Quarterly Report
June 30, 2021
State Street Institutional Funds
State Street Institutional Funds
Quarterly Report
June 30, 2021
Table of Contents (Unaudited)
Page | |
Schedules of Investments (Unaudited) | |
1 | |
4 | |
6 | |
13 | |
16 | |
32 |
State Street Institutional U.S. Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Common Stock - 98.8% † | |||
Aerospace & Defense - 0.6% | |||
Raytheon Technologies Corp. | 39,471 | $3,367,271 | |
Air Freight & Logistics - 0.4% | |||
United Parcel Service Inc., Class B | 11,414 | 2,373,770 | |
Apparel Retail - 1.3% | |||
Ross Stores Inc. | 61,147 | 7,582,228 | |
Application Software - 3.5% | |||
Adobe Inc. (a) | 7,232 | 4,235,348 | |
Intuit Inc. | 2,604 | 1,276,403 | |
salesforce.com Inc. (a) | 45,097 | 11,015,844 | |
Splunk Inc. (a) | 27,060 | 3,912,335 | |
20,439,930 | |||
Asset Management & Custody Banks - 0.2% | |||
The Blackstone Group Inc. | 12,135 | 1,178,794 | |
Auto Parts & Equipment - 0.1% | |||
Magna International, Inc. | 4,000 | 370,560 | |
Automotive Retail - 0.6% | |||
O'Reilly Automotive Inc. (a) | 5,834 | 3,303,269 | |
Biotechnology - 1.1% | |||
Biogen Inc. (a) | 4,608 | 1,595,612 | |
BioMarin Pharmaceutical Inc. (a) | 23,437 | 1,955,583 | |
Vertex Pharmaceuticals Inc. (a) | 14,263 | 2,875,849 | |
6,427,044 | |||
Building Products - 1.0% | |||
Allegion PLC | 14,693 | 2,046,735 | |
Trane Technologies PLC | 21,646 | 3,985,894 | |
6,032,629 | |||
Cable & Satellite - 1.5% | |||
Charter Communications Inc., Class A (a) | 7,493 | 5,405,825 | |
Comcast Corp., Class A | 64,275 | 3,664,960 | |
9,070,785 | |||
Communications Equipment - 0.2% | |||
Cisco Systems Inc. | 23,526 | 1,246,878 | |
Construction Materials - 0.8% | |||
Martin Marietta Materials Inc. | 13,165 | 4,631,579 | |
Data Processing & Outsourced Services - 4.8% | |||
Fidelity National Information Services Inc. | 12,880 | 1,824,710 | |
Mastercard Inc., Class A | 18,425 | 6,726,783 | |
PayPal Holdings Inc. (a) | 12,891 | 3,757,469 | |
Visa Inc., Class A | 68,815 | 16,090,323 | |
28,399,285 | |||
Diversified Banks - 2.7% | |||
JPMorgan Chase & Co. | 100,250 | 15,592,885 | |
Diversified Support Services - 1.1% | |||
Cintas Corp. | 9,212 | 3,518,984 | |
IAA Inc. (a) | 51,434 | 2,805,210 | |
6,324,194 |
Number of Shares | Fair Value | ||
Electric Utilities - 0.8% | |||
NextEra Energy Inc. | 63,315 | $4,639,723 | |
Electronic Components - 2.3% | |||
Amphenol Corp., Class A | 77,530 | 5,303,827 | |
Corning Inc. | 199,918 | 8,176,646 | |
13,480,473 | |||
Electronic Equipment & Instruments - 0.6% | |||
Keysight Technologies Inc. (a) | 21,586 | 3,333,094 | |
Environmental & Facilities Services - 1.4% | |||
Waste Management Inc. | 57,740 | 8,089,951 | |
Financial Exchanges & Data - 1.7% | |||
CME Group Inc. | 23,269 | 4,948,851 | |
MSCI Inc. | 2,066 | 1,101,343 | |
S&P Global Inc. | 5,609 | 2,302,214 | |
Tradeweb Markets Inc., Class A | 15,880 | 1,342,813 | |
9,695,221 | |||
Footwear - 0.8% | |||
NIKE Inc., Class B | 30,771 | 4,753,812 | |
Healthcare Equipment - 3.9% | |||
Becton Dickinson & Co. | 17,734 | 4,312,731 | |
Boston Scientific Corp. (a) | 161,050 | 6,886,498 | |
Edwards Lifesciences Corp. (a) | 21,761 | 2,253,787 | |
Medtronic PLC | 34,468 | 4,278,513 | |
Tandem Diabetes Care Inc. (a) | 15,269 | 1,487,201 | |
Zimmer Biomet Holdings Inc. | 21,414 | 3,443,799 | |
22,662,529 | |||
Healthcare Services - 0.6% | |||
Cigna Corp. | 15,318 | 3,631,438 | |
Home Improvement Retail - 2.0% | |||
Lowe's Companies Inc. | 51,026 | 9,897,513 | |
The Home Depot Inc. | 5,809 | 1,852,432 | |
11,749,945 | |||
Hotels, Resorts & Cruise Lines - 0.9% | |||
Marriott International Inc., Class A (a) | 40,592 | 5,541,620 | |
Household Products - 1.3% | |||
Colgate-Palmolive Co. | 26,458 | 2,152,358 | |
The Procter & Gamble Co. | 41,450 | 5,592,849 | |
7,745,207 | |||
Hypermarkets & Super Centers - 0.4% | |||
Walmart Inc. | 15,049 | 2,122,210 | |
Industrial Conglomerates - 1.6% | |||
Honeywell International Inc. | 42,898 | 9,409,676 | |
Industrial Gases - 1.4% | |||
Air Products & Chemicals Inc. | 29,045 | 8,355,666 | |
Industrial Machinery - 1.3% | |||
Parker-Hannifin Corp. | 16,216 | 4,980,096 | |
Xylem Inc. | 19,941 | 2,392,122 | |
7,372,218 |
See Notes to Schedule of Investments.
State Street Institutional U.S. Equity Fund | 1 |
State Street Institutional U.S. Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Insurance Brokers - 0.3% | |||
Marsh & McLennan Companies Inc. | 10,770 | $1,515,124 | |
Integrated Oil & Gas - 0.9% | |||
Chevron Corp. | 28,197 | 2,953,354 | |
Exxon Mobil Corp. | 34,562 | 2,180,171 | |
5,133,525 | |||
Interactive Home Entertainment - 0.2% | |||
Activision Blizzard Inc. | 15,499 | 1,479,225 | |
Interactive Media & Services - 8.1% | |||
Alphabet Inc., Class C (a) | 3,872 | 9,704,471 | |
Alphabet Inc., Class A (a) | 8,351 | 20,391,388 | |
Facebook Inc., Class A (a) | 49,603 | 17,247,459 | |
47,343,318 | |||
Internet & Direct Marketing Retail - 4.8% | |||
Amazon.com Inc. (a) | 8,210 | 28,243,714 | |
Investment Banking & Brokerage - 0.4% | |||
The Charles Schwab Corp. | 32,705 | 2,381,251 | |
IT Consulting & Other Services - 0.4% | |||
Accenture PLC, Class A | 7,083 | 2,087,998 | |
Life & Health Insurance - 0.1% | |||
Lincoln National Corp. | 13,275 | 834,201 | |
Life Sciences Tools & Services - 1.0% | |||
IQVIA Holdings Inc. (a) | 23,906 | 5,792,902 | |
Managed Healthcare - 1.9% | |||
Humana Inc. | 7,890 | 3,493,061 | |
UnitedHealth Group Inc. | 19,623 | 7,857,834 | |
11,350,895 | |||
Movies & Entertainment - 2.2% | |||
Netflix Inc. (a) | 8,312 | 4,390,482 | |
The Walt Disney Co. (a) | 48,868 | 8,589,528 | |
12,980,010 | |||
Multi-Line Insurance - 0.3% | |||
American International Group Inc. | 32,961 | 1,568,944 | |
Multi-Sector Holdings - 1.2% | |||
Berkshire Hathaway Inc., Class B (a) | 24,474 | 6,801,814 | |
Multi-Utilities - 1.5% | |||
Sempra Energy | 66,388 | 8,795,082 | |
Oil & Gas Equipment & Services - 0.3% | |||
Schlumberger N.V. | 50,828 | 1,627,004 | |
Oil & Gas Exploration & Production - 1.4% | |||
ConocoPhillips | 104,419 | 6,359,117 | |
Pioneer Natural Resources Co. | 12,248 | 1,990,545 | |
8,349,662 | |||
Packaged Foods & Meats - 1.5% | |||
Mondelez International Inc., Class A | 136,534 | 8,525,183 | |
Personal Products - 0.4% | |||
The Estee Lauder Companies Inc., Class A | 8,262 | 2,627,977 |
Number of Shares | Fair Value | ||
Pharmaceuticals - 3.6% | |||
Bristol-Myers Squibb Co. | 66,185 | $4,422,481 | |
Elanco Animal Health Inc. (a) | 30,630 | 1,062,555 | |
Johnson & Johnson | 21,910 | 3,609,453 | |
Merck & Company Inc. | 119,592 | 9,300,670 | |
Viatris Inc. | 168,682 | 2,410,466 | |
20,805,625 | |||
Property & Casualty Insurance - 1.0% | |||
Chubb Ltd. | 36,860 | 5,858,528 | |
Railroads - 0.6% | |||
Union Pacific Corp. | 16,861 | 3,708,240 | |
Regional Banks - 3.1% | |||
First Republic Bank | 41,904 | 7,843,172 | |
Regions Financial Corp. | 340,508 | 6,871,451 | |
SVB Financial Group (a) | 6,236 | 3,469,898 | |
18,184,521 | |||
Restaurants - 0.6% | |||
McDonald's Corp. | 15,031 | 3,472,011 | |
Semiconductor Equipment - 1.6% | |||
Applied Materials Inc. | 66,294 | 9,440,266 | |
Semiconductors - 4.8% | |||
NVIDIA Corp. | 10,794 | 8,636,279 | |
QUALCOMM Inc. | 72,087 | 10,303,395 | |
Texas Instruments Inc. | 46,354 | 8,913,874 | |
27,853,548 | |||
Soft Drinks - 0.8% | |||
PepsiCo Inc. | 32,409 | 4,802,042 | |
Specialized REITs - 1.3% | |||
American Tower Corp. | 27,531 | 7,437,224 | |
Specialty Chemicals - 0.5% | |||
DuPont de Nemours Inc. | 20,172 | 1,561,515 | |
Ecolab Inc. | 3,681 | 758,176 | |
PPG Industries Inc. | 5,059 | 858,866 | |
3,178,557 | |||
Systems Software - 6.9% | |||
Microsoft Corp. | 132,349 | 35,853,344 | |
Oracle Corp. | 25,751 | 2,004,458 | |
ServiceNow Inc. (a) | 4,975 | 2,734,011 | |
40,591,813 | |||
Technology Hardware, Storage & Peripherals - 4.7% | |||
Apple Inc. | 199,651 | 27,344,201 | |
Trading Companies & Distributors - 1.1% | |||
United Rentals Inc. (a) | 21,116 | 6,736,215 | |
Trucking - 0.1% | |||
Lyft Inc., Class A (a) | 7,874 | 476,220 | |
Wireless Telecommunication Services - 0.3% | |||
T-Mobile US Inc. (a) | 13,133 | 1,902,052 | |
Total Common Stock (Cost $337,346,497) | 578,152,776 |
See Notes to Schedule of Investments.
2 | State Street Institutional U.S. Equity Fund |
State Street Institutional U.S. Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Short-Term Investments - 1.2% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (b)(c)(d) (Cost $7,091,025) | 7,091,025 | $7,091,025 | |
Total Investments (Cost $344,437,522) | 585,243,801 | ||
Liabilities in Excess of Other Assets, net - (0.0)%* | (63,980) | ||
NET ASSETS - 100.0% | $585,179,821 |
Other Information:
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
S&P 500 Emini Index Futures | September 2021 | 13 | $2,762,632 | $2,787,590 | $24,958 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | 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. |
(c) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBAs. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of June 30, 2021. |
* | Less than 0.05%. |
Abbreviations: |
REIT - Real Estate Investment Trust |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2021:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $578,152,776 | $— | $— | $578,152,776 | ||||
Short-Term Investments | 7,091,025 | — | — | 7,091,025 | ||||
Total Investments in Securities | $585,243,801 | $— | $— | $585,243,801 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Appreciation | 24,958 | — | — | 24,958 | ||||
Total Other Financial Instruments | $24,958 | $— | $— | $24,958 |
Affiliate Table |
Number of Shares Held at 9/30/20 | Value at 9/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,363,497 | $5,363,497 | $56,746,268 | $55,018,740 | $— | $— | 7,091,025 | $7,091,025 | $2,811 |
See Notes to Schedule of Investments.
State Street Institutional U.S. Equity Fund | 3 |
State Street Institutional Premier Growth Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Common Stock - 94.3% † | |||
Apparel Retail - 1.9% | |||
Ross Stores Inc. | 15,581 | $1,932,044 | |
Application Software - 5.8% | |||
Adobe Inc. (a) | 1,181 | 691,641 | |
salesforce.com Inc. (a) | 13,290 | 3,246,348 | |
Splunk Inc. (a) | 12,951 | 1,872,456 | |
5,810,445 | |||
Biotechnology - 2.6% | |||
BioMarin Pharmaceutical Inc. (a) | 14,316 | 1,194,527 | |
Vertex Pharmaceuticals Inc. (a) | 6,870 | 1,385,198 | |
2,579,725 | |||
Cable & Satellite - 1.4% | |||
Charter Communications Inc., Class A (a) | 2,006 | 1,447,229 | |
Data Processing & Outsourced Services - 7.3% | |||
Fidelity National Information Services Inc. | 9,166 | 1,298,547 | |
Mastercard Inc., Class A | 4,164 | 1,520,235 | |
Visa Inc., Class A | 19,265 | 4,504,542 | |
7,323,324 | |||
Electronic Components - 1.6% | |||
Corning Inc. | 38,747 | 1,584,752 | |
Financial Exchanges & Data - 1.3% | |||
S&P Global Inc. | 3,128 | 1,283,888 | |
Healthcare Equipment - 3.2% | |||
Boston Scientific Corp. (a) | 44,188 | 1,889,479 | |
Intuitive Surgical Inc. (a) | 1,469 | 1,350,951 | |
3,240,430 | |||
Home Improvement Retail - 2.7% | |||
Lowe's Companies Inc. | 14,187 | 2,751,852 | |
Industrial Conglomerates - 1.7% | |||
Honeywell International Inc. | 7,912 | 1,735,497 | |
Industrial Gases - 1.0% | |||
Air Products & Chemicals Inc. | 3,448 | 991,921 | |
Industrial Machinery - 1.5% | |||
Parker-Hannifin Corp. | 4,837 | 1,485,491 | |
Interactive Media & Services - 13.2% | |||
Alphabet Inc., Class C (a) | 2,290 | 5,739,473 | |
Alphabet Inc., Class A (a) | 821 | 2,004,709 | |
Facebook Inc., Class A (a) | 16,045 | 5,579,007 | |
13,323,189 | |||
Internet & Direct Marketing Retail - 6.8% | |||
Alibaba Group Holding Ltd. ADR (a) | 4,287 | 972,206 | |
Amazon.com Inc. (a) | 1,706 | 5,868,913 | |
6,841,119 | |||
Investment Banking & Brokerage - 1.4% | |||
The Charles Schwab Corp. | 19,441 | 1,415,499 |
Number of Shares | Fair Value | ||
Managed Healthcare - 2.6% | |||
UnitedHealth Group Inc. | 6,530 | $2,614,873 | |
Movies & Entertainment - 1.3% | |||
The Walt Disney Co. (a) | 7,465 | 1,312,123 | |
Pharmaceuticals - 1.3% | |||
Elanco Animal Health Inc. (a) | 38,953 | 1,351,280 | |
Regional Banks - 1.2% | |||
First Republic Bank | 6,609 | 1,237,007 | |
Semiconductor Equipment - 2.8% | |||
Applied Materials Inc. | 20,021 | 2,850,990 | |
Semiconductors - 6.2% | |||
NVIDIA Corp. | 3,957 | 3,165,996 | |
QUALCOMM Inc. | 21,448 | 3,065,562 | |
6,231,558 | |||
Soft Drinks - 1.7% | |||
PepsiCo Inc. | 11,662 | 1,727,959 | |
Specialized REITs - 1.2% | |||
American Tower Corp. | 4,525 | 1,222,384 | |
Systems Software - 11.6% | |||
Microsoft Corp. | 33,855 | 9,171,319 | |
ServiceNow Inc. (a) | 4,518 | 2,482,867 | |
11,654,186 | |||
Technology Hardware, Storage & Peripherals - 8.5% | |||
Apple Inc. | 62,939 | 8,620,126 | |
Trading Companies & Distributors - 1.7% | |||
United Rentals Inc. (a) | 5,357 | 1,708,937 | |
Trucking - 0.8% | |||
Lyft Inc., Class A (a) | 12,780 | 772,934 | |
Total Common Stock (Cost $43,745,671) | 95,050,762 | ||
Exchange Traded & Mutual Funds - 2.7% | |||
The Consumer Discretionary Select Sector SPDR Fund (b) | 10,976 | 1,959,765 | |
The Technology Select Sector SPDR Fund (b) | 5,519 | 814,935 | |
Total Exchange Traded & Mutual Funds (Cost $2,271,364) | 2,774,700 | ||
Total Investments in Securities (Cost $46,017,035) | 97,825,462 | ||
Short-Term Investments - 3.3% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (b)(c)(d) (Cost $3,331,437) | 3,331,437 | 3,331,437 | |
Total Investments (Cost $49,348,472) | 101,156,899 | ||
Liabilities in Excess of Other Assets, net - (0.3)% | (334,691) | ||
NET ASSETS - 100.0% | $100,822,208 |
See Notes to Schedule of Investments.
4 | State Street Institutional Premier Growth Equity Fund |
State Street Institutional Premier Growth Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Other Information:
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
S&P 500 Emini Index Futures | September 2021 | 12 | $2,542,319 | $2,573,160 | $30,841 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | 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. |
(c) | Coupon amount represents effective yield. |
(d) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
† | Percentages are based on net assets as of June 30, 2021. |
Abbreviations: |
ADR - American Depositary Receipt |
REIT - Real Estate Investment Trust |
SPDR - Standard and Poor's Depositary Receipt |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2021:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $95,050,762 | $— | $— | $95,050,762 | ||||
Exchange Traded & Mutual Funds | 2,774,700 | — | — | 2,774,700 | ||||
Short-Term Investments | 3,331,437 | — | — | 3,331,437 | ||||
Total Investments in Securities | $101,156,899 | $— | $— | $101,156,899 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Appreciation | 30,841 | — | — | 30,841 | ||||
Total Other Financial Instruments | $30,841 | $— | $— | $30,841 |
Affiliate Table |
Number of Shares Held at 9/30/20 | Value at 9/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,019,025 | $1,019,025 | $11,154,793 | $8,842,381 | $— | $— | 3,331,437 | $3,331,437 | $702 | ||||||||
The Consumer Discretionary Select Sector SPDR Fund | 6,161 | 905,544 | 1,080,788 | 270,013 | 80,849 | 162,597 | 10,976 | 1,959,765 | 6,620 | ||||||||
The Technology Select Sector SPDR Fund | 1,111 | 129,653 | 609,329 | 27,178 | 1,033 | 102,098 | 5,519 | 814,935 | 3,500 | ||||||||
TOTAL | $2,054,222 | $12,844,910 | $9,139,572 | $81,882 | $264,695 | $6,106,137 | $10,822 |
See Notes to Schedule of Investments.
State Street Institutional Premier Growth Equity Fund | 5 |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Common Stock - 95.6% † | |||
Agricultural & Farm Machinery - 0.6% | |||
AGCO Corp. | 58,392 | $7,613,149 | |
Agricultural Products - 1.3% | |||
Darling Ingredients Inc. (a) | 251,903 | 17,003,453 | |
Air Freight & Logistics - 0.3% | |||
Atlas Air Worldwide Holdings Inc. (a) | 7,258 | 494,342 | |
Echo Global Logistics Inc. (a) | 29,654 | 911,564 | |
Forward Air Corp. | 13,690 | 1,228,678 | |
Hub Group Inc., Class A (a) | 13,014 | 858,664 | |
3,493,248 | |||
Airlines - 0.1% | |||
Allegiant Travel Co. (a) | 7,828 | 1,518,632 | |
Aluminum - 0.2% | |||
Alcoa Corp. (a) | 74,161 | 2,732,091 | |
Apparel Retail - 0.6% | |||
American Eagle Outfitters Inc. | 81,961 | 3,075,997 | |
The Buckle Inc. | 89,823 | 4,468,694 | |
7,544,691 | |||
Application Software - 5.2% | |||
ACI Worldwide Inc. (a) | 159,694 | 5,931,035 | |
Altair Engineering Inc., Class A (a) | 59,853 | 4,128,062 | |
Blackbaud Inc. (a) | 126,960 | 9,721,327 | |
Blackline Inc. (a) | 53,564 | 5,960,066 | |
Box Inc., Class A (a) | 31,140 | 795,627 | |
Cornerstone OnDemand Inc. (a) | 74,034 | 3,818,674 | |
Envestnet Inc. (a) | 37,500 | 2,844,750 | |
J2 Global Inc. (a) | 5,955 | 819,110 | |
Medallia Inc. (a) | 222,500 | 7,509,375 | |
New Relic Inc. (a) | 123,000 | 8,237,310 | |
Q2 Holdings Inc. (a) | 60,360 | 6,191,729 | |
Sumo Logic Inc. (a) | 133,000 | 2,746,450 | |
Workiva Inc. (a) | 46,500 | 5,176,845 | |
Yext Inc. (a) | 345,500 | 4,937,195 | |
68,817,555 | |||
Asset Management & Custody Banks - 0.1% | |||
Artisan Partners Asset Management Inc., Class A | 14,219 | 722,610 | |
Diamond Hill Investment Group Inc. | 3,681 | 615,868 | |
Federated Hermes Inc. | 18,086 | 613,296 | |
1,951,774 | |||
Auto Parts & Equipment - 1.1% | |||
Dana Inc. | 94,661 | 2,249,145 | |
Dorman Products Inc. (a) | 96,711 | 10,026,029 | |
LCI Industries | 12,989 | 1,707,015 | |
Standard Motor Products Inc. | 20,273 | 878,835 | |
14,861,024 | |||
Automobile Manufacturers - 1.0% | |||
Thor Industries Inc. | 113,091 | 12,779,283 | |
Automotive Retail - 1.6% | |||
America's Car-Mart Inc. (a) | 19,844 | 2,812,292 | |
Camping World Holdings Inc., Class A | 14,643 | 600,216 | |
Group 1 Automotive Inc. | 39,667 | 6,125,775 |
Number of Shares | Fair Value | ||
Monro Inc. | 29,774 | $1,890,947 | |
Murphy USA Inc. | 73,325 | 9,779,355 | |
21,208,585 | |||
Biotechnology - 1.5% | |||
Avid Bioservices Inc. (a) | 122,434 | 3,140,432 | |
Catalyst Pharmaceuticals Inc. (a) | 297,791 | 1,712,298 | |
CytomX Therapeutics Inc. (a) | 44,909 | 284,274 | |
Eagle Pharmaceuticals Inc. (a) | 7,041 | 301,355 | |
Emergent BioSolutions Inc. (a) | 79,215 | 4,989,753 | |
Heron Therapeutics Inc. (a) | 272,017 | 4,221,704 | |
Ironwood Pharmaceuticals Inc. (a) | 42,651 | 548,919 | |
Ovid therapeutics Inc. (a) | 237,842 | 929,962 | |
Puma Biotechnology Inc. (a) | 115,529 | 1,060,556 | |
Vanda Pharmaceuticals Inc. (a) | 32,400 | 696,924 | |
Veracyte Inc. (a) | 65,500 | 2,618,690 | |
20,504,867 | |||
Building Products - 1.0% | |||
American Woodmark Corp. (a) | 12,628 | 1,031,581 | |
Builders FirstSource Inc. (a) | 20,098 | 857,381 | |
CSW Industrials Inc. | 23,500 | 2,783,810 | |
Gibraltar Industries Inc. (a) | 93,687 | 7,149,255 | |
UFP Industries Inc. | 27,562 | 2,048,959 | |
13,870,986 | |||
Commodity Chemicals - 0.6% | |||
Hawkins Inc. | 18,515 | 606,366 | |
Koppers Holdings Inc. (a) | 234,477 | 7,585,331 | |
8,191,697 | |||
Communications Equipment - 0.8% | |||
Casa Systems Inc. (a) | 86,488 | 767,148 | |
CommScope Holding Company Inc. (a) | 50,800 | 1,082,548 | |
Extreme Networks Inc. (a) | 317,335 | 3,541,459 | |
NETGEAR Inc. (a) | 14,433 | 553,073 | |
Plantronics Inc. (a) | 70,184 | 2,928,778 | |
Viavi Solutions Inc. (a) | 70,933 | 1,252,677 | |
10,125,683 | |||
Computer & Electronics Retail - 0.2% | |||
Rent-A-Center Inc. | 58,317 | 3,094,883 | |
Construction & Engineering - 1.5% | |||
Comfort Systems USA Inc. | 9,827 | 774,269 | |
Dycom Industries Inc. (a) | 182,207 | 13,579,888 | |
EMCOR Group Inc. | 9,352 | 1,152,073 | |
MasTec Inc. (a) | 12,468 | 1,322,855 | |
Valmont Industries Inc. | 12,923 | 3,050,474 | |
19,879,559 | |||
Construction Machinery & Heavy Trucks - 1.0% | |||
Alamo Group Inc. | 13,673 | 2,087,594 | |
Astec Industries Inc. | 51,432 | 3,237,130 | |
Meritor Inc. (a) | 119,554 | 2,799,955 | |
The Greenbrier Companies Inc. | 58,520 | 2,550,302 | |
The Manitowoc Company Inc. (a) | 65,375 | 1,601,687 | |
Wabash National Corp. | 98,104 | 1,569,664 | |
13,846,332 |
See Notes to Schedule of Investments.
6 | State Street Institutional Small-Cap Equity Fund |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Construction Materials - 0.1% | |||
Eagle Materials Inc. | 11,644 | $1,654,729 | |
Consumer Electronics - 0.2% | |||
GoPro Inc., Class A (a) | 78,828 | 918,346 | |
Sonos Inc. (a) | 42,430 | 1,494,809 | |
Universal Electronics Inc. (a) | 9,344 | 453,184 | |
2,866,339 | |||
Consumer Finance - 0.4% | |||
Curo Group Holdings Corp. | 35,714 | 607,138 | |
PROG Holdings Inc. | 86,808 | 4,178,069 | |
4,785,207 | |||
Data Processing & Outsourced Services - 0.8% | |||
Cass Information Systems Inc. | 13,120 | 534,640 | |
CSG Systems International Inc. | 66,796 | 3,151,435 | |
EVERTEC Inc. | 28,644 | 1,250,311 | |
Maximus Inc. | 10,267 | 903,188 | |
TTEC Holdings Inc. | 7,204 | 742,661 | |
Verra Mobility Corp. (a) | 227,509 | 3,496,813 | |
10,079,048 | |||
Distillers & Vintners - 1.1% | |||
MGP Ingredients Inc. | 223,910 | 15,145,272 | |
Distributors - 0.6% | |||
LKQ Corp. (a) | 149,397 | 7,353,320 | |
Diversified Metals & Mining - 0.3% | |||
Compass Minerals International Inc. | 47,193 | 2,796,657 | |
Materion Corp. | 13,120 | 988,592 | |
3,785,249 | |||
Diversified REITs - 0.3% | |||
Alpine Income Property Trust Inc. | 42,009 | 799,011 | |
American Assets Trust Inc. | 49,397 | 1,842,014 | |
Essential Properties Realty Trust Inc. | 39,032 | 1,055,425 | |
Gladstone Commercial Corp. | 31,089 | 701,368 | |
4,397,818 | |||
Diversified Support Services - 1.6% | |||
Healthcare Services Group Inc. | 134,119 | 4,234,137 | |
IAA Inc. (a) | 44,272 | 2,414,595 | |
Matthews International Corp., Class A | 67,891 | 2,441,360 | |
Ritchie Bros Auctioneers Inc. | 175,869 | 10,425,514 | |
UniFirst Corp. | 6,035 | 1,416,053 | |
20,931,659 | |||
Education Services - 0.3% | |||
American Public Education Inc. (a) | 17,421 | 493,711 | |
Perdoceo Education Corp. (a) | 23,548 | 288,934 | |
Stride Inc. (a) | 99,148 | 3,185,625 | |
3,968,270 | |||
Electric Utilities - 0.7% | |||
ALLETE Inc. | 15,285 | 1,069,644 | |
IDACORP Inc. | 78,902 | 7,692,945 | |
8,762,589 |
Number of Shares | Fair Value | ||
Electrical Components & Equipment - 0.4% | |||
Acuity Brands Inc. | 7,052 | $1,318,935 | |
Atkore Inc. (a) | 23,140 | 1,642,940 | |
Regal Beloit Corp. | 16,925 | 2,259,657 | |
5,221,532 | |||
Electronic Components - 1.5% | |||
Belden Inc. | 183,135 | 9,261,137 | |
II-VI Inc. (a) | 30,471 | 2,211,890 | |
Littelfuse Inc. | 24,865 | 6,335,353 | |
Rogers Corp. (a) | 10,922 | 2,193,138 | |
20,001,518 | |||
Electronic Equipment & Instruments - 0.4% | |||
Advanced Energy Industries Inc. | 10,295 | 1,160,350 | |
National Instruments Corp. | 98,478 | 4,163,650 | |
OSI Systems Inc. (a) | 2,435 | 247,493 | |
5,571,493 | |||
Electronic Manufacturing Services - 0.4% | |||
Methode Electronics Inc. | 36,146 | 1,778,745 | |
Plexus Corp. (a) | 23,551 | 2,152,797 | |
Sanmina Corp. (a) | 23,725 | 924,326 | |
4,855,868 | |||
Environmental & Facilities Services - 0.6% | |||
Clean Harbors Inc. (a) | 84,989 | 7,915,876 | |
Food Distributors - 0.3% | |||
Performance Food Group Co. (a) | 92,585 | 4,489,447 | |
Food Retail - 0.1% | |||
Sprouts Farmers Market Inc. (a) | 32,709 | 812,819 | |
Footwear - 0.7% | |||
Deckers Outdoor Corp. (a) | 9,220 | 3,541,125 | |
Wolverine World Wide Inc. | 165,500 | 5,567,420 | |
9,108,545 | |||
Gas Utilities - 0.1% | |||
Spire Inc. | 20,238 | 1,462,600 | |
Health Care REITs - 0.3% | |||
CareTrust REIT Inc. | 49,680 | 1,154,066 | |
Community Healthcare Trust Inc. | 27,796 | 1,319,198 | |
LTC Properties Inc. | 10,510 | 403,479 | |
National Health Investors Inc. | 8,715 | 584,341 | |
3,461,084 | |||
Healthcare Distributors - 0.6% | |||
AdaptHealth Corp. (a) | 106,030 | 2,906,282 | |
Covetrus Inc. (a) | 168,076 | 4,538,052 | |
7,444,334 | |||
Healthcare Equipment - 5.2% | |||
Accuray Inc. (a) | 105,935 | 478,826 | |
AtriCure Inc. (a) | 66,500 | 5,275,445 | |
Cardiovascular Systems Inc. (a) | 146,500 | 6,248,225 | |
CONMED Corp. | 63,000 | 8,658,090 | |
Electromed Inc. (a) | 32,922 | 371,689 | |
Envista Holdings Corp. (a) | 34,200 | 1,477,782 |
See Notes to Schedule of Investments.
State Street Institutional Small-Cap Equity Fund | 7 |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Globus Medical Inc., Class A (a) | 65,000 | $5,039,450 | |
Hill-Rom Holdings Inc. | 74,188 | 8,427,015 | |
Integra LifeSciences Holdings Corp. (a) | 123,910 | 8,455,619 | |
IntriCon Corp. (a) | 67,053 | 1,507,352 | |
LeMaitre Vascular Inc. | 24,797 | 1,513,113 | |
Masimo Corp. (a) | 7,500 | 1,818,375 | |
Natus Medical Inc. (a) | 49,031 | 1,273,825 | |
Outset Medical Inc. (a) | 50,500 | 2,523,990 | |
Penumbra Inc. (a) | 18,500 | 5,070,110 | |
STERIS PLC | 28,718 | 5,924,523 | |
Tactile Systems Technology Inc. (a) | 75,000 | 3,900,000 | |
Vapotherm Inc. (a) | 64,000 | 1,512,960 | |
69,476,389 | |||
Healthcare Facilities - 0.9% | |||
Acadia Healthcare Company Inc. (a) | 108,663 | 6,818,603 | |
Hanger Inc. (a) | 72,756 | 1,839,272 | |
Select Medical Holdings Corp. | 38,898 | 1,643,830 | |
The Ensign Group Inc. | 13,608 | 1,179,405 | |
11,481,110 | |||
Healthcare Services - 0.8% | |||
Addus HomeCare Corp. (a) | 21,911 | 1,911,516 | |
Amedisys Inc. (a) | 4,854 | 1,188,890 | |
AMN Healthcare Services Inc. (a) | 27,783 | 2,694,395 | |
Cross Country Healthcare Inc. (a) | 57,376 | 947,278 | |
MEDNAX Inc. (a) | 90,616 | 2,732,073 | |
ModivCare Inc. (a) | 3,802 | 646,606 | |
Tivity Health Inc. (a) | 27,872 | 733,312 | |
10,854,070 | |||
Healthcare Supplies - 1.0% | |||
Avanos Medical Inc. (a) | 112,085 | 4,076,531 | |
BioLife Solutions Inc. (a) | 71,652 | 3,189,231 | |
ICU Medical Inc. (a) | 9,923 | 2,042,153 | |
Meridian Bioscience Inc. (a) | 72,626 | 1,610,845 | |
Pulmonx Corp. (a) | 45,000 | 1,985,400 | |
12,904,160 | |||
Healthcare Technology - 1.1% | |||
Computer Programs & Systems Inc. | 20,460 | 679,886 | |
Inspire Medical Systems Inc. (a) | 28,000 | 5,411,280 | |
NextGen Healthcare Inc. (a) | 135,290 | 2,244,461 | |
Omnicell Inc. (a) | 45,118 | 6,833,121 | |
15,168,748 | |||
Home Building - 1.1% | |||
Cavco Industries Inc. (a) | 7,446 | 1,654,427 | |
Century Communities Inc. | 16,040 | 1,067,301 | |
Green Brick Partners Inc. (a) | 27,439 | 623,963 | |
LGI Homes Inc. (a) | 3,587 | 580,879 | |
M/I Homes Inc. (a) | 13,315 | 781,191 | |
Meritage Homes Corp. (a) | 7,681 | 722,628 | |
Skyline Champion Corp. (a) | 21,517 | 1,146,856 | |
Taylor Morrison Home Corp. (a) | 132,785 | 3,508,180 | |
TopBuild Corp. (a) | 18,914 | 3,740,811 | |
Tri Pointe Homes Inc. (a) | 29,514 | 632,485 | |
14,458,721 |
Number of Shares | Fair Value | ||
Home Furnishing Retail - 0.3% | |||
The Aaron's Co. Inc. | 111,084 | $3,553,577 | |
Home Furnishings - 0.3% | |||
Hooker Furniture Corp. | 20,810 | 720,858 | |
La-Z-Boy Inc. | 79,386 | 2,940,458 | |
3,661,316 | |||
Home Improvement Retail - 0.0% * | |||
Lumber Liquidators Holdings Inc. (a) | 17,746 | 374,441 | |
Hotel & Resort REITs - 0.2% | |||
RLJ Lodging Trust | 207,612 | 3,161,931 | |
Hotels, Resorts & Cruise Lines - 0.1% | |||
Wyndham Hotels & Resorts Inc. | 13,799 | 997,530 | |
Household Appliances - 0.1% | |||
Helen of Troy Ltd. (a) | 4,986 | 1,137,406 | |
Household Products - 0.2% | |||
Central Garden & Pet Co., Class A (a) | 45,920 | 2,217,936 | |
Central Garden & Pet Co. (a) | 13,580 | 718,789 | |
2,936,725 | |||
Human Resource & Employment Services - 0.3% | |||
ASGN Inc. (a) | 12,445 | 1,206,294 | |
Kforce Inc. | 25,423 | 1,599,869 | |
TriNet Group Inc. (a) | 8,341 | 604,556 | |
3,410,719 | |||
Hypermarkets & Super Centers - 0.1% | |||
BJ's Wholesale Club Holdings Inc. (a) | 27,099 | 1,289,370 | |
Industrial Machinery - 7.9% | |||
Albany International Corp., Class A | 12,500 | 1,115,750 | |
Altra Industrial Motion Corp. | 267,917 | 17,419,963 | |
Barnes Group Inc. | 223,293 | 11,443,766 | |
Crane Co. | 134,855 | 12,456,556 | |
Enerpac Tool Group Corp. | 329,858 | 8,780,820 | |
ESCO Technologies Inc. | 34,000 | 3,189,540 | |
Evoqua Water Technologies Corp. (a) | 250,000 | 8,445,000 | |
John Bean Technologies Corp. | 73,500 | 10,482,570 | |
L B Foster Co., Class A (a) | 26,371 | 491,555 | |
Lydall Inc. (a) | 45,297 | 2,741,375 | |
Mueller Industries Inc. | 125,395 | 5,430,858 | |
Standex International Corp. | 28,200 | 2,676,462 | |
The Timken Co. | 167,113 | 13,467,637 | |
TriMas Corp. (a) | 141,240 | 4,283,809 | |
Woodward Inc. | 22,102 | 2,715,894 | |
105,141,555 | |||
Industrial REITs - 0.6% | |||
EastGroup Properties Inc. | 45,146 | 7,424,259 | |
Innovative Industrial Properties Inc. | 4,986 | 952,426 | |
8,376,685 | |||
Insurance Brokers - 0.2% | |||
BRP Group Inc., Class A (a) | 83,000 | 2,211,950 |
See Notes to Schedule of Investments.
8 | State Street Institutional Small-Cap Equity Fund |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Internet & Direct Marketing Retail - 0.6% | |||
1-800-Flowers.com Inc., Class A (a) | 35,378 | $1,127,497 | |
Overstock.com Inc. (a) | 7,080 | 652,776 | |
Revolve Group Inc. (a) | 80,664 | 5,557,749 | |
7,338,022 | |||
Investment Banking & Brokerage - 1.3% | |||
Houlihan Lokey Inc. | 17,447 | 1,426,990 | |
Moelis & Co., Class A | 9,675 | 550,411 | |
Piper Sandler Cos. | 33,678 | 4,363,321 | |
PJT Partners Inc., Class A | 7,137 | 509,439 | |
Raymond James Financial Inc. | 47,092 | 6,117,251 | |
Stifel Financial Corp. | 46,544 | 3,018,844 | |
Stonex Group Inc. (a) | 7,672 | 465,460 | |
Virtu Financial Inc., Class A | 44,687 | 1,234,702 | |
17,686,418 | |||
IT Consulting & Other Services - 0.5% | |||
Perficient Inc. (a) | 15,252 | 1,226,566 | |
Unisys Corp. (a) | 237,916 | 6,021,654 | |
7,248,220 | |||
Leisure Products - 1.9% | |||
Acushnet Holdings Corp. | 15,132 | 747,521 | |
Johnson Outdoors Inc., Class A | 9,406 | 1,138,126 | |
Malibu Boats Inc., Class A (a) | 120,625 | 8,845,431 | |
MasterCraft Boat Holdings Inc. (a) | 35,417 | 931,113 | |
Polaris Inc. | 98,049 | 13,428,791 | |
25,090,982 | |||
Life & Health Insurance - 0.4% | |||
American Equity Investment Life Holding Co. | 62,780 | 2,029,050 | |
Trupanion Inc. (a) | 31,216 | 3,592,961 | |
5,622,011 | |||
Life Sciences Tools & Services - 3.1% | |||
Bruker Corp. | 93,904 | 7,134,826 | |
ICON PLC (a) | 45,447 | 9,394,349 | |
Medpace Holdings Inc. (a) | 11,018 | 1,946,109 | |
Repligen Corp. (a) | 47,674 | 9,516,684 | |
Syneos Health Inc. (a) | 141,050 | 12,622,565 | |
40,614,533 | |||
Marine - 0.1% | |||
Kirby Corp. (a) | 30,635 | 1,857,706 | |
Metal & Glass Containers - 0.1% | |||
Silgan Holdings Inc. | 19,305 | 801,158 | |
Multi-Line Insurance - 0.2% | |||
Horace Mann Educators Corp. | 78,043 | 2,920,369 | |
Office REITs - 0.7% | |||
Corporate Office Properties Trust | 51,004 | 1,427,602 | |
Cousins Properties Inc. | 141,787 | 5,214,926 | |
Easterly Government Properties Inc. | 106,483 | 2,244,662 | |
8,887,190 | |||
Office Services & Supplies - 0.9% | |||
HNI Corp. | 35,523 | 1,561,946 |
Number of Shares | Fair Value | ||
MSA Safety Inc. | 63,414 | $10,500,090 | |
12,062,036 | |||
Oil & Gas Drilling - 0.2% | |||
Helmerich & Payne Inc. | 76,392 | 2,492,671 | |
Oil & Gas Equipment & Services - 0.4% | |||
ChampionX Corp. (a) | 69,274 | 1,776,878 | |
Oil States International Inc. (a) | 383,916 | 3,013,741 | |
4,790,619 | |||
Oil & Gas Exploration & Production - 1.0% | |||
Cimarex Energy Co. | 14,693 | 1,064,508 | |
Denbury Inc. (a) | 34,998 | 2,687,146 | |
Northern Oil & Gas Inc. | 105,400 | 2,189,158 | |
PDC Energy Inc. | 121,216 | 5,550,481 | |
Southwestern Energy Co. (a) | 218,679 | 1,239,910 | |
12,731,203 | |||
Packaged Foods & Meats - 3.9% | |||
Hostess Brands Inc. (a) | 459,500 | 7,439,305 | |
J&J Snack Foods Corp. | 25,000 | 4,360,250 | |
John B Sanfilippo & Son Inc. | 13,074 | 1,157,964 | |
Lancaster Colony Corp. | 42,000 | 8,127,420 | |
Sanderson Farms Inc. | 85,362 | 16,045,495 | |
The Simply Good Foods Co. (a) | 224,900 | 8,211,099 | |
TreeHouse Foods Inc. (a) | 96,000 | 4,273,920 | |
Utz Brands Inc. | 103,000 | 2,244,370 | |
51,859,823 | |||
Paper Packaging - 0.1% | |||
UFP Technologies Inc. (a) | 17,909 | 1,028,335 | |
Personal Products - 0.5% | |||
elf Beauty Inc. (a) | 161,000 | 4,369,540 | |
Lifevantage Corp. (a) | 26,601 | 195,517 | |
Medifast Inc. | 5,330 | 1,508,284 | |
Nu Skin Enterprises Inc., Class A | 8,668 | 491,042 | |
USANA Health Sciences Inc. (a) | 4,690 | 480,397 | |
7,044,780 | |||
Pharmaceuticals - 0.5% | |||
Amneal Pharmaceuticals Inc. (a) | 245,860 | 1,258,803 | |
Prestige Consumer Healthcare Inc. (a) | 90,000 | 4,689,000 | |
SIGA Technologies Inc. (a) | 175,940 | 1,104,903 | |
7,052,706 | |||
Property & Casualty Insurance - 1.9% | |||
AMERISAFE Inc. | 45,586 | 2,721,028 | |
Argo Group International Holdings Ltd. | 120,855 | 6,263,915 | |
James River Group Holdings Ltd. | 81,780 | 3,068,386 | |
Palomar Holdings Inc. (a) | 35,000 | 2,641,100 | |
RLI Corp. | 39,185 | 4,098,359 | |
Selective Insurance Group Inc. | 64,000 | 5,193,600 | |
Stewart Information Services Corp. | 13,024 | 738,330 | |
24,724,718 | |||
Publishing - 1.0% | |||
John Wiley & Sons Inc., Class A | 231,765 | 13,947,618 |
See Notes to Schedule of Investments.
State Street Institutional Small-Cap Equity Fund | 9 |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Regional Banks - 7.3% | |||
1st Source Corp. | 44,042 | $2,046,191 | |
Atlantic Union Bankshares Corp. | 39,524 | 1,431,559 | |
Bank OZK | 54,908 | 2,314,921 | |
BankUnited Inc. | 25,256 | 1,078,179 | |
Bryn Mawr Bank Corp. | 43,000 | 1,814,170 | |
Cadence BanCorp | 119,521 | 2,495,598 | |
Community Bank System Inc. | 41,500 | 3,139,475 | |
Cullen/Frost Bankers Inc. | 36,823 | 4,124,176 | |
CVB Financial Corp. | 112,500 | 2,316,375 | |
Enterprise Financial Services Corp. | 42,247 | 1,959,838 | |
Equity Bancshares Inc., Class A (a) | 39,524 | 1,205,087 | |
FB Financial Corp. | 22,731 | 848,321 | |
First Interstate BancSystem Inc., Class A | 38,147 | 1,595,689 | |
Fulton Financial Corp. | 221,726 | 3,498,836 | |
German American Bancorp Inc. | 55,420 | 2,061,624 | |
Glacier Bancorp Inc. | 17,702 | 975,026 | |
Great Western Bancorp Inc. | 65,108 | 2,134,891 | |
Independent Bank Corp. | 120,022 | 9,061,661 | |
Investors Bancorp Inc. | 62,714 | 894,302 | |
Lakeland Financial Corp. | 10,168 | 626,756 | |
National Bank Holdings Corp., Class A | 38,775 | 1,463,368 | |
Origin Bancorp Inc. | 56,908 | 2,416,314 | |
PacWest Bancorp | 69,110 | 2,844,568 | |
Peapack-Gladstone Financial Corp. | 17,679 | 549,287 | |
Pinnacle Financial Partners Inc. | 22,206 | 1,960,568 | |
Prosperity Bancshares Inc. | 104,135 | 7,476,893 | |
Renasant Corp. | 154,755 | 6,190,200 | |
Sandy Spring Bancorp Inc. | 40,836 | 1,802,093 | |
Stock Yards Bancorp Inc. | 38,775 | 1,973,260 | |
Texas Capital Bancshares Inc. (a) | 24,002 | 1,523,887 | |
UMB Financial Corp. | 59,000 | 5,490,540 | |
United Community Banks Inc. | 48,872 | 1,564,393 | |
Washington Trust Bancorp Inc. | 32,000 | 1,643,200 | |
Westamerica BanCorp | 67,199 | 3,899,558 | |
Western Alliance Bancorp | 80,094 | 7,436,728 | |
Wintrust Financial Corp. | 46,150 | 3,490,324 | |
97,347,856 | |||
Research & Consulting Services - 0.2% | |||
Resources Connection Inc. | 190,391 | 2,734,015 | |
Science Applications International Corp. | 6,314 | 553,927 | |
3,287,942 | |||
Residential REITs - 0.2% | |||
NexPoint Residential Trust Inc. | 43,624 | 2,398,448 | |
Restaurants - 1.2% | |||
Brinker International Inc. (a) | 12,595 | 779,001 | |
Cracker Barrel Old Country Store Inc. | 11,833 | 1,756,727 | |
Shake Shack Inc., Class A (a) | 9,000 | 963,180 | |
Texas Roadhouse Inc. | 41,127 | 3,956,417 | |
The Cheesecake Factory Inc. (a) | 53,866 | 2,918,460 | |
Wingstop Inc. | 32,500 | 5,122,975 | |
15,496,760 |
Number of Shares | Fair Value | ||
Retail REITs - 0.3% | |||
Alexander's Inc. | 949 | $254,285 | |
Kite Realty Group Trust | 43,985 | 968,110 | |
Retail Opportunity Investments Corp. | 94,104 | 1,661,877 | |
The Macerich Co. | 56,646 | 1,033,789 | |
3,918,061 | |||
Security & Alarm Services - 1.2% | |||
The Brink's Co. | 207,255 | 15,925,474 | |
Semiconductor Equipment - 1.8% | |||
Amkor Technology Inc. | 35,419 | 838,368 | |
Axcelis Technologies Inc. (a) | 24,424 | 987,218 | |
Brooks Automation Inc. | 58,295 | 5,554,348 | |
CMC Materials Inc. | 50,023 | 7,540,467 | |
Cohu Inc. (a) | 24,098 | 886,565 | |
Ichor Holdings Ltd. (a) | 44,280 | 2,382,264 | |
Onto Innovation Inc. (a) | 71,660 | 5,234,046 | |
Ultra Clean Holdings Inc. (a) | 7,771 | 417,458 | |
23,840,734 | |||
Semiconductors - 0.7% | |||
Cirrus Logic Inc. (a) | 6,485 | 552,003 | |
Diodes Inc. (a) | 20,566 | 1,640,550 | |
MaxLinear Inc. (a) | 28,569 | 1,213,897 | |
Semtech Corp. (a) | 94,576 | 6,506,829 | |
9,913,279 | |||
Soft Drinks - 0.4% | |||
Coca-Cola Consolidated Inc. | 1,837 | 738,713 | |
Primo Water Corp. | 258,161 | 4,319,033 | |
5,057,746 | |||
Specialized Consumer Services - 1.2% | |||
frontdoor Inc. (a) | 121,088 | 6,032,604 | |
OneSpaWorld Holdings Ltd. (a) | 167,590 | 1,623,947 | |
Terminix Global Holdings Inc. (a) | 176,948 | 8,442,189 | |
16,098,740 | |||
Specialized REITs - 0.5% | |||
CoreSite Realty Corp. | 22,767 | 3,064,438 | |
National Storage Affiliates Trust | 16,085 | 813,258 | |
PotlatchDeltic Corp. | 35,195 | 1,870,614 | |
QTS Realty Trust Inc., Class A | 14,924 | 1,153,625 | |
6,901,935 | |||
Specialty Chemicals - 4.1% | |||
Avient Corp. | 163,872 | 8,055,947 | |
Chase Corp. | 14,000 | 1,436,540 | |
Danimer Scientific Inc. (a) | 61,462 | 1,539,623 | |
HB Fuller Co. | 16,531 | 1,051,537 | |
Ingevity Corp. (a) | 212,838 | 17,316,500 | |
Innospec Inc. | 34,000 | 3,080,740 | |
Minerals Technologies Inc. | 15,022 | 1,181,781 | |
Quaker Chemical Corp. | 19,897 | 4,719,369 | |
Sensient Technologies Corp. | 71,000 | 6,145,760 | |
Stepan Co. | 86,825 | 10,442,443 | |
54,970,240 | |||
Specialty Stores - 0.7% | |||
Dick's Sporting Goods Inc. | 19,090 | 1,912,627 |
See Notes to Schedule of Investments.
10 | State Street Institutional Small-Cap Equity Fund |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
National Vision Holdings Inc. (a) | 69,000 | $3,527,970 | |
Sally Beauty Holdings Inc. (a) | 191,000 | 4,215,370 | |
9,655,967 | |||
Steel - 0.5% | |||
Carpenter Technology Corp. | 35,293 | 1,419,484 | |
Commercial Metals Co. | 102,613 | 3,152,271 | |
Steel Dynamics Inc. | 24,216 | 1,443,274 | |
6,015,029 | |||
Systems Software - 1.4% | |||
A10 Networks Inc. (a) | 59,970 | 675,262 | |
CommVault Systems Inc. (a) | 9,879 | 772,241 | |
Ping Identity Holding Corp. (a) | 110,827 | 2,537,938 | |
Progress Software Corp. | 21,030 | 972,638 | |
Qualys Inc. (a) | 24,500 | 2,466,905 | |
Sailpoint Technologies Holdings Inc. (a) | 97,500 | 4,979,325 | |
Tenable Holdings Inc. (a) | 133,500 | 5,520,225 | |
17,924,534 | |||
Technology Distributors - 0.1% | |||
Insight Enterprises Inc. (a) | 13,415 | 1,341,634 | |
Technology Hardware, Storage & Peripherals - 0.6% | |||
Pure Storage Inc., Class A (a) | 329,000 | 6,425,370 | |
Turtle Beach Corp. (a) | 33,624 | 1,073,278 | |
7,498,648 | |||
Thrifts & Mortgage Finance - 1.1% | |||
Flagstar Bancorp Inc. | 21,548 | 910,834 | |
FS Bancorp Inc. | 8,657 | 616,984 | |
HomeStreet Inc. | 41,623 | 1,695,721 | |
Kearny Financial Corp. | 82,094 | 981,023 | |
Meta Financial Group Inc. | 20,007 | 1,012,955 | |
NMI Holdings Inc., Class A (a) | 32,024 | 719,900 | |
PennyMac Financial Services Inc. | 10,599 | 654,170 |
Number of Shares | Fair Value | ||
Premier Financial Corp. | 44,083 | $1,252,398 | |
Washington Federal Inc. | 38,835 | 1,234,176 | |
Waterstone Financial Inc. | 38,010 | 747,277 | |
WSFS Financial Corp. | 114,346 | 5,327,380 | |
15,152,818 | |||
Trading Companies & Distributors - 1.1% | |||
Applied Industrial Technologies Inc. | 99,686 | 9,077,407 | |
Boise Cascade Co. | 24,586 | 1,434,593 | |
GMS Inc. (a) | 28,191 | 1,357,115 | |
McGrath RentCorp. | 18,335 | 1,495,586 | |
Rush Enterprises Inc., Class B | 21,274 | 811,390 | |
Transcat Inc. (a) | 10,000 | 565,100 | |
14,741,191 | |||
Trucking - 0.8% | |||
ArcBest Corp. | 16,072 | 935,230 | |
Marten Transport Ltd. | 92,631 | 1,527,485 | |
Saia Inc. (a) | 32,174 | 6,740,131 | |
USA Truck Inc. (a) | 45,916 | 737,870 | |
Werner Enterprises Inc. | 16,492 | 734,224 | |
10,674,940 | |||
Total Common Stock (Cost $799,542,477) | 1,267,671,605 | ||
Short-Term Investments - 4.7% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (b)(c)(d) (Cost $62,099,545) | 62,099,545 | 62,099,545 | |
Total Investments (Cost $861,642,022) | 1,329,771,150 | ||
Liabilities in Excess of Other Assets, net - (0.3)% | (4,496,870) | ||
NET ASSETS - 100.0% | $1,325,274,280 |
Other Information:
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini Russell 2000 Index Futures | September 2021 | 177 | $20,407,627 | $20,424,030 | $16,403 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | 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. |
(c) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBAs. |
(d) | Coupon amount represents effective yield. |
See Notes to Schedule of Investments.
State Street Institutional Small-Cap Equity Fund | 11 |
State Street Institutional Small-Cap Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
† | Percentages are based on net assets as of June 30, 2021. |
* | Less than 0.05%. |
Abbreviations: |
REIT - Real Estate Investment Trust |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2021:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | 1,267,671,605 | $— | $— | 1,267,671,605 | ||||
Short-Term Investments | 62,099,545 | — | — | 62,099,545 | ||||
Total Investments in Securities | $1,329,771,150 | $— | $— | $1,329,771,150 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Appreciation | 16,403 | — | — | 16,403 | ||||
Total Other Financial Instruments | $16,403 | $— | $— | $16,403 |
Affiliate Table |
Number of Shares Held at 9/30/20 | Value at 9/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 29,664,602 | $29,664,602 | $307,873,060 | $275,438,117 | $— | $— | 62,099,545 | $62,099,545 | $4,690 |
See Notes to Schedule of Investments.
12 | State Street Institutional Small-Cap Equity Fund |
State Street Institutional International Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Number of Shares | Fair Value | ||
Common Stock - 97.5% † | |||
Australia - 1.8% | |||
BHP Group PLC | 71,260 | $2,096,818 | |
Brazil - 1.0% | |||
Itau Unibanco Holding S.A. ADR (a) | 191,869 | 1,153,133 | |
Canada - 1.2% | |||
Brookfield Asset Management Inc., Class A | 25,742 | 1,314,644 | |
Brookfield Asset Management Reinsurance Partners Ltd., Class A (b) | 177 | 9,363 | |
1,324,007 | |||
China - 0.5% | |||
Alibaba Group Holding Ltd. ADR (a)(b) | 2,761 | 626,140 | |
France - 20.4% | |||
Air Liquide S.A. | 17,745 | 3,107,328 | |
AXA S.A. | 72,370 | 1,835,338 | |
BNP Paribas S.A. | 37,409 | 2,345,491 | |
Dassault Systemes SE | 6,121 | 1,484,444 | |
LVMH Moet Hennessy Louis Vuitton SE | 4,513 | 3,539,257 | |
Safran S.A. | 17,698 | 2,453,925 | |
Schneider Electric SE | 23,780 | 3,741,671 | |
Vivendi SE | 60,523 | 2,033,365 | |
Worldline S.A. (b)(c) | 28,720 | 2,688,623 | |
23,229,442 | |||
Germany - 6.8% | |||
adidas AG | 4,462 | 1,660,998 | |
HeidelbergCement AG | 22,087 | 1,894,801 | |
Infineon Technologies AG | 49,148 | 1,971,186 | |
SAP SE | 15,627 | 2,202,351 | |
7,729,336 | |||
Hong Kong - 2.9% | |||
AIA Group Ltd. | 267,802 | 3,327,761 | |
Ireland - 1.5% | |||
Kerry Group PLC, Class A | 12,135 | 1,695,248 | |
Japan - 24.1% | |||
Daikin Industries Ltd. | 13,200 | 2,460,654 | |
Disco Corp. | 6,100 | 1,865,889 | |
FANUC Corp. | 4,449 | 1,074,069 | |
Fast Retailing Company Ltd. | 2,300 | 1,733,030 | |
Hoya Corp. | 22,254 | 2,953,432 | |
Kao Corp. | 20,200 | 1,243,959 | |
Komatsu Ltd. | 57,700 | 1,435,092 | |
Mitsubishi UFJ Financial Group Inc. | 429,374 | 2,321,536 | |
Murata Manufacturing Company Ltd. | 26,537 | 2,027,992 | |
Nidec Corp. | 8,058 | 934,740 | |
Recruit Holdings Company Ltd. | 55,100 | 2,715,533 | |
Secom Company Ltd. | 14,600 | 1,110,752 |
Number of Shares | Fair Value | ||
Shimadzu Corp. | 43,443 | $1,681,122 | |
Shiseido Company Ltd. | 31,338 | 2,307,080 | |
Tokio Marine Holdings Inc. | 34,649 | 1,594,622 | |
27,459,502 | |||
Netherlands - 7.2% | |||
ASML Holding N.V. (a) | 5,713 | 3,925,464 | |
ING Groep N.V. | 169,545 | 2,239,848 | |
Koninklijke DSM N.V. | 11,168 | 2,084,627 | |
8,249,939 | |||
Norway - 1.5% | |||
Equinor ASA | 79,921 | 1,692,001 | |
Portugal - 1.0% | |||
Galp Energia SGPS S.A. | 103,070 | 1,118,656 | |
Spain - 3.9% | |||
Cellnex Telecom S.A. (c) | 30,095 | 1,917,249 | |
Industria de Diseno Textil S.A. | 70,160 | 2,471,955 | |
4,389,204 | |||
Sweden - 2.3% | |||
Assa Abloy AB, Class B | 84,988 | 2,561,918 | |
Switzerland - 10.0% | |||
Givaudan S.A. | 134 | 623,792 | |
Nestle S.A. | 32,790 | 4,087,265 | |
Novartis AG | 36,851 | 3,361,580 | |
Roche Holding AG | 8,713 | 3,285,461 | |
11,358,098 | |||
Taiwan - 1.4% | |||
Taiwan Semiconductor Manufacturing Company Ltd. | 74,548 | 1,591,963 | |
United Kingdom - 10.0% | |||
Ashtead Group PLC | 32,676 | 2,421,324 | |
AstraZeneca PLC | 26,553 | 3,185,067 | |
London Stock Exchange Group PLC | 21,536 | 2,371,148 | |
Prudential PLC | 97,416 | 1,848,392 | |
Vodafone Group PLC | 941,909 | 1,578,877 | |
11,404,808 | |||
Total Common Stock (Cost $79,640,185) | 111,007,974 | ||
Short-Term Investments - 0.7% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (d)(e) (Cost $800,671) | 800,671 | 800,671 | |
Total Investments (Cost $80,440,856) | 111,808,645 | ||
Other Assets and Liabilities, net - 1.8% | 1,996,592 | ||
NET ASSETS - 100.0% | $113,805,237 |
See Notes to Schedule of Investments.
State Street Institutional International Equity Fund | 13 |
State Street Institutional International Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Other Information:
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Mini Index Futures | September 2021 | 6 | $708,707 | $691,230 | $(17,477) |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
(b) | Non-income producing security. |
(c) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities amounted to $4,605,872 or 4.05% of the net assets of the State Street Institutional International Equity Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
(d) | 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. |
(e) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of June 30, 2021. |
Abbreviations: |
ADR - American Depositary Receipt |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2021:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $111,007,974 | $— | $— | $111,007,974 | ||||
Short-Term Investments | 800,671 | — | — | 800,671 | ||||
Total Investments in Securities | $111,808,645 | $— | $— | $111,808,645 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Depreciation | (17,477) | — | — | (17,477) | ||||
Total Other Financial Instruments | $(17,477) | $— | $— | $(17,477) |
The Fund was invested in the following sectors at June 30, 2021 (unaudited):
Sector | Percentage (based on Fair Value) | ||
Pharmaceuticals | 8.80% | ||
Diversified Banks | 7.21% | ||
Semiconductor Equipment | 5.18% | ||
Packaged Foods & Meats | 5.17% | ||
Apparel, Accessories & Luxury Goods | 4.66% | ||
Life & Health Insurance | 4.63% | ||
Building Products | 4.49% |
See Notes to Schedule of Investments.
14 | State Street Institutional International Equity Fund |
State Street Institutional International Equity Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Sector | Percentage (based on Fair Value) | ||
Electrical Components & Equipment | 4.19% | ||
Apparel Retail | 3.76% | ||
Application Software | 3.30% | ||
Semiconductors | 3.18% | ||
Personal Products | 3.17% | ||
Industrial Gases | 2.78% | ||
Healthcare Supplies | 2.64% | ||
Integrated Oil & Gas | 2.51% | ||
Specialty Chemicals | 2.43% | ||
Human Resource & Employment Services | 2.43% | ||
Data Processing & Outsourced Services | 2.40% | ||
Aerospace & Defense | 2.19% | ||
Trading Companies & Distributors | 2.17% | ||
Financial Exchanges & Data | 2.12% | ||
Diversified Metals & Mining | 1.87% | ||
Movies & Entertainment | 1.82% | ||
Electronic Components | 1.82% | ||
Integrated Telecommunication Services | 1.72% | ||
Construction Materials | 1.69% | ||
Multi-Line Insurance | 1.64% | ||
Electronic Equipment & Instruments | 1.50% | ||
Property & Casualty Insurance | 1.43% | ||
Wireless Telecommunication Services | 1.41% | ||
Construction Machinery & Heavy Trucks | 1.28% | ||
Asset Management & Custody Banks | 1.18% | ||
Security & Alarm Services | 0.99% | ||
Industrial Machinery | 0.96% | ||
Internet & Direct Marketing Retail | 0.56% | ||
99.28% | |||
Short-Term Investments | |||
Short-Term Investments | 0.72% | ||
100.00% |
Affiliate Table |
Number of Shares Held at 9/30/20 | Value at 9/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,143,904 | $1,143,904 | $9,276,128 | $9,619,361 | $— | $— | 800,671 | $800,671 | $389 |
See Notes to Schedule of Investments.
State Street Institutional International Equity Fund | 15 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Bonds and Notes - 94.5% † | |||
U.S. Treasuries - 24.4% | |||
U.S. Treasury Bonds | |||
1.13%, 05/15/40 (a) | $2,321,000 | $2,004,038 | |
1.25%, 05/15/50 (a) | 1,101,900 | 899,598 | |
2.25%, 08/15/46 (a) | 883,600 | 913,283 | |
3.00%, 08/15/48 (a) | 1,978,400 | 2,361,097 | |
U.S. Treasury Notes | |||
0.13%, 07/15/23 - 12/15/23 (a) | 3,983,900 | 3,964,074 | |
0.25%, 07/31/25 (a) | 2,595,100 | 2,545,834 | |
0.75%, 04/30/26 - 01/31/28 (a) | 13,755,000 | 13,471,649 | |
1.38%, 01/31/22 (a) | 4,964,000 | 5,002,006 | |
1.63%, 05/15/31 (a) | 3,655,000 | 3,712,109 | |
2.63%, 02/15/29 (a) | 1,022,300 | 1,121,016 | |
35,994,704 | |||
Agency Mortgage Backed - 21.7% | |||
Federal Home Loan Mortgage Corp. | |||
3.00%, 04/01/43 - 10/01/49 (a) | 3,128,274 | 3,311,356 | |
4.50%, 06/01/33 - 02/01/35 (a) | 5,657 | 6,306 | |
5.00%, 07/01/35 (a) | 52,363 | 59,564 | |
5.50%, 01/01/38 - 04/01/39 (a) | 119,572 | 139,683 | |
6.00%, 02/01/29 - 11/01/37 (a) | 147,204 | 171,053 | |
6.50%, 10/01/33 (a) | 706 | 834 | |
7.00%, 12/01/29 - 08/01/36 (a) | 38,173 | 45,031 | |
7.50%, 01/01/30 - 09/01/33 (a) | 1,656 | 1,850 | |
8.00%, 11/01/30 (a) | 8,440 | 9,570 | |
8.50%, 04/01/30 (a) | 9,885 | 12,494 | |
Federal National Mortgage Assoc. | |||
2.50%, 02/01/51 (a) | 4,642,667 | 4,826,433 | |
2.50%, 03/01/51 | 1,684,373 | 1,749,568 | |
3.00%, 03/01/50 (a) | 734,582 | 768,379 | |
3.50%, 08/01/45 - 01/01/48 (a) | 3,352,514 | 3,582,505 | |
4.00%, 01/01/41 - 01/01/50 (a) | 2,375,833 | 2,576,452 | |
4.50%, 07/01/33 - 12/01/48 (a) | 1,227,256 | 1,352,020 | |
5.00%, 03/01/34 - 05/01/39 (a) | 143,593 | 163,230 | |
5.50%, 12/01/32 - 04/01/38 (a) | 230,868 | 266,202 | |
6.00%, 09/01/21 - 07/01/35 (a) | 284,808 | 329,924 | |
6.50%, 10/01/28 - 08/01/36 (a) | 30,058 | 33,701 | |
7.00%, 10/01/32 - 02/01/34 (a) | 5,800 | 6,467 | |
7.50%, 12/01/23 - 03/01/33 (a) | 24,989 | 28,933 | |
8.00%, 07/01/25 - 10/01/31 (a) | 4,800 | 5,304 | |
9.00%, 12/01/22 (a) | 78 | 78 | |
Federal National Mortgage Assoc. 1.25% + COF 11 | |||
5.50%, 10/01/24 (a)(b) | 3,274 | 3,385 | |
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | |||
1.85%, 04/01/37 (a)(b) | 2,012 | 2,053 |
Principal Amount | Fair Value | ||
Federal National Mortgage Assoc. TBA | |||
2.00%, 07/01/36 - 07/01/51 (c) | $4,443,091 | $4,547,782 | |
Government National Mortgage Assoc. | |||
3.00%, 12/20/42 - 05/20/45 (a) | 3,697,751 | 3,923,046 | |
3.50%, 08/20/48 (a) | 654,158 | 690,501 | |
4.00%, 01/20/41 - 04/20/43 (a) | 997,355 | 1,094,332 | |
4.50%, 08/15/33 - 05/20/40 (a) | 166,808 | 186,426 | |
5.00%, 08/15/33 (a) | 13,630 | 15,257 | |
6.00%, 04/15/27 - 09/15/36 (a) | 108,157 | 124,909 | |
6.50%, 02/15/24 - 09/15/36 (a) | 42,454 | 47,465 | |
7.00%, 10/15/27 - 10/15/36 (a) | 22,969 | 26,560 | |
7.50%, 01/15/23 - 11/15/31 (a) | 1,333 | 1,372 | |
8.00%, 05/15/30 - 09/15/30 (a) | 110 | 114 | |
9.00%, 12/15/21 (a) | 2 | 2 | |
Government National Mortgage Assoc. TBA | |||
2.50%, 07/01/51 (c) | 1,833,000 | 1,895,945 | |
32,006,086 | |||
Agency Collateralized Mortgage Obligations - 0.4% | |||
Federal Home Loan Mortgage Corp. | |||
0.08%, 09/25/43 (a)(b)(d) | 493,996 | 1,914 | |
2.51%, 07/25/29 (a) | 290,000 | 312,287 | |
Federal Home Loan Mortgage Corp. REMIC | |||
3.50%, 11/15/30 (a)(d) | 66,661 | 2,027 | |
5.50%, 06/15/33 (a)(d) | 16,078 | 2,608 | |
7.50%, 07/15/27 (a)(d) | 1,670 | 251 | |
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | |||
6.53%, 08/15/25 (a)(b)(d) | 8,596 | 82 | |
Federal Home Loan Mortgage Corp. STRIPS | |||
1.47%, 08/01/27 (a)(e) | 370 | 352 | |
8.00%, 02/01/23 - 07/01/24 (a)(d) | 777 | 65 | |
Federal National Mortgage Assoc. REMIC | |||
1.11%, 12/25/42 (a)(b)(d) | 89,727 | 2,971 | |
5.00%, 02/25/40 - 09/25/40 (a)(d) | 60,582 | 6,626 | |
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | |||
5.91%, 07/25/38 (a)(b)(d) | 28,819 | 3,975 | |
Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | |||
6.46%, 11/25/41 (a)(b)(d) | 1,191,345 | 247,670 | |
Federal National Mortgage Assoc. STRIPS | |||
1.87%, 12/25/34 (a)(e) | 7,123 | 6,356 | |
4.50%, 08/25/35 - 01/25/36 (a)(d) | 46,275 | 6,241 | |
5.00%, 03/25/38 - 05/25/38 (a)(d) | 28,348 | 5,335 | |
5.50%, 12/25/33 (a)(d) | 7,308 | 1,408 | |
6.00%, 01/25/35 (a)(d) | 32,273 | 5,221 |
See Notes to Schedule of Investments.
16 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
7.50%, 11/25/23 (a)(d) | $2,567 | $173 | |
8.00%, 08/25/23 - 07/25/24 (a)(d) | 1,366 | 120 | |
8.50%, 07/25/22 (a)(d)** | 5 | — | |
9.00%, 05/25/22 (a)(d)** | 2 | — | |
605,682 | |||
Asset Backed - 0.9% | |||
CarMax Auto Owner Trust 2018-3 | |||
3.13%, 06/15/23 | 35,183 | 35,501 | |
Chase Funding Trust 2004-1 | |||
4.99%, 11/25/33 | 103,215 | 103,215 | |
Enterprise Fleet Financing 2019-1 LLC | |||
3.07%, 10/20/24 (f) | 473,000 | 487,457 | |
Ford Credit Auto Owner Trust 2020-B | |||
0.56%, 10/15/24 | 264,000 | 264,952 | |
Nissan Auto Lease Trust 2019-A | |||
2.76%, 03/15/22 | 3,183 | 3,186 | |
Nissan Auto Lease Trust 2020-A | |||
1.80%, 05/16/22 | 15,474 | 15,493 | |
Santander Retail Auto Lease Trust 2019-B | |||
2.30%, 01/20/23 (f) | 419,062 | 422,630 | |
Securitized Term Auto Receivables Trust 2018-1 | |||
3.30%, 11/25/22 (f) | 68,665 | 69,056 | |
1,401,490 | |||
Corporate Notes - 37.5% | |||
3M Co. | |||
3.13%, 09/19/46 (a) | 42,000 | 44,507 | |
7-Eleven Inc. | |||
0.95%, 02/10/26 (a)(f) | 217,000 | 213,029 | |
Abbott Laboratories | |||
3.75%, 11/30/26 (a) | 223,000 | 252,249 | |
4.90%, 11/30/46 (a) | 34,000 | 46,400 | |
AbbVie Inc. | |||
2.60%, 11/21/24 (a) | 65,000 | 68,565 | |
2.95%, 11/21/26 (a) | 109,000 | 117,179 | |
3.20%, 05/14/26 - 11/21/29 (a) | 104,000 | 112,841 | |
3.25%, 10/01/22 (a) | 29,000 | 29,810 | |
3.45%, 03/15/22 (a) | 87,000 | 88,471 | |
4.05%, 11/21/39 (a) | 29,000 | 33,665 | |
4.25%, 11/21/49 (a) | 71,000 | 85,128 | |
4.63%, 10/01/42 (a) | 2,000 | 2,472 | |
4.70%, 05/14/45 (a) | 7,000 | 8,734 | |
4.88%, 11/14/48 (a) | 5,000 | 6,483 | |
5.00%, 12/15/21 (a) | 55,000 | 55,522 | |
Advance Auto Parts Inc. | |||
3.90%, 04/15/30 (a) | 126,000 | 140,882 | |
AEP Texas Inc. | |||
3.45%, 05/15/51 | 100,000 | 103,416 | |
Aetna Inc. | |||
3.50%, 11/15/24 (a) | 29,000 | 31,374 | |
Aircastle Ltd. | |||
4.25%, 06/15/26 (a) | 58,000 | 62,955 | |
Alcon Finance Corp. | |||
2.60%, 05/27/30 (a)(f) | 201,000 | 205,424 | |
Alexandria Real Estate Equities Inc. | |||
1.88%, 02/01/33 (a) | 32,000 | 30,287 |
Principal Amount | Fair Value | ||
4.70%, 07/01/30 (a) | $40,000 | $47,664 | |
Ally Financial Inc. | |||
5.75%, 11/20/25 (a) | 42,000 | 48,175 | |
Alphabet Inc. | |||
1.10%, 08/15/30 (a) | 138,000 | 131,083 | |
Altria Group Inc. | |||
3.40%, 05/06/30 - 02/04/41 (a) | 45,000 | 44,138 | |
4.00%, 02/04/61 (a) | 20,000 | 19,277 | |
4.45%, 05/06/50 (a) | 21,000 | 22,346 | |
4.50%, 05/02/43 (a) | 11,000 | 11,876 | |
Amazon.com Inc. | |||
1.50%, 06/03/30 (a) | 26,000 | 25,477 | |
2.50%, 06/03/50 (a) | 48,000 | 45,336 | |
2.70%, 06/03/60 (a) | 25,000 | 23,821 | |
2.88%, 05/12/41 | 58,000 | 59,879 | |
3.15%, 08/22/27 (a) | 26,000 | 28,725 | |
3.25%, 05/12/61 | 43,000 | 45,521 | |
4.05%, 08/22/47 (a) | 10,000 | 12,192 | |
4.25%, 08/22/57 (a) | 4,000 | 5,118 | |
Amcor Flexibles North America Inc. | |||
2.69%, 05/25/31 | 95,000 | 96,852 | |
Ameren Corp. | |||
2.50%, 09/15/24 (a) | 75,000 | 79,000 | |
American Electric Power Company Inc. | |||
2.30%, 03/01/30 (a) | 25,000 | 25,147 | |
3.25%, 03/01/50 (a) | 25,000 | 24,964 | |
American International Group Inc. | |||
4.25%, 03/15/29 (a) | 82,000 | 94,644 | |
4.50%, 07/16/44 (a) | 105,000 | 127,452 | |
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) | 39,000 | 44,390 | |
American Tower Corp. | |||
1.50%, 01/31/28 (a) | 101,000 | 98,378 | |
2.90%, 01/15/30 (a) | 113,000 | 118,795 | |
3.70%, 10/15/49 (a) | 26,000 | 28,178 | |
3.80%, 08/15/29 (a) | 26,000 | 28,999 | |
4.70%, 03/15/22 (a) | 200,000 | 205,956 | |
American Water Capital Corp. | |||
2.95%, 09/01/27 (a) | 61,000 | 65,885 | |
Amgen Inc. | |||
2.45%, 02/21/30 (a) | 126,000 | 129,893 | |
3.15%, 02/21/40 | 55,000 | 57,200 | |
3.38%, 02/21/50 (a) | 16,000 | 16,861 | |
4.56%, 06/15/48 (a) | 20,000 | 25,146 | |
4.66%, 06/15/51 (a) | 5,000 | 6,457 | |
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | |||
3.65%, 02/01/26 (a) | 266,000 | 294,063 | |
4.70%, 02/01/36 (a) | 13,000 | 15,944 | |
4.90%, 02/01/46 (a) | 22,000 | 27,828 | |
Anheuser-Busch InBev Worldwide Inc. | |||
3.50%, 06/01/30 (a) | 77,000 | 85,579 | |
4.00%, 04/13/28 (a) | 34,000 | 38,711 | |
4.35%, 06/01/40 (a) | 71,000 | 84,491 | |
4.38%, 04/15/38 (a) | 39,000 | 46,478 | |
4.50%, 06/01/50 (a) | 88,000 | 107,306 | |
4.60%, 04/15/48 (a) | 19,000 | 23,229 | |
4.75%, 04/15/58 (a) | 11,000 | 13,781 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 17 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
5.55%, 01/23/49 (a) | $13,000 | $17,874 | |
Anthem Inc. | |||
2.88%, 09/15/29 (a) | 17,000 | 18,087 | |
3.30%, 01/15/23 (a) | 27,000 | 28,171 | |
3.60%, 03/15/51 (a) | 24,000 | 26,374 | |
3.70%, 09/15/49 (a) | 17,000 | 18,900 | |
Apollo Management Holdings LP | |||
2.65%, 06/05/30 (a)(f) | 38,000 | 38,583 | |
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | |||
4.95%, 01/14/50 (b)(f) | 50,000 | 51,852 | |
Apple Inc. | |||
2.20%, 09/11/29 (a) | 62,000 | 64,502 | |
2.65%, 02/08/51 (a) | 66,000 | 64,745 | |
2.80%, 02/08/61 (a) | 48,000 | 46,952 | |
2.95%, 09/11/49 (a) | 16,000 | 16,590 | |
3.35%, 02/09/27 (a) | 12,000 | 13,320 | |
3.45%, 02/09/45 (a) | 30,000 | 33,646 | |
3.85%, 08/04/46 (a) | 34,000 | 40,385 | |
Applied Materials Inc. | |||
4.35%, 04/01/47 (a) | 80,000 | 101,933 | |
Aptiv PLC | |||
4.40%, 10/01/46 (a) | 19,000 | 22,180 | |
Archer-Daniels-Midland Co. | |||
2.50%, 08/11/26 (a) | 11,000 | 11,699 | |
Ares Capital Corp. | |||
2.88%, 06/15/28 | 146,000 | 148,070 | |
3.25%, 07/15/25 (a) | 202,000 | 212,544 | |
Arthur J Gallagher & Co. | |||
2.50%, 05/20/31 | 233,000 | 235,481 | |
3.50%, 05/20/51 | 75,000 | 78,643 | |
Ascension Health | |||
4.85%, 11/15/53 (a) | 17,000 | 23,881 | |
Astrazeneca Finance LLC | |||
1.75%, 05/28/28 | 95,000 | 94,953 | |
2.25%, 05/28/31 | 40,000 | 40,558 | |
AstraZeneca PLC | |||
3.00%, 05/28/51 | 45,000 | 46,263 | |
4.00%, 01/17/29 (a) | 12,000 | 13,793 | |
4.38%, 08/17/48 (a) | 4,000 | 5,045 | |
AT&T Inc. | |||
1.70%, 03/25/26 | 348,000 | 351,738 | |
2.30%, 06/01/27 (a) | 52,000 | 53,814 | |
2.75%, 06/01/31 (a) | 228,000 | 237,027 | |
3.30%, 02/01/52 (a) | 35,000 | 34,089 | |
3.85%, 06/01/60 (a) | 69,000 | 72,785 | |
4.35%, 03/01/29 (a) | 68,000 | 78,711 | |
4.45%, 04/01/24 (a) | 24,000 | 26,224 | |
4.50%, 05/15/35 (a) | 70,000 | 82,151 | |
4.55%, 03/09/49 (a) | 26,000 | 30,515 | |
4.75%, 05/15/46 (a) | 36,000 | 43,736 | |
4.80%, 06/15/44 (a) | 20,000 | 24,049 | |
4.85%, 03/01/39 (a) | 31,000 | 37,688 | |
5.25%, 03/01/37 (a) | 23,000 | 29,011 | |
5.35%, 12/15/43 (a) | 15,000 | 18,747 | |
Athene Holding Ltd. | |||
6.15%, 04/03/30 (a) | 54,000 | 68,202 | |
Avangrid Inc. | |||
3.15%, 12/01/24 (a) | 45,000 | 48,193 | |
Bain Capital Specialty Finance Inc. | |||
2.95%, 03/10/26 (a) | 95,000 | 97,303 |
Principal Amount | Fair Value | ||
Bank of America Corp. | |||
3.25%, 10/21/27 (a) | $4,000 | $4,339 | |
4.18%, 11/25/27 (a) | 130,000 | 145,558 | |
Bank of America Corp. (1.73% fixed rate until 07/22/26; 0.96% + SOFR thereafter) | |||
1.73%, 07/22/27 (b) | 175,000 | 176,445 | |
Bank of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) | |||
2.09%, 06/14/29 (b) | 146,000 | 147,193 | |
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | |||
2.59%, 04/29/31 (a)(b) | 325,000 | 334,558 | |
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | |||
3.12%, 01/20/23 (a)(b) | 31,000 | 31,467 | |
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | |||
3.37%, 01/23/26 (a)(b) | 19,000 | 20,478 | |
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | |||
3.56%, 04/23/27 (a)(b) | 163,000 | 178,459 | |
Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | |||
3.71%, 04/24/28 (a)(b) | 72,000 | 79,615 | |
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | |||
3.95%, 01/23/49 (a)(b) | 17,000 | 19,669 | |
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | |||
4.24%, 04/24/38 (a)(b) | 93,000 | 110,529 | |
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | |||
4.27%, 07/23/29 (a)(b) | 79,000 | 90,790 | |
Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | |||
4.30%, 12/31/99 (a)(b) | 65,000 | 67,150 | |
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | |||
4.44%, 01/20/48 (a)(b) | 83,000 | 102,873 | |
Barclays PLC | |||
4.84%, 05/09/28 (a) | 200,000 | 224,460 | |
Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | |||
2.65%, 06/24/31 (b) | 633,000 | 640,672 | |
Barclays PLC (2.85% fixed rate until 05/07/25; 2.71% + SOFR thereafter) | |||
2.85%, 05/07/26 (a)(b) | 200,000 | 211,266 | |
Barrick North America Finance LLC | |||
5.70%, 05/30/41 (a) | 3,000 | 4,128 |
See Notes to Schedule of Investments.
18 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
BAT Capital Corp. | |||
2.73%, 03/25/31 (a) | $60,000 | $59,098 | |
4.39%, 08/15/37 (a) | 30,000 | 32,367 | |
4.54%, 08/15/47 (a) | 16,000 | 16,871 | |
4.70%, 04/02/27 (a) | 34,000 | 38,413 | |
4.91%, 04/02/30 (a) | 36,000 | 41,373 | |
BAT International Finance PLC | |||
1.67%, 03/25/26 (a) | 35,000 | 35,043 | |
Baxter International Inc. | |||
3.95%, 04/01/30 | 57,000 | 65,614 | |
Baylor Scott & White Holdings | |||
2.84%, 11/15/50 (a) | 10,000 | 10,031 | |
Becton Dickinson & Co. | |||
2.89%, 06/06/22 (a) | 23,000 | 23,502 | |
3.70%, 06/06/27 (a) | 26,000 | 28,901 | |
3.73%, 12/15/24 (a) | 4,000 | 4,357 | |
4.67%, 06/06/47 (a) | 3,000 | 3,739 | |
Berkshire Hathaway Energy Co. | |||
3.25%, 04/15/28 (a) | 16,000 | 17,583 | |
3.70%, 07/15/30 (a) | 81,000 | 91,801 | |
3.80%, 07/15/48 (a) | 38,000 | 43,162 | |
4.25%, 10/15/50 (a) | 33,000 | 40,496 | |
6.13%, 04/01/36 (a) | 64,000 | 90,184 | |
Berkshire Hathaway Finance Corp. | |||
1.45%, 10/15/30 (a) | 42,000 | 41,050 | |
2.85%, 10/15/50 (a) | 27,000 | 26,917 | |
Berry Global Inc. | |||
4.88%, 07/15/26 (a)(f) | 101,000 | 106,848 | |
Biogen Inc. | |||
2.25%, 05/01/30 (a) | 20,000 | 20,053 | |
3.15%, 05/01/50 (a) | 14,000 | 13,767 | |
Block Financial LLC | |||
2.50%, 07/15/28 | 55,000 | 55,210 | |
3.88%, 08/15/30 (a) | 16,000 | 17,301 | |
BNP Paribas S.A. (2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter) | |||
2.82%, 11/19/25 (a)(b)(f) | 204,000 | 214,584 | |
Boardwalk Pipelines LP | |||
4.80%, 05/03/29 (a) | 23,000 | 26,674 | |
Boston Scientific Corp. | |||
4.70%, 03/01/49 (a) | 9,000 | 11,520 | |
BP Capital Markets America Inc. | |||
3.00%, 02/24/50 (a) | 44,000 | 42,737 | |
3.02%, 01/16/27 (a) | 56,000 | 60,408 | |
3.38%, 02/08/61 (a) | 90,000 | 90,444 | |
BP Capital Markets PLC (4.38% fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | |||
4.38%, 12/31/99 (a)(b) | 66,000 | 70,424 | |
BP Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | |||
4.88%, 12/31/99 (a)(b) | 53,000 | 58,165 | |
Bristol-Myers Squibb Co. | |||
1.45%, 11/13/30 (a) | 35,000 | 33,836 | |
2.35%, 11/13/40 (a) | 65,000 | 62,561 | |
3.20%, 06/15/26 (a) | 23,000 | 25,250 | |
3.40%, 07/26/29 (a) | 42,000 | 47,048 | |
3.45%, 11/15/27 (a) | 12,000 | 13,382 | |
4.13%, 06/15/39 (a) | 19,000 | 22,971 | |
4.25%, 10/26/49 (a) | 19,000 | 23,998 |
Principal Amount | Fair Value | ||
4.35%, 11/15/47 (a) | $2,000 | $2,535 | |
4.55%, 02/20/48 (a) | 46,000 | 60,041 | |
5.00%, 08/15/45 (a) | 21,000 | 28,736 | |
Brixmor Operating Partnership LP | |||
2.25%, 04/01/28 (a) | 85,000 | 85,047 | |
Broadcom Inc. | |||
3.15%, 11/15/25 (a) | 20,000 | 21,452 | |
3.42%, 04/15/33 (f) | 35,000 | 36,903 | |
3.47%, 04/15/34 (f) | 3,000 | 3,175 | |
4.15%, 11/15/30 (a) | 53,000 | 59,475 | |
4.30%, 11/15/32 (a) | 37,000 | 42,129 | |
Brown-Forman Corp. | |||
4.00%, 04/15/38 (a) | 4,000 | 4,711 | |
Bunge Limited Finance Corp. | |||
3.75%, 09/25/27 (a) | 10,000 | 11,027 | |
Burlington Northern Santa Fe LLC | |||
4.15%, 12/15/48 (a) | 61,000 | 74,834 | |
4.55%, 09/01/44 (a) | 31,000 | 39,513 | |
Cameron LNG LLC | |||
3.30%, 01/15/35 (a)(f) | 17,000 | 18,247 | |
Canadian Natural Resources Ltd. | |||
3.85%, 06/01/27 (a) | 42,000 | 46,260 | |
4.95%, 06/01/47 (a) | 3,000 | 3,742 | |
Canadian Pacific Railway Co. | |||
2.90%, 02/01/25 (a) | 13,000 | 13,803 | |
Capital One Financial Corp. | |||
3.75%, 07/28/26 (a) | 675,000 | 744,613 | |
Cardinal Health Inc. | |||
2.62%, 06/15/22 (a) | 9,000 | 9,181 | |
3.08%, 06/15/24 (a) | 12,000 | 12,732 | |
Carrier Global Corp. | |||
2.72%, 02/15/30 (a) | 36,000 | 37,323 | |
3.58%, 04/05/50 (a) | 36,000 | 38,213 | |
Caterpillar Inc. | |||
3.25%, 09/19/49 - 04/09/50 (a) | 89,000 | 98,462 | |
Centene Corp. | |||
3.38%, 02/15/30 (a) | 63,000 | 65,843 | |
4.25%, 12/15/27 (a) | 164,000 | 173,009 | |
5.38%, 08/15/26 (a)(f) | 297,000 | 310,395 | |
CenterPoint Energy Inc. | |||
2.65%, 06/01/31 | 65,000 | 66,326 | |
Charter Communications Operating LLC/Charter Communications Operating Capital | |||
3.50%, 06/01/41 | 58,000 | 58,393 | |
3.70%, 04/01/51 | 87,000 | 86,579 | |
4.46%, 07/23/22 (a) | 90,000 | 93,162 | |
4.80%, 03/01/50 (a) | 18,000 | 20,738 | |
4.91%, 07/23/25 (a) | 63,000 | 71,434 | |
5.05%, 03/30/29 (a) | 39,000 | 46,102 | |
5.75%, 04/01/48 (a) | 14,000 | 17,866 | |
Cheniere Corpus Christi Holdings LLC | |||
5.88%, 03/31/25 (a) | 81,000 | 92,924 | |
7.00%, 06/30/24 | 176,000 | 201,553 | |
Chevron Corp. | |||
2.24%, 05/11/30 (a) | 15,000 | 15,469 | |
2.98%, 05/11/40 (a) | 25,000 | 26,142 | |
3.08%, 05/11/50 (a) | 12,000 | 12,425 | |
Chevron USA Inc. | |||
3.85%, 01/15/28 (a) | 34,000 | 38,761 | |
3.90%, 11/15/24 (a) | 16,000 | 17,544 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 19 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
4.20%, 10/15/49 (a) | $4,000 | $4,922 | |
5.05%, 11/15/44 (a) | 2,000 | 2,684 | |
Choice Hotels International Inc. | |||
3.70%, 01/15/31 (a) | 36,000 | 38,971 | |
Chubb INA Holdings Inc. | |||
4.35%, 11/03/45 (a) | 47,000 | 59,430 | |
Cigna Corp. | |||
2.40%, 03/15/30 (a) | 32,000 | 32,673 | |
3.25%, 04/15/25 (a) | 24,000 | 25,867 | |
3.40%, 03/01/27 - 03/15/51 (a) | 43,000 | 45,421 | |
3.75%, 07/15/23 (a) | 26,000 | 27,682 | |
3.88%, 10/15/47 (a) | 2,000 | 2,236 | |
4.13%, 11/15/25 (a) | 34,000 | 38,110 | |
4.38%, 10/15/28 (a) | 12,000 | 13,967 | |
4.80%, 08/15/38 (a) | 10,000 | 12,455 | |
4.90%, 12/15/48 (a) | 2,000 | 2,585 | |
Cisco Systems Inc. | |||
5.90%, 02/15/39 (a) | 13,000 | 18,921 | |
Citigroup Inc. | |||
4.13%, 07/25/28 (a) | 265,000 | 298,835 | |
4.65%, 07/23/48 (a) | 91,000 | 119,195 | |
Citigroup Inc. (0.98% fixed rate until 05/01/24; 0.67% + SOFR thereafter) | |||
0.98%, 05/01/25 (b) | 56,000 | 56,139 | |
Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | |||
1.68%, 05/15/24 (a)(b) | 220,000 | 224,657 | |
Citigroup Inc. (2.56% fixed rate until 05/01/31; 1.17% + SOFR thereafter) | |||
2.56%, 05/01/32 (b) | 65,000 | 66,219 | |
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | |||
2.88%, 07/24/23 (a)(b) | 65,000 | 66,656 | |
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | |||
2.98%, 11/05/30 (a)(b) | 413,000 | 438,077 | |
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | |||
3.88%, 01/24/39 (a)(b) | 31,000 | 35,579 | |
Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | |||
4.70%, 12/31/99 (a)(b) | 83,000 | 85,576 | |
CMS Energy Corp. | |||
4.88%, 03/01/44 (a) | 43,000 | 54,953 | |
CNA Financial Corp. | |||
3.45%, 08/15/27 (a) | 30,000 | 32,870 | |
3.90%, 05/01/29 (a) | 69,000 | 77,597 | |
CNH Industrial Capital LLC | |||
1.95%, 07/02/23 (a) | 70,000 | 71,764 | |
CNOOC Finance 2014 ULC | |||
4.25%, 04/30/24 (a) | 233,000 | 252,779 | |
CNOOC Petroleum North America ULC | |||
6.40%, 05/15/37 (a) | 69,000 | 90,563 | |
Comcast Corp. | |||
2.65%, 08/15/62 (a) | 22,000 | 20,079 | |
2.80%, 01/15/51 (a) | 48,000 | 46,195 | |
3.10%, 04/01/25 (a) | 35,000 | 37,757 |
Principal Amount | Fair Value | ||
3.20%, 07/15/36 (a) | $22,000 | $23,554 | |
3.25%, 11/01/39 (a) | 50,000 | 53,205 | |
3.45%, 02/01/50 (a) | 44,000 | 47,662 | |
3.97%, 11/01/47 (a) | 29,000 | 33,832 | |
4.15%, 10/15/28 (a) | 12,000 | 13,895 | |
4.60%, 08/15/45 (a) | 6,000 | 7,539 | |
4.70%, 10/15/48 (a) | 43,000 | 55,748 | |
CommonSpirit Health | |||
4.35%, 11/01/42 | 129,000 | 150,758 | |
Conagra Brands Inc. | |||
5.30%, 11/01/38 (a) | 12,000 | 15,263 | |
5.40%, 11/01/48 (a) | 10,000 | 13,366 | |
ConocoPhillips | |||
3.75%, 10/01/27 (a)(f) | 10,000 | 11,232 | |
4.30%, 08/15/28 (a)(f) | 47,000 | 54,518 | |
4.88%, 10/01/47 (a)(f) | 9,000 | 11,821 | |
ConocoPhillips Co. | |||
4.30%, 11/15/44 (a) | 22,000 | 26,513 | |
Consolidated Edison Company of New York Inc. | |||
2.90%, 12/01/26 (a) | 24,000 | 25,623 | |
3.35%, 04/01/30 (a) | 16,000 | 17,616 | |
3.88%, 06/15/47 (a) | 52,000 | 58,355 | |
3.95%, 04/01/50 (a) | 44,000 | 50,041 | |
Constellation Brands Inc. | |||
3.15%, 08/01/29 (a) | 233,000 | 250,449 | |
3.70%, 12/06/26 (a) | 46,000 | 51,169 | |
4.50%, 05/09/47 (a) | 19,000 | 22,977 | |
Continental Resources Inc. | |||
3.80%, 06/01/24 | 290,000 | 306,678 | |
4.50%, 04/15/23 (a) | 122,000 | 127,239 | |
Corning Inc. | |||
4.38%, 11/15/57 (a) | 20,000 | 23,834 | |
Corporate Nacional del Cobre de Chile | |||
3.15%, 01/15/51 (a)(f) | 85,000 | 82,110 | |
Corporate Office Properties LP | |||
2.25%, 03/15/26 (a) | 55,000 | 56,537 | |
2.75%, 04/15/31 (a) | 36,000 | 36,279 | |
Crown Castle International Corp. | |||
3.30%, 07/01/30 (a) | 281,000 | 301,816 | |
4.15%, 07/01/50 (a) | 36,000 | 41,087 | |
5.20%, 02/15/49 (a) | 35,000 | 45,478 | |
CSX Corp. | |||
4.50%, 03/15/49 - 08/01/54 (a) | 68,000 | 85,482 | |
CubeSmart LP | |||
4.38%, 02/15/29 (a) | 94,000 | 107,532 | |
CVS Health Corp. | |||
3.00%, 08/15/26 (a) | 19,000 | 20,489 | |
3.25%, 08/15/29 (a) | 21,000 | 22,837 | |
3.63%, 04/01/27 (a) | 32,000 | 35,407 | |
3.75%, 04/01/30 (a) | 25,000 | 28,026 | |
3.88%, 07/20/25 (a) | 13,000 | 14,354 | |
4.25%, 04/01/50 (a) | 21,000 | 24,961 | |
4.30%, 03/25/28 (a) | 9,000 | 10,339 | |
4.78%, 03/25/38 (a) | 11,000 | 13,530 | |
5.00%, 12/01/24 (a) | 28,000 | 31,481 | |
5.13%, 07/20/45 (a) | 22,000 | 28,555 | |
5.30%, 12/05/43 (a) | 35,000 | 46,283 | |
Dell International LLC/EMC Corp. | |||
4.00%, 07/15/24 | 34,000 | 36,959 | |
5.45%, 06/15/23 | 269,000 | 291,798 |
See Notes to Schedule of Investments.
20 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
6.02%, 06/15/26 | $11,000 | $13,193 | |
8.35%, 07/15/46 | 27,000 | 44,173 | |
Devon Energy Corp. | |||
5.00%, 06/15/45 (a) | 12,000 | 14,121 | |
DH Europe Finance II Sarl | |||
2.60%, 11/15/29 (a) | 29,000 | 30,365 | |
3.25%, 11/15/39 (a) | 17,000 | 18,235 | |
3.40%, 11/15/49 (a) | 9,000 | 9,900 | |
Diamondback Energy Inc. | |||
2.88%, 12/01/24 (a) | 50,000 | 52,854 | |
3.13%, 03/24/31 | 58,000 | 60,305 | |
3.25%, 12/01/26 (a) | 29,000 | 31,080 | |
3.50%, 12/01/29 (a) | 26,000 | 27,868 | |
4.40%, 03/24/51 | 27,000 | 30,499 | |
Digital Realty Trust LP | |||
3.60%, 07/01/29 (a) | 36,000 | 40,025 | |
Discovery Communications LLC | |||
2.95%, 03/20/23 (a) | 65,000 | 67,625 | |
3.95%, 03/20/28 (a) | 44,000 | 48,989 | |
4.95%, 05/15/42 (a) | 3,000 | 3,561 | |
5.00%, 09/20/37 (a) | 7,000 | 8,477 | |
Dollar General Corp. | |||
3.50%, 04/03/30 (a) | 57,000 | 62,689 | |
4.13%, 04/03/50 (a) | 31,000 | 36,334 | |
Dollar Tree Inc. | |||
4.00%, 05/15/25 (a) | 51,000 | 56,285 | |
Dominion Energy Inc. | |||
3.07%, 08/15/24 (a)(g) | 26,000 | 27,582 | |
3.38%, 04/01/30 (a) | 94,000 | 102,484 | |
Dover Corp. | |||
2.95%, 11/04/29 (a) | 32,000 | 34,394 | |
DTE Energy Co. | |||
2.85%, 10/01/26 (a) | 24,000 | 25,585 | |
3.85%, 12/01/23 (a) | 15,000 | 16,049 | |
Duke Energy Carolinas LLC | |||
3.95%, 03/15/48 (a) | 14,000 | 16,430 | |
Duke Energy Corp. | |||
2.55%, 06/15/31 | 87,000 | 88,216 | |
3.30%, 06/15/41 | 87,000 | 89,054 | |
3.50%, 06/15/51 | 87,000 | 89,950 | |
3.75%, 09/01/46 (a) | 126,000 | 134,340 | |
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | |||
4.88%, 12/31/99 (b) | 75,000 | 80,044 | |
Duke Energy Progress LLC | |||
4.15%, 12/01/44 (a) | 18,000 | 21,738 | |
Duke Realty LP | |||
3.05%, 03/01/50 (a) | 16,000 | 15,796 | |
DuPont de Nemours Inc. | |||
5.42%, 11/15/48 (a) | 7,000 | 9,721 | |
Duquesne Light Holdings Inc. | |||
3.62%, 08/01/27 (a)(f) | 18,000 | 19,556 | |
Eastman Chemical Co. | |||
4.65%, 10/15/44 (a) | 35,000 | 42,524 | |
Eaton Corp. | |||
3.10%, 09/15/27 (a) | 41,000 | 44,609 | |
Ecolab Inc. | |||
1.30%, 01/30/31 (a) | 30,000 | 28,357 | |
Edison International | |||
4.95%, 04/15/25 (a) | 75,000 | 83,113 | |
5.75%, 06/15/27 (a) | 7,000 | 7,974 | |
EI du Pont de Nemours & Co. | |||
2.30%, 07/15/30 (a) | 66,000 | 67,678 |
Principal Amount | Fair Value | ||
Electronic Arts Inc. | |||
1.85%, 02/15/31 (a) | $52,000 | $50,284 | |
Eli Lilly & Co. | |||
3.95%, 03/15/49 (a) | 30,000 | 36,416 | |
Emera US Finance LP | |||
2.64%, 06/15/31 (f) | 95,000 | 95,619 | |
Emerson Electric Co. | |||
1.80%, 10/15/27 (a) | 26,000 | 26,624 | |
2.75%, 10/15/50 (a) | 19,000 | 18,999 | |
Empower Finance 2020 LP | |||
1.36%, 09/17/27 (a)(f) | 61,000 | 60,225 | |
1.78%, 03/17/31 (a)(f) | 184,000 | 176,588 | |
Enbridge Energy Partners LP | |||
5.50%, 09/15/40 (a) | 2,000 | 2,577 | |
Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | |||
5.75%, 07/15/80 (a)(b) | 89,000 | 99,533 | |
Energy Transfer LP | |||
4.25%, 03/15/23 (a) | 52,000 | 54,574 | |
4.50%, 04/15/24 (a) | 8,000 | 8,713 | |
4.95%, 06/15/28 (a) | 9,000 | 10,437 | |
5.30%, 04/01/44 - 04/15/47 (a) | 51,000 | 59,379 | |
5.35%, 05/15/45 | 58,000 | 67,123 | |
6.13%, 12/15/45 (a) | 4,000 | 5,092 | |
6.50%, 02/01/42 (a) | 21,000 | 27,261 | |
Energy Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | |||
6.75%, 12/31/99 (b) | 123,000 | 123,647 | |
Energy Transfer LP/Regency Energy Finance Corp. | |||
4.50%, 11/01/23 (a) | 18,000 | 19,295 | |
Enterprise Products Operating LLC | |||
4.25%, 02/15/48 (a) | 34,000 | 39,108 | |
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | |||
5.25%, 08/16/77 (a)(b) | 11,000 | 11,522 | |
EOG Resources Inc. | |||
4.15%, 01/15/26 (a) | 6,000 | 6,756 | |
4.38%, 04/15/30 (a) | 81,000 | 96,008 | |
4.95%, 04/15/50 (a) | 16,000 | 21,376 | |
5.10%, 01/15/36 (a) | 9,000 | 11,173 | |
Equinix Inc. | |||
1.25%, 07/15/25 (a) | 60,000 | 60,173 | |
2.15%, 07/15/30 (a) | 52,000 | 51,656 | |
Equinor ASA | |||
3.25%, 11/18/49 (a) | 20,000 | 21,173 | |
ERP Operating LP | |||
4.50%, 07/01/44 (a) | 30,000 | 37,801 | |
Eversource Energy | |||
3.45%, 01/15/50 (a) | 31,000 | 32,752 | |
Exelon Corp. | |||
3.50%, 06/01/22 (a) | 30,000 | 30,765 | |
4.05%, 04/15/30 (a) | 54,000 | 61,481 | |
4.45%, 04/15/46 (a) | 39,000 | 47,311 | |
4.70%, 04/15/50 (a) | 36,000 | 45,456 | |
Exxon Mobil Corp. | |||
2.61%, 10/15/30 (a) | 108,000 | 113,915 | |
3.45%, 04/15/51 (a) | 57,000 | 62,026 | |
FedEx Corp. | |||
4.10%, 02/01/45 (a) | 84,000 | 96,007 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 21 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Fidelity National Information Services Inc. | |||
1.15%, 03/01/26 | $120,000 | $119,052 | |
1.65%, 03/01/28 (a) | 48,000 | 47,710 | |
3.10%, 03/01/41 (a) | 12,000 | 12,328 | |
FirstEnergy Transmission LLC | |||
4.55%, 04/01/49 (a)(f) | 80,000 | 92,793 | |
Fiserv Inc. | |||
3.50%, 07/01/29 (a) | 199,000 | 219,063 | |
4.40%, 07/01/49 (a) | 10,000 | 12,046 | |
Florida Power & Light Co. | |||
2.85%, 04/01/25 (a) | 80,000 | 85,490 | |
4.13%, 02/01/42 (a) | 59,000 | 71,900 | |
Flowers Foods Inc. | |||
2.40%, 03/15/31 (a) | 52,000 | 52,102 | |
Ford Motor Credit Company LLC | |||
5.88%, 08/02/21 (a) | 205,000 | 205,758 | |
Fox Corp. | |||
3.50%, 04/08/30 (a) | 35,000 | 38,574 | |
GA Global Funding Trust | |||
1.63%, 01/15/26 (a)(f) | 77,000 | 77,930 | |
General Dynamics Corp. | |||
4.25%, 04/01/50 (a) | 90,000 | 115,274 | |
General Mills Inc. | |||
3.00%, 02/01/51 (a)(f) | 18,000 | 18,136 | |
General Motors Co. | |||
5.20%, 04/01/45 (a) | 2,000 | 2,477 | |
5.40%, 10/02/23 - 04/01/48 (a) | 17,000 | 19,922 | |
6.13%, 10/01/25 (a) | 66,000 | 78,130 | |
6.80%, 10/01/27 (a) | 29,000 | 36,508 | |
General Motors Financial Company Inc. | |||
1.25%, 01/08/26 (a) | 163,000 | 161,918 | |
2.35%, 01/08/31 (a) | 43,000 | 42,419 | |
3.45%, 01/14/22 - 04/10/22 (a) | 441,000 | 448,827 | |
5.25%, 03/01/26 (a) | 24,000 | 27,727 | |
Georgia-Pacific LLC | |||
1.75%, 09/30/25 (a)(f) | 90,000 | 92,256 | |
3.60%, 03/01/25 (a)(f) | 41,000 | 44,589 | |
Gilead Sciences Inc. | |||
1.65%, 10/01/30 (a) | 25,000 | 24,176 | |
2.60%, 10/01/40 (a) | 50,000 | 48,164 | |
2.80%, 10/01/50 (a) | 44,000 | 42,269 | |
2.95%, 03/01/27 (a) | 4,000 | 4,305 | |
3.50%, 02/01/25 (a) | 13,000 | 14,086 | |
3.65%, 03/01/26 (a) | 99,000 | 109,189 | |
4.15%, 03/01/47 (a) | 8,000 | 9,414 | |
GlaxoSmithKline Capital Inc. | |||
3.38%, 05/15/23 (a) | 29,000 | 30,618 | |
3.63%, 05/15/25 (a) | 28,000 | 30,892 | |
GlaxoSmithKline Capital PLC | |||
3.38%, 06/01/29 (a) | 26,000 | 28,901 | |
Glencore Funding LLC | |||
3.88%, 04/27/51 (f) | 87,000 | 91,304 | |
Graphic Packaging International LLC | |||
1.51%, 04/15/26 (a)(f) | 97,000 | 96,499 | |
Gray Oak Pipeline LLC | |||
2.00%, 09/15/23 (a)(f) | 125,000 | 127,551 | |
2.60%, 10/15/25 (a)(f) | 90,000 | 92,586 | |
Halliburton Co. | |||
3.80%, 11/15/25 (a) | 2,000 | 2,210 | |
5.00%, 11/15/45 (a) | 13,000 | 15,873 |
Principal Amount | Fair Value | ||
HCA Inc. | |||
3.50%, 09/01/30 - 07/15/51 | $210,000 | $219,719 | |
5.38%, 02/01/25 | 120,000 | 135,353 | |
Health Care Service Corp. | |||
2.20%, 06/01/30 (a)(f) | 42,000 | 42,163 | |
3.20%, 06/01/50 (a)(f) | 19,000 | 19,653 | |
Healthcare Trust of America Holdings LP | |||
2.00%, 03/15/31 (a) | 32,000 | 30,983 | |
Hess Corp. | |||
5.60%, 02/15/41 (a) | 6,000 | 7,504 | |
5.80%, 04/01/47 (a) | 3,000 | 3,916 | |
Hewlett Packard Enterprise Co. | |||
6.35%, 10/15/45 (a) | 5,000 | 6,752 | |
Highwoods Realty LP | |||
4.13%, 03/15/28 (a) | 34,000 | 38,131 | |
4.20%, 04/15/29 (a) | 103,000 | 115,905 | |
Honeywell International Inc. | |||
2.70%, 08/15/29 (a) | 43,000 | 46,134 | |
Hormel Foods Corp. | |||
1.80%, 06/11/30 (a) | 76,000 | 75,451 | |
HSBC Holdings PLC (2.01% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | |||
2.01%, 09/22/28 (a)(b) | 400,000 | 401,336 | |
HSBC Holdings PLC (2.80% fixed rate until 05/24/31; 1.19% + SOFR thereafter) | |||
2.80%, 05/24/32 (b) | 200,000 | 205,300 | |
HSBC Holdings PLC (4.00% fixed rate until 03/09/26; 3.22% + 5 year CMT Rate thereafter) | |||
4.00%, 12/31/99 (a)(b) | 200,000 | 203,568 | |
Huntington Bancshares Inc. | |||
2.55%, 02/04/30 (a) | 68,000 | 70,876 | |
Huntsman International LLC | |||
2.95%, 06/15/31 | 45,000 | 45,771 | |
Hyundai Capital America | |||
1.30%, 01/08/26 (a)(f) | 163,000 | 160,932 | |
3.10%, 04/05/22 (a)(f) | 17,000 | 17,309 | |
Imperial Brands Finance PLC | |||
3.50%, 02/11/23 (a)(f) | 203,000 | 209,985 | |
Indiana Michigan Power Co. | |||
3.25%, 05/01/51 | 45,000 | 47,117 | |
ING Groep N.V. | |||
4.10%, 10/02/23 (a) | 204,000 | 219,867 | |
ING Groep N.V. (1.06% fixed rate until 04/01/26; 1.01% + SOFR thereafter) | |||
1.06%, 04/01/27 (b) | 288,000 | 290,900 | |
Ingredion Inc. | |||
3.90%, 06/01/50 (a) | 16,000 | 17,963 | |
Intel Corp. | |||
2.45%, 11/15/29 (a) | 58,000 | 61,090 | |
2.60%, 05/19/26 (a) | 33,000 | 35,292 | |
3.10%, 02/15/60 (a) | 55,000 | 56,187 | |
Intercontinental Exchange Inc. | |||
1.85%, 09/15/32 (a) | 16,000 | 15,187 | |
2.65%, 09/15/40 (a) | 16,000 | 15,333 | |
International Business Machines Corp. | |||
4.15%, 05/15/39 (a) | 141,000 | 167,538 | |
4.25%, 05/15/49 (a) | 141,000 | 174,403 | |
International Paper Co. | |||
4.40%, 08/15/47 (a) | 36,000 | 45,033 |
See Notes to Schedule of Investments.
22 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Interstate Power & Light Co. | |||
3.40%, 08/15/25 (a) | $24,000 | $25,968 | |
ITC Holdings Corp. | |||
2.95%, 05/14/30 (a)(f) | 90,000 | 94,872 | |
Jabil Inc. | |||
3.95%, 01/12/28 (a) | 20,000 | 22,239 | |
John Deere Capital Corp. | |||
2.45%, 01/09/30 (a) | 121,000 | 127,334 | |
Johnson & Johnson | |||
3.63%, 03/03/37 (a) | 31,000 | 36,140 | |
Johnson Controls International PLC | |||
4.50%, 02/15/47 (a) | 6,000 | 7,526 | |
JPMorgan Chase & Co. (1.58% fixed rate until 04/22/26; 0.89% + SOFR thereafter) | |||
1.58%, 04/22/27 (b) | 120,000 | 120,644 | |
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | |||
2.96%, 05/13/31 (a)(b) | 57,000 | 59,906 | |
JPMorgan Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) | |||
3.16%, 04/22/42 (b) | 58,000 | 60,392 | |
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | |||
3.88%, 07/24/38 (a)(b) | 90,000 | 103,639 | |
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | |||
3.90%, 01/23/49 (a)(b) | 77,000 | 89,476 | |
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | |||
3.96%, 01/29/27 (a)(b) | 123,000 | 136,957 | |
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | |||
4.01%, 04/23/29 (a)(b) | 62,000 | 70,226 | |
JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | |||
4.49%, 03/24/31 (a)(b) | 361,000 | 427,854 | |
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | |||
4.60%, 12/31/99 (a)(b) | 81,000 | 83,867 | |
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | |||
6.10%, 10/29/49 (a)(b) | 170,000 | 185,880 | |
Kaiser Foundation Hospitals | |||
3.00%, 06/01/51 | 60,000 | 61,891 | |
Keurig Dr Pepper Inc. | |||
3.20%, 05/01/30 (a) | 60,000 | 65,012 | |
3.80%, 05/01/50 (a) | 46,000 | 51,818 | |
4.50%, 11/15/45 (a) | 10,000 | 12,199 | |
4.60%, 05/25/28 (a) | 16,000 | 18,790 | |
KeyCorp | |||
2.25%, 04/06/27 (a) | 107,000 | 110,983 |
Principal Amount | Fair Value | ||
Kinder Morgan Energy Partners LP | |||
4.70%, 11/01/42 (a) | $3,000 | $3,490 | |
5.00%, 03/01/43 (a) | 13,000 | 15,629 | |
6.38%, 03/01/41 (a) | 11,000 | 15,210 | |
Kinder Morgan Inc. | |||
5.05%, 02/15/46 (a) | 11,000 | 13,346 | |
KLA Corp. | |||
3.30%, 03/01/50 (a) | 77,000 | 81,812 | |
4.10%, 03/15/29 (a) | 73,000 | 84,165 | |
4.65%, 11/01/24 (a) | 66,000 | 73,697 | |
Kohl's Corp. | |||
3.38%, 05/01/31 | 109,000 | 112,915 | |
5.55%, 07/17/45 (a) | 41,000 | 49,166 | |
L3Harris Technologies Inc. | |||
3.85%, 12/15/26 (a) | 157,000 | 176,267 | |
Lear Corp. | |||
4.25%, 05/15/29 (a) | 5,000 | 5,646 | |
Leidos Inc. | |||
2.95%, 05/15/23 | 88,000 | 91,492 | |
3.63%, 05/15/25 | 25,000 | 27,151 | |
4.38%, 05/15/30 | 90,000 | 102,112 | |
Liberty Mutual Group Inc. | |||
3.95%, 05/15/60 (a)(f) | 17,000 | 18,672 | |
Life Storage LP | |||
2.20%, 10/15/30 (a) | 57,000 | 56,297 | |
Lincoln National Corp. | |||
4.35%, 03/01/48 (a) | 125,000 | 149,346 | |
Lloyds Banking Group PLC | |||
3.75%, 01/11/27 (a) | 400,000 | 441,440 | |
Lockheed Martin Corp. | |||
3.55%, 01/15/26 (a) | 9,000 | 9,949 | |
3.80%, 03/01/45 (a) | 15,000 | 17,491 | |
4.50%, 05/15/36 (a) | 22,000 | 27,656 | |
Lowe's Companies Inc. | |||
1.30%, 04/15/28 (a) | 25,000 | 24,386 | |
1.70%, 10/15/30 (a) | 18,000 | 17,267 | |
3.00%, 10/15/50 (a) | 62,000 | 61,081 | |
3.70%, 04/15/46 (a) | 12,000 | 13,182 | |
4.05%, 05/03/47 (a) | 12,000 | 13,827 | |
LYB International Finance II BV | |||
3.50%, 03/02/27 (a) | 7,000 | 7,639 | |
LYB International Finance III LLC | |||
1.25%, 10/01/25 (a) | 30,000 | 29,963 | |
3.63%, 04/01/51 (a) | 43,000 | 45,531 | |
3.80%, 10/01/60 (a) | 21,000 | 22,173 | |
Marathon Oil Corp. | |||
3.85%, 06/01/25 (a) | 14,000 | 15,249 | |
Marvell Technology Inc. | |||
1.65%, 04/15/26 (f) | 195,000 | 194,928 | |
2.45%, 04/15/28 (f) | 95,000 | 96,824 | |
2.95%, 04/15/31 (f) | 85,000 | 88,129 | |
Masco Corp. | |||
3.50%, 11/15/27 (a) | 5,000 | 5,495 | |
McCormick & Company Inc. | |||
1.85%, 02/15/31 (a) | 29,000 | 28,036 | |
3.25%, 11/15/25 (a) | 254,000 | 275,387 | |
McDonald's Corp. | |||
3.60%, 07/01/30 (a) | 55,000 | 61,849 | |
3.63%, 09/01/49 (a) | 10,000 | 11,079 | |
4.88%, 12/09/45 (a) | 14,000 | 18,023 | |
Medtronic Inc. | |||
4.63%, 03/15/45 (a) | 2,000 | 2,623 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 23 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Memorial Sloan-Kettering Cancer Center | |||
4.13%, 07/01/52 (a) | $34,000 | $42,960 | |
Merck & Company Inc. | |||
2.45%, 06/24/50 (a) | 105,000 | 98,976 | |
2.75%, 02/10/25 (a) | 23,000 | 24,506 | |
4.00%, 03/07/49 (a) | 4,000 | 4,892 | |
MetLife Inc. | |||
4.72%, 12/15/44 (a) | 51,000 | 66,279 | |
Microchip Technology Inc. | |||
2.67%, 09/01/23 | 471,000 | 490,471 | |
Micron Technology Inc. | |||
2.50%, 04/24/23 (a) | 65,000 | 67,171 | |
Microsoft Corp. | |||
2.40%, 08/08/26 (a) | 51,000 | 54,349 | |
2.68%, 06/01/60 (a) | 9,000 | 8,961 | |
2.88%, 02/06/24 (a) | 150,000 | 158,724 | |
2.92%, 03/17/52 | 138,000 | 146,382 | |
3.04%, 03/17/62 | 56,000 | 59,877 | |
3.45%, 08/08/36 (a) | 9,000 | 10,401 | |
3.50%, 02/12/35 (a) | 18,000 | 20,865 | |
Morgan Stanley | |||
3.70%, 10/23/24 (a) | 130,000 | 141,745 | |
3.95%, 04/23/27 (a) | 149,000 | 166,445 | |
4.35%, 09/08/26 (a) | 54,000 | 61,197 | |
5.00%, 11/24/25 (a) | 597,000 | 688,580 | |
Morgan Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) | |||
2.80%, 01/25/52 (a)(b) | 57,000 | 55,985 | |
Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | |||
3.62%, 04/01/31 (a)(b) | 207,000 | 231,207 | |
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | |||
3.97%, 07/22/38 (a)(b) | 114,000 | 133,750 | |
MPLX LP | |||
2.65%, 08/15/30 (a) | 40,000 | 40,431 | |
3.38%, 03/15/23 (a) | 164,000 | 171,426 | |
5.20%, 12/01/47 (a) | 6,000 | 7,324 | |
MPLX LP (1.22% fixed rate until 08/02/21; 1.10% + 3 month USD LIBOR thereafter) | |||
1.22%, 09/09/22 (a)(b) | 65,000 | 65,036 | |
Mylan Inc. | |||
5.20%, 04/15/48 (a) | 12,000 | 14,735 | |
National Retail Properties Inc. | |||
4.00%, 11/15/25 (a) | 82,000 | 90,888 | |
NewMarket Corp. | |||
2.70%, 03/18/31 (a) | 40,000 | 40,067 | |
Newmont Corp. | |||
4.88%, 03/15/42 (a) | 17,000 | 21,598 | |
NextEra Energy Capital Holdings Inc. | |||
3.25%, 04/01/26 (a) | 39,000 | 42,294 | |
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) | 65,000 | 75,730 | |
NGPL PipeCo LLC | |||
3.25%, 07/15/31 (f) | 90,000 | 92,798 | |
NIKE Inc. | |||
3.38%, 03/27/50 (a) | 19,000 | 21,448 |
Principal Amount | Fair Value | ||
NiSource Inc. | |||
3.60%, 05/01/30 (a) | $38,000 | $42,070 | |
3.95%, 03/30/48 (a) | 12,000 | 13,714 | |
Nordstrom Inc. | |||
4.00%, 03/15/27 | 145,000 | 150,897 | |
4.25%, 08/01/31 (f) | 30,000 | 31,324 | |
Norfolk Southern Corp. | |||
3.95%, 10/01/42 (a) | 16,000 | 18,408 | |
NOV Inc. | |||
3.60%, 12/01/29 (a) | 49,000 | 51,238 | |
Novant Health Inc. | |||
3.32%, 11/01/61 | 40,000 | 42,424 | |
Novartis Capital Corp. | |||
2.20%, 08/14/30 (a) | 94,000 | 97,211 | |
Nucor Corp. | |||
2.98%, 12/15/55 (a)(f) | 21,000 | 20,309 | |
3.95%, 05/01/28 (a) | 21,000 | 23,935 | |
Nutrien Ltd. | |||
4.90%, 06/01/43 (a) | 12,000 | 15,166 | |
NVIDIA Corp. | |||
2.85%, 04/01/30 (a) | 36,000 | 38,977 | |
3.50%, 04/01/50 (a) | 83,000 | 93,863 | |
NXP BV/NXP Funding LLC/NXP USA Inc. | |||
2.50%, 05/11/31 (f) | 76,000 | 77,059 | |
2.70%, 05/01/25 (a)(f) | 95,000 | 100,158 | |
3.25%, 05/11/41 (f) | 60,000 | 61,523 | |
Occidental Petroleum Corp. | |||
2.90%, 08/15/24 (a) | 17,000 | 17,383 | |
Oklahoma Gas & Electric Co. | |||
3.25%, 04/01/30 (a) | 29,000 | 31,546 | |
Oncor Electric Delivery Company LLC | |||
3.80%, 09/30/47 (a) | 16,000 | 18,722 | |
ONEOK Inc. | |||
4.35%, 03/15/29 (a) | 31,000 | 35,002 | |
Oracle Corp. | |||
1.65%, 03/25/26 | 80,000 | 81,110 | |
2.30%, 03/25/28 | 27,000 | 27,724 | |
2.40%, 09/15/23 (a) | 18,000 | 18,673 | |
2.65%, 07/15/26 (a) | 23,000 | 24,275 | |
2.88%, 03/25/31 | 40,000 | 41,651 | |
2.95%, 04/01/30 (a) | 115,000 | 121,207 | |
3.60%, 04/01/50 (a) | 97,000 | 99,664 | |
3.65%, 03/25/41 | 45,000 | 47,796 | |
3.80%, 11/15/37 (a) | 6,000 | 6,578 | |
3.95%, 03/25/51 | 45,000 | 49,171 | |
4.00%, 07/15/46 - 11/15/47 (a) | 38,000 | 41,370 | |
4.10%, 03/25/61 | 55,000 | 60,953 | |
Orbia Advance Corp. SAB de C.V. | |||
1.88%, 05/11/26 (f) | 293,000 | 294,943 | |
Otis Worldwide Corp. | |||
2.06%, 04/05/25 (a) | 55,000 | 57,168 | |
2.57%, 02/15/30 (a) | 25,000 | 25,907 | |
3.36%, 02/15/50 (a) | 21,000 | 22,116 | |
Ovintiv Exploration Inc. | |||
5.63%, 07/01/24 (a) | 217,000 | 241,504 | |
Owens Corning | |||
4.40%, 01/30/48 (a) | 15,000 | 17,704 | |
Pacific Gas & Electric Co. | |||
2.10%, 08/01/27 (a) | 29,000 | 28,171 | |
2.50%, 02/01/31 (a) | 53,000 | 49,728 | |
3.00%, 06/15/28 | 60,000 | 60,268 | |
3.30%, 08/01/40 (a) | 53,000 | 48,200 |
See Notes to Schedule of Investments.
24 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
3.50%, 08/01/50 (a) | $25,000 | $22,251 | |
4.30%, 03/15/45 (a) | 43,000 | 41,392 | |
PacifiCorp | |||
2.70%, 09/15/30 (a) | 32,000 | 33,610 | |
6.25%, 10/15/37 (a) | 113,000 | 161,095 | |
Parker-Hannifin Corp. | |||
3.25%, 06/14/29 (a) | 21,000 | 22,971 | |
PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.82% + 5 year CMT Rate thereafter) | |||
4.50%, 10/01/50 (a)(b) | 76,000 | 79,358 | |
PayPal Holdings Inc. | |||
2.65%, 10/01/26 (a) | 36,000 | 38,611 | |
3.25%, 06/01/50 (a) | 69,000 | 75,053 | |
PepsiCo Inc. | |||
1.63%, 05/01/30 (a) | 73,000 | 72,041 | |
2.63%, 07/29/29 (a) | 51,000 | 54,609 | |
3.45%, 10/06/46 (a) | 15,000 | 16,837 | |
Pfizer Inc. | |||
2.70%, 05/28/50 (a) | 121,000 | 120,639 | |
3.45%, 03/15/29 (a) | 29,000 | 32,624 | |
3.60%, 09/15/28 (a) | 28,000 | 31,713 | |
3.90%, 03/15/39 (a) | 14,000 | 16,686 | |
4.13%, 12/15/46 (a) | 8,000 | 9,928 | |
4.40%, 05/15/44 (a) | 4,000 | 5,130 | |
Philip Morris International Inc. | |||
1.50%, 05/01/25 (a) | 25,000 | 25,507 | |
2.10%, 05/01/30 (a) | 17,000 | 16,957 | |
Phillips 66 | |||
2.15%, 12/15/30 (a) | 179,000 | 176,098 | |
Phillips 66 Partners LP | |||
3.15%, 12/15/29 (a) | 107,000 | 112,458 | |
3.75%, 03/01/28 (a) | 12,000 | 13,144 | |
4.68%, 02/15/45 (a) | 13,000 | 14,877 | |
Pioneer Natural Resources Co. | |||
1.13%, 01/15/26 (a) | 125,000 | 123,751 | |
2.15%, 01/15/31 (a) | 40,000 | 39,254 | |
Plains All American Pipeline LP/PAA Finance Corp. | |||
3.55%, 12/15/29 (a) | 27,000 | 28,476 | |
3.65%, 06/01/22 (a) | 40,000 | 40,818 | |
PPL Capital Funding Inc. | |||
3.10%, 05/15/26 (a) | 71,000 | 76,356 | |
Precision Castparts Corp. | |||
4.38%, 06/15/45 (a) | 14,000 | 16,988 | |
Prospect Capital Corp. | |||
3.36%, 11/15/26 | 80,000 | 80,164 | |
Prudential Financial Inc. | |||
3.94%, 12/07/49 (a) | 76,000 | 89,187 | |
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) | 83,000 | 97,191 | |
PVH Corp. | |||
4.63%, 07/10/25 (a) | 80,000 | 89,263 | |
QUALCOMM Inc. | |||
1.30%, 05/20/28 (a) | 6,000 | 5,873 | |
4.30%, 05/20/47 (a) | 2,000 | 2,518 | |
Quest Diagnostics Inc. | |||
2.95%, 06/30/30 (a) | 12,000 | 12,717 | |
Ralph Lauren Corp. | |||
1.70%, 06/15/22 (a) | 15,000 | 15,193 |
Principal Amount | Fair Value | ||
Raytheon Technologies Corp. | |||
3.13%, 05/04/27 (a) | $197,000 | $214,237 | |
3.50%, 03/15/27 (a) | 16,000 | 17,656 | |
3.95%, 08/16/25 (a) | 14,000 | 15,568 | |
4.15%, 05/15/45 (a) | 15,000 | 17,789 | |
4.45%, 11/16/38 (a) | 12,000 | 14,524 | |
Realty Income Corp. | |||
3.00%, 01/15/27 (a) | 41,000 | 44,288 | |
3.25%, 01/15/31 (a) | 32,000 | 34,921 | |
Regeneron Pharmaceuticals Inc. | |||
1.75%, 09/15/30 (a) | 61,000 | 57,864 | |
2.80%, 09/15/50 (a) | 29,000 | 26,436 | |
Reliance Steel & Aluminum Co. | |||
2.15%, 08/15/30 (a) | 105,000 | 103,650 | |
Rio Tinto Finance USA PLC | |||
4.13%, 08/21/42 (a) | 12,000 | 14,625 | |
Rockwell Automation Inc. | |||
4.20%, 03/01/49 (a) | 49,000 | 61,338 | |
Rogers Communications Inc. | |||
5.00%, 03/15/44 (a) | 7,000 | 8,756 | |
Roper Technologies Inc. | |||
2.95%, 09/15/29 (a) | 85,000 | 90,903 | |
Ross Stores Inc. | |||
4.70%, 04/15/27 (a) | 14,000 | 16,224 | |
Royalty Pharma PLC | |||
0.75%, 09/02/23 (a)(f) | 35,000 | 35,105 | |
1.20%, 09/02/25 (a)(f) | 45,000 | 44,618 | |
1.75%, 09/02/27 (a)(f) | 25,000 | 24,641 | |
2.20%, 09/02/30 (a)(f) | 12,000 | 11,771 | |
RPM International Inc. | |||
3.75%, 03/15/27 (a) | 17,000 | 18,664 | |
Ryder System Inc. | |||
2.90%, 12/01/26 (a) | 85,000 | 91,049 | |
Sabine Pass Liquefaction LLC | |||
4.20%, 03/15/28 (a) | 12,000 | 13,554 | |
4.50%, 05/15/30 (a) | 21,000 | 24,230 | |
5.00%, 03/15/27 (a) | 6,000 | 6,928 | |
5.88%, 06/30/26 (a) | 67,000 | 79,287 | |
Salesforce.com Inc. | |||
1.95%, 07/15/31 (c) | 95,000 | 95,147 | |
2.70%, 07/15/41 (c) | 70,000 | 70,439 | |
2.90%, 07/15/51 (c) | 120,000 | 121,255 | |
3.05%, 07/15/61 (c) | 60,000 | 60,973 | |
Schlumberger Holdings Corp. | |||
3.90%, 05/17/28 (a)(f) | 13,000 | 14,516 | |
Sempra Energy | |||
3.80%, 02/01/38 (a) | 9,000 | 10,039 | |
4.00%, 02/01/48 (a) | 21,000 | 23,549 | |
Shell International Finance BV | |||
2.38%, 08/21/22 (a) | 2,000 | 2,047 | |
3.13%, 11/07/49 (a) | 54,000 | 55,893 | |
3.75%, 09/12/46 (a) | 8,000 | 9,049 | |
4.13%, 05/11/35 (a) | 12,000 | 14,252 | |
Shire Acquisitions Investments Ireland DAC | |||
2.88%, 09/23/23 (a) | 2,000 | 2,093 | |
3.20%, 09/23/26 (a) | 10,000 | 10,855 | |
Siemens Financieringsmaatschappij N.V. | |||
2.88%, 03/11/41 (a)(f) | 250,000 | 258,215 | |
Simon Property Group LP | |||
3.38%, 06/15/27 (a) | 54,000 | 58,824 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 25 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Skyworks Solutions Inc. | |||
1.80%, 06/01/26 | $85,000 | $86,201 | |
3.00%, 06/01/31 | 20,000 | 20,491 | |
South Jersey Industries Inc. | |||
5.02%, 04/15/31 | 116,000 | 122,410 | |
Southern California Edison Co. | |||
2.40%, 02/01/22 (a) | 37,000 | 37,313 | |
4.00%, 04/01/47 (a) | 46,000 | 48,438 | |
4.20%, 03/01/29 (a) | 31,000 | 35,018 | |
Southern Company Gas Capital Corp. | |||
3.95%, 10/01/46 (a) | 33,000 | 36,712 | |
4.40%, 05/30/47 (a) | 11,000 | 12,957 | |
Southwest Airlines Co. | |||
2.63%, 02/10/30 (a) | 54,000 | 55,386 | |
Southwestern Electric Power Co. | |||
2.75%, 10/01/26 (a) | 19,000 | 20,152 | |
Spectra Energy Partners LP | |||
3.38%, 10/15/26 (a) | 6,000 | 6,523 | |
4.50%, 03/15/45 (a) | 2,000 | 2,349 | |
Standard Chartered PLC (2.68% fixed rate until 06/29/31; 1.20% + 1 year CMT Rate thereafter) | |||
2.68%, 06/29/32 (b)(f) | 203,000 | 203,682 | |
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)(f) | 203,000 | 213,055 | |
Starbucks Corp. | |||
4.00%, 11/15/28 (a) | 16,000 | 18,413 | |
STERIS Irish FinCo UnLtd Co. | |||
2.70%, 03/15/31 | 120,000 | 122,332 | |
Stryker Corp. | |||
1.95%, 06/15/30 (a) | 71,000 | 70,228 | |
2.90%, 06/15/50 (a) | 32,000 | 32,145 | |
Sumitomo Mitsui Financial Group Inc. | |||
4.44%, 04/02/24 (f) | 292,000 | 317,909 | |
Suncor Energy Inc. | |||
4.00%, 11/15/47 (a) | 3,000 | 3,315 | |
Svenska Handelsbanken AB (1.42% fixed rate until 06/11/26; 0.63% + 1 year CMT Rate thereafter) | |||
1.42%, 06/11/27 (b)(f) | 250,000 | 249,250 | |
Sysco Corp. | |||
3.25%, 07/15/27 (a) | 16,000 | 17,350 | |
5.95%, 04/01/30 (a) | 22,000 | 28,267 | |
6.60%, 04/01/50 (a) | 8,000 | 12,432 | |
Tampa Electric Co. | |||
2.40%, 03/15/31 | 80,000 | 81,950 | |
3.45%, 03/15/51 | 60,000 | 65,854 | |
4.35%, 05/15/44 (a) | 35,000 | 42,217 | |
Tapestry Inc. | |||
4.13%, 07/15/27 (a) | 28,000 | 30,616 | |
4.25%, 04/01/25 (a) | 285,000 | 309,975 | |
Target Corp. | |||
2.50%, 04/15/26 (a) | 20,000 | 21,510 | |
Teck Resources Ltd. | |||
3.90%, 07/15/30 (a) | 150,000 | 162,007 | |
Teledyne Technologies Inc. | |||
2.25%, 04/01/28 (a) | 56,000 | 57,057 | |
Texas Instruments Inc. | |||
3.88%, 03/15/39 (a) | 19,000 | 22,811 |
Principal Amount | Fair Value | ||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | |||
5.75%, 08/15/53 (a)(b) | $40,000 | $43,417 | |
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | |||
4.63%, 12/29/49 (a)(b) | 86,000 | 94,855 | |
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | |||
4.65%, 12/31/99 (a)(b) | 109,000 | 111,630 | |
The Boeing Co. | |||
2.20%, 02/04/26 (a) | 166,000 | 167,569 | |
2.70%, 02/01/27 (a) | 158,000 | 163,266 | |
2.95%, 02/01/30 (a) | 11,000 | 11,264 | |
3.25%, 03/01/28 (a) | 15,000 | 15,825 | |
3.55%, 03/01/38 (a) | 16,000 | 16,390 | |
3.75%, 02/01/50 (a) | 31,000 | 31,978 | |
5.04%, 05/01/27 (a) | 261,000 | 301,309 | |
5.15%, 05/01/30 (a) | 92,000 | 109,025 | |
5.81%, 05/01/50 (a) | 59,000 | 79,608 | |
The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | |||
4.00%, 12/31/99 (a)(b) | 101,000 | 103,289 | |
The Cleveland Electric Illuminating Co. | |||
4.55%, 11/15/30 (a)(f) | 57,000 | 65,858 | |
The Clorox Co. | |||
1.80%, 05/15/30 (a) | 90,000 | 88,515 | |
The Coca-Cola Co. | |||
2.60%, 06/01/50 (a) | 66,000 | 63,535 | |
2.75%, 06/01/60 (a) | 26,000 | 25,489 | |
The Dow Chemical Co. | |||
2.10%, 11/15/30 (a) | 103,000 | 102,001 | |
3.60%, 11/15/50 (a) | 43,000 | 46,357 | |
4.25%, 10/01/34 (a) | 21,000 | 24,289 | |
5.55%, 11/30/48 (a) | 13,000 | 18,249 | |
The Estee Lauder Companies Inc. | |||
2.38%, 12/01/29 (a) | 65,000 | 67,904 | |
The George Washington University | |||
4.13%, 09/15/48 | 84,000 | 104,245 | |
The Goldman Sachs Group Inc. | |||
3.50%, 04/01/25 - 11/16/26 (a) | 186,000 | 202,118 | |
3.85%, 01/26/27 (a) | 200,000 | 220,568 | |
4.25%, 10/21/25 (a) | 204,000 | 228,239 | |
5.15%, 05/22/45 (a) | 57,000 | 76,017 | |
The Goldman Sachs Group Inc. (1.54% fixed rate until 09/10/26; 0.82% + SOFR thereafter) | |||
1.54%, 09/10/27 (b) | 146,000 | 145,552 | |
The Goldman Sachs Group Inc. (1.99% fixed rate until 01/27/31; 1.09% + SOFR thereafter) | |||
1.99%, 01/27/32 (a)(b) | 101,000 | 98,077 | |
The Goldman Sachs Group Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) | |||
3.21%, 04/22/42 (b) | 55,000 | 57,552 |
See Notes to Schedule of Investments.
26 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | |||
3.81%, 04/23/29 (a)(b) | $94,000 | $105,114 | |
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | |||
4.02%, 10/31/38 (a)(b) | 40,000 | 46,901 | |
The Hartford Financial Services Group Inc. | |||
2.80%, 08/19/29 (a) | 52,000 | 54,784 | |
The Hartford Financial Services Group Inc. (2.28% fixed rate until 06/28/21; 2.13% + 3 month USD LIBOR thereafter) | |||
2.28%, 02/12/67 (a)(b)(f) | 77,000 | 74,194 | |
The Home Depot Inc. | |||
2.70%, 04/15/30 (a) | 43,000 | 46,008 | |
3.35%, 04/15/50 (a) | 37,000 | 40,945 | |
3.50%, 09/15/56 (a) | 17,000 | 19,214 | |
3.90%, 12/06/28 - 06/15/47 (a) | 53,000 | 62,304 | |
4.50%, 12/06/48 (a) | 31,000 | 40,296 | |
The Kroger Co. | |||
2.20%, 05/01/30 (a) | 33,000 | 33,189 | |
4.65%, 01/15/48 (a) | 10,000 | 12,260 | |
The Northwestern Mutual Life Insurance Co. | |||
3.45%, 03/30/51 (f) | 59,000 | 62,992 | |
The Southern Co. | |||
3.25%, 07/01/26 (a) | 6,000 | 6,509 | |
The Travelers Companies Inc. | |||
2.55%, 04/27/50 (a) | 89,000 | 85,763 | |
The Walt Disney Co. | |||
2.65%, 01/13/31 (a) | 52,000 | 54,611 | |
3.38%, 11/15/26 (a) | 5,000 | 5,514 | |
3.60%, 01/13/51 (a) | 31,000 | 35,136 | |
4.75%, 11/15/46 (a) | 3,000 | 3,905 | |
6.65%, 11/15/37 (a) | 26,000 | 39,300 | |
The Williams Companies Inc. | |||
3.75%, 06/15/27 (a) | 4,000 | 4,441 | |
4.85%, 03/01/48 (a) | 12,000 | 14,606 | |
4.90%, 01/15/45 (a) | 42,000 | 50,794 | |
5.40%, 03/04/44 (a) | 2,000 | 2,531 | |
Thermo Fisher Scientific Inc. | |||
4.13%, 03/25/25 (a) | 3,000 | 3,326 | |
4.50%, 03/25/30 (a) | 12,000 | 14,289 | |
Time Warner Cable LLC | |||
6.55%, 05/01/37 (a) | 14,000 | 19,036 | |
T-Mobile USA Inc. | |||
3.50%, 04/15/25 | 55,000 | 59,646 | |
3.75%, 04/15/27 | 81,000 | 89,512 | |
3.88%, 04/15/30 | 65,000 | 72,552 | |
4.50%, 04/15/50 | 32,000 | 38,067 | |
Total Capital International S.A. | |||
3.46%, 02/19/29 (a) | 43,000 | 47,944 | |
Trane Technologies Luxembourg Finance S.A. | |||
3.55%, 11/01/24 (a) | 26,000 | 28,078 | |
3.80%, 03/21/29 (a) | 52,000 | 58,700 | |
TransCanada PipeLines Ltd. | |||
4.25%, 05/15/28 (a) | 31,000 | 35,651 | |
4.88%, 01/15/26 (a) | 7,000 | 8,046 |
Principal Amount | Fair Value | ||
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | |||
5.63%, 05/20/75 (a)(b) | $85,000 | $91,865 | |
Transcontinental Gas Pipe Line Company LLC | |||
4.00%, 03/15/28 (a) | 13,000 | 14,721 | |
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | |||
4.80%, 12/31/99 (a)(b) | 83,000 | 88,095 | |
TSMC Global Ltd. | |||
0.75%, 09/28/25 (a)(f) | 247,000 | 241,951 | |
1.25%, 04/23/26 (f) | 291,000 | 289,365 | |
TWDC Enterprises 18 Corp. | |||
4.13%, 06/01/44 (a) | 3,000 | 3,614 | |
Tyco Electronics Group S.A. | |||
3.13%, 08/15/27 (a) | 23,000 | 24,812 | |
Tyson Foods Inc. | |||
4.00%, 03/01/26 (a) | 79,000 | 88,072 | |
4.55%, 06/02/47 (a) | 2,000 | 2,444 | |
UDR Inc. | |||
2.10%, 08/01/32 (a) | 44,000 | 42,279 | |
3.00%, 08/15/31 (a) | 21,000 | 22,067 | |
Union Pacific Corp. | |||
3.50%, 06/08/23 (a) | 31,000 | 32,805 | |
3.60%, 09/15/37 (a) | 5,000 | 5,598 | |
3.80%, 04/06/71 (f) | 21,000 | 23,261 | |
4.10%, 09/15/67 (a) | 17,000 | 19,809 | |
UnitedHealth Group Inc. | |||
2.00%, 05/15/30 (a) | 57,000 | 57,473 | |
4.45%, 12/15/48 (a) | 15,000 | 19,197 | |
4.75%, 07/15/45 (a) | 7,000 | 9,177 | |
Vale S.A. | |||
5.63%, 09/11/42 (a) | 19,000 | 23,769 | |
Valero Energy Corp. | |||
2.85%, 04/15/25 (a) | 43,000 | 45,593 | |
4.00%, 04/01/29 (a) | 21,000 | 23,448 | |
Ventas Realty LP | |||
3.25%, 10/15/26 (a) | 71,000 | 77,252 | |
VEREIT Operating Partnership LP | |||
2.85%, 12/15/32 (a) | 36,000 | 37,650 | |
Verizon Communications Inc. | |||
1.45%, 03/20/26 | 115,000 | 116,063 | |
2.10%, 03/22/28 | 85,000 | 86,800 | |
2.55%, 03/21/31 | 80,000 | 81,852 | |
3.00%, 03/22/27 (a) | 246,000 | 264,553 | |
3.40%, 03/22/41 | 60,000 | 63,554 | |
3.55%, 03/22/51 | 43,000 | 45,948 | |
3.70%, 03/22/61 | 55,000 | 58,989 | |
4.40%, 11/01/34 (a) | 194,000 | 231,329 | |
4.52%, 09/15/48 (a) | 34,000 | 41,970 | |
4.67%, 03/15/55 (a) | 47,000 | 60,726 | |
5.25%, 03/16/37 (a) | 13,000 | 17,148 | |
ViacomCBS Inc. | |||
2.90%, 01/15/27 (a) | 16,000 | 17,013 | |
3.70%, 06/01/28 (a) | 31,000 | 34,501 | |
5.25%, 04/01/44 (a) | 2,000 | 2,557 | |
Virginia Electric & Power Co. | |||
4.00%, 11/15/46 (a) | 34,000 | 39,971 | |
Visa Inc. | |||
2.00%, 08/15/50 (a) | 22,000 | 19,445 | |
2.05%, 04/15/30 (a) | 36,000 | 37,032 | |
2.70%, 04/15/40 (a) | 38,000 | 39,306 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 27 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
Viterra Finance BV | |||
2.00%, 04/21/26 (f) | $230,000 | $230,306 | |
Vodafone Group PLC | |||
4.38%, 05/30/28 (a) | 39,000 | 45,367 | |
5.25%, 05/30/48 (a) | 18,000 | 23,595 | |
Volkswagen Group of America Finance LLC | |||
1.63%, 11/24/27 (a)(f) | 201,000 | 198,600 | |
Vontier Corp. | |||
2.40%, 04/01/28 (a)(f) | 116,000 | 115,154 | |
2.95%, 04/01/31 (a)(f) | 90,000 | 90,348 | |
Vornado Realty LP | |||
2.15%, 06/01/26 | 105,000 | 106,511 | |
3.40%, 06/01/31 | 40,000 | 41,246 | |
3.50%, 01/15/25 (a) | 14,000 | 14,903 | |
Vulcan Materials Co. | |||
3.90%, 04/01/27 (a) | 12,000 | 13,522 | |
Walgreens Boots Alliance Inc. | |||
4.10%, 04/15/50 (a) | 5,000 | 5,510 | |
Walmart Inc. | |||
3.63%, 12/15/47 (a) | 12,000 | 14,076 | |
3.70%, 06/26/28 (a) | 24,000 | 27,321 | |
3.95%, 06/28/38 (a) | 24,000 | 28,836 | |
4.05%, 06/29/48 (a) | 34,000 | 42,779 | |
WEC Energy Group Inc. | |||
3.55%, 06/15/25 (a) | 25,000 | 27,255 | |
Wells Fargo & Co. | |||
4.15%, 01/24/29 (a) | 66,000 | 75,957 | |
4.75%, 12/07/46 (a) | 98,000 | 123,861 | |
Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | |||
1.65%, 06/02/24 (a)(b) | 55,000 | 56,184 | |
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | |||
2.39%, 06/02/28 (a)(b) | 349,000 | 361,885 | |
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | |||
3.07%, 04/30/41 (a)(b) | 77,000 | 78,959 | |
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | |||
3.20%, 06/17/27 (a)(b) | 402,000 | 434,244 | |
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | |||
5.88%, 12/29/49 (b) | 117,000 | 131,303 | |
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) | 33,000 | 34,233 | |
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) | 26,000 | 28,538 | |
Willis North America Inc. | |||
3.60%, 05/15/24 (a) | 75,000 | 80,656 | |
3.88%, 09/15/49 (a) | 36,000 | 40,725 | |
WPP Finance 2010 | |||
3.75%, 09/19/24 (a) | 19,000 | 20,690 | |
WRKCo Inc. | |||
3.00%, 09/15/24 (a) | 19,000 | 20,151 |
Principal Amount | Fair Value | ||
Xcel Energy Inc. | |||
3.40%, 06/01/30 (a) | $44,000 | $48,347 | |
Zoetis Inc. | |||
3.00%, 09/12/27 (a) | 5,000 | 5,399 | |
3.90%, 08/20/28 (a) | 17,000 | 19,359 | |
55,400,679 | |||
Non-Agency Collateralized Mortgage Obligations - 8.6% | |||
BANK 2017-BNK7 | |||
3.18%, 09/15/60 (a) | 1,168,000 | 1,263,454 | |
BANK 2018-BNK15 | |||
4.41%, 11/15/61 (a)(b) | 487,000 | 569,179 | |
Benchmark 2019-B12 Mortgage Trust | |||
3.12%, 08/15/52 (a) | 140,000 | 152,469 | |
Benchmark 2019-B9 Mortgage Trust | |||
4.02%, 03/15/52 (a) | 1,000,000 | 1,145,590 | |
Cantor Commercial Real Estate Lending 2019-CF3 | |||
3.01%, 01/15/53 (a) | 222,000 | 239,154 | |
CD 2019-CD8 Mortgage Trust | |||
2.91%, 08/15/57 (a) | 827,000 | 882,125 | |
CFCRE Commercial Mortgage Trust 2016-C7 | |||
4.56%, 12/10/54 (a)(b) | 160,000 | 158,714 | |
Citigroup Commercial Mortgage Trust 2015-GC35 | |||
4.63%, 11/10/48 (a)(b) | 278,000 | 267,844 | |
Citigroup Commercial Mortgage Trust 2015-P1 | |||
3.72%, 09/15/48 (a) | 717,000 | 786,178 | |
Citigroup Commercial Mortgage Trust 2016-P6 | |||
3.72%, 12/10/49 (a)(b) | 126,803 | 141,022 | |
COMM 2012-CCRE3 Mortgage Trust | |||
3.92%, 10/15/45 (a)(f) | 107,000 | 106,138 | |
CSAIL 2015-C3 Commercial Mortgage Trust | |||
4.27%, 08/15/48 (a)(b) | 365,943 | 386,266 | |
CSAIL 2016-C7 Commercial Mortgage Trust | |||
4.48%, 11/15/49 (a)(b) | 267,000 | 293,551 | |
GS Mortgage Securities Trust 2012-GCJ9 | |||
2.08%, 11/10/45 (a)(b)(d) | 668,840 | 11,679 | |
GS Mortgage Securities Trust 2014-GC22 | |||
4.85%, 06/10/47 (a)(b) | 174,000 | 181,175 | |
GS Mortgage Securities Trust 2014-GC24 | |||
4.65%, 09/10/47 (a)(b) | 211,000 | 222,657 | |
GS Mortgage Securities Trust 2015-GS1 | |||
4.57%, 11/10/48 (a)(b) | 213,000 | 187,425 | |
GS Mortgage Securities Trust 2016-GS3 | |||
2.85%, 10/10/49 (a) | 379,000 | 404,214 | |
GS Mortgage Securities Trust 2019-GC42 | |||
2.75%, 09/01/52 (a) | 773,000 | 811,386 | |
GS Mortgage Securities Trust 2019-GSA1 | |||
3.05%, 11/10/52 (a) | 1,526,000 | 1,648,086 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | |||
1.63%, 12/15/47 (a)(b)(d) | 567,668 | 9,230 |
See Notes to Schedule of Investments.
28 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
Principal Amount | Fair Value | ||
JPMBB Commercial Mortgage Securities Trust 2015-C32 | |||
4.80%, 11/15/48 (a)(b) | $494,000 | $414,685 | |
MASTR Alternative Loan Trust 2003-5 | |||
5.00%, 08/25/18 (a)(d) | 1,094 | 12 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | |||
4.26%, 02/15/46 (a)(b) | 223,000 | 216,422 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | |||
1.01%, 03/15/48 (a)(b)(d) | 3,428,672 | 86,898 | |
Morgan Stanley Capital I Trust 2016-UBS12 | |||
4.03%, 12/15/49 (a)(b) | 227,000 | 223,657 | |
UBS-Barclays Commercial Mortgage Trust 2013-C6 | |||
3.88%, 04/10/46 (a)(b)(f) | 535,000 | 544,519 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | |||
4.32%, 08/15/50 (a) | 534,000 | 511,892 | |
Wells Fargo Commercial Mortgage Trust 2015-C26 | |||
1.35%, 02/15/48 (a)(b)(d) | 2,650,233 | 98,609 | |
WFRBS Commercial Mortgage Trust 2012-C10 | |||
3.74%, 12/15/45 (a) | 140,000 | 134,462 | |
WFRBS Commercial Mortgage Trust 2014-LC14 | |||
4.35%, 03/15/47 (a)(b) | 544,000 | 585,825 | |
12,684,517 | |||
Sovereign Bonds - 0.6% | |||
Government of Chile | |||
2.55%, 01/27/32 (a) | 203,000 | 207,446 | |
Government of Mexico | |||
4.60%, 02/10/48 (a) | 202,000 | 217,081 | |
Government of Peru | |||
1.86%, 12/01/32 (a) | 75,000 | 69,671 | |
2.78%, 12/01/60 (a) | 125,000 | 111,376 | |
5.63%, 11/18/50 (a) | 113,000 | 155,749 |
Principal Amount | Fair Value | ||
Government of Uruguay | |||
5.10%, 06/18/50 (a) | $117,568 | $153,987 | |
915,310 | |||
Municipal Bonds and Notes - 0.4% | |||
American Municipal Power Inc. | |||
6.27%, 02/15/50 | 105,000 | 148,011 | |
Board of Regents of the University of Texas System | |||
3.35%, 08/15/47 | 95,000 | 108,490 | |
State of California | |||
4.60%, 04/01/38 | 165,000 | 192,909 | |
State of Illinois | |||
5.10%, 06/01/33 | 100,000 | 117,584 | |
566,994 | |||
Total Bonds and Notes (Cost $136,306,180) | 139,575,462 |
Number of Shares | ||
Domestic Equity - 0.2% | ||
Preferred Stock - 0.2% | ||
Wells Fargo & Co. 5.85%, 3.09% + 3 month USD LIBOR (Cost $214,450) (b) | 8,578 | 236,324 |
Total Investments in Securities (Cost $136,520,630) | 139,811,786 | |
Short-Term Investments - 9.9% | ||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.03% (h)(i) (Cost $14,686,633) | 14,686,633 | 14,686,633 |
Total Investments (Cost $151,207,263) | 154,498,419 | |
Liabilities in Excess of Other Assets, net - (4.6)% | (6,843,439) | |
NET ASSETS - 100.0% | $147,654,980 |
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) | |||||||
Sell Protection | ||||||||||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | $2,695 | 5.00%/ Quarterly | 06/20/25 | $266,892 | $(133,658) | $400,550 |
The Fund had the following long futures contracts open at June 30, 2021: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
U.S. Long Bond Futures | September 2021 | 17 | $2,670,688 | $2,732,751 | $62,063 | |||||
2 Yr. U.S. Treasury Notes Futures | September 2021 | 87 | 19,200,667 | 19,167,867 | (32,800) | |||||
Ultra Long-Term U.S. Treasury Bond Futures | September 2021 | 21 | 3,910,617 | 4,046,437 | 135,820 | |||||
$165,083 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 29 |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
The Fund had the following short futures contracts open at June 30, 2021: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
10 Yr. U.S. Treasury Ultra Futures | September 2021 | 37 | $(5,352,303) | $(5,446,515) | $(94,212) | |||||
10 Yr. U.S. Treasury Notes Futures | September 2021 | 62 | (8,167,417) | (8,215,001) | (47,584) | |||||
5 Yr. U.S. Treasury Notes Futures | September 2021 | 25 | (3,086,557) | (3,085,742) | 815 | |||||
$(140,981) | ||||||||||
$24,102 |
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | At June 30, 2021, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at June 30, 2021. 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) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021, these securities amounted to $8,460,525 or 5.73% of the net assets of the State Street Active Core Bond Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Trustees. |
(g) | Step coupon bond. |
(h) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(i) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of June 30, 2021. |
** | Amount is less than $0.50. |
Abbreviations: |
CMT - Constant Maturity Treasury |
LIBOR - London Interbank Offered Rate |
REMIC - Real Estate Mortgage Investment Conduit |
SOFR - Secured Overnight Financing Rate |
STRIPS - Separate Trading of Registered Interest and Principal of Security |
See Notes to Schedule of Investments.
30 | State Street Active Core Bond Fund |
State Street Active Core Bond Fund
Schedule of Investments
June 30, 2021 (Unaudited)
TBA - To Be Announced |
The following table presents the Fund’s investments measured at fair value on a recurring basis at June 30, 2021:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
U.S. Treasuries | $— | $35,994,704 | $— | $35,994,704 | ||||
Agency Mortgage Backed | — | 32,006,086 | — | 32,006,086 | ||||
Agency Collateralized Mortgage Obligations | — | 605,682 | — | 605,682 | ||||
Asset Backed | — | 1,401,490 | — | 1,401,490 | ||||
Corporate Notes | — | 55,400,679 | — | 55,400,679 | ||||
Non-Agency Collateralized Mortgage Obligations | — | 12,684,517 | — | 12,684,517 | ||||
Sovereign Bonds | — | 915,310 | — | 915,310 | ||||
Municipal Bonds and Notes | — | 566,994 | — | 566,994 | ||||
Preferred Stock | 236,324 | — | — | 236,324 | ||||
Short-Term Investments | 14,686,633 | — | — | 14,686,633 | ||||
Total Investments in Securities | $14,922,957 | $139,575,462 | $— | $154,498,419 | ||||
Other Financial Instruments | ||||||||
Credit Default Swap Contracts - Unrealized Appreciation | — | 400,550 | — | 400,550 | ||||
Long Futures Contracts - Unrealized Appreciation | 197,883 | — | — | 197,883 | ||||
Long Futures Contracts - Unrealized Depreciation | (32,800) | — | — | (32,800) | ||||
Short Futures Contracts - Unrealized Appreciation | 815 | — | — | 815 | ||||
Short Futures Contracts - Unrealized Depreciation | (141,796) | — | — | (141,796) | ||||
Total Other Financial Instruments | $24,102 | $400,550 | $— | $424,652 |
Affiliate Table |
Number of Shares Held at 9/30/20 | Value at 9/30/20 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 6/30/21 | Value at 6/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 9,155,711 | $9,155,711 | $69,222,636 | $63,691,714 | $— | $— | 14,686,633 | $14,686,633 | $5,085 |
See Notes to Schedule of Investments.
State Street Active Core Bond Fund | 31 |
State Street Institutional Funds
Notes to Schedule of Investments
June 30, 2021 (Unaudited)
Security Valuation
Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (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.
•Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
•Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board.
•Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.
•Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices.
•Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
•Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments.
In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
The Funds utilize various methods to measure the fair value of most of its investments on a recurring basis. U.S. generally accepted accounting principles (“U.S. GAAP”) establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.
Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:
32
State Street Institutional Funds
Notes to Schedule of Investments
June 30, 2021 (Unaudited)
•Level 1 — Quoted prices for identical investments in active markets.
•Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable.
•Level 3 — Significant inputs to the valuation model are unobservable.
The value of each Fund's investments according to the fair value hierarchy as of June 30, 2021 is disclosed in each Fund's respective Schedule of Investments.
Futures Contracts
Certain Funds may enter into futures contracts to meet the Funds' 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. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2021 the following Funds entered into futures contracts for strategies listed below:
Funds | Strategies | |
State Street Institutional U.S. Equity Fund | Equitization of Cash | |
State Street Institutional Premier Growth Equity Fund | Equitization of Cash | |
State Street Institutional Small-Cap Equity Fund | Equitization of Cash | |
State Street Institutional International Equity Fund | Equitization of Cash | |
State Street Active Core Bond Fund | Management of Interest Rate Risk | |
Credit Default Swaps
During the period ended June 30, 2021, the State Street Active Core Bond 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.
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State Street Institutional Funds
Notes to Schedule of Investments
June 30, 2021 (Unaudited)
Interest Rate Swaps
Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
During the period ended June 30, 2021, the State Street Active Core Bond Fund entered into interest rate swaps in order to manage interest rate risk.
Delayed Delivery Transactions and When-Issued Securities
During the period, the State Street Active Core Bond 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 whenissued basis are identified as such in the Fund’s Schedule of Investments. The 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 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 Active Core Bond 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 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 a 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. A 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 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 Fund will enter into TBA transactions only with established counterparties. The Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
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