Form 497K STATE STREET INSTITUTION
In seeking to track the performance of the Index, the Fund employs a sampling strategy, which means that the Fund will generally not purchase all of the securities represented in the Index. Instead, the Fund may purchase a subset of the securities in the Index, or securities that the Advisor considers comparable to the securities in the Index, with the aim of holding a portfolio of securities with generally the same characteristics. risk and return of the Index. The number of holdings in the Fund will depend on a number of factors, including the size of the Fund’s assets. SSGA Funds Management, Inc. (“SSGA FM” or the “Advisor”), the investment advisor of the Fund, generally expects the Fund to hold less than the total number of securities in the index, but reserves the right to the right to hold as many securities as it deems necessary to achieve the Fund’s investment objective.
Under normal circumstances, the Fund generally invests substantially all, but at least 80%, of its net assets (plus borrowings, if any) in securities comprising the Index or in securities which the Advisor believes to have economic characteristics comparable to economic characteristics. of the securities that make up the Index. The notional value of the Fund’s investments in derivatives or other synthetic instruments which provide exposures comparable, in the opinion of the Adviser, to investments in the Index may be taken into account for the satisfaction of this 80% policy. The Fund will give shareholders at least sixty (60) days’ notice prior to any modification of this 80% investment policy. The Fund may also invest in other debt securities, cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised by the Adviser. ).
The Fund may sometimes buy or sell fixed income futures contracts, or options on such futures contracts, instead of investing directly in the fixed income securities themselves. The Fund may also buy or sell futures contracts and related options on the index (or other fixed income indexes). The Fund could do this, for example, in order to adjust the interest rate sensitivity of the Fund in order to reconcile the characteristics of the Fund with those of the Index. It may also do so to increase its investment exposure pending the investment of cash in bonds or other investments or to reduce its investment exposure in situations where it intends to sell part of its securities. portfolio but the sale is not yet complete. The Fund may also enter into other derivative transactions, including the use of options or swaps, instead of investing directly in the equities comprising the Index. The Fund may, to the extent permitted by applicable law, invest in shares of other UCIs whose investment objectives and policies are similar to those of the Fund (including funds advised by the Adviser).
The Index is designed to measure the performance of the investment grade US dollar denominated bond market, which includes the investment grade (must be Baa3 / BBB- / BBB- or higher using the average rating from Moody’s Investors Service, Inc. , Standard & Poor’s, and Fitch Inc.) government bonds, investment grade corporate bonds, mortgage transfer securities, commercial mortgage-backed securities and other asset-backed securities that are publicly traded sold in the United States. Securities in the index must be at least one year old and have a par value outstanding of at least $ 300 million. Asset-backed securities must have a minimum transaction size of $ 500 million and a minimum tranche of $ 25 million. For commercial mortgage-backed securities, the initial aggregate transaction must have a minimum transaction size of $ 500 million and a minimum tranche of $ 25 million; the total size of open trades must be at least $ 300 million to remain in the index. In addition, the securities must be denominated in US dollars, fixed rate, non-convertible and taxable. Certain types of securities, such as flowery bonds, targeted investor notes, and series state and local government bonds are excluded from the index. Also excluded from the Index are structured notes with embedded swaps or other special features, private placements, floating rate securities and Eurobonds. The index is market capitalization weighted and the index securities are updated on the last business day of each month. It is not possible to invest directly in the Index.
The Fund generally expects to invest a significant portion of its assets in US agency mortgage transfer securities up to a total weight comparable to that of the index. Most transactions in mortgage transfer securities are done through standardized contracts for future delivery in which the exact mortgage pools to be delivered are specified only a few days before settlement, known as a “trade to be announced” or “to be delivered”. to confirm. Transaction. ”In a transaction to be confirmed, the buyer and seller agree on general business parameters such as agency, settlement date, face amount, and price. Actual pools delivered are usually determined two days prior to the date. settlement; however, it is not intended that the Fund will receive pools, but rather will participate in ongoing to be confirmed transactions.The Fund expects to enter into such contracts on a regular basis.
The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the Aggregated Bond Index Portfolio, which has investment policies substantially identical to those of the Fund. When the Fund invests in this “master-feeder” structure, the Fund’s only investments are portfolio shares and it participates in the investment returns realized by the portfolio. The descriptions in this section of the investing activities of the “Fund” also generally describe the intended investing activities of the Portfolio.