Financial Statements
Independent Auditor's Report To the Trustee of State Street Bank and Trust Company We have audited the accompanying financial statements of State Street Bank and Trust Company State Street Emerging Markets Index Non- Lending Series Fund (formerly State Street Bank and Trust Company SSgA Emerging Markets Index Non-Lending Series Fund) ("the Fund"), which comprise the statement of assets and liabilities, including the schedule of investments as of, and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of State Street Bank and Trust Company at, and the results of its operations and changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 24, 2016 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210 T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us
Statement of Assets and Liabilities Assets Investments in securities, at value (cost $2,615,867,759) $ 2,235,457,739 Due from Trustee 9,489 Receivable for Fund units issued 4,796,341 Total assets 2,240,263,569 Liabilities Payable for Fund units redeemed 23,020,649 Accrued expenses 30,311 Total liabilities 23,050,960 Net Assets, at value $ 2,217,212,609 The accompanying notes are an integral part of these financial statements. 2
Statement of Assets and Liabilities (continued) - Class A (79,969,534 units outstanding, at $21.93 per unit net asset value) $ 1,754,095,356 - Class C (17,096,408 units outstanding, at $14.19 per unit net asset value) 242,679,844 - Class GM-M (25,170,438 units outstanding, at $8.76 per unit net asset value) 220,437,409 $ 2,217,212,609 The accompanying notes are an integral part of these financial statements. 3
Statement of Operations Year Ended Investment income Total investment income $ - Expenses Management 324,728 Administration 77,808 Audit 8,300 Other 2,750 Total expenses 413,586 Waivers and reimbursements (15,584) Net expenses 398,002 Net investment income (loss) (398,002) Net realized and unrealized gain (loss): Net realized gain (loss): Investments (17,352,581) Net change in unrealized appreciation (depreciation): Investments (380,059,540) Net realized and unrealized gain (loss) (397,412,121) Net increase (decrease) in net assets resulting from operations $ (397,810,123) The accompanying notes are an integral part of these financial statements. 4
Statement of Changes in Net Assets Year Ended From operations Net investment income (loss) $ (398,002) Net realized gain (loss) (17,352,581) Net change in unrealized appreciation (depreciation) (380,059,540) Net increase (decrease) in net assets resulting from operations (397,810,123) Net increase (decrease) in net assets resulting from participant transactions 407,159,423 Net increase (decrease) in net assets 9,349,300 Net Assets Beginning of year 2,207,863,309 End of year $ 2,217,212,609 The accompanying notes are an integral part of these financial statements. 5
Statement of Changes in Net Assets (continued) Year Ended Units Amount Units of Participation Participant transactions for the Fund were as follows: Class A Units issued 35,703,048 $ 901,139,350 Units redeemed (22,491,653) (561,277,889) 13,211,395 339,861,461 Class C Units issued 4,653,597 $ 76,073,957 Units redeemed (4,087,160) (64,121,662) 566,437 11,952,295 Class GM-M Units issued 13,571,614 $ 138,862,197 Units redeemed (8,202,702) (83,144,314) 5,368,912 55,717,883 Class P 1 Units issued 1,460 $ 14,444 Units redeemed (38,908) (386,660) (37,448) (372,216) Net increase (decrease) $ 407,159,423 1 Due to participant redemptions, the Class had no units outstanding subsequent to February 10, 2015. The accompanying notes are an integral part of these financial statements. 6
- Class A Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ 25.86 Net investment income (loss) 1, 2 (0.00) Net realized and unrealized gain (loss) (3.93) Total from investment operations (3.93) Net asset value, end of year $ 21.93 Total return (%) 3 (15.17) Ratios to Average Net Assets 4 Ratio of expenses (%) 2, 5 0.00 Ratio of net investment income (loss) (%) 2 (0.00) 1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Zero amounts represent those which are less than $0.005 or 0.005% or ($0.005) or (0.005%) if negative. 3 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 4 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. The accompanying notes are an integral part of these financial statements. 7
- Class C Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ 16.75 Net investment income (loss) 1 (0.02) Net realized and unrealized gain (loss) (2.54) Total from investment operations (2.56) Net asset value, end of year $ 14.19 Total return (%) 2 (15.26) Ratios to Average Net Assets 3 Ratio of expenses (%) 4, 5 0.11 Ratio of net investment income (loss) (%) (0.11) 1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. Total return would have been lower had certain expenses not been waived or reimbursed by the Trustee (Note 2). 3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses). Calculations may include the effects of reimbursements or waivers of both direct and indirect expenses (Note 2). 4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 5 The ratio of expenses to average daily net assets would have been less than 0.005% higher had the Trustee not waived or reimbursed certain expenses for the year ended (Note 2). The accompanying notes are an integral part of these financial statements. 8
- Class GM-M Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ 10.33 Net investment income (loss) 1, 2 (0.00) Net realized and unrealized gain (loss) (1.57) Total from investment operations (1.57) Net asset value, end of year $ 8.76 Total return (%) 3 (15.19) Ratios to Average Net Assets 4 Ratio of expenses (%) 5, 6 0.03 Ratio of net investment income (loss) (%) (0.03) 1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Zero amounts represent those which are less than $0.005 or 0.005% or ($0.005) or (0.005%) if negative. 3 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. Total return would have been lower had certain expenses not been waived or reimbursed by the Trustee (Note 2). 4 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses). Calculations may include the effects of reimbursements or waivers of both direct and indirect expenses (Note 2). 5 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 6 The ratio of expenses to average daily net assets would have been approximately 0.01% higher had the Trustee not waived or reimbursed certain expenses for the year ended (Note 2). The accompanying notes are an integral part of these financial statements. 9
Schedule of Investments (showing percentage of total value of investments) State Street Bank and Trust Company Collective Investment Funds - 100.0% Units Value ($) State Street Daily MSCI Emerging Markets Index Non-Lending Fund 1 90,471,397 2,235,457,739 Total State Street Bank and Trust Company Collective Investment Funds 2,235,457,739 (Cost $2,615,867,759) TOTAL INVESTMENTS - 100.0% (Cost $2,615,867,759) 2,235,457,739 1 Collective investment fund advised by State Street Global Advisors. The accompanying notes are an integral part of these financial statements. 10
Notes to Financial Statements 1. Fund Organization and Investment Objective Effective January 1, 2016, State Street Bank and Trust Company ("State Street Bank") SSgA Emerging Markets Index Non-Lending Series Fund changed its name to State Street Bank and Trust Company State Street Emerging Markets Index Non-Lending Series Fund (the "Fund"), pursuant to an amended Fund Declaration. The Fund was formed by State Street Bank under the State Street Bank and Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). These financial statements refer to the Fund by its amended name. State Street Bank is Trustee, Custodian, and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. State Street Global Advisors ("SSGA"), a division of State Street Bank, is the Fund's Investment Manager. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee. The investment objective of the Fund is to seek an investment return that approximates as closely as practicable, before expenses, the performance of the MSCI Emerging Markets Index over the long term, while providing participants the ability to purchase and redeem units on an "as of" basis. The Fund attempts to achieve its investment objective by investing in other collective investment funds, each an underlying fund, managed by the Trustee, which have characteristics consistent with the Fund's overall investment objective. Refer to the financial statements of the underlying fund, which are available upon request from the Trustee, for disclosure of its accounting policies and investment holdings. The Trustee has the authority to establish unlimited classes of units of the Fund (each a "Class") and issue an unlimited number of units of any such Class of the Fund. The following Class(es) of units of the Fund have been established and are currently funded: Class A, Class C and Class GM-M. 2. Summary of Significant Accounting Policies The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The policies described below are followed consistently in the preparation of the financial statements. A. Valuation Governance and Oversight The Trustee and the Investment Manager assign valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These regional valuation committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to: Responding to circumstances that require fair valuation and determining the fair value of portfolio instruments for which market quotations are not readily available, including where available market quotations are deemed unreliable; Determining appropriate pricing services and sources for various securities or instruments, including secondary and tertiary source options; Recommending changes to approved pricing sources, and monitoring pricing services' overall performance, including evaluating the pricing methodologies these pricing services employ; Escalating valuation challenges; Reviewing results of fair value determinations; and Maintaining valuation records. The regional valuation committees inquire of members of the investment team for input on an as-needed basis. SSGA s North America Valuation Committee is responsible for valuation oversight of the Fund. 11
Notes to Financial Statements SSGA regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to identify potential fair valuation considerations. These procedures and the results of these controls are reviewed periodically by SSGA s North America Valuation Committee. B. Security Valuation The investment valuation policy of the Fund is to value investments at fair value, which is generally defined as the price that could reasonably be expected to be realized from an orderly transaction to sell an asset or paid to transfer a liability between market participants. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. Investments and other portfolio instruments are generally valued using a market approach. Short-term investments (with a remaining maturity of 60 days or less at the time of purchase and not credit impaired), if any, are stated at amortized cost, which approximates fair value, and are classified within Level 2 of the fair value hierarchy. Investments in registered investment companies (other than those that are exchange traded) or collective investment funds, if any, are valued at their respective net asset value and are classified within Level 2 of the fair value hierarchy. With respect to underlying funds, equity investments for which market quotations are readily available (including registered investment companies that are exchange traded) are valued at the last reported sale price on their principal exchange, market or system on valuation date, or official close price for certain markets. If no sales are reported for that day, investments are valued at the last published sale price or at fair value as determined in good faith by the Trustee. Fair Value Hierarchy The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy are described below: Level 1 Level 2 Level 3 Unadjusted quoted prices in active markets for identical assets or liabilities. Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar investments, interest rates, foreign exchange rates, prepayment speeds, credit risk and others. Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trustee's own assumptions about the factors market participants would use in valuing a portfolio instrument, and would be based on the best information available. Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. 12
Notes to Financial Statements The following is a summary of the inputs used, as of, involving the Fund's assets and liabilities carried at fair value. The inputs or methodologies used for valuing investments and other financial instruments may not be an indication of the risk associated with investing in those securities. Level 1 Level 2 Level 3 Total Investments in securities, long - Assets Collective Investment Funds $ - $ 2,235,457,739 $ - $ 2,235,457,739 Please refer to the Schedule of Investments for additional information regarding composition of amounts listed above. C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from underlying funds, if any, are recorded on the exdividend date and retain the character of income as earned by the underlying funds. Dividend income, if any, is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income earned on securities, if any, is recorded on the accrual basis. Interest income includes accretion of discounts and amortization of premiums, if any. Tax reclaims receivable, if any, are recorded on the ex-dividend date based upon the Trustee's interpretation of country-specific taxation of dividend income, which may be subject to change due to changes in country-specific tax regulations regarding amounts reclaimable or the Trustee's interpretation of country-specific taxation of dividend income and amounts reclaimable. The underlying funds may retain investment income and net realized gains. Accordingly, realized and unrealized gains and losses reported by the Fund may include a component attributable to earnings of the underlying funds. Investment income and unrealized and realized gains or losses are allocated daily to each Class of the Fund based upon the relative proportion of net assets of each Class. D. Taxes It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no federal or state tax provision is required. The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has determined that no provision for income taxes is required in the Fund's financial statements. The Fund may have indirect exposure to deferred country-specific capital gains tax payable by the underlying funds. Such deferred country-specific capital gains tax payables, if any, are recorded by the underlying funds based upon the Trustee's interpretation of country-specific taxation of capital gains, which may be subject to change based upon changes in the Trustee's interpretation of country-specific taxation of capital gains or changes to country-specific tax regulations. E. Issuances and Redemptions of Units of Participation The per unit net asset value of each Class is determined each business day. Issuances and redemptions of Class units may be made on such days, based upon the net asset value per unit as of the Class' valuation date last preceding the date on which such order to contribute or redeem assets is received. The Trustee, in its sole discretion, reserves the right to value any contribution or redemption as of the next succeeding valuation date or another date as the Trustee deems appropriate. The issuance and redemption terms of the Fund are consistent with those of the underlying funds, except that the underlying funds may value participant activity at the respective net asset value per unit on the date the order is received. Additional terms of participation are detailed in the Trust and the Fund s other governing documents. Such terms may be implemented pursuant to the Trustee's prudent determination. 13
Notes to Financial Statements F. Expenses Under the Trust, the Fund may pay certain expenses for services received. Each Class is charged its allocable share of the fees and expenses borne by the Fund that are not specifically allocated to one or more of the Classes. The Fund indirectly bears the expenses incurred by the underlying funds, if any. The Investment Manager charges a management fee to the Classes at the following rate of average daily net asset value: Class Rate (%) Management Fees Class C 0.10 $ 284,822 Class GM-M 0.02 39,821 Class P 0.20 85 Total Management Fees $ 324,728 Class A is not charged a direct management fee. SSGA receives investment fees from the Class participants and therefore, the Class makes no payments for these services. The Fund may be charged by the Trustee an annual administration fee equal to 0.10% of the average daily net asset value of the Fund and $5 per Fund transaction of U.S. securities and portfolio instruments and $45 per Fund transaction of emerging markets securities and portfolio instruments. Alternatively, should the Fund, in the discretion of the Trustee, invest more than 50% of its assets directly in collective investment funds, the Trustee will instead charge an annual administration fee of $25,000 to each Class. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate. During the period ended, the following amounts were incurred by each Class: Class Administration Fees Class A $ 25,000 Class C 25,000 Class GM-M 25,000 Class P 2,808 Total Administration Fees $ 77,808 During the period ended, certain direct and/or indirect expenses incurred by the Fund were contractually or voluntarily waived and/or reimbursed by the Trustee: Total Annual Operating Expense Ratio (%) Waivers and/or Reimbursements Class Class C 0.20 $ 1,136 Class GM-M 0.12 10,546 Class P 0.30 3,902 Total Waivers and Reimbursements $ 15,584 Please refer to the Additional Expense Information footnote for further disclosures regarding expenses. 14
Notes to Financial Statements G. Treatment of Net Investment Income and Net Realized Gains Net investment income and net realized gains are retained by the Fund. 3. Concentration of Ownership The following information illustrates concentration of ownership of participants owning units in excess of 10% of total units outstanding as well as units owned by other State Street Bank Collective Investment Funds. 10% or Greater Participants % of Units Outstanding held by other # of Participants % of Units held State Street Bank Collective Investment Funds Class A 2 44% - % Class C 4 88% - % Class GM-M 1 100% - % 4. Risks and Uncertainties A. Market and Credit Risk In the normal course of business, primarily via its investments in underlying funds, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the counterparty to the transaction to perform (credit risk). The Fund may be exposed to additional credit risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Additionally, if a counterparty is in bankruptcy, reorganization proceedings, becomes insolvent or otherwise fails to perform its obligations, the Fund may experience significant delays in obtaining any recovery. B. Underlying Funds As this Fund may make investments in underlying funds, participants should consider the methods used to value the underlying funds' investments. C. Emerging Markets As the underlying funds invest in markets which are developing, their investments in securities may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the investments and the income they generate, as well as the ability to repatriate such amounts. D. Derivative Contracts The underlying funds use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities and other more traditional investments. Derivatives are instruments whose values are derived from underlying assets, indices, reference rates or a combination of these factors. Derivatives are subject to a number of risks, such as potential changes in value in response to interest rate changes, other market developments or as a result of changes in credit quality of the underlying funds counterparty to the derivative transaction. Over the counter ( OTC ) derivatives usually do not have publicly available price sources and therefore there may be differences between bespoke valuation offers by dealers. Furthermore, there are risks that changes in the value of a derivative may not correlate as anticipated with respect to the change in the value of the asset, rate, or index underlying the derivative. Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When the underlying funds invest in a derivative instrument, the future exposure is potentially unlimited. The value of a derivative instrument will depend on the ability and the willingness of the underlying funds derivative counterparty to perform its obligations under the transaction. A liquid secondary market may not always exist for the underlying funds' derivative positions at any time and may impact the underlying funds ability to establish the fair market value of a derivative transaction and close out derivative positions. Although the use of derivatives is intended to complement the underlying funds performance, it 15
Notes to Financial Statements may instead reduce returns and increase volatility. The measurement of the risks associated with derivative instruments is meaningful only when all related and offsetting transactions are considered. The underlying funds must set aside liquid assets or engage in other appropriate measures to cover its obligations under these derivative instruments. Regulations recently adopted or proposed by regulators in the U.S. and other countries may substantially affect the markets in which derivatives are traded, including requiring central clearing and reporting of transactions that may not have been previously required to be reported or cleared. These regulations may require, among other things, that the underlying funds post greater amounts of collateral or margin than the amounts currently posted by the underlying funds on a bilateral basis with its derivatives counterparties or with derivatives clearing organizations. In addition, the regulations may make certain types of derivatives uneconomical or unavailable to the underlying funds, and they may substantially reduce the liquidity of some derivatives. The full extent of the new regulations and their effects on the derivatives markets are not known at this time. The underlying funds value derivatives at fair value and recognize changes in fair value currently in their results of operations. Accordingly, the underlying funds do not follow hedge accounting, even for derivatives employed as economic hedges. Derivative instruments outstanding at period end, if any, are disclosed in the underlying funds' Schedule of Investments. Futures Contracts The underlying funds may use futures contracts to manage exposure to the market. Futures contracts involve, to varying degrees, credit and market risks. The underlying funds enter into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between a futures contract and the underlying instrument. 5. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee expects the risk of loss to be remote. 6. Recent Accounting Pronouncements In May 2015, the Financial Accounting Standards Board ( FASB ) issued an amendment to U.S. GAAP that removes the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the net asset value per share practical expedient. The amendment is effective for the Fund on January 1, 2016. The Trustee does not anticipate that the adoption of the amendment will have a material effect on the Fund s financial statements. In August 2014, the FASB issued an amendment to U.S. GAAP which clarifies that management would be responsible for evaluating and disclosing conditions or events that raise substantial doubt about an entity s ability to continue as a going concern. The amendment is effective for the Fund on January 1, 2017. The Trustee does not anticipate that the adoption of the amendment will have a material impact on the Fund s financial statements. 7. Other SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements. 16
Notes to Financial Statements 8. Subsequent Events The Trustee has evaluated subsequent events after through March 24, 2016, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in the financial statements, except for: Effective January 1, 2016, Class A will have a Total Annual Operating Expense Ratio equal to 0.100% of the Class' average daily net asset value. Effective January 1, 2016, Class C will have a Total Annual Operating Expense Ratio equal to 0.200% of the Class' average daily net asset value. Effective January 1, 2016, Class GM-M will have a Total Annual Operating Expense Ratio equal to 0.120% of the Class' average daily net asset value. 17
Notes to Financial Statements 9. Additional Expense Information During the period ended, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying funds, if any. As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Classes to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Class may exceed the Class' total direct expenses incurred. Ratios of expense classifications as a % of average daily net assets TAOER DE IE TAGOE W/R TANOE Class A 0.10 0.00 1 0.09 0.09-0.09 Class C 0.20 0.11 0.09 0.20 (0.00) 1 0.20 Class GM-M 0.12 0.04 0.09 0.13 (0.01) 0.12 Total Annual Operating Expense Ratio ("TAOER") Direct Expenses ("DE") Indirect Expenses ("IE") Total Annual Gross Operating Expense ("TAGOE") Waivers and/or Reimbursements ("W/R") Total Annual Net Operating Expense ("TANOE") Limitation on the total direct and indirect expenses the Fund may incur, as set forth in the Fund s governing documents. Fees and expenses directly incurred by the Fund which may include administration, audit, legal and management fees, if any. Proportionate amount of fees and expenses indirectly incurred by the Fund as a result of its investment in underlying funds which may include administration, audit and legal fees, if any. Total direct and indirect expenses incurred, prior to the application of any waivers and/or reimbursements, if any. Amounts waived and/or reimbursed by the Trustee to the extent the total direct and indirect expenses of the Fund exceeded the total annual operating expense ratio, as described in the Fund s governing documents. Total direct and indirect expenses incurred, net of waivers and/or reimbursements, if any. The total annual net operating expense ratio presented above may not correlate to the Class' ratio of expenses to average daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any. 1 Zero amounts represent those which are less than 0.005% or (0.005%) if negative. 18