Quarterly Report
June 30, 2023
State Street Institutional Investment Trust
![](https://capedge.com/proxy/NPORT-P/0001752724-23-196531/img65609aa81.gif)
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Bonds and Notes - 97.1% † | |||
U.S. Treasuries - 28.0% | |||
U.S. Treasury Bonds | |||
1.88%, 02/15/51 (a) | $6,418,000 | $4,251,925 | |
2.25%, 08/15/46 (a) | 14,576,000 | 10,649,590 | |
3.00%, 08/15/48 (a) | 31,799,000 | 26,835,375 | |
3.63%, 05/15/53 (a) | 4,855,000 | 4,668,386 | |
3.88%, 05/15/43 (a) | 9,395,000 | 9,168,933 | |
U.S. Treasury Notes | |||
0.25%, 07/31/25 (a) | 57,738,000 | 52,528,048 | |
0.75%, 12/31/23 - 01/31/28 (a) | 140,568,000 | 127,658,360 | |
1.13%, 01/15/25 (a) | 13,268,000 | 12,477,621 | |
1.25%, 11/30/26 (a) | 21,047,000 | 18,963,676 | |
1.63%, 05/15/31 (a) | 15,833,000 | 13,458,050 | |
1.75%, 01/31/29 (a) | 3,422,000 | 3,025,529 | |
2.63%, 02/15/29 (a) | 11,059,000 | 10,245,127 | |
2.75%, 08/15/32 (a) | 12,337,500 | 11,311,945 | |
3.50%, 04/30/28 (a) | 36,066,000 | 35,043,191 | |
3.88%, 12/31/27 - 11/30/29 (a) | 19,196,100 | 18,999,971 | |
4.25%, 10/15/25 (a) | 32,288,400 | 31,927,678 | |
391,213,405 | |||
Agency Mortgage Backed - 27.3% | |||
Federal Home Loan Mortgage Corp. | |||
3.00%, 04/01/43 - 10/01/49 | 37,832,693 | 33,916,816 | |
4.50%, 06/01/33 - 02/01/35 | 22,108 | 21,790 | |
5.00%, 07/01/35 | 293,428 | 294,146 | |
5.50%, 01/01/38 - 04/01/39 | 513,237 | 527,653 | |
6.00%, 06/01/33 - 11/01/37 | 1,044,716 | 1,095,110 | |
6.50%, 07/01/29 | 9,528 | 9,921 | |
7.00%, 01/01/27 - 08/01/36 | 261,737 | 274,425 | |
7.50%, 01/01/28 - 09/01/33 | 21,984 | 22,638 | |
8.00%, 11/01/30 | 1,566 | 1,628 | |
8.50%, 04/01/30 | 3,840 | 4,208 | |
Federal National Mortgage Association | |||
2.50%, 03/01/51 | 15,552,328 | 13,187,701 | |
3.00%, 03/01/50 | 6,759,709 | 6,002,752 | |
3.50%, 08/01/45 - 01/01/48 | 15,243,095 | 14,117,121 | |
4.00%, 01/01/41 - 01/01/50 | 17,189,029 | 16,429,024 | |
4.50%, 07/01/33 - 12/01/48 | 8,495,900 | 8,334,661 | |
5.00%, 03/01/34 - 05/01/39 | 779,439 | 782,559 | |
5.50%, 12/01/32 - 01/01/39 | 2,685,186 | 2,746,105 | |
6.00%, 02/01/33 - 05/01/41 | 4,922,038 | 5,130,425 | |
6.50%, 02/01/29 - 08/01/36 | 164,132 | 171,869 | |
7.00%, 10/01/32 - 02/01/34 | 34,515 | 35,595 | |
7.50%, 12/01/26 - 03/01/33 | 84,509 | 87,982 | |
8.00%, 06/01/24 - 10/01/31 | 25,559 | 25,989 | |
8.50%, 04/01/30 | 6,939 | 7,418 | |
Federal National Mortgage Association 1.60% + 12 month USD LIBOR | |||
4.97%, 04/01/37 (b) | 11,007 | 10,824 | |
Government National Mortgage Association | |||
3.00%, 12/20/42 - 05/20/45 | 37,006,907 | 33,745,552 | |
3.50%, 08/20/48 | 5,790,301 | 5,410,156 | |
4.00%, 01/20/41 - 04/20/43 | 4,581,280 | 4,442,725 | |
4.50%, 08/15/33 - 03/20/41 | 1,855,812 | 1,836,381 | |
5.00%, 08/15/33 | 99,204 | 99,554 | |
6.00%, 04/15/27 - 04/15/35 | 371,669 | 383,960 | |
6.50%, 01/15/24 - 09/15/36 | 239,890 | 248,357 | |
7.00%, 03/15/26 - 10/15/36 | 173,522 | 180,368 | |
7.50%, 11/15/23 - 10/15/28 | 49,988 | 50,421 |
Principal Amount | Fair Value | ||
8.00%, 12/15/29 - 05/15/30 | $447 | $456 | |
Government National Mortgage Association 1.50% + 1 year CMT Rate | |||
2.63%, 08/20/23 - 09/20/24 (b) | 100 | 99 | |
2.75%, 10/20/24 - 10/20/25 (b) | 389 | 378 | |
2.88%, 04/20/24 (b) | 85 | 84 | |
3.63%, 01/20/24 - 03/20/24 (b) | 110 | 108 | |
Government National Mortgage Association, TBA | |||
2.50%, 07/20/53 (c) | 25,692,123 | 22,229,724 | |
4.00%, 07/20/53 (c) | 5,142,447 | 4,860,229 | |
Uniform Mortgage-Backed Security, TBA | |||
2.00%, 07/13/53 (c) | 68,397,038 | 55,731,207 | |
2.50%, 07/13/53 (c) | 60,093,624 | 50,923,818 | |
3.00%, 07/13/53 (c) | 25,416,968 | 22,362,153 | |
3.50%, 07/13/53 (c) | 21,501,554 | 19,584,712 | |
4.00%, 07/13/53 (c) | 30,045,773 | 28,187,472 | |
4.50%, 07/13/53 (c) | 26,731,981 | 25,694,807 | |
5.00%, 07/13/53 (c) | 1,714,945 | 1,679,819 | |
380,890,900 | |||
Agency Collateralized Mortgage Obligations - 0.7% | |||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | |||
2.51%, 07/25/29 | 6,504,000 | 5,801,471 | |
4.05%, 09/25/28 (b) | 1,713,000 | 1,670,800 | |
Federal Home Loan Mortgage Corp. REMIC | |||
3.50%, 11/15/30 (d) | 17,459 | 40 | |
5.50%, 06/15/33 (d) | 88,615 | 13,993 | |
7.50%, 07/15/27 (d) | 2,876 | 227 | |
Federal Home Loan Mortgage Corp. STRIPS | |||
0.00%, 08/01/27 (e) | 2,228 | 2,021 | |
8.00%, 07/01/24 (d) | 1,279 | 40 | |
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | |||
0.08%, 09/25/43 (b)(d) | 3,316,287 | 25,507 | |
Federal National Mortgage Association Interest STRIPS | |||
7.50%, 11/25/23 (d) | 603 | 3 | |
Federal National Mortgage Association REMIC | |||
1.16%, 12/25/42 (b)(d) | 455,066 | 15,544 | |
5.00%, 02/25/40 - 09/25/40 (d) | 195,946 | 20,961 | |
Federal National Mortgage Association REMIC 6.00% - 1 month USD LIBOR | |||
0.85%, 07/25/38 (b)(d) | 119,579 | 9,527 | |
Federal National Mortgage Association REMIC 6.55% - 1 month USD LIBOR | |||
1.40%, 11/25/41 (b)(d) | 13,937,014 | 1,617,036 | |
Federal National Mortgage Association STRIPS | |||
0.00%, 12/25/34 (e) | 88,214 | 71,625 | |
4.50%, 08/25/35 - 01/25/36 (d) | 187,749 | 23,532 | |
5.00%, 03/25/38 - 05/25/38 (d) | 121,515 | 18,366 | |
5.50%, 12/25/33 (d) | 35,102 | 6,052 | |
6.00%, 01/25/35 (d) | 144,774 | 24,663 |
See Notes to Schedule of Investments.
State Street Income Fund | 1 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
8.00%, 07/25/24 (d) | $2,467 | $78 | |
9,321,486 | |||
Asset Backed - 0.1% | |||
Chase Funding Trust | |||
4.99%, 11/25/33 (f) | 229,332 | 226,289 | |
Ford Credit Auto Owner Trust | |||
0.56%, 10/15/24 | 360,975 | 360,131 | |
586,420 | |||
Corporate Notes - 33.9% | |||
3M Co. | |||
3.13%, 09/19/46 (a) | 353,000 | 248,290 | |
7-Eleven, Inc. | |||
0.95%, 02/10/26 (a)(g) | 1,774,000 | 1,584,821 | |
Abbott Laboratories | |||
3.75%, 11/30/26 (a) | 522,000 | 509,232 | |
4.90%, 11/30/46 (a) | 425,000 | 428,421 | |
AbbVie, Inc. | |||
2.60%, 11/21/24 (a) | 790,000 | 758,013 | |
2.95%, 11/21/26 (a) | 781,000 | 729,852 | |
3.20%, 05/14/26 - 11/21/29 (a) | 1,144,000 | 1,053,721 | |
4.05%, 11/21/39 (a) | 326,000 | 283,741 | |
4.25%, 11/21/49 (a) | 438,000 | 377,411 | |
4.30%, 05/14/36 (a) | 396,000 | 364,122 | |
4.40%, 11/06/42 (a) | 266,000 | 238,150 | |
4.63%, 10/01/42 (a) | 63,000 | 56,912 | |
4.70%, 05/14/45 (a) | 113,000 | 103,019 | |
4.88%, 11/14/48 (a) | 107,000 | 100,936 | |
Advance Auto Parts, Inc. | |||
3.90%, 04/15/30 (a) | 1,195,000 | 1,025,967 | |
5.95%, 03/09/28 (a) | 1,435,000 | 1,415,226 | |
Advanced Micro Devices, Inc. | |||
4.39%, 06/01/52 (a) | 496,000 | 451,643 | |
AEP Texas, Inc. | |||
3.45%, 05/15/51 (a) | 844,000 | 602,657 | |
AEP Transmission Co. LLC | |||
5.40%, 03/15/53 (a) | 432,000 | 444,342 | |
Aetna, Inc. | |||
3.50%, 11/15/24 (a) | 374,000 | 362,888 | |
AIA Group Ltd. | |||
4.95%, 04/04/33 (a)(g) | 1,300,000 | 1,299,142 | |
Aircastle Ltd. | |||
4.25%, 06/15/26 (a) | 527,000 | 496,545 | |
Alcoa Nederland Holding BV | |||
5.50%, 12/15/27 (a)(g) | 1,047,000 | 1,015,590 | |
Alcon Finance Corp. | |||
2.60%, 05/27/30 (a)(g) | 358,000 | 305,360 | |
3.80%, 09/23/49 (a)(g) | 200,000 | 154,868 | |
Alexandria Real Estate Equities, Inc. | |||
1.88%, 02/01/33 (a) | 302,000 | 221,007 | |
2.95%, 03/15/34 (a) | 531,000 | 419,490 | |
3.55%, 03/15/52 (a) | 446,000 | 305,046 | |
4.70%, 07/01/30 (a) | 181,000 | 172,021 | |
Allstate Corp. | |||
4.20%, 12/15/46 (a) | 480,000 | 392,962 | |
Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | |||
5.75%, 08/15/53 (a)(b) | 628,000 | 620,188 | |
Ally Financial, Inc. | |||
2.20%, 11/02/28 (a) | 664,000 | 531,446 |
Principal Amount | Fair Value | ||
Altria Group, Inc. | |||
3.40%, 05/06/30 - 02/04/41 (a) | $392,000 | $296,023 | |
4.00%, 02/04/61 (a) | 148,000 | 102,025 | |
4.25%, 08/09/42 (a) | 42,000 | 32,821 | |
4.45%, 05/06/50 (a) | 198,000 | 146,106 | |
4.50%, 05/02/43 (a) | 136,000 | 108,338 | |
Amazon.com, Inc. | |||
1.50%, 06/03/30 | 221,000 | 181,768 | |
2.50%, 06/03/50 | 275,000 | 182,608 | |
2.70%, 06/03/60 | 211,000 | 135,494 | |
2.88%, 05/12/41 | 466,000 | 359,589 | |
3.25%, 05/12/61 | 347,000 | 251,294 | |
4.25%, 08/22/57 | 92,000 | 82,978 | |
Ameren Corp. | |||
2.50%, 09/15/24 | 1,167,000 | 1,119,048 | |
3.65%, 02/15/26 | 255,000 | 242,961 | |
American Electric Power Co., Inc. | |||
2.30%, 03/01/30 (a) | 279,000 | 231,779 | |
3.25%, 03/01/50 (a) | 232,000 | 158,579 | |
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) | 93,000 | 90,110 | |
American Tower Corp. | |||
1.50%, 01/31/28 | 862,000 | 724,218 | |
2.90%, 01/15/30 | 304,000 | 262,616 | |
3.70%, 10/15/49 | 178,000 | 127,818 | |
3.80%, 08/15/29 | 374,000 | 341,896 | |
American Water Capital Corp. | |||
2.95%, 09/01/27 (a) | 301,000 | 278,154 | |
Amgen, Inc. | |||
2.00%, 01/15/32 (a) | 518,000 | 411,722 | |
2.45%, 02/21/30 (a) | 136,000 | 116,398 | |
3.00%, 01/15/52 (a) | 316,000 | 210,924 | |
3.15%, 02/21/40 (a) | 558,000 | 426,831 | |
3.38%, 02/21/50 (a) | 150,000 | 110,039 | |
4.66%, 06/15/51 (a) | 113,000 | 101,231 | |
5.51%, 03/02/26 (a) | 987,000 | 984,602 | |
5.60%, 03/02/43 (a) | 514,000 | 515,208 | |
5.65%, 03/02/53 (a) | 482,000 | 488,652 | |
5.75%, 03/02/63 (a) | 514,000 | 522,424 | |
AngloGold Ashanti Holdings PLC | |||
3.38%, 11/01/28 | 1,145,000 | 1,001,383 | |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | |||
3.65%, 02/01/26 | 617,000 | 597,651 | |
4.70%, 02/01/36 | 151,000 | 147,027 | |
4.90%, 02/01/46 | 336,000 | 320,914 | |
Anheuser-Busch InBev Worldwide, Inc. | |||
3.50%, 06/01/30 | 341,000 | 317,403 | |
4.00%, 04/13/28 | 108,000 | 104,496 | |
4.35%, 06/01/40 | 332,000 | 305,247 | |
4.38%, 04/15/38 | 537,000 | 498,433 | |
4.50%, 06/01/50 | 263,000 | 243,070 | |
4.60%, 04/15/48 | 193,000 | 179,201 | |
4.75%, 04/15/58 | 148,000 | 137,187 | |
5.55%, 01/23/49 | 351,000 | 369,670 | |
ANZ Bank New Zealand Ltd. (5.55% fixed rate until 08/11/27; 2.70% + 5 year CMT Rate thereafter) | |||
5.55%, 08/11/32 (b)(g) | 1,377,000 | 1,352,806 |
See Notes to Schedule of Investments.
2 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Aon Corp./Aon Global Holdings PLC | |||
2.90%, 08/23/51 (a) | $532,000 | $348,247 | |
Apollo Management Holdings LP | |||
2.65%, 06/05/30 (a)(g) | 258,000 | 210,804 | |
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | |||
4.95%, 01/14/50 (a)(b)(g) | 342,000 | 286,825 | |
Apple, Inc. | |||
2.20%, 09/11/29 | 339,000 | 297,557 | |
2.65%, 02/08/51 | 693,000 | 478,530 | |
2.80%, 02/08/61 | 371,000 | 250,622 | |
2.95%, 09/11/49 | 223,000 | 165,963 | |
3.35%, 02/09/27 | 162,000 | 155,431 | |
3.45%, 02/09/45 | 569,000 | 478,796 | |
3.85%, 08/04/46 | 513,000 | 450,804 | |
3.95%, 08/08/52 | 449,000 | 395,524 | |
4.85%, 05/10/53 | 1,349,000 | 1,382,037 | |
Applied Materials, Inc. | |||
4.35%, 04/01/47 (a) | 193,000 | 180,631 | |
Aptiv PLC | |||
4.40%, 10/01/46 (a) | 232,000 | 180,644 | |
ArcelorMittal SA | |||
4.55%, 03/11/26 | 2,461,000 | 2,402,428 | |
6.80%, 11/29/32 (a) | 714,000 | 733,435 | |
Archer-Daniels-Midland Co. | |||
2.50%, 08/11/26 (a) | 200,000 | 187,530 | |
Ares Capital Corp. | |||
2.88%, 06/15/28 | 1,162,000 | 961,416 | |
3.25%, 07/15/25 | 2,386,000 | 2,207,289 | |
Arthur J Gallagher & Co. | |||
3.50%, 05/20/51 (a) | 359,000 | 257,127 | |
Ascension Health | |||
4.85%, 11/15/53 (a) | 413,000 | 405,227 | |
Ashtead Capital, Inc. | |||
1.50%, 08/12/26 (a)(g) | 600,000 | 525,810 | |
5.55%, 05/30/33 (a)(g) | 1,693,000 | 1,653,265 | |
Astrazeneca Finance LLC | |||
1.75%, 05/28/28 (a) | 817,000 | 708,012 | |
AstraZeneca PLC | |||
3.00%, 05/28/51 (a) | 386,000 | 286,509 | |
4.00%, 01/17/29 (a) | 169,000 | 163,404 | |
4.38%, 08/17/48 (a) | 94,000 | 87,940 | |
AT&T, Inc. | |||
2.75%, 06/01/31 (a) | 1,795,000 | 1,514,890 | |
3.65%, 06/01/51 (a) | 1,447,000 | 1,061,678 | |
3.85%, 06/01/60 (a) | 500,000 | 362,690 | |
4.35%, 03/01/29 (a) | 515,000 | 494,508 | |
4.50%, 05/15/35 (a) | 365,000 | 335,366 | |
4.55%, 03/09/49 (a) | 199,000 | 168,774 | |
4.75%, 05/15/46 (a) | 117,000 | 103,333 | |
4.85%, 03/01/39 (a) | 480,000 | 442,238 | |
Athene Holding Ltd. | |||
4.13%, 01/12/28 (a) | 263,000 | 239,761 | |
6.15%, 04/03/30 (a) | 513,000 | 514,442 | |
Avangrid, Inc. | |||
3.15%, 12/01/24 (a) | 694,000 | 666,684 | |
Bain Capital Specialty Finance, Inc. | |||
2.95%, 03/10/26 (a) | 775,000 | 688,053 | |
Bank of America Corp. | |||
3.25%, 10/21/27 (a) | 549,000 | 511,470 | |
4.18%, 11/25/27 (a) | 645,000 | 612,950 |
Principal Amount | Fair Value | ||
4.25%, 10/22/26 (a) | $637,000 | $614,788 | |
Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | |||
2.09%, 06/14/29 (a)(b) | 1,162,000 | 992,824 | |
Bank of America Corp. (2.97% fixed rate until 02/04/32; 1.33% + SOFR thereafter) | |||
2.97%, 02/04/33 (a)(b) | 3,357,000 | 2,794,937 | |
Bank of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) | |||
2.97%, 07/21/52 (a)(b) | 892,000 | 605,365 | |
Bank of America Corp. (3.37% fixed rate until 01/23/25; 1.07% + 3 month Term SOFR) | |||
3.37%, 01/23/26 (a)(b) | 276,000 | 265,012 | |
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.30% + 3 month Term SOFR) | |||
3.42%, 12/20/28 (a)(b) | 309,000 | 284,082 | |
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.32% + 1 month Term SOFR) | |||
3.56%, 04/23/27 (a)(b) | 506,000 | 479,992 | |
Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.77% + 3 month Term SOFR) | |||
3.71%, 04/24/28 (a)(b) | 684,000 | 641,742 | |
Bank of America Corp. (3.85% fixed rate until 03/08/32; 2.00% + 5 year CMT Rate thereafter) | |||
3.85%, 03/08/37 (a)(b) | 719,000 | 614,105 | |
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.45% + 3 month Term SOFR) | |||
3.95%, 01/23/49 (a)(b) | 410,000 | 331,477 | |
Bank of America Corp. (4.24% fixed rate until 04/24/37; 2.08% + 3 month Term SOFR) | |||
4.24%, 04/24/38 (a)(b) | 427,000 | 375,098 | |
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.57% + 3 month Term SOFR) | |||
4.27%, 07/23/29 (a)(b) | 151,000 | 143,211 | |
Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.93% + 3 month Term SOFR) | |||
4.30%, 01/28/25 (a)(b) | 682,000 | 609,408 | |
Bank of America Corp. (5.29% fixed rate until 04/25/33; 1.91% + SOFR thereafter) | |||
5.29%, 04/25/34 (a)(b) | 1,588,000 | 1,573,438 | |
Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.39% + 3 month Term SOFR) | |||
4.63%, 09/20/26 (a)(b) | 553,000 | 488,725 | |
Bank of Nova Scotia (7.85% fixed rate until 10/12/23; 2.65% + 3 month USD LIBOR thereafter) | |||
7.85%, 10/12/30 (a)(b) | 608,000 | 504,391 | |
Barclays PLC | |||
4.38%, 01/12/26 (a) | 911,000 | 874,779 |
See Notes to Schedule of Investments.
State Street Income Fund | 3 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
4.84%, 05/09/28 (a) | $276,000 | $254,555 | |
Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | |||
2.65%, 06/24/31 (a)(b) | 1,209,000 | 969,703 | |
Barclays PLC (2.85% fixed rate until 05/07/25; 2.71% + SOFR thereafter) | |||
2.85%, 05/07/26 (a)(b) | 1,114,000 | 1,044,308 | |
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 | 479,698 | |
Barrick North America Finance LLC | |||
5.70%, 05/30/41 (a) | 58,000 | 58,610 | |
BAT Capital Corp. | |||
2.73%, 03/25/31 (a) | 516,000 | 410,875 | |
4.39%, 08/15/37 (a) | 381,000 | 304,457 | |
4.54%, 08/15/47 (a) | 171,000 | 126,179 | |
4.91%, 04/02/30 (a) | 341,000 | 322,470 | |
7.75%, 10/19/32 (a) | 244,000 | 268,385 | |
Baxter International, Inc. | |||
1.92%, 02/01/27 (a) | 1,732,000 | 1,539,003 | |
2.54%, 02/01/32 (a) | 523,000 | 423,667 | |
3.13%, 12/01/51 (a) | 397,000 | 262,719 | |
Bayer U.S. Finance II LLC | |||
3.88%, 12/15/23 (a)(g) | 608,000 | 601,592 | |
Baylor Scott & White Holdings | |||
2.84%, 11/15/50 (a) | 90,000 | 60,856 | |
Becton Dickinson & Co. | |||
3.70%, 06/06/27 (a) | 323,000 | 307,024 | |
3.73%, 12/15/24 (a) | 5,000 | 4,857 | |
4.67%, 06/06/47 (a) | 42,000 | 38,506 | |
4.69%, 12/15/44 (a) | 50,000 | 45,507 | |
Berkshire Hathaway Energy Co. | |||
3.25%, 04/15/28 (a) | 184,000 | 169,286 | |
3.70%, 07/15/30 (a) | 415,000 | 380,862 | |
3.80%, 07/15/48 (a) | 161,000 | 124,279 | |
4.25%, 10/15/50 (a) | 354,000 | 286,308 | |
6.13%, 04/01/36 (a) | 163,000 | 170,068 | |
Berkshire Hathaway Finance Corp. | |||
2.85%, 10/15/50 (a) | 978,000 | 681,177 | |
4.25%, 01/15/49 (a) | 219,000 | 199,364 | |
Berry Global, Inc. | |||
4.88%, 07/15/26 (a)(g) | 967,000 | 932,352 | |
BHP Billiton Finance USA Ltd. | |||
4.90%, 02/28/33 (a) | 848,000 | 844,252 | |
5.00%, 09/30/43 (a) | 91,000 | 90,169 | |
Biogen, Inc. | |||
2.25%, 05/01/30 (a) | 175,000 | 146,223 | |
Block Financial LLC | |||
2.50%, 07/15/28 (a) | 497,000 | 423,335 | |
3.88%, 08/15/30 (a) | 158,000 | 139,405 | |
BNP Paribas SA (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 | 959,822 | |
BNP Paribas SA (5.13% fixed rate until 11/15/27; 2.84% + 5 year Swap Rate thereafter) | |||
5.13%, 11/15/27 (a)(b)(g) | 600,000 | 476,328 | |
Boardwalk Pipelines LP | |||
4.80%, 05/03/29 (a) | 335,000 | 321,406 |
Principal Amount | Fair Value | ||
Boeing Co. | |||
2.20%, 02/04/26 (a) | $945,000 | $867,784 | |
2.70%, 02/01/27 (a) | 811,000 | 741,335 | |
2.95%, 02/01/30 (a) | 207,000 | 180,102 | |
3.25%, 03/01/28 (a) | 104,000 | 94,753 | |
3.55%, 03/01/38 (a) | 137,000 | 107,189 | |
3.75%, 02/01/50 (a) | 183,000 | 137,415 | |
5.04%, 05/01/27 (a) | 1,193,000 | 1,179,412 | |
5.15%, 05/01/30 (a) | 672,000 | 665,609 | |
5.81%, 05/01/50 (a) | 416,000 | 413,749 | |
Boston Properties LP | |||
3.40%, 06/21/29 (a) | 865,000 | 728,416 | |
Boston Scientific Corp. | |||
4.70%, 03/01/49 (a) | 53,000 | 49,823 | |
BP Capital Markets America, Inc. | |||
3.00%, 02/24/50 (a) | 410,000 | 286,172 | |
3.38%, 02/08/61 (a) | 471,000 | 335,305 | |
4.81%, 02/13/33 (a) | 777,000 | 766,371 | |
BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | |||
4.38%, 06/22/25 (a)(b) | 718,000 | 689,991 | |
BP Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | |||
4.88%, 03/22/30 (a)(b) | 512,000 | 465,736 | |
Bristol-Myers Squibb Co. | |||
1.45%, 11/13/30 (a) | 402,000 | 322,911 | |
2.35%, 11/13/40 (a) | 223,000 | 156,640 | |
2.95%, 03/15/32 (a) | 523,000 | 461,950 | |
3.20%, 06/15/26 (a) | 196,000 | 187,631 | |
3.40%, 07/26/29 (a) | 110,000 | 102,067 | |
3.55%, 03/15/42 (a) | 216,000 | 178,887 | |
4.13%, 06/15/39 (a) | 292,000 | 266,357 | |
4.25%, 10/26/49 (a) | 292,000 | 259,211 | |
4.35%, 11/15/47 (a) | 40,000 | 36,266 | |
4.55%, 02/20/48 (a) | 81,000 | 75,515 | |
Brixmor Operating Partnership LP | |||
2.25%, 04/01/28 (a) | 696,000 | 586,679 | |
3.90%, 03/15/27 (a) | 137,000 | 126,024 | |
Broadcom, Inc. | |||
3.14%, 11/15/35 (a)(g) | 200,000 | 153,296 | |
3.19%, 11/15/36 (a)(g) | 26,000 | 19,648 | |
3.42%, 04/15/33 (a)(g) | 1,569,000 | 1,313,535 | |
3.47%, 04/15/34 (a)(g) | 24,000 | 19,671 | |
4.15%, 11/15/30 (a) | 208,000 | 191,146 | |
4.30%, 11/15/32 (a) | 341,000 | 312,445 | |
4.93%, 05/15/37 (a)(g) | 280,000 | 252,815 | |
Brooklyn Union Gas Co. | |||
4.87%, 08/05/32 (a)(g) | 1,578,000 | 1,481,979 | |
Brown-Forman Corp. | |||
4.00%, 04/15/38 (a) | 88,000 | 77,722 | |
Bunge Ltd. Finance Corp. | |||
3.75%, 09/25/27 (a) | 119,000 | 112,472 | |
Burlington Northern Santa Fe LLC | |||
4.15%, 12/15/48 (a) | 302,000 | 263,114 | |
4.55%, 09/01/44 (a) | 454,000 | 417,430 | |
Cameron LNG LLC | |||
3.30%, 01/15/35 (a)(g) | 165,000 | 137,640 | |
Canadian Natural Resources Ltd. | |||
3.85%, 06/01/27 (a) | 374,000 | 353,303 |
See Notes to Schedule of Investments.
4 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
4.95%, 06/01/47 (a) | $226,000 | $202,128 | |
Canadian Pacific Railway Co. | |||
1.75%, 12/02/26 (a) | 707,000 | 635,678 | |
3.10%, 12/02/51 (a) | 233,000 | 165,390 | |
3.50%, 05/01/50 (a) | 267,000 | 205,886 | |
Cantor Fitzgerald LP | |||
4.88%, 05/01/24 (a)(g) | 1,142,000 | 1,116,887 | |
Capital One Financial Corp. | |||
3.75%, 07/28/26 (a) | 635,000 | 591,420 | |
Cardinal Health, Inc. | |||
3.08%, 06/15/24 (a) | 201,000 | 195,943 | |
Carlisle Cos., Inc. | |||
2.20%, 03/01/32 (a) | 952,000 | 751,499 | |
Carrier Global Corp. | |||
2.72%, 02/15/30 (a) | 323,000 | 278,368 | |
3.58%, 04/05/50 (a) | 205,000 | 151,452 | |
Caterpillar, Inc. | |||
3.25%, 09/19/49 - 04/09/50 (a) | 493,000 | 387,938 | |
Cenovus Energy, Inc. | |||
2.65%, 01/15/32 (a) | 352,000 | 284,201 | |
3.75%, 02/15/52 (a) | 410,000 | 291,071 | |
Centene Corp. | |||
3.00%, 10/15/30 (a) | 338,000 | 281,851 | |
3.38%, 02/15/30 (a) | 1,597,000 | 1,373,196 | |
4.25%, 12/15/27 (a) | 2,059,000 | 1,926,647 | |
CenterPoint Energy, Inc. | |||
2.65%, 06/01/31 (a) | 586,000 | 489,621 | |
Charles Schwab Corp. | |||
2.45%, 03/03/27 (a) | 4,869,000 | 4,372,800 | |
2.90%, 03/03/32 (a) | 299,000 | 246,935 | |
Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT rate thereafter) | |||
4.00%, 12/01/30 (a)(b) | 862,000 | 631,656 | |
Charles Schwab Corp. (5.64% fixed rate until 05/19/28; 2.21% + SOFR thereafter) | |||
5.64%, 05/19/29 (a)(b) | 3,971,000 | 3,987,916 | |
Charter Communications Operating LLC/Charter Communications Operating Capital | |||
3.50%, 06/01/41 (a) | 466,000 | 314,802 | |
3.70%, 04/01/51 (a) | 1,420,000 | 901,146 | |
4.80%, 03/01/50 (a) | 702,000 | 528,262 | |
5.05%, 03/30/29 (a) | 593,000 | 565,437 | |
5.75%, 04/01/48 (a) | 184,000 | 157,397 | |
Cheniere Corpus Christi Holdings LLC | |||
5.88%, 03/31/25 (a) | 934,000 | 930,339 | |
Cheniere Energy Partners LP | |||
4.50%, 10/01/29 (a) | 1,446,000 | 1,327,949 | |
Chevron Corp. | |||
2.24%, 05/11/30 (a) | 176,000 | 153,426 | |
3.08%, 05/11/50 (a) | 169,000 | 125,993 | |
Chevron USA, Inc. | |||
3.85%, 01/15/28 (a) | 619,000 | 604,150 | |
3.90%, 11/15/24 (a) | 214,000 | 210,300 | |
Choice Hotels International, Inc. | |||
3.70%, 01/15/31 (a) | 374,000 | 316,067 | |
Chubb INA Holdings, Inc. | |||
4.35%, 11/03/45 (a) | 241,000 | 218,206 | |
Church & Dwight Co., Inc. | |||
2.30%, 12/15/31 (a) | 379,000 | 313,213 |
Principal Amount | Fair Value | ||
Cigna Group | |||
2.40%, 03/15/30 (a) | $350,000 | $297,357 | |
3.25%, 04/15/25 (a) | 316,000 | 303,016 | |
3.40%, 03/01/27 - 03/15/51 (a) | 530,000 | 438,030 | |
3.88%, 10/15/47 (a) | 100,000 | 79,309 | |
4.13%, 11/15/25 (a) | 564,000 | 549,234 | |
4.38%, 10/15/28 (a) | 176,000 | 170,264 | |
4.80%, 08/15/38 (a) | 154,000 | 145,362 | |
4.90%, 12/15/48 (a) | 80,000 | 74,407 | |
Cisco Systems, Inc. | |||
5.90%, 02/15/39 (a) | 177,000 | 195,877 | |
Citadel Finance LLC | |||
3.38%, 03/09/26 (a)(g) | 3,500,000 | 3,152,730 | |
Citigroup, Inc. | |||
4.45%, 09/29/27 (a) | 375,000 | 358,095 | |
4.65%, 07/23/48 (a) | 811,000 | 734,953 | |
6.17%, 05/25/34 (a)(b) | 680,000 | 684,733 | |
Citigroup, Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | |||
2.56%, 05/01/32 (a)(b) | 516,000 | 421,309 | |
Citigroup, Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | |||
2.98%, 11/05/30 (a)(b) | 314,000 | 272,668 | |
Citigroup, Inc. (3.79% fixed rate until 03/17/32; 1.94% + SOFR thereafter) | |||
3.79%, 03/17/33 (a)(b) | 2,518,000 | 2,223,772 | |
Citigroup, Inc. (3.88% fixed rate until 01/24/38; 1.43% + 3 month Term SOFR) | |||
3.88%, 01/24/39 (a)(b) | 148,000 | 123,910 | |
Citigroup, Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | |||
4.70%, 01/30/25 (a)(b) | 856,000 | 736,485 | |
Cleveland Electric Illuminating Co. | |||
4.55%, 11/15/30 (a)(g) | 901,000 | 850,139 | |
Clorox Co. | |||
1.80%, 05/15/30 (a) | 479,000 | 392,296 | |
CME Group, Inc. | |||
2.65%, 03/15/32 (a) | 386,000 | 328,139 | |
3.75%, 06/15/28 (a) | 185,000 | 177,069 | |
CMS Energy Corp. | |||
4.88%, 03/01/44 (a) | 551,000 | 501,289 | |
CNH Industrial Capital LLC | |||
1.95%, 07/02/23 (a) | 772,000 | 772,000 | |
Coca-Cola Co. | |||
2.60%, 06/01/50 (a) | 341,000 | 239,003 | |
2.75%, 06/01/60 (a) | 264,000 | 182,107 | |
Comcast Corp. | |||
2.65%, 08/15/62 (a) | 253,000 | 150,489 | |
2.80%, 01/15/51 (a) | 287,000 | 189,793 | |
2.89%, 11/01/51 (a) | 267,000 | 179,082 | |
2.94%, 11/01/56 (a) | 223,000 | 145,264 | |
2.99%, 11/01/63 (a) | 212,000 | 134,321 | |
3.20%, 07/15/36 (a) | 311,000 | 255,558 | |
3.25%, 11/01/39 (a) | 500,000 | 396,690 | |
3.97%, 11/01/47 (a) | 344,000 | 285,740 | |
4.15%, 10/15/28 (a) | 341,000 | 330,422 | |
CommonSpirit Health | |||
4.35%, 11/01/42 | 1,029,000 | 881,946 | |
Commonwealth Bank of Australia | |||
3.78%, 03/14/32 (a)(g) | 800,000 | 668,600 |
See Notes to Schedule of Investments.
State Street Income Fund | 5 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Conagra Brands, Inc. | |||
5.30%, 11/01/38 (a) | $154,000 | $147,974 | |
5.40%, 11/01/48 (a) | 133,000 | 126,764 | |
ConocoPhillips Co. | |||
4.30%, 11/15/44 (a) | 313,000 | 276,132 | |
Consolidated Edison Co. of New York, Inc. | |||
2.90%, 12/01/26 (a) | 417,000 | 380,467 | |
3.35%, 04/01/30 (a) | 160,000 | 145,674 | |
3.88%, 06/15/47 (a) | 191,000 | 149,998 | |
3.95%, 04/01/50 (a) | 268,000 | 218,538 | |
Constellation Brands, Inc. | |||
3.15%, 08/01/29 (a) | 700,000 | 632,002 | |
3.70%, 12/06/26 (a) | 326,000 | 310,623 | |
4.50%, 05/09/47 (a) | 253,000 | 218,476 | |
Continental Resources, Inc. | |||
2.88%, 04/01/32 (a)(g) | 558,000 | 429,532 | |
3.80%, 06/01/24 (a) | 2,677,000 | 2,623,406 | |
Corebridge Financial, Inc. | |||
3.90%, 04/05/32 (a) | 1,663,000 | 1,448,257 | |
Corning, Inc. | |||
4.38%, 11/15/57 (a) | 169,000 | 137,414 | |
Corporate Office Properties LP | |||
2.00%, 01/15/29 (a) | 568,000 | 433,986 | |
2.25%, 03/15/26 (a) | 471,000 | 415,705 | |
2.75%, 04/15/31 (a) | 293,000 | 222,824 | |
Credit Suisse AG | |||
2.95%, 04/09/25 (a) | 1,080,000 | 1,015,870 | |
Crown Castle, Inc. | |||
2.90%, 03/15/27 (a) | 1,201,000 | 1,099,419 | |
3.30%, 07/01/30 (a) | 938,000 | 830,561 | |
4.15%, 07/01/50 (a) | 140,000 | 111,062 | |
5.20%, 02/15/49 (a) | 220,000 | 203,410 | |
CSL Finance PLC | |||
4.25%, 04/27/32 (a)(g) | 786,000 | 745,615 | |
CSX Corp. | |||
4.50%, 03/15/49 - 08/01/54 (a) | 499,000 | 444,989 | |
CubeSmart LP | |||
2.50%, 02/15/32 (a) | 678,000 | 538,474 | |
4.38%, 02/15/29 (a) | 505,000 | 474,266 | |
Cummins, Inc. | |||
1.50%, 09/01/30 (a) | 345,000 | 279,422 | |
2.60%, 09/01/50 (a) | 345,000 | 222,515 | |
CVS Health Corp. | |||
3.00%, 08/15/26 (a) | 423,000 | 396,554 | |
3.25%, 08/15/29 (a) | 350,000 | 314,122 | |
3.63%, 04/01/27 (a) | 398,000 | 377,686 | |
3.75%, 04/01/30 (a) | 290,000 | 265,976 | |
3.88%, 07/20/25 (a) | 245,000 | 238,228 | |
4.25%, 04/01/50 (a) | 211,000 | 174,527 | |
4.30%, 03/25/28 (a) | 35,000 | 33,752 | |
4.78%, 03/25/38 (a) | 260,000 | 239,676 | |
5.00%, 12/01/24 (a) | 570,000 | 562,761 | |
5.13%, 07/20/45 (a) | 252,000 | 232,871 | |
5.30%, 06/01/33 - 12/05/43 (a) | 1,431,000 | 1,410,609 | |
5.88%, 06/01/53 (a) | 360,000 | 369,832 | |
6.00%, 06/01/63 (a) | 175,000 | 179,886 | |
Daimler Truck Finance North America LLC | |||
2.38%, 12/14/28 (a)(g) | 845,000 | 731,669 | |
2.50%, 12/14/31 (a)(g) | 845,000 | 686,672 | |
5.13%, 01/19/28 (a)(g) | 1,392,000 | 1,380,098 |
Principal Amount | Fair Value | ||
Dell International LLC/EMC Corp. | |||
4.00%, 07/15/24 (a) | $611,000 | $600,766 | |
6.02%, 06/15/26 (a) | 104,000 | 105,492 | |
8.35%, 07/15/46 (a) | 25,000 | 30,610 | |
Deutsche Bank AG | |||
3.70%, 05/30/24 (a) | 300,000 | 291,435 | |
Deutsche Bank AG (2.31% fixed rate until 11/16/26; 1.22% +SOFR thereafter) | |||
2.31%, 11/16/27 (a)(b) | 1,870,000 | 1,608,574 | |
Deutsche Bank AG (3.74% fixed rate until 10/07/31; 2.26% + SOFR thereafter) | |||
3.74%, 01/07/33 (a)(b) | 1,000,000 | 732,430 | |
Deutsche Bank AG (7.08% fixed rate until 11/10/32; 3.65% + SOFR thereafter) | |||
7.08%, 02/10/34 (a)(b) | 810,000 | 745,597 | |
Deutsche Telekom AG | |||
3.63%, 01/21/50 (a)(g) | 309,000 | 233,808 | |
DH Europe Finance II Sarl | |||
2.60%, 11/15/29 (a) | 333,000 | 293,143 | |
3.25%, 11/15/39 (a) | 188,000 | 153,167 | |
3.40%, 11/15/49 (a) | 98,000 | 76,754 | |
Diamondback Energy, Inc. | |||
3.13%, 03/24/31 (a) | 466,000 | 398,989 | |
3.25%, 12/01/26 (a) | 292,000 | 274,588 | |
3.50%, 12/01/29 (a) | 251,000 | 226,231 | |
4.40%, 03/24/51 (a) | 231,000 | 183,185 | |
Digital Realty Trust LP | |||
3.60%, 07/01/29 (a) | 545,000 | 485,050 | |
Discover Bank | |||
2.70%, 02/06/30 (a) | 535,000 | 430,605 | |
Discovery Communications LLC | |||
3.95%, 03/20/28 (a) | 245,000 | 228,088 | |
4.95%, 05/15/42 (a) | 93,000 | 73,357 | |
5.00%, 09/20/37 (a) | 112,000 | 95,735 | |
Dollar General Corp. | |||
3.50%, 04/03/30 (a) | 199,000 | 178,238 | |
4.13%, 04/03/50 (a) | 296,000 | 231,910 | |
Dollar Tree, Inc. | |||
4.00%, 05/15/25 (a) | 393,000 | 380,766 | |
Dominion Energy, Inc. | |||
3.07%, 08/15/24 (a)(f) | 470,000 | 454,091 | |
3.38%, 04/01/30 (a) | 548,000 | 490,520 | |
Dover Corp. | |||
2.95%, 11/04/29 (a) | 342,000 | 300,659 | |
Dow Chemical Co. | |||
2.10%, 11/15/30 (a) | 262,000 | 216,483 | |
3.60%, 11/15/50 (a) | 262,000 | 195,088 | |
4.25%, 10/01/34 (a) | 161,000 | 146,591 | |
5.55%, 11/30/48 (a) | 186,000 | 180,924 | |
6.30%, 03/15/33 (a) | 668,000 | 717,839 | |
DTE Energy Co. | |||
2.85%, 10/01/26 (a) | 174,000 | 160,287 | |
Duke Energy Carolinas LLC | |||
3.95%, 03/15/48 (a) | 219,000 | 178,610 | |
Duke Energy Corp. | |||
2.55%, 06/15/31 (a) | 840,000 | 695,419 | |
3.30%, 06/15/41 (a) | 762,000 | 562,425 | |
3.50%, 06/15/51 (a) | 762,000 | 552,572 | |
3.75%, 09/01/46 (a) | 1,165,000 | 884,934 |
See Notes to Schedule of Investments.
6 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | |||
4.88%, 09/16/24 (a)(b) | $1,119,000 | $1,075,963 | |
Duke Energy Progress LLC | |||
4.15%, 12/01/44 (a) | 208,000 | 173,006 | |
DuPont de Nemours, Inc. | |||
5.42%, 11/15/48 (a) | 123,000 | 121,535 | |
Duquesne Light Holdings, Inc. | |||
3.62%, 08/01/27 (a)(g) | 575,000 | 515,815 | |
Eastman Chemical Co. | |||
4.65%, 10/15/44 (a) | 340,000 | 286,300 | |
Eaton Corp. | |||
3.10%, 09/15/27 (a) | 210,000 | 196,988 | |
Edison International | |||
4.95%, 04/15/25 (a) | 873,000 | 857,199 | |
5.75%, 06/15/27 (a) | 109,000 | 109,227 | |
EIDP, Inc. | |||
2.30%, 07/15/30 (a) | 258,000 | 215,778 | |
Electronic Arts, Inc. | |||
1.85%, 02/15/31 (a) | 431,000 | 348,498 | |
Elevance Health, Inc. | |||
2.88%, 09/15/29 (a) | 169,000 | 149,063 | |
3.60%, 03/15/51 (a) | 185,000 | 141,612 | |
3.70%, 09/15/49 (a) | 169,000 | 130,953 | |
5.13%, 02/15/53 (a) | 129,000 | 124,841 | |
6.10%, 10/15/52 (a) | 294,000 | 322,130 | |
Eli Lilly & Co. | |||
4.95%, 02/27/63 (a) | 179,000 | 182,578 | |
Emera U.S. Finance LP | |||
2.64%, 06/15/31 (a) | 848,000 | 679,028 | |
Emerson Electric Co. | |||
1.80%, 10/15/27 (a) | 223,000 | 197,694 | |
2.75%, 10/15/50 (a) | 170,000 | 113,218 | |
Enbridge Energy Partners LP | |||
5.50%, 09/15/40 (a) | 48,000 | 45,299 | |
Enbridge, Inc. | |||
1.60%, 10/04/26 (a) | 1,431,000 | 1,275,350 | |
Enbridge, Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | |||
5.75%, 07/15/80 (a)(b) | 865,000 | 782,937 | |
Energy Transfer LP | |||
4.50%, 04/15/24 (a) | 364,000 | 359,563 | |
4.95%, 06/15/28 (a) | 111,000 | 107,930 | |
5.30%, 04/01/44 - 04/15/47 (a) | 564,000 | 489,328 | |
5.35%, 05/15/45 (a) | 466,000 | 407,074 | |
5.75%, 02/15/33 (a) | 336,000 | 338,134 | |
6.13%, 12/15/45 (a) | 93,000 | 88,585 | |
6.50%, 02/01/42 (a) | 262,000 | 264,892 | |
Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | |||
6.75%, 05/15/25 (a)(b) | 2,488,000 | 2,236,538 | |
Energy Transfer LP/Regency Energy Finance Corp. | |||
4.50%, 11/01/23 (a) | 234,000 | 232,954 | |
Enterprise Products Operating LLC | |||
4.25%, 02/15/48 (a) | 490,000 | 415,402 | |
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.29% + 3 month Term SOFR) | |||
5.25%, 08/16/77 (a)(b) | 159,000 | 139,076 |
Principal Amount | Fair Value | ||
EOG Resources, Inc. | |||
4.15%, 01/15/26 (a) | $220,000 | $215,439 | |
4.95%, 04/15/50 (a) | 171,000 | 168,866 | |
5.10%, 01/15/36 (a) | 137,000 | 131,964 | |
Equinix, Inc. | |||
1.25%, 07/15/25 (a) | 644,000 | 588,094 | |
2.15%, 07/15/30 (a) | 487,000 | 394,076 | |
Equinor ASA | |||
3.25%, 11/18/49 (a) | 435,000 | 326,637 | |
ERP Operating LP | |||
4.50%, 07/01/44 (a) | 113,000 | 98,906 | |
Estee Lauder Cos., Inc. | |||
2.38%, 12/01/29 (a) | 266,000 | 229,917 | |
Everest Reinsurance Holdings, Inc. | |||
3.13%, 10/15/52 (a) | 568,000 | 375,942 | |
Eversource Energy | |||
3.45%, 01/15/50 (a) | 371,000 | 272,559 | |
Exelon Corp. | |||
4.05%, 04/15/30 (a) | 561,000 | 525,848 | |
4.45%, 04/15/46 (a) | 349,000 | 297,289 | |
4.70%, 04/15/50 (a) | 373,000 | 330,295 | |
Extra Space Storage LP | |||
3.90%, 04/01/29 (a) | 314,000 | 286,054 | |
Exxon Mobil Corp. | |||
2.61%, 10/15/30 (a) | 1,026,000 | 901,208 | |
3.45%, 04/15/51 (a) | 532,000 | 415,178 | |
FedEx Corp. | |||
4.10%, 02/01/45 (a) | 753,000 | 608,296 | |
Fidelity National Financial, Inc. | |||
3.20%, 09/17/51 (a) | 531,000 | 309,950 | |
Fidelity National Information Services, Inc. | |||
1.15%, 03/01/26 (a) | 434,000 | 387,388 | |
1.65%, 03/01/28 (a) | 392,000 | 331,381 | |
3.10%, 03/01/41 (a) | 93,000 | 64,062 | |
FirstEnergy Transmission LLC | |||
4.55%, 04/01/49 (a)(g) | 681,000 | 565,782 | |
Fiserv, Inc. | |||
3.50%, 07/01/29 (a) | 229,000 | 209,562 | |
4.40%, 07/01/49 (a) | 133,000 | 111,882 | |
Florida Power & Light Co. | |||
2.85%, 04/01/25 (a) | 941,000 | 904,819 | |
4.13%, 02/01/42 (a) | 204,000 | 179,016 | |
Flowers Foods, Inc. | |||
2.40%, 03/15/31 (a) | 416,000 | 340,130 | |
Flowserve Corp. | |||
2.80%, 01/15/32 (a) | 529,000 | 421,428 | |
Ford Motor Credit Co. LLC | |||
3.81%, 01/09/24 (a) | 945,000 | 931,742 | |
Freeport-McMoRan, Inc. | |||
4.25%, 03/01/30 (a) | 605,000 | 557,598 | |
GA Global Funding Trust | |||
1.63%, 01/15/26 (a)(g) | 627,000 | 556,168 | |
General Dynamics Corp. | |||
4.25%, 04/01/50 (a) | 262,000 | 240,228 | |
General Mills, Inc. | |||
3.00%, 02/01/51 (a) | 274,000 | 193,904 | |
General Motors Co. | |||
5.20%, 04/01/45 (a) | 51,000 | 43,486 | |
5.40%, 04/01/48 (a) | 119,000 | 102,651 | |
6.13%, 10/01/25 (a) | 655,000 | 659,271 | |
6.80%, 10/01/27 (a) | 276,000 | 286,662 | |
General Motors Financial Co., Inc. | |||
1.25%, 01/08/26 (a) | 778,000 | 695,011 |
See Notes to Schedule of Investments.
State Street Income Fund | 7 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
2.35%, 01/08/31 (a) | $341,000 | $267,668 | |
5.25%, 03/01/26 (a) | 271,000 | 266,783 | |
5.85%, 04/06/30 (a) | 2,332,000 | 2,311,735 | |
Genuine Parts Co. | |||
2.75%, 02/01/32 (a) | 358,000 | 294,022 | |
George Washington University | |||
4.13%, 09/15/48 | 905,000 | 780,572 | |
Georgia-Pacific LLC | |||
1.75%, 09/30/25 (a)(g) | 870,000 | 798,695 | |
3.60%, 03/01/25 (a)(g) | 1,527,000 | 1,473,906 | |
Gilead Sciences, Inc. | |||
2.60%, 10/01/40 (a) | 286,000 | 207,164 | |
2.95%, 03/01/27 (a) | 64,000 | 60,094 | |
3.50%, 02/01/25 (a) | 228,000 | 221,076 | |
3.65%, 03/01/26 (a) | 208,000 | 200,223 | |
4.15%, 03/01/47 (a) | 136,000 | 118,090 | |
4.60%, 09/01/35 (a) | 397,000 | 383,200 | |
GlaxoSmithKline Capital PLC | |||
3.38%, 06/01/29 (a) | 424,000 | 393,697 | |
GlaxoSmithKline Capital, Inc. | |||
3.63%, 05/15/25 (a) | 478,000 | 464,850 | |
Glencore Funding LLC | |||
3.88%, 04/27/51 (a)(g) | 430,000 | 319,069 | |
Goldman Sachs Group, Inc. | |||
3.85%, 01/26/27 (a) | 1,685,000 | 1,604,322 | |
4.25%, 10/21/25 (a) | 437,000 | 421,285 | |
5.15%, 05/22/45 (a) | 131,000 | 122,051 | |
Goldman Sachs Group, Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | |||
1.54%, 09/10/27 (a)(b) | 631,000 | 554,933 | |
Goldman Sachs Group, Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) | |||
2.38%, 07/21/32 (a)(b) | 343,000 | 274,349 | |
Goldman Sachs Group, Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) | |||
2.91%, 07/21/42 (a)(b) | 281,000 | 198,206 | |
Goldman Sachs Group, Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | |||
3.21%, 04/22/42 (a)(b) | 427,000 | 315,442 | |
Goldman Sachs Group, Inc. (3.44% fixed rate until 02/24/42; 1.63% + SOFR thereafter) | |||
3.44%, 02/24/43 (a)(b) | 721,000 | 547,628 | |
Goldman Sachs Group, Inc. (3.81% fixed rate until 04/23/28; 1.42% + 3 month Term SOFR) | |||
3.81%, 04/23/29 (a)(b) | 198,000 | 183,993 | |
Goldman Sachs Group, Inc. (4.02% fixed rate until 10/31/37; 1.63% + 3 month Term SOFR) | |||
4.02%, 10/31/38 (a)(b) | 205,000 | 173,533 | |
Goldman Sachs Group, Inc. (4.22% fixed rate until 05/01/28; 1.56% + 3 month Term SOFR) | |||
4.22%, 05/01/29 (a)(b) | 326,000 | 307,985 | |
Graphic Packaging International LLC | |||
1.51%, 04/15/26 (a)(g) | 528,000 | 471,277 |
Principal Amount | Fair Value | ||
Gray Oak Pipeline LLC | |||
2.00%, 09/15/23 (a)(g) | $1,207,000 | $1,197,284 | |
2.60%, 10/15/25 (a)(g) | 790,000 | 725,299 | |
Haleon U.S. Capital LLC | |||
3.38%, 03/24/27 (a) | 1,465,000 | 1,371,474 | |
3.63%, 03/24/32 (a) | 610,000 | 547,054 | |
4.00%, 03/24/52 (a) | 250,000 | 207,478 | |
Halliburton Co. | |||
3.80%, 11/15/25 (a) | 3,000 | 2,898 | |
5.00%, 11/15/45 (a) | 148,000 | 133,958 | |
Hartford Financial Services Group, Inc. | |||
2.80%, 08/19/29 (a) | 739,000 | 638,215 | |
Hartford Financial Services Group, Inc. (7.45% fixed rate until 07/31/23; 2.13% + 3 month USD LIBOR thereafter) | |||
7.45%, 02/12/67 (a)(b)(g) | 476,000 | 397,893 | |
HCA, Inc. | |||
3.13%, 03/15/27 (a)(g) | 1,101,000 | 1,011,070 | |
3.50%, 09/01/30 (a) | 392,000 | 343,372 | |
3.63%, 03/15/32 (a)(g) | 310,000 | 269,164 | |
4.63%, 03/15/52 (a)(g) | 396,000 | 325,171 | |
5.38%, 02/01/25 (a) | 2,957,000 | 2,931,599 | |
Health Care Service Corp. A Mutual Legal Reserve Co. | |||
2.20%, 06/01/30 (a)(g) | 474,000 | 391,567 | |
3.20%, 06/01/50 (a)(g) | 171,000 | 121,005 | |
Healthcare Realty Holdings LP | |||
2.00%, 03/15/31 (a) | 282,000 | 216,449 | |
Helmerich & Payne, Inc. | |||
2.90%, 09/29/31 (a) | 285,000 | 229,941 | |
Hess Corp. | |||
5.60%, 02/15/41 | 76,000 | 72,708 | |
5.80%, 04/01/47 (a) | 47,000 | 45,701 | |
Hewlett Packard Enterprise Co. | |||
6.35%, 10/15/45 (a) | 82,000 | 85,371 | |
Highwoods Realty LP | |||
4.13%, 03/15/28 (a) | 205,000 | 179,603 | |
4.20%, 04/15/29 (a) | 500,000 | 424,440 | |
Home Depot, Inc. | |||
2.70%, 04/15/30 (a) | 196,000 | 174,158 | |
3.35%, 04/15/50 (a) | 341,000 | 260,313 | |
3.50%, 09/15/56 (a) | 186,000 | 143,274 | |
3.90%, 12/06/28 - 06/15/47 (a) | 387,000 | 350,616 | |
4.50%, 12/06/48 (a) | 149,000 | 138,165 | |
4.95%, 09/15/52 (a) | 219,000 | 217,375 | |
Honeywell International, Inc. | |||
1.75%, 09/01/31 (a) | 534,000 | 428,450 | |
2.70%, 08/15/29 (a) | 388,000 | 345,456 | |
Hormel Foods Corp. | |||
1.80%, 06/11/30 (a) | 694,000 | 579,761 | |
HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% +SOFR thereafter) | |||
2.01%, 09/22/28 (a)(b) | 1,115,000 | 955,142 | |
HSBC Holdings PLC (2.25% fixed rate until 11/22/26; 1.10% + SOFR thereafter) | |||
2.25%, 11/22/27 (a)(b) | 1,045,000 | 927,187 | |
HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | |||
2.87%, 11/22/32 (a)(b) | 520,000 | 420,092 |
See Notes to Schedule of Investments.
8 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
HSBC Holdings PLC (3.00% fixed rate until 03/10/25; 1.43% + SOFR thereafter) | |||
3.00%, 03/10/26 (a)(b) | $1,095,000 | $1,039,626 | |
HSBC Holdings PLC (4.00% fixed rate until 03/09/26; 3.22% + 5 year CMT Rate thereafter) | |||
4.00%, 03/09/26 (a)(b) | 924,000 | 783,044 | |
HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.61% + 3 month Term SOFR) | |||
4.29%, 09/12/26 (a)(b) | 1,167,000 | 1,122,187 | |
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + 5 year US ISDA thereafter) | |||
6.00%, 05/22/27 (a)(b) | 801,000 | 710,703 | |
HSBC Holdings PLC (8.11% fixed rate until 11/03/32; 4.25% + SOFR thereafter) | |||
8.11%, 11/03/33 (a)(b) | 1,000,000 | 1,109,010 | |
Humana, Inc. | |||
1.35%, 02/03/27 (a) | 855,000 | 744,149 | |
2.15%, 02/03/32 (a) | 429,000 | 338,498 | |
Huntington Bancshares, Inc. | |||
2.55%, 02/04/30 (a) | 681,000 | 545,828 | |
Huntington Ingalls Industries, Inc. | |||
2.04%, 08/16/28 (a) | 929,000 | 781,493 | |
Huntsman International LLC | |||
4.50%, 05/01/29 (a) | 721,000 | 660,140 | |
Hyundai Capital America | |||
1.30%, 01/08/26 (a)(g) | 1,306,000 | 1,168,295 | |
Imperial Brands Finance PLC | |||
3.13%, 07/26/24 (a)(g) | 844,000 | 815,464 | |
3.50%, 07/26/26 (a)(g) | 388,000 | 360,126 | |
6.13%, 07/27/27 (g) | 500,000 | 501,600 | |
Indiana Michigan Power Co. | |||
3.25%, 05/01/51 (a) | 378,000 | 264,358 | |
ING Groep NV (6.10% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | |||
6.10%, 04/01/27 (a)(b) | 836,000 | 822,825 | |
Ingredion, Inc. | |||
3.90%, 06/01/50 (a) | 180,000 | 133,727 | |
Intel Corp. | |||
2.00%, 08/12/31 (a) | 530,000 | 432,183 | |
2.45%, 11/15/29 (a) | 656,000 | 568,614 | |
2.80%, 08/12/41 (a) | 613,000 | 437,112 | |
3.10%, 02/15/60 (a) | 312,000 | 199,696 | |
5.63%, 02/10/43 (a) | 724,000 | 735,765 | |
5.70%, 02/10/53 (a) | 512,000 | 521,544 | |
5.90%, 02/10/63 (a) | 390,000 | 402,207 | |
Intercontinental Exchange, Inc. | |||
1.85%, 09/15/32 (a) | 172,000 | 132,437 | |
2.65%, 09/15/40 (a) | 115,000 | 81,789 | |
International Business Machines Corp. | |||
3.45%, 02/19/26 (a) | 601,000 | 575,848 | |
4.15%, 05/15/39 (a) | 470,000 | 412,195 | |
4.25%, 05/15/49 (a) | 227,000 | 193,463 | |
International Paper Co. | |||
4.40%, 08/15/47 (a) | 253,000 | 212,953 | |
Interstate Power & Light Co. | |||
3.40%, 08/15/25 (a) | 1,457,000 | 1,379,764 | |
ITC Holdings Corp. | |||
2.95%, 05/14/30 (a)(g) | 934,000 | 803,240 |
Principal Amount | Fair Value | ||
JAB Holdings BV | |||
2.20%, 11/23/30 (a)(g) | $498,000 | $391,667 | |
Jabil, Inc. | |||
3.95%, 01/12/28 (a) | 266,000 | 248,471 | |
4.25%, 05/15/27 (a) | 1,436,000 | 1,369,125 | |
Jacobs Engineering Group, Inc. | |||
5.90%, 03/01/33 (a) | 1,766,000 | 1,733,064 | |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | |||
5.13%, 02/01/28 (a)(g) | 1,085,000 | 1,041,003 | |
5.75%, 04/01/33 (a)(g) | 361,000 | 339,983 | |
John Deere Capital Corp. | |||
2.45%, 01/09/30 (a) | 609,000 | 534,726 | |
3.90%, 06/07/32 (a) | 291,000 | 274,812 | |
Johnson & Johnson | |||
3.63%, 03/03/37 (a) | 186,000 | 167,383 | |
Johnson Controls International PLC | |||
4.50%, 02/15/47 (a) | 108,000 | 94,323 | |
JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | |||
1.58%, 04/22/27 (a)(b) | 965,000 | 866,831 | |
JPMorgan Chase & Co. (2.96% fixed rate until 01/25/32; 1.26% + SOFR thereafter) | |||
2.96%, 01/25/33 (a)(b) | 3,357,000 | 2,829,783 | |
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + 3 month Term SOFR) | |||
2.96%, 05/13/31 (a)(b) | 558,000 | 477,475 | |
JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | |||
3.16%, 04/22/42 (a)(b) | 466,000 | 351,686 | |
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.62% + 3 month Term SOFR) | |||
3.88%, 07/24/38 (a)(b) | 365,000 | 314,926 | |
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.48% + 3 month Term SOFR) | |||
3.90%, 01/23/49 (a)(b) | 1,093,000 | 883,286 | |
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.51% + 3 month Term SOFR) | |||
3.96%, 01/29/27 (a)(b) | 613,000 | 590,055 | |
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.38% + 3 month Term SOFR) | |||
4.01%, 04/23/29 (a)(b) | 253,000 | 238,523 | |
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.72% + 3 month Term SOFR) | |||
4.03%, 07/24/48 (a)(b) | 247,000 | 205,351 | |
JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + 3 month Term SOFR) | |||
4.49%, 03/24/31 (a)(b) | 850,000 | 816,476 |
See Notes to Schedule of Investments.
State Street Income Fund | 9 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + 3 month Term SOFR) | |||
4.60%, 02/01/25 (a)(b) | $955,000 | $891,359 | |
Kaiser Foundation Hospitals | |||
3.00%, 06/01/51 (a) | 521,000 | 365,315 | |
3.27%, 11/01/49 (a) | 693,000 | 515,336 | |
Kenvue, Inc. | |||
4.90%, 03/22/33 (a)(g) | 3,958,000 | 4,002,171 | |
5.05%, 03/22/53 (a)(g) | 987,000 | 1,006,158 | |
5.20%, 03/22/63 (a)(g) | 299,000 | 306,041 | |
Keurig Dr Pepper, Inc. | |||
3.20%, 05/01/30 (a) | 381,000 | 341,761 | |
3.80%, 05/01/50 (a) | 290,000 | 228,897 | |
KeyBank NA | |||
4.90%, 08/08/32 (a) | 1,000,000 | 789,460 | |
KeyBank NA (5.41% fixed rate until 07/31/23; 0.32% + SOFR thereafter) | |||
5.41%, 06/14/24 (a)(b) | 2,700,000 | 2,621,727 | |
Kinder Morgan Energy Partners LP | |||
4.70%, 11/01/42 (a) | 65,000 | 53,986 | |
5.00%, 03/01/43 (a) | 130,000 | 112,090 | |
6.38%, 03/01/41 (a) | 112,000 | 112,458 | |
Kinder Morgan, Inc. | |||
1.75%, 11/15/26 (a) | 1,663,000 | 1,473,302 | |
5.05%, 02/15/46 (a) | 105,000 | 89,854 | |
5.20%, 06/01/33 (a) | 377,000 | 365,151 | |
KLA Corp. | |||
3.30%, 03/01/50 (a) | 340,000 | 255,993 | |
Kraft Heinz Foods Co. | |||
5.20%, 07/15/45 (a) | 540,000 | 512,260 | |
Kroger Co. | |||
2.20%, 05/01/30 (a) | 307,000 | 254,079 | |
4.65%, 01/15/48 (a) | 127,000 | 111,705 | |
Kyndryl Holdings, Inc. | |||
2.05%, 10/15/26 (a) | 664,000 | 576,711 | |
2.70%, 10/15/28 (a) | 1,142,000 | 929,394 | |
L3Harris Technologies, Inc. | |||
3.85%, 12/15/26 (a) | 276,000 | 263,191 | |
Lear Corp. | |||
4.25%, 05/15/29 (a) | 227,000 | 213,053 | |
Leidos, Inc. | |||
3.63%, 05/15/25 (a) | 285,000 | 273,289 | |
4.38%, 05/15/30 (a) | 1,243,000 | 1,145,126 | |
5.75%, 03/15/33 (a) | 676,000 | 672,688 | |
Liberty Mutual Group, Inc. | |||
3.95%, 05/15/60 (a)(g) | 171,000 | 120,770 | |
Life Storage LP | |||
2.20%, 10/15/30 (a) | 482,000 | 384,795 | |
Lincoln National Corp. | |||
4.35%, 03/01/48 (a) | 545,000 | 393,517 | |
Lincoln National Corp. (9.25% fixed rate until 12/01/27; 5.32% + 5 year CMT Rate thereafter) | |||
9.25%, 12/01/27 (a)(b) | 720,000 | 761,119 | |
Lloyds Banking Group PLC | |||
3.75%, 01/11/27 (a) | 372,000 | 348,605 | |
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 | 753,472 | |
Lockheed Martin Corp. | |||
3.55%, 01/15/26 (a) | 122,000 | 118,436 |
Principal Amount | Fair Value | ||
3.80%, 03/01/45 (a) | $98,000 | $82,578 | |
4.50%, 05/15/36 (a) | 312,000 | 301,155 | |
Lowe's Cos., Inc. | |||
1.30%, 04/15/28 (a) | 227,000 | 192,010 | |
1.70%, 09/15/28 - 10/15/30 (a) | 705,000 | 591,076 | |
3.00%, 10/15/50 (a) | 344,000 | 225,368 | |
3.70%, 04/15/46 (a) | 121,000 | 92,385 | |
4.05%, 05/03/47 (a) | 289,000 | 232,330 | |
5.63%, 04/15/53 (a) | 540,000 | 539,179 | |
LYB International Finance III LLC | |||
1.25%, 10/01/25 (a) | 270,000 | 244,274 | |
3.63%, 04/01/51 (a) | 172,000 | 119,361 | |
3.80%, 10/01/60 (a) | 171,000 | 115,439 | |
M&T Bank Corp. (5.05% fixed rate until 01/27/33; 1.85% +SOFR thereafter) | |||
5.05%, 01/27/34 (a)(b) | 2,418,000 | 2,206,159 | |
Marsh & McLennan Cos., Inc. | |||
2.90%, 12/15/51 (a) | 335,000 | 224,644 | |
Masco Corp. | |||
3.50%, 11/15/27 (a) | 99,000 | 92,642 | |
McCormick & Co., Inc. | |||
1.85%, 02/15/31 (a) | 247,000 | 195,733 | |
3.25%, 11/15/25 (a) | 2,468,000 | 2,333,074 | |
McDonald's Corp. | |||
3.60%, 07/01/30 (a) | 512,000 | 476,385 | |
3.63%, 09/01/49 (a) | 208,000 | 164,122 | |
Medtronic Global Holdings SCA | |||
4.50%, 03/30/33 (a) | 2,383,000 | 2,335,650 | |
Medtronic, Inc. | |||
4.63%, 03/15/45 (a) | 45,000 | 43,726 | |
Memorial Sloan-Kettering Cancer Center | |||
4.13%, 07/01/52 (a) | 593,000 | 502,953 | |
Mercedes-Benz Finance North America LLC | |||
5.38%, 11/26/25 (a)(g) | 1,788,000 | 1,788,644 | |
Merck & Co., Inc. | |||
1.90%, 12/10/28 (a) | 992,000 | 866,502 | |
2.45%, 06/24/50 (a) | 468,000 | 306,521 | |
2.75%, 12/10/51 (a) | 330,000 | 227,736 | |
2.90%, 12/10/61 (a) | 184,000 | 122,253 | |
4.00%, 03/07/49 (a) | 124,000 | 109,625 | |
4.50%, 05/17/33 (a) | 1,400,000 | 1,389,444 | |
5.00%, 05/17/53 (a) | 397,000 | 401,966 | |
Meta Platforms, Inc. | |||
3.85%, 08/15/32 (a) | 1,087,000 | 1,009,595 | |
4.45%, 08/15/52 (a) | 725,000 | 631,352 | |
MetLife, Inc. | |||
4.72%, 12/15/44 (a) | 196,000 | 174,230 | |
Microchip Technology, Inc. | |||
2.67%, 09/01/23 (a) | 2,391,000 | 2,378,160 | |
Micron Technology, Inc. | |||
3.37%, 11/01/41 (a) | 444,000 | 309,703 | |
3.48%, 11/01/51 (a) | 620,000 | 413,131 | |
Microsoft Corp. | |||
2.40%, 08/08/26 (a) | 244,000 | 228,992 | |
2.68%, 06/01/60 (a) | 137,000 | 91,760 | |
2.92%, 03/17/52 (a) | 1,038,000 | 771,421 | |
3.45%, 08/08/36 (a) | 92,000 | 83,879 | |
3.50%, 02/12/35 (a) | 248,000 | 232,073 | |
Mid-America Apartments LP | |||
2.88%, 09/15/51 (a) | 529,000 | 343,247 |
See Notes to Schedule of Investments.
10 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Mitsubishi UFJ Financial Group, Inc. | |||
2.80%, 07/18/24 (a) | $1,191,000 | $1,153,650 | |
Mizuho Financial Group, Inc. | |||
2.84%, 09/13/26 (a) | 3,618,000 | 3,313,111 | |
Mizuho Financial Group, Inc. (3.92% fixed rate until 09/11/23; 1.26% + 1 month Term SOFR) | |||
3.92%, 09/11/24 (a)(b) | 1,105,000 | 1,099,630 | |
Molson Coors Beverage Co. | |||
4.20%, 07/15/46 (a) | 109,000 | 89,807 | |
Morgan Stanley | |||
3.63%, 01/20/27 (a) | 243,000 | 230,835 | |
3.97%, 07/22/38 (a)(b) | 231,000 | 195,957 | |
4.35%, 09/08/26 (a) | 685,000 | 661,607 | |
4.38%, 01/22/47 (a) | 258,000 | 230,466 | |
Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | |||
1.51%, 07/20/27 (a)(b) | 531,000 | 470,519 | |
Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | |||
2.48%, 09/16/36 (a)(b) | 2,124,000 | 1,607,656 | |
Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | |||
2.80%, 01/25/52 (a)(b) | 1,180,000 | 775,048 | |
Morgan Stanley (2.94% fixed rate until 01/21/32; 1.29% + SOFR thereafter) | |||
2.94%, 01/21/33 (a)(b) | 1,680,000 | 1,396,332 | |
MPLX LP | |||
2.65%, 08/15/30 (a) | 394,000 | 330,007 | |
5.20%, 12/01/47 (a) | 119,000 | 104,242 | |
Mylan, Inc. | |||
5.20%, 04/15/48 (a) | 170,000 | 132,252 | |
Nasdaq, Inc. | |||
5.95%, 08/15/53 (a) | 260,000 | 266,102 | |
6.10%, 06/28/63 (a) | 355,000 | 363,264 | |
National Australia Bank Ltd. (3.35% fixed rate until 01/12/32; 1.70% + 5 year CMT Rate thereafter) | |||
3.35%, 01/12/37 (a)(b)(g) | 1,246,000 | 982,994 | |
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 | 539,476 | |
NewMarket Corp. | |||
2.70%, 03/18/31 (a) | 351,000 | 287,209 | |
Newmont Corp. | |||
4.88%, 03/15/42 (a) | 198,000 | 183,982 | |
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) | 340,000 | 316,268 | |
NGPL PipeCo LLC | |||
3.25%, 07/15/31 (a)(g) | 551,000 | 454,619 | |
NIKE, Inc. | |||
3.38%, 03/27/50 (a) | 168,000 | 136,075 | |
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 | 690,014 |
Principal Amount | Fair Value | ||
NiSource, Inc. | |||
3.60%, 05/01/30 (a) | $381,000 | $343,216 | |
3.95%, 03/30/48 (a) | 111,000 | 89,083 | |
5.25%, 03/30/28 (a) | 2,777,000 | 2,779,777 | |
NNN REIT, Inc. | |||
4.00%, 11/15/25 (a) | 320,000 | 304,605 | |
Norfolk Southern Corp. | |||
3.95%, 10/01/42 (a) | 215,000 | 176,244 | |
Northern Trust Corp. | |||
6.13%, 11/02/32 (a) | 724,000 | 750,267 | |
Northwestern Mutual Life Insurance Co. | |||
3.45%, 03/30/51 (a)(g) | 907,000 | 648,786 | |
NOV, Inc. | |||
3.60%, 12/01/29 (a) | 510,000 | 454,787 | |
Novant Health, Inc. | |||
3.32%, 11/01/61 (a) | 363,000 | 251,036 | |
Novartis Capital Corp. | |||
2.20%, 08/14/30 (a) | 558,000 | 482,999 | |
3.00%, 11/20/25 (a) | 48,000 | 45,930 | |
Nutrien Ltd. | |||
4.90%, 03/27/28 - 06/01/43 (a) | 2,068,000 | 2,014,271 | |
NVIDIA Corp. | |||
2.85%, 04/01/30 (a) | 171,000 | 155,092 | |
3.50%, 04/01/50 (a) | 227,000 | 184,390 | |
NXP BV/NXP Funding LLC/NXP USA, Inc. | |||
3.25%, 11/30/51 (a) | 880,000 | 589,054 | |
Occidental Petroleum Corp. | |||
6.13%, 01/01/31 (a) | 1,192,000 | 1,210,250 | |
Oklahoma Gas & Electric Co. | |||
3.25%, 04/01/30 (a) | 313,000 | 278,583 | |
Oncor Electric Delivery Co. LLC | |||
3.80%, 09/30/47 (a) | 124,000 | 99,697 | |
ONEOK, Inc. | |||
4.35%, 03/15/29 (a) | 317,000 | 294,969 | |
6.10%, 11/15/32 (a) | 520,000 | 528,965 | |
Oracle Corp. | |||
1.65%, 03/25/26 (a) | 634,000 | 575,735 | |
2.30%, 03/25/28 (a) | 234,000 | 206,435 | |
2.65%, 07/15/26 (a) | 354,000 | 327,779 | |
2.88%, 03/25/31 (a) | 338,000 | 288,064 | |
2.95%, 04/01/30 (a) | 513,000 | 447,828 | |
3.60%, 04/01/50 (a) | 341,000 | 243,491 | |
3.65%, 03/25/41 (a) | 373,000 | 287,303 | |
3.80%, 11/15/37 (a) | 108,000 | 88,312 | |
3.95%, 03/25/51 (a) | 374,000 | 282,392 | |
4.00%, 07/15/46 - 11/15/47 (a) | 511,000 | 393,359 | |
4.10%, 03/25/61 (a) | 443,000 | 325,982 | |
5.55%, 02/06/53 (a) | 327,000 | 316,824 | |
6.15%, 11/09/29 (a) | 1,272,000 | 1,325,030 | |
6.90%, 11/09/52 (a) | 343,000 | 384,356 | |
Otis Worldwide Corp. | |||
2.06%, 04/05/25 (a) | 590,000 | 556,293 | |
2.57%, 02/15/30 (a) | 210,000 | 181,096 | |
3.36%, 02/15/50 (a) | 199,000 | 145,674 | |
Owens Corning | |||
4.40%, 01/30/48 (a) | 146,000 | 120,859 | |
Pacific Gas & Electric Co. | |||
2.10%, 08/01/27 (a) | 313,000 | 268,448 | |
2.50%, 02/01/31 (a) | 560,000 | 439,303 | |
3.00%, 06/15/28 (a) | 528,000 | 457,306 | |
3.30%, 08/01/40 (a) | 560,000 | 377,944 |
See Notes to Schedule of Investments.
State Street Income Fund | 11 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
3.50%, 08/01/50 (a) | $244,000 | $155,621 | |
4.30%, 03/15/45 (a) | 373,000 | 265,904 | |
PacifiCorp | |||
2.70%, 09/15/30 (a) | 339,000 | 282,421 | |
2.90%, 06/15/52 (a) | 844,000 | 526,749 | |
6.25%, 10/15/37 (a) | 528,000 | 527,857 | |
Packaging Corp. of America | |||
3.05%, 10/01/51 (a) | 463,000 | 306,631 | |
Paramount Global | |||
2.90%, 01/15/27 (a) | 159,000 | 143,022 | |
3.70%, 06/01/28 (a) | 154,000 | 137,063 | |
5.25%, 04/01/44 (a) | 58,000 | 44,063 | |
Parker-Hannifin Corp. | |||
3.25%, 06/14/29 (a) | 306,000 | 278,451 | |
4.50%, 09/15/29 (a) | 541,000 | 526,041 | |
PayPal Holdings, Inc. | |||
2.65%, 10/01/26 (a) | 451,000 | 419,385 | |
3.25%, 06/01/50 (a) | 259,000 | 187,446 | |
PepsiCo, Inc. | |||
1.63%, 05/01/30 (a) | 328,000 | 273,070 | |
2.63%, 07/29/29 (a) | 441,000 | 397,359 | |
2.75%, 10/21/51 (a) | 815,000 | 585,537 | |
Petroleos Mexicanos | |||
6.70%, 02/16/32 (a) | 1,516,000 | 1,154,904 | |
7.69%, 01/23/50 (a) | 879,000 | 595,206 | |
Pfizer Investment Enterprises Pte. Ltd. | |||
4.45%, 05/19/28 (a) | 2,164,000 | 2,128,445 | |
4.75%, 05/19/33 (a) | 1,267,000 | 1,262,756 | |
5.30%, 05/19/53 (a) | 253,000 | 263,434 | |
5.34%, 05/19/63 (a) | 794,000 | 803,536 | |
Pfizer, Inc. | |||
2.70%, 05/28/50 (a) | 662,000 | 466,121 | |
3.90%, 03/15/39 (a) | 209,000 | 187,120 | |
4.13%, 12/15/46 (a) | 142,000 | 127,659 | |
4.40%, 05/15/44 (a) | 87,000 | 82,564 | |
Philip Morris International, Inc. | |||
1.50%, 05/01/25 (a) | 362,000 | 338,593 | |
2.10%, 05/01/30 (a) | 172,000 | 142,375 | |
3.38%, 08/15/29 (a) | 253,000 | 228,520 | |
4.13%, 03/04/43 (a) | 99,000 | 80,842 | |
5.13%, 02/15/30 (a) | 2,165,000 | 2,141,293 | |
5.38%, 02/15/33 (a) | 721,000 | 719,709 | |
5.63%, 11/17/29 (a) | 554,000 | 564,482 | |
Phillips 66 Co. | |||
2.15%, 12/15/30 (a) | 1,889,000 | 1,541,877 | |
3.15%, 12/15/29 (a) | 968,000 | 844,948 | |
3.30%, 03/15/52 (a) | 563,000 | 387,198 | |
3.75%, 03/01/28 (a) | 129,000 | 120,944 | |
4.68%, 02/15/45 (a) | 219,000 | 187,057 | |
Pilgrim's Pride Corp. | |||
6.25%, 07/01/33 (a) | 698,000 | 679,028 | |
Pioneer Natural Resources Co. | |||
1.13%, 01/15/26 (a) | 1,021,000 | 920,472 | |
2.15%, 01/15/31 (a) | 299,000 | 244,851 | |
Plains All American Pipeline LP/PAA Finance Corp. | |||
3.55%, 12/15/29 (a) | 495,000 | 435,912 | |
PPL Capital Funding, Inc. | |||
3.10%, 05/15/26 (a) | 410,000 | 387,290 | |
Precision Castparts Corp. | |||
4.38%, 06/15/45 (a) | 199,000 | 177,884 | |
Progressive Corp. | |||
3.00%, 03/15/32 (a) | 718,000 | 627,475 |
Principal Amount | Fair Value | ||
3.70%, 03/15/52 (a) | $121,000 | $95,349 | |
Prologis LP | |||
3.05%, 03/01/50 (a) | 148,000 | 102,121 | |
3.25%, 06/30/26 (a) | 199,000 | 188,616 | |
Prospect Capital Corp. | |||
3.36%, 11/15/26 (a) | 622,000 | 523,892 | |
Prudential Financial, Inc. | |||
3.94%, 12/07/49 (a) | 344,000 | 274,061 | |
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) | 402,000 | 386,217 | |
Public Service Co. of Colorado | |||
3.70%, 06/15/28 (a) | 398,000 | 377,511 | |
PVH Corp. | |||
4.63%, 07/10/25 (a) | 990,000 | 956,528 | |
QUALCOMM, Inc. | |||
4.30%, 05/20/47 (a) | 61,000 | 55,231 | |
4.50%, 05/20/52 (a) | 722,000 | 657,042 | |
Quanta Services, Inc. | |||
2.35%, 01/15/32 (a) | 570,000 | 448,658 | |
3.05%, 10/01/41 (a) | 618,000 | 428,923 | |
Quest Diagnostics, Inc. | |||
2.95%, 06/30/30 (a) | 136,000 | 119,636 | |
Raytheon Technologies Corp. | |||
1.90%, 09/01/31 (a) | 673,000 | 537,821 | |
2.82%, 09/01/51 (a) | 399,000 | 267,940 | |
3.13%, 05/04/27 (a) | 515,000 | 482,004 | |
3.50%, 03/15/27 (a) | 268,000 | 254,884 | |
3.95%, 08/16/25 (a) | 219,000 | 214,563 | |
4.15%, 05/15/45 (a) | 208,000 | 177,339 | |
4.45%, 11/16/38 (a) | 172,000 | 158,620 | |
Realty Income Corp. | |||
2.85%, 12/15/32 (a) | 323,000 | 263,290 | |
3.00%, 01/15/27 (a) | 99,000 | 91,466 | |
3.25%, 01/15/31 (a) | 328,000 | 286,810 | |
Regeneron Pharmaceuticals, Inc. | |||
1.75%, 09/15/30 (a) | 663,000 | 528,438 | |
Regions Financial Corp. | |||
1.80%, 08/12/28 (a) | 1,330,000 | 1,083,019 | |
Reliance Industries Ltd. | |||
3.63%, 01/12/52 (a)(g) | 1,000,000 | 713,730 | |
RenaissanceRe Holdings Ltd. | |||
5.75%, 06/05/33 (a) | 1,297,000 | 1,270,308 | |
Republic Services, Inc. | |||
2.38%, 03/15/33 (a) | 932,000 | 758,946 | |
5.00%, 04/01/34 (a) | 661,000 | 658,898 | |
Reynolds American, Inc. | |||
4.45%, 06/12/25 (a) | 23,000 | 22,359 | |
Rio Tinto Finance USA Ltd. | |||
2.75%, 11/02/51 (a) | 501,000 | 342,519 | |
Rio Tinto Finance USA PLC | |||
4.13%, 08/21/42 | 125,000 | 109,814 | |
Rockwell Automation, Inc. | |||
2.80%, 08/15/61 (a) | 184,000 | 120,209 | |
4.20%, 03/01/49 (a) | 236,000 | 211,097 | |
Rogers Communications, Inc. | |||
5.00%, 03/15/44 (a) | 93,000 | 82,341 | |
Roper Technologies, Inc. | |||
2.95%, 09/15/29 (a) | 357,000 | 315,899 | |
Ross Stores, Inc. | |||
4.70%, 04/15/27 (a) | 129,000 | 125,727 | |
Royalty Pharma PLC | |||
0.75%, 09/02/23 (a) | 426,000 | 421,940 |
See Notes to Schedule of Investments.
12 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
1.20%, 09/02/25 (a) | $568,000 | $512,944 | |
1.75%, 09/02/27 (a) | 287,000 | 247,084 | |
2.20%, 09/02/30 (a) | 122,000 | 98,140 | |
3.30%, 09/02/40 (a) | 73,000 | 51,972 | |
RPM International, Inc. | |||
3.75%, 03/15/27 (a) | 188,000 | 176,477 | |
Ryder System, Inc. | |||
2.90%, 12/01/26 (a) | 872,000 | 798,011 | |
Salesforce, Inc. | |||
1.95%, 07/15/31 (a) | 583,000 | 481,290 | |
2.70%, 07/15/41 (a) | 578,000 | 423,477 | |
Saudi Arabian Oil Co. | |||
3.50%, 04/16/29 (a)(g) | 1,243,000 | 1,146,580 | |
4.38%, 04/16/49 (a)(g) | 256,000 | 218,504 | |
Schlumberger Holdings Corp. | |||
3.90%, 05/17/28 (a)(g) | 386,000 | 363,635 | |
Schlumberger Investment SA | |||
4.85%, 05/15/33 (a) | 1,492,000 | 1,470,739 | |
Sealed Air Corp. | |||
1.57%, 10/15/26 (a)(g) | 2,102,000 | 1,829,875 | |
Selective Insurance Group, Inc. | |||
5.38%, 03/01/49 (a) | 148,000 | 136,487 | |
Sempra Energy | |||
3.80%, 02/01/38 (a) | 140,000 | 115,984 | |
4.00%, 02/01/48 (a) | 152,000 | 118,215 | |
Sempra Energy (4.13% fixed rate until 01/01/27; 2.87% + 5 year CMT Rate thereafter) | |||
4.13%, 04/01/52 (a)(b) | 931,000 | 753,766 | |
Shell International Finance BV | |||
3.13%, 11/07/49 (a) | 574,000 | 418,073 | |
3.75%, 09/12/46 (a) | 99,000 | 80,818 | |
Shire Acquisitions Investments Ireland DAC | |||
2.88%, 09/23/23 (a) | 122,000 | 121,137 | |
3.20%, 09/23/26 (a) | 104,000 | 97,612 | |
Simon Property Group LP | |||
3.38%, 06/15/27 (a) | 236,000 | 219,376 | |
Sonoco Products Co. | |||
2.85%, 02/01/32 (a) | 651,000 | 542,348 | |
Southern California Edison Co. | |||
4.00%, 04/01/47 (a) | 672,000 | 535,564 | |
4.20%, 03/01/29 (a) | 511,000 | 485,833 | |
Southern Co. | |||
3.25%, 07/01/26 (a) | 130,000 | 122,392 | |
3.70%, 04/30/30 (a) | 785,000 | 720,928 | |
Southern Co. Gas Capital Corp. | |||
3.95%, 10/01/46 (a) | 366,000 | 282,439 | |
4.40%, 05/30/47 (a) | 60,000 | 49,843 | |
Southwest Airlines Co. | |||
2.63%, 02/10/30 (a) | 513,000 | 436,896 | |
Southwestern Electric Power Co. | |||
2.75%, 10/01/26 (a) | 292,000 | 268,725 | |
Spectra Energy Partners LP | |||
3.38%, 10/15/26 (a) | 74,000 | 69,538 | |
4.50%, 03/15/45 (a) | 56,000 | 46,114 | |
Standard Chartered PLC (2.68% fixed rate until 06/29/31; 1.00% + 1 year CMT Rate thereafter) | |||
2.68%, 06/29/32 (a)(b)(g) | 1,092,000 | 856,565 |
Principal Amount | Fair Value | ||
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) | $1,099,000 | $1,036,555 | |
Stanley Black & Decker, Inc. | |||
3.00%, 05/15/32 (a) | 769,000 | 653,642 | |
Starbucks Corp. | |||
4.00%, 11/15/28 (a) | 204,000 | 195,811 | |
STERIS Irish FinCo UnLtd Co. | |||
2.70%, 03/15/31 (a) | 1,474,000 | 1,230,657 | |
3.75%, 03/15/51 (a) | 604,000 | 452,958 | |
Stryker Corp. | |||
1.95%, 06/15/30 (a) | 781,000 | 652,814 | |
Sumitomo Mitsui Financial Group, Inc. | |||
4.44%, 04/02/24 (a)(g) | 2,502,000 | 2,465,621 | |
Sumitomo Mitsui Trust Bank Ltd. | |||
1.35%, 09/16/26 (a)(g) | 2,602,000 | 2,283,541 | |
Suncor Energy, Inc. | |||
4.00%, 11/15/47 (a) | 79,000 | 61,129 | |
Svenska Handelsbanken AB (1.42% fixed rate until 06/11/26; 0.63% + 1 year CMT Rate thereafter) | |||
1.42%, 06/11/27 (a)(b)(g) | 1,488,000 | 1,304,768 | |
Sysco Corp. | |||
3.25%, 07/15/27 (a) | 200,000 | 186,902 | |
5.95%, 04/01/30 (a) | 67,000 | 70,087 | |
6.60%, 04/01/50 (a) | 79,000 | 90,069 | |
Takeda Pharmaceutical Co. Ltd. | |||
2.05%, 03/31/30 (a) | 200,000 | 166,284 | |
3.03%, 07/09/40 (a) | 300,000 | 226,458 | |
3.18%, 07/09/50 (a) | 300,000 | 211,056 | |
Take-Two Interactive Software, Inc. | |||
3.70%, 04/14/27 (a) | 1,634,000 | 1,547,986 | |
4.00%, 04/14/32 (a) | 361,000 | 330,741 | |
Tampa Electric Co. | |||
2.40%, 03/15/31 (a) | 705,000 | 577,846 | |
3.45%, 03/15/51 (a) | 555,000 | 398,213 | |
4.35%, 05/15/44 (a) | 440,000 | 370,986 | |
Tapestry, Inc. | |||
4.13%, 07/15/27 (a) | 58,000 | 54,499 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | |||
5.00%, 01/15/28 (a) | 1,629,000 | 1,559,996 | |
Target Corp. | |||
1.95%, 01/15/27 (a) | 238,000 | 217,906 | |
Teck Resources Ltd. | |||
5.40%, 02/01/43 (a) | 205,000 | 186,351 | |
Telefonica Emisiones SA | |||
4.10%, 03/08/27 (a) | 639,000 | 612,993 | |
Texas Instruments, Inc. | |||
3.88%, 03/15/39 (a) | 265,000 | 237,655 | |
Thermo Fisher Scientific, Inc. | |||
2.80%, 10/15/41 (a) | 410,000 | 305,200 | |
Time Warner Cable LLC | |||
6.55%, 05/01/37 (a) | 148,000 | 142,332 | |
T-Mobile USA, Inc. | |||
3.50%, 04/15/31 (a) | 2,168,000 | 1,912,133 | |
3.75%, 04/15/27 (a) | 769,000 | 728,504 | |
4.50%, 04/15/50 (a) | 100,000 | 85,917 | |
4.80%, 07/15/28 (a) | 1,983,000 | 1,946,414 |
See Notes to Schedule of Investments.
State Street Income Fund | 13 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Toronto-Dominion Bank | |||
3.20%, 03/10/32 (a) | $1,439,000 | $1,244,131 | |
4.46%, 06/08/32 (a) | 760,000 | 722,000 | |
TotalEnergies Capital International SA | |||
3.46%, 02/19/29 (a) | 660,000 | 616,275 | |
Tractor Supply Co. | |||
5.25%, 05/15/33 (a) | 698,000 | 691,934 | |
Trane Technologies Luxembourg Finance SA | |||
3.55%, 11/01/24 (a) | 354,000 | 343,440 | |
3.80%, 03/21/29 (a) | 468,000 | 440,884 | |
TransCanada PipeLines Ltd. | |||
4.25%, 05/15/28 (a) | 474,000 | 452,376 | |
4.88%, 01/15/26 (a) | 108,000 | 106,770 | |
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | |||
5.63%, 05/20/75 (a)(b) | 936,000 | 895,555 | |
Transcontinental Gas Pipe Line Co. LLC | |||
4.00%, 03/15/28 (a) | 222,000 | 209,029 | |
Travelers Cos., Inc. | |||
2.55%, 04/27/50 (a) | 730,000 | 470,215 | |
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | |||
4.80%, 09/01/24 (a)(b) | 1,292,000 | 1,094,905 | |
TWDC Enterprises 18 Corp. | |||
4.13%, 06/01/44 (a) | 108,000 | 94,812 | |
Tyco Electronics Group SA | |||
3.13%, 08/15/27 (a) | 227,000 | 212,336 | |
Tyson Foods, Inc. | |||
4.00%, 03/01/26 (a) | 838,000 | 809,533 | |
U.S. Bancorp (4.97% fixed rate until 07/22/32; 2.11% + SOFR thereafter) | |||
4.97%, 07/22/33 (a)(b) | 1,588,000 | 1,439,871 | |
UBS Group AG | |||
4.28%, 01/09/28 (a)(g) | 593,000 | 547,286 | |
UDR, Inc. | |||
2.10%, 08/01/32 (a) | 433,000 | 329,258 | |
3.00%, 08/15/31 (a) | 276,000 | 234,517 | |
Union Pacific Corp. | |||
3.55%, 05/20/61 (a) | 398,000 | 294,524 | |
3.60%, 09/15/37 (a) | 74,000 | 63,183 | |
3.80%, 04/06/71 (a) | 183,000 | 140,268 | |
4.10%, 09/15/67 (a) | 124,000 | 102,735 | |
UnitedHealth Group, Inc. | |||
2.00%, 05/15/30 (a) | 538,000 | 453,061 | |
4.20%, 05/15/32 (a) | 563,000 | 537,248 | |
4.45%, 12/15/48 (a) | 367,000 | 334,487 | |
4.75%, 07/15/45 - 05/15/52 (a) | 858,000 | 816,766 | |
5.05%, 04/15/53 (a) | 794,000 | 788,228 | |
5.20%, 04/15/63 (a) | 794,000 | 792,039 | |
6.05%, 02/15/63 (a) | 240,000 | 271,301 | |
Utah Acquisition Sub, Inc. | |||
3.95%, 06/15/26 (a) | 2,927,000 | 2,779,567 | |
Vale Overseas Ltd. | |||
6.13%, 06/12/33 (a) | 970,000 | 972,338 | |
Ventas Realty LP | |||
3.25%, 10/15/26 (a) | 258,000 | 236,519 | |
Verizon Communications, Inc. | |||
2.36%, 03/15/32 (a) | 930,000 | 748,064 | |
2.55%, 03/21/31 (a) | 645,000 | 538,691 |
Principal Amount | Fair Value | ||
3.00%, 03/22/27 (a) | $1,194,000 | $1,115,578 | |
3.40%, 03/22/41 (a) | 466,000 | 359,454 | |
3.55%, 03/22/51 (a) | 350,000 | 261,373 | |
3.70%, 03/22/61 (a) | 439,000 | 319,293 | |
4.40%, 11/01/34 (a) | 536,000 | 494,412 | |
4.86%, 08/21/46 (a) | 700,000 | 641,438 | |
Viatris, Inc. | |||
1.65%, 06/22/25 (a) | 2,488,000 | 2,290,328 | |
4.00%, 06/22/50 (a) | 281,000 | 185,879 | |
Virginia Electric & Power Co. | |||
4.00%, 11/15/46 (a) | 373,000 | 296,498 | |
Visa, Inc. | |||
2.70%, 04/15/40 (a) | 352,000 | 270,090 | |
Vistra Operations Co. LLC | |||
3.55%, 07/15/24 (a)(g) | 1,311,000 | 1,266,190 | |
Viterra Finance BV | |||
2.00%, 04/21/26 (a)(g) | 712,000 | 635,439 | |
3.20%, 04/21/31 (a)(g) | 1,000,000 | 836,920 | |
Volkswagen Group of America Finance LLC | |||
1.63%, 11/24/27 (a)(g) | 1,215,000 | 1,038,789 | |
Vontier Corp. | |||
2.40%, 04/01/28 (a) | 538,000 | 449,165 | |
2.95%, 04/01/31 (a) | 703,000 | 562,168 | |
Vornado Realty LP | |||
2.15%, 06/01/26 (a) | 826,000 | 699,672 | |
3.50%, 01/15/25 (a) | 220,000 | 207,183 | |
Vulcan Materials Co. | |||
3.90%, 04/01/27 (a) | 103,000 | 99,011 | |
Walgreens Boots Alliance, Inc. | |||
4.10%, 04/15/50 (a) | 38,000 | 27,058 | |
Walmart, Inc. | |||
1.80%, 09/22/31 (a) | 444,000 | 368,706 | |
2.50%, 09/22/41 (a) | 444,000 | 330,767 | |
2.65%, 09/22/51 (a) | 208,000 | 147,934 | |
Walt Disney Co. | |||
2.65%, 01/13/31 (a) | 501,000 | 435,965 | |
3.38%, 11/15/26 (a) | 79,000 | 75,173 | |
3.60%, 01/13/51 (a) | 329,000 | 261,808 | |
4.75%, 11/15/46 (a) | 52,000 | 49,022 | |
6.65%, 11/15/37 (a) | 333,000 | 385,584 | |
Warnermedia Holdings, Inc. | |||
4.28%, 03/15/32 (a) | 2,168,000 | 1,921,000 | |
5.05%, 03/15/42 (a) | 189,000 | 158,558 | |
5.14%, 03/15/52 (a) | 184,000 | 150,043 | |
5.39%, 03/15/62 (a) | 184,000 | 149,548 | |
Waste Connections, Inc. | |||
2.20%, 01/15/32 (a) | 607,000 | 490,820 | |
2.95%, 01/15/52 (a) | 607,000 | 416,117 | |
WEC Energy Group, Inc. | |||
3.55%, 06/15/25 (a) | 79,000 | 75,548 | |
Wells Fargo & Co. | |||
4.15%, 01/24/29 (a) | 633,000 | 599,850 | |
4.75%, 12/07/46 (a) | 713,000 | 606,478 | |
5.88%, 06/15/25 (a)(b) | 1,182,000 | 1,159,885 | |
Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | |||
2.19%, 04/30/26 (a)(b) | 746,000 | 699,196 | |
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | |||
2.39%, 06/02/28 (a)(b) | 1,432,000 | 1,277,058 | |
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | |||
3.07%, 04/30/41 (a)(b) | 713,000 | 523,149 |
See Notes to Schedule of Investments.
14 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.43% + 1 month Term SOFR) | |||
3.20%, 06/17/27 (a)(b) | $1,672,000 | $1,570,744 | |
Wells Fargo & Co. (3.35% fixed rate until 03/02/32; 1.50% + SOFR thereafter) | |||
3.35%, 03/02/33 (a)(b) | 839,000 | 718,075 | |
Westlake Corp. | |||
2.88%, 08/15/41 (a) | 238,000 | 158,734 | |
3.13%, 08/15/51 (a) | 264,000 | 165,520 | |
3.38%, 08/15/61 (a) | 267,000 | 162,747 | |
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) | 527,000 | 492,624 | |
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) | 381,000 | 332,407 | |
Weyerhaeuser Co. | |||
4.00%, 03/09/52 (a) | 475,000 | 379,136 | |
Williams Cos., Inc. | |||
3.75%, 06/15/27 (a) | 85,000 | 80,275 | |
4.85%, 03/01/48 (a) | 169,000 | 147,081 | |
4.90%, 01/15/45 (a) | 399,000 | 349,021 | |
5.30%, 08/15/52 (a) | 294,000 | 271,653 | |
5.40%, 03/04/44 (a) | 58,000 | 53,550 | |
Willis North America, Inc. | |||
3.88%, 09/15/49 (a) | 343,000 | 249,491 | |
Workday, Inc. | |||
3.50%, 04/01/27 (a) | 600,000 | 568,704 | |
3.70%, 04/01/29 (a) | 1,201,000 | 1,114,288 | |
WPP Finance 2010 | |||
3.75%, 09/19/24 (a) | 205,000 | 198,850 | |
Xcel Energy, Inc. | |||
3.40%, 06/01/30 (a) | 468,000 | 416,965 | |
Yamana Gold, Inc. | |||
2.63%, 08/15/31 (a) | 699,000 | 544,891 | |
Zoetis, Inc. | |||
3.00%, 09/12/27 (a) | 107,000 | 99,673 | |
3.90%, 08/20/28 (a) | 256,000 | 245,688 | |
5.60%, 11/16/32 (a) | 1,277,000 | 1,334,874 | |
473,721,606 | |||
Non-Agency Collateralized Mortgage Obligations - 5.7% | |||
Bank | |||
3.18%, 09/15/60 | 20,509,000 | 18,496,206 | |
4.41%, 11/15/61 (b) | 8,550,000 | 8,110,425 | |
BPR Trust 1.90% + 1 month Term SOFR | |||
7.05%, 04/15/37 (b)(g) | 3,084,865 | 3,003,415 | |
Cantor Commercial Real Estate Lending | |||
3.01%, 01/15/53 | 4,022,000 | 3,449,963 | |
CD Mortgage Trust | |||
2.91%, 08/15/57 | 7,323,000 | 6,256,657 | |
Citigroup Commercial Mortgage Trust | |||
4.03%, 12/10/49 (b) | 2,942,926 | 2,681,051 | |
COMM Mortgage Trust | |||
3.92%, 10/15/45 (g) | 1,602,000 | 1,313,508 | |
4.53%, 02/10/47 (b) | 1,940,000 | 1,892,655 | |
4.56%, 08/10/46 (b)(g) | 1,375,000 | 1,369,325 |
Principal Amount | Fair Value | ||
GS Mortgage Securities Trust | |||
2.75%, 09/10/52 | $13,110,000 | $11,148,730 | |
3.05%, 11/10/52 | 6,397,000 | 5,522,281 | |
4.14%, 03/10/51 (b) | 2,609,000 | 2,345,033 | |
4.56%, 11/10/48 (b) | 3,270,000 | 2,458,327 | |
Impac CMB Trust 0.72% + 1 month USD LIBOR | |||
5.87%, 10/25/34 (b) | 141,253 | 137,220 | |
JPMBB Commercial Mortgage Securities Trust | |||
4.81%, 11/15/48 (b) | 2,174,000 | 1,649,517 | |
MASTR Alternative Loan Trust | |||
5.00%, 08/25/18 (d) | 9,241 | 505 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
0.98%, 03/15/48 (b)(d) | 24,882,679 | 224,741 | |
Wells Fargo Commercial Mortgage Trust | |||
1.32%, 02/15/48 (b)(d) | 19,280,407 | 249,592 | |
4.32%, 08/15/50 | 4,152,195 | 3,159,878 | |
WFRBS Commercial Mortgage Trust | |||
4.26%, 12/15/46 | 1,880,000 | 1,861,761 | |
4.35%, 03/15/47 (b) | 4,333,000 | 4,244,797 | |
79,575,587 | |||
Sovereign Bonds - 1.0% | |||
Chile Government International Bonds | |||
2.55%, 01/27/32 (a) | 2,507,000 | 2,144,814 | |
3.63%, 10/30/42 (a) | 150,000 | 121,567 | |
3.86%, 06/21/47 (a) | 860,000 | 704,744 | |
Indonesia Government International Bonds | |||
3.50%, 01/11/28 (a) | 578,000 | 544,944 | |
4.35%, 01/11/48 (a) | 232,000 | 205,819 | |
Mexico Government International Bonds | |||
4.60%, 02/10/48 (a) | 972,000 | 801,832 | |
4.75%, 03/08/44 (a) | 2,068,000 | 1,775,047 | |
Panama Government International Bonds | |||
3.16%, 01/23/30 (a) | 1,217,000 | 1,065,143 | |
3.87%, 07/23/60 (a) | 826,000 | 546,490 | |
4.50%, 05/15/47 (a) | 530,000 | 422,267 | |
Peruvian Government International Bonds | |||
1.86%, 12/01/32 (a) | 1,230,000 | 947,592 | |
2.78%, 12/01/60 (a) | 2,055,000 | 1,251,783 | |
5.63%, 11/18/50 (a) | 884,000 | 906,453 | |
Philippines Government International Bonds | |||
3.95%, 01/20/40 (a) | 835,000 | 725,289 | |
Qatar Government International Bonds | |||
3.38%, 03/14/24 (a)(g) | 1,045,000 | 1,028,719 | |
4.82%, 03/14/49 (a)(g) | 275,000 | 264,440 | |
Uruguay Government International Bonds | |||
5.10%, 06/18/50 (a) | 884,133 | 883,081 | |
14,340,024 | |||
Municipal Bonds and Notes - 0.4% | |||
American Municipal Power, Inc., OH | |||
6.27%, 02/15/50 | 1,005,000 | 1,102,336 |
See Notes to Schedule of Investments.
State Street Income Fund | 15 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Principal Amount | Fair Value | ||
Board of Regents of the University of Texas System, TX | |||
3.35%, 08/15/47 | $1,025,000 | $824,901 | |
Port Authority of New York & New Jersey, NY | |||
4.46%, 10/01/62 | 1,870,000 | 1,708,145 | |
State of California, CA | |||
4.60%, 04/01/38 | 1,840,000 | 1,763,843 | |
State of Illinois, IL | |||
5.10%, 06/01/33 | 745,000 | 732,117 | |
6,131,342 | |||
Total Bonds and Notes (Cost $1,478,609,057) | 1,355,780,770 |
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 | 1,376,400 |
Total Investments in Securities (Cost $1,479,984,907) | 1,357,157,170 |
Number of Shares | Fair Value | ||
Short-Term Investments - 20.0% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (h)(i) (Cost $279,199,661) | 279,199,661 | $279,199,661 | |
Total Investments (Cost $1,759,184,568) | 1,636,356,831 | ||
Liabilities in Excess of Other Assets, net - (17.2)% | (239,932,368) | ||
NET ASSETS - 100.0% | $1,396,424,463 |
Other Information:
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) | |||||||
Buy Protection | ||||||||||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | $53,400 | 5.00%/ Quarterly | 12/20/27 | $1,735,202 | $(1,904,645) | $3,639,847 |
The Fund had the following long futures contracts open at June 30, 2023: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
2 Yr. U.S. Treasury Notes Futures | September 2023 | 397 | $81,820,031 | $80,727,469 | $(1,092,562) | |||||
5 Yr. U.S. Treasury Notes Futures | September 2023 | 894 | 97,260,493 | 95,741,813 | (1,518,680) | |||||
Ultra Long-Term U.S. Treasury Bond Futures | September 2023 | 43 | 5,825,953 | 5,857,406 | 31,453 | |||||
10 Yr. U.S. Treasury Ultra Futures | September 2023 | 1,160 | 138,635,234 | 137,387,500 | (1,247,734) | |||||
U.S. Long Bond Futures | September 2023 | 197 | 25,010,240 | 25,000,531 | (9,709) | |||||
$(3,837,232) |
The Fund had the following short futures contracts open at June 30, 2023: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
10 Yr. U.S. Treasury Notes Futures | September 2023 | 373 | $(42,662,428) | $(41,875,078) | $787,350 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | At June 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
See Notes to Schedule of Investments.
16 | State Street Income Fund |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2023. 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) | 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. |
(e) | 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. |
(f) | Step coupon bond. |
(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 June 30, 2023, these securities amounted to $72,817,864 or 5.21% 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) | 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. |
(i) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of June 30, 2023. |
Abbreviations: |
CMT - Constant Maturity Treasury |
ISDA - International Swaps and Derivatives Association |
LIBOR - London Interbank Offered Rate |
REIT - Real Estate Investment Trust |
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 |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2023:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
U.S. Treasuries | $— | $391,213,405 | $— | $391,213,405 | ||||
Agency Mortgage Backed | — | 380,890,900 | — | 380,890,900 | ||||
Agency Collateralized Mortgage Obligations | — | 9,321,486 | — | 9,321,486 | ||||
Asset Backed | — | 586,420 | — | 586,420 | ||||
Corporate Notes | — | 473,721,606 | — | 473,721,606 | ||||
Non-Agency Collateralized Mortgage Obligations | — | 79,575,587 | — | 79,575,587 | ||||
Sovereign Bonds | — | 14,340,024 | — | 14,340,024 | ||||
Municipal Bonds and Notes | — | 6,131,342 | — | 6,131,342 | ||||
Preferred Stock | 1,376,400 | — | — | 1,376,400 | ||||
Short-Term Investments | 279,199,661 | — | — | 279,199,661 | ||||
Total Investments in Securities | $280,576,061 | $1,355,780,770 | $— | $1,636,356,831 | ||||
Other Financial Instruments | ||||||||
Credit Default Swap Contracts - Unrealized Appreciation | — | 3,639,847 | — | 3,639,847 | ||||
Long Futures Contracts - Unrealized Appreciation | 31,453 | — | — | 31,453 | ||||
Long Futures Contracts - Unrealized Depreciation | (3,868,685) | — | — | (3,868,685) | ||||
Short Futures Contracts - Unrealized Appreciation | 787,350 | — | — | 787,350 | ||||
Total Other Financial Instruments | $(3,049,882) | $3,639,847 | $— | $589,965 |
Affiliate Table |
See Notes to Schedule of Investments.
State Street Income Fund | 17 |
State Street Income Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Number of Shares Held at 9/30/22 | Value at 9/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 195,143,093 | $195,143,093 | $440,996,489 | $356,939,921 | $— | $— | 279,199,661 | $279,199,661 | $8,952,307 |
See Notes to Schedule of Investments.
18 | State Street Income Fund |
State Street U.S. Core Equity Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Number of Shares | Fair Value | ||
Common Stock - 98.0% † | |||
Aerospace & Defense - 0.6% | |||
Raytheon Technologies Corp. | 393,958 | $38,592,126 | |
Apparel Retail - 0.7% | |||
Ross Stores, Inc. | 371,382 | 41,643,064 | |
Application Software - 2.7% | |||
Adobe, Inc. (a) | 89,499 | 43,764,116 | |
Intuit, Inc. | 37,840 | 17,337,909 | |
Salesforce, Inc. (a) | 434,745 | 91,844,229 | |
Splunk, Inc. (a) | 113,575 | 12,049,172 | |
164,995,426 | |||
Automobile Manufacturers - 1.1% | |||
General Motors Co. | 783,042 | 30,194,099 | |
Tesla, Inc. (a) | 144,210 | 37,749,852 | |
67,943,951 | |||
Automotive Retail - 1.2% | |||
O'Reilly Automotive, Inc. (a) | 76,604 | 73,179,801 | |
Biotechnology - 1.8% | |||
BioMarin Pharmaceutical, Inc. (a) | 463,871 | 40,208,338 | |
Vertex Pharmaceuticals, Inc. (a) | 193,068 | 67,942,560 | |
108,150,898 | |||
Broadline Retail - 4.3% | |||
Amazon.com, Inc. (a) | 2,023,086 | 263,729,491 | |
Building Products - 0.6% | |||
Trane Technologies PLC | 178,934 | 34,222,917 | |
Cable & Satellite - 0.2% | |||
Charter Communications, Inc., Class A (a) | 27,649 | 10,157,413 | |
Communications Equipment - 0.1% | |||
Cisco Systems, Inc. | 169,771 | 8,783,952 | |
Construction Materials - 0.7% | |||
Martin Marietta Materials, Inc. | 87,845 | 40,557,158 | |
Consumer Staples Merchandise Retail - 2.1% | |||
Costco Wholesale Corp. | 157,045 | 84,549,887 | |
Walmart, Inc. | 273,743 | 43,026,925 | |
127,576,812 | |||
Diversified Banks - 1.4% | |||
JPMorgan Chase & Co. | 597,238 | 86,862,295 | |
Diversified Support Services - 0.9% | |||
Cintas Corp. | 61,086 | 30,364,629 | |
Copart, Inc. (a) | 283,739 | 25,879,834 | |
56,244,463 | |||
Electric Utilities - 1.5% | |||
American Electric Power Company, Inc. | 211,871 | 17,839,538 | |
NextEra Energy, Inc. | 1,007,941 | 74,789,222 | |
92,628,760 | |||
Electrical Components & Equipment - 1.4% | |||
Eaton Corp. PLC | 414,363 | 83,328,399 | |
Electronic Components - 1.1% | |||
Amphenol Corp., Class A | 830,765 | 70,573,487 |
Number of Shares | Fair Value | ||
Environmental & Facilities Services - 1.2% | |||
Waste Management, Inc. | 418,732 | $72,616,503 | |
Financial Exchanges & Data - 3.7% | |||
CME Group, Inc. | 434,412 | 80,492,199 | |
MSCI, Inc. | 51,140 | 23,999,491 | |
S&P Global, Inc. | 309,771 | 124,184,096 | |
228,675,786 | |||
Footwear - 0.5% | |||
NIKE, Inc., Class B | 256,943 | 28,358,799 | |
Healthcare Equipment - 3.0% | |||
Becton Dickinson & Co. | 97,744 | 25,805,393 | |
Boston Scientific Corp. (a) | 802,870 | 43,427,238 | |
Edwards Lifesciences Corp. (a) | 290,987 | 27,448,804 | |
Medtronic PLC | 312,861 | 27,563,054 | |
Teleflex, Inc. | 260,950 | 63,157,729 | |
187,402,218 | |||
Home Improvement Retail - 0.8% | |||
Lowe's Cos., Inc. | 135,599 | 30,604,694 | |
The Home Depot, Inc. | 58,003 | 18,018,052 | |
48,622,746 | |||
Hotels, Resorts & Cruise Lines - 0.4% | |||
Marriott International, Inc., Class A | 120,910 | 22,209,958 | |
Household Products - 1.3% | |||
Colgate-Palmolive Co. | 263,796 | 20,322,844 | |
The Procter & Gamble Co. | 404,840 | 61,430,421 | |
81,753,265 | |||
Industrial Conglomerates - 0.6% | |||
Honeywell International, Inc. | 187,542 | 38,914,965 | |
Industrial Gases - 1.6% | |||
Linde PLC | 254,157 | 96,854,150 | |
Industrial Machinery & Supplies & Components - 1.5% | |||
Parker-Hannifin Corp. | 237,237 | 92,531,919 | |
Insurance Brokers - 0.3% | |||
Marsh & McLennan Cos., Inc. | 107,076 | 20,138,854 | |
Integrated Oil & Gas - 1.0% | |||
Chevron Corp. | 379,990 | 59,791,426 | |
Interactive Home Entertainment - 0.2% | |||
Activision Blizzard, Inc. (a)(b) | 133,876 | 11,285,747 | |
Interactive Media & Services - 7.3% | |||
Alphabet, Inc., Class C (a) | 277,897 | 33,617,200 | |
Alphabet, Inc., Class A (a) | 2,090,370 | 250,217,289 | |
Meta Platforms, Inc., Class A (a) | 566,168 | 162,478,893 | |
446,313,382 | |||
Investment Banking & Brokerage - 0.3% | |||
The Charles Schwab Corp. | 370,800 | 21,016,944 | |
IT Consulting & Other Services - 0.4% | |||
Accenture PLC, Class A | 80,246 | 24,762,311 | |
Life Sciences Tools & Services - 1.7% | |||
Danaher Corp. | 154,480 | 37,075,200 |
See Notes to Schedule of Investments.
State Street U.S. Core Equity Fund | 19 |
State Street U.S. Core Equity Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Number of Shares | Fair Value | ||
IQVIA Holdings, Inc. (a) | 301,010 | $67,658,018 | |
104,733,218 | |||
Managed Healthcare - 2.7% | |||
Humana, Inc. | 83,597 | 37,378,727 | |
UnitedHealth Group, Inc. | 272,594 | 131,019,580 | |
168,398,307 | |||
Movies & Entertainment - 0.4% | |||
The Walt Disney Co. (a) | 286,770 | 25,602,826 | |
Multi-Line Insurance - 0.2% | |||
American International Group, Inc. | 201,873 | 11,615,772 | |
Multi-Sector Holdings - 1.3% | |||
Berkshire Hathaway, Inc., Class B (a) | 242,949 | 82,845,609 | |
Multi-Utilities - 0.7% | |||
Sempra Energy | 287,159 | 41,807,479 | |
Oil & Gas Equipment & Services - 0.7% | |||
Schlumberger NV | 907,402 | 44,571,586 | |
Oil & Gas Exploration & Production - 2.2% | |||
ConocoPhillips | 713,285 | 73,903,459 | |
Pioneer Natural Resources Co. | 287,234 | 59,509,140 | |
133,412,599 | |||
Packaged Foods & Meats - 0.7% | |||
Mondelez International, Inc., Class A | 585,567 | 42,711,257 | |
Personal Care Products - 0.2% | |||
Estee Lauder Cos., Inc., Class A | 68,641 | 13,479,720 | |
Pharmaceuticals - 5.1% | |||
AstraZeneca PLC ADR | 277,361 | 19,850,727 | |
Bristol-Myers Squibb Co. | 492,430 | 31,490,899 | |
Elanco Animal Health, Inc. (a) | 810,321 | 8,151,829 | |
Johnson & Johnson | 797,748 | 132,043,249 | |
Merck & Company, Inc. | 1,039,352 | 119,930,827 | |
311,467,531 | |||
Property & Casualty Insurance - 1.1% | |||
Chubb Ltd. | 340,821 | 65,628,492 | |
Rail Transportation - 0.3% | |||
Union Pacific Corp. | 99,902 | 20,441,947 | |
Regional Banks - 0.1% | |||
Regions Financial Corp. | 526,526 | 9,382,693 | |
Reinsurance - 0.1% | |||
RenaissanceRe Holdings Ltd. (b) | 26,332 | 4,911,445 | |
Restaurants - 0.6% | |||
McDonald's Corp. | 120,145 | 35,852,469 | |
Semiconductor Materials & Equipment - 1.8% | |||
Applied Materials, Inc. | 598,930 | 86,569,342 | |
ASML Holding N.V. (b) | 29,261 | 21,206,910 | |
107,776,252 |
Number of Shares | Fair Value | ||
Semiconductors - 7.3% | |||
Advanced Micro Devices, Inc. (a) | 653,697 | $74,462,625 | |
NVIDIA Corp. | 569,164 | 240,767,755 | |
QUALCOMM, Inc. | 819,627 | 97,568,398 | |
Texas Instruments, Inc. | 190,581 | 34,308,392 | |
447,107,170 | |||
Soft Drinks & Non-alcoholic Beverages - 1.1% | |||
Monster Beverage Corp. (a) | 452,589 | 25,996,712 | |
PepsiCo, Inc. | 221,198 | 40,970,294 | |
66,967,006 | |||
Specialty Chemicals - 1.0% | |||
DuPont de Nemours, Inc. | 167,585 | 11,972,272 | |
Ecolab, Inc. | 65,611 | 12,248,918 | |
International Flavors & Fragrances, Inc. | 508,391 | 40,462,840 | |
64,684,030 | |||
Systems Software - 8.5% | |||
Microsoft Corp. | 1,307,263 | 445,175,342 | |
Oracle Corp. | 359,211 | 42,778,438 | |
ServiceNow, Inc. (a) | 66,275 | 37,244,562 | |
525,198,342 | |||
Technology Hardware, Storage & Peripherals - 6.4% | |||
Apple, Inc. | 2,011,885 | 390,245,333 | |
Telecom Tower REITs - 1.3% | |||
American Tower Corp. | 426,717 | 82,757,495 | |
Trading Companies & Distributors - 1.7% | |||
United Rentals, Inc. | 212,167 | 94,492,817 | |
WW Grainger, Inc. | 14,283 | 11,263,431 | |
105,756,248 | |||
Transaction & Payment Processing Services - 4.0% | |||
Fidelity National Information Services, Inc. | 149,522 | 8,178,853 | |
Mastercard, Inc., Class A | 271,797 | 106,897,760 | |
Visa, Inc., Class A | 561,227 | 133,280,188 | |
248,356,801 | |||
Wireless Telecommunication Services - 0.3% | |||
T-Mobile US Inc. (a) | 114,735 | 15,936,691 | |
Total Common Stock (Cost $3,681,990,719) | 6,022,067,704 | ||
Short-Term Investments - 1.7% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (c)(d) (Cost $101,991,313) | 101,991,313 | 101,991,313 | |
Total Investments (Cost $3,783,982,032) | 6,124,059,017 | ||
Other Assets and Liabilities, net - 0.3% | 18,497,840 | ||
NET ASSETS - 100.0% | $6,142,556,857 |
See Notes to Schedule of Investments.
20 | State Street U.S. Core Equity Fund |
State Street U.S. Core Equity Fund
Schedule of Investments
June 30, 2023 (Unaudited)
Other Information:
The Fund had the following long futures contracts open at June 30, 2023: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
S&P 500 E-mini Index Futures | September 2023 | 73 | $15,911,597 | $16,382,113 | $470,516 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At June 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures. |
(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 June 30, 2023. |
Abbreviations: |
ADR - American Depositary Receipt |
REIT - Real Estate Investment Trust |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2023:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $6,022,067,704 | $— | $— | $6,022,067,704 | ||||
Short-Term Investments | 101,991,313 | — | — | 101,991,313 | ||||
Total Investments in Securities | $6,124,059,017 | $— | $— | $6,124,059,017 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Appreciation | 470,516 | — | — | 470,516 | ||||
Total Other Financial Instruments | $470,516 | $— | $— | $470,516 |
Affiliate Table |
Number of Shares Held at 9/30/22 | Value at 9/30/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/23 | Value at 6/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 22,781,784 | $22,781,784 | $837,922,777 | $758,713,248 | $— | $— | 101,991,313 | $101,991,313 | $4,317,488 |
See Notes to Schedule of Investments.
State Street U.S. Core Equity Fund | 21 |
State Street Institutional Investment Trust
Notes to Schedule of Investments
June 30, 2023 (Unaudited)
Security Valuation
Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
•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 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.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
•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.
The value of each Fund’s investments according to the fair value hierarchy as of June 30, 2023 is disclosed in each Fund’s Schedule of Investments.
22
State Street Institutional Investment Trust
Notes to Schedule of Investments
June 30, 2023 (Unaudited)
Futures Contracts
The Funds may enter into futures contracts to meet a Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Funds' Schedules of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statements of Assets and Liabilities. Subsequent payments are made or received by a Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the State Street U.S. Core Equity Fund and the State Street Income Fund entered into futures contracts in order to equitize cash and manage exposure to interest rates, respectively.
Credit Default Swaps
During the period ended June 30, 2023, the State Street Income Fund engaged in credit default swaps to manage credit risk. When the State Street Income Fund is the buyer in a credit default swap contract, the State Street Income Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the State Street Income Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the State Street Income Fund loses its investment and recovers nothing. However, if a credit event occurs, the State Street Income Fund receives full notional value for a referenced debt obligation that may have little or no value. When the State Street Income Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, the State Street Income Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the State Street Income Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the State Street Income Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the State Street Income Fund for the same referenced obligation.
As the seller, the State Street Income Fund may create economic leverage to its portfolio because, in addition to its total net assets, the State Street Income Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The State Street Income Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The State Street Income Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The State Street Income Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if the State Street Income Fund had invested in the referenced debt obligation directly. If the State Street Income Fund is a buyer of a credit default swap and no credit event occurs, the State Street Income Fund will not earn any return on its investment. If the State Street Income Fund is a seller of a credit default swap, the State Street Income Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the State Street Income Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
Interest Rate Swaps
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
To-Be-Announced Transactions
The State Street Income Fund may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
23
State Street Institutional Investment Trust
Notes to Schedule of Investments
June 30, 2023 (Unaudited)
The State Street Income Fund may use TBA transactions to “roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a TBA roll, the State Street Income Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. The State Street Income Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Default by or bankruptcy of a counterparty to a TBA transaction would expose the State Street Income Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, the State Street Income Fund will enter into TBA transactions only with established counterparties. The State Street Income Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
Delayed Delivery and When-Issued Securities
During the period ended June 30, 2023, the State Street Income Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated.
The securities purchased on a delayed delivery or when-issued basis are identified as such in the State Street Income Fund’s Schedule of Investments. The State Street Income Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, the State Street Income Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
24