2014 (a) |
50,000 | 50,264 | ||||||
| 264,628 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT — 0.4% |
||||||||
|
Texas Instruments, Inc.
0.61%, 5/15/2013 (a) |
$ | 50,000 | $ | 50,106 | ||||
|
TEXTILES, APPAREL & LUXURY
GOODS — 0.1%
|
||||||||
|
VF Corp.
1.18%, 8/23/2013 (a) |
15,000 | 15,099 | ||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $11,587,215)
|
11,695,146 | |||||||
|
FOREIGN GOVERNMENT OBLIGATIONS — 1.6%
|
||||||||
|
REGIONAL (STATE/PROVINCE) — 1.6%
|
||||||||
|
Province of Ontario Canada:
|
||||||||
|
0.51%, 4/1/2015 (a)
|
100,000 | 99,946 | ||||||
|
0.58%, 11/19/2012 (a)
|
100,000 | 99,995 | ||||||
|
TOTAL FOREIGN GOVERNMENT OBLIGATIONS —
|
||||||||
|
(Cost $199,969)
|
199,941 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENTS — 7.0%
|
||||||||
|
MONEY MARKET FUNDS — 7.0%
|
||||||||
|
State Street Navigator Securities
Lending Prime Portfolio (d)(e) |
567,160 | 567,160 | ||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (e)(f) |
285,889 | 285,889 | ||||||
|
TOTAL SHORT TERM INVESTMENTS — (g)
|
||||||||
|
(Cost $853,049)
|
853,049 | |||||||
|
TOTAL INVESTMENTS — 104.5% (h)
|
||||||||
|
(Cost $12,640,233)
|
12,748,136 | |||||||
|
OTHER ASSETS &
LIABILITIES — (4.5)% |
(550,423 | ) | ||||||
|
NET ASSETS — 100.0%
|
$ | 12,197,713 | ||||||
|
(a)
|
Variable rate security. Rate shown is rate in effect at September 30, 2012. Maturity date disclosed is the ultimate maturity. | |||||
|
(b)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 22.8% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(c)
|
A portion of the security was on loan at September 30, 2012. | |||||
|
(d)
|
Investments of cash collateral for securities loaned. | |||||
|
(e)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(g)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(h)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 98.2%
|
||||||||
|
AUSTRIA — 1.1%
|
||||||||
|
OGX Austria GmbH
8.50%, 6/1/2018 (a) |
200,000 | $ | 180,000 | |||||
|
BERMUDA — 2.1%
|
||||||||
|
CBQ Finance, Ltd.
5.00%, 11/18/2014 (a) |
100,000 | 106,770 | ||||||
|
Qtel International Finance, Ltd.
4.75%, 2/16/2021 (a) |
200,000 | 221,800 | ||||||
| 328,570 | ||||||||
|
BRAZIL — 6.6%
|
||||||||
|
Banco Bradesco SA
4.10%, 3/23/2015 (a) |
50,000 | 52,125 | ||||||
|
Banco Santander Brasil SA
4.63%, 2/13/2017 (a) |
200,000 | 206,000 | ||||||
|
Centrais Eletricas Brasileiras SA
5.75%, 10/27/2021 (a) |
200,000 | 222,500 | ||||||
|
Hypermarcas SA
6.50%, 4/20/2021 (a) |
150,000 | 157,245 | ||||||
|
Marfrig Overseas, Ltd.
9.50%, 5/4/2020 (a) |
100,000 | 82,650 | ||||||
|
Odebrecht Finance, Ltd.
7.50%, 12/31/2049 (a) |
150,000 | 159,375 | ||||||
|
Telemar Norte Leste SA
5.50%, 10/23/2020 (a) |
150,000 | 157,500 | ||||||
| 1,037,395 | ||||||||
|
BRITISH VIRGIN ISLANDS — 6.1%
|
||||||||
|
CNOOC Finance 2011, Ltd.
4.25%, 1/26/2021 (a) |
200,000 | 217,699 | ||||||
|
CNPC General Capital, Ltd.
2.75%, 4/19/2017 (a) |
200,000 | 207,084 | ||||||
|
Gerdau Trade, Inc.
5.75%, 1/30/2021 (a) |
200,000 | 217,000 | ||||||
|
Sinochem Overseas Capital Co., Ltd.
4.50%, 11/12/2020 (a) |
100,000 | 106,371 | ||||||
|
Sinopec Group Overseas Development 2012, Ltd.
2.75%, 5/17/2017 (a) |
200,000 | 207,378 | ||||||
| 955,532 | ||||||||
|
CANADA — 0.7%
|
||||||||
|
Novelis, Inc.
8.75%, 12/15/2020 |
100,000 | 110,750 | ||||||
|
CAYMAN ISLANDS — 18.7%
|
||||||||
|
ADCB Finance Cayman, Ltd.
4.75%, 10/8/2014 (a) |
100,000 | 105,350 | ||||||
|
Braskem Finance Ltd.
5.75%, 4/15/2021 (a) |
200,000 | 212,000 | ||||||
|
Country Garden Holdings Co., Ltd.
11.25%, 4/22/2017 (a) |
100,000 | 109,000 | ||||||
|
Evergrande Real Estate Group, Ltd.
13.00%, 1/27/2015 (a) |
100,000 | 101,125 | ||||||
|
Fibria Overseas Finance, Ltd.
7.50%, 5/4/2020 (a) |
100,000 | 109,000 | ||||||
|
Hutchison Whampoa International 11, Ltd.:
|
||||||||
|
3.50%, 1/13/2017 (a)
|
200,000 | 212,135 | ||||||
|
4.63%, 1/13/2022 (a)
|
200,000 | 218,729 | ||||||
|
IPIC GMTN Ltd.
5.00%, 11/15/2020 (a) |
300,000 | 327,750 | ||||||
|
Kuwait Projects Co.
9.38%, 7/15/2020 |
100,000 | 118,250 | ||||||
|
Petrobras International Finance Co.:
|
||||||||
|
3.50%, 2/6/2017
|
500,000 | 522,916 | ||||||
|
5.38%, 1/27/2021
|
100,000 | 112,677 | ||||||
|
6.75%, 1/27/2041
|
150,000 | 186,172 | ||||||
|
Vale Overseas, Ltd.:
|
||||||||
|
4.38%, 1/11/2022
|
75,000 | 78,837 | ||||||
|
5.63%, 9/15/2019
|
100,000 | 112,502 | ||||||
|
6.88%, 11/21/2036
|
200,000 | 231,576 | ||||||
|
Voto-Votorantim
Overseas Trading Operations NV
6.63%, 9/25/2019 (a) |
150,000 | 172,875 | ||||||
| 2,930,894 | ||||||||
|
CHILE — 2.6%
|
||||||||
|
Corp Nacional del Cobre de Chile:
|
||||||||
|
3.75%, 11/4/2020 (a)
|
100,000 | 108,056 | ||||||
|
3.88%, 11/3/2021 (a)
|
100,000 | 108,676 | ||||||
|
5.63%, 9/21/2035 (a)
|
75,000 | 89,829 | ||||||
|
Empresa Nacional del Petroleo
4.75%, 12/6/2021 (a) |
100,000 | 107,000 | ||||||
| 413,561 | ||||||||
|
COLOMBIA — 0.8%
|
||||||||
|
Ecopetrol SA
7.63%, 7/23/2019 |
100,000 | 128,000 | ||||||
|
INDIA — 1.3%
|
||||||||
|
ICICI Bank, Ltd.
4.75%, 11/25/2016 (a) |
200,000 | 207,120 | ||||||
|
INDONESIA — 1.4%
|
||||||||
|
Pertamina Persero PT
6.00%, 5/3/2042 (a) |
200,000 | 217,000 | ||||||
|
IRELAND — 3.8%
|
||||||||
|
AK Transneft OJSC Via TransCapitalInvest, Ltd.
5.67%, 3/5/2014 (a) |
150,000 | 159,075 | ||||||
|
Alfa Bank OJSC Via Alfa Bond Issuance PLC
7.88%, 9/25/2017 (a) |
100,000 | 107,775 | ||||||
|
Bank of Moscow via BOM Capital PL
6.70%, 3/11/2015 (a) |
100,000 | 106,500 | ||||||
|
Gazprombank OJSC Via GPB Eurobond Finance PLC
6.50%, 9/23/2015 |
100,000 | 107,672 | ||||||
|
RZD Capital, Ltd.
5.74%, 4/3/2017 |
100,000 | 110,808 | ||||||
| 591,830 | ||||||||
|
ISRAEL — 1.4%
|
||||||||
|
Israel Electric Corp., Ltd.
6.70%, 2/10/2017 (a) |
200,000 | 216,000 | ||||||
|
KAZAKHSTAN — 2.3%
|
||||||||
|
KazMunayGas National Co.
11.75%, 1/23/2015 (a) |
300,000 | 361,929 | ||||||
|
LUXEMBOURG — 10.2%
|
||||||||
|
CSN Resources SA
6.50%, 7/21/2020 (a) |
100,000 | 107,750 | ||||||
|
Evraz Group SA
9.50%, 4/24/2018 (a) |
100,000 | 113,000 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Gazprom OAO Via Gaz Capital SA:
|
||||||||
|
7.29%, 8/16/2037 (a)
|
100,000 | $ | 126,000 | |||||
|
9.25%, 4/23/2019 (a)
|
300,000 | 390,750 | ||||||
|
Russian Agricultural Bank OJSC Via RSHB Capital SA
9.00%, 6/11/2014 (a) |
100,000 | 110,880 | ||||||
|
Sberbank of Russia Via SB Capital SA
5.50%, 7/7/2015 |
200,000 | 215,280 | ||||||
|
TNK-BP
Finance SA
7.50%, 7/18/2016 (a) |
200,000 | 231,100 | ||||||
|
VTB Bank OJSC Via VTB Capital SA
6.00%, 4/12/2017 (a) |
300,000 | 313,500 | ||||||
| 1,608,260 | ||||||||
|
MALAYSIA — 1.3%
|
||||||||
|
Petronas Capital, Ltd.
5.25%, 8/12/2019 (a) |
175,000 | 207,126 | ||||||
|
MEXICO — 9.2%
|
||||||||
|
America Movil SAB de CV
5.00%, 3/30/2020 |
425,000 | 497,590 | ||||||
|
Grupo Bimbo SAB de CV
4.50%, 1/25/2022 (a) |
100,000 | 107,991 | ||||||
|
Grupo Televisa SA
6.63%, 3/18/2025 |
100,000 | 130,305 | ||||||
|
Petroleos Mexicanos:
|
||||||||
|
5.50%, 1/21/2021
|
500,000 | 586,250 | ||||||
|
6.50%, 6/2/2041
|
100,000 | 124,650 | ||||||
| 1,446,786 | ||||||||
|
NETHERLANDS — 4.8%
|
||||||||
|
Lukoil International Finance BV
6.13%, 11/9/2020 (a) |
200,000 | 225,800 | ||||||
|
Majapahit Holding BV
7.75%, 1/20/2020 (a) |
250,000 | 314,375 | ||||||
|
VimpelCom Holdings BV
7.50%, 3/1/2022 (a) |
200,000 | 209,750 | ||||||
| 749,925 | ||||||||
|
PERU — 0.7%
|
||||||||
|
Banco de Credito del Peru
4.75%, 3/16/2016 (a) |
100,000 | 105,500 | ||||||
|
QATAR — 1.7%
|
||||||||
|
Ras Laffan Liquefied Natural Gas Co.,
Ltd. III 5.50%, 9/30/2014 (a)(b) |
250,000 | 270,418 | ||||||
|
SINGAPORE — 0.3%
|
||||||||
|
DBS Bank Ltd.
2.38%, 9/14/2015 |
50,000 | 51,682 | ||||||
|
SOUTH KOREA — 5.4%
|
||||||||
|
Hana Bank
4.50%, 10/30/2015 (a) |
100,000 | 108,072 | ||||||
|
Hyundai Capital Services, Inc.
3.50%, 9/13/2017 (a) |
200,000 | 209,132 | ||||||
|
Korea National Oil Corp.
3.13%, 4/3/2017 (a) |
200,000 | 210,148 | ||||||
|
Korea Western Power Co., Ltd.
3.13%, 5/10/2017 (a) |
200,000 | 209,287 | ||||||
|
POSCO
4.25%, 10/28/2020 (a) |
100,000 | 106,875 | ||||||
| 843,514 | ||||||||
|
SPAIN — 1.6%
|
||||||||
|
Cemex Espana Luxembourg
9.88%, 4/30/2019 (a) |
250,000 | 255,625 | ||||||
|
TURKEY — 0.7%
|
||||||||
|
Akbank TAS
5.13%, 7/22/2015 (a) |
100,000 | 103,375 | ||||||
|
UNITED ARAB EMIRATES — 4.9%
|
||||||||
|
Abu Dhabi National Energy Co.:
|
||||||||
|
5.88%, 10/27/2016 (a)
|
100,000 | 112,850 | ||||||
|
5.88%, 12/13/2021 (a)
|
250,000 | 289,062 | ||||||
|
Dolphin Energy, Ltd.
5.89%, 6/15/2019 (a) |
80,040 | 91,086 | ||||||
|
DP World Ltd.
6.85%, 7/2/2037 (a) |
150,000 | 161,625 | ||||||
|
Dubai Electricity & Water Authority
7.38%, 10/21/2020 (a) |
100,000 | 116,900 | ||||||
| 771,523 | ||||||||
|
UNITED KINGDOM — 1.3%
|
||||||||
|
Vedanta Resources PLC
6.75%, 6/7/2016 (a) |
200,000 | 197,500 | ||||||
|
UNITED STATES — 4.5%
|
||||||||
|
JBS USA LLC/JBS USA Finance, Inc.
8.25%, 2/1/2020 (a) |
100,000 | 99,750 | ||||||
|
Reliance Holdings USA, Inc.
4.50%, 10/19/2020 (a) |
250,000 | 256,224 | ||||||
|
Southern Copper Corp.
6.75%, 4/16/2040 |
150,000 | 172,531 | ||||||
|
Teva Pharmaceutical Finance Co. BV
2.40%, 11/10/2016 |
100,000 | 105,066 | ||||||
|
Teva Pharmaceutical Finance Co. LLC
6.15%, 2/1/2036 |
50,000 | 66,057 | ||||||
| 699,628 | ||||||||
|
VENEZUELA — 2.7%
|
||||||||
|
Petroleos de Venezuela SA:
|
||||||||
|
5.38%, 4/12/2027
|
100,000 | 61,750 | ||||||
|
8.50%, 11/2/2017 (a)
|
200,000 | 181,000 | ||||||
|
9.00%, 11/17/2021 (a)
|
100,000 | 86,000 | ||||||
|
12.75%, 2/17/2022 (a)
|
100,000 | 102,250 | ||||||
| 431,000 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $14,849,747)
|
15,420,443 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 1.2%
|
||||||||
|
MONEY MARKET FUND — 1.2%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d)(e) (Cost $189,712) |
189,712 | 189,712 | ||||||
|
TOTAL INVESTMENTS — 99.4% (f)
|
||||||||
|
(Cost $15,039,459)
|
15,610,155 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.6% |
86,736 | |||||||
|
NET ASSETS — 100.0%
|
$ | 15,696,891 | ||||||
|
(a)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 73.8% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(b)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
CORPORATE BONDS & NOTES — 98.5%
|
||||||||
|
AEROSPACE & DEFENSE — 1.3%
|
||||||||
|
BE Aerospace, Inc.
5.25%, 4/1/2022 |
$ | 75,000 | $ | 78,000 | ||||
|
Bombardier, Inc.
7.75%, 3/15/2020 (a) |
75,000 | 86,062 | ||||||
| 164,062 | ||||||||
|
AIRLINES — 0.8%
|
||||||||
|
Delta Air Lines
2009-1
Class A Pass Through Trust
7.75%, 6/17/2021 (b) |
41,064 | 46,916 | ||||||
|
UAL
2009-1
Pass Through Trust
10.40%, 5/1/2018 |
54,603 | 62,930 | ||||||
| 109,846 | ||||||||
|
BEVERAGES — 1.7%
|
||||||||
|
Constellation Brands, Inc.
6.00%, 5/1/2022 |
100,000 | 113,750 | ||||||
|
SABMiller Holdings, Inc.
1.85%, 1/15/2015 (a) |
100,000 | 102,348 | ||||||
| 216,098 | ||||||||
|
BUILDING PRODUCTS — 1.7%
|
||||||||
|
Building Materials Corp. of America
6.75%, 5/1/2021 (a) |
50,000 | 54,750 | ||||||
|
Lafarge SA
7.13%, 7/15/2036 |
50,000 | 51,500 | ||||||
|
Masco Corp.
5.95%, 3/15/2022 |
100,000 | 109,551 | ||||||
| 215,801 | ||||||||
|
CAPITAL MARKETS — 0.4%
|
||||||||
|
The Goldman Sachs Group, Inc.
6.75%, 10/1/2037 |
50,000 | 53,564 | ||||||
|
CHEMICALS — 1.9%
|
||||||||
|
LyondellBasell Industries NV
5.00%, 4/15/2019 |
100,000 | 106,250 | ||||||
|
The Dow Chemical Co.
4.25%, 11/15/2020 |
100,000 | 110,025 | ||||||
|
Westlake Chemical Corp.
3.60%, 7/15/2022 |
28,000 | 28,300 | ||||||
| 244,575 | ||||||||
|
COMMERCIAL BANKS — 3.1%
|
||||||||
|
Barclays Bank PLC
6.05%, 12/4/2017 (a) |
100,000 | 107,607 | ||||||
|
Fifth Third Bancorp
8.25%, 3/1/2038 |
25,000 | 36,210 | ||||||
|
KeyCorp
5.10%, 3/24/2021 |
50,000 | 58,470 | ||||||
|
Lloyds TSB Bank PLC
6.50%, 9/14/2020 (a) |
100,000 | 105,340 | ||||||
|
Royal Bank of Scotland Group PLC
5.00%, 11/12/2013 |
100,000 | 102,030 | ||||||
| 409,657 | ||||||||
|
COMMERCIAL SERVICES &
SUPPLIES — 2.1%
|
||||||||
|
ERAC USA Finance LLC
7.00%, 10/15/2037 (a) |
50,000 | 62,306 | ||||||
|
Republic Services, Inc.
3.55%, 6/1/2022 |
50,000 | 52,560 | ||||||
|
RR Donnelley & Sons Co.
8.25%, 3/15/2019 |
75,000 | 76,125 | ||||||
|
Waste Management, Inc.
6.38%, 3/11/2015 |
75,000 | 84,382 | ||||||
| 275,373 | ||||||||
|
COMPUTERS & PERIPHERALS — 1.3%
|
||||||||
|
Fidelity National Information Services, Inc.
5.00%, 3/15/2022 |
50,000 | 51,625 | ||||||
|
Seagate Technology HDD Holdings
6.80%, 10/1/2016 |
110,000 | 123,422 | ||||||
| 175,047 | ||||||||
|
CONSTRUCTION MATERIALS — 0.4%
|
||||||||
|
Vulcan Materials Co.
7.50%, 6/15/2021 |
50,000 | 56,500 | ||||||
|
CONSUMER FINANCE — 0.8%
|
||||||||
|
SLM Corp.
6.25%, 1/25/2016 |
100,000 | 108,500 | ||||||
|
CONTAINERS & PACKAGING — 0.6%
|
||||||||
|
Ball Corp.
5.00%, 3/15/2022 |
75,000 | 78,563 | ||||||
|
DIVERSIFIED FINANCIAL SERVICES — 4.9%
|
||||||||
|
Bank of America Corp.
5.42%, 3/15/2017 |
100,000 | 108,095 | ||||||
|
Capital One Financial Corp.
2.15%, 3/23/2015 |
100,000 | 102,534 | ||||||
|
Citigroup, Inc.
4.88%, 5/7/2015 |
100,000 | 106,349 | ||||||
|
Ford Motor Credit Co. LLC
4.25%, 2/3/2017 |
150,000 | 159,419 | ||||||
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
8.00%, 1/15/2018 |
100,000 | 107,250 | ||||||
|
International Lease Finance Corp.
5.88%, 4/1/2019 |
50,000 | 53,014 | ||||||
| 636,661 | ||||||||
|
DIVERSIFIED TELECOMMUNICATION
SERVICES — 4.8%
|
||||||||
|
CenturyLink, Inc.
5.80%, 3/15/2022 |
100,000 | 108,814 | ||||||
|
Deutsche Telekom International Finance BV
2.25%, 3/6/2017 (a) |
100,000 | 102,283 | ||||||
|
Frontier Communications Corp.
8.50%, 4/15/2020 |
125,000 | 141,250 | ||||||
|
Sprint Nextel Corp.
7.00%, 3/1/2020 (a) |
100,000 | 112,000 | ||||||
|
UPCB Finance VI Ltd.
6.88%, 1/15/2022 (a) |
75,000 | 79,500 | ||||||
|
Virgin Media Finance PLC
5.25%, 2/15/2022 |
75,000 | 78,750 | ||||||
| 622,597 | ||||||||
|
ELECTRIC UTILITIES — 8.8%
|
||||||||
|
Calpine Corp.
7.88%, 1/15/2023 (a) |
100,000 | 110,500 | ||||||
|
CMS Energy Corp.
4.25%, 9/30/2015 |
75,000 | 79,410 | ||||||
|
Dominion Resources, Inc.
1.95%, 8/15/2016 |
75,000 | 77,516 | ||||||
|
Duke Energy Corp.
3.05%, 8/15/2022 |
100,000 | 100,960 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
EDP Finance BV
6.00%, 2/2/2018 (a) |
$ | 100,000 | $ | 100,524 | ||||
|
Enel Finance International NV
6.00%, 10/7/2039 (a) |
50,000 | 44,960 | ||||||
|
Exelon Generation Co. LLC
6.20%, 10/1/2017 |
75,000 | 89,265 | ||||||
|
FirstEnergy Solutions Corp.
4.80%, 2/15/2015 |
100,000 | 107,503 | ||||||
|
NRG Energy, Inc.
7.63%, 1/15/2018 |
100,000 | 108,250 | ||||||
|
Oncor Electric Delivery Co. LLC
4.10%, 6/1/2022 (a) |
50,000 | 53,041 | ||||||
|
PG&E Corp.
5.75%, 4/1/2014 |
75,000 | 80,341 | ||||||
|
Southwestern Electric Power Co.
5.55%, 1/15/2017 |
75,000 | 84,683 | ||||||
|
The AES Corp.
7.38%, 7/1/2021 |
100,000 | 114,000 | ||||||
| 1,150,953 | ||||||||
|
ELECTRICAL EQUIPMENT — 0.4%
|
||||||||
|
Jabil Circuit, Inc.
4.70%, 9/15/2022 |
50,000 | 49,750 | ||||||
|
ENERGY EQUIPMENT &
SERVICES — 0.4%
|
||||||||
|
Weatherford International, Ltd./Bermuda
5.95%, 4/15/2042 |
50,000 | 52,599 | ||||||
|
FOOD & STAPLES RETAILING — 0.5%
|
||||||||
|
CVS Caremark Corp.
5.75%, 6/1/2017 |
50,000 | 60,302 | ||||||
|
FOOD PRODUCTS — 3.2%
|
||||||||
|
General Mills, Inc.
5.70%, 2/15/2017 |
50,000 | 59,680 | ||||||
|
Kellogg Co.
1.13%, 5/15/2015 |
75,000 | 75,712 | ||||||
|
Kraft Foods, Inc.
5.38%, 2/10/2020 |
100,000 | 120,637 | ||||||
|
Smithfield Foods, Inc.
6.63%, 8/15/2022 |
75,000 | 77,812 | ||||||
|
The Kroger Co.
3.90%, 10/1/2015 |
75,000 | 81,544 | ||||||
| 415,385 | ||||||||
|
HEALTH CARE PROVIDERS &
SERVICES — 3.5%
|
||||||||
|
CHS/Community Health Systems, Inc.
5.13%, 8/15/2018 |
50,000 | 51,875 | ||||||
|
CIGNA Corp.
4.00%, 2/15/2022 |
50,000 | 53,892 | ||||||
|
Fresenius Medical Care US Finance II, Inc.
5.63%, 7/31/2019 (a) |
100,000 | 106,500 | ||||||
|
HCA, Inc.
7.25%, 9/15/2020 |
150,000 | 168,000 | ||||||
|
WellPoint, Inc.
3.13%, 5/15/2022 |
75,000 | 74,862 | ||||||
| 455,129 | ||||||||
|
HOTELS, RESTAURANTS &
LEISURE — 1.5%
|
||||||||
|
MGM Resorts International
9.00%, 3/15/2020 |
100,000 | 111,625 | ||||||
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.,
Series 1
7.75%, 8/15/2020 |
75,000 | 83,437 | ||||||
| 195,062 | ||||||||
|
HOUSEHOLD DURABLES — 0.6%
|
||||||||
|
Centex Corp.
6.50%, 5/1/2016 |
75,000 | 84,000 | ||||||
|
HOUSEHOLD PRODUCTS — 0.8%
|
||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds
Group Issuer LU
7.88%, 8/15/2019 |
100,000 | 108,000 | ||||||
|
INSURANCE — 4.7%
|
||||||||
|
American International Group, Inc.:
|
||||||||
|
3.80%, 3/22/2017
|
100,000 | 107,561 | ||||||
|
6.25%, 5/1/2036
|
50,000 | 63,780 | ||||||
|
Hartford Financial Services Group, Inc.
6.63%, 4/15/2042 |
50,000 | 60,467 | ||||||
|
ING US, Inc.
5.50%, 7/15/2022 (a) |
50,000 | 52,159 | ||||||
|
Liberty Mutual Group, Inc.
4.95%, 5/1/2022 (a) |
75,000 | 78,450 | ||||||
|
Prudential Financial, Inc.
5.10%, 9/20/2014 |
100,000 | 108,178 | ||||||
|
XLIT Ltd.
5.75%, 10/1/2021 |
50,000 | 57,546 | ||||||
|
Xstrata Finance Canada Ltd.
4.95%, 11/15/2021 (a) |
75,000 | 80,354 | ||||||
| 608,495 | ||||||||
|
LEISURE EQUIPMENT &
PRODUCTS — 0.6%
|
||||||||
|
Royal Caribbean Cruises, Ltd.
6.88%, 12/1/2013 |
75,000 | 78,938 | ||||||
|
MACHINERY — 0.5%
|
||||||||
|
Case New Holland, Inc.
7.88%, 12/1/2017 |
50,000 | 58,625 | ||||||
|
MEDIA — 10.1%
|
||||||||
|
CBS Corp.
3.38%, 3/1/2022 |
75,000 | 78,359 | ||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp.
6.63%, 1/31/2022 |
100,000 | 109,250 | ||||||
|
Comcast Corp.
5.15%, 3/1/2020 |
100,000 | 118,963 | ||||||
|
CSC Holdings LLC
6.75%, 11/15/2021 (a) |
100,000 | 110,250 | ||||||
|
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.
3.80%, 3/15/2022 |
100,000 | 102,906 | ||||||
|
Discovery Communications LLC
3.30%, 5/15/2022 |
50,000 | 51,935 | ||||||
|
DISH DBS Corp.:
|
||||||||
|
5.88%, 7/15/2022 (a)
|
100,000 | 102,500 | ||||||
|
7.13%, 2/1/2016
|
100,000 | 110,500 | ||||||
|
Historic TW, Inc.
6.63%, 5/15/2029 |
100,000 | 125,402 | ||||||
|
NBCUniversal Media LLC
5.15%, 4/30/2020 |
50,000 | 59,254 | ||||||
|
News America, Inc.
4.50%, 2/15/2021 |
75,000 | 84,646 | ||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
Nielsen Finance LLC/Nielsen Finance Co.
7.75%, 10/15/2018 |
$ | 75,000 | $ | 84,563 | ||||
|
Time Warner Cable, Inc.
4.00%, 9/1/2021 |
100,000 | 110,258 | ||||||
|
Viacom, Inc.
6.88%, 4/30/2036 |
50,000 | 66,036 | ||||||
| 1,314,822 | ||||||||
|
METALS & MINING — 3.8%
|
||||||||
|
ArcelorMittal
4.75%, 2/25/2017 |
100,000 | 98,086 | ||||||
|
Barrick Gold Corp.
3.85%, 4/1/2022 |
100,000 | 104,976 | ||||||
|
FMG Resources August 2006 Pty Ltd.
6.88%, 4/1/2022 (a) |
100,000 | 91,500 | ||||||
|
Steel Dynamics, Inc.
6.13%, 8/15/2019 (a) |
75,000 | 78,000 | ||||||
|
Teck Resources Ltd.
5.20%, 3/1/2042 |
50,000 | 47,020 | ||||||
|
United States Steel Corp.
6.05%, 6/1/2017 |
75,000 | 74,438 | ||||||
| 494,020 | ||||||||
|
MULTI-UTILITIES — 0.6%
|
||||||||
|
MidAmerican Energy Holdings Co.
6.13%, 4/1/2036 |
25,000 | 31,985 | ||||||
|
Nisource Finance Corp.
3.85%, 2/15/2023 |
50,000 | 52,446 | ||||||
| 84,431 | ||||||||
|
MULTILINE RETAIL — 0.4%
|
||||||||
|
Macy’s Retail Holdings, Inc.
3.88%, 1/15/2022 |
50,000 | 53,903 | ||||||
|
OFFICE ELECTRONICS — 0.4%
|
||||||||
|
Xerox Corp.
4.50%, 5/15/2021 |
50,000 | 53,128 | ||||||
|
OIL, GAS & CONSUMABLE
FUELS — 17.6%
|
||||||||
|
Anadarko Petroleum Corp.
6.38%, 9/15/2017 |
75,000 | 90,421 | ||||||
|
Canadian Natural Resources, Ltd.
5.70%, 5/15/2017 |
75,000 | 89,139 | ||||||
|
Chesapeake Energy Corp.
6.63%, 8/15/2020 |
125,000 | 128,906 | ||||||
|
Concho Resources, Inc.
8.63%, 10/1/2017 |
75,000 | 82,688 | ||||||
|
Consol Energy, Inc.
8.00%, 4/1/2017 |
75,000 | 78,375 | ||||||
|
Denbury Resources, Inc.
8.25%, 2/15/2020 |
75,000 | 84,562 | ||||||
|
Devon Energy Corp.
3.25%, 5/15/2022 |
75,000 | 78,034 | ||||||
|
El Paso Natural Gas Co.
5.95%, 4/15/2017 |
125,000 | 143,882 | ||||||
|
Encana Corp.
5.90%, 12/1/2017 |
75,000 | 89,143 | ||||||
|
Energy Transfer Equity LP
7.50%, 10/15/2020 |
75,000 | 85,125 | ||||||
|
Energy Transfer Partners LP
6.50%, 2/1/2042 |
50,000 | 57,697 | ||||||
|
Enterprise Products Operating LLC
5.20%, 9/1/2020 |
100,000 | 117,800 | ||||||
|
Hess Corp.
8.13%, 2/15/2019 |
50,000 | 66,156 | ||||||
|
Newfield Exploration Co.
7.13%, 5/15/2018 |
75,000 | 79,125 | ||||||
|
NGPL PipeCo LLC
7.12%, 12/15/2017 (a) |
75,000 | 79,688 | ||||||
|
Peabody Energy Corp.
6.00%, 11/15/2018 (a) |
100,000 | 100,000 | ||||||
|
Phillips 66
4.30%, 4/1/2022 (a) |
50,000 | 54,743 | ||||||
|
Pioneer Natural Resources Co.
6.65%, 3/15/2017 |
75,000 | 89,031 | ||||||
|
Range Resources Corp.
5.00%, 8/15/2022 |
50,000 | 52,750 | ||||||
|
Rockies Express Pipeline LLC
6.85%, 7/15/2018 (a) |
100,000 | 102,250 | ||||||
|
Suncor Energy, Inc.
6.10%, 6/1/2018 |
75,000 | 92,500 | ||||||
|
Tennessee Gas Pipeline Co.
7.00%, 3/15/2027 |
100,000 | 132,850 | ||||||
|
Tesoro Corp.
9.75%, 6/1/2019 |
50,000 | 57,875 | ||||||
|
Transocean, Inc.
6.80%, 3/15/2038 |
50,000 | 60,125 | ||||||
|
Valero Energy Corp.
6.13%, 2/1/2020 |
50,000 | 60,732 | ||||||
|
Western Gas Partners LP
4.00%, 7/1/2022 |
50,000 | 52,131 | ||||||
|
Williams Partners LP
5.25%, 3/15/2020 |
75,000 | 86,911 | ||||||
| 2,292,639 | ||||||||
|
PAPER & FOREST PRODUCTS — 0.5%
|
||||||||
|
International Paper Co.
7.95%, 6/15/2018 |
50,000 | 64,353 | ||||||
|
PHARMACEUTICALS — 1.4%
|
||||||||
|
Express Scripts Holding Co.
2.65%, 2/15/2017 (a) |
100,000 | 104,790 | ||||||
|
Mylan, Inc.
7.88%, 7/15/2020 (a) |
75,000 | 84,188 | ||||||
| 188,978 | ||||||||
|
REAL ESTATE — 1.3%
|
||||||||
|
Host Hotels & Resorts LP
5.88%, 6/15/2019 |
75,000 | 82,500 | ||||||
|
Weyerhaeuser Co.
7.38%, 10/1/2019 |
75,000 | 93,066 | ||||||
| 175,566 | ||||||||
|
REAL ESTATE INVESTMENT TRUSTS — 2.1%
|
||||||||
|
BioMed Realty LP
4.25%, 7/15/2022 |
50,000 | 52,121 | ||||||
|
Boston Properties LP
3.85%, 2/1/2023 |
50,000 | 52,661 | ||||||
|
Entertainment Properties Trust
5.75%, 8/15/2022 |
50,000 | 51,917 | ||||||
|
ERP Operating LP
5.38%, 8/1/2016 |
50,000 | 57,353 | ||||||
|
HCP, Inc.
5.38%, 2/1/2021 |
50,000 | 57,041 | ||||||
| 271,093 | ||||||||
|
Principal
|
||||||||
|
Security Description
|
Amount
|
Value
|
||||||
|
ROAD & RAIL — 1.8%
|
||||||||
|
Burlington Northern Santa Fe LLC
3.45%, 9/15/2021 |
$ | 100,000 | $ | 107,008 | ||||
|
CSX Corp.
4.40%, 3/1/2043 |
50,000 | 51,296 | ||||||
|
Norfolk Southern Corp.
3.25%, 12/1/2021 |
75,000 | 78,873 | ||||||
| 237,177 | ||||||||
|
SPECIALTY RETAIL — 2.9%
|
||||||||
|
AmeriGas Partners LP/AmeriGas Finance Corp.
6.25%, 8/20/2019 |
75,000 | 78,000 | ||||||
|
JC Penney Corp, Inc.
7.95%, 4/1/2017 |
50,000 | 51,625 | ||||||
|
Ltd Brands, Inc.
5.63%, 2/15/2022 |
100,000 | 107,750 | ||||||
|
QVC, Inc.
7.50%, 10/1/2019 (a) |
50,000 | 55,325 | ||||||
|
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/1/2022 |
75,000 | 79,875 | ||||||
| 372,575 | ||||||||
|
THRIFTS & MORTGAGE FINANCE — 0.8%
|
||||||||
|
Amsouth Bank/Birmingham AL
5.20%, 4/1/2015 |
100,000 | 104,000 | ||||||
|
TOBACCO — 0.3%
|
||||||||
|
Altria Group, Inc.
9.70%, 11/10/2018 |
26,000 | 37,240 | ||||||
|
WIRELESS TELECOMMUNICATION SERVICES — 3.2%
|
||||||||
|
Embarq Corp.
7.08%, 6/1/2016 |
100,000 | 118,076 | ||||||
|
Telecom Italia Capital SA
7.18%, 6/18/2019 |
75,000 | 82,688 | ||||||
|
Telefonica Emisiones SAU
3.99%, 2/16/2016 |
100,000 | 99,500 | ||||||
|
Windstream Corp.
7.88%, 11/1/2017 |
100,000 | 111,750 | ||||||
| 412,014 | ||||||||
|
TOTAL CORPORATE BONDS & NOTES —
|
||||||||
|
(Cost $12,446,650)
|
12,840,021 | |||||||
|
Shares
|
||||||||
|
SHORT TERM INVESTMENT — 1.3%
|
||||||||
|
MONEY MARKET FUND — 1.3%
|
||||||||
|
State Street Institutional Liquid
Reserves Fund 0.21% (c)(d)(e) (Cost $172,219) |
172,219 | 172,219 | ||||||
|
TOTAL INVESTMENTS — 99.8% (f)
|
||||||||
|
(Cost $12,618,869)
|
13,012,240 | |||||||
|
OTHER ASSETS &
LIABILITIES — 0.2% |
27,257 | |||||||
|
NET ASSETS — 100.0%
|
$ | 13,039,497 | ||||||
|
(a)
|
Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 18.4% of net assets as of September 30, 2012, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||||
|
(b)
|
Security is valued at fair value as determined in good faith by the Trust’s Pricing and Investment Committee in accordance with procedures approved by the Board of Trustees. (See accompanying Notes to Schedules of Investments) | |||||
|
(c)
|
Affiliated Fund managed by SSgA Funds Management, Inc. (See accompanying Notes to Schedules of Investments) | |||||
|
(d)
|
The rate shown is the annualized seven-day yield at period end. | |||||
|
(e)
|
Value is determined based on Level 1 inputs. (See accompanying Notes to Schedules of Investments) | |||||
|
(f)
|
Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs. (See accompanying Notes to Schedules of Investments) | |||||
| • | Level 1 — quoted prices in active markets for identical investments. |
| • | Level 2 — other significant observable inputs (including, but not limited to, quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
|
Level 2 —
|
Level 3 —
|
|||||||||||||||
|
Level 1 —
|
Other Significant
|
Significant
|
||||||||||||||
|
Quoted
|
Observable
|
Unobservable
|
||||||||||||||
|
Fund
|
Prices | Inputs | Inputs | Total | ||||||||||||
|
SPDR Dow Jones Total Market ETF
|
$ | 458,291,259 | $ | — | $ | — | $ | 458,291,259 | ||||||||
|
SPDR Dow Jones Large Cap ETF
|
49,821,019 | — | — | 49,821,019 | ||||||||||||
|
SPDR S&P 500 Growth ETF
|
246,527,379 | — | — | 246,527,379 | ||||||||||||
|
SPDR S&P 500 Value ETF
|
112,941,107 | — | — | 112,941,107 | ||||||||||||
|
SPDR Dow Jones Mid Cap ETF
|
83,927,590 | — | — | 83,927,590 | ||||||||||||
|
SPDR S&P 400 Mid Cap Growth ETF
|
70,057,567 | — | — | 70,057,567 | ||||||||||||
|
SPDR S&P 400 Mid Cap Value ETF
|
29,723,098 | — | — | 29,723,098 | ||||||||||||
|
SPDR S&P 600 Small Cap ETF
|
237,431,245 | — | — | 237,431,245 | ||||||||||||
|
SPDR S&P 600 Small Cap Growth ETF
|
199,453,347 | — | — | 199,453,347 | ||||||||||||
|
SPDR S&P 600 Small Cap Value ETF
|
153,943,943 | — | — | 153,943,943 | ||||||||||||
|
SPDR Global Dow ETF
|
96,772,152 | — | — | 96,772,152 | ||||||||||||
|
SPDR Dow Jones REIT ETF
|
2,047,531,129 | — | — | 2,047,531,129 | ||||||||||||
|
SPDR S&P Bank ETF
|
1,786,715,638 | — | — | 1,786,715,638 | ||||||||||||
|
SPDR S&P Capital Markets ETF
|
21,985,479 | — | — | 21,985,479 | ||||||||||||
|
SPDR S&P Insurance ETF
|
121,267,755 | — | — | 121,267,755 | ||||||||||||
|
SPDR S&P Mortgage Finance ETF
|
5,161,333 | — | — | 5,161,333 | ||||||||||||
|
SPDR S&P Regional Banking ETF
|
1,420,779,544 | — | — | 1,420,779,544 | ||||||||||||
|
SPDR Morgan Stanley Technology ETF
|
177,154,004 | — | — | 177,154,004 | ||||||||||||
|
SPDR S&P Dividend ETF
|
10,090,051,593 | — | — | 10,090,051,593 | ||||||||||||
|
SPDR S&P Aerospace & Defense ETF
|
18,696,627 | — | — | 18,696,627 | ||||||||||||
|
SPDR S&P Biotech ETF
|
813,359,022 | — | — | 813,359,022 | ||||||||||||
|
SPDR S&P Health Care Equipment ETF
|
20,982,024 | — | — | 20,982,024 | ||||||||||||
|
SPDR S&P Health Care Services ETF
|
12,685,180 | — | — | 12,685,180 | ||||||||||||
|
SPDR S&P Homebuilders ETF
|
2,182,235,497 | — | — | 2,182,235,497 | ||||||||||||
|
SPDR S&P Metals & Mining ETF
|
1,133,713,769 | — | — | 1,133,713,769 | ||||||||||||
|
SPDR S&P Oil & Gas Equipment & Services
ETF
|
340,663,864 | — | — | 340,663,864 | ||||||||||||
|
SPDR S&P Oil & Gas Exploration &
Production ETF
|
977,619,964 | — | * | — | 977,619,964 | |||||||||||
|
SPDR S&P Pharmaceuticals ETF
|
464,691,394 | — | — | 464,691,394 | ||||||||||||
|
SPDR S&P Retail ETF
|
875,393,737 | — | — | 875,393,737 | ||||||||||||
|
SPDR S&P Semiconductor ETF
|
42,111,067 | — | — | 42,111,067 | ||||||||||||
|
SPDR S&P Software & Services ETF
|
20,939,840 | — | — | 20,939,840 | ||||||||||||
|
SPDR S&P Telecom ETF
|
4,525,936 | — | — | 4,525,936 | ||||||||||||
|
SPDR S&P Transportation ETF
|
11,983,242 | — | — | 11,983,242 | ||||||||||||
|
SPDR Wells Fargo Preferred Stock ETF
|
324,422,569 | — | — | 324,422,569 | ||||||||||||
|
SPDR Barclays Capital
1-3
Month
T-Bill
ETF
|
634,985 | 1,057,634,406 | — | 1,058,269,391 | ||||||||||||
|
SPDR Barclays Capital TIPS ETF
|
31,411,641 | 767,987,368 | — | 799,399,009 | ||||||||||||
|
SPDR Barclays Capital Short Term Treasury ETF
|
114,122 | 2,985,190 | — | 3,099,312 | ||||||||||||
|
Level 2 —
|
Level 3 —
|
|||||||||||||||
|
Level 1 —
|
Other Significant
|
Significant
|
||||||||||||||
|
Quoted
|
Observable
|
Unobservable
|
||||||||||||||
|
Fund
|
Prices | Inputs | Inputs | Total | ||||||||||||
|
SPDR Barclays Capital Intermediate Term Treasury ETF
|
$ | 6,792,746 | $ | 170,866,020 | $ | — | $ | 177,658,766 | ||||||||
|
SPDR Barclays Capital Long Term Treasury ETF
|
559,556 | 49,787,726 | — | 50,347,282 | ||||||||||||
|
SPDR Barclays Capital Short Term Corporate Bond ETF
|
28,856,030 | 1,268,263,336 | — | 1,297,119,366 | ||||||||||||
|
SPDR Barclays Capital Intermediate Term Corporate Bond ETF
|
20,247,692 | 305,624,388 | — | 325,872,080 | ||||||||||||
|
SPDR Barclays Capital Long Term Corporate Bond ETF
|
4,469,892 | 119,156,444 | — | 123,626,336 | ||||||||||||
|
SPDR Barclays Capital Issuer Scored Corporate Bond ETF
|
1,431,127 | 28,925,807 | — | 30,356,934 | ||||||||||||
|
SPDR Barclays Capital Convertible Securities ETF
|
364,093,216 | 599,111,011 | — | 963,204,227 | ||||||||||||
|
SPDR Barclays Capital Mortgage Backed Bond ETF
|
41,619,290 | 41,734,977 | — | 83,354,267 | ||||||||||||
|
SPDR Barclays Capital Aggregate Bond ETF
|
206,305,429 | 608,911,482 | — | 815,216,911 | ||||||||||||
|
SPDR Nuveen Barclays Capital Municipal Bond ETF
|
3,938,488 | 1,178,245,051 | — | 1,182,183,539 | ||||||||||||
|
SPDR Nuveen Barclays Capital California Municipal Bond ETF
|
4,934,758 | 98,657,514 | — | 103,592,272 | ||||||||||||
|
SPDR Nuveen Barclays Capital New York Municipal Bond ETF
|
1,181,115 | 30,350,976 | — | 31,532,091 | ||||||||||||
|
SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF
|
503,205 | 1,608,339,214 | — | 1,608,842,419 | ||||||||||||
|
SPDR Nuveen S&P VRDO Municipal Bond ETF
|
1,101,841 | 10,902,000 | — | 12,003,841 | ||||||||||||
|
SPDR Nuveen S&P High Yield Municipal Bond ETF
|
2,322,866 | 142,387,866 | — | 144,710,732 | ||||||||||||
|
SPDR Nuveen Barclays Capital Build America Bond ETF
|
91,118 | 108,540,729 | — | 108,631,847 | ||||||||||||
|
SPDR DB International Government
Inflation-Protected
Bond ETF
|
648,227 | 1,327,920,417 | — | 1,328,568,644 | ||||||||||||
|
SPDR Barclays Capital Short Term International Treasury Bond ETF
|
1,829,050 | 231,101,387 | — | 232,930,437 | ||||||||||||
|
SPDR Barclays Capital International Treasury Bond ETF
|
6,184,851 | 1,889,840,197 | — | 1,896,025,048 | ||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
255,444 | 82,675,467 | — | 82,930,911 | ||||||||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
10,512,824 | 228,215,644 | — | 238,728,468 | ||||||||||||
|
SPDR Barclays Capital High Yield Bond ETF
|
67,386,117 | 12,147,239,939 | — | 12,214,626,056 | ||||||||||||
|
SPDR Barclays Capital Short Term High Yield Bond ETF
|
7,738,130 | 302,264,081 | — | 310,002,211 | ||||||||||||
|
SPDR Barclays Capital Investment Grade Floating Rate ETF
|
853,049 | 11,895,087 | — | 12,748,136 | ||||||||||||
|
Level 2 —
|
Level 3 —
|
|||||||||||||||
|
Level 1 —
|
Other Significant
|
Significant
|
||||||||||||||
|
Quoted
|
Observable
|
Unobservable
|
||||||||||||||
|
Fund
|
Prices | Inputs | Inputs | Total | ||||||||||||
|
SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF
|
$ | 189,712 | $ | 15,420,443 | $ | — | $ | 15,610,155 | ||||||||
|
SPDR BofA Merrill Lynch Crossover Corporate Bond ETF
|
172,219 | 12,840,021 | — | 13,012,240 | ||||||||||||
|
*
|
Fund held Level 2 securities that were valued at $0 at September 30, 2012. |
|
Level 2 —
|
Level 3 —
|
|||||||||||||||
|
Level 1 —
|
Other Significant
|
Significant
|
||||||||||||||
|
Quoted
|
Observable
|
Unobservable
|
||||||||||||||
|
Fund — Other Financial
Instruments*
|
Prices | Inputs | Inputs | Total | ||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
$ | — | $ | (20,488 | ) | $ | — | $ | (20,488 | ) | ||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
— | 27,209 | — | 27,209 | ||||||||||||
|
*
|
Other Financial Instruments are derivative instruments not reflected in the Schedules of Investments, such as forward foreign currency contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
|
Interest
|
Foreign
|
|||||||||||||||||||||||||||||
|
Rate
|
Exchange
|
Credit
|
Equity
|
Commodity
|
Other
|
|||||||||||||||||||||||||
|
Contracts
|
Contracts
|
Contracts
|
Contracts
|
Contracts
|
Contracts
|
|||||||||||||||||||||||||
| Risk | Risk | Risk | Risk | Risk | Risk | Total | ||||||||||||||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
Forward Contract | $ | — | $ | (20,488 | ) | $ | — | $ | — | $ | — | $ | — | $ | (20,488 | ) | |||||||||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
Forward Contract | — | 27,209 | — | — | — | — | 27,209 | ||||||||||||||||||||||
|
Number of
|
Number of
|
|||||||||||||||||||||||||||||||||||||||
|
Shares Held
|
Value at
|
Purchased | Sold |
Shares Held
|
Value at
|
Dividend
|
Realized
|
|||||||||||||||||||||||||||||||||
|
|
at 6/30/12 | 6/30/12 | Cost | Shares | Proceeds | Shares | at 9/30/12 | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||||||||
|
SPDR Dow Jones Total Market ETF
|
14,451 | $ | 645,093 | $ | — | — | $ | 21,393 | 519 | 13,932 | $ | 584,587 | $ | 3,344 | $ | 52 | ||||||||||||||||||||||||
|
SPDR Dow Jones Large Cap ETF
|
1,571 | 70,129 | — | — | 4,372 | 100 | 1,471 | 61,723 | 353 | (3,189 | ) | |||||||||||||||||||||||||||||
|
SPDR S&P 500 Value ETF
|
8,598 | 383,815 | — | — | 4,372 | 100 | 8,498 | 356,576 | 2,040 | (175 | ) | |||||||||||||||||||||||||||||
|
SPDR S&P Capital Markets ETF
|
14,765 | 659,110 | 869,456 | 20,881 | 933,107 | 22,931 | 12,715 | 533,521 | 3,052 | (81,582 | ) | |||||||||||||||||||||||||||||
|
SPDR Wells Fargo Preferred Stock ETF
|
— | — | 2,110,451 | 83,899 | 229,077 | 9,091 | 74,808 | 1,888,902 | — | 482 | ||||||||||||||||||||||||||||||
|
Number of
|
Number of
|
|||||||||||||||||||||||||||||||||||||||
|
Shares Held
|
Value at
|
Purchased | Sold |
Shares Held
|
Value at
|
Dividend
|
Realized
|
|||||||||||||||||||||||||||||||||
|
SPDR S&P Dividend ETF
|
at 6/30/12 | 6/30/12 | Cost | Shares | Proceeds | Shares | at 9/30/12 | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||||||||
|
Leggett & Platt, Inc.
|
13,095,592 | $ | 276,709,859 | $ | 4,296,234 | 186,240 | $ | 88,797,895 | 4,097,588 | 9,184,244 | $ | 230,065,312 | $ | 2,677,640 | $ | (3,974,972 | ) | |||||||||||||||||||||||
|
Old Republic International Corp.
|
23,075,011 | 191,291,841 | 2,616,103 | 304,121 | 67,857,600 | 8,384,092 | 14,995,040 | 139,453,872 | 2,676,636 | (12,853,283 | ) | |||||||||||||||||||||||||||||
|
Pitney Bowes, Inc.
|
23,671,553 | 354,363,148 | 3,669,373 | 267,075 | 63,906,524 | 4,734,747 | 19,203,881 | 265,397,635 | 7,190,327 | (43,403,379 | ) | |||||||||||||||||||||||||||||
|
Number of
|
Number of
|
|||||||||||||||||||||||||||||||||||||||
|
Shares Held
|
Value at
|
Purchased | Sold |
Shares Held
|
Value at
|
Dividend
|
Realized
|
|||||||||||||||||||||||||||||||||
|
SPDR S&P Metals & Mining ETF
|
at 6/30/12 | 6/30/12 | Cost | Shares | Proceeds | Shares | at 9/30/12 | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||||||||
|
AK Steel Holding Corp.
|
3,848,751 | $ | 22,592,168 | $ | 26,023,212 | 4,719,452 | $ | 14,987,991 | 2,716,985 | 5,851,218 | $ | 28,085,846 | $ | — | $ | 161,499 | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Liquid Reserves Fund
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR Dow Jones Total Market ETF
|
$ | 1,035,436 | $ | 5,724,667 | 5,724,667 | $ | 4,093,632 | 4,093,632 | $ | 2,666,471 | $ | 1,016 | $ | — | ||||||||||||||||||
|
SPDR Dow Jones Large Cap ETF
|
51,634 | 477,830 | 477,830 | 226,408 | 226,408 | 303,056 | 47 | — | ||||||||||||||||||||||||
|
SPDR S&P 500 Growth ETF
|
384,557 | 2,470,587 | 2,470,587 | 1,548,245 | 1,548,245 | 1,306,899 | 264 | — | ||||||||||||||||||||||||
|
SPDR S&P 500 Value ETF
|
233,121 | 1,376,738 | 1,376,738 | 799,020 | 799,020 | 810,839 | 124 | — | ||||||||||||||||||||||||
|
SPDR Dow Jones Mid Cap ETF
|
105,351 | 1,467,824 | 1,467,824 | 1,160,301 | 1,160,301 | 412,874 | 103 | — | ||||||||||||||||||||||||
|
SPDR S&P 400 Mid Cap Growth ETF
|
45,712 | 1,122,389 | 1,122,389 | 832,053 | 832,053 | 336,048 | 67 | — | ||||||||||||||||||||||||
|
SPDR S&P 400 Mid Cap Value ETF
|
50,273 | 344,681 | 344,681 | 199,701 | 199,701 | 195,253 | 27 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap ETF
|
163,838 | 996,236 | 996,236 | 526,366 | 526,366 | 633,708 | 203 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap Growth ETF
|
195,301 | 1,342,397 | 1,342,397 | 805,963 | 805,963 | 731,735 | 151 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap Value ETF
|
184,093 | 1,245,610 | 1,245,610 | 703,150 | 703,150 | 726,553 | 108 | — | ||||||||||||||||||||||||
|
SPDR Global Dow ETF
|
19,187 | 690,296 | 690,296 | 305,765 | 305,765 | 403,718 | 35 | — | ||||||||||||||||||||||||
|
SPDR Dow Jones REIT ETF
|
4,040,861 | 30,965,618 | 30,965,618 | 14,789,908 | 14,789,908 | 20,216,571 | 1,165 | — | ||||||||||||||||||||||||
|
SPDR S&P Bank ETF
|
1,868,819 | 15,075,488 | 15,075,488 | 6,901,791 | 6,901,791 | 10,042,516 | 1,422 | — | ||||||||||||||||||||||||
|
SPDR S&P Capital Markets ETF
|
75,427 | 294,981 | 294,981 | 155,452 | 155,452 | 214,956 | 33 | — | ||||||||||||||||||||||||
|
SPDR S&P Insurance ETF
|
34,077 | 753,003 | 753,003 | 176,439 | 176,439 | 610,641 | 81 | — | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Liquid Reserves Fund
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR S&P Mortgage Finance ETF
|
$ | 3,673 | $ | 41,489 | 41,489 | $ | 3,030 | 3,030 | $ | 42,132 | $ | 7 | $ | — | ||||||||||||||||||
|
SPDR S&P Regional Banking ETF
|
969,167 | 7,096,678 | 7,096,678 | 1,815,847 | 1,815,847 | 6,249,998 | 1,306 | — | ||||||||||||||||||||||||
|
SPDR Morgan Stanley Technology ETF
|
182,957 | 435,274 | 435,274 | 211,231 | 211,231 | 407,000 | 108 | — | ||||||||||||||||||||||||
|
SPDR S&P Dividend ETF
|
13,086,860 | 136,040,086 | 136,040,086 | 65,242,651 | 65,242,651 | 83,884,295 | 12,735 | — | ||||||||||||||||||||||||
|
SPDR S&P Aerospace & Defense ETF
|
33,594 | 660,366 | 660,366 | 630,349 | 630,349 | 63,611 | 28 | — | ||||||||||||||||||||||||
|
SPDR S&P Biotech ETF
|
1,272,065 | 3,275,389 | 3,275,389 | 4,045,579 | 4,045,579 | 501,875 | 504 | — | ||||||||||||||||||||||||
|
SPDR S&P Health Care Equipment ETF
|
52,246 | 56,649 | 56,649 | 36,685 | 36,685 | 72,210 | 36 | — | ||||||||||||||||||||||||
|
SPDR S&P Health Care Services ETF
|
18,111 | 118,453 | 118,453 | 96,089 | 96,089 | 40,475 | 14 | — | ||||||||||||||||||||||||
|
SPDR S&P Homebuilders ETF
|
305,484 | 3,685,386 | 3,685,386 | 1,082,137 | 1,082,137 | 2,908,733 | 771 | — | ||||||||||||||||||||||||
|
SPDR S&P Metals & Mining ETF
|
740,479 | 4,459,720 | 4,459,720 | 618,407 | 618,407 | 4,581,792 | 848 | — | ||||||||||||||||||||||||
|
SPDR S&P Oil & Gas Equipment & Services
ETF
|
510,337 | 666,885 | 666,885 | 977,799 | 977,799 | 199,423 | 303 | — | ||||||||||||||||||||||||
|
SPDR S&P Oil & Gas Exploration &
Production ETF
|
3,382,722 | 3,497,591 | 3,497,591 | 3,762,918 | 3,762,918 | 3,117,395 | 952 | — | ||||||||||||||||||||||||
|
SPDR S&P Pharmaceuticals ETF
|
60,156 | 9,371,350 | 9,371,350 | 3,363,817 | 3,363,817 | 6,067,689 | 502 | — | ||||||||||||||||||||||||
|
SPDR S&P Retail ETF
|
100 | 5,269,731 | 5,269,731 | 1,670,147 | 1,670,147 | 3,599,684 | 675 | — | ||||||||||||||||||||||||
|
SPDR S&P Semiconductor ETF
|
25,945 | 130,433 | 130,433 | 93,315 | 93,315 | 63,063 | 18 | — | ||||||||||||||||||||||||
|
SPDR S&P Software & Services ETF
|
17,482 | 102,314 | 102,314 | 26,116 | 26,116 | 93,680 | 21 | — | ||||||||||||||||||||||||
|
SPDR S&P Telecom ETF
|
3,970 | 32,291 | 32,291 | 5,766 | 5,766 | 30,495 | 4 | — | ||||||||||||||||||||||||
|
SPDR S&P Transportation ETF
|
2,723 | 32,828 | 32,828 | 8,705 | 8,705 | 26,846 | 4 | — | ||||||||||||||||||||||||
|
SPDR Wells Fargo Preferred Stock ETF
|
556,574 | 32,817,569 | 32,817,569 | 27,608,190 | 27,608,190 | 5,765,953 | 680 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital
1-3
Month
T-Bill
ETF
|
343,929 | 1,431,191 | 1,431,191 | 1,140,135 | 1,140,135 | 634,985 | 378 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital TIPS ETF
|
229,449 | 7,312,634 | 7,312,634 | 7,056,280 | 7,056,280 | 485,803 | 663 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term Treasury ETF
|
17,494 | 260,050 | 260,050 | 264,882 | 264,882 | 12,662 | — | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Intermediate Term Treasury ETF
|
309,305 | 6,493,507 | 6,493,507 | 6,328,546 | 6,328,546 | 474,266 | 316 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Long Term Treasury ETF
|
30,510 | 2,095,979 | 2,095,979 | 2,099,806 | 2,099,806 | 26,683 | 97 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term Corporate Bond ETF
|
37,784,863 | 113,477,444 | 113,477,444 | 122,406,277 | 122,406,277 | 28,856,030 | — | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Intermediate Term Corporate Bond ETF
|
4,036,053 | 20,024,664 | 20,024,664 | 20,843,895 | 20,843,895 | 3,216,822 | 784 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Long Term Corporate Bond ETF
|
570,221 | 8,922,293 | 8,922,293 | 8,432,850 | 8,432,850 | 1,059,664 | 567 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Issuer Scored Corporate Bond ETF
|
323,331 | 2,532,475 | 2,532,475 | 1,424,679 | 1,424,679 | 1,431,127 | — | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Convertible Securities ETF
|
1,950,503 | 15,875,436 | 15,875,436 | 12,765,647 | 12,765,647 | 5,060,292 | 1,467 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Mortgage Backed Bond ETF
|
38,609,848 | 3,138,120 | 3,138,120 | 128,678 | 128,678 | 41,619,290 | 20,157 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Aggregate Bond ETF
|
182,094,141 | 20,880,006 | 20,880,006 | 14,998,031 | 14,998,031 | 187,976,116 | 92,003 | — | ||||||||||||||||||||||||
|
SPDR Nuveen Barclays Capital Build America Bond ETF
|
— | 6,639,302 | 6,639,302 | 6,548,184 | 6,548,184 | 91,118 | — | — | ||||||||||||||||||||||||
|
SPDR DB International Government
Inflation-Protected
Bond ETF
|
1,444,178 | 5,227,552 | 5,227,552 | 6,023,503 | 6,023,503 | 648,227 | 389 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term International Treasury Bond ETF
|
48,022 | 1,659,155 | 1,659,155 | 1,637,317 | 1,637,317 | 69,860 | 41 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital International Treasury Bond ETF
|
328,388 | 27,600,895 | 27,600,895 | 27,039,387 | 27,039,387 | 889,896 | 556 | — | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Liquid Reserves Fund
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
$ | 1,033 | $ | 570,931 | 570,931 | $ | 465,980 | 465,980 | $ | 105,984 | $ | 19 | $ | — | ||||||||||||||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
3,749,153 | 20,820,001 | 20,820,001 | 19,637,535 | 19,637,535 | 4,931,619 | 2,128 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital High Yield Bond ETF
|
113,698,781 | 742,851,761 | 742,851,761 | 789,164,425 | 789,164,425 | 67,386,117 | 48,976 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term High Yield Bond ETF
|
592,611 | 49,092,795 | 49,092,795 | 41,947,276 | 41,947,276 | 7,738,130 | — | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Investment Grade Floating Rate ETF
|
61,364 | 452,711 | 452,711 | 228,186 | 228,186 | 285,889 | — | — | ||||||||||||||||||||||||
|
SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF
|
233,694 | 423,246 | 423,246 | 467,228 | 467,228 | 189,712 | — | — | ||||||||||||||||||||||||
|
SPDR BofA Merrill Lynch Crossover Corporate Bond ETF
|
42,182 | 761,732 | 761,732 | 631,695 | 631,695 | 172,219 | — | — | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Tax Free Money Market Fund
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR Nuveen Barclays Capital Municipal Bond ETF
|
$ | 5,402,072 | $ | 28,847,854 | 28,847,854 | $ | 30,311,438 | 30,311,438 | $ | 3,938,488 | $ | — | $ | — | ||||||||||||||||||
|
SPDR Nuveen Barclays Capital California Municipal Bond ETF
|
2,176,895 | 10,306,896 | 10,306,896 | 7,549,033 | 7,549,033 | 4,934,758 | — | — | ||||||||||||||||||||||||
|
SPDR Nuveen Barclays Capital New York Municipal Bond ETF
|
108,090 | 1,233,221 | 1,233,221 | 160,196 | 160,196 | 1,181,115 | — | — | ||||||||||||||||||||||||
|
SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF
|
2,902,320 | 54,685,954 | 54,685,954 | 57,085,069 | 57,085,069 | 503,205 | — | — | ||||||||||||||||||||||||
|
SPDR Nuveen S&P VRDO Municipal Bond ETF
|
598,164 | 4,388,506 | 4,388,506 | 3,884,829 | 3,884,829 | 1,101,841 | — | — | ||||||||||||||||||||||||
|
SPDR Nuveen S&P High Yield Municipal Bond ETF
|
2,457,747 | 34,988,256 | 34,988,256 | 35,123,137 | 35,123,137 | 2,322,866 | — | — | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Prime Portfolio
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR Dow Jones Total Market ETF
|
$ | 25,599,732 | $ | 15,069,605 | 15,069,605 | $ | 17,641,488 | 17,641,488 | $ | 23,027,849 | $ | 16,523 | $ | — | ||||||||||||||||||
|
SPDR Dow Jones Large Cap ETF
|
7,527,062 | 14,536,422 | 14,536,422 | 16,184,357 | 16,184,357 | 5,879,127 | 5,106 | — | ||||||||||||||||||||||||
|
SPDR S&P 500 Growth ETF
|
9,781,869 | 22,333,460 | 22,333,460 | 22,354,668 | 22,354,668 | 9,760,661 | 7,463 | — | ||||||||||||||||||||||||
|
SPDR S&P 500 Value ETF
|
6,556,293 | 25,484,371 | 25,484,371 | 23,182,368 | 23,182,368 | 8,858,296 | 6,523 | — | ||||||||||||||||||||||||
|
SPDR Dow Jones Mid Cap ETF
|
8,890,620 | 7,422,468 | 7,422,468 | 6,948,492 | 6,948,492 | 9,364,596 | 5,836 | — | ||||||||||||||||||||||||
|
SPDR S&P 400 Mid Cap Growth ETF
|
8,483,285 | 7,517,177 | 7,517,177 | 8,641,214 | 8,641,214 | 7,359,248 | 5,406 | — | ||||||||||||||||||||||||
|
SPDR S&P 400 Mid Cap Value ETF
|
6,057,766 | 7,499,260 | 7,499,260 | 7,092,313 | 7,092,313 | 6,464,713 | 4,354 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap ETF
|
35,735,740 | 9,941,760 | 9,941,760 | 20,344,272 | 20,344,272 | 25,333,228 | 21,212 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap Growth ETF
|
22,607,900 | 15,291,942 | 15,291,942 | 15,656,064 | 15,656,064 | 22,243,778 | 16,963 | — | ||||||||||||||||||||||||
|
SPDR S&P 600 Small Cap Value ETF
|
19,171,041 | 9,185,365 | 9,185,365 | 11,257,106 | 11,257,106 | 17,099,300 | 13,361 | — | ||||||||||||||||||||||||
|
SPDR Global Dow ETF
|
2,968,835 | 6,454,762 | 6,454,762 | 4,030,115 | 4,030,115 | 5,393,482 | 1,953 | — | ||||||||||||||||||||||||
|
SPDR Dow Jones REIT ETF
|
133,282,910 | 245,639,651 | 245,639,651 | 272,126,881 | 272,126,881 | 106,795,680 | 83,388 | — | ||||||||||||||||||||||||
|
SPDR S&P Bank ETF
|
100,604,882 | 99,777,176 | 99,777,176 | 83,733,172 | 83,733,172 | 116,648,886 | 71,374 | — | ||||||||||||||||||||||||
|
SPDR S&P Capital Markets ETF
|
6,047,169 | 13,203,933 | 13,203,933 | 15,156,357 | 15,156,357 | 4,094,745 | 3,844 | — | ||||||||||||||||||||||||
|
SPDR S&P Insurance ETF
|
8,166,300 | 36,749,658 | 36,749,658 | 31,899,059 | 31,899,059 | 13,016,899 | 6,468 | — | ||||||||||||||||||||||||
|
SPDR S&P Mortgage Finance ETF
|
1,006,471 | 1,771,062 | 1,771,062 | 1,791,419 | 1,791,419 | 986,114 | 746 | — | ||||||||||||||||||||||||
|
SPDR S&P Regional Banking ETF
|
128,355,506 | 93,555,116 | 93,555,116 | 123,417,026 | 123,417,026 | 98,493,596 | 90,482 | — | ||||||||||||||||||||||||
|
SPDR Morgan Stanley Technology ETF
|
13,936,861 | 50,029,731 | 50,029,731 | 57,320,443 | 57,320,443 | 6,646,149 | 11,598 | — | ||||||||||||||||||||||||
|
SPDR S&P Dividend ETF
|
923,885,678 | 754,015,267 | 754,015,267 | 1,083,250,739 | 1,083,250,739 | 594,650,206 | 483,093 | — | ||||||||||||||||||||||||
|
Value at
|
Purchased | Sold |
Value at
|
Realized
|
||||||||||||||||||||||||||||
|
Prime Portfolio
|
6/30/12 | Cost | Shares | Proceeds | Shares | 9/30/12 | Income | Gain/(Loss) | ||||||||||||||||||||||||
|
SPDR S&P Aerospace & Defense ETF
|
$ | 3,569,434 | $ | 15,020,097 | 15,020,097 | $ | 15,103,129 | 15,103,129 | $ | 3,486,402 | $ | 2,505 | $ | — | ||||||||||||||||||
|
SPDR S&P Biotech ETF
|
150,735,091 | 142,343,414 | 142,343,414 | 157,810,773 | 157,810,773 | 135,267,732 | 109,747 | — | ||||||||||||||||||||||||
|
SPDR S&P Health Care Services ETF
|
2,548,666 | 5,287,424 | 5,287,424 | 5,204,872 | 5,204,872 | 2,631,218 | 1,792 | — | ||||||||||||||||||||||||
|
SPDR S&P Homebuilders ETF
|
207,781,566 | 278,584,193 | 278,584,193 | 226,865,000 | 226,865,000 | 259,500,759 | 147,893 | — | ||||||||||||||||||||||||
|
SPDR S&P Metals & Mining ETF
|
125,083,465 | 165,166,105 | 165,166,105 | 150,540,214 | 150,540,214 | 139,709,356 | 86,602 | — | ||||||||||||||||||||||||
|
SPDR S&P Oil & Gas Equipment & Services
ETF
|
36,495,540 | 46,055,548 | 46,055,548 | 45,931,578 | 45,931,578 | 36,619,510 | 27,035 | — | ||||||||||||||||||||||||
|
SPDR S&P Oil & Gas Exploration &
Production ETF
|
117,389,967 | 144,583,279 | 144,583,279 | 166,621,020 | 166,621,020 | 95,352,226 | 82,326 | — | ||||||||||||||||||||||||
|
SPDR S&P Pharmaceuticals ETF
|
43,840,387 | 75,878,757 | 75,878,757 | 94,400,639 | 94,400,639 | 25,318,505 | 30,340 | — | ||||||||||||||||||||||||
|
SPDR S&P Retail ETF
|
79,692,306 | 116,821,264 | 116,821,264 | 131,859,664 | 131,859,664 | 64,653,906 | 58,368 | — | ||||||||||||||||||||||||
|
SPDR S&P Semiconductor ETF
|
7,241,651 | 27,469,793 | 27,469,793 | 27,416,578 | 27,416,578 | 7,294,866 | 5,316 | — | ||||||||||||||||||||||||
|
SPDR S&P Software & Services ETF
|
5,109,432 | 5,683,366 | 5,683,366 | 6,342,392 | 6,342,392 | 4,450,406 | 3,422 | — | ||||||||||||||||||||||||
|
SPDR Wells Fargo Preferred Stock ETF
|
37,501,994 | 74,838,575 | 74,838,575 | 78,720,257 | 78,720,257 | 33,620,312 | 27,963 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital
1-3
Month
T-Bill
ETF
|
— | 1,277,190,960 | 1,277,190,960 | 1,277,190,960 | 1,277,190,960 | — | 140,195 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital TIPS ETF
|
31,170,780 | 182,011,555 | 182,011,555 | 182,256,497 | 182,256,497 | 30,925,838 | 26,007 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term Treasury ETF
|
31,581 | 229,376 | 229,376 | 159,497 | 159,497 | 101,460 | 36 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Intermediate Term Treasury ETF
|
14,463,796 | 28,083,912 | 28,083,912 | 36,229,228 | 36,229,228 | 6,318,480 | 7,933 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Long Term Treasury ETF
|
1,764,865 | 17,303,036 | 17,303,036 | 18,535,028 | 18,535,028 | 532,873 | 2,049 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Intermediate Term Corporate Bond ETF
|
13,566,242 | 14,423,468 | 14,423,468 | 10,958,840 | 10,958,840 | 17,030,870 | 10,744 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Long Term Corporate Bond ETF
|
2,107,870 | 6,200,268 | 6,200,268 | 4,897,910 | 4,897,910 | 3,410,228 | 2,761 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Convertible Securities ETF
|
78,566,992 | 162,533,687 | 162,533,687 | 125,890,479 | 125,890,479 | 115,210,200 | 57,865 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Aggregate Bond ETF
|
30,686,955 | 42,902,441 | 42,902,441 | 55,260,083 | 55,260,083 | 18,329,313 | 18,294 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Short Term International Treasury Bond ETF
|
460,144 | 2,556,717 | 2,556,717 | 1,257,671 | 1,257,671 | 1,759,190 | 1,211 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital International Treasury Bond ETF
|
5,711,554 | 7,054,305 | 7,054,305 | 7,470,904 | 7,470,904 | 5,294,955 | 4,961 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
— | 149,460 | 149,460 | — | — | 149,460 | 3 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
4,442,300 | 10,979,855 | 10,979,855 | 9,840,950 | 9,840,950 | 5,581,205 | 2,395 | — | ||||||||||||||||||||||||
|
SPDR Barclays Capital Investment Grade Floating Rate ETF
|
— | 1,505,853 | 1,505,853 | 938,693 | 938,693 | 567,160 | 354 | — | ||||||||||||||||||||||||
|
Gross
|
Gross
|
Net Unrealized
|
||||||||||||||
|
Identified
|
Unrealized
|
Unrealized
|
Appreciation
|
|||||||||||||
|
|
Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||
|
SPDR Dow Jones Total Market ETF
|
$ | 426,748,970 | $ | 53,671,846 | $ | 22,129,557 | $ | 31,542,289 | ||||||||
|
SPDR Dow Jones Large Cap ETF
|
44,173,607 | 7,353,541 | 1,706,129 | 5,647,412 | ||||||||||||
|
SPDR S&P 500 Growth ETF
|
190,117,836 | 59,685,276 | 3,275,733 | 56,409,543 | ||||||||||||
|
SPDR S&P 500 Value ETF
|
114,982,711 | 14,820,634 | 16,862,238 | (2,041,604 | ) | |||||||||||
|
SPDR Dow Jones Mid Cap ETF
|
76,096,419 | 11,369,169 | 3,537,998 | 7,831,171 | ||||||||||||
|
SPDR S&P 400 Mid Cap Growth ETF
|
64,553,983 | 10,274,090 | 4,770,506 | 5,503,584 | ||||||||||||
|
SPDR S&P 400 Mid Cap Value ETF
|
28,216,949 | 3,128,582 | 1,622,433 | 1,506,149 | ||||||||||||
|
SPDR S&P 600 Small Cap ETF
|
228,114,410 | 20,114,614 | 10,797,779 | 9,316,835 | ||||||||||||
|
SPDR S&P 600 Small Cap Growth ETF
|
183,374,315 | 26,813,968 | 10,734,936 | 16,079,032 | ||||||||||||
|
SPDR S&P 600 Small Cap Value ETF
|
149,901,873 | 16,144,204 | 12,102,134 | 4,042,070 | ||||||||||||
|
SPDR Global Dow ETF
|
108,471,042 | 7,540,889 | 19,239,779 | (11,698,890 | ) | |||||||||||
|
SPDR Dow Jones REIT ETF
|
1,884,507,753 | 241,591,435 | 78,568,059 | 163,023,376 | ||||||||||||
|
SPDR S&P Bank ETF
|
1,823,857,780 | 38,346,240 | 75,488,382 | (37,142,142 | ) | |||||||||||
|
SPDR S&P Capital Markets ETF
|
26,962,430 | 293,499 | 5,270,450 | (4,976,951 | ) | |||||||||||
|
SPDR S&P Insurance ETF
|
123,776,818 | 3,146,277 | 5,655,340 | (2,509,063 | ) | |||||||||||
|
SPDR S&P Mortgage Finance ETF
|
4,385,374 | 818,814 | 42,855 | 775,959 | ||||||||||||
|
SPDR S&P Regional Banking ETF
|
1,422,304,412 | 43,296,359 | 44,821,227 | (1,524,868 | ) | |||||||||||
|
SPDR Morgan Stanley Technology ETF
|
172,302,768 | 35,840,151 | 30,988,915 | 4,851,236 | ||||||||||||
|
SPDR S&P Dividend ETF
|
9,070,464,733 | 1,167,747,912 | 148,161,052 | 1,019,586,860 | ||||||||||||
|
SPDR S&P Aerospace & Defense ETF
|
17,295,636 | 1,501,643 | 100,652 | 1,400,991 | ||||||||||||
|
SPDR S&P Biotech ETF
|
801,816,899 | 89,421,562 | 77,879,439 | 11,542,123 | ||||||||||||
|
SPDR S&P Health Care Equipment ETF
|
20,126,009 | 1,914,993 | 1,058,978 | 856,015 | ||||||||||||
|
SPDR S&P Health Care Services ETF
|
11,664,630 | 1,234,896 | 214,346 | 1,020,550 | ||||||||||||
|
SPDR S&P Homebuilders ETF
|
1,990,749,100 | 221,941,164 | 30,454,767 | 191,486,397 | ||||||||||||
|
SPDR S&P Metals & Mining ETF
|
1,429,549,978 | 15,130,275 | 310,966,484 | (295,836,209 | ) | |||||||||||
|
SPDR S&P Oil & Gas Equipment & Services
ETF
|
376,981,803 | 8,823,493 | 45,141,432 | (36,317,939 | ) | |||||||||||
|
SPDR S&P Oil & Gas Exploration &
Production ETF
|
1,128,645,555 | 10,394,346 | 161,419,937 | (151,025,591 | ) | |||||||||||
|
SPDR S&P Pharmaceuticals ETF
|
423,945,537 | 53,741,017 | 12,995,160 | 40,745,857 | ||||||||||||
|
SPDR S&P Retail ETF
|
943,172,660 | 8,616,142 | 76,395,065 | (67,778,923 | ) | |||||||||||
|
SPDR S&P Semiconductor ETF
|
47,575,311 | 190,537 | 5,654,781 | (5,464,244 | ) | |||||||||||
|
SPDR S&P Software & Services ETF
|
19,782,021 | 2,023,093 | 865,274 | 1,157,819 | ||||||||||||
|
SPDR S&P Telecom ETF
|
5,342,534 | 239,814 | 1,056,412 | (816,598 | ) | |||||||||||
|
SPDR S&P Transportation ETF
|
12,064,912 | 986,436 | 1,068,106 | (81,670 | ) | |||||||||||
|
SPDR Wells Fargo Preferred Stock ETF
|
318,897,723 | 6,486,766 | 961,920 | 5,524,846 | ||||||||||||
|
SPDR Barclays Capital
1-3
Month
T-Bill
ETF
|
1,058,268,412 | 8,831 | 7,852 | 979 | ||||||||||||
|
SPDR Barclays Capital TIPS ETF
|
725,487,991 | 73,912,755 | 1,737 | 73,911,018 | ||||||||||||
|
SPDR Barclays Capital Short Term Treasury ETF
|
3,081,934 | 17,416 | 38 | 17,378 | ||||||||||||
|
SPDR Barclays Capital Intermediate Term Treasury ETF
|
169,734,634 | 7,931,093 | 6,961 | 7,924,132 | ||||||||||||
|
Gross
|
Gross
|
Net Unrealized
|
||||||||||||||
|
Identified
|
Unrealized
|
Unrealized
|
Appreciation
|
|||||||||||||
|
|
Cost | Appreciation | Depreciation | (Depreciation) | ||||||||||||
|
SPDR Barclays Capital Long Term Treasury ETF
|
$ | 50,101,855 | $ | 381,179 | $ | 135,752 | $ | 245,427 | ||||||||
|
SPDR Barclays Capital Short Term Corporate Bond ETF
|
1,285,575,985 | 11,992,788 | 449,407 | 11,543,381 | ||||||||||||
|
SPDR Barclays Capital Intermediate Term Corporate Bond ETF
|
309,275,854 | 16,743,462 | 147,236 | 16,596,226 | ||||||||||||
|
SPDR Barclays Capital Long Term Corporate Bond ETF
|
115,230,880 | 8,740,026 | 344,570 | 8,395,456 | ||||||||||||
|
SPDR Barclays Capital Issuer Scored Corporate Bond ETF
|
29,005,417 | 1,404,528 | 53,011 | 1,351,517 | ||||||||||||
|
SPDR Barclays Capital Convertible Securities ETF
|
972,377,596 | 51,239,292 | 60,412,661 | (9,173,369 | ) | |||||||||||
|
SPDR Barclays Capital Mortgage Backed Bond ETF
|
83,171,183 | 192,244 | 9,160 | 183,084 | ||||||||||||
|
SPDR Barclays Capital Aggregate Bond ETF
|
792,072,625 | 23,351,439 | 207,153 | 23,144,286 | ||||||||||||
|
SPDR Nuveen Barclays Capital Municipal Bond ETF
|
1,098,236,893 | 83,988,722 | 42,076 | 83,946,646 | ||||||||||||
|
SPDR Nuveen Barclays Capital California Municipal Bond ETF
|
96,352,386 | 7,253,253 | 13,367 | 7,239,886 | ||||||||||||
|
SPDR Nuveen Barclays Capital New York Municipal Bond ETF
|
29,483,998 | 2,053,571 | 5,478 | 2,048,093 | ||||||||||||
|
SPDR Nuveen Barclays Capital Short Term Municipal Bond ETF
|
1,576,643,292 | 32,207,316 | 8,189 | 32,199,127 | ||||||||||||
|
SPDR Nuveen S&P VRDO Municipal Bond ETF
|
12,003,841 | — | — | — | ||||||||||||
|
SPDR Nuveen S&P High Yield Municipal Bond ETF
|
136,280,814 | 9,228,003 | 798,085 | 8,429,918 | ||||||||||||
|
SPDR Nuveen Barclays Capital Build America Bond ETF
|
99,900,927 | 8,765,576 | 34,656 | 8,730,920 | ||||||||||||
|
SPDR DB International Government
Inflation-Protected
Bond ETF
|
1,212,532,601 | 124,027,975 | 7,991,932 | 116,036,043 | ||||||||||||
|
SPDR Barclays Capital Short Term International Treasury Bond ETF
|
229,976,452 | 5,505,614 | 2,551,629 | 2,953,985 | ||||||||||||
|
SPDR Barclays Capital International Treasury Bond ETF
|
1,773,185,096 | 137,857,323 | 15,017,371 | 122,839,952 | ||||||||||||
|
SPDR Barclays Capital International Corporate Bond ETF
|
81,907,990 | 2,165,406 | 1,142,485 | 1,022,921 | ||||||||||||
|
SPDR Barclays Capital Emerging Markets Local Bond ETF
|
236,491,558 | 5,648,709 | 3,411,799 | 2,236,910 | ||||||||||||
|
SPDR Barclays Capital High Yield Bond ETF
|
11,903,977,628 | 386,427,341 | 75,778,913 | 310,648,428 | ||||||||||||
|
SPDR Barclays Capital Short Term High Yield Bond ETF
|
308,175,958 | 3,531,034 | 1,704,781 | 1,826,253 | ||||||||||||
|
SPDR Barclays Capital Investment Grade Floating Rate ETF
|
12,640,233 | 108,662 | 759 | 107,903 | ||||||||||||
|
SPDR BofA Merrill Lynch Emerging Markets Corporate Bond ETF
|
15,039,459 | 586,816 | 16,120 | 570,696 | ||||||||||||
|
SPDR BofA Merrill Lynch Crossover Corporate Bond ETF
|
12,618,869 | 403,427 | 10,056 | 393,371 | ||||||||||||
|
By:
|
/s/ Ellen M. Needham | ||
|
|
|||
|
|
Ellen M. Needham | ||
|
|
President | ||
|
By:
|
/s/ Chad C. Hallett | ||
|
|
|||
|
|
Chad C. Hallett | ||
|
|
Treasurer |
|
By:
|
/s/ Ellen M. Needham | ||
|
|
|||
|
|
Ellen M. Needham | ||
|
|
President | ||
|
By:
|
/s/ Chad C. Hallett | ||
|
|
|||
|
|
Chad C. Hallett | ||
|
|
Treasurer |