UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Sean O’Malley, Esq. Senior Vice President and General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
State Street Institutional Investment Trust |
State Street U.S. Core Equity Fund |
State Street Income Fund |
Page | |
Fund Information, Understanding Your Fund’s Expenses and Schedule of Investments | |
1 | |
7 | |
Financial Statements | |
34 | |
36 | |
37 | |
38 | |
40 | |
49 |
Sector Allocation |
Portfolio composition as a % of Fair Value of $6,700,361 (in thousands) as of March 31, 2022 (a) |
Top Ten Largest Holdings | |
as of March 31, 2022 (as a % of Fair Value) (a) | |
Microsoft Corp. | 6.41% |
Apple Inc. | 5.86% |
Amazon.com Inc. | 5.02% |
Alphabet Inc., Class A | 3.94% |
Visa Inc., Class A | 2.36% |
Johnson & Johnson | 2.23% |
UnitedHealth Group Inc. | 2.11% |
Mastercard Inc., Class A | 1.91% |
QUALCOMM Inc. | 1.84% |
Meta Platforms Inc., Class A | 1.78% |
(a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street U.S. Core Equity Fund | 1 |
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||
Beginning Account Value October 1, 2021 | $1,000.00 | $1,000.00 | |
Ending Account value March 31, 2022 | $1,034.80 | $1,024.20 | |
Expenses Paid During Period* | $ 0.76 | $ 0.76 |
* | Expenses are equal to the Fund's annualized expense ratio of 0.15% (for the period October 1, 2021 - March 31, 2022), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
2 | State Street U.S. Core Equity Fund |
Number of Shares | Fair Value | |
Common Stock - 99.1% † | ||
Aerospace & Defense - 0.7% | ||
Raytheon Technologies Corp. | 438,295 | $ 43,421,886 |
Apparel Retail - 1.1% | ||
Ross Stores Inc. | 809,806 | 73,255,051 |
Application Software - 3.2% | ||
Adobe Inc. (a) | 77,439 | 35,282,757 |
Intuit Inc. | 27,895 | 13,413,032 |
salesforce.com Inc. (a) | 494,491 | 104,990,329 |
Splunk Inc. (a) | 428,046 | 63,611,916 |
217,298,034 | ||
Asset Management & Custody Banks - 0.2% | ||
Blackstone Inc. | 78,202 | 9,926,962 |
Auto Parts & Equipment - 0.8% | ||
Magna International Inc. | 835,355 | 53,721,680 |
Automobile Manufacturers - 0.7% | ||
Ford Motor Co. | 2,731,214 | 46,184,829 |
Automotive Retail - 0.7% | ||
O'Reilly Automotive Inc. (a) | 64,785 | 44,375,134 |
Biotechnology - 1.3% | ||
BioMarin Pharmaceutical Inc. (a) | 336,225 | 25,922,947 |
Vertex Pharmaceuticals Inc. (a) | 245,713 | 64,123,722 |
90,046,669 | ||
Building Products - 0.7% | ||
Allegion PLC | 143,566 | 15,760,675 |
Trane Technologies PLC | 213,281 | 32,568,009 |
48,328,684 | ||
Cable & Satellite - 1.4% | ||
Charter Communications Inc., Class A (a) | 33,905 | 18,495,856 |
Comcast Corp., Class A | 1,658,955 | 77,672,273 |
96,168,129 | ||
Communications Equipment - 0.2% | ||
Cisco Systems Inc. | 258,538 | 14,416,079 |
Construction Materials - 0.3% | ||
Martin Marietta Materials Inc. | 47,950 | 18,455,475 |
Number of Shares | Fair Value | |
Data Processing & Outsourced Services - 5.9% | ||
Fidelity National Information Services Inc. | 775,389 | $ 77,864,564 |
Mastercard Inc., Class A | 358,658 | 128,177,196 |
PayPal Holdings Inc. (a) | 267,239 | 30,906,190 |
Visa Inc., Class A | 712,292 | 157,964,997 |
394,912,947 | ||
Diversified Banks - 1.7% | ||
JPMorgan Chase & Co. | 822,343 | 112,101,798 |
Diversified Support Services - 0.4% | ||
Cintas Corp. | 65,017 | 27,657,582 |
Electric Utilities - 1.0% | ||
NextEra Energy Inc. | 803,127 | 68,032,888 |
Electronic Components - 1.3% | ||
Amphenol Corp., Class A | 807,109 | 60,815,663 |
Corning Inc. | 655,945 | 24,210,930 |
85,026,593 | ||
Environmental & Facilities Services - 0.5% | ||
Waste Management Inc. | 208,142 | 32,990,507 |
Financial Exchanges & Data - 1.3% | ||
CME Group Inc. | 137,382 | 32,677,682 |
S&P Global Inc. | 125,055 | 51,295,060 |
83,972,742 | ||
Footwear - 0.1% | ||
NIKE Inc., Class B | 51,096 | 6,875,478 |
Healthcare Equipment - 3.4% | ||
Becton Dickinson & Co. | 115,140 | 30,627,240 |
Boston Scientific Corp. (a) | 1,811,195 | 80,217,826 |
Edwards Lifesciences Corp. (a) | 192,712 | 22,686,057 |
Medtronic PLC | 503,401 | 55,852,341 |
Zimmer Biomet Holdings Inc. | 312,186 | 39,928,589 |
229,312,053 | ||
Healthcare Services - 0.6% | ||
Cigna Corp. | 180,489 | 43,246,969 |
Home Improvement Retail - 1.7% | ||
Lowe's Companies Inc. | 472,796 | 95,594,623 |
The Home Depot Inc. | 64,500 | 19,306,785 |
114,901,408 |
State Street U.S. Core Equity Fund | 3 |
Number of Shares | Fair Value | |
Hotels, Resorts & Cruise Lines - 1.1% | ||
Marriott International Inc., Class A (a) | 420,455 | $ 73,894,966 |
Household Products - 1.3% | ||
Colgate-Palmolive Co. | 293,794 | 22,278,399 |
The Procter & Gamble Co. | 404,045 | 61,738,076 |
84,016,475 | ||
Hypermarkets & Super Centers - 0.7% | ||
Walmart Inc. | 302,263 | 45,013,006 |
Industrial Conglomerates - 1.4% | ||
Honeywell International Inc. | 470,395 | 91,529,459 |
Industrial Gases - 1.3% | ||
Air Products & Chemicals Inc. (b) | 350,555 | 87,607,200 |
Industrial Machinery - 1.4% | ||
Parker-Hannifin Corp. | 265,720 | 75,400,707 |
Xylem Inc. | 191,391 | 16,317,997 |
91,718,704 | ||
Insurance Brokers - 0.3% | ||
Marsh & McLennan Companies Inc. | 117,054 | 19,948,343 |
Integrated Oil & Gas - 0.9% | ||
Chevron Corp. | 350,467 | 57,066,542 |
Interactive Home Entertainment - 0.2% | ||
Activision Blizzard Inc. (b) | 203,529 | 16,304,708 |
Interactive Media & Services - 7.2% | ||
Alphabet Inc., Class C (a) | 34,304 | 95,810,729 |
Alphabet Inc., Class A (a) | 94,977 | 264,164,279 |
Meta Platforms Inc., Class A (a) | 535,217 | 119,010,852 |
478,985,860 | ||
Internet & Direct Marketing Retail - 5.0% | ||
Amazon.com Inc. (a)(b) | 103,145 | 336,247,543 |
Investment Banking & Brokerage - 1.4% | ||
The Charles Schwab Corp. | 1,127,907 | 95,093,839 |
IT Consulting & Other Services - 0.4% | ||
Accenture PLC, Class A | 75,854 | 25,580,244 |
Number of Shares | Fair Value | |
Life & Health Insurance - 0.1% | ||
Lincoln National Corp. | 147,409 | $ 9,634,652 |
Life Sciences Tools & Services - 0.8% | ||
IQVIA Holdings Inc. (a) | 239,900 | 55,467,279 |
Managed Healthcare - 2.7% | ||
Humana Inc. | 92,215 | 40,129,201 |
UnitedHealth Group Inc. | 276,705 | 141,111,249 |
181,240,450 | ||
Movies & Entertainment - 2.1% | ||
Netflix Inc. (a) | 192,053 | 71,941,133 |
The Walt Disney Co. (a) | 498,405 | 68,361,230 |
140,302,363 | ||
Multi-Line Insurance - 0.3% | ||
American International Group Inc. | 355,732 | 22,329,298 |
Multi-Sector Holdings - 1.4% | ||
Berkshire Hathaway Inc., Class B (a) | 269,278 | 95,030,899 |
Multi-Utilities - 0.8% | ||
Sempra Energy | 334,366 | 56,213,612 |
Oil & Gas Equipment & Services - 0.6% | ||
Schlumberger N.V. | 982,834 | 40,600,872 |
Oil & Gas Exploration & Production - 2.4% | ||
ConocoPhillips | 1,132,457 | 113,245,700 |
Pioneer Natural Resources Co. | 185,038 | 46,265,051 |
159,510,751 | ||
Packaged Foods & Meats - 0.6% | ||
Mondelez International Inc., Class A | 663,533 | 41,656,602 |
Personal Products - 0.3% | ||
The Estee Lauder Companies Inc., Class A | 61,284 | 16,688,859 |
Pharmaceuticals - 5.0% | ||
AstraZeneca PLC ADR | 355,492 | 23,583,339 |
Bristol-Myers Squibb Co. | 545,617 | 39,846,410 |
Elanco Animal Health Inc. (a) | 641,878 | 16,746,597 |
Johnson & Johnson | 842,860 | 149,380,078 |
4 | State Street U.S. Core Equity Fund |
Number of Shares | Fair Value | |
Merck & Company Inc. | 1,305,689 | $ 107,131,782 |
336,688,206 | ||
Property & Casualty Insurance - 1.3% | ||
Chubb Ltd. | 398,784 | 85,299,898 |
Railroads - 0.7% | ||
Union Pacific Corp. | 181,054 | 49,465,763 |
Regional Banks - 3.0% | ||
First Republic Bank | 515,620 | 83,582,002 |
Regions Financial Corp. | 3,116,542 | 69,374,225 |
SVB Financial Group (a) | 86,126 | 48,183,191 |
201,139,418 | ||
Restaurants - 0.6% | ||
McDonald's Corp. | 166,907 | 41,272,763 |
Semiconductor Equipment - 1.4% | ||
Applied Materials Inc. | 732,017 | 96,479,840 |
Semiconductors - 5.2% | ||
Advanced Micro Devices Inc. (a) | 503,342 | 55,035,414 |
NVIDIA Corp. | 304,866 | 83,185,737 |
QUALCOMM Inc. | 805,711 | 123,128,755 |
Texas Instruments Inc. | 482,873 | 88,597,538 |
349,947,444 | ||
Soft Drinks - 1.0% | ||
Monster Beverage Corp. (a) | 205,776 | 16,441,502 |
PepsiCo Inc. | 307,557 | 51,478,891 |
67,920,393 | ||
Specialized REITs - 1.2% | ||
American Tower Corp. | 323,562 | 81,285,246 |
Specialty Chemicals - 0.7% | ||
DuPont de Nemours Inc. | 240,867 | 17,722,994 |
Number of Shares | Fair Value | |
Ecolab Inc. | 66,216 | $ 11,691,097 |
PPG Industries Inc. | 128,971 | 16,904,229 |
46,318,320 | ||
Systems Software - 7.5% | ||
Microsoft Corp. | 1,391,952 | 429,152,721 |
Oracle Corp. | 286,808 | 23,727,626 |
ServiceNow Inc. (a) | 90,639 | 50,475,953 |
503,356,300 | ||
Technology Hardware, Storage & Peripherals - 5.9% | ||
Apple Inc. | 2,250,080 | 392,886,469 |
Trading Companies & Distributors - 1.3% | ||
United Rentals Inc. (a) | 247,596 | 87,948,575 |
Trucking - 0.1% | ||
Lyft Inc., Class A (a) | 182,550 | 7,009,920 |
Wireless Telecommunication Services - 0.3% | ||
T-Mobile US Inc. (a) | 133,153 | 17,090,187 |
Total Common Stock (Cost $4,129,376,036) | 6,640,420,845 | |
Short-Term Investments - 0.9% | ||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.29% (c)(d) (Cost $59,940,166) | 59,940,166 | 59,940,166 |
Total Investments (Cost $4,189,316,202) | 6,700,361,011 | |
Other Assets and Liabilities, net - 0.0%* | 2,607,730 | |
NET ASSETS - 100.0% | $ 6,702,968,741 |
The Fund had the following short futures contracts open at March 31, 2022: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
S&P 500 E-Mini Index Futures | June 2022 | 1 | $ (229,522) | $ (226,537) | $ 2,985 |
State Street U.S. Core Equity Fund | 5 |
(a) | Non-income producing security. |
(b) | At March 31, 2022, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of March 31, 2022. |
* | Less than 0.05%. |
Abbreviations: |
ADR - American Depositary Receipt |
REIT - Real Estate Investment Trust |
Investments | Level 1 | Level 2 | Level 3 | Total | |||
Investments in Securities | |||||||
Common Stock | $ 6,640,420,845 | $ — | $ — | $ 6,640,420,845 | |||
Short-Term Investments | 59,940,166 | — | — | 59,940,166 | |||
Total Investments in Securities | $ 6,700,361,011 | $ — | $ — | $ 6,700,361,011 | |||
Other Financial Instruments | |||||||
Short Futures Contracts - Unrealized Appreciation | $ 2,985 | $ — | $ — | $ 2,985 | |||
Total Other Financial Instruments | $ 2,985 | $ — | $ — | $ 2,985 |
Affiliate Table |
Number of Shares Held at 9/30/21 | Value at 9/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 3/31/22 | Value at 3/31/22 | Dividend Income | |
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 94,639,589 | $94,639,589 | $488,308,492 | $523,007,915 | $— | $— | 59,940,166 | $59,940,166 | $17,898 |
6 | State Street U.S. Core Equity Fund |
Sector Allocation |
Portfolio composition as a % of Fair Value of $1,775,671 (in thousands) as of March 31, 2022 (a) |
Quality Ratings | ||
as of March 31, 2022 as a % of Fair Value (a)* | ||
Moody’s / S&P / Rating | Percentage of Fair Value | |
Aaa / AAA | 11.68% | |
Aa / AA | 57.35% | |
A / A | 6.23% | |
Baa / BBB | 20.61% | |
Ba / BB and lower | 2.69% | |
NR / Other | 1.44% | |
100.00% |
(a) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
State Street Income Fund | 7 |
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||
Beginning Account Value October 1, 2021 | $1,000.00 | $1,000.00 | |
Ending Account value March 31, 2022 | $ 936.10 | $1,024.00 | |
Expenses Paid During Period* | $ 0.92 | $ 0.96 |
* | Expenses are equal to the Fund's annualized expense ratio of 0.19% (for the period October 1, 2021 - March 31, 2022), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
8 | State Street Income Fund |
Principal Amount | Fair Value | |
Bonds and Notes - 98.7% † | ||
U.S. Treasuries - 37.5% | ||
U.S. Treasury Bonds | ||
1.13%, 05/15/40 (a) | $ 27,489,000 | $ 21,651,883 |
1.88%, 02/15/41 - 02/15/51 | 44,509,000 | 39,368,766 |
2.25%, 08/15/46 (a) | 14,576,000 | 13,628,560 |
3.00%, 08/15/48 (a) | 31,799,000 | 34,665,878 |
U.S. Treasury Notes | ||
0.25%, 07/31/25 (a) | 57,304,000 | 53,122,599 |
0.63%, 10/15/24 | 22,613,000 | 21,586,582 |
0.75%, 12/31/23 | 59,055,000 | 57,525,568 |
0.75%, 01/31/28 (a) | 174,789,000 | 158,525,431 |
1.13%, 01/15/25 | 36,245,000 | 34,905,634 |
1.25%, 11/30/26 | 37,603,000 | 35,573,026 |
1.50%, 02/29/24 | 34,199,000 | 33,703,381 |
1.63%, 05/15/31 | 105,037,000 | 98,931,724 |
1.75%, 01/31/29 | 13,095,000 | 12,540,508 |
2.63%, 02/15/29 (a) | 11,059,000 | 11,192,054 |
626,921,594 | ||
Agency Mortgage Backed - 21.5% | ||
Federal Home Loan Mortgage Corp. | ||
3.00%, 04/01/43 - 10/01/49 (a) | 43,740,404 | 43,253,777 |
4.50%, 06/01/33 - 02/01/35 (a) | 45,064 | 47,790 |
5.00%, 07/01/35 (a) | 386,349 | 415,881 |
5.50%, 01/01/38 - 04/01/39 (a) | 693,332 | 759,754 |
6.00%, 06/01/33 - 11/01/37 (a) | 1,367,639 | 1,500,691 |
6.50%, 07/01/29 (a) | 11,631 | 12,138 |
7.00%, 01/01/27 - 08/01/36 (a) | 327,707 | 360,792 |
7.50%, 01/01/28 - 09/01/33 (a) | 26,617 | 28,256 |
8.00%, 11/01/30 (a) | 2,075 | 2,258 |
8.50%, 04/01/30 (a) | 4,350 | 5,173 |
Federal National Mortgage Assoc. | ||
2.50%, 02/01/51 - 03/01/51 (a) | 76,293,847 | 73,038,305 |
3.00%, 03/01/50 (a) | 7,779,595 | 7,652,493 |
3.50%, 08/01/45 - 01/01/48 (a) | 17,598,548 | 17,793,093 |
4.00%, 01/01/41 - 01/01/50 (a) | 21,549,868 | 22,264,570 |
4.50%, 07/01/33 - 12/01/48 (a) | 10,720,192 | 11,288,024 |
Principal Amount | Fair Value | |
5.00%, 03/01/34 - 05/01/39 (a) | $ 965,852 | $ 1,039,732 |
5.50%, 12/01/32 - 01/01/39 (a) | 3,410,739 | 3,710,997 |
6.00%, 02/01/33 - 05/01/41 (a) | 6,436,213 | 7,080,389 |
6.50%, 02/01/29 - 08/01/36 (a) | 204,547 | 219,747 |
7.00%, 10/01/32 - 02/01/34 (a) | 37,431 | 40,017 |
7.50%, 11/01/22 - 03/01/33 (a) | 116,122 | 126,439 |
8.00%, 06/01/24 - 10/01/31 (a) | 46,201 | 48,820 |
8.50%, 04/01/30 (a) | 9,750 | 11,100 |
9.00%, 12/01/22 (a) | 522 | 522 |
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | ||
1.85%, 04/01/37 (a)(b) | 13,753 | 14,111 |
Federal National Mortgage Assoc. TBA | ||
2.00%, 04/01/37 (c) | 10,581,237 | 10,272,149 |
3.00%, 04/01/52 (c) | 85,747,998 | 83,845,164 |
3.50%, 05/01/52 (c) | 14,000,000 | 13,967,674 |
Government National Mortgage Assoc. | ||
3.00%, 12/20/42 - 05/20/45 (a) | 44,570,070 | 44,694,677 |
3.50%, 08/20/48 (a) | 7,335,533 | 7,426,273 |
4.00%, 01/20/41 - 04/20/43 (a) | 5,494,825 | 5,755,830 |
4.50%, 08/15/33 - 03/20/41 (a) | 2,228,620 | 2,397,528 |
5.00%, 08/15/33 (a) | 122,262 | 129,770 |
6.00%, 04/15/27 - 04/15/35 (a) | 442,542 | 484,572 |
6.50%, 01/15/24 - 09/15/36 (a) | 310,706 | 335,593 |
7.00%, 03/15/26 - 10/15/36 (a) | 235,107 | 254,961 |
7.50%, 11/15/22 - 10/15/28 (a) | 71,114 | 73,409 |
8.00%, 12/15/29 - 05/15/30 (a) | 1,001 | 1,080 |
Government National Mortgage Assoc. 1.50% + 1 year CMT Rate | ||
1.63%, 08/20/23 - 09/20/24 (a)(b) | 701 | 699 |
1.75%, 10/20/24 - 10/20/25 (a)(b) | 706 | 704 |
State Street Income Fund | 9 |
Principal Amount | Fair Value | |
1.88%, 04/20/24 (a)(b) | $ 311 | $ 312 |
2.00%, 01/20/24 - 03/20/24 (a)(b) | 417 | 419 |
Lehman TBA | ||
5.50%, 12/01/89 (d) | 1,140,372 | 29,308 |
360,384,991 | ||
Agency Collateralized Mortgage Obligations - 0.7% | ||
Federal Home Loan Mortgage Corp. | ||
0.10%, 09/25/43 (a)(b)(e) | 3,882,830 | 11,005 |
2.51%, 07/25/29 | 6,504,000 | 6,376,606 |
4.05%, 09/25/28 (b) | 1,713,000 | 1,833,813 |
Federal Home Loan Mortgage Corp. REMIC | ||
3.50%, 11/15/30 (a)(e) | 245,280 | 4,776 |
5.50%, 06/15/33 (a)(e) | 115,637 | 19,382 |
7.50%, 07/15/27 (a)(e) | 4,479 | 550 |
Federal Home Loan Mortgage Corp. STRIPS | ||
0.00%, 08/01/27 (a)(f) | 3,208 | 3,013 |
8.00%, 02/01/23 - 07/01/24 (a)(e) | 4,831 | 307 |
Federal National Mortgage Assoc. REMIC | ||
1.12%, 12/25/42 (a)(b)(e) | 561,993 | 18,261 |
5.00%, 02/25/40 - 09/25/40 (a)(e) | 316,703 | 32,220 |
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | ||
5.54%, 07/25/38 (a)(b)(e) | 143,098 | 18,187 |
Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | ||
6.09%, 11/25/41 (a)(b)(e) | 17,522,765 | 3,035,965 |
Federal National Mortgage Assoc. STRIPS | ||
0.00%, 12/25/34 (a)(f) | 112,832 | 95,785 |
4.50%, 08/25/35 - 01/25/36 (a)(e) | 253,166 | 35,847 |
5.00%, 03/25/38 - 05/25/38 (a)(e) | 156,906 | 29,179 |
5.50%, 12/25/33 (a)(e) | 44,406 | 8,509 |
6.00%, 01/25/35 (a)(e) | 182,564 | 32,214 |
7.50%, 11/25/23 (a)(e) | 10,377 | 379 |
8.00%, 08/25/23 - 07/25/24 (a)(e) | 9,310 | 616 |
8.50%, 07/25/22 (a)(e)** | 104 | — |
11,556,614 |
Principal Amount | Fair Value | |
Asset Backed - 0.6% | ||
Chase Funding Trust 2004-1 | ||
4.99%, 11/25/33 | $ 331,344 | $ 331,345 |
Enterprise Fleet Financing 2019-1 LLC | ||
3.07%, 10/20/24 (g) | 4,214,000 | 4,222,064 |
Ford Credit Auto Owner Trust 2020-B | ||
0.56%, 10/15/24 | 6,072,024 | 6,026,084 |
10,579,493 | ||
Corporate Notes - 31.5% | ||
3M Co. | ||
3.13%, 09/19/46 (a) | 422,000 | 380,184 |
7-Eleven Inc. | ||
0.95%, 02/10/26 (a)(g) | 2,113,000 | 1,920,971 |
Abbott Laboratories | ||
3.75%, 11/30/26 (a) | 569,000 | 590,548 |
4.90%, 11/30/46 (a) | 463,000 | 565,179 |
AbbVie Inc. | ||
2.60%, 11/21/24 (a) | 861,000 | 855,025 |
2.95%, 11/21/26 (a) | 851,000 | 844,149 |
3.20%, 05/14/26 - 11/21/29 (a) | 1,245,000 | 1,237,346 |
3.25%, 10/01/22 (a) | 587,000 | 589,383 |
4.05%, 11/21/39 (a) | 355,000 | 366,207 |
4.25%, 11/21/49 (a) | 697,000 | 727,271 |
4.40%, 11/06/42 | 289,000 | 306,343 |
4.63%, 10/01/42 (a) | 68,000 | 72,694 |
4.70%, 05/14/45 (a) | 124,000 | 135,120 |
4.88%, 11/14/48 (a) | 117,000 | 132,769 |
Advance Auto Parts Inc. | ||
3.90%, 04/15/30 (a) | 1,424,000 | 1,422,718 |
AEP Texas Inc. | ||
3.45%, 05/15/51 | 919,000 | 821,200 |
Aetna Inc. | ||
3.50%, 11/15/24 (a) | 446,000 | 450,799 |
Aircastle Ltd. | ||
4.25%, 06/15/26 (a) | 627,000 | 618,310 |
Alcoa Nederland Holding BV | ||
5.50%, 12/15/27 (a)(g) | 1,047,000 | 1,084,336 |
Alcon Finance Corp. | ||
2.60%, 05/27/30 (a)(g) | 358,000 | 331,125 |
3.80%, 09/23/49 (a)(g) | 200,000 | 187,096 |
Alexandria Real Estate Equities Inc. | ||
1.88%, 02/01/33 (a) | 360,000 | 304,225 |
2.95%, 03/15/34 | 633,000 | 595,988 |
3.55%, 03/15/52 | 532,000 | 494,866 |
10 | State Street Income Fund |
Principal Amount | Fair Value | |
4.70%, 07/01/30 (a) | $ 216,000 | $ 233,470 |
Ally Financial Inc. | ||
2.20%, 11/02/28 | 791,000 | 714,930 |
5.75%, 11/20/25 (a) | 426,000 | 448,574 |
Altria Group Inc. | ||
3.40%, 05/06/30 - 02/04/41 (a) | 468,000 | 403,007 |
4.00%, 02/04/61 (a) | 176,000 | 147,720 |
4.25%, 08/09/42 (a) | 50,000 | 45,088 |
4.45%, 05/06/50 (a) | 236,000 | 214,361 |
4.50%, 05/02/43 (a) | 163,000 | 150,234 |
Amazon.com Inc. | ||
1.50%, 06/03/30 (a) | 264,000 | 236,322 |
2.50%, 06/03/50 (a) | 327,000 | 273,889 |
2.70%, 06/03/60 (a) | 252,000 | 209,026 |
2.88%, 05/12/41 | 555,000 | 512,065 |
3.25%, 05/12/61 | 414,000 | 388,266 |
4.25%, 08/22/57 (a) | 109,000 | 123,688 |
Ameren Corp. | ||
2.50%, 09/15/24 (a) | 1,271,000 | 1,252,049 |
3.65%, 02/15/26 (a) | 277,000 | 280,244 |
American Campus Communities Operating Partnership LP | ||
4.13%, 07/01/24 (a) | 260,000 | 264,698 |
American Electric Power Company Inc. | ||
2.30%, 03/01/30 (a) | 303,000 | 275,369 |
3.25%, 03/01/50 (a) | 252,000 | 216,564 |
American International Group Inc. | ||
4.25%, 03/15/29 (a) | 426,000 | 446,989 |
4.50%, 07/16/44 (a) | 359,000 | 388,366 |
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | ||
5.75%, 04/01/48 (a)(b) | 110,000 | 110,043 |
American Tower Corp. | ||
1.50%, 01/31/28 (a) | 1,027,000 | 907,858 |
2.90%, 01/15/30 (a) | 363,000 | 338,251 |
3.70%, 10/15/49 (a) | 212,000 | 189,454 |
3.80%, 08/15/29 (a) | 445,000 | 443,460 |
American Water Capital Corp. | ||
2.95%, 09/01/27 (a) | 328,000 | 325,127 |
Amgen Inc. | ||
2.00%, 01/15/32 | 999,000 | 886,912 |
2.45%, 02/21/30 (a) | 149,000 | 140,114 |
3.00%, 01/15/52 | 345,000 | 292,760 |
Principal Amount | Fair Value | |
3.15%, 02/21/40 | $ 608,000 | $ 555,147 |
3.38%, 02/21/50 (a) | 164,000 | 148,441 |
4.20%, 02/22/52 | 350,000 | 362,485 |
4.66%, 06/15/51 (a) | 124,000 | 137,215 |
AngloGold Ashanti Holdings PLC | ||
3.38%, 11/01/28 | 1,145,000 | 1,067,976 |
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||
3.65%, 02/01/26 (a) | 735,000 | 751,743 |
4.70%, 02/01/36 (a) | 181,000 | 196,722 |
4.90%, 02/01/46 (a) | 400,000 | 444,432 |
Anheuser-Busch InBev Worldwide Inc. | ||
3.50%, 06/01/30 (a) | 406,000 | 412,232 |
4.00%, 04/13/28 (a) | 129,000 | 133,912 |
4.35%, 06/01/40 (a) | 395,000 | 411,756 |
4.38%, 04/15/38 (a) | 639,000 | 671,065 |
4.50%, 06/01/50 (a) | 313,000 | 335,990 |
4.60%, 04/15/48 (a) | 230,000 | 247,540 |
4.75%, 04/15/58 (a) | 178,000 | 192,753 |
5.55%, 01/23/49 (a) | 419,000 | 508,821 |
Anthem Inc. | ||
2.88%, 09/15/29 (a) | 202,000 | 195,391 |
3.30%, 01/15/23 (a) | 418,000 | 422,025 |
3.60%, 03/15/51 (a) | 221,000 | 212,832 |
3.70%, 09/15/49 (a) | 202,000 | 197,007 |
ANZ New Zealand International Ltd. | ||
3.45%, 01/21/28 (a)(g) | 887,000 | 889,093 |
Aon Corp./Aon Global Holdings PLC | ||
2.90%, 08/23/51 | 634,000 | 522,987 |
Apollo Management Holdings LP | ||
2.65%, 06/05/30 (a)(g) | 307,000 | 285,562 |
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | ||
4.95%, 01/14/50 (b)(g) | 374,000 | 363,199 |
Apple Inc. | ||
2.20%, 09/11/29 (a) | 404,000 | 385,000 |
2.65%, 02/08/51 (a) | 395,000 | 341,517 |
2.80%, 02/08/61 (a) | 442,000 | 378,684 |
2.95%, 09/11/49 (a) | 266,000 | 244,247 |
3.35%, 02/09/27 (a) | 194,000 | 198,144 |
3.45%, 02/09/45 (a) | 678,000 | 672,678 |
3.85%, 08/04/46 (a) | 611,000 | 647,593 |
State Street Income Fund | 11 |
Principal Amount | Fair Value | |
Applied Materials Inc. | ||
4.35%, 04/01/47 (a) | $ 230,000 | $ 261,830 |
Aptiv PLC | ||
4.40%, 10/01/46 (a) | 277,000 | 268,654 |
Archer-Daniels-Midland Co. | ||
2.50%, 08/11/26 (a) | 239,000 | 234,846 |
Ares Capital Corp. | ||
2.88%, 06/15/28 | 1,384,000 | 1,227,137 |
3.25%, 07/15/25 (a) | 2,842,000 | 2,760,548 |
Arthur J Gallagher & Co. | ||
3.50%, 05/20/51 | 694,000 | 624,593 |
Ascension Health | ||
4.85%, 11/15/53 (a) | 450,000 | 560,795 |
Ashtead Capital Inc. | ||
1.50%, 08/12/26 (g) | 600,000 | 548,460 |
Astrazeneca Finance LLC | ||
1.75%, 05/28/28 | 890,000 | 822,004 |
AstraZeneca PLC | ||
3.00%, 05/28/51 | 420,000 | 388,361 |
4.00%, 01/17/29 (a) | 184,000 | 193,918 |
4.38%, 08/17/48 (a) | 102,000 | 116,063 |
AT&T Inc. | ||
1.70%, 03/25/26 (a) | 2,563,000 | 2,431,467 |
2.30%, 06/01/27 (a) | 638,000 | 608,875 |
2.75%, 06/01/31 (a) | 1,277,000 | 1,196,179 |
3.30%, 02/01/52 (a) | 1,381,000 | 1,180,120 |
3.85%, 06/01/60 (a) | 596,000 | 536,513 |
4.35%, 03/01/29 (a) | 613,000 | 647,420 |
4.50%, 05/15/35 (a) | 436,000 | 462,504 |
4.55%, 03/09/49 (a) | 237,000 | 249,232 |
4.75%, 05/15/46 (a) | 140,000 | 152,639 |
4.80%, 06/15/44 (a) | 297,000 | 315,542 |
4.85%, 03/01/39 (a) | 571,000 | 621,728 |
5.25%, 03/01/37 (a) | 297,000 | 338,126 |
5.35%, 12/15/43 (a) | 328,000 | 363,624 |
5.45%, 03/01/47 (a) | 285,000 | 340,130 |
Athene Holding Ltd. | ||
4.13%, 01/12/28 (a) | 313,000 | 315,141 |
6.15%, 04/03/30 (a) | 611,000 | 688,279 |
Avangrid Inc. | ||
3.15%, 12/01/24 (a) | 755,000 | 753,611 |
Bain Capital Specialty Finance Inc. | ||
2.95%, 03/10/26 (a) | 923,000 | 866,097 |
Bank of America Corp. | ||
3.25%, 10/21/27 (a) | 225,000 | 224,379 |
4.18%, 11/25/27 (a) | 768,000 | 783,660 |
4.25%, 10/22/26 (a) | 759,000 | 782,112 |
Principal Amount | Fair Value | |
Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | ||
2.09%, 06/14/29 (b) | $ 1,384,000 | $ 1,264,727 |
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | ||
2.59%, 04/29/31 (a)(b) | 2,544,000 | 2,350,045 |
Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | ||
2.97%, 07/21/52 (b) | 633,000 | 540,936 |
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | ||
3.37%, 01/23/26 (a)(b) | 328,000 | 327,954 |
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | ||
3.42%, 12/20/28 (a)(b) | 368,000 | 364,710 |
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | ||
3.56%, 04/23/27 (a)(b) | 604,000 | 606,180 |
Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | ||
3.71%, 04/24/28 (a)(b) | 815,000 | 821,487 |
Bank of America Corp. (3.85% fixed rate until 03/08/32; 2.00% + 5 year CMT Rate thereafter) | ||
3.85%, 03/08/37 (b) | 857,000 | 821,117 |
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | ||
3.95%, 01/23/49 (a)(b) | 489,000 | 496,105 |
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | ||
4.24%, 04/24/38 (a)(b) | 509,000 | 531,605 |
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | ||
4.27%, 07/23/29 (a)(b) | 181,000 | 186,928 |
12 | State Street Income Fund |
Principal Amount | Fair Value | |
Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | ||
4.30%, 12/31/99 (a)(b) | $ 812,000 | $ 771,010 |
Barclays PLC | ||
4.38%, 01/12/26 (a) | 911,000 | 931,179 |
4.84%, 05/09/28 (a) | 276,000 | 282,022 |
Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | ||
2.65%, 06/24/31 (b) | 1,414,000 | 1,284,987 |
Barclays PLC (2.85% fixed rate until 05/07/25; 2.71% + SOFR thereafter) | ||
2.85%, 05/07/26 (a)(b) | 1,320,000 | 1,283,344 |
Barclays PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) | ||
4.97%, 05/16/29 (a)(b) | 507,000 | 532,309 |
Barrick North America Finance LLC | ||
5.70%, 05/30/41 (a) | 69,000 | 83,811 |
BAT Capital Corp. | ||
2.73%, 03/25/31 (a) | 616,000 | 543,472 |
4.39%, 08/15/37 (a) | 454,000 | 422,501 |
4.54%, 08/15/47 (a) | 204,000 | 182,103 |
4.70%, 04/02/27 (a) | 387,000 | 396,512 |
4.91%, 04/02/30 (a) | 406,000 | 417,729 |
BAT International Finance PLC | ||
1.67%, 03/25/26 (a) | 395,000 | 363,100 |
Baxter International Inc. | ||
1.92%, 02/01/27 (g) | 2,014,000 | 1,883,432 |
2.27%, 12/01/28 (g) | 1,214,000 | 1,124,698 |
2.54%, 02/01/32 (g) | 570,000 | 521,219 |
3.13%, 12/01/51 (g) | 264,000 | 226,728 |
Bayer US Finance II LLC | ||
3.88%, 12/15/23 (a)(g) | 608,000 | 615,655 |
Baylor Scott & White Holdings | ||
2.84%, 11/15/50 (a) | 97,000 | 81,688 |
Becton Dickinson & Co. | ||
3.70%, 06/06/27 (a) | 352,000 | 357,266 |
3.73%, 12/15/24 | 7,000 | 7,118 |
4.67%, 06/06/47 (a) | 46,000 | 50,296 |
4.69%, 12/15/44 (a) | 54,000 | 58,209 |
Berkshire Hathaway Energy Co. | ||
3.25%, 04/15/28 (a) | 200,000 | 199,876 |
3.70%, 07/15/30 (a) | 452,000 | 464,977 |
Principal Amount | Fair Value | |
3.80%, 07/15/48 (a) | $ 176,000 | $ 173,496 |
4.25%, 10/15/50 (a) | 386,000 | 410,553 |
6.13%, 04/01/36 (a) | 178,000 | 219,588 |
Berkshire Hathaway Finance Corp. | ||
1.45%, 10/15/30 (a) | 410,000 | 358,963 |
2.85%, 10/15/50 (a) | 305,000 | 264,408 |
3.85%, 03/15/52 | 856,000 | 875,097 |
4.25%, 01/15/49 (a) | 260,000 | 283,221 |
Berry Global Inc. | ||
4.88%, 07/15/26 (a)(g) | 1,151,000 | 1,164,697 |
BHP Billiton Finance USA Ltd. | ||
5.00%, 09/30/43 (a) | 108,000 | 128,161 |
Biogen Inc. | ||
2.25%, 05/01/30 (a) | 191,000 | 171,149 |
Block Financial LLC | ||
2.50%, 07/15/28 | 591,000 | 541,362 |
3.88%, 08/15/30 (a) | 188,000 | 184,138 |
BNP Paribas S.A. (2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter) | ||
2.82%, 11/19/25 (a)(b)(g) | 1,007,000 | 983,990 |
BNP Paribas S.A. (5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter) | ||
5.13%, 12/31/99 (a)(b)(g) | 600,000 | 565,602 |
Boardwalk Pipelines LP | ||
4.80%, 05/03/29 (a) | 399,000 | 414,908 |
Boston Scientific Corp. | ||
4.70%, 03/01/49 (a) | 57,000 | 63,550 |
BP Capital Markets America Inc. | ||
3.00%, 02/24/50 (a) | 488,000 | 422,603 |
3.02%, 01/16/27 (a) | 731,000 | 727,806 |
3.38%, 02/08/61 (a) | 561,000 | 499,161 |
BP Capital Markets PLC (4.38% fixed rate until 09/22/25; 4.04% + 5 year CMT Rate thereafter) | ||
4.38%, 12/31/99 (a)(b) | 855,000 | 859,395 |
BP Capital Markets PLC (4.88% fixed rate until 06/22/30; 4.40% + 5 year CMT Rate thereafter) | ||
4.88%, 12/31/99 (a)(b) | 610,000 | 611,318 |
Bristol-Myers Squibb Co. | ||
1.45%, 11/13/30 (a) | 438,000 | 382,624 |
2.35%, 11/13/40 (a) | 243,000 | 204,890 |
2.95%, 03/15/32 | 570,000 | 558,634 |
State Street Income Fund | 13 |
Principal Amount | Fair Value | |
3.20%, 06/15/26 (a) | $ 214,000 | $ 217,214 |
3.40%, 07/26/29 (a) | 120,000 | 122,092 |
3.55%, 03/15/42 | 235,000 | 232,709 |
4.13%, 06/15/39 (a) | 317,000 | 339,631 |
4.25%, 10/26/49 (a) | 317,000 | 346,998 |
4.35%, 11/15/47 (a) | 43,000 | 47,455 |
4.55%, 02/20/48 (a) | 88,000 | 100,058 |
Brixmor Operating Partnership LP | ||
2.25%, 04/01/28 (a) | 829,000 | 758,087 |
3.90%, 03/15/27 (a) | 164,000 | 165,043 |
Broadcom Inc. | ||
3.14%, 11/15/35 (g) | 239,000 | 210,712 |
3.19%, 11/15/36 (g) | 31,000 | 27,241 |
3.42%, 04/15/33 (a)(g) | 576,000 | 537,529 |
3.47%, 04/15/34 (g) | 28,000 | 25,932 |
4.15%, 11/15/30 (a) | 581,000 | 588,570 |
4.30%, 11/15/32 (a) | 406,000 | 411,664 |
Brown-Forman Corp. | ||
4.00%, 04/15/38 (a) | 103,000 | 106,273 |
Brunswick Corp. | ||
2.40%, 08/18/31 | 1,952,000 | 1,656,155 |
Bunge Limited Finance Corp. | ||
3.75%, 09/25/27 (a) | 143,000 | 143,868 |
Burlington Northern Santa Fe LLC | ||
4.15%, 12/15/48 (a) | 359,000 | 388,197 |
4.55%, 09/01/44 (a) | 540,000 | 599,319 |
Cameron LNG LLC | ||
3.30%, 01/15/35 (a)(g) | 197,000 | 185,135 |
Canadian Natural Resources Ltd. | ||
3.85%, 06/01/27 (a) | 446,000 | 451,263 |
4.95%, 06/01/47 (a) | 269,000 | 298,289 |
Canadian Pacific Railway Co. | ||
1.75%, 12/02/26 | 843,000 | 795,750 |
2.45%, 12/02/31 | 721,000 | 668,663 |
3.00%, 12/02/41 | 310,000 | 279,822 |
3.10%, 12/02/51 | 278,000 | 247,212 |
Cantor Fitzgerald LP | ||
4.88%, 05/01/24 (a)(g) | 1,361,000 | 1,400,755 |
Capital One Financial Corp. | ||
3.75%, 07/28/26 (a) | 756,000 | 761,239 |
Cardinal Health Inc. | ||
3.08%, 06/15/24 (a) | 219,000 | 219,302 |
Carlisle Companies Inc. | ||
2.20%, 03/01/32 | 1,134,000 | 987,657 |
Carrier Global Corp. | ||
2.72%, 02/15/30 (a) | 385,000 | 361,881 |
Principal Amount | Fair Value | |
3.58%, 04/05/50 (a) | $ 385,000 | $ 352,267 |
Caterpillar Inc. | ||
3.25%, 09/19/49 - 04/09/50 (a) | 587,000 | 569,802 |
Cenovus Energy Inc. | ||
2.65%, 01/15/32 | 421,000 | 381,098 |
3.75%, 02/15/52 | 488,000 | 438,736 |
Centene Corp. | ||
3.00%, 10/15/30 | 403,000 | 371,292 |
3.38%, 02/15/30 (a) | 1,902,000 | 1,791,532 |
4.25%, 12/15/27 (a) | 3,230,000 | 3,242,435 |
CenterPoint Energy Inc. | ||
2.65%, 06/01/31 | 638,000 | 590,960 |
Charter Communications Operating LLC/Charter Communications Operating Capital | ||
3.50%, 06/01/41 (a) | 555,000 | 464,191 |
3.70%, 04/01/51 (a) | 830,000 | 675,238 |
4.80%, 03/01/50 (a) | 837,000 | 797,577 |
4.91%, 07/23/25 (a) | 167,000 | 172,923 |
5.05%, 03/30/29 (a) | 707,000 | 748,706 |
5.75%, 04/01/48 (a) | 219,000 | 233,940 |
Cheniere Corpus Christi Holdings LLC | ||
5.88%, 03/31/25 (a) | 1,113,000 | 1,177,977 |
7.00%, 06/30/24 | 1,824,000 | 1,941,612 |
Chevron Corp. | ||
2.24%, 05/11/30 (a) | 210,000 | 198,568 |
3.08%, 05/11/50 (a) | 201,000 | 190,514 |
Chevron USA Inc. | ||
3.85%, 01/15/28 (a) | 737,000 | 767,269 |
3.90%, 11/15/24 (a) | 255,000 | 262,826 |
Choice Hotels International Inc. | ||
3.70%, 01/15/31 (a) | 447,000 | 433,657 |
Chubb INA Holdings Inc. | ||
4.35%, 11/03/45 (a) | 287,000 | 313,697 |
Church & Dwight Company Inc. | ||
2.30%, 12/15/31 | 452,000 | 412,780 |
Cigna Corp. | ||
2.40%, 03/15/30 (a) | 382,000 | 353,637 |
3.25%, 04/15/25 (a) | 345,000 | 346,401 |
3.40%, 03/01/27 - 03/15/51 (a) | 578,000 | 549,738 |
3.75%, 07/15/23 (a) | 145,000 | 147,159 |
3.88%, 10/15/47 (a) | 108,000 | 105,028 |
4.13%, 11/15/25 (a) | 615,000 | 634,305 |
4.38%, 10/15/28 (a) | 192,000 | 201,953 |
14 | State Street Income Fund |
Principal Amount | Fair Value | |
4.80%, 08/15/38 (a) | $ 168,000 | $ 184,714 |
4.90%, 12/15/48 (a) | 87,000 | 97,945 |
Cisco Systems Inc. | ||
5.90%, 02/15/39 (a) | 211,000 | 275,910 |
Citadel Finance LLC | ||
3.38%, 03/09/26 (a)(g) | 3,500,000 | 3,332,210 |
Citigroup Inc. | ||
4.13%, 07/25/28 (a) | 1,818,000 | 1,846,688 |
4.45%, 09/29/27 (a) | 448,000 | 461,861 |
4.65%, 07/23/48 (a) | 537,000 | 607,309 |
Citigroup Inc. (0.98% fixed rate until 05/01/25; 0.67% + SOFR thereafter) | ||
0.98%, 05/01/25 (b) | 611,000 | 583,016 |
Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | ||
1.68%, 05/15/24 (a)(b) | 1,959,000 | 1,941,565 |
Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | ||
2.56%, 05/01/32 (b) | 614,000 | 556,088 |
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | ||
2.88%, 07/24/23 (a)(b) | 180,000 | 180,263 |
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | ||
2.98%, 11/05/30 (a)(b) | 374,000 | 355,704 |
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | ||
3.88%, 01/24/39 (a)(b) | 176,000 | 176,581 |
Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | ||
4.70%, 12/31/99 (a)(b) | 856,000 | 818,790 |
CME Group Inc. | ||
2.65%, 03/15/32 | 460,000 | 440,169 |
3.75%, 06/15/28 (a) | 221,000 | 227,771 |
CMS Energy Corp. | ||
4.88%, 03/01/44 (a) | 600,000 | 660,900 |
CNA Financial Corp. | ||
3.45%, 08/15/27 (a) | 165,000 | 165,224 |
3.90%, 05/01/29 (a) | 395,000 | 403,560 |
CNH Industrial Capital LLC | ||
1.95%, 07/02/23 (a) | 919,000 | 910,058 |
Principal Amount | Fair Value | |
CNOOC Finance 2014 ULC | ||
4.25%, 04/30/24 (a) | $ 2,095,000 | $ 2,140,105 |
CNOOC Petroleum North America ULC | ||
6.40%, 05/15/37 (a) | 540,000 | 632,599 |
Comcast Corp. | ||
2.65%, 08/15/62 (a) | 301,000 | 233,745 |
2.80%, 01/15/51 (a) | 341,000 | 286,863 |
2.89%, 11/01/51 (g) | 317,000 | 269,127 |
2.94%, 11/01/56 (g) | 266,000 | 221,839 |
2.99%, 11/01/63 (g) | 253,000 | 207,371 |
3.20%, 07/15/36 (a) | 370,000 | 354,075 |
3.25%, 11/01/39 (a) | 595,000 | 563,144 |
3.97%, 11/01/47 (a) | 411,000 | 420,013 |
4.15%, 10/15/28 (a) | 406,000 | 426,759 |
CommonSpirit Health | ||
4.35%, 11/01/42 | 1,029,000 | 1,039,630 |
Commonwealth Bank of Australia | ||
3.78%, 03/14/32 (g) | 800,000 | 773,656 |
Conagra Brands Inc. | ||
5.30%, 11/01/38 (a) | 184,000 | 202,008 |
5.40%, 11/01/48 (a) | 159,000 | 181,812 |
ConocoPhillips Co. | ||
4.30%, 11/15/44 (a) | 373,000 | 404,030 |
Consolidated Edison Company of New York Inc. | ||
2.90%, 12/01/26 (a) | 454,000 | 446,060 |
3.35%, 04/01/30 (a) | 174,000 | 173,356 |
3.88%, 06/15/47 (a) | 208,000 | 202,199 |
3.95%, 04/01/50 (a) | 291,000 | 300,833 |
Constellation Brands Inc. | ||
3.15%, 08/01/29 (a) | 834,000 | 805,219 |
3.70%, 12/06/26 (a) | 389,000 | 393,582 |
4.50%, 05/09/47 (a) | 301,000 | 308,013 |
Continental Resources Inc. | ||
2.88%, 04/01/32 (g) | 665,000 | 591,631 |
3.80%, 06/01/24 (a) | 3,189,000 | 3,209,346 |
4.50%, 04/15/23 (a) | 2,123,000 | 2,152,510 |
Corebridge Financial Inc. | ||
3.90%, 04/05/32 | 1,980,000 | 1,977,070 |
Corning Inc. | ||
4.38%, 11/15/57 (a) | 202,000 | 204,115 |
Corporate Office Properties LP | ||
2.00%, 01/15/29 | 677,000 | 597,676 |
2.25%, 03/15/26 (a) | 561,000 | 535,536 |
2.75%, 04/15/31 (a) | 349,000 | 314,278 |
Credit Suisse AG | ||
2.95%, 04/09/25 (a) | 1,080,000 | 1,068,725 |
State Street Income Fund | 15 |
Principal Amount | Fair Value | |
Credit Suisse Group AG | ||
3.80%, 06/09/23 (a) | $ 937,000 | $ 945,948 |
4.28%, 01/09/28 (a)(g) | 593,000 | 593,006 |
Crown Castle International Corp. | ||
2.90%, 03/15/27 | 1,430,000 | 1,382,524 |
3.30%, 07/01/30 (a) | 1,118,000 | 1,070,116 |
4.15%, 07/01/50 (a) | 168,000 | 163,711 |
5.20%, 02/15/49 (a) | 262,000 | 292,211 |
CSX Corp. | ||
4.50%, 03/15/49 - 08/01/54 (a) | 595,000 | 654,874 |
CubeSmart LP | ||
2.50%, 02/15/32 | 807,000 | 722,709 |
4.38%, 02/15/29 (a) | 602,000 | 631,450 |
Cummins Inc. | ||
1.50%, 09/01/30 (a) | 412,000 | 356,899 |
2.60%, 09/01/50 (a) | 412,000 | 332,282 |
CVS Health Corp. | ||
3.00%, 08/15/26 (a) | 423,000 | 420,500 |
3.25%, 08/15/29 (a) | 350,000 | 346,175 |
3.63%, 04/01/27 (a) | 398,000 | 404,479 |
3.75%, 04/01/30 (a) | 290,000 | 295,026 |
3.88%, 07/20/25 (a) | 245,000 | 250,032 |
4.25%, 04/01/50 (a) | 211,000 | 219,662 |
4.30%, 03/25/28 (a) | 35,000 | 36,691 |
4.78%, 03/25/38 (a) | 260,000 | 283,832 |
5.00%, 12/01/24 (a) | 570,000 | 595,964 |
5.13%, 07/20/45 (a) | 252,000 | 285,168 |
5.30%, 12/05/43 (a) | 426,000 | 492,473 |
Daimler Trucks Finance North America LLC | ||
2.00%, 12/14/26 (g) | 1,580,000 | 1,471,865 |
2.38%, 12/14/28 (g) | 845,000 | 770,446 |
2.50%, 12/14/31 (g) | 845,000 | 740,862 |
Danaher Corp. | ||
2.80%, 12/10/51 | 1,084,000 | 921,367 |
Dell International LLC/EMC Corp. | ||
4.00%, 07/15/24 | 728,000 | 743,616 |
5.45%, 06/15/23 | 101,000 | 104,046 |
6.02%, 06/15/26 | 124,000 | 134,542 |
8.35%, 07/15/46 | 29,000 | 42,467 |
Deutsche Bank AG | ||
3.30%, 11/16/22 (a) | 772,000 | 777,280 |
3.70%, 05/30/24 (a) | 327,000 | 328,465 |
Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% + SOFR thereafter) | ||
2.31%, 11/16/27 (b) | 2,227,000 | 2,048,929 |
Principal Amount | Fair Value | |
Deutsche Bank AG (3.74% fixed rate until 01/07/32; 2.26% + SOFR thereafter) | ||
3.74%, 01/07/33 (b) | $ 1,000,000 | $ 883,390 |
Deutsche Telekom AG | ||
3.63%, 01/21/50 (a)(g) | 309,000 | 286,706 |
Deutsche Telekom International Finance BV | ||
2.49%, 09/19/23 (a)(g) | 758,000 | 755,158 |
Devon Energy Corp. | ||
5.00%, 06/15/45 (a) | 133,000 | 144,870 |
DH Europe Finance II Sarl | ||
2.60%, 11/15/29 (a) | 363,000 | 345,834 |
3.25%, 11/15/39 (a) | 205,000 | 195,146 |
3.40%, 11/15/49 (a) | 106,000 | 100,083 |
Diamondback Energy Inc. | ||
3.13%, 03/24/31 (a) | 555,000 | 530,186 |
3.25%, 12/01/26 (a) | 347,000 | 346,618 |
3.50%, 12/01/29 (a) | 298,000 | 295,124 |
4.40%, 03/24/51 (a) | 275,000 | 278,814 |
Digital Realty Trust LP | ||
3.60%, 07/01/29 (a) | 649,000 | 644,587 |
Discover Bank | ||
2.70%, 02/06/30 (a) | 535,000 | 489,482 |
Discovery Communications LLC | ||
2.95%, 03/20/23 (a) | 746,000 | 748,536 |
3.95%, 03/20/28 (a) | 292,000 | 291,834 |
4.95%, 05/15/42 (a) | 106,000 | 105,617 |
5.00%, 09/20/37 (a) | 133,000 | 137,406 |
Dollar General Corp. | ||
3.50%, 04/03/30 (a) | 237,000 | 236,111 |
4.13%, 04/03/50 (a) | 352,000 | 351,250 |
Dollar Tree Inc. | ||
4.00%, 05/15/25 (a) | 468,000 | 479,377 |
Dominion Energy Inc. | ||
3.07%, 08/15/24 (a)(h) | 511,000 | 509,774 |
3.38%, 04/01/30 (a) | 597,000 | 588,063 |
Dover Corp. | ||
2.95%, 11/04/29 (a) | 407,000 | 396,048 |
DTE Energy Co. | ||
2.85%, 10/01/26 (a) | 190,000 | 185,883 |
Duke Energy Carolinas LLC | ||
3.95%, 03/15/48 (a) | 238,000 | 245,852 |
Duke Energy Corp. | ||
2.55%, 06/15/31 | 915,000 | 838,954 |
3.30%, 06/15/41 | 830,000 | 751,382 |
3.50%, 06/15/51 | 830,000 | 756,628 |
3.75%, 09/01/46 (a) | 1,269,000 | 1,196,236 |
16 | State Street Income Fund |
Principal Amount | Fair Value | |
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | ||
4.88%, 12/31/99 (b) | $ 1,119,000 | $ 1,130,335 |
Duke Energy Progress LLC | ||
4.15%, 12/01/44 (a) | 226,000 | 233,788 |
Duke Realty LP | ||
3.05%, 03/01/50 (a) | 177,000 | 151,015 |
3.25%, 06/30/26 (a) | 237,000 | 235,839 |
DuPont de Nemours Inc. | ||
5.42%, 11/15/48 (a) | 147,000 | 177,926 |
Duquesne Light Holdings Inc. | ||
3.62%, 08/01/27 (a)(g) | 626,000 | 617,868 |
Eastman Chemical Co. | ||
4.65%, 10/15/44 (a) | 405,000 | 417,478 |
Eaton Corp. | ||
3.10%, 09/15/27 (a) | 251,000 | 251,281 |
Ecolab Inc. | ||
1.30%, 01/30/31 (a) | 414,000 | 356,744 |
Edison International | ||
4.95%, 04/15/25 (a) | 950,000 | 975,574 |
5.75%, 06/15/27 (a) | 119,000 | 127,694 |
EI du Pont de Nemours & Co. | ||
2.30%, 07/15/30 (a) | 307,000 | 285,796 |
Electronic Arts Inc. | ||
1.85%, 02/15/31 (a) | 513,000 | 451,620 |
Emera US Finance LP | ||
2.64%, 06/15/31 | 923,000 | 829,749 |
Emerson Electric Co. | ||
1.80%, 10/15/27 (a) | 266,000 | 249,378 |
2.75%, 10/15/50 (a) | 203,000 | 172,359 |
Empower Finance 2020 LP | ||
1.36%, 09/17/27 (a)(g) | 614,000 | 554,246 |
1.78%, 03/17/31 (a)(g) | 473,000 | 410,682 |
Enbridge Energy Partners LP | ||
5.50%, 09/15/40 (a) | 57,000 | 64,475 |
Enbridge Inc. | ||
1.60%, 10/04/26 | 1,704,000 | 1,577,495 |
Enbridge Inc. (5.75% fixed rate until 07/15/30; 5.31% + 5 year CMT Rate thereafter) | ||
5.75%, 07/15/80 (a)(b) | 1,031,000 | 1,067,405 |
Energy Transfer LP | ||
4.25%, 03/15/23 (a) | 549,000 | 555,006 |
4.50%, 04/15/24 (a) | 435,000 | 443,574 |
4.95%, 06/15/28 (a) | 132,000 | 138,559 |
5.30%, 04/01/44 - 04/15/47 (a) | 673,000 | 688,940 |
5.35%, 05/15/45 | 555,000 | 572,116 |
Principal Amount | Fair Value | |
6.13%, 12/15/45 (a) | $ 110,000 | $ 121,397 |
6.50%, 02/01/42 (a) | 312,000 | 358,881 |
Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | ||
6.75%, 12/31/99 (b) | 2,488,000 | 2,419,928 |
Energy Transfer LP/Regency Energy Finance Corp. | ||
4.50%, 11/01/23 (a) | 279,000 | 283,369 |
Enstar Group Ltd. | ||
3.10%, 09/01/31 | 591,000 | 529,199 |
Enterprise Products Operating LLC | ||
4.25%, 02/15/48 (a) | 583,000 | 585,513 |
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | ||
5.25%, 08/16/77 (a)(b) | 190,000 | 178,114 |
EOG Resources Inc. | ||
4.15%, 01/15/26 (a) | 262,000 | 271,304 |
4.95%, 04/15/50 (a) | 204,000 | 250,532 |
5.10%, 01/15/36 (a) | 164,000 | 180,805 |
Equinix Inc. | ||
1.25%, 07/15/25 (a) | 767,000 | 715,442 |
2.15%, 07/15/30 (a) | 579,000 | 508,408 |
Equinor ASA | ||
3.25%, 11/18/49 (a) | 435,000 | 409,687 |
ERP Operating LP | ||
4.50%, 07/01/44 (a) | 136,000 | 149,082 |
Everest Reinsurance Holdings Inc. | ||
3.13%, 10/15/52 | 676,000 | 562,256 |
Eversource Energy | ||
3.45%, 01/15/50 (a) | 404,000 | 369,022 |
Exelon Corp. | ||
3.50%, 06/01/22 (a) | 451,000 | 451,550 |
4.05%, 04/15/30 (a) | 611,000 | 630,766 |
4.45%, 04/15/46 (a) | 380,000 | 397,138 |
4.70%, 04/15/50 | 406,000 | 446,831 |
Extra Space Storage LP | ||
3.90%, 04/01/29 | 375,000 | 376,335 |
Exxon Mobil Corp. | ||
2.61%, 10/15/30 (a) | 1,221,000 | 1,174,871 |
3.45%, 04/15/51 (a) | 634,000 | 613,179 |
FedEx Corp. | ||
4.10%, 02/01/45 (a) | 896,000 | 876,207 |
State Street Income Fund | 17 |
Principal Amount | Fair Value | |
Fidelity National Financial Inc. | ||
3.20%, 09/17/51 | $ 633,000 | $ 503,001 |
Fidelity National Information Services Inc. | ||
1.15%, 03/01/26 | 517,000 | 475,082 |
1.65%, 03/01/28 (a) | 467,000 | 418,385 |
3.10%, 03/01/41 (a) | 110,000 | 95,445 |
FirstEnergy Transmission LLC | ||
4.55%, 04/01/49 (a)(g) | 741,000 | 712,271 |
Fiserv Inc. | ||
3.50%, 07/01/29 (a) | 272,000 | 267,667 |
4.40%, 07/01/49 (a) | 159,000 | 163,846 |
Florida Power & Light Co. | ||
2.85%, 04/01/25 (a) | 1,025,000 | 1,025,984 |
4.13%, 02/01/42 (a) | 222,000 | 234,923 |
Flowers Foods Inc. | ||
2.40%, 03/15/31 (a) | 496,000 | 444,803 |
Flowserve Corp. | ||
2.80%, 01/15/32 | 631,000 | 559,684 |
Ford Motor Co. | ||
4.35%, 12/08/26 (a) | 525,000 | 528,087 |
Ford Motor credit Company LLC | ||
2.90%, 02/10/29 | 1,600,000 | 1,425,488 |
Ford Motor Credit Company LLC | ||
3.10%, 05/04/23 (a) | 1,436,000 | 1,434,607 |
3.81%, 01/09/24 (a) | 945,000 | 943,497 |
Fox Corp. | ||
3.50%, 04/08/30 (a) | 411,000 | 407,465 |
Freeport-McMoRan Inc. | ||
4.25%, 03/01/30 | 721,000 | 725,910 |
GA Global Funding Trust | ||
1.63%, 01/15/26 (a)(g) | 747,000 | 697,302 |
General Dynamics Corp. | ||
4.25%, 04/01/50 (a) | 312,000 | 350,704 |
General Mills Inc. | ||
3.00%, 02/01/51 | 326,000 | 281,762 |
General Motors Co. | ||
5.20%, 04/01/45 (a) | 60,000 | 60,745 |
5.40%, 10/02/23 - 04/01/48 (a) | 296,000 | 308,359 |
6.13%, 10/01/25 (a) | 780,000 | 838,211 |
6.80%, 10/01/27 (a) | 328,000 | 370,230 |
General Motors Financial Company Inc. | ||
1.25%, 01/08/26 (a) | 926,000 | 846,086 |
2.35%, 01/08/31 (a) | 406,000 | 350,816 |
3.45%, 04/10/22 (a) | 846,000 | 846,152 |
5.25%, 03/01/26 (a) | 322,000 | 337,479 |
Principal Amount | Fair Value | |
Genuine Parts Co. | ||
2.75%, 02/01/32 | $ 748,000 | $ 686,664 |
Georgia-Pacific LLC | ||
1.75%, 09/30/25 (a)(g) | 1,036,000 | 985,298 |
3.60%, 03/01/25 (a)(g) | 1,820,000 | 1,839,729 |
Gilead Sciences Inc. | ||
2.60%, 10/01/40 (a) | 311,000 | 261,346 |
2.80%, 10/01/50 (a) | 447,000 | 367,434 |
2.95%, 03/01/27 (a) | 69,000 | 68,374 |
3.50%, 02/01/25 (a) | 248,000 | 251,447 |
3.65%, 03/01/26 (a) | 226,000 | 230,195 |
4.15%, 03/01/47 (a) | 149,000 | 153,077 |
GlaxoSmithKline Capital Inc. | ||
3.38%, 05/15/23 (a) | 550,000 | 557,238 |
3.63%, 05/15/25 (a) | 520,000 | 531,180 |
GlaxoSmithKline Capital PLC | ||
3.38%, 06/01/29 (a) | 462,000 | 471,157 |
Glencore Finance Canada Ltd. | ||
4.25%, 10/25/22 (a)(g) | 1,103,000 | 1,113,909 |
Glencore Funding LLC | ||
3.88%, 04/27/51 (g) | 512,000 | 471,255 |
Graphic Packaging International LLC | ||
1.51%, 04/15/26 (a)(g) | 628,000 | 577,258 |
Gray Oak Pipeline LLC | ||
2.00%, 09/15/23 (a)(g) | 1,438,000 | 1,416,761 |
2.60%, 10/15/25 (a)(g) | 940,000 | 902,052 |
GSK Consumer Healthcare Capital US LLC | ||
3.38%, 03/24/27 | 1,465,000 | 1,465,703 |
3.63%, 03/24/32 | 610,000 | 610,250 |
4.00%, 03/24/52 | 250,000 | 250,648 |
Halliburton Co. | ||
3.80%, 11/15/25 (a) | 3,000 | 3,064 |
5.00%, 11/15/45 (a) | 177,000 | 192,098 |
HCA Inc. | ||
3.13%, 03/15/27 | 1,200,000 | 1,172,496 |
3.50%, 09/01/30 | 1,283,000 | 1,238,544 |
3.63%, 03/15/32 | 1,284,000 | 1,258,281 |
4.38%, 03/15/42 | 425,000 | 420,091 |
4.63%, 03/15/52 | 215,000 | 217,799 |
5.38%, 02/01/25 | 3,221,000 | 3,360,528 |
Health Care Service Corp. | ||
2.20%, 06/01/30 (a)(g) | 564,000 | 513,725 |
3.20%, 06/01/50 (a)(g) | 204,000 | 179,175 |
Healthcare Trust of America Holdings LP | ||
2.00%, 03/15/31 (a) | 335,000 | 290,177 |
18 | State Street Income Fund |
Principal Amount | Fair Value | |
Helmerich & Payne Inc. | ||
2.90%, 09/29/31 (g) | $ 339,000 | $ 311,073 |
Hess Corp. | ||
5.60%, 02/15/41 (a) | 89,000 | 100,157 |
5.80%, 04/01/47 (a) | 56,000 | 66,360 |
Hewlett Packard Enterprise Co. | ||
6.35%, 10/15/45 (a) | 97,000 | 113,672 |
Highwoods Realty LP | ||
4.13%, 03/15/28 (a) | 244,000 | 247,738 |
4.20%, 04/15/29 (a) | 595,000 | 606,287 |
Honeywell International Inc. | ||
1.75%, 09/01/31 | 636,000 | 569,831 |
2.70%, 08/15/29 (a) | 463,000 | 454,597 |
Hormel Foods Corp. | ||
1.80%, 06/11/30 (a) | 826,000 | 740,038 |
HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | ||
2.01%, 09/22/28 (a)(b) | 1,527,000 | 1,385,966 |
HSBC Holdings PLC (2.25% fixed rate until 11/22/26; 1.10% + SOFR thereafter) | ||
2.25%, 11/22/27 (b) | 1,250,000 | 1,164,525 |
HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | ||
2.87%, 11/22/32 (b) | 520,000 | 473,398 |
HSBC Holdings PLC (3.00% fixed rate until 03/10/25; 1.43% + SOFR thereafter) | ||
3.00%, 03/10/26 (b) | 1,095,000 | 1,073,866 |
HSBC Holdings PLC (4.00% fixed rate until 09/09/26; 3.22% + 5 year CMT Rate thereafter) | ||
4.00%, 12/31/99 (a)(b) | 924,000 | 875,601 |
HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) | ||
4.29%, 09/12/26 (a)(b) | 1,372,000 | 1,391,208 |
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | ||
6.00%, 12/31/99 (a)(b) | 801,000 | 812,054 |
Principal Amount | Fair Value | |
HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) | ||
6.50%, 12/31/99 (a)(b) | $ 1,024,000 | $ 1,044,480 |
Humana Inc. | ||
1.35%, 02/03/27 | 1,018,000 | 924,802 |
2.15%, 02/03/32 | 511,000 | 448,525 |
Huntington Bancshares Inc. | ||
2.55%, 02/04/30 (a) | 810,000 | 764,332 |
Huntington Ingalls Industries Inc. | ||
2.04%, 08/16/28 (g) | 1,107,000 | 1,000,595 |
Hyundai Capital America | ||
1.30%, 01/08/26 (a)(g) | 1,557,000 | 1,423,332 |
3.10%, 04/05/22 (a)(g) | 406,000 | 406,000 |
Imperial Brands Finance PLC | ||
3.13%, 07/26/24 (a)(g) | 844,000 | 836,632 |
3.50%, 02/11/23 - 07/26/26 (a)(g) | 2,068,000 | 2,066,869 |
Indiana Michigan Power Co. | ||
3.25%, 05/01/51 | 412,000 | 369,416 |
ING Groep N.V. | ||
4.10%, 10/02/23 (a) | 1,682,000 | 1,710,173 |
ING Groep N.V. (1.28% fixed rate until 04/01/27; 1.01% + SOFR thereafter) | ||
1.28%, 04/01/27 (b) | 836,000 | 824,973 |
Ingredion Inc. | ||
3.90%, 06/01/50 (a) | 205,000 | 199,535 |
Intel Corp. | ||
2.00%, 08/12/31 | 632,000 | 573,768 |
2.45%, 11/15/29 (a) | 781,000 | 745,269 |
2.60%, 05/19/26 (a) | 533,000 | 528,709 |
2.80%, 08/12/41 | 731,000 | 649,384 |
2.88%, 05/11/24 (a) | 334,000 | 336,659 |
3.10%, 02/15/60 (a) | 372,000 | 323,863 |
Intercontinental Exchange Inc. | ||
1.85%, 09/15/32 (a) | 205,000 | 177,633 |
2.65%, 09/15/40 (a) | 138,000 | 118,422 |
International Business Machines Corp. | ||
3.45%, 02/19/26 (a) | 704,000 | 715,201 |
4.15%, 05/15/39 (a) | 470,000 | 492,786 |
4.25%, 05/15/49 (a) | 227,000 | 241,977 |
International Paper Co. | ||
4.40%, 08/15/47 (a) | 301,000 | 315,887 |
Interstate Power & Light Co. | ||
3.40%, 08/15/25 (a) | 1,587,000 | 1,588,904 |
State Street Income Fund | 19 |
Principal Amount | Fair Value | |
ITC Holdings Corp. | ||
2.95%, 05/14/30 (a)(g) | $ 1,018,000 | $ 967,517 |
JAB HOLDINGS BV | ||
2.20%, 11/23/30 (a)(g) | 498,000 | 444,375 |
Jabil Inc. | ||
3.95%, 01/12/28 (a) | 316,000 | 316,739 |
John Deere Capital Corp. | ||
2.45%, 01/09/30 (a) | 726,000 | 695,435 |
Johnson & Johnson | ||
3.63%, 03/03/37 (a) | 203,000 | 210,385 |
Johnson Controls International PLC | ||
4.50%, 02/15/47 (a) | 129,000 | 136,025 |
JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | ||
1.58%, 04/22/27 (b) | 1,149,000 | 1,070,339 |
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | ||
2.96%, 05/13/31 (a)(b) | 665,000 | 623,471 |
JPMorgan Chase & Co. (3.11% fixed rate until 04/22/50; 2.44% + SOFR thereafter) | ||
3.11%, 04/22/51 (b) | 1,109,000 | 986,278 |
JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | ||
3.16%, 04/22/42 (b) | 555,000 | 503,030 |
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | ||
3.88%, 07/24/38 (a)(b) | 436,000 | 442,993 |
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | ||
3.90%, 01/23/49 (a)(b) | 443,000 | 448,520 |
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | ||
3.96%, 01/29/27 (a)(b) | 731,000 | 746,972 |
Principal Amount | Fair Value | |
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | ||
4.01%, 04/23/29 (a)(b) | $ 301,000 | $ 307,327 |
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | ||
4.03%, 07/24/48 (a)(b) | 294,000 | 304,249 |
JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | ||
4.49%, 03/24/31 (a)(b) | 1,012,000 | 1,074,086 |
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | ||
4.60%, 12/31/99 (a)(b) | 1,137,000 | 1,095,841 |
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | ||
6.10%, 10/29/49 (a)(b) | 968,000 | 992,190 |
Kaiser Foundation Hospitals | ||
3.00%, 06/01/51 | 568,000 | 500,828 |
3.27%, 11/01/49 (a) | 693,000 | 647,900 |
Kansas City Southern/old | ||
3.50%, 05/01/50 | 317,000 | 295,349 |
Keurig Dr Pepper Inc. | ||
3.20%, 05/01/30 (a) | 454,000 | 441,424 |
3.80%, 05/01/50 (a) | 344,000 | 326,081 |
Kinder Morgan Energy Partners LP | ||
4.70%, 11/01/42 (a) | 76,000 | 75,683 |
5.00%, 03/01/43 (a) | 156,000 | 160,585 |
6.38%, 03/01/41 (a) | 133,000 | 156,488 |
Kinder Morgan Inc. | ||
1.75%, 11/15/26 | 1,980,000 | 1,840,608 |
5.05%, 02/15/46 (a) | 125,000 | 132,585 |
KLA Corp. | ||
3.30%, 03/01/50 (a) | 405,000 | 381,425 |
4.65%, 11/01/24 (a) | 554,000 | 574,188 |
Kohl's Corp. | ||
3.38%, 05/01/31 | 188,000 | 180,369 |
Kraft Heinz Foods Co. | ||
5.20%, 07/15/45 | 643,000 | 695,694 |
Kreditanstalt fuer Wiederaufbau | ||
2.00%, 10/04/22 (a) | 1,948,000 | 1,955,617 |
20 | State Street Income Fund |
Principal Amount | Fair Value | |
Kyndryl Holdings Inc. | ||
2.05%, 10/15/26 (g) | $ 791,000 | $ 710,737 |
2.70%, 10/15/28 (g) | 1,361,000 | 1,183,253 |
L3Harris Technologies Inc. | ||
3.85%, 12/15/26 (a) | 328,000 | 333,756 |
Lear Corp. | ||
4.25%, 05/15/29 (a) | 270,000 | 273,569 |
Leidos Inc. | ||
2.95%, 05/15/23 | 1,138,000 | 1,140,834 |
3.63%, 05/15/25 | 339,000 | 340,071 |
4.38%, 05/15/30 | 1,480,000 | 1,509,615 |
Liberty Mutual Group Inc. | ||
3.95%, 05/15/60 (a)(g) | 204,000 | 186,042 |
Life Storage LP | ||
2.20%, 10/15/30 (a) | 574,000 | 507,227 |
Lincoln National Corp. | ||
4.35%, 03/01/48 (a) | 220,000 | 222,222 |
Lloyds Banking Group PLC | ||
3.75%, 01/11/27 (a) | 372,000 | 372,897 |
Lloyds Banking Group PLC (2.44% fixed rate until 02/05/25; 1.00% + 1 year CMT Rate thereafter) | ||
2.44%, 02/05/26 (a)(b) | 800,000 | 772,528 |
Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter) | ||
2.91%, 11/07/23 (a)(b) | 982,000 | 983,571 |
Lockheed Martin Corp. | ||
3.55%, 01/15/26 (a) | 293,000 | 300,269 |
3.80%, 03/01/45 (a) | 115,000 | 117,666 |
4.50%, 05/15/36 (a) | 372,000 | 410,569 |
Lowe's Companies Inc. | ||
1.30%, 04/15/28 (a) | 270,000 | 240,821 |
1.70%, 09/15/28 | 635,000 | 575,386 |
1.70%, 10/15/30 (a) | 205,000 | 179,086 |
3.00%, 10/15/50 (a) | 411,000 | 349,416 |
3.70%, 04/15/46 (a) | 145,000 | 138,436 |
4.05%, 05/03/47 (a) | 343,000 | 342,849 |
LYB International Finance III LLC | ||
1.25%, 10/01/25 (a) | 321,000 | 297,313 |
3.63%, 04/01/51 (a) | 205,000 | 184,840 |
3.80%, 10/01/60 (a) | 204,000 | 179,761 |
Magallanes Inc. | ||
5.05%, 03/15/42 (g) | 225,000 | 229,543 |
5.14%, 03/15/52 | 220,000 | 225,223 |
5.39%, 03/15/62 | 220,000 | 227,308 |
Principal Amount | Fair Value | |
Marsh & McLennan Companies Inc. | ||
2.38%, 12/15/31 | $ 328,000 | $ 300,697 |
2.90%, 12/15/51 | 399,000 | 333,907 |
Marvell Technology Inc. | ||
1.65%, 04/15/26 | 1,219,000 | 1,133,914 |
2.45%, 04/15/28 | 926,000 | 854,031 |
Masco Corp. | ||
3.50%, 11/15/27 (a) | 117,000 | 116,291 |
McCormick & Company Inc. | ||
1.85%, 02/15/31 (a) | 294,000 | 256,139 |
3.25%, 11/15/25 (a) | 2,940,000 | 2,943,205 |
McDonald's Corp. | ||
3.60%, 07/01/30 (a) | 610,000 | 620,632 |
3.63%, 09/01/49 (a) | 247,000 | 236,315 |
Medtronic Inc. | ||
4.63%, 03/15/45 (a) | 49,000 | 56,962 |
Memorial Sloan-Kettering Cancer Center | ||
4.13%, 07/01/52 (a) | 646,000 | 687,292 |
Merck & Company Inc. | ||
1.70%, 06/10/27 | 1,081,000 | 1,024,139 |
1.90%, 12/10/28 | 1,081,000 | 1,018,280 |
2.15%, 12/10/31 | 685,000 | 634,721 |
2.45%, 06/24/50 (a) | 509,000 | 423,839 |
2.75%, 02/10/25 (a) | 647,000 | 648,993 |
2.75%, 12/10/51 | 360,000 | 313,765 |
2.90%, 12/10/61 | 201,000 | 172,060 |
4.00%, 03/07/49 (a) | 136,000 | 146,933 |
MetLife Inc. | ||
4.72%, 12/15/44 (a) | 234,000 | 256,597 |
Microchip Technology Inc. | ||
2.67%, 09/01/23 | 2,847,000 | 2,838,858 |
Micron Technology Inc. | ||
3.37%, 11/01/41 | 528,000 | 470,606 |
3.48%, 11/01/51 | 739,000 | 644,489 |
Microsoft Corp. | ||
2.40%, 08/08/26 (a) | 290,000 | 287,619 |
2.68%, 06/01/60 (a) | 165,000 | 142,537 |
2.92%, 03/17/52 (a) | 1,236,000 | 1,154,844 |
3.04%, 03/17/62 (a) | 312,000 | 291,864 |
3.45%, 08/08/36 (a) | 109,000 | 113,143 |
3.50%, 02/12/35 (a) | 295,000 | 308,585 |
Mid-America Apartments LP | ||
2.88%, 09/15/51 | 631,000 | 531,636 |
Mitsubishi UFJ Financial Group Inc. | ||
2.80%, 07/18/24 (a) | 1,396,000 | 1,387,233 |
State Street Income Fund | 21 |
Principal Amount | Fair Value | |
Mizuho Financial Group Inc. (3.92% fixed rate until 09/11/23; 1.00% + 3 month USD LIBOR thereafter) | ||
3.92%, 09/11/24 (a)(b) | $ 1,310,000 | $ 1,325,026 |
Molson Coors Beverage Co. | ||
4.20%, 07/15/46 (a) | 130,000 | 125,627 |
Morgan Stanley | ||
3.63%, 01/20/27 (a) | 289,000 | 291,748 |
4.35%, 09/08/26 (a) | 816,000 | 841,761 |
4.38%, 01/22/47 (a) | 307,000 | 332,177 |
Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | ||
1.51%, 07/20/27 (b) | 633,000 | 583,366 |
Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | ||
2.48%, 09/16/36 (b) | 2,531,000 | 2,172,863 |
Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | ||
2.80%, 01/25/52 (a)(b) | 546,000 | 456,554 |
Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | ||
3.62%, 04/01/31 (a)(b) | 509,000 | 507,524 |
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | ||
3.97%, 07/22/38 (a)(b) | 274,000 | 276,055 |
MPLX LP | ||
2.65%, 08/15/30 (a) | 470,000 | 431,629 |
3.38%, 03/15/23 (a) | 269,000 | 271,160 |
5.20%, 12/01/47 (a) | 143,000 | 152,183 |
Mylan Inc. | ||
5.20%, 04/15/48 (a) | 185,000 | 182,016 |
National Australia Bank Ltd. (3.35% fixed rate until 01/12/32; 1.70% + 5 year CMT Rate thereafter) | ||
3.35%, 01/12/37 (b)(g) | 1,246,000 | 1,145,859 |
National Retail Properties Inc. | ||
4.00%, 11/15/25 (a) | 381,000 | 389,873 |
Natwest Group PLC (3.75% fixed rate until 11/01/24; 2.10% + 5 year CMT Rate thereafter) | ||
3.75%, 11/01/29 (a)(b) | 575,000 | 569,923 |
Principal Amount | Fair Value | |
Natwest Group PLC (4.52% fixed rate until 06/25/23; 1.55% + 3 month USD LIBOR thereafter) | ||
4.52%, 06/25/24 (a)(b) | $ 953,000 | $ 967,857 |
NewMarket Corp. | ||
2.70%, 03/18/31 (a) | 419,000 | 383,917 |
Newmont Corp. | ||
4.88%, 03/15/42 (a) | 236,000 | 266,390 |
NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | ||
5.65%, 05/01/79 (a)(b) | 371,000 | 382,520 |
NGPL PipeCo LLC | ||
3.25%, 07/15/31 (g) | 656,000 | 608,053 |
NIKE Inc. | ||
3.38%, 03/27/50 (a) | 200,000 | 198,630 |
Nippon Life Insurance Co. (3.40% fixed rate until 01/23/30; 2.61% + 5 year CMT Rate thereafter) | ||
3.40%, 01/23/50 (a)(b)(g) | 786,000 | 748,610 |
NiSource Inc. | ||
3.60%, 05/01/30 (a) | 415,000 | 411,809 |
3.95%, 03/30/48 (a) | 121,000 | 115,602 |
Norfolk Southern Corp. | ||
3.95%, 10/01/42 (a) | 256,000 | 258,463 |
NOV Inc. | ||
3.60%, 12/01/29 (a) | 608,000 | 597,865 |
Novant Health Inc. | ||
3.32%, 11/01/61 | 396,000 | 351,280 |
Novartis Capital Corp. | ||
2.20%, 08/14/30 (a) | 608,000 | 571,173 |
3.00%, 11/20/25 (a) | 52,000 | 52,293 |
Nutrien Ltd. | ||
4.90%, 06/01/43 (a) | 254,000 | 278,305 |
NVIDIA Corp. | ||
2.85%, 04/01/30 (a) | 204,000 | 200,797 |
3.50%, 04/01/50 (a) | 270,000 | 272,673 |
NXP BV/NXP Funding LLC/NXP USA Inc. | ||
3.25%, 11/30/51 (g) | 880,000 | 744,612 |
Oklahoma Gas & Electric Co. | ||
3.25%, 04/01/30 (a) | 341,000 | 336,454 |
Oncor Electric Delivery Company LLC | ||
3.80%, 09/30/47 (a) | 136,000 | 137,493 |
ONEOK Inc. | ||
4.35%, 03/15/29 (a) | 378,000 | 385,934 |
22 | State Street Income Fund |
Principal Amount | Fair Value | |
Oracle Corp. | ||
1.65%, 03/25/26 (a) | $ 755,000 | $ 702,830 |
2.30%, 03/25/28 (a) | 279,000 | 255,472 |
2.40%, 09/15/23 (a) | 237,000 | 236,059 |
2.65%, 07/15/26 (a) | 423,000 | 406,668 |
2.88%, 03/25/31 (a) | 403,000 | 367,762 |
2.95%, 04/01/30 (a) | 611,000 | 565,474 |
3.60%, 04/01/50 (a) | 406,000 | 336,481 |
3.65%, 03/25/41 (a) | 444,000 | 386,879 |
3.80%, 11/15/37 (a) | 128,000 | 115,919 |
3.95%, 03/25/51 (a) | 447,000 | 391,232 |
4.00%, 07/15/46 - 11/15/47 (a) | 609,000 | 539,486 |
4.10%, 03/25/61 (a) | 527,000 | 453,489 |
Otis Worldwide Corp. | ||
2.06%, 04/05/25 (a) | 704,000 | 685,914 |
2.57%, 02/15/30 (a) | 251,000 | 234,570 |
3.36%, 02/15/50 (a) | 238,000 | 210,718 |
Ovintiv Exploration Inc. | ||
5.63%, 07/01/24 (a) | 3,151,000 | 3,312,174 |
Owens Corning | ||
4.40%, 01/30/48 (a) | 174,000 | 173,889 |
Pacific Gas & Electric Co. | ||
2.10%, 08/01/27 (a) | 341,000 | 306,579 |
2.50%, 02/01/31 (a) | 610,000 | 524,868 |
3.00%, 06/15/28 | 576,000 | 536,417 |
3.30%, 08/01/40 (a) | 610,000 | 500,170 |
3.50%, 08/01/50 (a) | 265,000 | 211,054 |
4.30%, 03/15/45 (a) | 406,000 | 347,836 |
PacifiCorp | ||
2.70%, 09/15/30 (a) | 370,000 | 354,079 |
2.90%, 06/15/52 | 919,000 | 806,707 |
6.25%, 10/15/37 (a) | 576,000 | 718,554 |
Packaging Corp. of America | ||
3.05%, 10/01/51 | 551,000 | 470,945 |
Paramount Global | ||
2.90%, 01/15/27 (a) | 190,000 | 185,541 |
3.70%, 06/01/28 (a) | 184,000 | 182,999 |
5.25%, 04/01/44 (a) | 69,000 | 71,919 |
Parker-Hannifin Corp. | ||
3.25%, 06/14/29 (a) | 365,000 | 360,135 |
PartnerRe Finance B LLC (4.50% fixed rate until 01/10/30; 3.82% + 5 year CMT Rate thereafter) | ||
4.50%, 10/01/50 (a)(b) | 328,000 | 315,405 |
PayPal Holdings Inc. | ||
2.65%, 10/01/26 (a) | 537,000 | 528,526 |
3.25%, 06/01/50 (a) | 308,000 | 282,957 |
Principal Amount | Fair Value | |
PepsiCo Inc. | ||
1.63%, 05/01/30 (a) | $ 391,000 | $ 351,963 |
2.63%, 07/29/29 (a) | 525,000 | 514,721 |
2.75%, 10/21/51 | 972,000 | 869,240 |
Petroleos Mexicanos | ||
6.70%, 02/16/32 | 1,516,000 | 1,442,398 |
7.69%, 01/23/50 (a) | 879,000 | 768,413 |
Pfizer Inc. | ||
2.70%, 05/28/50 (a) | 721,000 | 639,188 |
3.45%, 03/15/29 (a) | 201,000 | 206,948 |
3.60%, 09/15/28 (a) | 463,000 | 481,974 |
3.90%, 03/15/39 (a) | 228,000 | 242,565 |
4.13%, 12/15/46 (a) | 155,000 | 173,202 |
4.40%, 05/15/44 (a) | 94,000 | 105,817 |
Philip Morris International Inc. | ||
1.50%, 05/01/25 (a) | 432,000 | 412,413 |
2.10%, 05/01/30 (a) | 206,000 | 185,482 |
3.38%, 08/15/29 (a) | 301,000 | 299,621 |
4.13%, 03/04/43 (a) | 117,000 | 111,318 |
Phillips 66 | ||
2.15%, 12/15/30 (a) | 2,250,000 | 2,003,692 |
3.30%, 03/15/52 | 670,000 | 589,821 |
Phillips 66 Partners LP | ||
3.15%, 12/15/29 (a) | 1,152,000 | 1,112,302 |
3.75%, 03/01/28 (a) | 155,000 | 154,972 |
4.68%, 02/15/45 (a) | 219,000 | 234,404 |
Pioneer Natural Resources Co. | ||
1.13%, 01/15/26 (a) | 1,216,000 | 1,128,545 |
2.15%, 01/15/31 (a) | 355,000 | 319,624 |
Plains All American Pipeline LP/PAA Finance Corp. | ||
3.55%, 12/15/29 (a) | 589,000 | 569,439 |
PPL Capital Funding Inc. | ||
3.10%, 05/15/26 (a) | 447,000 | 440,979 |
Precision Castparts Corp. | ||
4.38%, 06/15/45 (a) | 237,000 | 255,782 |
Prospect Capital Corp. | ||
3.36%, 11/15/26 | 741,000 | 678,949 |
Prudential Financial Inc. | ||
3.94%, 12/07/49 (a) | 411,000 | 417,062 |
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | ||
5.70%, 09/15/48 (a)(b) | 479,000 | 490,975 |
Public Service Company of Colorado | ||
3.70%, 06/15/28 (a) | 433,000 | 443,842 |
State Street Income Fund | 23 |
Principal Amount | Fair Value | |
Public Service Electric & Gas Co. | ||
2.38%, 05/15/23 (a) | $ 909,000 | $ 910,954 |
PVH Corp. | ||
4.63%, 07/10/25 (a) | 1,179,000 | 1,202,380 |
QUALCOMM Inc. | ||
1.30%, 05/20/28 (a) | 159,000 | 143,704 |
4.30%, 05/20/47 (a) | 72,000 | 81,057 |
Quanta Services Inc. | ||
2.35%, 01/15/32 | 680,000 | 591,457 |
3.05%, 10/01/41 | 736,000 | 606,891 |
Quest Diagnostics Inc. | ||
2.95%, 06/30/30 (a) | 148,000 | 140,501 |
Ralph Lauren Corp. | ||
1.70%, 06/15/22 (a) | 202,000 | 202,236 |
Raytheon Technologies Corp. | ||
1.90%, 09/01/31 | 802,000 | 710,644 |
2.82%, 09/01/51 | 476,000 | 401,968 |
3.13%, 05/04/27 (a) | 613,000 | 614,661 |
3.50%, 03/15/27 (a) | 318,000 | 322,745 |
3.95%, 08/16/25 (a) | 260,000 | 268,317 |
4.15%, 05/15/45 (a) | 248,000 | 255,738 |
4.45%, 11/16/38 (a) | 206,000 | 223,541 |
Realty Income Corp. | ||
2.85%, 12/15/32 | 385,000 | 363,725 |
3.00%, 01/15/27 (a) | 117,000 | 115,382 |
3.25%, 01/15/31 (a) | 391,000 | 384,521 |
Regeneron Pharmaceuticals Inc. | ||
1.75%, 09/15/30 (a) | 722,000 | 625,411 |
Regions Financial Corp. | ||
1.80%, 08/12/28 | 1,585,000 | 1,422,411 |
Reliance Industries Ltd. | ||
3.63%, 01/12/52 (g) | 1,000,000 | 888,180 |
Republic Services Inc. | ||
2.38%, 03/15/33 | 1,111,000 | 994,767 |
Reynolds American Inc. | ||
4.45%, 06/12/25 (a) | 27,000 | 27,565 |
Rio Tinto Finance Ltd. | ||
2.75%, 11/02/51 | 1,455,000 | 1,260,248 |
Rio Tinto Finance USA PLC | ||
4.13%, 08/21/42 (a) | 150,000 | 161,067 |
Rockwell Automation Inc. | ||
2.80%, 08/15/61 | 219,000 | 176,352 |
4.20%, 03/01/49 (a) | 281,000 | 299,540 |
Rogers Communications Inc. | ||
5.00%, 03/15/44 (a) | 110,000 | 117,442 |
Roper Technologies Inc. | ||
2.95%, 09/15/29 (a) | 426,000 | 410,800 |
Principal Amount | Fair Value | |
Ross Stores Inc. | ||
4.70%, 04/15/27 (a) | $ 155,000 | $ 163,513 |
Royalty Pharma PLC | ||
0.75%, 09/02/23 | 464,000 | 451,017 |
1.20%, 09/02/25 | 619,000 | 572,717 |
1.75%, 09/02/27 | 312,000 | 283,224 |
2.15%, 09/02/31 | 528,000 | 453,916 |
2.20%, 09/02/30 | 133,000 | 116,465 |
3.30%, 09/02/40 | 79,000 | 67,457 |
RPM International Inc. | ||
3.75%, 03/15/27 (a) | 224,000 | 227,521 |
Ryder System Inc. | ||
2.90%, 12/01/26 (a) | 1,038,000 | 1,009,912 |
Sabine Pass Liquefaction LLC | ||
4.20%, 03/15/28 (a) | 202,000 | 207,838 |
4.50%, 05/15/30 (a) | 232,000 | 243,122 |
5.00%, 03/15/27 (a) | 118,000 | 124,894 |
5.88%, 06/30/26 (a) | 770,000 | 833,125 |
Salesforce.com Inc. | ||
1.95%, 07/15/31 | 695,000 | 634,834 |
2.70%, 07/15/41 | 690,000 | 611,547 |
Santander UK Group Holdings PLC | ||
4.75%, 09/15/25 (a)(g) | 1,003,000 | 1,024,785 |
Saudi Arabian Oil Co. | ||
3.50%, 04/16/29 (a)(g) | 1,243,000 | 1,252,248 |
4.38%, 04/16/49 (a)(g) | 256,000 | 262,241 |
Schlumberger Holdings Corp. | ||
3.90%, 05/17/28 (a)(g) | 460,000 | 464,890 |
Sealed Air Corp. | ||
1.57%, 10/15/26 (g) | 2,504,000 | 2,283,848 |
Selective Insurance Group Inc. | ||
5.38%, 03/01/49 (a) | 176,000 | 193,783 |
Sempra Energy | ||
3.80%, 02/01/38 (a) | 153,000 | 150,589 |
4.00%, 02/01/48 (a) | 166,000 | 164,599 |
Sempra Energy (4.13% fixed rate until 01/04/27; 2.87% + 5 year CMT Rate thereafter) | ||
4.13%, 04/01/52 (b) | 1,014,000 | 944,287 |
Shell International Finance BV | ||
3.13%, 11/07/49 (a) | 684,000 | 623,808 |
3.75%, 09/12/46 (a) | 117,000 | 118,253 |
4.13%, 05/11/35 (a) | 164,000 | 173,376 |
Shire Acquisitions Investments Ireland DAC | ||
2.88%, 09/23/23 (a) | 133,000 | 133,507 |
3.20%, 09/23/26 (a) | 114,000 | 114,176 |
24 | State Street Income Fund |
Principal Amount | Fair Value | |
Simon Property Group LP | ||
3.38%, 06/15/27 (a) | $ 281,000 | $ 281,489 |
SLM Corp. | ||
3.13%, 11/02/26 | 1,208,000 | 1,120,952 |
Sonoco Products Co. | ||
2.85%, 02/01/32 | 776,000 | 725,133 |
Southern California Edison Co. | ||
4.00%, 04/01/47 (a) | 732,000 | 705,384 |
4.20%, 03/01/29 (a) | 557,000 | 576,534 |
Southern Company Gas Capital Corp. | ||
3.95%, 10/01/46 (a) | 399,000 | 378,894 |
4.40%, 05/30/47 (a) | 65,000 | 65,467 |
Southwest Airlines Co. | ||
2.63%, 02/10/30 (a) | 611,000 | 562,187 |
Southwestern Electric Power Co. | ||
2.75%, 10/01/26 (a) | 318,000 | 311,036 |
Spectra Energy Partners LP | ||
3.38%, 10/15/26 (a) | 87,000 | 86,864 |
4.50%, 03/15/45 (a) | 66,000 | 67,370 |
Spirit Realty LP | ||
4.00%, 07/15/29 (a) | 473,000 | 478,227 |
Standard Chartered PLC (2.68% fixed rate until 06/29/31; 1.20% + 1 year CMT Rate thereafter) | ||
2.68%, 06/29/32 (b)(g) | 1,297,000 | 1,141,386 |
Standard Chartered PLC (2.82% fixed rate until 01/30/25; 1.21% + 3 month USD LIBOR thereafter) | ||
2.82%, 01/30/26 (a)(b)(g) | 1,304,000 | 1,267,788 |
Stanley Black & Decker Inc. | ||
3.00%, 05/15/32 | 916,000 | 884,810 |
Starbucks Corp. | ||
4.00%, 11/15/28 (a) | 243,000 | 251,226 |
STERIS Irish FinCo UnLtd Co. | ||
2.70%, 03/15/31 (a) | 1,474,000 | 1,353,766 |
3.75%, 03/15/51 (a) | 604,000 | 565,199 |
Stryker Corp. | ||
1.95%, 06/15/30 (a) | 851,000 | 763,441 |
Sumitomo Mitsui Financial Group Inc. | ||
4.44%, 04/02/24 (g) | 2,981,000 | 3,039,666 |
Sumitomo Mitsui Trust Bank Ltd. | ||
1.35%, 09/16/26 (g) | 3,099,000 | 2,841,442 |
Principal Amount | Fair Value | |
Suncor Energy Inc. | ||
4.00%, 11/15/47 (a) | $ 94,000 | $ 93,846 |
Svenska Handelsbanken AB (1.42% fixed rate until 06/11/26; 0.63% + 1 year CMT Rate thereafter) | ||
1.42%, 06/11/27 (b)(g) | 1,744,000 | 1,610,863 |
Sysco Corp. | ||
3.25%, 07/15/27 (a) | 239,000 | 237,956 |
5.95%, 04/01/30 (a) | 80,000 | 92,910 |
6.60%, 04/01/50 (a) | 94,000 | 125,945 |
Takeda Pharmaceutical Company Ltd. | ||
2.05%, 03/31/30 (a) | 200,000 | 180,172 |
3.03%, 07/09/40 (a) | 300,000 | 268,185 |
3.18%, 07/09/50 (a) | 300,000 | 263,304 |
3.38%, 07/09/60 (a) | 300,000 | 262,287 |
Tampa Electric Co. | ||
2.40%, 03/15/31 (a) | 768,000 | 707,320 |
3.45%, 03/15/51 | 555,000 | 517,543 |
4.35%, 05/15/44 (a) | 479,000 | 496,761 |
Tapestry Inc. | ||
4.13%, 07/15/27 (a) | 69,000 | 70,018 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||
5.00%, 01/15/28 | 1,940,000 | 1,967,800 |
Target Corp. | ||
2.50%, 04/15/26 (a) | 251,000 | 249,414 |
Teck Resources Ltd. | ||
5.40%, 02/01/43 (a) | 244,000 | 264,750 |
Telefonica Emisiones S.A. | ||
4.10%, 03/08/27 (a) | 639,000 | 655,103 |
Texas Instruments Inc. | ||
3.88%, 03/15/39 (a) | 315,000 | 334,177 |
The Allstate Corp. | ||
4.20%, 12/15/46 (a) | 142,000 | 151,308 |
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | ||
5.75%, 08/15/53 (a)(b) | 748,000 | 745,517 |
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | ||
4.63%, 12/29/49 (a)(b) | 659,000 | 650,552 |
State Street Income Fund | 25 |
Principal Amount | Fair Value | |
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | ||
4.65%, 12/31/99 (a)(b) | $ 724,000 | $ 700,774 |
The Boeing Co. | ||
2.20%, 02/04/26 (a) | 1,126,000 | 1,065,365 |
2.70%, 02/01/27 (a) | 966,000 | 927,746 |
2.95%, 02/01/30 (a) | 246,000 | 227,978 |
3.25%, 03/01/28 (a) | 124,000 | 119,284 |
3.55%, 03/01/38 (a) | 165,000 | 146,840 |
3.75%, 02/01/50 (a) | 218,000 | 195,021 |
5.04%, 05/01/27 (a) | 1,421,000 | 1,494,693 |
5.15%, 05/01/30 (a) | 801,000 | 853,113 |
5.81%, 05/01/50 (a) | 496,000 | 572,379 |
The Charles Schwab Corp. | ||
2.45%, 03/03/27 | 1,070,000 | 1,038,895 |
2.90%, 03/03/32 | 355,000 | 341,734 |
The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | ||
4.00%, 12/31/99 (b) | 1,027,000 | 932,917 |
The Cleveland Electric Illuminating Co. | ||
4.55%, 11/15/30 (a)(g) | 982,000 | 1,038,023 |
The Clorox Co. | ||
1.80%, 05/15/30 (a) | 570,000 | 500,489 |
The Coca-Cola Co. | ||
2.60%, 06/01/50 (a) | 406,000 | 347,321 |
2.75%, 06/01/60 (a) | 314,000 | 266,577 |
The Dow Chemical Co. | ||
2.10%, 11/15/30 (a) | 312,000 | 280,937 |
3.60%, 11/15/50 (a) | 312,000 | 290,419 |
4.25%, 10/01/34 (a) | 193,000 | 199,525 |
5.55%, 11/30/48 (a) | 222,000 | 270,871 |
The Estee Lauder Companies Inc. | ||
2.38%, 12/01/29 (a) | 316,000 | 301,041 |
The George Washington University | ||
4.13%, 09/15/48 | 905,000 | 959,164 |
The Goldman Sachs Group Inc. | ||
3.50%, 04/01/25 - 11/16/26 (a) | 1,546,000 | 1,554,296 |
3.85%, 01/26/27 (a) | 2,007,000 | 2,030,522 |
4.25%, 10/21/25 (a) | 521,000 | 535,171 |
5.15%, 05/22/45 (a) | 157,000 | 176,173 |
Principal Amount | Fair Value | |
The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | ||
1.54%, 09/10/27 (b) | $ 752,000 | $ 689,193 |
The Goldman Sachs Group Inc. (1.99% fixed rate until 01/27/31; 1.09% + SOFR thereafter) | ||
1.99%, 01/27/32 (a)(b) | 951,000 | 823,623 |
The Goldman Sachs Group Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | ||
2.38%, 07/21/32 (b) | 410,000 | 364,338 |
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | ||
2.91%, 06/05/23 (a)(b) | 846,000 | 846,829 |
The Goldman Sachs Group Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | ||
2.91%, 07/21/42 (b) | 334,000 | 287,380 |
The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | ||
3.21%, 04/22/42 (b) | 509,000 | 457,102 |
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | ||
3.81%, 04/23/29 (a)(b) | 236,000 | 237,612 |
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | ��� | |
4.02%, 10/31/38 (a)(b) | 244,000 | 245,842 |
The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | ||
4.22%, 05/01/29 (a)(b) | 389,000 | 398,468 |
The Hartford Financial Services Group Inc. | ||
2.80%, 08/19/29 (a) | 880,000 | 837,100 |
26 | State Street Income Fund |
Principal Amount | Fair Value | |
The Hartford Financial Services Group Inc. (2.63% fixed rate until 05/02/22; 2.13% + 3 month USD LIBOR thereafter) | ||
2.63%, 02/12/47 (a)(b)(g) | $ 566,000 | $ 498,176 |
The Home Depot Inc. | ||
2.70%, 04/15/30 (a) | 234,000 | 226,671 |
3.35%, 04/15/50 (a) | 406,000 | 386,138 |
3.50%, 09/15/56 (a) | 222,000 | 216,563 |
3.90%, 12/06/28 - 06/15/47 (a) | 461,000 | 480,595 |
4.50%, 12/06/48 (a) | 179,000 | 202,036 |
The Kroger Co. | ||
2.20%, 05/01/30 (a) | 366,000 | 334,861 |
4.65%, 01/15/48 (a) | 153,000 | 166,850 |
The Northwestern Mutual Life Insurance Co. | ||
3.45%, 03/30/51 (a)(g) | 555,000 | 505,272 |
The Progressive Corp. | ||
2.50%, 03/15/27 | 1,080,000 | 1,057,417 |
3.00%, 03/15/32 | 425,000 | 413,466 |
3.70%, 03/15/52 | 145,000 | 145,958 |
The Southern Co. | ||
3.25%, 07/01/26 (a) | 142,000 | 142,065 |
The Toronto-Dominion Bank | ||
3.20%, 03/10/32 | 1,713,000 | 1,686,894 |
The Travelers Companies Inc. | ||
2.55%, 04/27/50 (a) | 730,000 | 592,045 |
The Walt Disney Co. | ||
2.65%, 01/13/31 (a) | 597,000 | 570,320 |
3.38%, 11/15/26 (a) | 94,000 | 95,263 |
3.60%, 01/13/51 (a) | 392,000 | 387,316 |
4.75%, 11/15/46 (a) | 61,000 | 69,985 |
6.65%, 11/15/37 (a) | 397,000 | 530,039 |
The Williams Companies Inc. | ||
3.75%, 06/15/27 (a) | 100,000 | 101,262 |
4.85%, 03/01/48 (a) | 202,000 | 215,641 |
4.90%, 01/15/45 (a) | 476,000 | 497,568 |
5.40%, 03/04/44 (a) | 69,000 | 75,955 |
Thermo Fisher Scientific Inc. | ||
2.80%, 10/15/41 | 447,000 | 399,426 |
Time Warner Cable LLC | ||
6.55%, 05/01/37 (a) | 177,000 | 203,794 |
T-Mobile USA Inc. | ||
3.50%, 04/15/25 | 735,000 | 739,454 |
3.75%, 04/15/27 | 916,000 | 922,623 |
3.88%, 04/15/30 | 251,000 | 252,054 |
4.50%, 04/15/50 | 119,000 | 120,852 |
Principal Amount | Fair Value | |
Total Capital International S.A. | ||
3.46%, 02/19/29 (a) | $ 785,000 | $ 797,175 |
Trane Technologies Luxembourg Finance S.A. | ||
3.55%, 11/01/24 (a) | 423,000 | 427,590 |
3.80%, 03/21/29 (a) | 557,000 | 566,502 |
TransCanada PipeLines Ltd. | ||
4.25%, 05/15/28 (a) | 564,000 | 586,639 |
4.88%, 01/15/26 (a) | 128,000 | 134,390 |
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | ||
5.63%, 05/20/75 (a)(b) | 1,115,000 | 1,120,575 |
Transcontinental Gas Pipe Line Company LLC | ||
4.00%, 03/15/28 (a) | 265,000 | 270,647 |
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | ||
4.80%, 12/31/99 (a)(b) | 1,539,000 | 1,511,452 |
TWDC Enterprises 18 Corp. | ||
4.13%, 06/01/44 (a) | 129,000 | 135,841 |
Tyco Electronics Group S.A. | ||
3.13%, 08/15/27 (a) | 270,000 | 269,139 |
Tyson Foods Inc. | ||
4.00%, 03/01/26 (a) | 999,000 | 1,022,496 |
UBS Group AG (2.86% fixed rate until 08/15/22; 0.95% + 3 month USD LIBOR thereafter) | ||
2.86%, 08/15/23 (a)(b)(g) | 890,000 | 891,379 |
UBS Group AG (3.13% fixed rate until 08/13/29; 1.47% + 3 month USD LIBOR thereafter) | ||
3.13%, 08/13/30 (a)(b)(g) | 1,015,000 | 976,927 |
UDR Inc. | ||
2.10%, 08/01/32 (a) | 515,000 | 445,434 |
3.00%, 08/15/31 (a) | 328,000 | 311,620 |
UniCredit S.p.A. (2.57% fixed rate until 09/22/25; 2.30% + 1 year CMT Rate thereafter) | ||
2.57%, 09/22/26 (a)(b)(g) | 1,783,000 | 1,652,663 |
Union Pacific Corp. | ||
3.55%, 05/20/61 | 475,000 | 451,844 |
3.60%, 09/15/37 (a) | 87,000 | 87,237 |
3.80%, 04/06/71 | 218,000 | 216,106 |
4.10%, 09/15/67 (a) | 149,000 | 155,140 |
State Street Income Fund | 27 |
Principal Amount | Fair Value | |
UnitedHealth Group Inc. | ||
2.00%, 05/15/30 (a) | $ 641,000 | $ 591,739 |
4.45%, 12/15/48 (a) | 438,000 | 493,608 |
4.75%, 07/15/45 (a) | 379,000 | 439,314 |
Utah Acquisition Sub Inc. | ||
3.95%, 06/15/26 (a) | 83,000 | 82,472 |
Valero Energy Corp. | ||
2.85%, 04/15/25 (a) | 148,000 | 146,218 |
4.00%, 04/01/29 (a) | 540,000 | 551,696 |
Ventas Realty LP | ||
3.25%, 10/15/26 (a) | 307,000 | 304,513 |
Verizon Communications Inc. | ||
2.10%, 03/22/28 (a) | 829,000 | 773,872 |
2.36%, 03/15/32 (g) | 1,108,000 | 1,001,754 |
2.55%, 03/21/31 (a) | 768,000 | 713,564 |
3.00%, 03/22/27 (a) | 1,423,000 | 1,406,223 |
3.40%, 03/22/41 (a) | 555,000 | 522,338 |
3.55%, 03/22/51 (a) | 418,000 | 394,258 |
3.70%, 03/22/61 (a) | 523,000 | 490,616 |
4.40%, 11/01/34 (a) | 638,000 | 678,921 |
4.86%, 08/21/46 (a) | 834,000 | 958,975 |
Virginia Electric & Power Co. | ||
4.00%, 11/15/46 (a) | 406,000 | 417,526 |
Visa Inc. | ||
2.70%, 04/15/40 (a) | 421,000 | 382,074 |
Vistra Operations Company LLC | ||
3.55%, 07/15/24 (a)(g) | 1,428,000 | 1,415,277 |
Viterra Finance BV | ||
2.00%, 04/21/26 (g) | 712,000 | 656,806 |
3.20%, 04/21/31 (g) | 1,000,000 | 919,170 |
Vodafone Group PLC | ||
4.38%, 05/30/28 (a) | 281,000 | 294,575 |
5.25%, 05/30/48 (a) | 144,000 | 162,079 |
Volkswagen Group of America Finance LLC | ||
1.63%, 11/24/27 (a)(g) | 1,420,000 | 1,264,524 |
Vontier Corp. | ||
2.40%, 04/01/28 | 640,000 | 563,866 |
2.95%, 04/01/31 | 838,000 | 744,027 |
Vornado Realty LP | ||
2.15%, 06/01/26 | 984,000 | 921,516 |
3.40%, 06/01/31 | 368,000 | 344,695 |
3.50%, 01/15/25 (a) | 261,000 | 260,029 |
Vulcan Materials Co. | ||
3.90%, 04/01/27 (a) | 123,000 | 126,047 |
Walgreens Boots Alliance Inc. | ||
4.10%, 04/15/50 (a) | 45,000 | 43,551 |
Principal Amount | Fair Value | |
Walmart Inc. | ||
1.80%, 09/22/31 | $ 528,000 | $ 480,612 |
2.50%, 09/22/41 | 528,000 | 470,279 |
2.65%, 09/22/51 | 248,000 | 220,784 |
Waste Connections Inc. | ||
2.20%, 01/15/32 | 723,000 | 647,165 |
2.95%, 01/15/52 | 723,000 | 618,910 |
WEC Energy Group Inc. | ||
3.55%, 06/15/25 (a) | 86,000 | 86,186 |
Wells Fargo & Co. | ||
4.15%, 01/24/29 (a) | 754,000 | 782,584 |
4.75%, 12/07/46 (a) | 850,000 | 928,778 |
Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | ||
1.65%, 06/02/24 (a)(b) | 741,000 | 732,175 |
Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | ||
2.19%, 04/30/26 (a)(b) | 889,000 | 858,312 |
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | ||
2.39%, 06/02/28 (a)(b) | 3,422,000 | 3,238,204 |
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | ||
3.07%, 04/30/41 (a)(b) | 850,000 | 766,088 |
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | ||
3.20%, 06/17/27 (a)(b) | 1,991,000 | 1,967,028 |
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | ||
5.88%, 12/29/49 (b) | 548,000 | 572,227 |
Westlake Corp. | ||
2.88%, 08/15/41 | 283,000 | 237,598 |
3.13%, 08/15/51 | 314,000 | 260,416 |
3.38%, 08/15/61 | 317,000 | 256,837 |
Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | ||
2.89%, 02/04/30 (a)(b) | 627,000 | 605,130 |
Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | ||
4.11%, 07/24/34 (a)(b) | 454,000 | 448,057 |
28 | State Street Income Fund |
Principal Amount | Fair Value | |
Weyerhaeuser Co. | ||
4.00%, 03/09/52 | $ 565,000 | $ 562,463 |
Willis North America Inc. | ||
3.60%, 05/15/24 (a) | 419,000 | 421,196 |
3.88%, 09/15/49 (a) | 410,000 | 374,457 |
Workday Inc. | ||
3.50%, 04/01/27 | 715,000 | 716,459 |
3.70%, 04/01/29 | 1,430,000 | 1,432,317 |
WPP Finance 2010 | ||
3.75%, 09/19/24 (a) | 244,000 | 246,740 |
Xcel Energy Inc. | ||
3.40%, 06/01/30 (a) | 509,000 | 508,455 |
Yamana Gold Inc. | ||
2.63%, 08/15/31 | 832,000 | 744,041 |
Zoetis Inc. | ||
3.00%, 09/12/27 (a) | 117,000 | 116,051 |
3.90%, 08/20/28 (a) | 279,000 | 286,776 |
528,052,353 | ||
Non-Agency Collateralized Mortgage Obligations - 5.4% | ||
BANK 2017-BNK7 | ||
3.18%, 09/15/60 | 20,509,000 | 20,225,552 |
BANK 2018-BNK15 | ||
4.41%, 11/15/61 (b) | 8,550,000 | 9,059,169 |
Cantor Commercial Real Estate Lending 2019-CF3 | ||
3.01%, 01/15/53 | 4,022,000 | 3,907,917 |
CD 2019-CD8 Mortgage Trust | ||
2.91%, 08/15/57 | 7,323,000 | 7,075,231 |
Citigroup Commercial Mortgage Trust 2015-GC35 | ||
4.46%, 11/10/48 (b) | 4,118,000 | 3,869,238 |
Citigroup Commercial Mortgage Trust 2016-P6 | ||
4.03%, 12/10/49 (b) | 2,942,926 | 2,977,430 |
COMM 2012-CCRE3 Mortgage Trust | ||
3.92%, 10/15/45 (g) | 1,602,000 | 1,559,588 |
COMM 2013-LC13 Mortgage Trust | ||
4.56%, 08/10/46 (b)(g) | 1,375,000 | 1,407,165 |
COMM 2014-CR14 Mortgage Trust | ||
4.53%, 02/10/47 (b) | 1,940,000 | 1,972,032 |
GS Mortgage Securities Trust 2012-GCJ9 | ||
1.91%, 11/10/45 (b)(e) | 5,132,172 | 16,253 |
GS Mortgage Securities Trust 2015-GS1 | ||
4.42%, 11/10/48 (b) | 3,270,000 | 2,771,356 |
Principal Amount | Fair Value | |
GS Mortgage Securities Trust 2018-GS9 | ||
4.14%, 03/10/51 (b) | $ 2,609,000 | $ 2,654,908 |
GS Mortgage Securities Trust 2019-GC42 | ||
2.75%, 09/01/52 | 13,110,000 | 12,517,457 |
GS Mortgage Securities Trust 2019-GSA1 | ||
3.05%, 11/10/52 | 6,397,000 | 6,237,936 |
Impac CMB Trust 2004-5 (1.18% fixed rate until 04/25/22; 0.72% + 1 month USD LIBOR thereafter) | ||
1.18%, 10/25/34 (a)(b) | 176,509 | 172,200 |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | ||
1.39%, 12/15/47 (b)(e) | 3,644,594 | 12,778 |
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||
4.03%, 07/15/45 (b) | 1,010,000 | 1,018,585 |
JPMBB Commercial Mortgage Securities Trust 2015-C32 | ||
4.65%, 11/15/48 (b) | 2,174,000 | 1,706,299 |
MASTR Alternative Loan Trust 2003-5 | ||
5.00%, 08/25/18 (a)(e) | 9,316 | 98 |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||
0.86%, 03/15/48 (b)(e) | 26,321,062 | 457,083 |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||
4.32%, 08/15/50 | 4,152,195 | 3,776,757 |
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||
1.20%, 02/15/48 (b)(e) | 20,752,172 | 560,710 |
WFRBS Commercial Mortgage Trust 2013-C17 | ||
4.26%, 12/15/46 | 1,880,000 | 1,911,143 |
WFRBS Commercial Mortgage Trust 2014-LC14 | ||
4.35%, 03/15/47 (b) | 4,333,000 | 4,395,080 |
90,261,965 | ||
Sovereign Bonds - 1.1% | ||
Government of Chile | ||
2.55%, 01/27/32 (a) | 2,507,000 | 2,359,012 |
3.63%, 10/30/42 (a) | 150,000 | 140,169 |
3.86%, 06/21/47 (a) | 860,000 | 839,859 |
State Street Income Fund | 29 |
Principal Amount | Fair Value | |
Government of Indonesia | ||
3.50%, 01/11/28 (a) | $ 578,000 | $ 591,716 |
4.35%, 01/11/48 (a) | 232,000 | 239,201 |
Government of Mexico | ||
3.60%, 01/30/25 (a) | 1,402,000 | 1,438,774 |
4.60%, 02/10/48 (a) | 972,000 | 927,842 |
4.75%, 03/08/44 (a) | 2,068,000 | 2,039,193 |
Government of Panama | ||
3.16%, 01/23/30 (a) | 1,217,000 | 1,191,187 |
3.87%, 07/23/60 (a) | 826,000 | 725,071 |
4.50%, 05/15/47 (a) | 530,000 | 528,977 |
Government of Peru | ||
1.86%, 12/01/32 (a) | 1,230,000 | 1,054,959 |
2.78%, 12/01/60 (a) | 2,055,000 | 1,613,196 |
5.63%, 11/18/50 (a) | 884,000 | 1,121,831 |
Government of Philippines | ||
3.95%, 01/20/40 (a) | 835,000 | 835,058 |
Government of Qatar | ||
3.38%, 03/14/24 (a)(g) | 1,045,000 | 1,060,999 |
4.82%, 03/14/49 (a)(g) | 275,000 | 326,263 |
Government of Uruguay | ||
5.10%, 06/18/50 (a) | 884,133 | 1,047,742 |
18,081,049 | ||
Municipal Bonds and Notes - 0.4% | ||
American Municipal Power Inc. | ||
6.27%, 02/15/50 | 1,040,000 | 1,310,846 |
Board of Regents of the University of Texas System | ||
3.35%, 08/15/47 | 1,025,000 | 1,003,278 |
Port Authority of New York & New Jersey | ||
4.46%, 10/01/62 | 1,870,000 | 2,077,557 |
Principal Amount | Fair Value | |
State of California | ||
4.60%, 04/01/38 | $ 1,840,000 | $ 2,012,964 |
State of Illinois | ||
5.10%, 06/01/33 | 745,000 | 792,239 |
7,196,884 | ||
Total Bonds and Notes (Cost $1,720,569,585) | 1,653,034,943 | |
Number of Shares | ||
Domestic Equity - 0.1% | ||
Preferred Stock - 0.1% | ||
Wells Fargo & Co. 5.85%, (5.85% fixed rate until 09/15/23; 3.09% + 3 month USD LIBOR thereafter) (Cost $1,375,850) (b) | 55,034 | 1,392,360 |
Total Investments in Securities (Cost $1,721,945,435) | 1,654,427,303 | |
Short-Term Investments - 7.3% | ||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.29% (i)(j) (Cost $121,244,155) | 121,244,155 | 121,244,155 |
Total Investments (Cost $1,843,189,590) | 1,775,671,458 | |
Liabilities in Excess of Other Assets, net - (6.1)% | (101,613,051) | |
NET ASSETS - 100.0% | $ 1,674,058,407 |
30 | State Street Income Fund |
Centrally Cleared Credit Default Swaps |
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract Annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) |
Sell Protection | |||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | $20,695 | 1.00%/ Quarterly | 12/20/26 | $ (357,172) | $ (390,513) | $ 33,341 |
Buy Protection | |||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | 36,609 | 5.00%/ Quarterly | 06/20/27 | 2,026,411 | 1,891,840 | 134,571 |
$167,912 |
The Fund had the following long futures contracts open at March 31, 2022: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
2 Yr. U.S. Treasury Notes Futures | June 2022 | 769 | 165,112,131 | 162,967,922 | $ (2,144,209) |
Ultra Long-Term U.S. Treasury Bond Futures | June 2022 | 201 | 36,914,172 | 35,602,125 | (1,312,047) |
U.S. Long Bond Futures | June 2022 | 176 | 27,186,500 | 26,411,000 | (775,500) |
$ (4,231,756) |
The Fund had the following short futures contracts open at March 31, 2022: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
10 Yr. U.S. Treasury Notes Futures | June 2022 | 447 | (56,797,125) | (54,925,125) | $ 1,872,000 |
10 Yr. U.S. Treasury Ultra Futures | June 2022 | 714 | (98,402,418) | (96,724,687) | 1,677,731 |
5 Yr. U.S. Treasury Notes Futures | June 2022 | 505 | (59,531,832) | (57,917,188) | 1,614,644 |
$ 5,164,375 |
During the period ended March 31, 2022, average notional values related to derivative contracts were as follows: | |||
Long Futures Contracts | Short Futures Contracts | Credit Default Swap Contracts | |
Average Notional Value | $331,593,642 | $143,610,250 | $51,194,513 |
State Street Income Fund | 31 |
(a) | At March 31, 2022, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
(d) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund's Board of Trustees. Security value is determined based on level 3 inputs. |
(e) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. |
(g) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to $84,575,064 or 5.05% of the net assets of the State Street Income Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
(h) | Step coupon bond. |
(i) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(j) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of March 31, 2022. |
** | Amount is less than $0.50. |
Abbreviations: |
CMT - Constant Maturity Treasury |
LIBOR - London Interbank Offered Rate |
REMIC - Real Estate Mortgage Investment Conduit |
SOFR - Secured Overnight Financing Rate |
STRIPS - Separate Trading of Registered Interest and Principal of Security |
TBA - To Be Announced |
32 | State Street Income Fund |
Investments | Level 1 | Level 2 | Level 3 | Total | |||
Investments in Securities | |||||||
U.S. Treasuries | $ — | $ 626,921,594 | $ — | $ 626,921,594 | |||
Agency Mortgage Backed | — | 360,355,683 | 29,308 | 360,384,991 | |||
Agency Collateralized Mortgage Obligations | — | 11,556,614 | — | 11,556,614 | |||
Asset Backed | — | 10,579,493 | — | 10,579,493 | |||
Corporate Notes | — | 528,052,353 | — | 528,052,353 | |||
Non-Agency Collateralized Mortgage Obligations | — | 90,261,965 | — | 90,261,965 | |||
Sovereign Bonds | — | 18,081,049 | — | 18,081,049 | |||
Municipal Bonds and Notes | — | 7,196,884 | — | 7,196,884 | |||
Preferred Stock | 1,392,360 | — | — | 1,392,360 | |||
Short-Term Investments | 121,244,155 | — | — | 121,244,155 | |||
Total Investments in Securities | $ 122,636,515 | $ 1,653,005,635 | $ 29,308 | $ 1,775,671,458 | |||
Other Financial Instruments | |||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ — | $ 167,912 | $ — | $ 167,912 | |||
Long Futures Contracts - Unrealized Depreciation | (4,231,756) | — | — | (4,231,756) | |||
Short Futures Contracts - Unrealized Appreciation | 5,164,375 | — | — | 5,164,375 | |||
Total Other Financial Instruments | $ 932,619 | $ 167,912 | $ — | $ 1,100,531 |
Affiliate Table |
Number of Shares Held at 9/30/21 | Value at 9/30/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 3/31/22 | Value at 3/31/22 | Dividend Income | |
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 257,710,916 | $257,710,916 | $294,711,016 | $431,177,777 | $— | $— | 121,244,155 | $121,244,155 | $48,775 |
State Street Income Fund | 33 |
Six Months Ended 3/31/22 | Period Ended 9/30/21(a)(b) | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||||
Net asset value, beginning of period | $ 76.83 | $ 66.39 | $ 57.30 | $ 46.05 | $ 52.45 | $ 49.27 | $ 47.59 | ||||||
Income/(loss) from investment operations: | |||||||||||||
Net investment income | 0.38 (c) | 0.54 (c) | 0.77 (c) | 0.78 (c) | 0.77 (c) | 0.76 (c) | 0.92 | ||||||
Net realized and unrealized gains/(losses) on investments | (16.73) | 9.90 | 12.86 | 14.07 | (2.41) | 9.35 | 3.92 | ||||||
Total income/(loss) from investment operations | (16.35) | 10.44 | 13.63 | 14.85 | (1.64) | 10.11 | 4.84 | ||||||
Less distributions from: | |||||||||||||
Net investment income | (0.77) | — | 0.81 | 0.77 | 0.81 | 0.81 | 0.91 | ||||||
Net realized gains | (9.03) | — | 3.73 | 2.83 | 3.95 | 6.12 | 2.25 | ||||||
Total distributions | (9.80) | — | 4.54 | 3.60 | 4.76 | 6.93 | 3.16 | ||||||
Net asset value, end of period | $ 70.28 | $ 76.83 | $ 66.39 | $ 57.30 | $ 46.05 | $ 52.45 | $ 49.27 | ||||||
Total Return(d) | 3.48% (e) | 15.73% (e) | 23.82% | 32.22% | (3.05)% | 20.50% | 10.13% | ||||||
Ratios/Supplemental Data: | |||||||||||||
Net assets, end of period (in thousands) | $6,702,969 | $6,795,684 | $6,229,783 | $5,541,415 | $4,700,274 | $5,435,513 | $4,914,567 | ||||||
Ratios to average net assets: | |||||||||||||
Net expenses | 0.15% (f) | 0.15% (f) | 0.14% | 0.14% | 0.14% | 0.14% | 0.16% | ||||||
Gross expenses | 0.15% (f) | 0.15% (f) | 0.14% | 0.14% | 0.14% | 0.14% | 0.16% | ||||||
Net investment income | 1.00% (f) | 0.99% (f) | 1.29% | 1.44% | 1.41% | 1.39% | 1.79% | ||||||
Portfolio turnover rate | 14% (e) | 27% (e) | 37% | 31% | 40% | 77% | 38% |
Notes to Financial Highlights | |
(a) | Financial information from January 1, 2016 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street U.S. Core Equity Fund effective May 24, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
(b) | Effective 4/13/2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
(c) | Per share values have been calculated using the average shares method. |
(d) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
(e) | Not annualized. |
(f) | Annualized for periods less than one year. |
34 | Financial Highlights |
Six Months Ended 3/31/22 | Period Ended 9/30/21(a)(b) | Year Ended 12/31/20(a) | Year Ended 12/31/19(a) | Year Ended 12/31/18(a) | Year Ended 12/31/17(a) | Year Ended 12/31/16(a) | |||||||
Net asset value, beginning of period | $ 12.08 | $ 12.42 | $ 11.85 | $ 11.14 | $ 11.55 | $ 11.38 | $ 11.36 | ||||||
Income/(loss) from investment operations: | |||||||||||||
Net investment income | 0.10 (c) | 0.17 (c) | 0.26 (c) | 0.31 (c) | 0.32 (c) | 0.29 (c) | 0.31 | ||||||
Net realized and unrealized gains/(losses) on investments | (1.75) | (0.29) | 0.69 | 0.72 | (0.40) | 0.16 | 0.09 | ||||||
Total income/(loss) from investment operations | (1.65) | (0.12) | 0.95 | 1.03 | (0.08) | 0.45 | 0.40 | ||||||
Less distributions from: | |||||||||||||
Net investment income | (0.12) | 0.22 | 0.34 | 0.32 | 0.33 | 0.28 | 0.29 | ||||||
Net realized gains | (0.33) | — | 0.04 | — | — | — | 0.09 | ||||||
Total distributions | (0.45) | 0.22 | 0.38 | 0.32 | 0.33 | 0.28 | 0.38 | ||||||
Net asset value, end of period | $ 10.88 | $ 12.08 | $ 12.42 | $ 11.85 | $ 11.14 | $ 11.55 | $ 11.38 | ||||||
Total Return(d) | (6.39)% (e) | (0.93)% (e) | 8.20% | 9.38% | (0.75)% | 3.99% | 3.50% | ||||||
Ratios/Supplemental Data: | |||||||||||||
Net assets, end of period (in thousands) | $1,674,058 | $1,908,411 | $2,084,815 | $2,024,704 | $1,992,169 | $2,329,674 | $2,427,975 | ||||||
Ratios to average net assets: | |||||||||||||
Net expenses | 0.19% (f) | 0.19% (f) | 0.17% | 0.17% | 0.17% | 0.16% | 0.21% | ||||||
Gross expenses | 0.19% (f) | 0.19% (f) | 0.17% | 0.17% | 0.17% | 0.16% | 0.21% | ||||||
Net investment income | 1.77% (f) | 1.85% (f) | 2.16% | 2.67% | 2.86% | 2.55% | 2.66% | ||||||
Portfolio turnover rate | 31% (e)(g) | 59% (e)(g) | 110% (g) | 422% | 223% | 297% | 242% |
Notes to Financial Highlights | |
(a) | Financial information from January 1, 2016 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street Income Fund effective May 24, 2021. See Note 1 in the accompanying Notes to Financial Statements. |
(b) | Effective 4/13/2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
(c) | Per share values have been calculated using the average shares method. |
(d) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
(e) | Not annualized. |
(f) | Annualized for periods less than one year. |
(g) | The portfolio turnover calculated for the periods ended 3/31/22, 9/30/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 93%, 134% and 304%, respectively. |
Financial Highlights | 35 |
State Street U.S. Core Equity Fund | State Street Income Fund | ||
Assets | |||
Investments in securities, at fair value (cost $4,129,376,036 and $1,721,945,435, respectively) | $ 6,640,420,845 | $ 1,654,427,303 | |
Short-term affiliated investments, at fair value (cost $59,940,166 and $121,244,155 respectively) | 59,940,166 | 121,244,155 | |
Net cash collateral on deposit with broker for future contracts | 70,322 | 2,011,251 | |
Net cash collateral on deposit with broker for swap contracts | — | 444,592 | |
Receivable for investments sold | 20,204,925 | 59,824,983 | |
Income receivables | 4,689,981 | 7,670,879 | |
Receivable for fund shares sold | — | 2,187 | |
Income receivable from affiliated investments | 8,635 | 25,150 | |
Receivable for accumulated variation margin on swap contracts | — | 1,714,511 | |
Receivable for accumulated variation margin on futures contracts | 2,988 | 1,016,966 | |
Other assets | 5,996 | 1,667 | |
Total assets | 6,725,343,858 | 1,848,383,644 | |
Liabilities | |||
Distribution payable to shareholders | 8,694 | 101,146 | |
Due to custodian | — | 1,045,448 | |
Payable for investments purchased | 20,235,116 | 172,243,864 | |
Payable for fund shares redeemed | 812,350 | 424,425 | |
Payable to the Adviser | 666,403 | 187,473 | |
Payable for custody, fund accounting and sub-administration fees | 222,915 | 96,191 | |
Accrued other expenses | 429,639 | 226,690 | |
Total liabilities | 22,375,117 | 174,325,237 | |
Net Assets | $ 6,702,968,741 | $ 1,674,058,407 | |
Net Assets Consist of: | |||
Capital paid in | $ 3,886,485,152 | $ 1,771,156,968 | |
Total distributable earnings (loss) | 2,816,483,589 | (97,098,561) | |
Net Assets | $ 6,702,968,741 | $ 1,674,058,407 | |
Shares outstanding ($25.00 and $10.00 par value, respectively; unlimited shares authorized) | 95,368,750 | 153,858,226 | |
Net asset value per share | $ 70.28 | $ 10.88 |
36 | Statements of Assets and Liabilities |
State Street U.S. Core Equity Fund | State Street Income Fund | ||
Investment Income | |||
Income | |||
Dividend | $ 39,985,032 | $ 35,792 | |
Interest | — | 17,679,410 | |
Income from affiliated investments | 17,898 | 48,775 | |
Less: Foreign taxes withheld | (116,377) | — | |
Total income | 39,886,553 | 17,763,977 | |
Expenses | |||
Advisory and administration fees | 4,156,576 | 1,174,734 | |
Transfer agent fees | 241,960 | 222,332 | |
Trustees' fees | 23,927 | 13,628 | |
Custody, fund accounting and sub-administration fees | 268,133 | 125,604 | |
Professional fees | 68,156 | 32,402 | |
Registration fees | 357,625 | 103,121 | |
Other expenses | 187,994 | 68,732 | |
Total expenses | 5,304,371 | 1,740,553 | |
Net investment income | $ 34,582,182 | $ 16,023,424 | |
Net Realized and Unrealized Gain (Loss) on Investments | |||
Realized gain (loss) on: | |||
Unaffiliated investments | $ 359,139,416 | $ (6,070,247) | |
Futures | (5,376,703) | (7,391,472) | |
Swap contracts | — | (1,000,017) | |
Increase (decrease) in unrealized appreciation/depreciation on: | |||
Unaffiliated investments | (148,703,257) | (120,296,144) | |
Futures | 1,313,327 | 1,608,787 | |
Swap contracts | — | 339,752 | |
Net realized and unrealized gain (loss) on investments | 206,372,783 | (132,809,341) | |
Net Increase (Decrease) in Net Assets Resulting from Operations | $ 240,954,965 | $ (116,785,917) |
Statements of Operations | 37 |
State Street U.S. Core Equity Fund | |||||
Six Months Ended 3/31/22 | Period Ended 9/30/21(a) | Year Ended 12/31/20 | |||
Increase (Decrease) in Net Assets | |||||
Operations: | |||||
Net investment income | $ 34,582,182 | $ 49,436,678 | $ 70,183,281 | ||
Net realized gain (loss) on investments and futures | 353,762,713 | 743,574,138 | 328,591,207 | ||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | (147,389,930) | 167,123,754 | 799,903,293 | ||
Net increase (decrease) from operations | 240,954,965 | 960,134,570 | 1,198,677,781 | ||
Distributions to shareholders: | |||||
Total distributions | (848,288,634) | — | (400,316,279) | ||
Increase (decrease) in assets from operations and distributions | (607,333,669) | 960,134,570 | 798,361,502 | ||
Share transactions: | |||||
Proceeds from sale of shares | 23,615,969 | 15,549,302 | 55,418,614 | ||
Value of distributions reinvested | 805,553,445 | — | 379,700,260 | ||
Cost of shares redeemed | (314,550,609) | (409,783,514) | (545,111,984) | ||
Net increase (decrease) from share transactions | 514,618,805 | (394,234,212) | (109,993,110) | ||
Total increase (decrease) in net assets | (92,714,864) | 565,900,358 | 688,368,392 | ||
Net Assets | |||||
Beginning of period | 6,795,683,605 | 6,229,783,247 | 5,541,414,855 | ||
End of period | $ 6,702,968,741 | $ 6,795,683,605 | $ 6,229,783,247 | ||
Changes in Fund Shares | |||||
Shares sold | 321,758 | 216,103 | 914,306 | ||
Issued for distributions reinvested | 10,796,856 | — | 5,739,128 | ||
Shares redeemed | (4,198,819) | (5,605,458) | (9,524,851) | ||
Net increase (decrease) in fund shares | 6,919,795 | (5,389,355) | (2,871,417) |
(a) | Effective 4/13/2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
38 | Statements of Changes in Net Assets |
State Street Income Fund | |||||
Six Months Ended 3/31/22 | Period Ended 9/30/21(a) | Year Ended 12/31/20 | |||
Increase (Decrease) in Net Assets | |||||
Operations: | |||||
Net investment income | $ 16,023,424 | $ 27,217,701 | $ 44,464,564 | ||
Net realized gain (loss) on investments, futures and swap contracts | (14,461,736) | 33,003,540 | 46,627,572 | ||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | (118,347,605) | (79,823,683) | 68,420,358 | ||
Net increase (decrease) from operations | (116,785,917) | (19,602,442) | 159,512,494 | ||
Distributions to shareholders: | |||||
Total distributions | (69,888,397) | (36,235,960) | (64,080,587) | ||
Increase (decrease) in assets from operations and distributions | (186,674,314) | (55,838,402) | 95,431,907 | ||
Share transactions: | |||||
Proceeds from sale of shares | 7,656,166 | 14,393,778 | 48,154,654 | ||
Value of distributions reinvested | 67,983,467 | 32,110,035 | 61,957,884 | ||
Cost of shares redeemed | (123,317,797) | (167,069,788) | (145,433,304) | ||
Net increase (decrease) from share transactions | (47,678,164) | (120,565,975) | (35,320,766) | ||
Total increase (decrease) in net assets | (234,352,478) | (176,404,377) | 60,111,141 | ||
Net Assets | |||||
Beginning of period | 1,908,410,885 | 2,084,815,262 | 2,024,704,121 | ||
End of period | $ 1,674,058,407 | $ 1,908,410,885 | $ 2,084,815,262 | ||
Changes in Fund Shares | |||||
Shares sold | 668,138 | 1,431,692 | 3,948,098 | ||
Issued for distributions reinvested | 5,844,678 | 2,646,451 | 5,055,918 | ||
Shares redeemed | (10,599,059) | (14,031,749) | (12,024,475) | ||
Net decrease in fund shares | (4,086,243) | (9,953,606) | (3,020,459) |
(a) | Effective 4/13/2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
Statements of Changes in Net Assets | 39 |
Fund | Predecessor Fund |
State Street U.S. Core Equity Fund | GE RSP U.S. Equity Fund |
State Street Income Fund | GE RSP Income Fund |
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued |
40 | Notes to Financial Statements |
at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. | |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
• | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
Notes to Financial Statements | 41 |
42 | Notes to Financial Statements |
Notes to Financial Statements | 43 |
Asset Derivatives | ||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | $ 2,988 | $ — | $ 2,988 |
44 | Notes to Financial Statements |
Asset Derivatives | ||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | |
State Street Income Fund | ||||||
Futures Contracts | $ 1,016,966 | $ — | $ — | $ — | $ — | $ 1,016,966 |
Swap Contracts | — | — | 1,714,511 | — | — | 1,714,511 |
Realized Gain/Loss | ||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | (5,376,703) | $ — | $ (5,376,703) |
State Street Income Fund | ||||||
Futures Contracts | $ (7,391,472) | $ — | $ — | $ — | $ — | $ (7,391,472) |
Swap Contracts | — | — | (1,000,017) | — | — | (1,000,017) |
Net Change in Unrealized Appreciation (Depreciation) | ||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | |
State Street U.S. Core Equity Fund | ||||||
Futures Contracts | $ — | $ — | $ — | 1,313,327 | $ — | $ 1,313,327 |
State Street Income Fund | ||||||
Futures Contracts | $ 1,608,787 | $ — | $ — | $ — | $ — | $ 1,608,787 |
Swap Contracts | — | — | 339,752 | — | — | 339,752 |
Fund | Average Daily Net Assets of the Fund | Management Fee |
State Street U.S. Core Equity Fund | All Assets | 0.12% |
State Street Income Fund | All Assets | 0.13% |
Notes to Financial Statements | 45 |
U.S. Government Obligations | Other Securities | ||||
Fund | Purchases | Sales | Purchases | Sales | |
State Street U.S. Core Equity Fund | $ — | $ — | $968,810,753 | $1,244,507,810 | |
State Street Income Fund | 467,165,131 | 260,958,093 | 101,327,186 | 234,295,968 |
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) |
State Street U.S. Core Equity Fund | $4,212,177,950 | $2,610,638,716 | $122,452,670 | $2,488,186,046 |
State Street Income Fund | 1,856,698,478 | 6,588,040 | 86,514,529 | (79,926,489) |
46 | Notes to Financial Statements |
Fund | Predecessor Name | Aggregate Net Asset Value | Shares |
State Street U.S. Core Equity Fund | GE RSP U.S. Equity Fund | $6,729,291,756 | 90,684,798 |
State Street Income Fund | GE RSP Income Fund | $1,938,602,965 | 161,204,455 |
Notes to Financial Statements | 47 |
48 | Notes to Financial Statements |
Other Information | 49 |
or visit OneHR.ge.com > Retirement (or RSP) > My GE RSP
or visit www.ssga.com
Shareholder Services | 51 |
State Street Diversified Income Fund |
1 | |
2 | |
13 | |
14 | |
15 | |
16 | |
17 | |
25 |
Description | % of Net Assets | ||
SPDR Bloomberg Convertible Securities ETF | 3.1% | ||
Federal National Mortgage Association TBA 2.00% 4/1/2052 | 3.0 | ||
SPDR Blackstone Senior Loan ETF | 2.8 | ||
SPDR Bloomberg Emerging Markets Local Bond ETF | 2.1 | ||
SPDR ICE Preferred Securities ETF | 2.0 | ||
TOTAL | 13.0% |
% of Net Assets | |||
Corporate Bonds & Notes | 53.9% | ||
Foreign Government Obligations | 20.6 | ||
U.S. Government Agency Obligations | 15.5 | ||
Mutual Funds and Exchange Traded Products | 10.0 | ||
Asset-Backed Securities | 2.8 | ||
Commercial Mortgage Backed Securities | 1.9 | ||
Short-Term Investment | 10.7 | ||
Liabilities in Excess of Other Assets | (15.4) | ||
TOTAL | 100.0% |
Security Description | Principal Amount | Value | ||||
CORPORATE BONDS & NOTES — 53.9% | ||||||
ADVERTISING — 0.2% | ||||||
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | $ 50,000 | $ 49,488 | ||||
AEROSPACE & DEFENSE — 1.5% | ||||||
Boeing Co.: | ||||||
5.04%, 5/1/2027 | 75,000 | 78,889 | ||||
5.71%, 5/1/2040 | 50,000 | 56,006 | ||||
Bombardier, Inc. 7.50%, 3/15/2025 (a) | 43,000 | 43,227 | ||||
Howmet Aerospace, Inc. 3.00%, 1/15/2029 | 50,000 | 45,636 | ||||
Spirit AeroSystems, Inc. 7.50%, 4/15/2025 (a) | 50,000 | 51,820 | ||||
TransDigm, Inc. 4.63%, 1/15/2029 | 50,000 | 46,781 | ||||
322,359 | ||||||
AGRICULTURE — 0.6% | ||||||
Altria Group, Inc. 3.40%, 2/4/2041 | 50,000 | 40,800 | ||||
BAT Capital Corp. 3.73%, 9/25/2040 | 50,000 | 41,036 | ||||
BAT International Finance PLC 1.67%, 3/25/2026 | 50,000 | 45,962 | ||||
127,798 | ||||||
AIRLINES — 0.9% | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd.: | ||||||
5.50%, 4/20/2026 (a) | 50,000 | 49,962 | ||||
5.75%, 4/20/2029 (a) | 50,000 | 49,829 | ||||
Delta Air Lines, Inc. 2.90%, 10/28/2024 | 50,000 | 48,909 | ||||
United Airlines, Inc. 4.38%, 4/15/2026 (a) | 50,000 | 49,230 | ||||
197,930 | ||||||
AUTO MANUFACTURERS — 1.4% | ||||||
Ford Motor Co. 3.25%, 2/12/2032 | 100,000 | 89,301 | ||||
Ford Motor Credit Co. LLC 2.70%, 8/10/2026 | 100,000 | 93,010 | ||||
General Motors Financial Co., Inc.: | ||||||
1.25%, 1/8/2026 | 50,000 | 45,685 | ||||
2.70%, 6/10/2031 | 50,000 | 44,028 | ||||
Jaguar Land Rover Automotive PLC 5.63%, 2/1/2023 (a) | 50,000 | 49,712 | ||||
321,736 | ||||||
AUTO PARTS & EQUIPMENT — 0.2% | ||||||
Goodyear Tire & Rubber Co. 5.00%, 7/15/2029 (a) | 50,000 | 46,728 |
Security Description | Principal Amount | Value | ||||
BANKS — 3.9% | ||||||
Bank of America Corp. 5 year CMT + 1.20%, 2.48%, 9/21/2036 (b) | $ 100,000 | $ 86,115 | ||||
Barclays PLC 5 year CMT + 2.90%, 3.56%, 9/23/2035 (b) | 100,000 | 92,003 | ||||
Citigroup, Inc. 4.40%, 6/10/2025 | 100,000 | 102,901 | ||||
Deutsche Bank AG: | ||||||
SOFR + 2.58%, 3.96%, 11/26/2025 (b) | 50,000 | 49,973 | ||||
SOFR + 2.76%, 3.73%, 1/14/2032 (b) | 50,000 | 44,689 | ||||
First-Citizens Bank & Trust Co. SOFR + 3.83%, 3.93%, 6/19/2024 (b) | 50,000 | 50,488 | ||||
Freedom Mortgage Corp. 6.63%, 1/15/2027 (a) | 50,000 | 46,384 | ||||
Goldman Sachs Group, Inc. 6.75%, 10/1/2037 | 50,000 | 63,161 | ||||
HSBC Holdings PLC 6.50%, 9/15/2037 | 50,000 | 61,081 | ||||
Intesa Sanpaolo SpA 1 year CMT + 2.60%, 4.20%, 6/1/2032 (a) (b) | 50,000 | 44,251 | ||||
Morgan Stanley SOFR + 1.36%, 2.48%, 9/16/2036 (b) | 50,000 | 42,925 | ||||
Natwest Group PLC: | ||||||
3.88%, 9/12/2023 | 50,000 | 50,496 | ||||
5 year CMT + 2.35%, 3.03%, 11/28/2035 (b) | 50,000 | 44,413 | ||||
UniCredit SpA 5 year CMT + 4.75%, 5.46%, 6/30/2035 (a) (b) | 50,000 | 47,840 | ||||
Westpac Banking Corp. 5 year CMT + 1.35%, 2.89%, 2/4/2030 (b) | 50,000 | 48,256 | ||||
874,976 | ||||||
BEVERAGES — 0.7% | ||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. 4.70%, 2/1/2036 | 100,000 | 108,686 | ||||
Constellation Brands, Inc. 2.25%, 8/1/2031 | 50,000 | 44,123 | ||||
152,809 | ||||||
BIOTECHNOLOGY — 0.2% | ||||||
Amgen, Inc. 1.65%, 8/15/2028 | 50,000 | 45,635 | ||||
BUILDING MATERIALS — 0.4% | ||||||
Carrier Global Corp. 2.72%, 2/15/2030 | 50,000 | 46,997 |
Security Description | Principal Amount | Value | ||||
Standard Industries, Inc. 3.38%, 1/15/2031 (a) | $ 50,000 | $ 43,908 | ||||
90,905 | ||||||
CHEMICALS — 1.3% | ||||||
Chemours Co. 4.63%, 11/15/2029 (a) | 50,000 | 45,867 | ||||
Dow Chemical Co. 3.60%, 11/15/2050 | 50,000 | 46,542 | ||||
DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 50,000 | 57,608 | ||||
LYB International Finance III LLC 3.63%, 4/1/2051 | 50,000 | 45,083 | ||||
Methanex Corp. 5.13%, 10/15/2027 | 50,000 | 50,257 | ||||
WR Grace Holdings LLC 4.88%, 6/15/2027 (a) | 50,000 | 48,905 | ||||
294,262 | ||||||
COMMERCIAL SERVICES — 1.9% | ||||||
ADT Security Corp. 4.13%, 8/1/2029 (a) | 50,000 | 46,446 | ||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 S.a.r.l 4.63%, 6/1/2028 (a) | 50,000 | 47,221 | ||||
Block, Inc. 2.75%, 6/1/2026 (a) | 50,000 | 47,282 | ||||
Gartner, Inc. 3.63%, 6/15/2029 (a) | 50,000 | 47,323 | ||||
MPH Acquisition Holdings LLC 5.50%, 9/1/2028 (a) | 50,000 | 47,962 | ||||
Nielsen Finance LLC/Nielsen Finance Co. 4.50%, 7/15/2029 (a) | 50,000 | 49,857 | ||||
Prime Security Services Borrower LLC/Prime Finance, Inc. 3.38%, 8/31/2027 (a) | 50,000 | 45,849 | ||||
Service Corp. International 3.38%, 8/15/2030 | 50,000 | 45,167 | ||||
United Rentals North America, Inc. 3.75%, 1/15/2032 | 50,000 | 46,634 | ||||
423,741 | ||||||
COMPUTERS — 0.7% | ||||||
Dell International LLC/EMC Corp. 5.30%, 10/1/2029 | 50,000 | 54,463 | ||||
NCR Corp. 5.13%, 4/15/2029 (a) | 50,000 | 48,087 | ||||
Seagate HDD Cayman 3.13%, 7/15/2029 | 50,000 | 44,884 | ||||
147,434 | ||||||
COSMETICS/PERSONAL CARE — 0.2% | ||||||
Coty, Inc. 5.00%, 4/15/2026 (a) | 50,000 | 48,701 |
Security Description | Principal Amount | Value | ||||
DIVERSIFIED FINANCIAL SERVICES — 1.9% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 1.65%, 10/29/2024 | $ 50,000 | $ 47,236 | ||||
Air Lease Corp. 1.88%, 8/15/2026 | 50,000 | 46,126 | ||||
Capital One Financial Corp. SOFR + 0.86%, 1.88%, 11/2/2027 (b) | 50,000 | 46,309 | ||||
Nationstar Mortgage Holdings, Inc. 5.75%, 11/15/2031 (a) | 50,000 | 47,689 | ||||
Navient Corp. 5.50%, 3/15/2029 | 50,000 | 46,727 | ||||
NFP Corp. 4.88%, 8/15/2028 (a) | 50,000 | 47,911 | ||||
Nomura Holdings, Inc. 2.61%, 7/14/2031 | 50,000 | 44,905 | ||||
OneMain Finance Corp. 3.50%, 1/15/2027 | 50,000 | 46,300 | ||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc. 2.88%, 10/15/2026 (a) | 50,000 | 45,980 | ||||
419,183 | ||||||
ELECTRIC — 1.6% | ||||||
Calpine Corp. 5.13%, 3/15/2028 (a) | 50,000 | 47,698 | ||||
Dominion Energy, Inc. Series C, 2.25%, 8/15/2031 | 50,000 | 45,073 | ||||
Duke Energy Corp. 2.55%, 6/15/2031 | 50,000 | 45,845 | ||||
FirstEnergy Corp. Series B, 4.40%, 7/15/2027 | 75,000 | 75,497 | ||||
NRG Energy, Inc. 3.88%, 2/15/2032 (a) | 50,000 | 44,164 | ||||
Pacific Gas & Electric Co. 2.50%, 2/1/2031 | 50,000 | 43,022 | ||||
Vistra Operations Co. LLC 4.38%, 5/1/2029 (a) | 50,000 | 47,243 | ||||
348,542 | ||||||
ELECTRICAL COMPONENTS & EQUIPMENT — 0.2% | ||||||
WESCO Distribution, Inc. 7.13%, 6/15/2025 (a) | 50,000 | 51,995 | ||||
ELECTRONICS — 0.2% | ||||||
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | 50,000 | 46,319 | ||||
ENTERTAINMENT — 0.5% | ||||||
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | 50,000 | 51,679 | ||||
Live Nation Entertainment, Inc. 3.75%, 1/15/2028 (a) | 50,000 | 47,092 | ||||
98,771 |
Security Description | Principal Amount | Value | ||||
ENVIRONMENTAL CONTROL — 0.2% | ||||||
GFL Environmental, Inc. 4.00%, 8/1/2028 (a) | $ 50,000 | $ 45,984 | ||||
FOOD — 1.1% | ||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons L.P./Albertsons LLC 3.50%, 3/15/2029 (a) | 50,000 | 45,136 | ||||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 50,000 | 46,698 | ||||
Performance Food Group, Inc. 4.25%, 8/1/2029 (a) | 50,000 | 45,529 | ||||
Post Holdings, Inc. 4.50%, 9/15/2031 (a) | 50,000 | 44,315 | ||||
US Foods, Inc. 6.25%, 4/15/2025 (a) | 50,000 | 51,460 | ||||
233,138 | ||||||
FOOD SERVICE — 0.2% | ||||||
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 50,000 | 48,497 | ||||
FOREST PRODUCTS & PAPER — 0.2% | ||||||
Suzano Austria GmbH Series DM3N, 3.13%, 1/15/2032 | 50,000 | 44,588 | ||||
GAS — 0.2% | ||||||
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 50,000 | 42,909 | ||||
HEALTH CARE PRODUCTS — 0.4% | ||||||
Avantor Funding, Inc. 3.88%, 11/1/2029 (a) | 50,000 | 47,274 | ||||
Mozart Debt Merger Sub, Inc. 3.88%, 4/1/2029 (a) | 50,000 | 46,248 | ||||
93,522 | ||||||
HEALTH CARE SERVICES — 2.1% | ||||||
Centene Corp. 2.50%, 3/1/2031 | 75,000 | 66,412 | ||||
CHS/Community Health Systems, Inc. 4.75%, 2/15/2031 (a) | 75,000 | 70,875 | ||||
DaVita, Inc. 3.75%, 2/15/2031 (a) | 50,000 | 43,858 | ||||
Encompass Health Corp. 4.63%, 4/1/2031 | 50,000 | 46,904 | ||||
HCA, Inc. 2.38%, 7/15/2031 | 50,000 | 44,651 | ||||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 50,000 | 50,581 | ||||
Legacy LifePoint Health LLC 6.75%, 4/15/2025 (a) | 50,000 | 51,682 | ||||
Tenet Healthcare Corp.: | ||||||
4.38%, 1/15/2030 (a) | 50,000 | 48,038 | ||||
6.25%, 2/1/2027 (a) | 50,000 | 51,353 | ||||
474,354 |
Security Description | Principal Amount | Value | ||||
HOUSEWARES — 0.2% | ||||||
Newell Brands, Inc. 4.45%, 4/1/2026 | $ 50,000 | $ 50,313 | ||||
INSURANCE — 0.7% | ||||||
Acrisure LLC/Acrisure Finance, Inc. 4.25%, 2/15/2029 (a) | 50,000 | 45,450 | ||||
American International Group, Inc. 3.88%, 1/15/2035 | 50,000 | 50,895 | ||||
HUB International, Ltd. 5.63%, 12/1/2029 (a) | 50,000 | 48,735 | ||||
145,080 | ||||||
INTERNET — 0.2% | ||||||
Uber Technologies, Inc. 7.50%, 9/15/2027 (a) | 50,000 | 53,352 | ||||
INVESTMENT COMPANY SECURITY — 0.4% | ||||||
Blackstone Secured Lending Fund 2.85%, 9/30/2028 (a) | 50,000 | 43,388 | ||||
Icahn Enterprises L.P./Icahn Enterprises Finance Corp. 4.75%, 9/15/2024 | 50,000 | 50,250 | ||||
93,638 | ||||||
IRON/STEEL — 0.5% | ||||||
Cleveland-Cliffs, Inc. 6.75%, 3/15/2026 (a) | 50,000 | 52,665 | ||||
Vale Overseas, Ltd. 3.75%, 7/8/2030 | 50,000 | 48,207 | ||||
100,872 | ||||||
LEISURE TIME — 1.0% | ||||||
Carnival Corp. 5.75%, 3/1/2027 (a) | 75,000 | 71,488 | ||||
NCL Corp., Ltd. 3.63%, 12/15/2024 (a) | 50,000 | 47,122 | ||||
Royal Caribbean Cruises, Ltd. 4.25%, 7/1/2026 (a) | 50,000 | 46,548 | ||||
Viking Cruises, Ltd. 6.25%, 5/15/2025 (a) | 50,000 | 46,934 | ||||
212,092 | ||||||
LODGING — 1.2% | ||||||
Hilton Domestic Operating Co., Inc. 3.63%, 2/15/2032 (a) | 50,000 | 45,209 | ||||
Melco Resorts Finance, Ltd. Series REGS, 4.88%, 6/6/2025 | 50,000 | 45,981 | ||||
MGM China Holdings, Ltd. 5.38%, 5/15/2024 (a) | 50,000 | 46,987 | ||||
MGM Resorts International 4.75%, 10/15/2028 | 50,000 | 48,338 | ||||
Travel + Leisure Co. 4.50%, 12/1/2029 (a) | 50,000 | 46,444 |
Security Description | Principal Amount | Value | ||||
Wynn Macau, Ltd. 5.13%, 12/15/2029 (a) | $ 50,000 | $ 42,390 | ||||
275,349 | ||||||
MEDIA — 3.3% | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 1/15/2034 (a) | 100,000 | 86,714 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||
3.50%, 3/1/2042 | 50,000 | 41,540 | ||||
3.85%, 4/1/2061 | 50,000 | 40,153 | ||||
CSC Holdings LLC: | ||||||
3.38%, 2/15/2031 (a) | 50,000 | 42,134 | ||||
5.75%, 1/15/2030 (a) | 50,000 | 44,535 | ||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. 5.88%, 8/15/2027 (a) | 50,000 | 49,291 | ||||
DISH DBS Corp.: | ||||||
5.75%, 12/1/2028 (a) | 50,000 | 47,468 | ||||
5.88%, 11/15/2024 | 50,000 | 49,958 | ||||
Gray Television, Inc. 4.75%, 10/15/2030 (a) | 50,000 | 46,439 | ||||
iHeartCommunications, Inc. 4.75%, 1/15/2028 (a) | 50,000 | 47,857 | ||||
Paramount Global 4.95%, 1/15/2031 | 50,000 | 53,149 | ||||
Sirius XM Radio, Inc. 3.13%, 9/1/2026 (a) | 50,000 | 47,291 | ||||
Univision Communications, Inc. 5.13%, 2/15/2025 (a) | 50,000 | 50,028 | ||||
Virgin Media Finance PLC 5.00%, 7/15/2030 (a) | 50,000 | 47,260 | ||||
Ziggo B.V. 4.88%, 1/15/2030 (a) | 50,000 | 47,068 | ||||
740,885 | ||||||
MINING — 1.3% | ||||||
Corp. Nacional del Cobre de Chile 3.70%, 1/30/2050 (a) | 100,000 | 90,061 | ||||
FMG Resources August 2006 Pty, Ltd. 4.38%, 4/1/2031 (a) | 50,000 | 47,240 | ||||
Freeport-McMoRan, Inc. 5.00%, 9/1/2027 | 50,000 | 51,439 | ||||
Novelis Corp. 3.88%, 8/15/2031 (a) | 50,000 | 45,722 | ||||
Southern Copper Corp. 5.88%, 4/23/2045 | 50,000 | 61,421 | ||||
295,883 | ||||||
MISCELLANEOUS MANUFACTURER — 0.2% | ||||||
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 50,000 | 53,912 |
Security Description | Principal Amount | Value | ||||
OIL & GAS — 2.7% | ||||||
KazMunayGas National Co. JSC 3.50%, 4/14/2033 | $ 200,000 | $ 166,162 | ||||
Murphy Oil Corp. 6.38%, 12/1/2042 | 50,000 | 47,648 | ||||
Occidental Petroleum Corp. 3.00%, 2/15/2027 | 50,000 | 48,852 | ||||
Parkland Corp. 4.50%, 10/1/2029 (a) | 50,000 | 46,362 | ||||
Petroleos Mexicanos: | ||||||
6.50%, 3/13/2027 | 100,000 | 101,521 | ||||
6.75%, 9/21/2047 | 50,000 | 40,660 | ||||
Range Resources Corp. 4.88%, 5/15/2025 | 50,000 | 50,649 | ||||
Southwestern Energy Co. 5.38%, 3/15/2030 | 50,000 | 50,825 | ||||
Sunoco L.P./Sunoco Finance Corp. 4.50%, 5/15/2029 | 50,000 | 47,165 | ||||
599,844 | ||||||
PACKAGING & CONTAINERS — 1.3% | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 5.25%, 8/15/2027 (a) | 50,000 | 46,323 | ||||
Ball Corp. 2.88%, 8/15/2030 | 50,000 | 44,847 | ||||
Graphic Packaging International LLC 3.75%, 2/1/2030 (a) | 50,000 | 45,817 | ||||
LABL, Inc. 6.75%, 7/15/2026 (a) | 50,000 | 49,424 | ||||
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a) | 50,000 | 49,828 | ||||
OI European Group B.V. 4.75%, 2/15/2030 (a) | 50,000 | 46,187 | ||||
282,426 | ||||||
PHARMACEUTICALS — 2.7% | ||||||
AbbVie, Inc. 4.55%, 3/15/2035 | 100,000 | 107,770 | ||||
Bausch Health Cos., Inc. 7.00%, 1/15/2028 (a) | 100,000 | 89,602 | ||||
CVS Health Corp. 4.78%, 3/25/2038 | 75,000 | 81,874 | ||||
EMBECTA Corp. 6.75%, 2/15/2030 (a) | 100,000 | 100,190 | ||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 5.88%, 10/15/2024 (a) | 50,000 | 47,168 | ||||
Organon & Co./Organon Foreign Debt Co-Issuer BV 4.13%, 4/30/2028 (a) | 50,000 | 47,640 | ||||
Perrigo Finance Unlimited Co. 3.90%, 6/15/2030 | 50,000 | 47,002 |
Security Description | Principal Amount | Value | ||||
Takeda Pharmaceutical Co., Ltd. 2.05%, 3/31/2030 | $ 50,000 | $ 45,043 | ||||
Viatris, Inc. 2.70%, 6/22/2030 | 50,000 | 44,106 | ||||
610,395 | ||||||
PIPELINES — 4.7% | ||||||
Buckeye Partners L.P. 4.50%, 3/1/2028 (a) | 50,000 | 47,939 | ||||
Cheniere Energy Partners L.P. 3.25%, 1/31/2032 (a) | 50,000 | 45,538 | ||||
DCP Midstream Operating L.P. 5.38%, 7/15/2025 | 50,000 | 51,613 | ||||
Enbridge, Inc. 2.50%, 8/1/2033 | 50,000 | 44,433 | ||||
Energy Transfer L.P.: | ||||||
4.25%, 3/15/2023 | 50,000 | 50,547 | ||||
5.00%, 5/15/2050 | 50,000 | 50,697 | ||||
EnLink Midstream Partners L.P. 4.40%, 4/1/2024 | 50,000 | 50,685 | ||||
Enterprise Products Operating LLC 3.20%, 2/15/2052 | 50,000 | 42,485 | ||||
EQM Midstream Partners L.P. 4.75%, 1/15/2031 (a) | 50,000 | 46,882 | ||||
Genesis Energy L.P./Genesis Energy Finance Corp. 6.25%, 5/15/2026 | 50,000 | 48,383 | ||||
Hess Midstream Operations L.P. 4.25%, 2/15/2030 (a) | 50,000 | 47,178 | ||||
Kinder Morgan, Inc.: | ||||||
1.75%, 11/15/2026 | 50,000 | 46,480 | ||||
3.60%, 2/15/2051 | 50,000 | 44,287 | ||||
MPLX L.P. 1.75%, 3/1/2026 | 50,000 | 46,923 | ||||
New Fortress Energy, Inc. 6.75%, 9/15/2025 (a) | 50,000 | 50,333 | ||||
NGL Energy Operating LLC/NGL Energy Finance Corp. 7.50%, 2/1/2026 (a) | 50,000 | 49,129 | ||||
ONEOK, Inc. 5.20%, 7/15/2048 | 50,000 | 53,441 | ||||
Tallgrass Energy Partners L.P./Tallgrass Energy Finance Corp. 6.00%, 12/31/2030 (a) | 50,000 | 48,516 | ||||
TransCanada PipeLines, Ltd. 2.50%, 10/12/2031 | 50,000 | 45,419 | ||||
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a) | 50,000 | 48,632 | ||||
Western Midstream Operating L.P. 3.60%, 2/1/2025 | 50,000 | 49,659 | ||||
Williams Cos., Inc. 2.60%, 3/15/2031 | 50,000 | 45,997 | ||||
1,055,196 |
Security Description | Principal Amount | Value | ||||
REAL ESTATE — 0.2% | ||||||
Realogy Group LLC/Realogy Co-Issuer Corp. 5.75%, 1/15/2029 (a) | $ 50,000 | $ 47,105 | ||||
REAL ESTATE INVESTMENT TRUSTS — 2.1% | ||||||
American Tower Corp. 3.38%, 10/15/2026 | 50,000 | 49,540 | ||||
Boston Properties L.P. 2.45%, 10/1/2033 | 50,000 | 43,564 | ||||
Crown Castle International Corp. 2.10%, 4/1/2031 | 50,000 | 43,312 | ||||
Diversified Healthcare Trust 4.38%, 3/1/2031 | 50,000 | 42,858 | ||||
Equinix, Inc. 2.15%, 7/15/2030 | 50,000 | 43,904 | ||||
Iron Mountain, Inc. REIT, 4.50%, 2/15/2031 (a) | 50,000 | 46,127 | ||||
Kimco Realty Corp. 3.70%, 10/1/2049 | 50,000 | 46,453 | ||||
Omega Healthcare Investors, Inc. 3.25%, 4/15/2033 | 50,000 | 43,620 | ||||
Service Properties Trust 4.35%, 10/1/2024 | 50,000 | 48,329 | ||||
Uniti Group L.P./Uniti Fiber Holdings, Inc./CSL Capital LLC 7.88%, 2/15/2025 (a) | 50,000 | 51,972 | ||||
459,679 | ||||||
RETAIL — 1.9% | ||||||
1011778 BC ULC/New Red Finance, Inc. 4.00%, 10/15/2030 (a) | 50,000 | 45,079 | ||||
Carvana Co. 4.88%, 9/1/2029 (a) | 50,000 | 41,303 | ||||
Lowe's Cos., Inc. 1.70%, 10/15/2030 | 50,000 | 43,680 | ||||
McDonald's Corp. Series MTN, 4.88%, 12/9/2045 | 50,000 | 55,907 | ||||
Nordstrom, Inc. 2.30%, 4/8/2024 | 50,000 | 48,790 | ||||
PetSmart, Inc./PetSmart Finance Corp. 4.75%, 2/15/2028 (a) | 50,000 | 48,344 | ||||
QVC, Inc. 4.38%, 9/1/2028 | 50,000 | 45,622 | ||||
Staples, Inc. 7.50%, 4/15/2026 (a) | 50,000 | 48,530 | ||||
Yum! Brands, Inc. 3.63%, 3/15/2031 | 50,000 | 45,619 | ||||
422,874 | ||||||
SEMICONDUCTORS — 0.4% | ||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. 3.88%, 1/15/2027 | 50,000 | 50,337 |
Security Description | Principal Amount | Value | ||||
Broadcom, Inc. 3.19%, 11/15/2036 (a) | $ 50,000 | $ 43,937 | ||||
94,274 | ||||||
SOFTWARE — 1.2% | ||||||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 50,000 | 47,596 | ||||
Fiserv, Inc. 3.50%, 7/1/2029 | 50,000 | 49,203 | ||||
Open Text Corp. 3.88%, 2/15/2028 (a) | 50,000 | 47,893 | ||||
Oracle Corp.: | ||||||
3.80%, 11/15/2037 | 50,000 | 45,281 | ||||
3.85%, 4/1/2060 | 50,000 | 40,999 | ||||
VMware, Inc. 2.20%, 8/15/2031 | 50,000 | 43,977 | ||||
274,949 | ||||||
TELECOMMUNICATIONS — 4.2% | ||||||
Altice France SA 5.50%, 1/15/2028 (a) | 50,000 | 46,267 | ||||
AT&T, Inc.: | ||||||
2.55%, 12/1/2033 | 100,000 | 88,956 | ||||
3.55%, 9/15/2055 | 100,000 | 87,722 | ||||
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 50,000 | 47,339 | ||||
Frontier Communications Holdings LLC 5.00%, 5/1/2028 (a) | 50,000 | 48,117 | ||||
Level 3 Financing, Inc. 4.25%, 7/1/2028 (a) | 50,000 | 45,910 | ||||
Lumen Technologies, Inc. 5.38%, 6/15/2029 (a) | 50,000 | 44,553 | ||||
Sprint Corp. 7.88%, 9/15/2023 | 75,000 | 79,730 | ||||
Telecom Italia SpA 5.30%, 5/30/2024 (a) | 50,000 | 50,396 | ||||
T-Mobile USA, Inc.: | ||||||
2.25%, 2/15/2026 (a) | 50,000 | 47,257 | ||||
2.55%, 2/15/2031 | 100,000 | 90,684 | ||||
VEON Holdings B.V. 3.38%, 11/25/2027 (a) | 50,000 | 28,808 | ||||
Verizon Communications, Inc.: | ||||||
2.65%, 11/20/2040 | 100,000 | 85,040 | ||||
3.00%, 11/20/2060 | 50,000 | 40,989 | ||||
Vodafone Group PLC: | ||||||
4.38%, 5/30/2028 | 50,000 | 52,415 | ||||
5 year CMT + 2.77%, 4.13%, 6/4/2081 (b) | 50,000 | 45,594 | ||||
929,777 | ||||||
TRANSPORTATION — 0.2% | ||||||
FedEx Corp. 3.25%, 5/15/2041 | 50,000 | 44,868 |
Security Description | Principal Amount | Value | ||||
TRUCKING & LEASING — 0.2% | ||||||
Fortress Transportation and Infrastructure Investors LLC 5.50%, 5/1/2028 (a) | $ 50,000 | $ 45,515 | ||||
WATER — 0.2% | ||||||
American Water Capital Corp. 3.25%, 6/1/2051 | 50,000 | 45,616 | ||||
TOTAL CORPORATE BONDS & NOTES (Cost $12,999,214) | 12,026,198 | |||||
ASSET-BACKED SECURITIES — 2.8% | ||||||
AUTOMOBILE — 2.1% | ||||||
Carmax Auto Owner Trust 2019-3 Series 2019-3, Class B, 2.50%, 4/15/2025 | 200,000 | 199,412 | ||||
Foursight Capital Automobile Receivables Trust 2021-1 Series 2021-1, Class C, 1.02%, 9/15/2026 (a) | 160,000 | 152,140 | ||||
OneMain Direct Auto Receivables Trust 2018-1 Series 2018-1A, Class D, 4.40%, 1/14/2028 (a) | 132,000 | 132,089 | ||||
483,641 | ||||||
CREDIT CARD — 0.7% | ||||||
Citibank Credit Card Issuance Trust Series 2017-A6, Class A6, 1 month USD LIBOR + 0.77%, 1.16%, 5/14/2029 (b) | 150,000 | 149,442 | ||||
TOTAL ASSET-BACKED SECURITIES (Cost $647,054) | 633,083 | |||||
FOREIGN GOVERNMENT OBLIGATIONS — 20.6% | ||||||
ANGOLA — 0.4% | ||||||
Angolan Government International Bond Series 144A, 8.00%, 11/26/2029 (a) | 100,000 | 100,438 | ||||
ARGENTINA — 0.3% | ||||||
Argentine Republic Government International Bond 1.13%, 7/9/2035 (c) | 200,000 | 61,318 | ||||
BAHRAIN — 0.8% | ||||||
Bahrain Government International Bond Series 144A, 5.63%, 5/18/2034 (a) | 200,000 | 188,678 |
Security Description | Principal Amount | Value | |||
BOLIVIA — 0.2% | |||||
Bolivian Government International Bond Series REGS, 4.50%, 3/20/2028 | $ 50,000 | $ 43,537 | |||
BRAZIL — 1.0% | |||||
Brazilian Government International Bond: | |||||
3.75%, 09/12/2031 | 200,000 | 180,732 | |||
4.75%, 01/14/2050 | 50,000 | 41,900 | |||
222,632 | |||||
CHILE — 0.4% | |||||
Chile Government International Bond 2.55%, 7/27/2033 | 100,000 | 91,188 | |||
COLOMBIA — 0.8% | |||||
Colombia Government International Bond 3.25%, 4/22/2032 | 200,000 | 167,640 | |||
COSTA RICA — 0.5% | |||||
Costa Rica Government International Bond Series REGS, 6.13%, 2/19/2031 | 100,000 | 101,547 | |||
DOMINICAN REPUBLIC — 0.6% | |||||
Dominican Republic International Bond Series REGS, 5.30%, 1/21/2041 | 150,000 | 130,828 | |||
ECUADOR — 0.4% | |||||
Ecuador Government International Bond Series REGS, 1.00%, 7/31/2035 (c) | 150,000 | 98,176 | |||
EGYPT — 0.8% | |||||
Egypt Government International Bond Series 144A, 5.88%, 2/16/2031 (a) | 200,000 | 167,708 | |||
EL SALVADOR — 0.1% | |||||
El Salvador Government International Bond Series REGS, 5.88%, 1/30/2025 | 50,000 | 27,874 | |||
GHANA — 0.6% | |||||
Ghana Government International Bond Series REGS, Zero Coupon, 4/7/2025 | 200,000 | 130,270 | |||
GUATEMALA — 0.2% | |||||
Guatemala Government Bond Series 144A, 3.70%, 10/7/2033 (a) | 50,000 | 46,267 |
Security Description | Principal Amount | Value | |||
HUNGARY — 0.3% | |||||
Hungary Government International Bond 7.63%, 3/29/2041 | $ 50,000 | $ 72,771 | |||
INDIA — 0.4% | |||||
Export-Import Bank of India Series REGS, 2.25%, 1/13/2031 | 100,000 | 86,162 | |||
INDONESIA — 0.8% | |||||
Indonesia Government International Bond 1.85%, 3/12/2031 | 200,000 | 180,742 | |||
JAMAICA — 0.2% | |||||
Jamaica Government International Bond 6.75%, 4/28/2028 | 50,000 | 54,964 | |||
JORDAN — 0.4% | |||||
Jordan Government International Bond Series 144A, 5.85%, 7/7/2030 (a) | 100,000 | 93,504 | |||
KENYA — 0.4% | |||||
Republic of Kenya Government International Bond Series 144A, 6.30%, 1/23/2034 (a) | 100,000 | 86,057 | |||
LEBANON — 0.1% | |||||
Lebanon Government International Bond Series EMTN, 6.10%, 10/4/2022 (d) | 100,000 | 11,805 | |||
MEXICO — 0.7% | |||||
Mexico Government International Bond: | |||||
3.50%, 02/12/2034 | 50,000 | 46,540 | |||
5.00%, 04/27/2051 | 100,000 | 101,369 | |||
147,909 | |||||
MONGOLIA — 0.2% | |||||
Mongolia Government International Bond Series REGS, 3.50%, 7/7/2027 | 50,000 | 45,480 | |||
MOROCCO — 0.4% | |||||
Morocco Government International Bond Series 144A, 3.00%, 12/15/2032 (a) | 100,000 | 86,665 | |||
NIGERIA — 0.8% | |||||
Nigeria Government International Bond Series REGS, 6.13%, 9/28/2028 | 200,000 | 183,504 |
Security Description | Principal Amount | Value | |||
OMAN — 0.9% | |||||
Oman Government International Bond Series REGS, 4.75%, 6/15/2026 | $ 200,000 | $ 200,918 | |||
PAKISTAN — 0.3% | |||||
Pakistan Government International Bond Series 144A, 6.00%, 4/8/2026 (a) | 100,000 | 76,693 | |||
PANAMA — 0.7% | |||||
Panama Government International Bond: | |||||
3.87%, 07/23/2060 | 50,000 | 43,890 | |||
6.70%, 01/26/2036 | 100,000 | 123,637 | |||
167,527 | |||||
PARAGUAY — 0.5% | |||||
Paraguay Government International Bond Series 144A, 5.40%, 3/30/2050 (a) | 100,000 | 100,912 | |||
PERU — 0.6% | |||||
Peruvian Government International Bond 3.30%, 3/11/2041 | 150,000 | 136,921 | |||
PHILIPPINES — 0.2% | |||||
Republic of Philippines 3.20%, 7/6/2046 | 50,000 | 44,962 | |||
POLAND — 0.2% | |||||
Republic of Poland Government International Bond 3.25%, 4/6/2026 | 50,000 | 50,913 | |||
ROMANIA — 1.1% | |||||
Romanian Government International Bond: | |||||
Series 144A, 3.00%, 02/27/2027 (a) | 200,000 | 194,244 | |||
Series REGS, 4.00%, 02/14/2051 | 50,000 | 43,522 | |||
237,766 | |||||
SAUDI ARABIA — 0.8% | |||||
Saudi Government International Bond Series REGS, 2.25%, 2/2/2033 | 200,000 | 184,104 | |||
SOUTH AFRICA — 0.8% | |||||
Republic of South Africa Government International Bond 5.75%, 9/30/2049 | 200,000 | 174,884 |
Security Description | Principal Amount | Value | |||
SRI LANKA — 0.4% | |||||
Sri Lanka Government International Bond Series REGS, 7.55%, 3/28/2030 | $ 200,000 | $ 94,682 | |||
TRINIDAD AND TOBAGO — 0.2% | |||||
Trinidad & Tobago Government International Bond Series REGS, 4.50%, 8/4/2026 | 50,000 | 49,999 | |||
TURKEY — 1.2% | |||||
Turkey Government International Bond: | |||||
4.25%, 03/13/2025 | 200,000 | 186,610 | |||
4.88%, 04/16/2043 | 50,000 | 35,486 | |||
5.13%, 02/17/2028 | 50,000 | 43,899 | |||
265,995 | |||||
UKRAINE — 0.2% | |||||
Ukraine Government International Bond Series REGS, 7.75%, 9/1/2023 | 100,000 | 50,341 | |||
URUGUAY — 0.3% | |||||
Uruguay Government International Bond 5.10%, 6/18/2050 | 50,000 | 59,253 | |||
UZBEKISTAN — 0.4% | |||||
Republic of Uzbekistan International Bond Series 144A, 3.90%, 10/19/2031 (a) | 100,000 | 86,995 | |||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost $4,880,750) | 4,610,529 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS — 15.5% | |||||
Federal National Mortgage Association: | |||||
TBA, 2.00%, 4/1/2037 (e) | 300,000 | 291,237 | |||
TBA, 2.00%, 4/1/2052 (e) | 725,000 | 672,428 | |||
TBA, 2.50%, 4/1/2037 (e) | 250,000 | 246,996 | |||
TBA, 2.50%, 4/1/2052 (e) | 400,000 | 381,519 | |||
TBA, 3.00%, 4/1/2052 (e) | 425,000 | 415,569 | |||
TBA, 3.50%, 4/1/2052 (e) | 250,000 | 250,340 | |||
TBA, 4.00%, 4/1/2052 (e) | 250,000 | 255,045 | |||
Government National Mortgage Association: | |||||
TBA, 2.00%, 4/1/2052 (e) | 325,000 | 309,051 | |||
TBA, 2.50%, 4/1/2052 (e) | 300,000 | 290,731 |
Security Description | Principal Amount | Value | |||
TBA, 3.00%, 4/1/2052 (e) | $ 350,000 | $ 345,794 | |||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $3,525,798) | 3,458,710 | ||||
COMMERCIAL MORTGAGE BACKED SECURITIES — 1.9% | |||||
BANK 2021-BNK33 Series 2021-BN33, Class A5, 2.56%, 5/15/2064 | 75,000 | 70,360 | |||
Benchmark 2021-B31 Mortgage Trust Series 2021-B31, Class A5, 2.67%, 12/15/2054 | 100,000 | 94,549 | |||
GS Mortgage Securities Trust 2018-GS9 Series 2018-GS9, Class AS, 4.14%, 3/10/2051 (b) | 99,000 | 100,742 | |||
JPMBB Commercial Mortgage Securities Trust 2013-C12 Series 2013-C12, Class AS, 4.03%, 7/15/2045 (b) | 60,000 | 60,510 | |||
Morgan Stanley Capital I Trust 2016-UBS12 Series 2016-UB12, Class A3, 3.34%, 12/15/2049 | 98,350 | 97,405 | |||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $455,758) | 423,566 | ||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS — 10.0% | |||||
DOMESTIC EQUITY — 2.0% | |||||
SPDR ICE Preferred Securities ETF (f) | 11,500 | 448,615 | |||
DOMESTIC FIXED INCOME — 5.9% | |||||
SPDR Blackstone Senior Loan ETF (f) | 14,000 | 629,440 | |||
SPDR Bloomberg Convertible Securities ETF (f) | 9,000 | 692,550 | |||
1,321,990 | |||||
INTERNATIONAL FIXED INCOME — 2.1% | |||||
SPDR Bloomberg Emerging Markets Local Bond ETF (f) | 20,000 | 454,600 | |||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS (Cost $2,349,602) | 2,225,205 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENT — 10.7% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.29% (g) (h) (Cost $2,379,290) | 2,379,290 | $ 2,379,290 | ||||
TOTAL INVESTMENTS — 115.4% (Cost $27,237,466) | 25,756,581 | |||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (15.4)% | (3,429,993) | |||||
NET ASSETS — 100.0% | $ 22,326,588 |
(a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 31.5% of net assets as of March 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of March 31, 2022. Maturity date shown is the final maturity. |
(d) | Security is currently in default and/or issuer is in bankruptcy. |
(e) | Security, or a portion of the security has been designated as collateral for TBA securities. |
(f) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended March 31, 2022 are shown in the Affiliate Table below. |
(h) | The rate shown is the annualized seven-day yield at March 31, 2022. |
CMT | Constant Maturity Treasury |
EMTN | Euro Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REIT | Real Estate Investment Trust |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Ultra 10 Yr. U.S. Treasury Futures (short) | (16) | 06/21/2022 | $(2,174,344) | $(2,167,500) | $ 6,844 | |||||
Ultra U.S. Treasury Bond Futures (long) | 5 | 06/21/2022 | 908,969 | 885,625 | (23,344) | |||||
$(16,500) |
Reference Entity | Counterparty | Notional Amount (000s Omitted) | Contract Annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received (Paid) | Unrealized Appreciation (Depreciation) | |||||||
Buy Protection | ||||||||||||||
Markit CDX North America | Morgan Stanley Bank, N.A. | 950 | 1.00%/ Quarterly | 12/20/26 | $(16,396) | $(21,150) | $ 4,754 | |||||||
Markit CDX North America | Morgan Stanley Bank, N.A. | 240 | 5.00%/ Quarterly | 12/20/26 | (15,210) | (13,258) | (1,951) | |||||||
$ 2,803 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $ — | $12,026,198 | $— | $12,026,198 | ||||
Asset-Backed Securities | — | 633,083 | — | 633,083 | ||||
Foreign Government Obligations | — | 4,610,529 | — | 4,610,529 | ||||
U.S. Government Agency Obligations | — | 3,458,710 | — | 3,458,710 | ||||
Commercial Mortgage Backed Securities | — | 423,566 | — | 423,566 | ||||
Mutual Funds and Exchange Traded Products | 2,225,205 | — | — | 2,225,205 | ||||
Short-Term Investment | 2,379,290 | — | — | 2,379,290 | ||||
TOTAL INVESTMENTS | $4,604,495 | $21,152,086 | $— | $25,756,581 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Credit Default Swaps | — | 4,754 | — | 4,754 | ||||
Futures Contracts(a) | 6,844 | — | — | 6,844 | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ 6,844 | $ 4,754 | $— | $ 11,598 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Credit Default Swaps | $ — | $ (1,951) | $— | $ (1,951) | ||||
Futures Contracts(a) | (23,344) | — | — | (23,344) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $ (23,344) | $ (1,951) | $— | $ (25,295) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Number of Shares Held at 12/23/2021* | Value at 12/23/2021* | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/22 | Value at 3/31/22 | Dividend Income | |||||||||
SPDR Blackstone Senior Loan ETF | — | $— | $ 696,620 | $ 58,553 | $(762) | $ (7,865) | 14,000 | $ 629,440 | $ 5,203 | ||||||||
SPDR Bloomberg Convertible Securities ETF | — | — | 737,476 | — | — | (44,926) | 9,000 | 692,550 | 1,469 | ||||||||
SPDR Bloomberg Emerging Markets Local Bond ETF | — | — | 487,009 | — | — | (32,409) | 20,000 | 454,600 | 3,007 | ||||||||
SPDR ICE Preferred Securities ETF | — | — | 487,812 | — | — | (39,197) | 11,500 | 448,615 | 4,077 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | — | — | 24,824,916 | 22,445,626 | — | — | 2,379,290 | 2,379,290 | 620 | ||||||||
Total | $— | $27,233,833 | $22,504,179 | $(762) | $(124,397) | $4,604,495 | $14,376 |
* | Commencement of operations. |
ASSETS | |
Investments in unaffiliated issuers, at value | $21,152,086 |
Investments in affiliated issuers, at value | 4,604,495 |
Total Investments | 25,756,581 |
Net cash at broker | 98,019 |
Cash | 770 |
Dividends receivable — affiliated issuers | 387 |
Interest receivable — unaffiliated issuers | 184,163 |
Receivable from Adviser | 3,314 |
Receivable for foreign taxes recoverable | 593 |
TOTAL ASSETS | 26,043,827 |
LIABILITIES | |
Payable for investments purchased | 3,628,121 |
Payable to broker – accumulated variation margin on open futures contracts | 16,500 |
Payable for accumulated variation margin on swap contracts | 32,262 |
Custodian fees payable | 11,411 |
Administration fees payable | 948 |
Trustees’ fees and expenses payable | 2,744 |
Transfer agent fees payable | 229 |
Registration and filing fees payable | 8,126 |
Professional fees payable | 15,105 |
Printing and postage fees payable | 1,793 |
TOTAL LIABILITIES | 3,717,239 |
NET ASSETS | $22,326,588 |
NET ASSETS CONSIST OF: | |
Paid-in Capital | $24,000,000 |
Total distributable earnings (loss) | (1,673,412) |
NET ASSETS | $22,326,588 |
Class K | |
Net Assets | $22,326,588 |
Shares Outstanding | 2,400,000 |
Net asset value, offering and redemption price per share | $ 9.30 |
COST OF INVESTMENTS: | |
Investments in unaffiliated issuers | $22,508,574 |
Investments in affiliated issuers | 4,728,892 |
Total cost of investments | $27,237,466 |
INVESTMENT INCOME | |
Interest income — unaffiliated issuers | $ 208,635 |
Dividend income — affiliated issuers | 14,376 |
TOTAL INVESTMENT INCOME (LOSS) | 223,011 |
EXPENSES | |
Advisory fee | 15,609 |
Administration fees | 3,122 |
Custodian fees | 13,019 |
Trustees’ fees and expenses | 8,018 |
Transfer agent fees | 1,741 |
Registration and filing fees | 8,137 |
Professional fees and expenses | 15,116 |
Printing and postage fees | 1,982 |
Miscellaneous expenses | 43 |
TOTAL EXPENSES | 66,787 |
Expenses waived/reimbursed by the Adviser | (23,082) |
NET EXPENSES | 43,705 |
NET INVESTMENT INCOME (LOSS) | $ 179,306 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (124,024) |
Investments — affiliated issuers | (762) |
Futures contracts | (71,045) |
Swaps Contracts | (4,129) |
Net realized gain (loss) | (199,960) |
Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers | (1,356,488) |
Investments — affiliated issuers | (124,397) |
Futures contracts | (16,516) |
Swap contracts | 2,803 |
Net change in unrealized appreciation/depreciation | (1,494,598) |
NET REALIZED AND UNREALIZED GAIN (LOSS) | (1,694,558) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $(1,515,252) |
For the Period 12/23/21*- 3/31/22 (Unaudited) | |
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss) | $ 179,306 |
Net realized gain (loss) | (199,960) |
Net change in unrealized appreciation/depreciation | (1,494,598) |
Net increase (decrease) in net assets resulting from operations | (1,515,252) |
DISTRIBUTIONS TO SHAREHOLDERS: | |
Class K | (158,160) |
FROM BENEFICIAL INTEREST TRANSACTIONS: | |
Class K | |
Proceeds from sale of shares sold | 24,000,000 |
Net increase (decrease) in net assets from beneficial interest transactions | 24,000,000 |
Net increase (decrease) in net assets during the period | 22,326,588 |
Net assets at beginning of period | — |
NET ASSETS AT END OF PERIOD | $22,326,588 |
SHARES OF BENEFICIAL INTEREST: | |
Class K | |
Shares sold | 2,400,000 |
Net increase (decrease) from share transactions | 2,400,000 |
* | Commencement of operations. |
For the Period 12/23/21*- 3/31/22 (Unaudited) | |
Net asset value, beginning of period | $ 10.00 |
Income (loss) from investment operations: | |
Net investment income (loss) (a) | 0.07 |
Net realized and unrealized gain (loss) (b) | (0.70) |
Total from investment operations | (0.63) |
Distributions to shareholders from: | |
Net investment income | (0.07) |
Net asset value, end of period | $ 9.30 |
Total return (c) | (6.34)% |
Ratios and Supplemental Data: | |
Net assets, end of period (in 000s) | $22,327 |
Ratios to average net assets: | |
Total expenses | 1.07%(d) |
Net expenses | 0.70%(d) |
Net investment income (loss) | 2.87%(d) |
Portfolio turnover rate (e) | 1%(f) |
* | Commencement of operations. |
(a) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(b) | Amounts shown in this caption for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period because of the timing of sales and repurchases of Fund shares in relation to fluctuating market values for the Fund. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each distribution. Total returns for periods of less than one year are not annualized. Broker commission charges are not included in this calculation. |
(d) | Annualized. |
(e) | Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions. |
(f) | Not annualized. |
Fund | Classes | Commencement of Operations | Diversification Classification |
State Street Diversified Income Fund | Class K | December 23, 2021 | Diversified |
Liability Derivatives | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $16,500 | $— | $ — | $— | $— | $16,500 | |||||
Swap Contracts | — | — | 32,262 | — | — | 32,262 |
Net Realized Gain (Loss) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $(71,045) | $— | $ — | $— | $— | $(71,045) | |||||
Swap Contracts | — | — | (4,129) | — | — | (4,129) |
Net Change in Unrealized Appreciation (Depreciation) | |||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Equity Risk | Commodity Risk | Total | ||||||
Futures Contracts | $(16,516) | $— | $ — | $— | $— | $(16,516) | |||||
Swap Contracts | — | — | 2,803 | — | — | 2,803 |
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||
State Street Diversified Income Fund | 1 | 100% |
Purchases | Sales | ||
State Street Diversified Income Fund | $21,577,536 | $263,109 |
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||
State Street Diversified Income Fund | $27,237,466 | $30,968 | $1,525,550 | $(1,494,582) |
Actual | Hypothetical (assuming a 5% return before expenses) | ||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | |||||
State Street Diversified Income Fund | 0.70% | $936.60 | $1.84(b) | $1,021.40 | $3.53 |
(a) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 365. |
(b) | Actual period is from commencement of operations on 12/23/2021. |
• | Performance information provided by the Adviser with respect to the proposed strategy for the New Fund. |
• | A report prepared by an independent third-party provider of investment company data, which included: |
• | Profitability analyses for (a) the Adviser with respect to Other Funds and (b) affiliates of the Adviser that provide services to the Other Funds. |
• | Descriptions of the investment management services to be provided by the Adviser to the New Fund as well as services provided to the Other Funds, including its investment strategies and processes; |
• | A presentation provided by the New Fund’s portfolio manager at the September 15-16, 2021 Board meeting regarding the New Fund’s proposed investment philosophy and approach; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Fund. |
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Fund; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
• | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources to be devoted by the Adviser to overseeing compliance by the New Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
• | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s cybersecurity and risk management processes. |
• | Information concerning the nature, extent, quality and cost of various services to be provided to the New Fund by SSGA FM in its capacity as administrator; |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Fund by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Fund, and the role of SSGA FM in managing the New Fund’s relationships with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Fund; |
• | Responses to a request for information reviewed by the Board and Independent Counsel requesting specific information regarding the Other Funds, certain of which was applicable to the New Fund, from each of: |
One Iron Street
Boston, MA 02210
State Street Financial Center
One Lincoln Street
Boston, MA 02111
200 Clarendon Street
Boston, MA 02116
800 Boylston Street
Boston, MA 02199
State Street Global Advisors
P.O. Box 219737
Kansas City, MO 64121-9737
One Iron Street
Boston, MA 02210
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
(b) | Not Applicable. |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | June 3, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | June 3, 2022 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | June 3, 2022 |