UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
| | |
| (Name and Address of Agent for Service) | | Copy to: |
Sean O’Malley, Esq. Senior Vice President and General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | | Adam M. Schlichtmann, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617) 664-1465
Date of fiscal year end: September 30
Date of reporting period: September 30, 2023
Item 1. Reports to Stockholders.
(a) The Report to Shareholders is attached herewith.
Annual Report
September 30, 2023
| State Street Institutional Investment Trust |
| State Street U.S. Core Equity Fund |
| State Street Income Fund |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may find the fund’s prospectus and other information about the fund online at www.ssga.com or you also may get this information at no cost by calling 1-800-242-0134 or by sending an e-mail request to Statestreetfunds@ssga.com. Please read the prospectus carefully before you invest.
State Street Institutional Investment Trust
Annual Report
September 30, 2023
| | Page |
| 1 |
| Management's Discussion of Fund Performance, Performance Summary, Understanding Your Fund's Expenses and Schedule of Investments | |
| 2 |
| 10 |
| Financial Statements | |
| 34 |
| 36 |
| 37 |
| 38 |
| 40 |
| 48 |
| 49 |
The information contained in this report is intended for the general information of shareholders of the Funds. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus which contains important information concerning the Funds. You may find the fund’s prospectus and other information about the fund online at www.ssga.com or you also may get this information at no cost by calling 1-800-242-0134 or by sending an e-mail request to Statestreetfunds@ssga.com. Please read the prospectus carefully before you invest.
[This page intentionally left blank]
State Street Institutional Investment Trust
Notes to Performance — September 30, 2023 (Unaudited)
The information provided on the performance pages relates to the State Street U.S. Core Equity Fund and State Street Income Fund (each, a “Fund” and collectively, the “Funds”).
Total returns take into account changes in share price and assume reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free 1-800-242-0134 or visit the Funds’ website at www.ssga.com for the most recent month-end performance data.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of 500 widely held U.S. stocks recognized by investors to be representative of the stock market in general.
The Bloomberg U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first rate bond market.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, index returns do not reflect the actual cost of investing in the instruments that comprise an index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Investment Trust and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State Street U.S. Core Equity Fund
Management's Discussion of Fund Performance — September 30, 2023 (Unaudited)
The State Street U.S. Core Equity Fund (the “Fund”) seeks long-term growth of capital. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended September 30, 2023 (the “Reporting Period”), the total return for the Fund was 22.53% and the Index was 21.62%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Primary drivers of Fund performance relative to the index during the Reporting Period included outperformance in the industrials sector, key positions in interactive media, and, on the negative side, exposure to two companies impacted by the March 23 banking crisis. Overall, the Fund delivered broad-based outperformance versus the Index in a market that was notable for surprising resilience and narrowness of leadership that most active U.S. funds found challenging.
In industrials, we had a broadly positive view of the sector driven by tailwinds such as pent-up capex demand, new growth drivers such as electrification and reshoring, and recent U.S. legislation providing incentives for investments in strategically important industries. Within the portfolio, we held several names that were direct beneficiaries of this including United Rentals, Parker Hannifin, Eaton, and Trane. The average return of the three we held for the full Reporting Period (excludes Eaton) was 57.5%, well ahead of the broader Index.
Interactive media is a component of the broader communication services sector that focuses on online platforms. This segment is dominated by Meta Platforms (formerly Facebook) and Alphabet, both of which the Fund is overweight and both of which outperformed significantly during the Reporting Period. These companies have dominant market positions in their respective specialties: Meta in social media and Alphabet in online search, cloud and other areas. They compete for online advertising, but between the two, have well over half of the total market. They also have new growth drivers in areas such as generative AI. Their strong performance over the last year should be put in context of the previous few years, where they experienced a massive surge during the early COVID-19 years only to give up much of it in 2022. This was especially the case with Meta, which experienced a particularly volatile two years. Their jump over the last year brings them close to the previous peak in late 2021.
Negative contribution came predominantly from two names in the financial sector: SVB Financial (Silicon Valley Bank) and First Republic Bank. Our financials positions provided some useful defensiveness in 2022 as the U.S. markets plunged, but were weak from then on as higher rates, initially a positive for the sector, raised deposit costs and then ultimately hit asset valuations. Our view was that in a slowing economy, credit risk was the biggest potential issue for banks, leading us to focus on banks with very low exposure in this area, namely SVB Financial and First Republic Bank. The risk we underappreciated was that deposit outflows could threaten solvency in these mid-sized banks. This was especially the case with SVB, whose depositors were concentrated in a single industry adding to the potential for herd behavior, and whose assets were largely invested in long-dated fixed income, which derated as rates rose. Ultimately, nervousness about SVB’s solvency led to an extremely rapid bank run. While First Republic’s depositors were more diversified, it still had a relatively high percent of deposits above the FDIC insured level of $250,000, leading to self-fulfilling contagion fears after SVB’s fall, and large deposit outflows. Their impaired business was taken over by JPMorgan.
The Fund used futures in order to efficiently manage cash flows during the Reporting Period. The Fund’s use of futures detracted slightly from Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, Nvidia, and Meta Platforms. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were SVB Financial, First Republic Bank and NextEra Energy.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| 2 | State Street U.S. Core Equity Fund |
State Street U.S. Core Equity Fund
Performance Summary — September 30, 2023 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $5,868,022 (in thousands) as of September 30, 2023 (a)(b) |
| Top Ten Largest Holdings |
| as of September 30, 2023 (as a % of Fair Value) (a)(b) |
| Microsoft Corp. | 6.73% |
| Apple, Inc. | 5.68% |
| Alphabet, Inc., Class A | 4.46% |
| Amazon.com, Inc. | 4.26% |
| NVIDIA Corp. | 4.19% |
| Meta Platforms, Inc., Class A | 2.77% |
| UnitedHealth Group, Inc. | 2.21% |
| S&P Global, Inc. | 2.05% |
| Mastercard, Inc., Class A | 1.85% |
| Merck & Co., Inc. | 1.78% |
|
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| State Street U.S. Core Equity Fund | 3 |
State Street U.S. Core Equity Fund
Performance Summary, continued — September 30, 2023 (Unaudited)
| Average Annual Total Return for the periods ended September 30, 2023 |
| (Inception date1/1/80) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| State Street U.S. Core Equity Fund | 22.53% | | 10.85% | | 11.67% | | $30,148 |
| S&P 500® Index | 21.62% | | 9.92% | | 11.91% | | $30,821 |
Change in Value of a $10,000 Investment
| 4 | State Street U.S. Core Equity Fund |
State Street U.S. Core Equity Fund
Understanding Your Fund’s Expenses — September 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2023.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
April 1, 2023 | $1,000.00 | | $1,000.00 |
Ending Account value
September 30, 2023 | $1,069.90 | | $1,024.40 |
| Expenses Paid During Period* | $ 0.73 | | $ 0.71 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.14% (for the period April 1, 2023 - September 30, 2023), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| State Street U.S. Core Equity Fund | 5 |
State Street U.S. Core Equity Fund
Schedule of Investments — September 30, 2023
| | Number
of Shares | Fair
Value |
| Common Stock - 96.5% † |
| Aerospace & Defense - 0.5% |
| RTX Corp. | 428,381 | $ 30,830,581 |
| Apparel Retail - 0.9% |
| Ross Stores, Inc. | 462,154 | 52,200,294 |
| Application Software - 2.7% |
| Adobe, Inc. (a) | 85,662 | 43,679,054 |
| Intuit, Inc. | 36,218 | 18,505,225 |
| Salesforce, Inc. (a) | 383,840 | 77,835,075 |
| Splunk, Inc. (a) | 108,706 | 15,898,252 |
| | | 155,917,606 |
| Automobile Manufacturers - 1.2% |
| General Motors Co. | 885,699 | 29,201,496 |
| Tesla, Inc. (a) | 163,117 | 40,815,136 |
| | | 70,016,632 |
| Automotive Retail - 1.2% |
| O'Reilly Automotive, Inc. (a) | 80,402 | 73,074,162 |
| Biotechnology - 2.1% |
| BioMarin Pharmaceutical, Inc. (a) | 661,889 | 58,563,939 |
| Vertex Pharmaceuticals, Inc. (a) | 194,029 | 67,471,644 |
| | | 126,035,583 |
| Broadline Retail - 4.3% |
| Amazon.com, Inc. (a) | 1,966,687 | 250,005,251 |
| Building Products - 0.6% |
| Trane Technologies PLC | 161,727 | 32,816,026 |
| Cable & Satellite - 0.2% |
| Charter Communications, Inc., Class A (a) | 26,463 | 11,638,957 |
| Communications Equipment - 0.1% |
| Cisco Systems, Inc. | 162,494 | 8,735,677 |
| Construction Materials - 0.5% |
| Martin Marietta Materials, Inc. | 65,656 | 26,950,475 |
| Consumer Staples Merchandise Retail - 2.1% |
| Costco Wholesale Corp. | 142,299 | 80,393,243 |
| Walmart, Inc. (b) | 262,009 | 41,903,099 |
| | | 122,296,342 |
| | Number
of Shares | Fair
Value |
| Diversified Banks - 1.6% |
| Bank of America Corp. | 957,058 | $ 26,204,248 |
| JPMorgan Chase & Co. | 446,549 | 64,758,536 |
| | | 90,962,784 |
| Diversified Support Services - 1.0% |
| Cintas Corp. | 58,467 | 28,123,212 |
| Copart, Inc. (a) | 641,862 | 27,657,833 |
| | | 55,781,045 |
| Electric Utilities - 1.5% |
| American Electric Power Co., Inc. | 223,530 | 16,813,926 |
| NextEra Energy, Inc. | 1,202,654 | 68,900,048 |
| | | 85,713,974 |
| Electrical Components & Equipment - 1.2% |
| Eaton Corp. PLC | 336,930 | 71,860,430 |
| Electronic Components - 1.1% |
| Amphenol Corp., Class A | 748,055 | 62,829,140 |
| Environmental & Facilities Services - 1.1% |
| Waste Management, Inc. | 440,207 | 67,105,155 |
| Financial Exchanges & Data - 3.6% |
| CME Group, Inc. | 290,600 | 58,183,932 |
| MSCI, Inc. | 64,452 | 33,069,032 |
| S&P Global, Inc. | 328,589 | 120,069,707 |
| | | 211,322,671 |
| Healthcare Equipment - 3.1% |
| Boston Scientific Corp. (a) | 768,460 | 40,574,688 |
| Edwards Lifesciences Corp. (a) | 461,627 | 31,981,519 |
| IDEXX Laboratories, Inc. (a) | 42,325 | 18,507,453 |
| Medtronic PLC | 281,801 | 22,081,926 |
| Teleflex, Inc. | 255,145 | 50,113,029 |
| Zimmer Biomet Holdings, Inc. (b) | 160,295 | 17,988,305 |
| | | 181,246,920 |
| Home Improvement Retail - 0.7% |
| Home Depot, Inc. | 48,905 | 14,777,135 |
| Lowe's Cos., Inc. | 139,142 | 28,919,273 |
| | | 43,696,408 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 6 | State Street U.S. Core Equity Fund |
State Street U.S. Core Equity Fund
Schedule of Investments, continued — September 30, 2023
| | Number
of Shares | Fair
Value |
| Hotels, Resorts & Cruise Lines - 0.4% |
| Marriott International, Inc., Class A | 115,727 | $ 22,747,299 |
| Household Products - 1.0% |
| Procter & Gamble Co. | 413,176 | 60,265,851 |
| Industrial Conglomerates - 0.6% |
| Honeywell International, Inc. | 189,171 | 34,947,451 |
| Industrial Gases - 1.5% |
| Linde PLC | 235,609 | 87,729,011 |
| Industrial Machinery & Supplies & Components - 1.4% |
| Parker-Hannifin Corp. | 215,225 | 83,834,442 |
| Insurance Brokers - 0.3% |
| Marsh & McLennan Cos., Inc. | 102,487 | 19,503,276 |
| Integrated Oil & Gas - 1.1% |
| Chevron Corp. | 396,923 | 66,929,156 |
| Interactive Home Entertainment - 0.2% |
| Activision Blizzard, Inc. | 128,138 | 11,997,561 |
| Interactive Media & Services - 7.8% |
| Alphabet, Inc., Class C (a) | 265,985 | 35,070,122 |
| Alphabet, Inc., Class A (a) | 2,000,767 | 261,820,370 |
| Meta Platforms, Inc., Class A (a) | 541,899 | 162,683,499 |
| | | 459,573,991 |
| IT Consulting & Other Services - 0.4% |
| Accenture PLC, Class A | 76,807 | 23,588,198 |
| Life Sciences Tools & Services - 1.5% |
| Danaher Corp. | 139,023 | 34,491,607 |
| IQVIA Holdings, Inc. (a) | 277,335 | 54,565,661 |
| | | 89,057,268 |
| Managed Healthcare - 2.8% |
| Humana, Inc. | 74,391 | 36,192,709 |
| UnitedHealth Group, Inc. | 257,036 | 129,594,981 |
| | | 165,787,690 |
| Movies & Entertainment - 0.4% |
| Walt Disney Co. (a)(b) | 274,483 | 22,246,847 |
| | Number
of Shares | Fair
Value |
| Multi-Line Insurance - 0.2% |
| American International Group, Inc. | 202,009 | $ 12,241,745 |
| Multi-Sector Holdings - 1.4% |
| Berkshire Hathaway, Inc., Class B (a) | 233,789 | 81,896,287 |
| Multi-Utilities - 0.6% |
| Sempra | 555,609 | 37,798,080 |
| Oil & Gas Equipment & Services - 1.2% |
| Schlumberger NV | 1,202,632 | 70,113,446 |
| Oil & Gas Exploration & Production - 2.2% |
| ConocoPhillips | 647,755 | 77,601,049 |
| Pioneer Natural Resources Co. | 223,719 | 51,354,697 |
| | | 128,955,746 |
| Packaged Foods & Meats - 0.7% |
| Mondelez International, Inc., Class A | 560,467 | 38,896,410 |
| Personal Care Products - 1.0% |
| Kenvue, Inc. | 2,946,974 | 59,175,238 |
| Pharmaceuticals - 4.6% |
| AstraZeneca PLC ADR (b) | 430,768 | 29,171,609 |
| Bristol-Myers Squibb Co. | 430,166 | 24,966,834 |
| Elanco Animal Health, Inc. (a) | 775,579 | 8,717,508 |
| Johnson & Johnson | 660,465 | 102,867,424 |
| Merck & Co., Inc. | 1,017,544 | 104,756,155 |
| | | 270,479,530 |
| Property & Casualty Insurance - 1.2% |
| Chubb Ltd. | 327,672 | 68,214,757 |
| Rail Transportation - 0.3% |
| Union Pacific Corp. | 96,278 | 19,605,089 |
| Regional Banks - 0.4% |
| Regions Financial Corp. | 1,303,220 | 22,415,384 |
| Reinsurance - 0.1% |
| RenaissanceRe Holdings Ltd. | 27,884 | 5,518,801 |
| Restaurants - 0.6% |
| McDonald's Corp. | 138,235 | 36,416,628 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street U.S. Core Equity Fund | 7 |
State Street U.S. Core Equity Fund
Schedule of Investments, continued — September 30, 2023
| | Number
of Shares | Fair
Value |
| Semiconductor Materials & Equipment - 2.2% |
| Applied Materials, Inc. | 573,259 | $ 79,367,709 |
| ASML Holding NV (b) | 83,605 | 49,214,919 |
| | | 128,582,628 |
| Semiconductors - 6.5% |
| Advanced Micro Devices, Inc. (a) | 661,699 | 68,035,891 |
| ARM Holdings PLC ADR (a)(b) | 35,420 | 1,895,678 |
| Broadcom, Inc. | 44,830 | 37,234,902 |
| NVIDIA Corp. | 564,570 | 245,582,304 |
| Texas Instruments, Inc. | 182,412 | 29,005,332 |
| | | 381,754,107 |
| Soft Drinks & Non-alcoholic Beverages - 1.1% |
| Monster Beverage Corp. (a) | 501,096 | 26,533,033 |
| PepsiCo, Inc. | 227,751 | 38,590,130 |
| | | 65,123,163 |
| Specialty Chemicals - 1.1% |
| DuPont de Nemours, Inc. | 125,835 | 9,386,033 |
| Ecolab, Inc. | 57,989 | 9,823,336 |
| International Flavors & Fragrances, Inc. | 655,859 | 44,709,908 |
| | | 63,919,277 |
| Systems Software - 8.0% |
| Microsoft Corp. | 1,251,227 | 395,074,925 |
| Oracle Corp. | 343,814 | 36,416,779 |
| ServiceNow, Inc. (a) | 63,434 | 35,457,069 |
| | | 466,948,773 |
| Technology Hardware, Storage & Peripherals - 5.7% |
| Apple, Inc. | 1,945,628 | 333,110,970 |
| | Number
of Shares | Fair
Value |
| Telecom Tower REITs - 1.2% |
| American Tower Corp. | 423,305 | $ 69,612,507 |
| Trading Companies & Distributors - 1.5% |
| United Rentals, Inc. | 181,107 | 80,514,739 |
| WW Grainger, Inc. | 13,671 | 9,458,145 |
| | | 89,972,884 |
| Transaction & Payment Processing Services - 3.7% |
| Fidelity National Information Services, Inc. | 143,121 | 7,910,298 |
| Mastercard, Inc., Class A | 274,654 | 108,738,265 |
| Visa, Inc., Class A | 428,833 | 98,635,878 |
| | | 215,284,441 |
| Wireless Telecommunication Services - 0.3% |
| T-Mobile U.S., Inc. (a) | 109,819 | 15,380,151 |
Total Common Stock
(Cost $3,629,142,328) | | 5,660,660,196 |
| Short-Term Investments - 3.5% |
State Street Institutional U.S. Government Money Market Fund - Class G Shares 5.33% (b)(c)(d)
(Cost $207,361,567) | 207,361,567 | 207,361,567 |
Total Investments
(Cost $3,836,503,895) | | 5,868,021,763 |
| Other Assets and Liabilities, net - 0.0%* | | 1,280,033 |
| NET ASSETS - 100.0% | | $ 5,869,301,796 |
Other Information:
| The Fund had the following long futures contracts open at September 30, 2023: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| S&P 500 E-mini Index Futures | December 2023 | 785 | 176,602,975 | 169,774,124 | $ (6,828,851) |
During the year ended September 30, 2023, the average notional value related to long and short futures contracts were $47,432,111 and $17,958,496, respectively.
See Notes to Schedules of Investments and Notes to Financial Statements.
| 8 | State Street U.S. Core Equity Fund |
State Street U.S. Core Equity Fund
Schedule of Investments, continued — September 30, 2023
| (a) | Non-income producing security. |
| (b) | At September 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures contracts. |
| (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 September 30, 2023. |
| * | Less than 0.05%. |
| 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 September 30, 2023:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| Common Stock | $ 5,660,660,196 | | $ — | | $ — | | $ 5,660,660,196 |
| Short-Term Investments | 207,361,567 | | — | | — | | 207,361,567 |
| Total Investments in Securities | $ 5,868,021,763 | | $ — | | $ — | | $ 5,868,021,763 |
| Other Financial Instruments | | | | | | | |
| Long Futures Contracts - Unrealized Depreciation | $ (6,828,851) | | $ — | | $ — | | $ (6,828,851) |
| Total Other Financial Instruments | $ (6,828,851) | | $ — | | $ — | | $ (6,828,851) |
| | 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
9/30/23 | Value at
9/30/23 | Dividend
Income |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 22,781,784 | $22,781,784 | $1,195,609,602 | $1,011,029,819 | $— | $— | 207,361,567 | $207,361,567 | $5,548,979 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street U.S. Core Equity Fund | 9 |
State Street Income Fund
Management's Discussion of Fund Performance — September 30, 2023 (Unaudited)
The State Street Income Fund (the “Fund”) seeks high current income and preservation of capital. The Fund’s benchmark is the Bloomberg U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended September 30, 2023 (the “Reporting Period”), the total return for the Fund’s Investment Class was 0.57%, and the Index was 0.64%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Duration allocation had a negative impact on performance and was the primary driver of Fund performance relative to the Index during the Reporting Period, while sector allocation had a positive impact and security selection had a very modest positive impact.
Our view in the fourth quarter of 2022 was that inflation had peaked and was likely to decline over the Reporting Period, which would likely slow down the pace of the U.S. Federal Reserve (the “Fed”) rate hikes. In addition, the view was that the Fed’s monetary policy would become restrictive to economic activity over the Reporting Period. This more cautious outlook had the Fund begin the Reporting Period with a neutral allocation to duration and a modest over-weight to credit sectors. During the Reporting Period, inflation declined, but remained above the Fed’s 2% stated target, and labor market hiring, and the economy continued to expand, despite a brief period of regional bank failures that, to date, has had limited impact on the broader economy. The economy’s resilience caused the Fed to continue to raise the Fed Funds and interest rates increased at a more modest pace, as compared to the prior Reporting Period. Reflecting the economy’s resilience, the yield on the 2-year U.S. Treasury note increased from 4.28% to 5.05% and the yield on the 10-year U.S. Treasury note increased from 3.83% to 4.57%, during the Reporting Period. Over the course of the Reporting Period, based upon the outlook above and the creation of value in interest rates, the Fund’s allocation to a duration over-weight increased above its strategic risk target. As mentioned above, interest rates rose during the Reporting Period, and the duration over-weight position contributed negatively to Fund performance relative to its Benchmark. Credit performance versus duration-equivalent treasuries was positive over the Reporting Period, with investment-grade credit and high yield out-performing risk-free assets during the Reporting Period. The Fund’s modest asset allocation over-weight to investment-grade credit and high yield, generated positive excess returns to the Index.
The Fund used treasury futures and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of index credit default swaps contributed to Fund performance relative to the Index, while treasury futures detracted from Fund performance relative to the Index.
Security selection in the investment grade corporate allocation generated positive excess returns as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities, while security selection in agency mortgage-backed securities and commercial mortgage-backed securities detracted from performance.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
| 10 | State Street Income Fund |
State Street Income Fund
Performance Summary — September 30, 2023 (Unaudited)
| Sector Allocation |
| Portfolio composition as a % of Fair Value of $1,544,736 (in thousands) as of September 30, 2023 (a)(b) |
| Quality Ratings |
| as of September 30, 2023 as a % of Fair Value (a)(b) |
| Moody’s / S&P / Rating* | | Percentage of
Fair Value |
| Aaa / AAA | | 4.23% |
| Aa / AA | | 47.94% |
| A / A | | 8.56% |
| Baa / BBB | | 18.85% |
| Ba / BB and lower | | 2.02% |
| NR / Other | | 18.40% |
| | | 100.00% |
|
| (a) | Fair Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
| (b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
| * | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
| State Street Income Fund | 11 |
State Street Income Fund
Performance Summary, continued — September 30, 2023 (Unaudited)
| Average Annual Total Return for the periods ended September 30, 2023 |
| (Inception date1/3/80) |
| | One Year | | Five Year | | Ten Year | | Ending Value
of a $10,000
Investment |
| State Street Income Fund | 0.57% | | 0.12% | | 1.29% | | $11,365 |
| Bloomberg U.S. Aggregate Bond Index | 0.64% | | 0.10% | | 1.13% | | $11,185 |
Change in Value of a $10,000 Investment
| 12 | State Street Income Fund |
State Street Income Fund
Understanding Your Fund’s Expenses — September 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2023.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | Actual
Fund Return | | Hypothetical
5% Return
(2.5% for
the period) |
Beginning Account Value
April 1, 2023 | $1,000.00 | | $1,000.00 |
Ending Account value
September 30, 2023 | $ 951.80 | | $1,024.10 |
| Expenses Paid During Period* | $ 0.98 | | $ 1.01 |
| * | Expenses are equal to the Fund's annualized expense ratio of 0.20% (for the period April 1, 2023 - September 30, 2023), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
| State Street Income Fund | 13 |
State Street Income Fund
Schedule of Investments — September 30, 2023
| | Principal
Amount | Fair
Value |
| Bonds and Notes - 98.3% † |
| U.S. Treasuries - 25.6% |
| U.S. Treasury Bonds | | |
| 1.88%, 02/15/51 (a) | $ 6,418,000 | $ 3,599,094 |
| 2.25%, 08/15/46 (a) | 14,576,000 | 9,239,817 |
| 3.00%, 08/15/48 (a) | 31,799,000 | 23,248,050 |
| 3.63%, 05/15/53 (a) | 4,145,000 | 3,433,226 |
| 3.88%, 05/15/43 (a) | 2,993,000 | 2,602,975 |
| U.S. Treasury Notes | | |
| 0.25%, 07/31/25 (a) | 48,866,000 | 44,737,205 |
| 0.75%, 12/31/23 - 01/31/28 (a) | 140,568,000 | 127,490,899 |
| 1.25%, 11/30/26 (a) | 21,047,000 | 18,884,750 |
| 1.63%, 05/15/31 (a) | 8,951,000 | 7,265,695 |
| 1.75%, 01/31/29 (a) | 3,422,000 | 2,957,624 |
| 2.63%, 02/15/29 (a) | 11,059,000 | 10,003,211 |
| 2.75%, 08/15/32 (a) | 6,222,500 | 5,388,296 |
| 3.50%, 04/30/28 (a) | 36,066,000 | 34,375,406 |
| 3.88%, 12/31/27 - 11/30/29 (a) | 11,115,100 | 10,711,908 |
| 4.25%, 10/15/25 (a) | 32,288,400 | 31,781,371 |
| | | 335,719,527 |
| Agency Mortgage Backed - 28.7% |
| Federal Home Loan Mortgage Corp. | | |
| 3.00%, 04/01/43 - 10/01/49 | 36,649,476 | 31,005,510 |
| 4.50%, 06/01/33 - 02/01/35 | 21,487 | 20,671 |
| 5.00%, 07/01/35 | 272,462 | 267,045 |
| 5.50%, 01/01/38 - 04/01/39 | 490,574 | 491,710 |
| 6.00%, 06/01/33 - 11/01/37 | 1,002,504 | 1,029,052 |
| 6.50%, 07/01/29 | 9,183 | 9,422 |
| 7.00%, 01/01/27 - 08/01/36 | 227,305 | 238,548 |
| 7.50%, 01/01/28 - 09/01/33 | 21,068 | 21,662 |
| 8.00%, 11/01/30 | 1,500 | 1,554 |
| 8.50%, 04/01/30 | 3,730 | 4,032 |
| Federal National Mortgage Association | | |
| 2.50%, 03/01/51 | 15,198,546 | 12,065,118 |
| 3.00%, 03/01/50 | 6,638,460 | 5,557,439 |
| 3.50%, 08/01/45 - 01/01/48 | 14,863,539 | 13,035,178 |
| 4.00%, 01/01/41 - 01/01/50 | 16,638,385 | 15,120,985 |
| 4.50%, 07/01/33 - 12/01/48 | 8,191,247 | 7,691,609 |
| 5.00%, 03/01/34 - 05/01/39 | 759,317 | 741,559 |
| 5.50%, 12/01/32 - 01/01/39 | 2,582,714 | 2,575,784 |
| 6.00%, 02/01/33 - 05/01/41 | 4,714,893 | 4,786,517 |
| 6.50%, 02/01/29 - 08/01/36 | 153,057 | 158,203 |
| 7.00%, 10/01/32 - 02/01/34 | 33,913 | 35,569 |
| 7.50%, 12/01/26 - 03/01/33 | 81,843 | 84,648 |
| 8.00%, 06/01/24 - 10/01/31 | 22,296 | 22,630 |
| 8.50%, 04/01/30 | 6,335 | 6,707 |
| Federal National Mortgage Association 1.60% + 1 year RFUCCT | | |
| 4.97%, 04/01/37 (b) | 10,201 | 10,109 |
| | Principal
Amount | Fair
Value |
| Government National Mortgage Association | | |
| 3.00%, 12/20/42 - 05/20/45 | $ 35,976,038 | $ 31,120,199 |
| 3.50%, 08/20/48 | 5,600,025 | 4,963,581 |
| 4.00%, 01/20/41 - 04/20/43 | 4,441,459 | 4,106,637 |
| 4.50%, 08/15/33 - 03/20/41 | 1,796,568 | 1,700,440 |
| 5.00%, 08/15/33 | 94,574 | 94,128 |
| 6.00%, 04/15/27 - 04/15/35 | 361,721 | 370,436 |
| 6.50%, 01/15/24 - 09/15/36 | 213,412 | 219,662 |
| 7.00%, 03/15/26 - 10/15/36 | 163,935 | 169,269 |
| 7.50%, 01/15/28 - 10/15/28 | 44,669 | 45,032 |
| 8.00%, 12/15/29 - 05/15/30 | 434 | 441 |
| Government National Mortgage Association 1.50% + 1 year CMT Rate | | |
| 2.63%, 09/20/24 (b) | 64 | 64 |
| 2.75%, 10/20/24 - 10/20/25 (b) | 342 | 334 |
| 3.63%, 01/20/24 - 03/20/24 (b) | 57 | 57 |
| 3.88%, 04/20/24 (b) | 55 | 54 |
| Government National Mortgage Association, TBA | | |
| 2.50%, 10/20/53 (c) | 25,692,123 | 20,985,326 |
| 4.00%, 10/20/53 (c) | 5,142,447 | 4,630,583 |
| Uniform Mortgage-Backed Security, TBA | | |
| 2.00%, 10/01/53 (c) | 89,970,492 | 68,369,387 |
| 2.50%, 10/01/52 (c) | 60,093,624 | 47,673,233 |
| 3.00%, 10/01/53 (c) | 32,322,094 | 26,726,881 |
| 3.50%, 10/01/53 (c) | 21,501,554 | 18,478,371 |
| 4.00%, 10/01/53 (c) | 30,045,773 | 26,747,258 |
| 4.50%, 10/01/52 (c) | 26,731,981 | 24,533,570 |
| 5.00%, 10/01/53 (c) | 1,714,945 | 1,617,305 |
| | | 377,533,509 |
| Agency Collateralized Mortgage Obligations - 0.7% |
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | | |
| 2.51%, 07/25/29 | 6,504,000 | 5,639,301 |
| 4.05%, 09/25/28 (b) | 1,713,000 | 1,630,227 |
| Federal Home Loan Mortgage Corp. REMIC | | |
| 5.50%, 06/15/33 (d) | 83,890 | 12,676 |
| 7.50%, 07/15/27 (d) | 2,534 | 191 |
| Federal Home Loan Mortgage Corp. STRIPS | | |
| 0.00%, 08/01/27 (e) | 2,035 | 1,850 |
| 8.00%, 07/01/24 (d) | 914 | 22 |
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | | |
| 0.08%, 09/25/43 (b)(d) | 3,224,092 | 29,610 |
| Federal National Mortgage Association Interest STRIPS | | |
| 0.00%, 12/25/34 (e) | 84,280 | 66,448 |
| 4.50%, 08/25/35 - 01/25/36 (d) | 180,999 | 23,845 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 14 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 5.00%, 03/25/38 - 05/25/38 (d) | $ 115,744 | $ 18,454 |
| 5.50%, 12/25/33 (d) | 33,647 | 5,784 |
| 6.00%, 01/25/35 (d) | 138,738 | 24,959 |
| 7.50%, 11/25/23 (d)** | 18 | — |
| 8.00%, 07/25/24 (d) | 1,629 | 40 |
| Federal National Mortgage Association REMIC | | |
| 1.17%, 12/25/42 (b)(d) | 411,300 | 14,554 |
| 5.00%, 02/25/40 - 09/25/40 (d) | 179,223 | 17,802 |
| Federal National Mortgage Association REMIC 5.89% + SOFR | | |
| 0.57%, 07/25/38 (b)(d) | 113,284 | 7,499 |
| Federal National Mortgage Association REMIC 6.44% + SOFR | | |
| 1.12%, 11/25/41 (b)(d) | 13,331,309 | 1,250,576 |
| | | 8,743,838 |
| Asset Backed - 0.0%* |
| Chase Funding Trust | | |
| 4.99%, 11/25/33 (f) | 218,840 | 215,386 |
| | | 215,386 |
| Corporate Notes - 36.0% |
| 3M Co. | | |
| 3.13%, 09/19/46 (a) | 353,000 | 224,480 |
| 7-Eleven, Inc. | | |
| 0.95%, 02/10/26 (a)(g) | 1,774,000 | 1,587,499 |
| Abbott Laboratories | | |
| 3.75%, 11/30/26 (a) | 522,000 | 500,702 |
| 4.90%, 11/30/46 (a) | 425,000 | 388,008 |
| AbbVie, Inc. | | |
| 2.60%, 11/21/24 (a) | 790,000 | 761,520 |
| 2.95%, 11/21/26 (a) | 781,000 | 724,987 |
| 3.20%, 05/14/26 - 11/21/29 (a) | 1,144,000 | 1,037,473 |
| 4.05%, 11/21/39 (a) | 326,000 | 266,153 |
| 4.25%, 11/21/49 (a) | 438,000 | 346,905 |
| 4.30%, 05/14/36 (a) | 396,000 | 347,320 |
| 4.40%, 11/06/42 (a) | 266,000 | 220,261 |
| 4.63%, 10/01/42 (a) | 63,000 | 53,079 |
| 4.70%, 05/14/45 (a) | 113,000 | 96,440 |
| 4.88%, 11/14/48 (a) | 107,000 | 93,582 |
| Advance Auto Parts, Inc. | | |
| 3.90%, 04/15/30 (a) | 417,000 | 338,487 |
| 5.95%, 03/09/28 (a) | 1,435,000 | 1,357,869 |
| Advanced Micro Devices, Inc. | | |
| 4.39%, 06/01/52 (a) | 496,000 | 400,847 |
| AEP Texas, Inc. | | |
| 3.45%, 05/15/51 (a) | 844,000 | 534,303 |
| AEP Transmission Co. LLC | | |
| 5.40%, 03/15/53 (a) | 432,000 | 401,522 |
| Aetna, Inc. | | |
| 3.50%, 11/15/24 (a) | 374,000 | 364,025 |
| | Principal
Amount | Fair
Value |
| AIA Group Ltd. | | |
| 4.95%, 04/04/33 (a)(g) | $ 1,300,000 | $ 1,231,035 |
| Aircastle Ltd. | | |
| 4.25%, 06/15/26 (a) | 527,000 | 498,711 |
| Alcoa Nederland Holding BV | | |
| 5.50%, 12/15/27 (a)(g) | 1,047,000 | 998,430 |
| Alcon Finance Corp. | | |
| 2.60%, 05/27/30 (a)(g) | 358,000 | 294,924 |
| 3.80%, 09/23/49 (a)(g) | 200,000 | 141,786 |
| Alexandria Real Estate Equities, Inc. | | |
| 1.88%, 02/01/33 (a) | 302,000 | 213,888 |
| 2.95%, 03/15/34 (a) | 531,000 | 402,742 |
| 3.55%, 03/15/52 (a) | 446,000 | 281,725 |
| 4.70%, 07/01/30 (a) | 181,000 | 166,534 |
| Allstate Corp. | | |
| 4.20%, 12/15/46 (a) | 480,000 | 355,205 |
| Allstate Corp. (8.56% fixed rate until 10/30/23; 3.20% + 3-month Term SOFR) | | |
| 8.56%, 08/15/53 (a)(b) | 628,000 | 620,897 |
| Ally Financial, Inc. | | |
| 2.20%, 11/02/28 (a) | 664,000 | 524,567 |
| Altria Group, Inc. | | |
| 3.40%, 05/06/30 - 02/04/41 (a) | 392,000 | 278,780 |
| 4.00%, 02/04/61 (a) | 148,000 | 94,008 |
| 4.25%, 08/09/42 (a) | 42,000 | 30,304 |
| 4.45%, 05/06/50 (a) | 198,000 | 139,544 |
| 4.50%, 05/02/43 (a) | 136,000 | 101,013 |
| Amazon.com, Inc. | | |
| 1.50%, 06/03/30 (a) | 221,000 | 174,952 |
| 2.50%, 06/03/50 (a) | 275,000 | 160,864 |
| 2.70%, 06/03/60 (a) | 211,000 | 118,529 |
| 2.88%, 05/12/41 (a) | 466,000 | 328,017 |
| 3.25%, 05/12/61 (a) | 347,000 | 220,567 |
| 4.25%, 08/22/57 (a) | 92,000 | 73,583 |
| Ameren Corp. | | |
| 2.50%, 09/15/24 (a) | 1,167,000 | 1,129,119 |
| 3.65%, 02/15/26 (a) | 255,000 | 242,972 |
| American Electric Power Co., Inc. | | |
| 2.30%, 03/01/30 (a) | 279,000 | 223,906 |
| 3.25%, 03/01/50 (a) | 232,000 | 142,527 |
| 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 | 86,377 |
| American Tower Corp. | | |
| 1.50%, 01/31/28 (a) | 862,000 | 714,089 |
| 2.90%, 01/15/30 (a) | 304,000 | 252,809 |
| 3.70%, 10/15/49 (a) | 178,000 | 115,935 |
| 3.80%, 08/15/29 (a) | 374,000 | 332,677 |
| American Water Capital Corp. | | |
| 2.95%, 09/01/27 (a) | 301,000 | 275,204 |
| Amgen, Inc. | | |
| 2.00%, 01/15/32 (a) | 518,000 | 392,100 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 15 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 2.45%, 02/21/30 (a) | $ 136,000 | $ 112,547 |
| 3.00%, 01/15/52 (a) | 316,000 | 191,047 |
| 3.15%, 02/21/40 (a) | 558,000 | 393,273 |
| 3.38%, 02/21/50 (a) | 150,000 | 98,111 |
| 4.66%, 06/15/51 (a) | 113,000 | 91,331 |
| 5.51%, 03/02/26 (a) | 987,000 | 979,726 |
| 5.60%, 03/02/43 (a) | 514,000 | 478,123 |
| 5.65%, 03/02/53 (a) | 482,000 | 450,516 |
| 5.75%, 03/02/63 (a) | 514,000 | 474,653 |
| AngloGold Ashanti Holdings PLC | | |
| 3.38%, 11/01/28 (a) | 1,145,000 | 965,922 |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | |
| 3.65%, 02/01/26 (a) | 617,000 | 592,881 |
| 4.70%, 02/01/36 (a) | 151,000 | 138,363 |
| 4.90%, 02/01/46 (a) | 336,000 | 292,599 |
| Anheuser-Busch InBev Worldwide, Inc. | | |
| 3.50%, 06/01/30 (a) | 341,000 | 303,596 |
| 4.00%, 04/13/28 (a) | 108,000 | 102,100 |
| 4.35%, 06/01/40 (a) | 332,000 | 281,138 |
| 4.38%, 04/15/38 (a) | 537,000 | 465,756 |
| 4.50%, 06/01/50 (a) | 263,000 | 218,995 |
| 4.60%, 04/15/48 (a) | 193,000 | 163,286 |
| 4.75%, 04/15/58 (a) | 148,000 | 123,912 |
| 5.55%, 01/23/49 (a) | 351,000 | 337,076 |
| 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 (a)(b)(g) | 1,377,000 | 1,340,909 |
| Aon Corp./Aon Global Holdings PLC | | |
| 2.90%, 08/23/51 (a) | 532,000 | 312,199 |
| Apollo Management Holdings LP | | |
| 2.65%, 06/05/30 (a)(g) | 258,000 | 207,422 |
| 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 | 308,563 |
| Apple, Inc. | | |
| 2.20%, 09/11/29 (a) | 339,000 | 290,364 |
| 2.65%, 02/08/51 (a) | 693,000 | 420,443 |
| 2.80%, 02/08/61 (a) | 371,000 | 216,901 |
| 2.95%, 09/11/49 (a) | 223,000 | 147,135 |
| 3.35%, 02/09/27 (a) | 162,000 | 153,087 |
| 3.45%, 02/09/45 (a) | 569,000 | 427,302 |
| 3.85%, 08/04/46 (a) | 513,000 | 403,618 |
| 3.95%, 08/08/52 (a) | 449,000 | 350,754 |
| 4.85%, 05/10/53 (a) | 1,349,000 | 1,236,102 |
| Applied Materials, Inc. | | |
| 4.35%, 04/01/47 (a) | 193,000 | 163,112 |
| Aptiv PLC | | |
| 4.40%, 10/01/46 (a) | 232,000 | 166,585 |
| | Principal
Amount | Fair
Value |
| ArcelorMittal SA | | |
| 4.55%, 03/11/26 (a) | $ 2,037,000 | $ 1,985,892 |
| 6.80%, 11/29/32 (a) | 281,000 | 279,064 |
| Archer-Daniels-Midland Co. | | |
| 2.50%, 08/11/26 (a) | 200,000 | 185,868 |
| Ares Capital Corp. | | |
| 2.88%, 06/15/28 (a) | 1,162,000 | 970,863 |
| 3.25%, 07/15/25 (a) | 2,386,000 | 2,233,773 |
| Arthur J Gallagher & Co. | | |
| 3.50%, 05/20/51 (a) | 359,000 | 231,799 |
| Ascension Health | | |
| 4.85%, 11/15/53 (a) | 413,000 | 365,650 |
| Ashtead Capital, Inc. | | |
| 1.50%, 08/12/26 (a)(g) | 600,000 | 528,342 |
| 5.55%, 05/30/33 (a)(g) | 1,693,000 | 1,567,853 |
| Astrazeneca Finance LLC | | |
| 1.75%, 05/28/28 (a) | 817,000 | 698,576 |
| AstraZeneca PLC | | |
| 3.00%, 05/28/51 (a) | 386,000 | 252,243 |
| 4.00%, 01/17/29 (a) | 169,000 | 159,041 |
| 4.38%, 08/17/48 (a) | 94,000 | 78,965 |
| AT&T, Inc. | | |
| 2.75%, 06/01/31 (a) | 1,795,000 | 1,437,885 |
| 3.65%, 06/01/51 (a) | 1,447,000 | 932,360 |
| 3.85%, 06/01/60 (a) | 500,000 | 318,315 |
| 4.35%, 03/01/29 (a) | 515,000 | 478,795 |
| 4.50%, 05/15/35 (a) | 365,000 | 310,987 |
| 4.55%, 03/09/49 (a) | 199,000 | 150,273 |
| 4.75%, 05/15/46 (a) | 117,000 | 92,112 |
| 4.85%, 03/01/39 (a) | 480,000 | 405,264 |
| 5.40%, 02/15/34 (a) | 649,000 | 607,042 |
| Athene Holding Ltd. | | |
| 4.13%, 01/12/28 (a) | 263,000 | 239,696 |
| 6.15%, 04/03/30 (a) | 513,000 | 505,454 |
| Avangrid, Inc. | | |
| 3.15%, 12/01/24 (a) | 694,000 | 668,718 |
| Bain Capital Specialty Finance, Inc. | | |
| 2.95%, 03/10/26 (a) | 775,000 | 690,463 |
| Bank of America Corp. | | |
| 3.25%, 10/21/27 (a) | 549,000 | 501,006 |
| 4.18%, 11/25/27 (a) | 645,000 | 599,308 |
| 4.25%, 10/22/26 (a) | 637,000 | 605,035 |
| 5.87%, 09/15/34 (a)(b) | 1,729,000 | 1,681,020 |
| 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 | 972,013 |
| 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 | 2,647,397 |
| 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 | 539,045 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 16 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 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 | $ 265,142 |
| 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 | 277,114 |
| Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.32% + 3-month Term SOFR) | | |
| 3.56%, 04/23/27 (a)(b) | 506,000 | 474,714 |
| 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 | 629,902 |
| 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 | 583,548 |
| 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 | 301,252 |
| 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 | 351,161 |
| 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 | 139,095 |
| 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 | 628,552 |
| 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 | 1,477,443 |
| 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 | 499,481 |
| Bank of Nova Scotia (8.21% fixed rate until 01/12/24; 2.91% + 3-month Term SOFR) | | |
| 8.21%, 01/12/24 (a)(b) | 608,000 | 532,268 |
| Barclays PLC | | |
| 4.38%, 01/12/26 (a) | 911,000 | 872,829 |
| 4.84%, 05/09/28 (a) | 276,000 | 251,853 |
| | Principal
Amount | Fair
Value |
| 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 | $ 934,085 |
| Barclays PLC (2.85% fixed rate until 05/07/25; 2.71% + SOFR thereafter) | | |
| 2.85%, 05/07/26 (a)(b) | 1,114,000 | 1,051,282 |
| 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 | 473,857 |
| Barrick North America Finance LLC | | |
| 5.70%, 05/30/41 (a) | 58,000 | 55,452 |
| BAT Capital Corp. | | |
| 2.73%, 03/25/31 (a) | 516,000 | 397,170 |
| 3.73%, 09/25/40 (a) | 216,000 | 144,087 |
| 4.39%, 08/15/37 (a) | 381,000 | 290,402 |
| 4.54%, 08/15/47 (a) | 171,000 | 117,643 |
| 4.91%, 04/02/30 (a) | 341,000 | 312,731 |
| 6.42%, 08/02/33 (a) | 432,000 | 419,079 |
| 7.08%, 08/02/53 (a) | 430,000 | 405,795 |
| Baxter International, Inc. | | |
| 1.92%, 02/01/27 (a) | 1,732,000 | 1,528,265 |
| 2.54%, 02/01/32 (a) | 955,000 | 739,590 |
| 3.13%, 12/01/51 (a) | 397,000 | 235,735 |
| Bayer U.S. Finance II LLC | | |
| 3.88%, 12/15/23 (a)(g) | 608,000 | 605,416 |
| Baylor Scott & White Holdings | | |
| 2.84%, 11/15/50 (a) | 90,000 | 54,308 |
| Becton Dickinson & Co. | | |
| 3.70%, 06/06/27 (a) | 323,000 | 302,729 |
| 3.73%, 12/15/24 (a) | 5,000 | 4,873 |
| 4.67%, 06/06/47 (a) | 42,000 | 34,898 |
| 4.69%, 12/15/44 (a) | 50,000 | 42,008 |
| Berkshire Hathaway Energy Co. | | |
| 3.25%, 04/15/28 (a) | 184,000 | 166,441 |
| 3.70%, 07/15/30 (a) | 415,000 | 368,304 |
| 3.80%, 07/15/48 (a) | 161,000 | 112,029 |
| 4.25%, 10/15/50 (a) | 354,000 | 261,015 |
| 6.13%, 04/01/36 (a) | 163,000 | 163,805 |
| Berkshire Hathaway Finance Corp. | | |
| 2.85%, 10/15/50 (a) | 978,000 | 606,516 |
| 4.25%, 01/15/49 (a) | 219,000 | 179,613 |
| Berry Global, Inc. | | |
| 4.88%, 07/15/26 (a)(g) | 967,000 | 924,839 |
| BHP Billiton Finance USA Ltd. | | |
| 4.90%, 02/28/33 (a) | 848,000 | 803,361 |
| 5.00%, 09/30/43 (a) | 91,000 | 82,052 |
| 5.25%, 09/08/33 (a) | 1,297,000 | 1,251,800 |
| 5.50%, 09/08/53 (a) | 500,000 | 478,805 |
| Biogen, Inc. | | |
| 2.25%, 05/01/30 (a) | 175,000 | 139,641 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 17 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Block Financial LLC | | |
| 2.50%, 07/15/28 (a) | $ 497,000 | $ 422,092 |
| 3.88%, 08/15/30 (a) | 158,000 | 135,798 |
| BNP Paribas SA (2.82% fixed rate until 11/19/24; 1.37% + 3-month Term SOFR) | | |
| 2.82%, 11/19/25 (a)(b)(g) | 1,007,000 | 966,861 |
| 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 | 469,680 |
| Boardwalk Pipelines LP | | |
| 4.80%, 05/03/29 (a) | 335,000 | 312,002 |
| Boeing Co. | | |
| 2.70%, 02/01/27 (a) | 811,000 | 733,509 |
| 2.95%, 02/01/30 (a) | 207,000 | 174,335 |
| 3.25%, 03/01/28 (a) | 104,000 | 93,376 |
| 3.75%, 02/01/50 (a) | 183,000 | 124,078 |
| 5.04%, 05/01/27 (a) | 1,193,000 | 1,165,776 |
| 5.15%, 05/01/30 (a) | 672,000 | 642,096 |
| 5.81%, 05/01/50 (a) | 416,000 | 376,655 |
| Boston Properties LP | | |
| 3.40%, 06/21/29 (a) | 865,000 | 721,514 |
| Boston Scientific Corp. | | |
| 4.70%, 03/01/49 (a) | 53,000 | 44,415 |
| BP Capital Markets America, Inc. | | |
| 3.00%, 02/24/50 (a) | 410,000 | 255,569 |
| 3.38%, 02/08/61 (a) | 471,000 | 293,207 |
| 4.81%, 02/13/33 (a) | 777,000 | 727,707 |
| 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 | 686,214 |
| 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 | 458,470 |
| Bristol-Myers Squibb Co. | | |
| 1.45%, 11/13/30 (a) | 402,000 | 308,579 |
| 2.35%, 11/13/40 (a) | 223,000 | 141,090 |
| 3.20%, 06/15/26 (a) | 196,000 | 185,839 |
| 3.40%, 07/26/29 (a) | 110,000 | 99,677 |
| 3.55%, 03/15/42 (a) | 216,000 | 162,125 |
| 4.13%, 06/15/39 (a) | 292,000 | 242,690 |
| 4.25%, 10/26/49 (a) | 292,000 | 231,480 |
| 4.35%, 11/15/47 (a) | 40,000 | 32,384 |
| 4.55%, 02/20/48 (a) | 81,000 | 67,165 |
| Brixmor Operating Partnership LP | | |
| 2.25%, 04/01/28 (a) | 696,000 | 586,686 |
| 3.90%, 03/15/27 (a) | 137,000 | 126,143 |
| Broadcom, Inc. | | |
| 3.14%, 11/15/35 (a)(g) | 200,000 | 145,758 |
| 3.19%, 11/15/36 (a)(g) | 26,000 | 18,646 |
| 3.42%, 04/15/33 (a)(g) | 1,569,000 | 1,250,446 |
| | Principal
Amount | Fair
Value |
| 3.47%, 04/15/34 (a)(g) | $ 24,000 | $ 18,822 |
| 4.15%, 11/15/30 (a) | 208,000 | 184,265 |
| 4.30%, 11/15/32 (a) | 341,000 | 297,430 |
| 4.93%, 05/15/37 (a)(g) | 280,000 | 241,200 |
| Brooklyn Union Gas Co. | | |
| 4.87%, 08/05/32 (a)(g) | 1,578,000 | 1,402,305 |
| Brown-Forman Corp. | | |
| 4.00%, 04/15/38 (a) | 88,000 | 72,510 |
| Bunge Ltd. Finance Corp. | | |
| 3.75%, 09/25/27 (a) | 119,000 | 110,699 |
| Burlington Northern Santa Fe LLC | | |
| 4.15%, 12/15/48 (a) | 302,000 | 235,947 |
| 4.55%, 09/01/44 (a) | 454,000 | 381,310 |
| Cameron LNG LLC | | |
| 3.30%, 01/15/35 (a)(g) | 165,000 | 131,134 |
| Canadian Natural Resources Ltd. | | |
| 3.85%, 06/01/27 (a) | 374,000 | 348,396 |
| 4.95%, 06/01/47 (a) | 226,000 | 185,659 |
| Canadian Pacific Railway Co. | | |
| 1.75%, 12/02/26 (a) | 707,000 | 630,623 |
| 3.10%, 12/02/51 (a) | 233,000 | 146,098 |
| 3.50%, 05/01/50 (a) | 267,000 | 181,907 |
| Cantor Fitzgerald LP | | |
| 4.88%, 05/01/24 (a)(g) | 1,142,000 | 1,121,878 |
| Capital One Financial Corp. | | |
| 3.75%, 07/28/26 (a) | 635,000 | 588,543 |
| Cardinal Health, Inc. | | |
| 3.08%, 06/15/24 (a) | 201,000 | 196,819 |
| Carlisle Cos., Inc. | | |
| 2.20%, 03/01/32 (a) | 952,000 | 720,464 |
| Carrier Global Corp. | | |
| 2.72%, 02/15/30 (a) | 323,000 | 269,285 |
| 3.58%, 04/05/50 (a) | 205,000 | 138,506 |
| Caterpillar, Inc. | | |
| 3.25%, 09/19/49 - 04/09/50 (a) | 493,000 | 345,630 |
| Cenovus Energy, Inc. | | |
| 2.65%, 01/15/32 (a) | 352,000 | 273,564 |
| 3.75%, 02/15/52 (a) | 410,000 | 271,039 |
| Centene Corp. | | |
| 3.00%, 10/15/30 (a) | 338,000 | 272,570 |
| 3.38%, 02/15/30 (a) | 1,597,000 | 1,332,569 |
| 4.25%, 12/15/27 (a) | 2,059,000 | 1,896,792 |
| CenterPoint Energy, Inc. | | |
| 2.65%, 06/01/31 (a) | 586,000 | 468,325 |
| Charles Schwab Corp. | | |
| 2.45%, 03/03/27 (a) | 4,869,000 | 4,336,672 |
| 6.14%, 08/24/34 (a)(b) | 1,297,000 | 1,259,024 |
| 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 | 607,943 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 18 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Charles Schwab Corp. (5.64% fixed rate until 05/19/28; 2.21% + SOFR thereafter) | | |
| 5.64%, 05/19/29 (a)(b) | $ 1,729,000 | $ 1,692,760 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | |
| 3.50%, 06/01/41 (a) | 466,000 | 291,944 |
| 3.70%, 04/01/51 (a) | 1,420,000 | 824,594 |
| 4.80%, 03/01/50 (a) | 702,000 | 488,915 |
| 5.05%, 03/30/29 (a) | 593,000 | 554,081 |
| 5.75%, 04/01/48 (a) | 184,000 | 146,964 |
| Cheniere Corpus Christi Holdings LLC | | |
| 5.88%, 03/31/25 (a) | 934,000 | 926,827 |
| Cheniere Energy Partners LP | | |
| 4.50%, 10/01/29 (a) | 1,446,000 | 1,308,991 |
| Chevron Corp. | | |
| 2.24%, 05/11/30 (a) | 176,000 | 146,770 |
| 3.08%, 05/11/50 (a) | 169,000 | 113,406 |
| Chevron USA, Inc. | | |
| 3.85%, 01/15/28 (a) | 619,000 | 588,038 |
| 3.90%, 11/15/24 (a) | 214,000 | 210,309 |
| Chubb INA Holdings, Inc. | | |
| 4.35%, 11/03/45 (a) | 241,000 | 197,015 |
| Church & Dwight Co., Inc. | | |
| 2.30%, 12/15/31 (a) | 379,000 | 302,131 |
| Cigna Group | | |
| 2.40%, 03/15/30 (a) | 350,000 | 286,570 |
| 3.25%, 04/15/25 (a) | 316,000 | 303,802 |
| 3.40%, 03/01/27 - 03/15/51 (a) | 530,000 | 413,981 |
| 3.88%, 10/15/47 (a) | 100,000 | 71,152 |
| 4.13%, 11/15/25 (a) | 564,000 | 546,166 |
| 4.38%, 10/15/28 (a) | 176,000 | 166,299 |
| 4.80%, 08/15/38 (a) | 154,000 | 135,465 |
| 4.90%, 12/15/48 (a) | 80,000 | 67,427 |
| Cisco Systems, Inc. | | |
| 5.90%, 02/15/39 (a) | 177,000 | 182,092 |
| Citadel Finance LLC | | |
| 3.38%, 03/09/26 (a)(g) | 3,500,000 | 3,155,950 |
| Citibank NA | | |
| 5.80%, 09/29/28 (a) | 4,277,000 | 4,279,267 |
| Citigroup, Inc. | | |
| 4.45%, 09/29/27 (a) | 375,000 | 351,832 |
| 4.65%, 07/23/48 (a) | 811,000 | 654,112 |
| Citigroup, Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | | |
| 2.56%, 05/01/32 (a)(b) | 516,000 | 398,770 |
| Citigroup, Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | | |
| 2.98%, 11/05/30 (a)(b) | 314,000 | 262,256 |
| Citigroup, Inc. (3.79% fixed rate until 03/17/32; 1.94% + SOFR thereafter) | | |
| 3.79%, 03/17/33 (a)(b) | 2,518,000 | 2,097,091 |
| | Principal
Amount | Fair
Value |
| 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 | $ 114,667 |
| Citigroup, Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | | |
| 4.70%, 01/30/25 (a)(b) | 856,000 | 776,092 |
| Citigroup, Inc. (6.17% fixed rate until 05/25/33; 2.66% + SOFR thereafter) | | |
| 6.17%, 05/25/34 (a)(b) | 680,000 | 651,957 |
| Cleveland Electric Illuminating Co. | | |
| 4.55%, 11/15/30 (a)(g) | 901,000 | 817,522 |
| Clorox Co. | | |
| 1.80%, 05/15/30 (a) | 479,000 | 377,165 |
| CME Group, Inc. | | |
| 2.65%, 03/15/32 (a) | 386,000 | 314,355 |
| 3.75%, 06/15/28 (a) | 185,000 | 174,697 |
| CMS Energy Corp. | | |
| 4.88%, 03/01/44 (a) | 551,000 | 471,689 |
| Coca-Cola Co. | | |
| 2.60%, 06/01/50 (a) | 341,000 | 208,320 |
| 2.75%, 06/01/60 (a) | 264,000 | 157,949 |
| Comcast Corp. | | |
| 2.65%, 08/15/62 (a) | 253,000 | 132,033 |
| 2.80%, 01/15/51 (a) | 287,000 | 168,127 |
| 2.89%, 11/01/51 (a) | 267,000 | 157,397 |
| 2.94%, 11/01/56 (a) | 223,000 | 126,715 |
| 2.99%, 11/01/63 (a) | 212,000 | 117,183 |
| 3.20%, 07/15/36 (a) | 311,000 | 238,761 |
| 3.25%, 11/01/39 (a) | 500,000 | 363,520 |
| 3.97%, 11/01/47 (a) | 344,000 | 255,816 |
| 4.15%, 10/15/28 (a) | 341,000 | 322,982 |
| CommonSpirit Health | | |
| 4.35%, 11/01/42 | 1,029,000 | 828,489 |
| Commonwealth Bank of Australia | | |
| 3.78%, 03/14/32 (a)(g) | 800,000 | 645,992 |
| Conagra Brands, Inc. | | |
| 5.30%, 11/01/38 (a) | 154,000 | 134,973 |
| 5.40%, 11/01/48 (a) | 133,000 | 112,320 |
| ConocoPhillips Co. | | |
| 4.30%, 11/15/44 (a) | 313,000 | 252,766 |
| 5.55%, 03/15/54 (a) | 665,000 | 631,597 |
| 5.70%, 09/15/63 (a) | 785,000 | 746,543 |
| Consolidated Edison Co. of New York, Inc. | | |
| 2.90%, 12/01/26 (a) | 417,000 | 379,324 |
| 3.35%, 04/01/30 (a) | 160,000 | 140,306 |
| 3.88%, 06/15/47 (a) | 191,000 | 136,953 |
| 3.95%, 04/01/50 (a) | 268,000 | 198,090 |
| Constellation Brands, Inc. | | |
| 3.15%, 08/01/29 (a) | 700,000 | 613,403 |
| 3.70%, 12/06/26 (a) | 326,000 | 307,509 |
| 4.50%, 05/09/47 (a) | 253,000 | 200,505 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 19 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Constellation Energy Generation LLC | | |
| 6.50%, 10/01/53 (a) | $ 455,000 | $ 456,674 |
| Continental Resources, Inc. | | |
| 2.88%, 04/01/32 (a)(g) | 558,000 | 417,496 |
| 3.80%, 06/01/24 (a) | 2,677,000 | 2,630,527 |
| Corebridge Financial, Inc. | | |
| 3.90%, 04/05/32 (a) | 1,663,000 | 1,396,222 |
| Corning, Inc. | | |
| 4.38%, 11/15/57 (a) | 169,000 | 126,919 |
| Corp. Nacional del Cobre de Chile | | |
| 6.30%, 09/08/53 (a)(g) | 540,000 | 513,605 |
| Corporate Office Properties LP | | |
| 2.00%, 01/15/29 (a) | 568,000 | 443,409 |
| 2.25%, 03/15/26 (a) | 471,000 | 424,574 |
| 2.75%, 04/15/31 (a) | 293,000 | 219,015 |
| Credit Suisse AG | | |
| 2.95%, 04/09/25 (a) | 1,080,000 | 1,025,978 |
| Crown Castle, Inc. | | |
| 2.90%, 03/15/27 (a) | 1,201,000 | 1,088,262 |
| 3.30%, 07/01/30 (a) | 938,000 | 791,372 |
| 4.15%, 07/01/50 (a) | 140,000 | 99,716 |
| 5.20%, 02/15/49 (a) | 220,000 | 183,680 |
| CSL Finance PLC | | |
| 4.25%, 04/27/32 (a)(g) | 786,000 | 710,756 |
| CSX Corp. | | |
| 4.50%, 03/15/49 - 08/01/54 (a) | 499,000 | 403,086 |
| CubeSmart LP | | |
| 2.50%, 02/15/32 (a) | 678,000 | 515,768 |
| 4.38%, 02/15/29 (a) | 505,000 | 465,499 |
| Cummins, Inc. | | |
| 1.50%, 09/01/30 (a) | 345,000 | 269,293 |
| 2.60%, 09/01/50 (a) | 345,000 | 199,055 |
| CVS Health Corp. | | |
| 3.00%, 08/15/26 (a) | 423,000 | 393,242 |
| 3.25%, 08/15/29 (a) | 350,000 | 306,156 |
| 3.63%, 04/01/27 (a) | 398,000 | 371,756 |
| 3.75%, 04/01/30 (a) | 290,000 | 256,415 |
| 3.88%, 07/20/25 (a) | 245,000 | 236,660 |
| 4.25%, 04/01/50 (a) | 211,000 | 155,811 |
| 4.30%, 03/25/28 (a) | 35,000 | 33,099 |
| 4.78%, 03/25/38 (a) | 260,000 | 223,709 |
| 5.00%, 12/01/24 (a) | 570,000 | 563,935 |
| 5.13%, 07/20/45 (a) | 252,000 | 211,982 |
| 5.30%, 06/01/33 - 12/05/43 (a) | 1,431,000 | 1,322,629 |
| 5.88%, 06/01/53 (a) | 360,000 | 333,252 |
| 6.00%, 06/01/63 (a) | 175,000 | 160,706 |
| Daimler Truck Finance North America LLC | | |
| 2.38%, 12/14/28 (a)(g) | 845,000 | 716,856 |
| 2.50%, 12/14/31 (a)(g) | 845,000 | 656,117 |
| Dell International LLC/EMC Corp. | | |
| 4.00%, 07/15/24 (a) | 611,000 | 601,352 |
| | Principal
Amount | Fair
Value |
| 6.02%, 06/15/26 (a) | $ 55,000 | $ 55,169 |
| 8.35%, 07/15/46 (a) | 25,000 | 29,115 |
| Deutsche Bank AG | | |
| 3.70%, 05/30/24 (a) | 300,000 | 293,853 |
| 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 | 1,628,639 |
| 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 | 718,540 |
| Deutsche Bank AG (7.08% fixed rate until 11/10/32; 3.65% + SOFR thereafter) | | |
| 7.08%, 02/10/34 (a)(b) | 810,000 | 731,252 |
| Deutsche Telekom AG | | |
| 3.63%, 01/21/50 (a)(g) | 309,000 | 209,993 |
| DH Europe Finance II Sarl | | |
| 2.60%, 11/15/29 (a) | 333,000 | 285,627 |
| 3.25%, 11/15/39 (a) | 188,000 | 140,547 |
| 3.40%, 11/15/49 (a) | 98,000 | 67,990 |
| Diamondback Energy, Inc. | | |
| 3.13%, 03/24/31 (a) | 466,000 | 388,616 |
| 3.25%, 12/01/26 (a) | 292,000 | 272,751 |
| 3.50%, 12/01/29 (a) | 251,000 | 222,918 |
| 4.40%, 03/24/51 (a) | 231,000 | 170,376 |
| Digital Realty Trust LP | | |
| 3.60%, 07/01/29 (a) | 545,000 | 481,458 |
| Discover Bank | | |
| 2.70%, 02/06/30 (a) | 535,000 | 413,068 |
| Discovery Communications LLC | | |
| 3.95%, 03/20/28 (a) | 245,000 | 223,185 |
| 4.95%, 05/15/42 (a) | 93,000 | 67,294 |
| 5.00%, 09/20/37 (a) | 112,000 | 91,398 |
| Dollar General Corp. | | |
| 3.50%, 04/03/30 (a) | 199,000 | 169,640 |
| 4.13%, 04/03/50 (a) | 296,000 | 200,093 |
| Dollar Tree, Inc. | | |
| 4.00%, 05/15/25 (a) | 393,000 | 380,338 |
| Dominion Energy, Inc. | | |
| 3.07%, 08/15/24 (a)(f) | 470,000 | 457,705 |
| 3.38%, 04/01/30 (a) | 548,000 | 471,329 |
| Dover Corp. | | |
| 2.95%, 11/04/29 (a) | 342,000 | 295,221 |
| Dow Chemical Co. | | |
| 2.10%, 11/15/30 (a) | 262,000 | 207,625 |
| 3.60%, 11/15/50 (a) | 262,000 | 175,710 |
| 4.25%, 10/01/34 (a) | 161,000 | 139,796 |
| 6.30%, 03/15/33 (a) | 668,000 | 688,481 |
| DTE Energy Co. | | |
| 2.85%, 10/01/26 (a) | 174,000 | 159,739 |
| Duke Energy Carolinas LLC | | |
| 3.95%, 03/15/48 (a) | 219,000 | 160,856 |
| Duke Energy Corp. | | |
| 2.55%, 06/15/31 (a) | 840,000 | 665,490 |
| 3.30%, 06/15/41 (a) | 762,000 | 522,100 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 20 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 3.50%, 06/15/51 (a) | $ 762,000 | $ 492,260 |
| 3.75%, 09/01/46 (a) | 1,165,000 | 803,279 |
| 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 | 1,093,173 |
| Duke Energy Progress LLC | | |
| 4.15%, 12/01/44 (a) | 208,000 | 158,710 |
| DuPont de Nemours, Inc. | | |
| 5.42%, 11/15/48 (a) | 123,000 | 112,764 |
| Duquesne Light Holdings, Inc. | | |
| 3.62%, 08/01/27 (a)(g) | 575,000 | 514,470 |
| Eastman Chemical Co. | | |
| 4.65%, 10/15/44 (a) | 340,000 | 261,185 |
| Eaton Corp. | | |
| 3.10%, 09/15/27 (a) | 210,000 | 193,368 |
| Edison International | | |
| 4.95%, 04/15/25 (a) | 873,000 | 855,051 |
| 5.75%, 06/15/27 (a) | 109,000 | 107,869 |
| EIDP, Inc. | | |
| 2.30%, 07/15/30 (a) | 258,000 | 208,895 |
| Electronic Arts, Inc. | | |
| 1.85%, 02/15/31 (a) | 431,000 | 334,090 |
| Elevance Health, Inc. | | |
| 2.88%, 09/15/29 (a) | 169,000 | 145,629 |
| 3.60%, 03/15/51 (a) | 185,000 | 126,189 |
| 3.70%, 09/15/49 (a) | 169,000 | 118,258 |
| 5.13%, 02/15/53 (a) | 129,000 | 114,438 |
| 6.10%, 10/15/52 (a) | 294,000 | 293,744 |
| Eli Lilly & Co. | | |
| 4.95%, 02/27/63 (a) | 179,000 | 161,691 |
| Emera U.S. Finance LP | | |
| 2.64%, 06/15/31 (a) | 848,000 | 654,724 |
| Emerson Electric Co. | | |
| 1.80%, 10/15/27 (a) | 223,000 | 194,964 |
| 2.75%, 10/15/50 (a) | 170,000 | 100,790 |
| Enbridge Energy Partners LP | | |
| 5.50%, 09/15/40 (a) | 48,000 | 42,203 |
| Enbridge, Inc. | | |
| 1.60%, 10/04/26 (a) | 1,431,000 | 1,271,687 |
| 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 | 749,730 |
| Energy Transfer LP | | |
| 4.50%, 04/15/24 (a) | 364,000 | 360,800 |
| 4.95%, 06/15/28 (a) | 111,000 | 106,027 |
| 5.30%, 04/01/44 - 04/15/47 (a) | 564,000 | 456,915 |
| 5.35%, 05/15/45 (a) | 466,000 | 380,876 |
| 5.75%, 02/15/33 (a) | 336,000 | 323,272 |
| 6.13%, 12/15/45 (a) | 93,000 | 83,050 |
| 6.50%, 02/01/42 (a) | 262,000 | 249,807 |
| | Principal
Amount | Fair
Value |
| 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 | $ 2,300,728 |
| Energy Transfer LP/Regency Energy Finance Corp. | | |
| 4.50%, 11/01/23 (a) | 234,000 | 233,478 |
| Enterprise Products Operating LLC | | |
| 4.25%, 02/15/48 (a) | 490,000 | 383,351 |
| Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.30% + 3-month Term SOFR) | | |
| 5.25%, 08/16/77 (a)(b) | 159,000 | 140,303 |
| EOG Resources, Inc. | | |
| 4.15%, 01/15/26 (a) | 220,000 | 213,585 |
| 4.95%, 04/15/50 (a) | 171,000 | 150,887 |
| 5.10%, 01/15/36 (a) | 137,000 | 123,980 |
| Equinix, Inc. | | |
| 1.25%, 07/15/25 (a) | 644,000 | 592,416 |
| 2.15%, 07/15/30 (a) | 487,000 | 381,228 |
| Equinor ASA | | |
| 3.25%, 11/18/49 (a) | 435,000 | 291,211 |
| ERP Operating LP | | |
| 4.50%, 07/01/44 (a) | 113,000 | 89,416 |
| Estee Lauder Cos., Inc. | | |
| 2.38%, 12/01/29 (a) | 266,000 | 223,256 |
| Everest Reinsurance Holdings, Inc. | | |
| 3.13%, 10/15/52 (a) | 568,000 | 337,375 |
| Eversource Energy | | |
| 3.45%, 01/15/50 (a) | 371,000 | 241,358 |
| Exelon Corp. | | |
| 4.05%, 04/15/30 (a) | 561,000 | 505,096 |
| 4.45%, 04/15/46 (a) | 349,000 | 271,791 |
| 4.70%, 04/15/50 (a) | 373,000 | 297,121 |
| Extra Space Storage LP | | |
| 2.20%, 10/15/30 (a) | 482,000 | 373,767 |
| 3.90%, 04/01/29 (a) | 314,000 | 281,617 |
| Exxon Mobil Corp. | | |
| 2.61%, 10/15/30 (a) | 1,026,000 | 866,242 |
| 3.45%, 04/15/51 (a) | 532,000 | 370,421 |
| FedEx Corp. | | |
| 4.10%, 02/01/45 (a) | 753,000 | 561,678 |
| Fidelity National Financial, Inc. | | |
| 3.20%, 09/17/51 (a) | 531,000 | 293,070 |
| Fidelity National Information Services, Inc. | | |
| 1.15%, 03/01/26 (a) | 434,000 | 388,556 |
| 1.65%, 03/01/28 (a) | 392,000 | 331,318 |
| 3.10%, 03/01/41 (a) | 93,000 | 61,417 |
| FirstEnergy Transmission LLC | | |
| 4.55%, 04/01/49 (a)(g) | 681,000 | 530,812 |
| Fiserv, Inc. | | |
| 3.50%, 07/01/29 (a) | 229,000 | 203,854 |
| 4.40%, 07/01/49 (a) | 133,000 | 101,913 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 21 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Florida Power & Light Co. | | |
| 2.85%, 04/01/25 (a) | $ 941,000 | $ 903,209 |
| 4.13%, 02/01/42 (a) | 204,000 | 164,965 |
| Flowers Foods, Inc. | | |
| 2.40%, 03/15/31 (a) | 416,000 | 326,498 |
| Flowserve Corp. | | |
| 2.80%, 01/15/32 (a) | 529,000 | 404,352 |
| Ford Motor Credit Co. LLC | | |
| 3.81%, 01/09/24 (a) | 945,000 | 935,607 |
| Freeport-McMoRan, Inc. | | |
| 4.25%, 03/01/30 (a) | 605,000 | 535,461 |
| GA Global Funding Trust | | |
| 1.63%, 01/15/26 (a)(g) | 627,000 | 559,422 |
| General Dynamics Corp. | | |
| 4.25%, 04/01/50 (a) | 262,000 | 215,327 |
| General Mills, Inc. | | |
| 3.00%, 02/01/51 (a) | 274,000 | 169,053 |
| General Motors Co. | | |
| 5.20%, 04/01/45 (a) | 51,000 | 39,700 |
| 5.40%, 04/01/48 (a) | 119,000 | 93,890 |
| 6.13%, 10/01/25 (a) | 655,000 | 653,683 |
| 6.80%, 10/01/27 (a) | 276,000 | 281,495 |
| General Motors Financial Co., Inc. | | |
| 1.25%, 01/08/26 (a) | 778,000 | 695,353 |
| 2.35%, 01/08/31 (a) | 341,000 | 257,274 |
| 5.25%, 03/01/26 (a) | 271,000 | 264,713 |
| 5.85%, 04/06/30 (a) | 2,332,000 | 2,232,494 |
| Genuine Parts Co. | | |
| 2.75%, 02/01/32 (a) | 358,000 | 278,735 |
| George Washington University | | |
| 4.13%, 09/15/48 | 905,000 | 717,041 |
| Georgia-Pacific LLC | | |
| 1.75%, 09/30/25 (a)(g) | 870,000 | 804,019 |
| 3.60%, 03/01/25 (a)(g) | 1,527,000 | 1,479,510 |
| Gilead Sciences, Inc. | | |
| 2.60%, 10/01/40 (a) | 286,000 | 188,039 |
| 2.95%, 03/01/27 (a) | 64,000 | 59,052 |
| 3.50%, 02/01/25 (a) | 228,000 | 221,445 |
| 3.65%, 03/01/26 (a) | 208,000 | 199,081 |
| 4.15%, 03/01/47 (a) | 136,000 | 107,401 |
| 4.60%, 09/01/35 (a) | 397,000 | 362,032 |
| 5.25%, 10/15/33 (a) | 1,080,000 | 1,053,432 |
| 5.55%, 10/15/53 (a) | 265,000 | 254,564 |
| GlaxoSmithKline Capital PLC | | |
| 3.38%, 06/01/29 (a) | 424,000 | 386,896 |
| GlaxoSmithKline Capital, Inc. | | |
| 3.63%, 05/15/25 (a) | 478,000 | 464,874 |
| Glencore Funding LLC | | |
| 3.88%, 04/27/51 (a)(g) | 430,000 | 284,376 |
| Goldman Sachs Group, Inc. | | |
| 3.85%, 01/26/27 (a) | 1,685,000 | 1,580,176 |
| 4.25%, 10/21/25 (a) | 437,000 | 420,857 |
| 5.15%, 05/22/45 (a) | 131,000 | 112,327 |
| | Principal
Amount | Fair
Value |
| 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 | $ 261,109 |
| 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 | 181,335 |
| 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 | 288,866 |
| 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 | 497,274 |
| 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 | 179,804 |
| Goldman Sachs Group, Inc. (4.02% fixed rate until 10/31/37; 1.64% + 3-month Term SOFR) | | |
| 4.02%, 10/31/38 (a)(b) | 205,000 | 161,409 |
| 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 | 301,697 |
| Graphic Packaging International LLC | | |
| 1.51%, 04/15/26 (a)(g) | 528,000 | 466,235 |
| Gray Oak Pipeline LLC | | |
| 2.60%, 10/15/25 (a)(g) | 790,000 | 728,364 |
| Haleon U.S. Capital LLC | | |
| 3.38%, 03/24/27 (a) | 1,465,000 | 1,359,593 |
| 3.63%, 03/24/32 (a) | 610,000 | 523,459 |
| 4.00%, 03/24/52 (a) | 250,000 | 185,180 |
| Halliburton Co. | | |
| 3.80%, 11/15/25 (a) | 3,000 | 2,901 |
| 5.00%, 11/15/45 (a) | 148,000 | 125,104 |
| Hartford Financial Services Group, Inc. (7.75% fixed rate until 10/30/23; 2.39% + 3-month Term SOFR) | | |
| 7.75%, 02/12/67 (a)(b)(g) | 476,000 | 407,318 |
| HCA, Inc. | | |
| 3.13%, 03/15/27 (a) | 1,101,000 | 999,543 |
| 3.50%, 09/01/30 (a) | 392,000 | 332,098 |
| 3.63%, 03/15/32 (a) | 310,000 | 257,074 |
| 4.63%, 03/15/52 (a) | 655,000 | 491,440 |
| 5.38%, 02/01/25 (a) | 2,957,000 | 2,926,513 |
| Health Care Service Corp. A Mutual Legal Reserve Co. | | |
| 2.20%, 06/01/30 (a)(g) | 474,000 | 379,593 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 22 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 3.20%, 06/01/50 (a)(g) | $ 171,000 | $ 108,144 |
| Healthcare Realty Holdings LP | | |
| 2.00%, 03/15/31 (a) | 282,000 | 210,933 |
| Helmerich & Payne, Inc. | | |
| 2.90%, 09/29/31 (a) | 285,000 | 224,911 |
| Hess Corp. | | |
| 5.60%, 02/15/41 (a) | 76,000 | 68,639 |
| 5.80%, 04/01/47 (a) | 47,000 | 42,700 |
| Hewlett Packard Enterprise Co. | | |
| 6.35%, 10/15/45 (a) | 82,000 | 79,581 |
| Highwoods Realty LP | | |
| 4.13%, 03/15/28 (a) | 205,000 | 182,329 |
| 4.20%, 04/15/29 (a) | 500,000 | 424,105 |
| Home Depot, Inc. | | |
| 2.70%, 04/15/30 (a) | 196,000 | 167,037 |
| 3.35%, 04/15/50 (a) | 341,000 | 232,344 |
| 3.50%, 09/15/56 (a) | 186,000 | 126,000 |
| 3.90%, 12/06/28 (a) | 184,000 | 173,437 |
| 4.50%, 12/06/48 (a) | 149,000 | 124,863 |
| Honeywell International, Inc. | | |
| 1.75%, 09/01/31 (a) | 534,000 | 409,557 |
| 2.70%, 08/15/29 (a) | 388,000 | 338,383 |
| Hormel Foods Corp. | | |
| 1.80%, 06/11/30 (a) | 694,000 | 556,886 |
| 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 | 946,044 |
| 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 | 921,930 |
| HSBC Holdings PLC (2.87% fixed rate until 11/22/31; 1.41% + SOFR thereafter) | | |
| 2.87%, 11/22/32 (a)(b) | 520,000 | 399,740 |
| 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 | 1,043,141 |
| 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 | 794,797 |
| 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 | 1,120,332 |
| HSBC Holdings PLC (6.00% fixed rate until 5/22/27; 3.75% + 5 year US ISDA thereafter) | | |
| 6.00%, 05/22/27 (a)(b) | 801,000 | 712,746 |
| 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 | 1,054,910 |
| | Principal
Amount | Fair
Value |
| Humana, Inc. | | |
| 1.35%, 02/03/27 (a) | $ 855,000 | $ 744,825 |
| 2.15%, 02/03/32 (a) | 429,000 | 323,741 |
| Huntington Bancshares, Inc. | | |
| 2.55%, 02/04/30 (a) | 681,000 | 536,778 |
| Huntington Ingalls Industries, Inc. | | |
| 2.04%, 08/16/28 (a) | 929,000 | 778,966 |
| Huntsman International LLC | | |
| 4.50%, 05/01/29 (a) | 721,000 | 651,416 |
| Hyundai Capital America | | |
| 1.30%, 01/08/26 (a)(g) | 1,306,000 | 1,176,536 |
| Imperial Brands Finance PLC | | |
| 3.13%, 07/26/24 (a)(g) | 844,000 | 822,841 |
| 3.50%, 07/26/26 (a)(g) | 388,000 | 363,312 |
| 6.13%, 07/27/27 (g) | 500,000 | 497,510 |
| Indiana Michigan Power Co. | | |
| 3.25%, 05/01/51 (a) | 378,000 | 237,596 |
| ING Groep NV (6.35% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | | |
| 6.35%, 04/01/27 (a)(b) | 836,000 | 824,129 |
| Ingersoll Rand, Inc. | | |
| 5.70%, 08/14/33 (a) | 1,080,000 | 1,042,362 |
| Ingredion, Inc. | | |
| 3.90%, 06/01/50 (a) | 180,000 | 120,046 |
| Intel Corp. | | |
| 2.00%, 08/12/31 (a) | 530,000 | 414,343 |
| 2.45%, 11/15/29 (a) | 656,000 | 556,767 |
| 2.80%, 08/12/41 (a) | 613,000 | 400,412 |
| 3.10%, 02/15/60 (a) | 312,000 | 179,222 |
| 5.63%, 02/10/43 (a) | 724,000 | 688,423 |
| 5.70%, 02/10/53 (a) | 512,000 | 479,969 |
| 5.90%, 02/10/63 (a) | 390,000 | 369,864 |
| Intercontinental Exchange, Inc. | | |
| 1.85%, 09/15/32 (a) | 172,000 | 125,744 |
| 2.65%, 09/15/40 (a) | 115,000 | 75,103 |
| International Business Machines Corp. | | |
| 3.45%, 02/19/26 (a) | 601,000 | 572,687 |
| 4.15%, 05/15/39 (a) | 470,000 | 381,386 |
| 4.25%, 05/15/49 (a) | 227,000 | 175,330 |
| International Paper Co. | | |
| 4.40%, 08/15/47 (a) | 253,000 | 194,952 |
| Interstate Power & Light Co. | | |
| 3.40%, 08/15/25 (a) | 1,457,000 | 1,389,759 |
| Intuit, Inc. | | |
| 5.50%, 09/15/53 (a) | 670,000 | 642,148 |
| ITC Holdings Corp. | | |
| 2.95%, 05/14/30 (a)(g) | 934,000 | 773,623 |
| JAB Holdings BV | | |
| 2.20%, 11/23/30 (a)(g) | 498,000 | 378,614 |
| Jabil, Inc. | | |
| 3.95%, 01/12/28 (a) | 266,000 | 245,542 |
| 4.25%, 05/15/27 (a) | 1,436,000 | 1,355,799 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 23 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Jacobs Engineering Group, Inc. | | |
| 5.90%, 03/01/33 (a) | $ 1,766,000 | $ 1,672,879 |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | |
| 2.50%, 01/15/27 (a) | 2,521,000 | 2,225,867 |
| 5.13%, 02/01/28 (a) | 1,085,000 | 1,031,141 |
| 5.75%, 04/01/33 (a) | 361,000 | 329,412 |
| Jefferies Financial Group, Inc. | | |
| 5.88%, 07/21/28 (a) | 1,299,000 | 1,270,929 |
| John Deere Capital Corp. | | |
| 2.45%, 01/09/30 (a) | 609,000 | 517,084 |
| 3.90%, 06/07/32 (a) | 291,000 | 261,606 |
| 5.15%, 09/08/33 (a) | 2,594,000 | 2,535,376 |
| Johnson & Johnson | | |
| 3.63%, 03/03/37 (a) | 186,000 | 156,394 |
| Johnson Controls International PLC | | |
| 4.50%, 02/15/47 (a) | 108,000 | 86,433 |
| JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | | |
| 1.58%, 04/22/27 (a)(b) | 965,000 | 860,761 |
| 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 | 2,677,342 |
| 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 | 459,307 |
| JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | | |
| 3.16%, 04/22/42 (a)(b) | 466,000 | 319,112 |
| 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 | 291,040 |
| 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 | 789,725 |
| 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 | 585,611 |
| 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 | 233,107 |
| | Principal
Amount | Fair
Value |
| 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 | $ 184,553 |
| 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 | 777,163 |
| 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 | 894,405 |
| Kaiser Foundation Hospitals | | |
| 3.00%, 06/01/51 (a) | 521,000 | 325,010 |
| 3.27%, 11/01/49 (a) | 693,000 | 459,473 |
| Kenvue, Inc. | | |
| 4.90%, 03/22/33 (a)(g) | 1,686,000 | 1,611,344 |
| 5.05%, 03/22/53 (a)(g) | 430,000 | 389,601 |
| 5.20%, 03/22/63 (a)(g) | 299,000 | 269,010 |
| Keurig Dr Pepper, Inc. | | |
| 3.20%, 05/01/30 (a) | 381,000 | 327,942 |
| 3.80%, 05/01/50 (a) | 290,000 | 204,818 |
| KeyBank NA | | |
| 4.90%, 08/08/32 (a) | 1,000,000 | 802,890 |
| KeyBank NA (5.66% fixed rate until 10/30/23; 0.32% + SOFR thereafter) | | |
| 5.66%, 06/14/24 (a)(b) | 2,700,000 | 2,653,884 |
| Kinder Morgan Energy Partners LP | | |
| 4.70%, 11/01/42 (a) | 65,000 | 50,404 |
| 5.00%, 03/01/43 (a) | 130,000 | 104,784 |
| 6.38%, 03/01/41 (a) | 112,000 | 105,810 |
| Kinder Morgan, Inc. | | |
| 1.75%, 11/15/26 (a) | 1,663,000 | 1,479,455 |
| 5.05%, 02/15/46 (a) | 105,000 | 83,994 |
| 5.20%, 06/01/33 (a) | 377,000 | 348,646 |
| KLA Corp. | | |
| 3.30%, 03/01/50 (a) | 340,000 | 226,151 |
| Kraft Heinz Foods Co. | | |
| 5.20%, 07/15/45 (a) | 540,000 | 469,827 |
| Kyndryl Holdings, Inc. | | |
| 2.05%, 10/15/26 (a) | 664,000 | 578,683 |
| 2.70%, 10/15/28 (a) | 1,142,000 | 938,279 |
| L3Harris Technologies, Inc. | | |
| 3.85%, 12/15/26 (a) | 276,000 | 261,342 |
| Lear Corp. | | |
| 4.25%, 05/15/29 (a) | 227,000 | 206,066 |
| Leidos, Inc. | | |
| 3.63%, 05/15/25 (a) | 285,000 | 273,623 |
| 4.38%, 05/15/30 (a) | 1,243,000 | 1,110,931 |
| 5.75%, 03/15/33 (a) | 676,000 | 646,520 |
| Liberty Mutual Group, Inc. | | |
| 3.95%, 05/15/60 (a)(g) | 171,000 | 107,397 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 24 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Lincoln National Corp. | | |
| 4.35%, 03/01/48 (a) | $ 545,000 | $ 374,344 |
| 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 | 746,388 |
| Lloyds Banking Group PLC | | |
| 3.75%, 01/11/27 (a) | 372,000 | 345,934 |
| 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 | 757,488 |
| Lockheed Martin Corp. | | |
| 3.55%, 01/15/26 (a) | 122,000 | 117,374 |
| 3.80%, 03/01/45 (a) | 98,000 | 74,770 |
| 4.50%, 05/15/36 (a) | 312,000 | 284,148 |
| Lowe's Cos., Inc. | | |
| 1.30%, 04/15/28 (a) | 227,000 | 188,871 |
| 1.70%, 09/15/28 - 10/15/30 (a) | 705,000 | 576,649 |
| 3.00%, 10/15/50 (a) | 344,000 | 202,365 |
| 3.70%, 04/15/46 (a) | 121,000 | 83,771 |
| 4.05%, 05/03/47 (a) | 289,000 | 212,768 |
| 5.63%, 04/15/53 (a) | 540,000 | 490,844 |
| LYB International Finance III LLC | | |
| 1.25%, 10/01/25 (a) | 270,000 | 245,989 |
| 3.63%, 04/01/51 (a) | 172,000 | 109,586 |
| 3.80%, 10/01/60 (a) | 171,000 | 104,387 |
| 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 | 2,095,028 |
| Marsh & McLennan Cos., Inc. | | |
| 2.90%, 12/15/51 (a) | 335,000 | 201,064 |
| Masco Corp. | | |
| 3.50%, 11/15/27 (a) | 99,000 | 90,427 |
| McCormick & Co., Inc. | | |
| 1.85%, 02/15/31 (a) | 247,000 | 187,893 |
| 3.25%, 11/15/25 (a) | 2,468,000 | 2,342,552 |
| McDonald's Corp. | | |
| 3.60%, 07/01/30 (a) | 512,000 | 457,477 |
| 3.63%, 09/01/49 (a) | 208,000 | 146,526 |
| Medtronic Global Holdings SCA | | |
| 4.50%, 03/30/33 (a) | 2,383,000 | 2,217,882 |
| Medtronic, Inc. | | |
| 4.63%, 03/15/45 (a) | 45,000 | 39,431 |
| Memorial Sloan-Kettering Cancer Center | | |
| 4.13%, 07/01/52 (a) | 593,000 | 455,584 |
| Mercedes-Benz Finance North America LLC | | |
| 5.38%, 11/26/25 (a)(g) | 1,788,000 | 1,779,435 |
| Merck & Co., Inc. | | |
| 1.90%, 12/10/28 (a) | 992,000 | 845,868 |
| 2.45%, 06/24/50 (a) | 468,000 | 268,581 |
| | Principal
Amount | Fair
Value |
| 2.75%, 12/10/51 (a) | $ 330,000 | $ 199,346 |
| 2.90%, 12/10/61 (a) | 184,000 | 105,655 |
| 4.00%, 03/07/49 (a) | 124,000 | 97,123 |
| 4.50%, 05/17/33 (a) | 1,400,000 | 1,309,840 |
| 5.00%, 05/17/53 (a) | 397,000 | 361,762 |
| Meta Platforms, Inc. | | |
| 3.85%, 08/15/32 (a) | 1,087,000 | 964,571 |
| 4.45%, 08/15/52 (a) | 725,000 | 573,729 |
| MetLife, Inc. | | |
| 4.72%, 12/15/44 (a) | 196,000 | 161,851 |
| Micron Technology, Inc. | | |
| 3.37%, 11/01/41 (a) | 444,000 | 291,779 |
| 3.48%, 11/01/51 (a) | 620,000 | 378,739 |
| Microsoft Corp. | | |
| 2.40%, 08/08/26 (a) | 244,000 | 226,642 |
| 2.68%, 06/01/60 (a) | 137,000 | 80,512 |
| 2.92%, 03/17/52 (a) | 1,038,000 | 681,053 |
| 3.45%, 08/08/36 (a) | 92,000 | 77,552 |
| 3.50%, 02/12/35 (a) | 248,000 | 215,812 |
| Mid-America Apartments LP | | |
| 2.88%, 09/15/51 (a) | 529,000 | 305,535 |
| Mitsubishi UFJ Financial Group, Inc. | | |
| 2.80%, 07/18/24 (a) | 1,191,000 | 1,161,761 |
| Mizuho Financial Group, Inc. | | |
| 2.84%, 09/13/26 (a) | 3,618,000 | 3,317,236 |
| Molson Coors Beverage Co. | | |
| 4.20%, 07/15/46 (a) | 109,000 | 81,815 |
| Morgan Stanley | | |
| 3.63%, 01/20/27 (a) | 243,000 | 226,787 |
| 3.97%, 07/22/38 (a)(b) | 231,000 | 182,767 |
| 4.35%, 09/08/26 (a) | 685,000 | 653,147 |
| 4.38%, 01/22/47 (a) | 258,000 | 202,932 |
| Morgan Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) | | |
| 1.51%, 07/20/27 (a)(b) | 531,000 | 467,577 |
| Morgan Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) | | |
| 2.48%, 09/16/36 (a)(b) | 2,124,000 | 1,552,134 |
| Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | | |
| 2.80%, 01/25/52 (a)(b) | 1,180,000 | 687,456 |
| Morgan Stanley (2.94% fixed rate until 01/21/32; 1.29% + SOFR thereafter) | | |
| 2.94%, 01/21/33 (a)(b) | 1,680,000 | 1,320,413 |
| MPLX LP | | |
| 2.65%, 08/15/30 (a) | 394,000 | 317,930 |
| 5.20%, 12/01/47 (a) | 119,000 | 96,375 |
| Mylan, Inc. | | |
| 5.20%, 04/15/48 (a) | 170,000 | 123,201 |
| Nasdaq, Inc. | | |
| 5.95%, 08/15/53 (a) | 260,000 | 242,861 |
| 6.10%, 06/28/63 (a) | 355,000 | 328,719 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 25 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 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 | $ 944,730 |
| 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 | 547,279 |
| Nevada Power Co. | | |
| 6.00%, 03/15/54 (a) | 405,000 | 395,924 |
| NewMarket Corp. | | |
| 2.70%, 03/18/31 (a) | 351,000 | 275,135 |
| Newmont Corp. | | |
| 4.88%, 03/15/42 (a) | 198,000 | 169,460 |
| 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 | 313,245 |
| NGPL PipeCo LLC | | |
| 3.25%, 07/15/31 (a)(g) | 551,000 | 437,670 |
| NIKE, Inc. | | |
| 3.38%, 03/27/50 (a) | 168,000 | 119,562 |
| 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 | 662,268 |
| NiSource, Inc. | | |
| 3.60%, 05/01/30 (a) | 381,000 | 331,958 |
| 3.95%, 03/30/48 (a) | 111,000 | 79,265 |
| 5.25%, 03/30/28 (a) | 2,777,000 | 2,721,682 |
| NNN REIT, Inc. | | |
| 4.00%, 11/15/25 (a) | 320,000 | 306,429 |
| Norfolk Southern Corp. | | |
| 3.95%, 10/01/42 (a) | 215,000 | 164,641 |
| Northern Trust Corp. | | |
| 6.13%, 11/02/32 (a) | 724,000 | 713,944 |
| Northwestern Mutual Life Insurance Co. | | |
| 3.45%, 03/30/51 (a)(g) | 907,000 | 576,045 |
| NOV, Inc. | | |
| 3.60%, 12/01/29 (a) | 510,000 | 445,771 |
| Novant Health, Inc. | | |
| 3.32%, 11/01/61 (a) | 363,000 | 222,693 |
| Novartis Capital Corp. | | |
| 2.20%, 08/14/30 (a) | 558,000 | 462,470 |
| 3.00%, 11/20/25 (a) | 48,000 | 45,729 |
| Nutrien Ltd. | | |
| 4.90%, 03/27/28 - 06/01/43 (a) | 2,068,000 | 1,966,620 |
| NVIDIA Corp. | | |
| 2.85%, 04/01/30 (a) | 171,000 | 148,893 |
| 3.50%, 04/01/50 (a) | 227,000 | 165,422 |
| | Principal
Amount | Fair
Value |
| NXP BV/NXP Funding LLC/NXP USA, Inc. | | |
| 3.25%, 11/30/51 (a) | $ 880,000 | $ 534,090 |
| Occidental Petroleum Corp. | | |
| 6.13%, 01/01/31 (a) | 1,192,000 | 1,174,692 |
| Oklahoma Gas & Electric Co. | | |
| 3.25%, 04/01/30 (a) | 313,000 | 270,060 |
| Oncor Electric Delivery Co. LLC | | |
| 3.80%, 09/30/47 (a) | 124,000 | 90,697 |
| ONEOK, Inc. | | |
| 4.35%, 03/15/29 (a) | 317,000 | 291,710 |
| 5.80%, 11/01/30 (a) | 2,700,000 | 2,642,247 |
| 6.10%, 11/15/32 (a) | 520,000 | 513,531 |
| 6.63%, 09/01/53 (a) | 864,000 | 845,502 |
| Oracle Corp. | | |
| 1.65%, 03/25/26 (a) | 634,000 | 574,068 |
| 2.30%, 03/25/28 (a) | 234,000 | 202,520 |
| 2.65%, 07/15/26 (a) | 354,000 | 326,346 |
| 2.88%, 03/25/31 (a) | 338,000 | 276,105 |
| 2.95%, 04/01/30 (a) | 513,000 | 430,838 |
| 3.60%, 04/01/50 (a) | 341,000 | 220,392 |
| 3.65%, 03/25/41 (a) | 373,000 | 266,039 |
| 3.80%, 11/15/37 (a) | 108,000 | 82,265 |
| 3.95%, 03/25/51 (a) | 374,000 | 256,317 |
| 4.00%, 07/15/46 - 11/15/47 (a) | 511,000 | 358,485 |
| 4.10%, 03/25/61 (a) | 443,000 | 294,555 |
| 5.55%, 02/06/53 (a) | 327,000 | 286,599 |
| 6.15%, 11/09/29 (a) | 1,272,000 | 1,291,322 |
| 6.90%, 11/09/52 (a) | 343,000 | 353,197 |
| Otis Worldwide Corp. | | |
| 2.06%, 04/05/25 (a) | 590,000 | 556,883 |
| 2.57%, 02/15/30 (a) | 210,000 | 174,086 |
| 3.36%, 02/15/50 (a) | 199,000 | 132,618 |
| Owens Corning | | |
| 4.40%, 01/30/48 (a) | 146,000 | 111,326 |
| Pacific Gas & Electric Co. | | |
| 2.10%, 08/01/27 (a) | 313,000 | 267,271 |
| 2.50%, 02/01/31 (a) | 560,000 | 425,242 |
| 3.00%, 06/15/28 (a) | 528,000 | 452,612 |
| 3.30%, 08/01/40 (a) | 560,000 | 359,498 |
| 3.50%, 08/01/50 (a) | 244,000 | 145,434 |
| 4.30%, 03/15/45 (a) | 373,000 | 251,089 |
| PacifiCorp | | |
| 2.70%, 09/15/30 (a) | 339,000 | 277,000 |
| 2.90%, 06/15/52 (a) | 844,000 | 464,715 |
| 6.25%, 10/15/37 (a) | 528,000 | 524,082 |
| Packaging Corp. of America | | |
| 3.05%, 10/01/51 (a) | 463,000 | 275,189 |
| Paramount Global | | |
| 2.90%, 01/15/27 (a) | 159,000 | 140,766 |
| 3.70%, 06/01/28 (a) | 154,000 | 134,497 |
| 5.25%, 04/01/44 (a) | 58,000 | 40,316 |
| Parker-Hannifin Corp. | | |
| 3.25%, 06/14/29 (a) | 306,000 | 271,734 |
| 4.50%, 09/15/29 (a) | 541,000 | 511,526 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 26 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Patterson-UTI Energy, Inc. | | |
| 7.15%, 10/01/33 (a) | $ 665,000 | $ 667,926 |
| PayPal Holdings, Inc. | | |
| 2.65%, 10/01/26 (a) | 451,000 | 415,831 |
| 3.25%, 06/01/50 (a) | 259,000 | 169,596 |
| PepsiCo, Inc. | | |
| 1.63%, 05/01/30 (a) | 328,000 | 263,066 |
| 2.63%, 07/29/29 (a) | 441,000 | 386,589 |
| 2.75%, 10/21/51 (a) | 815,000 | 505,773 |
| Petroleos Mexicanos | | |
| 6.70%, 02/16/32 (a) | 1,516,000 | 1,124,993 |
| 7.69%, 01/23/50 (a) | 879,000 | 564,046 |
| Pfizer Investment Enterprises Pte. Ltd. | | |
| 4.45%, 05/19/28 (a) | 2,164,000 | 2,085,771 |
| 4.75%, 05/19/33 (a) | 1,267,000 | 1,200,609 |
| 5.30%, 05/19/53 (a) | 253,000 | 234,981 |
| 5.34%, 05/19/63 (a) | 794,000 | 725,414 |
| Pfizer, Inc. | | |
| 2.70%, 05/28/50 (a) | 662,000 | 414,717 |
| 3.90%, 03/15/39 (a) | 209,000 | 171,533 |
| 4.13%, 12/15/46 (a) | 142,000 | 113,975 |
| 4.40%, 05/15/44 (a) | 87,000 | 74,039 |
| Philip Morris International, Inc. | | |
| 1.50%, 05/01/25 (a) | 362,000 | 338,810 |
| 2.10%, 05/01/30 (a) | 172,000 | 136,929 |
| 3.38%, 08/15/29 (a) | 253,000 | 222,567 |
| 4.13%, 03/04/43 (a) | 99,000 | 74,411 |
| 5.13%, 02/15/30 (a) | 2,165,000 | 2,076,603 |
| 5.38%, 02/15/33 (a) | 721,000 | 681,605 |
| 5.63%, 11/17/29 (a) | 554,000 | 547,297 |
| Phillips 66 Co. | | |
| 2.15%, 12/15/30 (a) | 1,889,000 | 1,485,755 |
| 3.15%, 12/15/29 (a) | 968,000 | 835,171 |
| 3.30%, 03/15/52 (a) | 563,000 | 352,421 |
| 3.75%, 03/01/28 (a) | 129,000 | 119,602 |
| 4.68%, 02/15/45 (a) | 219,000 | 174,352 |
| Pilgrim's Pride Corp. | | |
| 6.25%, 07/01/33 (a) | 698,000 | 656,727 |
| Pioneer Natural Resources Co. | | |
| 1.13%, 01/15/26 (a) | 1,021,000 | 922,055 |
| 2.15%, 01/15/31 (a) | 299,000 | 235,878 |
| Plains All American Pipeline LP/PAA Finance Corp. | | |
| 3.55%, 12/15/29 (a) | 495,000 | 424,804 |
| PPL Capital Funding, Inc. | | |
| 3.10%, 05/15/26 (a) | 410,000 | 384,371 |
| Precision Castparts Corp. | | |
| 4.38%, 06/15/45 (a) | 199,000 | 161,528 |
| Progressive Corp. | | |
| 3.00%, 03/15/32 (a) | 718,000 | 600,844 |
| Prologis LP | | |
| 3.05%, 03/01/50 (a) | 148,000 | 90,839 |
| 3.25%, 06/30/26 (a) | 199,000 | 187,655 |
| | Principal
Amount | Fair
Value |
| Prospect Capital Corp. | | |
| 3.36%, 11/15/26 (a) | $ 622,000 | $ 538,453 |
| Prudential Financial, Inc. | | |
| 3.94%, 12/07/49 (a) | 344,000 | 247,302 |
| 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 | 369,068 |
| Public Service Co. of Colorado | | |
| 3.70%, 06/15/28 (a) | 398,000 | 366,725 |
| Public Storage Operating Co. | | |
| 5.35%, 08/01/53 (a) | 335,000 | 305,242 |
| PVH Corp. | | |
| 4.63%, 07/10/25 (a) | 990,000 | 955,588 |
| QUALCOMM, Inc. | | |
| 4.30%, 05/20/47 (a) | 61,000 | 49,122 |
| 4.50%, 05/20/52 (a) | 722,000 | 588,408 |
| Quanta Services, Inc. | | |
| 2.35%, 01/15/32 (a) | 570,000 | 429,358 |
| 3.05%, 10/01/41 (a) | 618,000 | 393,783 |
| Quest Diagnostics, Inc. | | |
| 2.95%, 06/30/30 (a) | 136,000 | 114,252 |
| Realty Income Corp. | | |
| 2.85%, 12/15/32 (a) | 323,000 | 251,039 |
| 3.00%, 01/15/27 (a) | 99,000 | 90,690 |
| 3.25%, 01/15/31 (a) | 328,000 | 275,340 |
| Regeneron Pharmaceuticals, Inc. | | |
| 1.75%, 09/15/30 (a) | 663,000 | 510,331 |
| Regions Financial Corp. | | |
| 1.80%, 08/12/28 (a) | 1,330,000 | 1,075,877 |
| Reliance Industries Ltd. | | |
| 3.63%, 01/12/52 (a)(g) | 1,000,000 | 638,160 |
| RenaissanceRe Holdings Ltd. | | |
| 5.75%, 06/05/33 (a) | 865,000 | 813,117 |
| Republic Services, Inc. | | |
| 2.38%, 03/15/33 (a) | 932,000 | 715,254 |
| 5.00%, 04/01/34 (a) | 661,000 | 625,564 |
| Reynolds American, Inc. | | |
| 4.45%, 06/12/25 (a) | 15,000 | 14,573 |
| Rio Tinto Finance USA Ltd. | | |
| 2.75%, 11/02/51 (a) | 501,000 | 298,075 |
| Rio Tinto Finance USA PLC | | |
| 4.13%, 08/21/42 (a) | 125,000 | 100,880 |
| Rockwell Automation, Inc. | | |
| 2.80%, 08/15/61 (a) | 184,000 | 106,232 |
| 4.20%, 03/01/49 (a) | 236,000 | 191,870 |
| Rogers Communications, Inc. | | |
| 5.00%, 03/15/44 (a) | 93,000 | 74,850 |
| Roper Technologies, Inc. | | |
| 2.95%, 09/15/29 (a) | 357,000 | 309,155 |
| Ross Stores, Inc. | | |
| 4.70%, 04/15/27 (a) | 129,000 | 123,937 |
| Royalty Pharma PLC | | |
| 1.20%, 09/02/25 (a) | 568,000 | 516,232 |
| 1.75%, 09/02/27 (a) | 287,000 | 244,745 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 27 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 2.20%, 09/02/30 (a) | $ 122,000 | $ 94,439 |
| 3.30%, 09/02/40 (a) | 73,000 | 47,779 |
| RPM International, Inc. | | |
| 3.75%, 03/15/27 (a) | 188,000 | 174,981 |
| RTX Corp. | | |
| 1.90%, 09/01/31 (a) | 673,000 | 508,068 |
| 2.82%, 09/01/51 (a) | 399,000 | 229,098 |
| 3.13%, 05/04/27 (a) | 515,000 | 473,378 |
| 3.50%, 03/15/27 (a) | 268,000 | 249,294 |
| 3.95%, 08/16/25 (a) | 219,000 | 211,791 |
| 4.15%, 05/15/45 (a) | 208,000 | 157,510 |
| 4.45%, 11/16/38 (a) | 172,000 | 144,059 |
| Ryder System, Inc. | | |
| 2.90%, 12/01/26 (a) | 872,000 | 796,450 |
| Salesforce, Inc. | | |
| 1.95%, 07/15/31 (a) | 583,000 | 460,360 |
| 2.70%, 07/15/41 (a) | 578,000 | 390,641 |
| Saudi Arabian Oil Co. | | |
| 3.50%, 04/16/29 (a)(g) | 1,243,000 | 1,120,888 |
| 4.38%, 04/16/49 (a)(g) | 256,000 | 196,749 |
| Schlumberger Holdings Corp. | | |
| 3.90%, 05/17/28 (a)(g) | 386,000 | 360,111 |
| Schlumberger Investment SA | | |
| 4.85%, 05/15/33 (a) | 1,492,000 | 1,407,165 |
| Sealed Air Corp. | | |
| 1.57%, 10/15/26 (a)(g) | 2,102,000 | 1,828,172 |
| Selective Insurance Group, Inc. | | |
| 5.38%, 03/01/49 (a) | 148,000 | 126,010 |
| Sempra | | |
| 3.80%, 02/01/38 (a) | 140,000 | 108,650 |
| 4.00%, 02/01/48 (a) | 152,000 | 109,361 |
| Sempra (4.13% fixed rate until 01/01/27; 2.87% + 5 year CMT Rate thereafter) | | |
| 4.13%, 04/01/52 (a)(b) | 931,000 | 755,767 |
| Shell International Finance BV | | |
| 3.13%, 11/07/49 (a) | 574,000 | 372,101 |
| 3.75%, 09/12/46 (a) | 99,000 | 73,072 |
| Shire Acquisitions Investments Ireland DAC | | |
| 3.20%, 09/23/26 (a) | 104,000 | 97,139 |
| Simon Property Group LP | | |
| 3.38%, 06/15/27 (a) | 236,000 | 217,656 |
| Sonoco Products Co. | | |
| 2.85%, 02/01/32 (a) | 651,000 | 519,889 |
| Southern California Edison Co. | | |
| 4.00%, 04/01/47 (a) | 672,000 | 486,562 |
| 4.20%, 03/01/29 (a) | 511,000 | 475,102 |
| 5.65%, 10/01/28 (a) | 3,535,000 | 3,531,500 |
| Southern Co. | | |
| 3.70%, 04/30/30 (a) | 785,000 | 694,246 |
| Southern Co. Gas Capital Corp. | | |
| 3.95%, 10/01/46 (a) | 366,000 | 254,747 |
| 4.40%, 05/30/47 (a) | 60,000 | 45,276 |
| | Principal
Amount | Fair
Value |
| Southwest Airlines Co. | | |
| 2.63%, 02/10/30 (a) | $ 513,000 | $ 421,963 |
| Southwestern Electric Power Co. | | |
| 2.75%, 10/01/26 (a) | 292,000 | 267,542 |
| Spectra Energy Partners LP | | |
| 3.38%, 10/15/26 (a) | 74,000 | 68,826 |
| 4.50%, 03/15/45 (a) | 56,000 | 42,487 |
| Standard Chartered PLC (2.68% fixed rate until 06/29/31; 1.20% + 1 year CMT Rate thereafter) | | |
| 2.68%, 06/29/32 (a)(b)(g) | 1,092,000 | 832,049 |
| 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 | 1,045,677 |
| Stanley Black & Decker, Inc. | | |
| 3.00%, 05/15/32 (a) | 769,000 | 622,113 |
| Starbucks Corp. | | |
| 4.00%, 11/15/28 (a) | 204,000 | 191,658 |
| STERIS Irish FinCo UnLtd Co. | | |
| 2.70%, 03/15/31 (a) | 1,474,000 | 1,193,306 |
| 3.75%, 03/15/51 (a) | 604,000 | 420,680 |
| Stryker Corp. | | |
| 1.95%, 06/15/30 (a) | 781,000 | 625,323 |
| Sumitomo Mitsui Financial Group, Inc. | | |
| 4.44%, 04/02/24 (a)(g) | 2,502,000 | 2,479,907 |
| 6.18%, 07/13/43 (a) | 1,297,000 | 1,240,217 |
| Sumitomo Mitsui Trust Bank Ltd. | | |
| 1.35%, 09/16/26 (a)(g) | 2,602,000 | 2,291,425 |
| Suncor Energy, Inc. | | |
| 4.00%, 11/15/47 (a) | 79,000 | 55,827 |
| 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 | 1,306,285 |
| Sysco Corp. | | |
| 3.25%, 07/15/27 (a) | 200,000 | 183,624 |
| 5.95%, 04/01/30 (a) | 67,000 | 67,513 |
| 6.60%, 04/01/50 (a) | 79,000 | 81,489 |
| Takeda Pharmaceutical Co. Ltd. | | |
| 2.05%, 03/31/30 (a) | 200,000 | 160,820 |
| 3.03%, 07/09/40 (a) | 300,000 | 208,347 |
| 3.18%, 07/09/50 (a) | 300,000 | 189,663 |
| Take-Two Interactive Software, Inc. | | |
| 3.70%, 04/14/27 (a) | 1,634,000 | 1,529,816 |
| 4.00%, 04/14/32 (a) | 361,000 | 314,279 |
| Tampa Electric Co. | | |
| 2.40%, 03/15/31 (a) | 705,000 | 560,313 |
| 3.45%, 03/15/51 (a) | 555,000 | 356,499 |
| 4.35%, 05/15/44 (a) | 440,000 | 338,153 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 28 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| Tapestry, Inc. | | |
| 4.13%, 07/15/27 (a) | $ 58,000 | $ 53,339 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | |
| 5.00%, 01/15/28 (a) | 1,629,000 | 1,548,511 |
| Target Corp. | | |
| 1.95%, 01/15/27 (a) | 238,000 | 214,874 |
| Teck Resources Ltd. | | |
| 5.40%, 02/01/43 (a) | 205,000 | 171,833 |
| Telefonica Emisiones SA | | |
| 4.10%, 03/08/27 (a) | 639,000 | 601,983 |
| Texas Instruments, Inc. | | |
| 3.88%, 03/15/39 (a) | 265,000 | 217,811 |
| The Boeing Co. | | |
| 2.20%, 02/04/26 (a) | 945,000 | 868,143 |
| 3.55%, 03/01/38 (a) | 137,000 | 100,299 |
| The Charles Schwab Corp. | | |
| 2.90%, 03/03/32 (a) | 299,000 | 235,699 |
| The Dow Chemical Co. | | |
| 5.55%, 11/30/48 (a) | 186,000 | 166,271 |
| The 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 | 552,396 |
| The Home Depot Inc. | | |
| 3.90%, 06/15/47 (a) | 203,000 | 154,643 |
| 4.95%, 09/15/52 (a) | 219,000 | 195,869 |
| The Kroger Co. | | |
| 2.20%, 05/01/30 (a) | 307,000 | 245,367 |
| 4.65%, 01/15/48 (a) | 127,000 | 101,444 |
| The Progressive Corp. | | |
| 3.70%, 03/15/52 (a) | 121,000 | 86,336 |
| The Southern Co. | | |
| 3.25%, 07/01/26 (a) | 130,000 | 121,874 |
| The Williams Cos. Inc. | | |
| 5.30%, 08/15/52 (a) | 294,000 | 250,144 |
| Thermo Fisher Scientific, Inc. | | |
| 2.80%, 10/15/41 (a) | 410,000 | 275,885 |
| Time Warner Cable LLC | | |
| 6.55%, 05/01/37 (a) | 148,000 | 134,214 |
| T-Mobile USA, Inc. | | |
| 3.50%, 04/15/31 (a) | 2,168,000 | 1,831,136 |
| 3.75%, 04/15/27 (a) | 769,000 | 718,108 |
| 4.50%, 04/15/50 (a) | 100,000 | 76,674 |
| 4.80%, 07/15/28 (a) | 1,983,000 | 1,904,077 |
| Toronto-Dominion Bank | | |
| 3.20%, 03/10/32 (a) | 1,439,000 | 1,176,915 |
| 4.46%, 06/08/32 (a) | 760,000 | 682,222 |
| TotalEnergies Capital International SA | | |
| 3.46%, 02/19/29 (a) | 660,000 | 603,676 |
| Tractor Supply Co. | | |
| 5.25%, 05/15/33 (a) | 698,000 | 657,202 |
| | Principal
Amount | Fair
Value |
| Trane Technologies Financing Ltd. | | |
| 3.55%, 11/01/24 (a) | $ 354,000 | $ 345,047 |
| 3.80%, 03/21/29 (a) | 468,000 | 431,379 |
| TransCanada PipeLines Ltd. | | |
| 4.25%, 05/15/28 (a) | 474,000 | 443,892 |
| 4.88%, 01/15/26 (a) | 108,000 | 105,777 |
| 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 | 865,950 |
| Transcontinental Gas Pipe Line Co. LLC | | |
| 4.00%, 03/15/28 (a) | 222,000 | 206,640 |
| Travelers Cos., Inc. | | |
| 2.55%, 04/27/50 (a) | 730,000 | 425,415 |
| 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 | 1,101,818 |
| TWDC Enterprises 18 Corp. | | |
| 4.13%, 06/01/44 (a) | 108,000 | 85,117 |
| Tyco Electronics Group SA | | |
| 3.13%, 08/15/27 (a) | 227,000 | 209,348 |
| 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 | 1,383,958 |
| UBS Group AG | | |
| 4.28%, 01/09/28 (a)(g) | 593,000 | 545,234 |
| UDR, Inc. | | |
| 2.10%, 08/01/32 (a) | 433,000 | 311,621 |
| 3.00%, 08/15/31 (a) | 276,000 | 223,690 |
| Union Pacific Corp. | | |
| 3.55%, 05/20/61 (a) | 398,000 | 259,536 |
| 3.60%, 09/15/37 (a) | 74,000 | 59,327 |
| 3.80%, 04/06/71 (a) | 183,000 | 122,449 |
| 4.10%, 09/15/67 (a) | 124,000 | 89,586 |
| UnitedHealth Group, Inc. | | |
| 2.00%, 05/15/30 (a) | 538,000 | 435,446 |
| 4.20%, 05/15/32 (a) | 563,000 | 513,045 |
| 4.45%, 12/15/48 (a) | 367,000 | 300,804 |
| 4.75%, 07/15/45 - 05/15/52 (a) | 858,000 | 735,160 |
| 5.05%, 04/15/53 (a) | 432,000 | 386,670 |
| 5.20%, 04/15/63 (a) | 794,000 | 708,272 |
| 6.05%, 02/15/63 (a) | 240,000 | 243,790 |
| Utah Acquisition Sub, Inc. | | |
| 3.95%, 06/15/26 (a) | 2,927,000 | 2,740,579 |
| Vale Overseas Ltd. | | |
| 6.13%, 06/12/33 (a) | 970,000 | 936,409 |
| Ventas Realty LP | | |
| 3.25%, 10/15/26 (a) | 258,000 | 236,911 |
| Verizon Communications, Inc. | | |
| 2.36%, 03/15/32 (a) | 930,000 | 708,930 |
| 2.55%, 03/21/31 (a) | 433,000 | 344,482 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 29 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| 3.00%, 03/22/27 (a) | $ 1,194,000 | $ 1,094,552 |
| 3.40%, 03/22/41 (a) | 466,000 | 328,595 |
| 3.55%, 03/22/51 (a) | 350,000 | 230,433 |
| 3.70%, 03/22/61 (a) | 439,000 | 279,143 |
| 4.40%, 11/01/34 (a) | 1,185,000 | 1,027,750 |
| 4.86%, 08/21/46 (a) | 700,000 | 578,872 |
| Viatris, Inc. | | |
| 1.65%, 06/22/25 (a) | 2,488,000 | 2,297,668 |
| 4.00%, 06/22/50 (a) | 281,000 | 169,693 |
| Virginia Electric & Power Co. | | |
| 4.00%, 11/15/46 (a) | 373,000 | 271,268 |
| Visa, Inc. | | |
| 2.70%, 04/15/40 (a) | 352,000 | 246,787 |
| Vistra Operations Co. LLC | | |
| 3.55%, 07/15/24 (a)(g) | 1,311,000 | 1,279,313 |
| Viterra Finance BV | | |
| 2.00%, 04/21/26 (a)(g) | 712,000 | 641,177 |
| 3.20%, 04/21/31 (a)(g) | 1,000,000 | 803,370 |
| Volkswagen Group of America Finance LLC | | |
| 1.63%, 11/24/27 (a)(g) | 1,215,000 | 1,031,110 |
| Vontier Corp. | | |
| 2.40%, 04/01/28 (a) | 538,000 | 446,712 |
| 2.95%, 04/01/31 (a) | 703,000 | 540,916 |
| Vornado Realty LP | | |
| 2.15%, 06/01/26 (a) | 826,000 | 701,547 |
| 3.50%, 01/15/25 (a) | 220,000 | 208,188 |
| Vulcan Materials Co. | | |
| 3.90%, 04/01/27 (a) | 103,000 | 97,007 |
| Walmart, Inc. | | |
| 1.80%, 09/22/31 (a) | 444,000 | 349,157 |
| 2.50%, 09/22/41 (a) | 444,000 | 296,255 |
| 2.65%, 09/22/51 (a) | 208,000 | 128,140 |
| Walt Disney Co. | | |
| 2.65%, 01/13/31 (a) | 501,000 | 414,522 |
| 3.38%, 11/15/26 (a) | 79,000 | 74,445 |
| 3.60%, 01/13/51 (a) | 329,000 | 228,652 |
| 4.75%, 11/15/46 (a) | 52,000 | 43,475 |
| 6.65%, 11/15/37 (a) | 333,000 | 357,729 |
| Warnermedia Holdings, Inc. | | |
| 4.28%, 03/15/32 (a) | 2,168,000 | 1,839,938 |
| 5.05%, 03/15/42 (a) | 189,000 | 146,199 |
| 5.14%, 03/15/52 (a) | 184,000 | 136,511 |
| 5.39%, 03/15/62 (a) | 184,000 | 135,661 |
| Waste Connections, Inc. | | |
| 2.20%, 01/15/32 (a) | 607,000 | 467,147 |
| 2.95%, 01/15/52 (a) | 607,000 | 369,220 |
| WEC Energy Group, Inc. | | |
| 3.55%, 06/15/25 (a) | 79,000 | 75,805 |
| Wells Fargo & Co. | | |
| 4.15%, 01/24/29 (a) | 633,000 | 581,050 |
| 4.75%, 12/07/46 (a) | 713,000 | 553,623 |
| 5.88%, 06/15/25 (a)(b) | 1,182,000 | 1,159,613 |
| Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | | |
| 2.19%, 04/30/26 (a)(b) | 746,000 | 700,307 |
| | Principal
Amount | Fair
Value |
| 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 | $ 1,256,179 |
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | | |
| 3.07%, 04/30/41 (a)(b) | 713,000 | 475,771 |
| Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.43% + 3-month Term SOFR) | | |
| 3.20%, 06/17/27 (a)(b) | 1,672,000 | 1,551,967 |
| Wells Fargo & Co. (3.35% fixed rate until 03/02/32; 1.50% + SOFR thereafter) | | |
| 3.35%, 03/02/33 (a)(b) | 839,000 | 677,400 |
| Westlake Corp. | | |
| 2.88%, 08/15/41 (a) | 238,000 | 147,374 |
| 3.13%, 08/15/51 (a) | 264,000 | 152,096 |
| 3.38%, 08/15/61 (a) | 267,000 | 147,451 |
| 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 | 497,841 |
| 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 | 329,051 |
| Weyerhaeuser Co. | | |
| 4.00%, 03/09/52 (a) | 475,000 | 343,349 |
| Williams Cos., Inc. | | |
| 3.75%, 06/15/27 (a) | 85,000 | 79,074 |
| 4.85%, 03/01/48 (a) | 169,000 | 135,366 |
| 4.90%, 01/15/45 (a) | 399,000 | 319,802 |
| 5.40%, 03/04/44 (a) | 58,000 | 50,073 |
| Willis North America, Inc. | | |
| 3.88%, 09/15/49 (a) | 343,000 | 230,040 |
| Workday, Inc. | | |
| 3.50%, 04/01/27 (a) | 600,000 | 559,644 |
| 3.70%, 04/01/29 (a) | 1,201,000 | 1,089,175 |
| WPP Finance 2010 | | |
| 3.75%, 09/19/24 (a) | 205,000 | 200,016 |
| Xcel Energy, Inc. | | |
| 3.40%, 06/01/30 (a) | 468,000 | 404,198 |
| Yamana Gold, Inc. | | |
| 2.63%, 08/15/31 (a) | 699,000 | 535,860 |
| Zoetis, Inc. | | |
| 3.00%, 09/12/27 (a) | 107,000 | 98,161 |
| 3.90%, 08/20/28 (a) | 256,000 | 240,376 |
| 5.60%, 11/16/32 (a) | 1,277,000 | 1,272,237 |
| | | 472,374,012 |
| Non-Agency Collateralized Mortgage Obligations - 5.9% |
| Bank | | |
| 3.18%, 09/15/60 | 20,509,000 | 18,431,280 |
| 4.41%, 11/15/61 (b) | 8,550,000 | 7,959,270 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 30 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| | Principal
Amount | Fair
Value |
| BPR Trust 1.90% + 1-month Term SOFR | | |
| 7.23%, 04/15/37 (b)(g) | $ 3,084,865 | $ 3,028,903 |
| Cantor Commercial Real Estate Lending | | |
| 3.01%, 01/15/53 | 4,022,000 | 3,383,664 |
| CD Mortgage Trust | | |
| 2.91%, 08/15/57 | 7,323,000 | 6,129,736 |
| Citigroup Commercial Mortgage Trust | | |
| 4.03%, 12/10/49 (b) | 2,942,926 | 2,650,640 |
| COMM Mortgage Trust | | |
| 3.92%, 10/15/45 (g) | 1,602,000 | 1,249,752 |
| 4.53%, 02/10/47 (b) | 1,940,000 | 1,881,532 |
| GS Mortgage Securities Trust | | |
| 2.75%, 09/10/52 | 13,110,000 | 10,967,875 |
| 3.05%, 11/10/52 | 6,397,000 | 5,423,073 |
| 4.14%, 03/10/51 (b) | 2,609,000 | 2,342,084 |
| 4.56%, 11/10/48 (b) | 3,270,000 | 2,505,251 |
| Impac CMB Trust (6.13% fixed rate until 08/25/23; 0.83% + 1-month Term SOFR) | | |
| 6.15%, 10/25/34 (b) | 135,313 | 135,271 |
| JPMBB Commercial Mortgage Securities Trust | | |
| 4.80%, 11/15/48 (b) | 2,174,000 | 1,685,209 |
| MASTR Alternative Loan Trust | | |
| 5.00%, 08/25/18 (d) | 9,226 | 505 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | |
| 0.98%, 03/15/48 (b)(d) | 24,732,424 | 181,323 |
| Wells Fargo Commercial Mortgage Trust | | |
| 1.32%, 02/15/48 (b)(d) | 18,964,549 | 213,409 |
| 4.32%, 08/15/50 | 4,152,195 | 3,374,836 |
| WFRBS Commercial Mortgage Trust | | |
| 4.26%, 12/15/46 | 1,548,655 | 1,539,053 |
| 4.35%, 03/15/47 (b) | 4,333,000 | 4,279,055 |
| | | 77,361,721 |
| Sovereign Bonds - 1.0% |
| Chile Government International Bonds | | |
| 2.55%, 01/27/32 (a) | 2,507,000 | 2,027,336 |
| 3.63%, 10/30/42 (a) | 150,000 | 108,473 |
| 3.86%, 06/21/47 (a) | 860,000 | 628,806 |
| Indonesia Government International Bonds | | |
| 3.50%, 01/11/28 (a) | 578,000 | 534,159 |
| 4.35%, 01/11/48 (a) | 232,000 | 184,414 |
| Mexico Government International Bonds | | |
| 4.60%, 02/10/48 (a) | 972,000 | 707,733 |
| 4.75%, 03/08/44 (a) | 2,068,000 | 1,585,639 |
| Panama Government International Bonds | | |
| 3.16%, 01/23/30 (a) | 1,217,000 | 1,025,018 |
| | Principal
Amount | Fair
Value |
| 3.87%, 07/23/60 (a) | $ 826,000 | $ 476,866 |
| 4.50%, 05/15/47 (a) | 530,000 | 372,765 |
| Peru Government International Bonds | | |
| 1.86%, 12/01/32 (a) | 1,230,000 | 887,752 |
| 2.78%, 12/01/60 (a) | 2,055,000 | 1,092,561 |
| 5.63%, 11/18/50 (a) | 884,000 | 816,401 |
| Philippines Government International Bonds | | |
| 3.95%, 01/20/40 (a) | 835,000 | 661,495 |
| Qatar Government International Bonds | | |
| 3.38%, 03/14/24 (a)(g) | 1,045,000 | 1,032,387 |
| 4.82%, 03/14/49 (a)(g) | 275,000 | 238,788 |
| Uruguay Government International Bonds | | |
| 5.10%, 06/18/50 (a) | 884,133 | 784,642 |
| | | 13,165,235 |
| Municipal Bonds and Notes - 0.4% |
| American Municipal Power, Inc., OH | | |
| 6.27%, 02/15/50 | 1,005,000 | 1,031,398 |
| Board of Regents of the University of Texas System, TX | | |
| 3.35%, 08/15/47 | 1,025,000 | 743,585 |
| Port Authority of New York & New Jersey, NY | | |
| 4.46%, 10/01/62 | 1,870,000 | 1,540,535 |
| State of California, CA | | |
| 4.60%, 04/01/38 | 1,840,000 | 1,650,299 |
| State of Illinois, IL | | |
| 5.10%, 06/01/33 | 745,000 | 707,222 |
| | | 5,673,039 |
Total Bonds and Notes
(Cost $1,452,397,443) | | 1,290,786,267 |
Total Investments in Securities
(Cost $1,452,397,443) | | 1,290,786,267 |
| | Number
of Shares | |
| Short-Term Investments - 19.4% |
State Street Institutional U.S. Government Money Market Fund - Class G Shares 5.33% (a)(h)(i)
(Cost $253,949,684) | 253,949,684 | 253,949,684 |
Total Investments
(Cost $1,706,347,127) | | 1,544,735,951 |
| Liabilities in Excess of Other Assets, net - (17.7)% | | (231,921,490) |
| NET ASSETS - 100.0% | | $ 1,312,814,461 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 31 |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
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 | $34,809 | 5.00%/
Quarterly | 06/20/28 | $602,298 | $939,020 | $(336,722) |
| The Fund had the following long futures contracts open at September 30, 2023: |
| Description | Expiration
Date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 5 Yr. U.S. Treasury Notes Futures | December 2023 | 850 | $ 90,317,749 | $ 89,470,109 | $ (847,640) |
| 2 Yr. U.S. Treasury Notes Futures | December 2023 | 244 | 49,575,843 | 49,461,468 | (114,375) |
| U.S. Long Bond Futures | December 2023 | 140 | 16,805,593 | 15,929,375 | (876,218) |
| 10 Yr. U.S. Treasury Ultra Futures | December 2023 | 1,607 | 184,875,841 | 179,280,938 | (5,594,903) |
| | | | | | $ (7,433,136) |
| The Fund had the following short futures contracts open at September 30, 2023: |
| Description | Expiration
date | Number of
Contracts | Notional
Amount | Value | Unrealized
Appreciation
(Depreciation) |
| 10 Yr. U.S. Treasury Notes Futures | December 2023 | 423 | (46,594,488) | (45,710,437) | $ 884,051 |
| Ultra Long-Term U.S. Treasury Bond Futures | December 2023 | 4 | (499,750) | (474,750) | 25,000 |
| | | | | | $ 909,051 |
| During the year ended September 30, 2023, average notional values related to derivative contracts were as follows: |
| | Long
Futures
Contracts | Short
Futures
Contracts | Credit
Default
Swap
Contracts |
| Average Notional Value | $253,325,190 | $68,918,471 | $55,937,996 |
| (a) | At September 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at September 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 September 30, 2023, these securities amounted to $62,349,691 or 4.75% 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 September 30, 2023. |
See Notes to Schedules of Investments and Notes to Financial Statements.
| 32 | State Street Income Fund |
State Street Income Fund
Schedule of Investments, continued — September 30, 2023
| ** | Amount is less than $0.50. |
| * | Less than 0.05%. |
| 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 |
| RFUCCT - Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| 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 September 30, 2023:
| Investments | Level 1 | | Level 2 | | Level 3 | | Total |
| Investments in Securities | | | | | | | |
| U.S. Treasuries | $ — | | $ 335,719,527 | | $ — | | $ 335,719,527 |
| Agency Mortgage Backed | — | | 377,533,509 | | — | | 377,533,509 |
| Agency Collateralized Mortgage Obligations | — | | 8,743,838 | | — | | 8,743,838 |
| Asset Backed | — | | 215,386 | | — | | 215,386 |
| Corporate Notes | — | | 472,374,012 | | — | | 472,374,012 |
| Non-Agency Collateralized Mortgage Obligations | — | | 77,361,721 | | — | | 77,361,721 |
| Sovereign Bonds | — | | 13,165,235 | | — | | 13,165,235 |
| Municipal Bonds and Notes | — | | 5,673,039 | | — | | 5,673,039 |
| Short-Term Investments | 253,949,684 | | — | | — | | 253,949,684 |
| Total Investments in Securities | $ 253,949,684 | | $ 1,290,786,267 | | $ — | | $ 1,544,735,951 |
| Other Financial Instruments | | | | | | | |
| Credit Default Swap Contracts - Unrealized Depreciation | $ — | | $ (336,722) | | $ — | | $ (336,722) |
| Long Futures Contracts - Unrealized Depreciation | (7,433,136) | | — | | — | | (7,433,136) |
| Short Futures Contracts - Unrealized Appreciation | 909,051 | | — | | — | | 909,051 |
| Total Other Financial Instruments | $ (6,524,085) | | $ (336,722) | | $ — | | $ (6,860,807) |
| | 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
9/30/23 | Value at
9/30/23 | Dividend
Income |
| State Street Institutional U.S. Government Money Market Fund - Class G Shares | 195,143,093 | $195,143,093 | $500,848,015 | $442,041,424 | $— | $— | 253,949,684 | $253,949,684 | $12,262,966 |
See Notes to Schedules of Investments and Notes to Financial Statements.
| State Street Income Fund | 33 |
State Street U.S. Core Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
| | Year Ended
9/30/23 | | Year Ended
9/30/22 | | Period Ended
9/30/21(a)(b)(c) | | Year Ended
12/31/20(a)(b) | | Year Ended
12/31/19(a)(b) | | Year Ended
12/31/18(a)(b) |
| Net asset value, beginning of period | $ 56.53 | | $ 76.83 | | $ 66.39 | | $ 57.30 | | $ 46.05 | | $ 52.45 |
| Income/(loss) from investment operations: | | | | | | | | | | | |
| Net investment income | 0.75 (d) | | 0.77 (d) | | 0.54 (d) | | 0.77 (d) | | 0.78 (d) | | 0.77 (d) |
| Net realized and unrealized gains/(losses) on investments | 11.20 | | (11.27) | | 9.90 | | 12.86 | | 14.07 | | (2.41) |
| Total income/(loss) from investment operations | 11.95 | | (10.50) | | 10.44 | | 13.63 | | 14.85 | | (1.64) |
| Less distributions from: | | | | | | | | | | | |
| Net investment income | (0.81) | | (0.77) | | — | | (0.81) | | (0.77) | | (0.81) |
| Net realized gains | (4.62) | | (9.03) | | — | | (3.73) | | (2.83) | | (3.95) |
| Total distributions | (5.43) | | (9.80) | | — | | (4.54) | | (3.60) | | (4.76) |
| Net asset value, end of period | $ 63.05 | | $ 56.53 | | $ 76.83 | | $ 66.39 | | $ 57.30 | | $ 46.05 |
| Total Return(e) | 22.53% | | (16.76)% | | 15.73% (f) | | 23.82% | | 32.22% | | (3.05)% |
| Ratios/Supplemental Data: | | | | | | | | | | | |
| Net assets, end of period (in thousands) | $5,869,302 | | $5,198,625 | | $6,795,684 | | $6,229,783 | | $5,541,415 | | $4,700,274 |
| Ratios to average net assets: | | | | | | | | | | | |
| Net expenses | 0.14% | | 0.16% | | 0.15% (g) | | 0.14% | | 0.14% | | 0.14% |
| Gross expenses | 0.14% | | 0.16% | | 0.15% (g) | | 0.14% | | 0.14% | | 0.14% |
| Net investment income | 1.23% | | 1.11% | | 0.99% (g) | | 1.29% | | 1.44% | | 1.41% |
| Portfolio turnover rate | 38% | | 30% | | 27% (f) | | 37% | | 31% | | 40% |
| Notes to Financial Highlights |
| (a) | Beginning with the year ended September 30, 2022, the Fund was audited by Ernst & Young LLP. The previous periods were audited by another independent registered public accounting firm. |
| (b) | Financial information from January 1, 2018 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street U.S. Core Equity Fund effective May 24, 2021. |
| (c) | Effective April 13, 2021 the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
| (d) | Per share values have been calculated using the average shares method. |
| (e) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
| (f) | Not annualized. |
| (g) | Annualized for periods less than one year. |
The accompanying Notes are an integral part of these financial statements.
State Street Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
| | Year Ended
9/30/23 | | Year Ended
9/30/22 | | Period Ended
9/30/21(a)(b)(c) | | Year Ended
12/31/20(a)(b) | | Year Ended
12/31/19(a)(b) | | Year Ended
12/31/18(a)(b) |
| Net asset value, beginning of period | $ 9.69 | | $ 12.08 | | $ 12.42 | | $ 11.85 | | $ 11.14 | | $ 11.55 |
| Income/(loss) from investment operations: | | | | | | | | | | | |
| Net investment income | 0.33 (d) | | 0.23 (d) | | 0.17 (d) | | 0.26 (d) | | 0.31 (d) | | 0.32 (d) |
| Net realized and unrealized gains/(losses) on investments | (0.26) | | (2.02) | | (0.29) | | 0.69 | | 0.72 | | (0.40) |
| Total income/(loss) from investment operations | 0.07 | | (1.79) | | (0.12) | | 0.95 | | 1.03 | | (0.08) |
| Less distributions from: | | | | | | | | | | | |
| Net investment income | (0.37) | | (0.27) | | (0.22) | | (0.34) | | (0.32) | | (0.33) |
| Net realized gains | — | | (0.33) | | — | | (0.04) | | — | | — |
| Total distributions | (0.37) | | (0.60) | | (0.22) | | (0.38) | | (0.32) | | (0.33) |
| Net asset value, end of period | $ 9.39 | | $ 9.69 | | $ 12.08 | | $ 12.42 | | $ 11.85 | | $ 11.14 |
| Total Return(e) | 0.57% | | (15.48)% | | (0.93)% (f) | | 8.20% | | 9.38% | | (0.75)% |
| Ratios/Supplemental Data: | | | | | | | | | | | |
| Net assets, end of period (in thousands) | $1,312,814 | | $1,432,739 | | $1,908,411 | | $2,084,815 | | $2,024,704 | | $1,992,169 |
| Ratios to average net assets: | | | | | | | | | | | |
| Net expenses | 0.19% | | 0.20% | | 0.19% (g) | | 0.17% | | 0.17% | | 0.17% |
| Gross expenses | 0.19% | | 0.20% | | 0.19% (g) | | 0.17% | | 0.17% | | 0.17% |
| Net investment income | 3.34% | | 2.07% | | 1.85% (g) | | 2.16% | | 2.67% | | 2.86% |
| Portfolio turnover rate | 32% (h) | | 48% (h) | | 59% (f)(h) | | 110% (h) | | 422% | | 223% |
| Notes to Financial Highlights |
| (a) | Beginning with the year ended September 30, 2022, the Fund was audited by Ernst & Young LLP. The previous periods were audited by another independent registered public accounting firm. |
| (b) | Financial information from January 1, 2018 until May 24, 2021 is for the GE RSP Income Fund, which was reorganized into the State Street Income Fund effective May 24, 2021. |
| (c) | Effective April 13, 2021 the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30. |
| (d) | Per share values have been calculated using the average shares method. |
| (e) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance does not guarantee future results. |
| (f) | Not annualized. |
| (g) | Annualized for periods less than one year. |
| (h) | The portfolio turnover calculated for the periods ended, September 30, 2023, September 30, 2022, September 30, 2021 and December 31, 2020 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 262%, 163%, 134% and 304%, respectively. |
The accompanying Notes are an integral part of these financial statements.
State Street Institutional Investment Trust
Statements of Assets and Liabilities — September 30, 2023
| | State Street
U.S. Core Equity Fund | | State Street
Income Fund |
| Assets | | | |
| Investments in securities, at fair value (cost $3,629,142,328 and $1,452,397,443, respectively) | $ 5,660,660,196 | | $ 1,290,786,267 |
| Investments in affiliated securities, at fair value (cost $207,361,567 and $253,949,684, respectively) | 207,361,567 | | 253,949,684 |
| Cash | 124,387 | | 280,842 |
| Net cash collateral on deposit with broker for future contracts and TBAs | 15,184,270 | | 12,929,998 |
| Income receivables | 3,623,669 | | 8,455,507 |
| Receivable for fund shares sold | 33,042 | | — |
| Income receivable from affiliated investments | 502,037 | | 1,147,548 |
| Receivable for accumulated variation margin on swap contracts | — | | 655,479 |
| Prepaid expenses and other assets | 15,380 | | 3,521 |
| Total assets | 5,887,504,548 | | 1,568,208,846 |
| Liabilities | | | |
| Distribution payable to shareholders | — | | 161,139 |
| Net cash collateral on swap contracts due to broker | — | | 682,290 |
| Payable for investments purchased | 9,575,296 | | 247,194,548 |
| Payable for fund shares redeemed | 159,227 | | 362,377 |
| Payable for accumulated variation margin on futures contracts | 6,827,100 | | 6,438,725 |
| Payable to the Adviser | 599,124 | | 142,888 |
| Payable for custody, fund accounting and sub-administration fees | 275,987 | | 107,909 |
| Accrued other expenses | 766,018 | | 304,509 |
| Total liabilities | 18,202,752 | | 255,394,385 |
|
| Net Assets | $ 5,869,301,796 | | $ 1,312,814,461 |
| Net Assets Consist of: | | | |
| Capital paid in | $ 3,690,712,654 | | $ 1,629,842,872 |
| Total distributable earnings (loss) | 2,178,589,142 | | (317,028,411) |
| Net Assets | $ 5,869,301,796 | | $ 1,312,814,461 |
| Shares outstanding ($25.00 and $10.00 par value, respectively; unlimited shares authorized) | 93,089,200 | | 139,826,398 |
| Net asset value per share | $ 63.05 | | $ 9.39 |
The accompanying Notes are an integral part of these financial statements.
| 36 | Statements of Assets and Liabilities |
State Street Institutional Investment Trust
Statements of Operations — For the year ended September 30, 2023
| | State Street
U.S. Core Equity Fund | | State Street
Income Fund |
| Investment Income | | | |
| Income | | | |
| Dividend | $ 73,497,656 | | $ — |
| Interest | — | | 37,523,065 |
| Income from affiliated investments | 5,548,979 | | 12,262,966 |
| Less: Foreign taxes withheld | (85,996) | | — |
| Total income | 78,960,639 | | 49,786,031 |
| Expenses | | | |
| Advisory and administration fees | 6,909,541 | | 1,821,146 |
| Transfer agent fees | 487,657 | | 432,435 |
| Trustees' fees | 67,115 | | 32,534 |
| Custody, fund accounting and sub-administration fees | 530,558 | | 234,331 |
| Professional fees | 28,270 | | 34,832 |
| Other expenses | 311,969 | | 119,442 |
| Total expenses | 8,335,110 | | 2,674,720 |
| Net investment income | $ 70,625,529 | | $ 47,111,311 |
| Net Realized and Unrealized Gain (Loss) on Investments | | | |
| Realized gain (loss) on: | | | |
| Unaffiliated investments | $ 146,796,378 | | $ (57,174,623) |
| Futures | 16,697,993 | | (13,744,143) |
| Swap contracts | — | | 8,262,588 |
| Increase (decrease) in unrealized appreciation/depreciation on: | | | |
| Unaffiliated investments | 916,151,919 | | 32,482,898 |
| Futures | (11,054,408) | | (4,990,530) |
| Swap contracts | — | | (336,722) |
| Net realized and unrealized gain (loss) on investments | 1,068,591,882 | | (35,500,532) |
| Net Increase in Net Assets Resulting from Operations | $ 1,139,217,411 | | $ 11,610,779 |
The accompanying Notes are an integral part of these financial statements.
| Statements of Operations | 37 |
State Street Institutional Investment Trust
Statements of Changes in Net Assets
| | State Street U.S. Core Equity Fund |
| | Year Ended
September 30,
2023 | | Year Ended
September 30,
2022 |
| Increase (Decrease) in Net Assets | | | |
| Operations: | | | |
| Net investment income | $ 70,625,529 | | $ 71,241,909 |
| Net realized gain (loss) on investments and futures | 163,494,371 | | 418,361,710 |
| Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 905,097,511 | | (1,538,846,218) |
| Net increase (decrease) from operations | 1,139,217,411 | | (1,049,242,599) |
| Distributions to shareholders: | | | |
| Total distributions | (486,914,294) | | (848,288,634) |
| Increase (decrease) in assets from operations and distributions | 652,303,117 | | (1,897,531,233) |
| Share transactions: | | | |
| Proceeds from sale of shares | 44,893,263 | | 42,400,917 |
| Value of distributions reinvested | 462,266,158 | | 805,523,319 |
| Cost of shares redeemed | (488,786,029) | | (547,451,321) |
| Net increase (decrease) from share transactions | 18,373,392 | | 300,472,915 |
| Total increase (decrease) in net assets | 670,676,509 | | (1,597,058,318) |
| Net Assets | | | |
| Beginning of year | 5,198,625,287 | | 6,795,683,605 |
| End of year | $ 5,869,301,796 | | $ 5,198,625,287 |
| Changes in Fund Shares | | | |
| Shares sold | 751,490 | | 610,238 |
| Issued for distributions reinvested | 8,407,897 | | 10,796,453 |
| Shares redeemed | (8,038,868) | | (7,886,965) |
| Net increase in fund shares | 1,120,519 | | 3,519,726 |
The accompanying Notes are an integral part of these financial statements.
| 38 | Statements of Changes in Net Assets |
State Street Institutional Investment Trust
Statements of Changes in Net Assets
| | State Street Income Fund |
| | Year Ended
September 30,
2023 | | Year Ended
September 30,
2022 |
| Increase (Decrease) in Net Assets | | | |
| Operations: | | | |
| Net investment income | $ 47,111,311 | | $ 34,758,587 |
| Net realized gain (loss) on investments, futures and swap contracts | (62,656,178) | | (62,291,636) |
| Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | 27,155,646 | | (247,557,633) |
| Net increase (decrease) from operations | 11,610,779 | | (275,090,682) |
| Distributions to shareholders: | | | |
| Total distributions | (52,025,602) | | (91,204,659) |
| Increase (decrease) in assets from operations and distributions | (40,414,823) | | (366,295,341) |
| Share transactions: | | | |
| Proceeds from sale of shares | 18,479,343 | | 11,422,739 |
| Value of distributions reinvested | 50,619,765 | | 88,373,222 |
| Cost of shares redeemed | (148,609,025) | | (209,172,304) |
| Net increase (decrease) from share transactions | (79,509,917) | | (109,376,343) |
| Total increase (decrease) in net assets | (119,924,740) | | (475,671,684) |
| Net Assets | | | |
| Beginning of year | 1,432,739,201 | | 1,908,410,885 |
| End of year | $ 1,312,814,461 | | $ 1,432,739,201 |
| Changes in Fund Shares | | | |
| Shares sold | 1,861,855 | | 1,028,378 |
| Issued for distributions reinvested | 5,152,620 | | 7,836,577 |
| Shares redeemed | (15,094,648) | | (18,902,853) |
| Net decrease in fund shares | (8,080,173) | | (10,037,898) |
The accompanying Notes are an integral part of these financial statements.
| Statements of Changes in Net Assets | 39 |
State Street Institutional Investment Trust
Notes to Financial Statements — September 30, 2023
1. Organization of the Funds
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of September 30, 2023, the Trust consists of twenty-eight (28) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board” and each member thereof, a "Trustee") to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the State Street U.S. Core Equity Fund and the State Street Income Fund (each, a "Fund" and collectively, the "Funds"). Shares of the Funds may be purchased only by Eligible Investors, as defined in the Funds' prospectus, through General Electric Company’s defined contribution plan arrangement in a Fund.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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. |
| 40 | Notes to Financial Statements |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
| • | 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 September 30, 2023 is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
The State Street U.S. Core Equity Fund invests in real estate investments trusts ("REITs"). REITs determine the tax character of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
| Notes to Financial Statements | 41 |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
distributions initially as dividend income and re-designate the prior calendar year’s to return of capital gains distributions at year end based on information provided by the REIT and/or SSGA FM estimates of such redesignations for which actual information has not yet been reported.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund that incurs such expenses. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund.
Distributions The State Street Income Fund declares investment income dividends daily and pays them monthly. The State Street U.S. Core Equity Fund declares and pays dividends from investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Securities and Other Investments
Delayed Delivery Transactions and When-Issued Securities During the year ended September 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.
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.
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.
4.Derivative Financial Instruments
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
| 42 | Notes to Financial Statements |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
the Funds' Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts and TBAs 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 year ended September 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 year ended September 30, 2023, the State Street Income Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the 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 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 Fund loses its investment and recovers nothing. However, if a credit event occurs, the Fund receives full notional value for a referenced debt obligation that may have little or no value. When the 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 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 Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the 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 Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the 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 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 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 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 Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not earn any return on its investment. If the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the 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.
| Notes to Financial Statements | 43 |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
The following tables summarize the value of the Funds’ derivative instruments as of September 30, 2023 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
| Asset Derivatives |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| State Street Income Fund | | | | | | |
| Swap Contracts | $ — | $ — | $ 655,479 | $ — | $ — | $ 655,479 |
| Liability Derivatives |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| State Street U.S. Core Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | 6,827,100 | $ — | $ 6,827,100 |
| State Street Income Fund | | | | | | |
| Futures Contracts | $ 6,438,725 | $ — | $ — | $ — | $ — | $ 6,438,725 |
| Realized Gain (Loss) |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| State Street U.S. Core Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | 16,697,993 | $ — | $ 16,697,993 |
| State Street Income Fund | | | | | | |
| Futures Contracts | (13,744,143) | $ — | $ — | $ — | $ — | (13,744,143) |
| Swap Contracts | — | — | 8,262,588 | — | — | 8,262,588 |
| Net Change in Unrealized Appreciation/Depreciation |
| | Interest
Rate
Risk | Foreign
Exchange
Risk | Credit
Risk | Equity
Risk | Commodity
Risk | Total |
| State Street U.S. Core Equity Fund | | | | | | |
| Futures Contracts | $ — | $ — | $ — | (11,054,408) | $ — | (11,054,408) |
| State Street Income Fund | | | | | | |
| Futures Contracts | $ (4,990,530) | $ — | $ — | $ — | $ — | $ (4,990,530) |
| Swap Contracts | — | — | (336,722) | — | — | (336,722) |
5.Fees and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
| Fund | Management Fee |
| State Street U.S. Core Equity Fund | 0.12% |
| State Street Income Fund | 0.13% |
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Funds. Amounts paid by the Funds to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statements of Operations.
| 44 | Notes to Financial Statements |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
Due to Custodian In certain circumstances, the Funds may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian, who is an affiliate of the Funds.
Other Transactions with Affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the year ended September 30, 2023 are disclosed in each Fund's Schedule of Investments.
6.Trustees' Fees
The fees and expenses of the Trustees who are not “interested persons” of the Trust, as defined in the 1940 Act, (“Independent Trustees”) are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment Transactions
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended September 30, 2023 were as follows:
| | U.S. Government
Obligations | | Other
Securities |
| Fund | Purchases | Sales | | Purchases | Sales |
| State Street U.S. Core Equity Fund | $ — | $ — | | $2,160,274,282 | $2,738,906,035 |
| State Street Income Fund | 200,307,067 | 369,461,915 | | 166,317,060 | 164,825,810 |
8.Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM analyzed the Funds' tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, paydown gains and losses, futures contracts, swap contracts, straddle loss deferrals, return of capital adjustments, wash sale loss deferrals, and amortization and accretion of premium and discount for financial statement purposes.
The tax character of distributions paid during the fiscal year ended September 30, 2023 were as follows:
| Fund | Ordinary
Income | Long-Term
Capital Gains | Total |
| State Street U.S. Core Equity Fund | $72,291,494 | $414,622,800 | $486,914,294 |
| State Street Income Fund | 52,025,602 | — | 52,025,602 |
| Notes to Financial Statements | 45 |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
The tax character of distributions paid during the fiscal year ended September 30, 2022 were as follows:
| Fund | Ordinary
Income | Long-Term
Capital Gains | Total |
| State Street U.S. Core Equity Fund | $130,189,250 | $718,099,384 | $848,288,634 |
| State Street Income Fund | 73,556,280 | 17,648,379 | 91,204,659 |
At September 30, 2023, the components of distributable earnings on a tax basis were as follows:
| Fund | Undistributed
Ordinary
Income | Distribution
Payable | Capital Loss
Carryforwards | Undistributed
long term
gain | Net
Unrealized
Gains
(Losses) | Qualified
Late-Year
Losses | Total |
| State Street U.S. Core Equity Fund | $56,314,345 | $ — | $ — | $150,323,460 | $1,971,951,337 | $— | $2,178,589,142 |
| State Street Income Fund | — | (161,139) | (151,924,901) | — | (164,942,371) | — | (317,028,411) |
As of September 30, 2023, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
| Fund | Non-Expiring
Short Term | Non-Expiring
Long Term |
| State Street Income Fund | $61,376,552 | $90,548,349 |
As of September 30, 2023, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| Fund | Tax
Cost | Gross
Unrealized
Appreciation | Gross
Unrealized
Depreciation | Net
Unrealized
Appreciation
(Depreciation) |
| State Street U.S. Core Equity Fund | $3,889,241,574 | $2,082,334,479 | $110,383,141 | $1,971,951,338 |
| State Street Income Fund | 1,702,817,515 | 342,412 | 165,284,783 | (164,942,371) |
9.Line of Credit
As of September 30, 2023, the Funds and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion ($1.1 billion prior to October 6, 2022) revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. Effective October 5, 2023, the Funds have access to $180 million of a $960 million revolving credit facility. This agreement expires in October 2024 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operation expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Funds had no outstanding loans during the year ended September 30, 2023.
10.Risks
Concentration Risk As a result of a Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund's investments more than if a Fund was more broadly diversified.
| 46 | Notes to Financial Statements |
State Street Institutional Investment Trust
Notes to Financial Statements, continued — September 30, 2023
Interest Rate Risk Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund’s investments.
Credit Risk Each Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk Each Fund's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Funds are subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional, or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
11.Recent Accounting Pronouncement
In December 2022, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2206 "Reference Rate Reform (Topic 848)". ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.
12.Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
| Notes to Financial Statements | 47 |
State Street Institutional Investment Trust
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street U.S. Core Equity Fund and State Street Income Fund and the Board of Trustees of State Street Institutional Investment Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of State Street U.S. Core Equity Fund and State Street Income Fund (collectively, the “Funds”) (two of the funds constituting State Street Institutional Investment Trust (the “Trust”)), including the schedules of investments, as of September 30, 2023, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the two years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (two of the funds constituting State Street Institutional Investment Trust) at September 30, 2023, the results of their operations for the year then ended, and the changes in their net assets and their financial highlights for each of the two years in the period then ended, in conformity with U.S. generally accepted accounting principles.
The financial highlights for the periods ended prior to October 1, 2021 were audited by another independent registered public accounting firm whose report, dated November 24, 2021, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2023, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
November 22, 2023
| 48 | Report of Independent Registered Public Accounting Firm |
State Street Institutional Investment Trust
Other Information — September 30, 2023 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for their fiscal year ended September 30, 2023.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of qualified REIT dividends eligible for the qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2023 is considered qualified dividend income and are eligible for reduced tax rates. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Long Term Capital Gains Distributions
Long term capital gain dividends were paid from the Funds during the year ended September 30, 2023:
| | Amount |
| State Street U.S. Core Equity Fund | $414,622,800 |
Proxy Voting Policies and Procedures and Record
The Funds have adopted the proxy voting policies of the Adviser. A description of the Funds’ proxy voting policies and procedures that are used by the Funds' Adviser to vote proxies relating to Funds' portfolio of securities are available (i) without charge, upon request, by calling 1-800-242-0134 (toll free) and (ii) on the SEC’s website at www.sec.gov. Information regarding how the Funds voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Funds' website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Funds' first and third fiscal quarter-ends, complete Schedules of Investments are filed with the SEC as exhibits on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Funds' website at www.ssga.com. The Funds' Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each of State Street Income Fund and State Street U.S. Core Equity Fund (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5, 2023 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
| • | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
| ○ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
| ○ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
| ○ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
| ○ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
______________________
1 Over the course of many years overseeing the Funds and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual review process"). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
| • | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
| • | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
| • | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
| • | Information concerning the allocation of brokerage; and |
| • | Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser
| • | Reports detailing the financial results and condition of the Adviser and its affiliates; |
| • | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
| • | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
| • | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
| • | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
| • | A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
| • | A description of the business continuity and disaster recovery plans of the Adviser; and |
| • | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
| • | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Funds’ administrator (the “Administrator”); |
| • | Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant and securities lending agent of the Funds, as applicable, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
| • | Copies of the Advisory Agreement and agreements with other service providers of the Funds; |
| • | Responses to a request for information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
| ○ | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated Service Providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
| ○ | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and securities lending agent for the Funds, with respect to its operations relating to the Funds; and |
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
| ○ | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
| • | Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and |
| • | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023, the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2023, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of a portfolio’s quality distribution and sector and interest rate exposure. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. The Trustees also considered the significant risks assumed by the Adviser in connection with the services provided to the Funds, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in overseeing each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of each Fund:
State Street Income Fund. The Board considered that the Fund’s performance was above the median of its Performance Group for the 1-, 5- and 10-year periods and was below the median of its Performance Group for the 3-year period. The Board also considered that the Fund’s performance was above the median of its Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s performance was below the Benchmark for the 1-year period and was above the Benchmark for the 3-, 5- and 10-year periods.
State Street U.S. Core Equity Fund. The Board considered that Fund’s performance was above the median of its Performance Group for the 3- and 5-year periods and was below the median of its Performance Group for the 1- and 10-year periods. The Board also considered that the Fund’s performance was above the median of its Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s performance was above the Benchmark for the 3- and 5-year periods and was below the Benchmark for the 1- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of each Fund:
State Street Income Fund. The Board considered that the Fund’s actual management fee was below the median of its Expense Group and above the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the median of its Expense Group and above the median of its Expense Universe.
State Street U.S. Core Equity Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the median of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service Providers in connection with their relationships with the Funds, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the fund complex taken as a whole. The Board concluded that, in light of the current size of each Fund the fund complex, the level of profitability of the Adviser and its affiliates with respect to each Fund and the complex over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
TRUSTEES AND OFFICERS
Name, Address
and Year of Birth | Position(s) Held with Trust | Term of
Office and
Length of
Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | |
| Independent Trustees | | | | | |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | Trustee and
Chairperson
of the Board | Term: Indefinite
Elected: 1/14 | Associate Justice of the Superior Court, Commonwealth of Massachusetts; (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisers Europe Limited (investment company) (1998 - 2023); Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc) (1998 - 2023); Independent Director, SSGA Fixed Income plc (January 2009 - 2023); and Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | 54 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 - March 2023); Board Director and Chairman, SPDR Europe II, PLC (2013 - March 2023). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | Trustee
and
Chairperson
of the Qualified
Legal
Compliance Committee | Term: Indefinite
Elected: 12/18 | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019).
| 54 | Director of Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
Name, Address
and Year of Birth | Position(s) Held with Trust | Term of
Office and
Length of
Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other
Directorships
Held by Trustee
During the
Past Five Years |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | Term: Indefinite
Elected: 1/14 | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | 54 | Chairman and Board Member (1998 - December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member(2001 - 2017), Woodruff Arts Center, Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | Trustee and
Chairperson
of the Valuation Committee | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 - 2009); Trustee, Randolph-Macon College (2004 - 2016). | 54 | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | Trustee and
Chairperson
of the Audit Committee | Term: Indefinite
Elected: 12/18 | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | 54 | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee | Term: Indefinite
Appointed: 9/22 | Consultant, Bates Group (consultants) (2021 - 2023); Consultant, Madison Dearborn Partners (private equity) (2019 - 2020); General Counsel/CCO, Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology) (2011 - 2019). | 54 | Director, Manning & Napier Fund Inc. (2021 - 2022). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | Trustee | Term: Indefinite
Appointed: 9/22 | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | 54 | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds plc. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
Name, Address
and Year of Birth | Position(s) Held with Trust | Term of
Office and
Length of
Time Served | Principal Occupation During the Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other
Directorships
Held by Trustee
During the
Past Five Years |
Mark E. Swanson
c/o SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1963 | Trustee | Term: Indefinite
Appointed: 3/23 | Treasurer, Chief Accounting Officer and Chief Financial Officer, Russell Investment Funds (“RIF”) (1998 - 2022); Global Head of Fund Services, Russell Investments (2013 - 2022); Treasurer, Chief Accounting Officer and Chief Financial Officer, Russell Investment Company (“RIC”) (1998 - 2022); President and Chief Executive Officer, RIF (2016 - 2017 and 2020 to 2022); President and Chief Executive Officer, RIC (2016 - 2017 and 2020 - 2022) | 54 | Director and President, Russell Investments Fund Services, LLC (2010 - 2023); Director, Russell Investment Management, LLC, Russell Investments Trust Company and Russell Investments Financial Services, LLC (2010 - 2023). |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
| † | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as Adviser. |
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name,
Address, and
Year of Birth | Position(s) Held
with Trust | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years |
| OFFICERS: |
Ann M. Carpenter
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | President and
Principal Executive Officer; Deputy
Treasurer | Term:
Indefinite
Served: since 4/19
Term:
Indefinite
Served: since 5/23 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
| | | | |
Bruce S. Rosenberg
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | Treasurer and
Principal Financial Officer | Term:
Indefinite
Served: since 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
| | | | |
Chad C. Hallett
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | Deputy
Treasurer | Term:
Indefinite
Served: since 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
| | | | |
Darlene Anderson-Vasquez
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | Deputy
Treasurer | Term:
Indefinite
Served: since 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 - present); Senior Vice President, John Hancock Investments (September 2007 - May 2016). |
| | | | |
Arthur A. Jensen
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | Deputy
Treasurer | Term:
Indefinite
Served: since 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Funds Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
| | | | |
David K. Lancaster
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term:
Indefinite
Served: since 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
| | | | |
John Bettencourt
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | Assistant Treasurer | Term:
Indefinite
Served: since 5/22 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
State Street Institutional Investment Trust
Other Information, continued — September 30, 2023 (Unaudited)
Name,
Address, and
Year of Birth | Position(s) Held
with Trust | Term of
Office and
Length of
Time Served | Principal Occupation
During Past Five Years |
| OFFICERS: (continued) |
| | | |
Brian Harris
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | Chief Compliance
Officer, Anti-Money
Laundering Officer;
Code of Ethics
Compliance Officer | Term: Indefinite
Served: since 6/16
Term: Indefinite
Served: since 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - Present).* |
| | | | |
Sean O’Malley
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term:
Indefinite
Served: since 8/19 | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present);
Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
| | | | |
David Barr
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | Secretary | Term:
Indefinite
Served: since 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel Eaton Vance Corp. (October 2010 - October 2019). |
| | | | |
E. Gerard Maiorana, Jr.
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | Assistant
Secretary | Term:
Indefinite
Served: since 5/23 | Assistant Vice President,
State Street Global Advisors
(July 2014 - present). |
| | | | |
David Urman
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | Assistant
Secretary | Term:
Indefinite
Served: since 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 - present); Vice President and Counsel, State Street Global Advisors (August 2015 - April 2019); Associate, Ropes & Gray LLP (November 2012 - August 2015). |
| | | |
| * | Served in various capacities and/or with various affiliated entities during noted time period. |
State Street Institutional Investment Trust
Shareholder Services
INSIDE THE RETIREMENT SAVINGS PLAN
Shares or units held inside the Plan have been credited to your account as a result of contributions and investment earnings. For a statement summarizing your account balance in the Plan, please refer to your GE RSP Retirement Savings Statement, which is provided quarterly and is available online at any time or upon request. You may obtain additional information and process transactions on investments held inside the Plan by calling:
GE Retirement Savings Plan Service Center: 1-877-55-GERSP (1-877-554-3777)
or visit OneHR.ge.com > Retirement (or RSP) > My GE RSP
OUTSIDE THE RETIREMENT SAVINGS PLAN
If shares of the Funds have been distributed to you from the Plan, information on these investments may be obtained by calling:
SSGA Funds Management, Inc.: 1-800-242-0134
or visit www.ssga.com
Trustees
Patrick J. Riley, Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Margaret K. McLaughlin
George M. Pereira
Mark E. Swanson
Officers
Ann M. Carpenter, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Bruce S. Rosenberg, Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
David K. Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
David Urman, Assistant Secretary
Edmund Gerard Maiorana, Jr., Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, Massachusetts 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
(b) Not Applicable.
Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
For the fiscal years ended September 30, 2023 and September 30, 2022, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“EY”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements and services normally provided by EY in connection with the Trust’s statutory and regulatory filings and engagements were $54,420 and $95,130, respectively.
For the fiscal years ended September 30, 2023 and September 30, 2022, there were no fees for assurance and related services by EY reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
For the fiscal years ended September 30, 2023 and September 30, 2022, the aggregate tax fees billed for professional services rendered by EY for the review of year-end distribution requirements were $5,480 and $8,220, respectively.
For the fiscal years ended September 30, 2023 and September 30, 2022, there were no fees billed for professional services rendered by EY for products and services provided by EY to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended September 30, 2023 and September 30, 2022, the aggregate fees for professional services rendered by EY for products and services provided by EY to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $9,540,002 and $9,327,125, respectively.
| | (e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
| | • | | To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
| | • | | To establish, if deemed necessary or appropriate as an alternative to Committee pre-approval of services to be provided by the independent auditor as required by paragraph (ii) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
| | • | | The Chairperson, or a Co-Chairperson, of the Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Committee at its next scheduled meeting. |
| | (e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
| | (g) | Total Fees Paid by Adviser and Certain Affiliates |
For the fiscal years ended September 30, 2023 and September 30, 2022, the aggregate non-audit fees billed by EY for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were as follows:
| | | | | | | | |
| | | FY 2023
(in millions) | | | FY 2022
(in millions) | |
Non audit services billed to: | | | | | | | | |
Registrant: | | | See Item 4 | (c) | | | See Item 4 | (c) |
Investment Adviser: | | | — | | | | — | |
Other entities in the Investment Company Complex (1)(2): | | | | | | | | |
Audit Related Fees | | $ | 17.9 | | | $ | 18.1 | |
Tax Fees | | $ | 5.6 | | | $ | 5.4 | |
All Other Fees | | $ | 15.5 | | | $ | 14.5 | |
| (1) | Information is for the calendar years 2023 and 2022, respectively. |
| (2) | Services under the caption Audit-Related Fees consisted principally of reports on the processing of transactions by servicing organizations, audits of employee benefit plan, non-statutory audits and due diligence procedures. Services under the caption Tax Fees consisted principally of expatriate, compliance and corporate tax advisory services. Services under the caption All Other Fees primarily related to statutory and financial statement audits and the requirement to opine on the design and operating effectiveness of internal control over financial reporting. |
| | (h) | EY notified the Trust’s Audit Committee of all non-audit services that were rendered by EY to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining EY’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: STATE STREET INSTITUTIONAL INVESTMENT TRUST
| | |
| |
| By: | | /s/ Ann M. Carpenter |
| | Ann M. Carpenter |
| | President (Principal Executive Officer) |
| |
| Date: | | December 6, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Ann M. Carpenter |
| | Ann M. Carpenter |
| | President (Principal Executive Officer) |
| |
| Date: | | December 6, 2023 |
| |
| By: | | /s/ Bruce S. Rosenberg |
| | Bruce S. Rosenberg |
| | Treasurer (Principal Financial and Accounting Officer) |
| |
| Date: | | December 6, 2023 |
