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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04041
STATE STREET VARIABLE INSURANCE SERIES FUNDS, INC.
(Exact name of registrant as specified in charter)
One Iron Street
Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Table of Contents
Item 1. Shareholder Reports.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not Applicable |
Table of Contents
Annual Report
December 31, 2020
State Street U.S. Equity V.I.S. Fund
Table of Contents
State Street U.S. Equity V.I.S Fund
Annual Report
December 31, 2020
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
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State Street U.S. Equity V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance pages relates to the State Street U.S. Equity V.I.S. Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance. The results shown for the foregoing index assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise the index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
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State Street U.S. Equity V.I.S. Fund
Management Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street U.S. Equity V.I.S. Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was 22.64%, and the Index was 18.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
After the COVID-driven market plunge early in 2020, the market recovered strongly finishing the year up significantly for the full year. The Fund outperformed the Index during the Reporting Period. In a volatile year, the Fund outperformed in eight of eleven sectors and had seven different industries represented in the top 10 stock contributors, a testament to strong stock-picks across the research and Portfolio Management team. The primary drivers of the outperformance came from stock selection in the consumer discretionary and financials sectors, while healthcare holdings detracted from performance. In consumer discretionary, long-time Fund holding Amazon.com was a key beneficiary of pandemic driven lockdowns, which drove an increase in online spending. In addition, the Fund’s holdings in higher quality retailers like Lowes and Ross Stores did well in the market recovery. The Fund also largely avoided the worst-hit consumer segments such as cruise lines. Bank stocks were particularly weak during the Reporting Period as they were impacted by falling rates and economic headwinds. The Fund is overweight banks but has exposure to the specialty regional bank, First Republic Bank, which significantly outperformed the weak performing major banks. The positive financials attribution was also helped by significant outperformance of holdings in S&P Global, MSCI and TradeWeb Markets. In healthcare, Merck and Boston Scientific dragged on performance. Both companies were negatively impacted by COVID-19 as they experienced pandemic related declines across drugs and medical device sales that we would expect to recover as pent-up demand for these products return. Within healthcare, these negatives were offset by a positive contribution from Gilead, which benefited from the COVID-19 treatment Remdesivir.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Amazon.com, Apple, and Microsoft. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Schlumberger, Chevron, and JPMorgan Chase.
The Fund used futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of futures had a negligible impact on Fund performance.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street U.S. Equity V.I.S. Fund |
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State Street U.S. Equity V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
July 1, 2020 - December 31, 2020 | ||||||||
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,102.30 | $ | 1,020.82 | ||||
Expenses paid during the period* | $ | 4.61 | $ | 4.43 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.82%** (for the period July 1, 2020 - December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street U.S. Equity V.I.S. Fund | 3 |
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State Street U.S. Equity V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Microsoft Corp. | 5.67 | % | ||
Apple Inc. | 5.39 | % | ||
Amazon.com Inc. | 4.88 | % | ||
JPMorgan Chase & Co. | 2.87 | % | ||
Alphabet Inc., Class A | 2.85 | % | ||
Facebook Inc., Class A | 2.48 | % | ||
Visa Inc., Class A | 2.40 | % | ||
The Walt Disney Co. | 1.94 | % | ||
QUALCOMM Inc. | 1.93 | % | ||
Merck & Company Inc. | 1.92 | % |
Sector Allocation as of December 31, 2020
Portfolio Composition as a % of Fair Value of $27,715 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return for the periods ended December 31, 2020
Class I Shares (Inception date 1/3/95)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street U.S. Equity V.I.S. Fund | 22.64 | % | 15.40 | % | 13.00 | % | $ | 33,942 | ||||||||
S&P 500® Index | 18.40 | % | 15.22 | % | 13.89 | % | $ | 36,700 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street U.S. Equity V.I.S. Fund |
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State Street U.S. Equity V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street U.S. Equity V.I.S. Fund | 5 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 97.8%† |
| |||||||
Aerospace & Defense - 0.5% |
| |||||||
Raytheon Technologies Corp. | 2,063 | 147,524 | ||||||
|
| |||||||
Air Freight & Logistics - 0.5% |
| |||||||
United Parcel Service Inc., Class B | 832 | 140,109 | ||||||
|
| |||||||
Apparel Retail - 1.3% | ||||||||
Ross Stores Inc. | 2,853 | 350,377 | ||||||
|
| |||||||
Application Software - 2.1% |
| |||||||
Adobe Inc. (a) | 419 | 209,550 | ||||||
Intuit Inc. | 146 | 55,458 | ||||||
salesforce.com Inc. (a) | 1,165 | 259,248 | ||||||
Splunk Inc. (a) | 339 | 57,593 | ||||||
|
| |||||||
581,849 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.3% |
| |||||||
The Blackstone Group Inc., Class A | 1,423 | 92,225 | ||||||
|
| |||||||
Automotive Retail - 0.5% | ||||||||
O’Reilly Automotive Inc. (a) | 317 | 143,465 | ||||||
|
| |||||||
Biotechnology - 1.0% | ||||||||
BioMarin Pharmaceutical Inc. (a) | 1,517 | 133,026 | ||||||
Vertex Pharmaceuticals Inc. (a) | 571 | 134,950 | ||||||
|
| |||||||
267,976 | ||||||||
|
| |||||||
Building Products - 1.4% | ||||||||
Allegion PLC | 456 | 53,069 | ||||||
Trane Technologies PLC | 2,290 | 332,417 | ||||||
|
| |||||||
385,486 | ||||||||
|
| |||||||
Cable & Satellite - 1.6% | ||||||||
Charter Communications Inc., Class A (a) | 410 | 271,236 | ||||||
Comcast Corp., Class A | 3,561 | 186,596 | ||||||
|
| |||||||
457,832 | ||||||||
|
| |||||||
Construction Materials - 0.9% |
| |||||||
Martin Marietta Materials Inc. | 917 | 260,401 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 4.1% |
| |||||||
Fidelity National Information Services Inc. | 797 | 112,744 | ||||||
Mastercard Inc., Class A | 862 | 307,682 | ||||||
PayPal Holdings Inc. (a) | 165 | 38,643 | ||||||
Visa Inc., Class A | 3,042 | 665,377 | ||||||
|
| |||||||
1,124,446 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Diversified Banks - 2.9% | ||||||||
JPMorgan Chase & Co. | 6,257 | 795,077 | ||||||
|
| |||||||
Diversified Support Services - 0.3% |
| |||||||
Cintas Corp. | 268 | 94,727 | ||||||
|
| |||||||
Electric Utilities - 1.0% | ||||||||
American Electric Power Company Inc. | 160 | 13,323 | ||||||
NextEra Energy Inc. | 3,422 | 264,008 | ||||||
|
| |||||||
277,331 | ||||||||
|
| |||||||
Electronic Components - 2.4% |
| |||||||
Amphenol Corp., Class A | 2,153 | 281,548 | ||||||
Corning Inc. | 10,736 | 386,496 | ||||||
|
| |||||||
668,044 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.6% |
| |||||||
Keysight Technologies Inc. (a) | 1,262 | 166,698 | ||||||
|
| |||||||
Environmental & Facilities Services - 1.0% |
| |||||||
Waste Management Inc. | 2,415 | 284,801 | ||||||
|
| |||||||
Financial Exchanges & Data - 2.2% |
| |||||||
CME Group Inc. | 1,653 | 300,929 | ||||||
MSCI Inc. | 116 | 51,797 | ||||||
S&P Global Inc. | 587 | 192,965 | ||||||
Tradeweb Markets Inc., Class A | 894 | 55,830 | ||||||
|
| |||||||
601,521 | ||||||||
|
| |||||||
Footwear - 0.8% | ||||||||
NIKE Inc., Class B | 1,669 | 236,113 | ||||||
|
| |||||||
Healthcare Equipment - 3.3% |
| |||||||
Becton Dickinson & Co. | 830 | 207,683 | ||||||
Boston Scientific Corp. (a) | 14,217 | 511,101 | ||||||
Medtronic PLC | 1,803 | 211,203 | ||||||
|
| |||||||
929,987 | ||||||||
|
| |||||||
Healthcare Facilities - 0.6% |
| |||||||
HCA Healthcare Inc. | 962 | 158,211 | ||||||
|
| |||||||
Healthcare Services - 0.9% |
| |||||||
Cigna Corp. | 886 | 184,447 | ||||||
Quest Diagnostics Inc. | 527 | 62,803 | ||||||
|
| |||||||
247,250 | ||||||||
|
| |||||||
Home Improvement Retail - 1.8% |
| |||||||
Lowe’s Companies Inc. | 2,565 | 411,708 | ||||||
The Home Depot Inc. | 315 | 83,670 | ||||||
|
| |||||||
495,378 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street U.S. Equity V.I.S. Fund |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Hotels, Resorts & Cruise Lines - 0.2% |
| |||||||
Marriott International Inc., Class A | 458 | 60,419 | ||||||
|
| |||||||
Household Products - 1.6% |
| |||||||
Colgate-Palmolive Co. | 1,443 | 123,391 | ||||||
The Procter & Gamble Co. | 2,261 | 314,595 | ||||||
|
| |||||||
437,986 | ||||||||
|
| |||||||
Hypermarkets & Super Centers - 0.5% |
| |||||||
Walmart Inc. | 987 | 142,276 | ||||||
|
| |||||||
Industrial Conglomerates - 2.3% |
| |||||||
Honeywell International Inc. | 2,300 | 489,210 | ||||||
Roper Technologies Inc. | 336 | 144,846 | ||||||
|
| |||||||
634,056 | ||||||||
|
| |||||||
Industrial Gases - 0.9% | ||||||||
Air Products & Chemicals Inc. | 908 | 248,084 | ||||||
|
| |||||||
Industrial Machinery - 0.5% |
| |||||||
Xylem Inc. | 1,283 | 130,597 | ||||||
|
| |||||||
Insurance Brokers - 0.3% | ||||||||
Marsh & McLennan Companies Inc. | 686 | 80,262 | ||||||
|
| |||||||
Integrated Oil & Gas - 0.7% |
| |||||||
Chevron Corp. | 1,530 | 129,208 | ||||||
Exxon Mobil Corp. | 1,875 | 77,288 | ||||||
|
| |||||||
206,496 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.4% |
| |||||||
AT&T Inc. | 3,453 | 99,308 | ||||||
|
| |||||||
Interactive Home Entertainment - 0.3% |
| |||||||
Activision Blizzard Inc. | 835 | 77,530 | ||||||
|
| |||||||
Interactive Media & Services - 6.7% |
| |||||||
Alphabet Inc., Class A (a) | 451 | 790,441 | ||||||
Alphabet Inc., Class C (a) | 210 | 367,895 | ||||||
Facebook Inc., Class A (a) | 2,521 | 688,636 | ||||||
|
| |||||||
1,846,972 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.9% |
| |||||||
Amazon.com Inc. (a,b) | 415 | 1,351,626 | ||||||
|
| |||||||
IT Consulting & Other Services - 0.4% |
| |||||||
Accenture PLC, Class A | 414 | 108,141 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.1% |
| |||||||
IQVIA Holdings Inc. (a) | 1,784 | 319,639 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Managed Healthcare - 1.7% |
| |||||||
Centene Corp. (a) | 4,201 | 252,186 | ||||||
UnitedHealth Group Inc. | 631 | 221,279 | ||||||
|
| |||||||
473,465 | ||||||||
|
| |||||||
Movies & Entertainment - 2.3% |
| |||||||
Netflix Inc. (a) | 180 | 97,331 | ||||||
The Walt Disney Co. (a) | 2,971 | 538,286 | ||||||
|
| |||||||
635,617 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.2% |
| |||||||
American International Group Inc. | 1,851 | 70,079 | ||||||
|
| |||||||
Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 1,320 | 306,068 | ||||||
|
| |||||||
Multi-Utilities - 2.0% | ||||||||
CMS Energy Corp. | 1,921 | 117,200 | ||||||
Sempra Energy | 3,353 | 427,206 | ||||||
|
| |||||||
544,406 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.5% |
| |||||||
Schlumberger N.V. | 6,803 | 148,509 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.9% |
| |||||||
ConocoPhillips | 4,550 | 181,954 | ||||||
Pioneer Natural Resources Co. | 664 | 75,623 | ||||||
|
| |||||||
257,577 | ||||||||
|
| |||||||
Packaged Foods & Meats - 1.4% |
| |||||||
Mondelez International Inc., Class A | 6,596 | 385,668 | ||||||
|
| |||||||
Personal Products - 0.4% | ||||||||
The Estee Lauder Companies Inc., Class A | 451 | 120,052 | ||||||
|
| |||||||
Pharmaceuticals - 4.7% | ||||||||
Bristol-Myers Squibb Co. | 3,174 | 196,883 | ||||||
Elanco Animal Health Inc. (a) | 9,407 | 288,513 | ||||||
Johnson & Johnson | 1,014 | 159,583 | ||||||
Merck & Company Inc. | 6,489 | 530,800 | ||||||
Viatris Inc. (a) | 6,262 | 117,350 | ||||||
|
| |||||||
1,293,129 | ||||||||
|
| |||||||
Property & Casualty Insurance - 1.3% |
| |||||||
Chubb Ltd. | 2,092 | 322,000 | ||||||
The Progressive Corp. | 419 | 41,431 | ||||||
|
| |||||||
363,431 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street U.S. Equity V.I.S. Fund | 7 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Railroads - 0.7% | ||||||||
Union Pacific Corp. | 915 | 190,521 | ||||||
|
| |||||||
Regional Banks - 3.1% | ||||||||
First Republic Bank | 2,988 | 439,027 | ||||||
Regions Financial Corp. | 13,993 | 225,567 | ||||||
SVB Financial Group (a) | 522 | 202,447 | ||||||
|
| |||||||
867,041 | ||||||||
|
| |||||||
Restaurants - 0.9% | ||||||||
Domino’s Pizza Inc. | 173 | 66,338 | ||||||
McDonald’s Corp. | 815 | 174,883 | ||||||
|
| |||||||
241,221 | ||||||||
|
| |||||||
Semiconductor Equipment - 1.8% |
| |||||||
Applied Materials Inc. | 5,707 | 492,514 | ||||||
|
| |||||||
Semiconductors - 4.4% | ||||||||
Intel Corp. | 637 | 31,735 | ||||||
NVIDIA Corp. | 627 | 327,419 | ||||||
QUALCOMM Inc. | 3,510 | 534,714 | ||||||
Texas Instruments Inc. | 2,050 | 336,467 | ||||||
|
| |||||||
1,230,335 | ||||||||
|
| |||||||
Soft Drinks - 1.6% | ||||||||
PepsiCo Inc. | 3,008 | 446,086 | ||||||
|
| |||||||
Specialized REITs - 1.2% | ||||||||
American Tower Corp. | 1,454 | 326,365 | ||||||
|
| |||||||
Specialty Chemicals - 0.7% |
| |||||||
DuPont de Nemours Inc. | 1,873 | 133,189 | ||||||
Ecolab Inc. | 291 | 62,961 | ||||||
|
| |||||||
196,150 | ||||||||
|
| |||||||
Specialty Stores - 0.1% | ||||||||
Tractor Supply Co. | 112 | 15,745 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Systems Software - 7.0% | ||||||||
Microsoft Corp. | 7,064 | 1,571,175 | ||||||
Oracle Corp. | 2,725 | 176,280 | ||||||
ServiceNow Inc. (a) | 341 | 187,697 | ||||||
|
| |||||||
1,935,152 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 5.4% |
| |||||||
Apple Inc. | 11,260 | 1,494,089 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.2% |
| |||||||
United Rentals Inc. (a) | 1,468 | 340,444 | ||||||
|
| |||||||
Trucking - 0.1% | ||||||||
Lyft Inc., Class A (a) | 330 | 16,213 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.3% |
| |||||||
T-Mobile US Inc. (a) | 682 | 91,968 | ||||||
|
| |||||||
Total Common Stock (Cost $16,311,185) |
| 27,132,065 | ||||||
|
| |||||||
Short-Term Investments - 2.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | 582,660 | 582,660 | ||||||
|
| |||||||
Total Investments (Cost $16,893,845) |
| 27,714,725 | ||||||
Other Assets and Liabilities, net - 0.1% |
| 14,266 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 27,728,991 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | March 2021 | 2 | $ | 369,129 | $ | 374,880 | $ | 5,751 | ||||||||||||
|
|
During the year ended December 31, 2020, average notional values related to long futures contracts and short contracts were $377,394 and $11,350, respectively.
See Notes to Schedule of Investments and Notes to Financial Statements.
8 | State Street U.S. Equity V.I.S. Fund |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of December 31, 2020. |
Abbreviations:
REIT Real Estate Investment Trust
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities |
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Common Stock | $ | 27,132,065 | $ | — | $ | — | $ | 27,132,065 | ||||||||
Short-Term Investments | 582,660 | — | — | 582,660 | ||||||||||||
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Total Investments in Securities | $ | 27,714,725 | $ | — | $ | — | $ | 27,714,725 | ||||||||
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Other Financial Instruments |
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Long Futures Contracts - Unrealized Appreciation | $ | 5,751 | $ | — | $ | — | $ | 5,751 | ||||||||
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Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 760,740 | $ | 760,740 | $ | 4,997,344 | $ | 5,175,424 | $ | — | $ | — | 582,660 | $ | 582,660 | $ | 2,560 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street U.S. Equity V.I.S. Fund | 9 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 1/3/95 | |||||||||||||||||||
Net asset value, beginning of period | $ | 46.97 | $ | 38.07 | $ | 44.20 | $ | 42.02 | $ | 42.25 | ||||||||||
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Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.27 | (a) | 0.33 | (a) | 0.37 | (a) | 0.35 | (a) | 0.55 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 10.34 | 11.78 | (1.90 | ) | 8.03 | 3.41 | ||||||||||||||
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Total income/(loss) from investment operations | 10.61 | 12.11 | (1.53 | ) | 8.38 | 3.96 | ||||||||||||||
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Less distributions from: |
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Net investment income | 0.27 | 0.32 | 0.41 | 0.38 | 0.54 | |||||||||||||||
Net realized gains | 4.03 | 2.89 | 4.19 | 5.82 | 3.65 | |||||||||||||||
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Total distributions | 4.30 | 3.21 | 4.60 | 6.20 | 4.19 | |||||||||||||||
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Net asset value, end of period | $ | 53.28 | $ | 46.97 | $ | 38.07 | $ | 44.20 | $ | 42.02 | ||||||||||
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Total Return(b) | 22.64 | % | 31.77 | % | (3.40 | )% | 19.91 | % | 9.31 | % | ||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (in thousands) | $ | 27,729 | $ | 25,951 | $ | 23,473 | $ | 28,308 | $ | 27,336 | ||||||||||
Ratios to average net assets: |
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Net expenses | 0.86 | % | 0.88 | % | 0.80 | % | 0.85 | % | 0.83 | % | ||||||||||
Gross expenses | 0.86 | % | 0.88 | % | 0.80 | % | 0.85 | % | 0.83 | % | ||||||||||
Net investment income | 0.56 | % | 0.74 | % | 0.81 | % | 0.75 | % | 1.16 | % | ||||||||||
Portfolio turnover rate | 38 | % | 31 | % | 41 | % | 80 | % | 37 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
10 | Financial Highlights |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $16,311,185) | $ | 27,132,065 | ||
Short-term affiliated investments, at fair value | 582,660 | |||
Net cash collateral on deposit with broker for future contracts | 32,955 | |||
Income receivables | 29,305 | |||
Receivable for fund shares sold | 398 | |||
Income receivable from affiliated investments | 25 | |||
Receivable for accumulated variation margin on futures contracts | 5,755 | |||
Other assets | 168 | |||
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Total assets | 27,783,331 | |||
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Liabilities | ||||
Payable for fund shares redeemed | 4,125 | |||
Payable to the Adviser | 12,774 | |||
Payable for custody, fund accounting and sub-administration fees | 3,444 | |||
Accrued other expenses | 33,997 | |||
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Total liabilities | 54,340 | |||
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Net Assets | $ | 27,728,991 | ||
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Net Assets Consist of: | ||||
Capital paid in | $ | 16,591,274 | ||
Total distributable earnings (loss) | 11,137,717 | |||
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Net Assets | $ | 27,728,991 | ||
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Shares outstanding ($0.01 par value; unlimited shares authorized) | 520,429 | |||
Net asset value per share | $ | 53.28 |
The accompanying Notes are an integral part of these financial statements.
Statement of Assets and Liabilities | 11 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
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Income |
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Dividend | $ | 352,465 | ||
Income from affiliated investments | 2,560 | |||
Less: Foreign taxes withheld | (6 | ) | ||
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Total income | 355,019 | |||
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Expenses |
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Advisory and administration fees | 137,487 | |||
Directors’ fees | 18,868 | |||
Custody, fund accounting and sub-administration fees | 20,704 | |||
Professional fees | 31,400 | |||
Printing and shareholder reports | 5,589 | |||
Other expenses | 1,986 | |||
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Total Expenses | 216,034 | |||
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Net investment income | $ | 138,985 | ||
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Net Realized and Unrealized Gain (Loss) on Investments |
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Realized gain (loss) on: |
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Unaffiliated investments | $ | 1,744,138 | ||
Futures | 192,022 | |||
Increase (decrease) in unrealized appreciation/depreciation on: |
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Unaffiliated investments | 3,111,305 | |||
Futures | (4,517 | ) | ||
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Net realized and unrealized gain (loss) on investments | 5,042,948 | |||
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Net Increase in Net Assets Resulting from Operations | $ | 5,181,933 | ||
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The accompanying Notes are an integral part of these financial statements.
12 | Statement of Operations |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
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Operations: |
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Net investment income | $ | 138,985 | $ | 189,310 | ||||
Net realized gain (loss) on investments and futures | 1,936,160 | 1,697,606 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 3,106,788 | 5,069,696 | ||||||
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Net increase (decrease) from operations | 5,181,933 | 6,956,612 | ||||||
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Distributions to shareholders: |
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Total distributions | (2,081,342 | ) | (1,660,269 | ) | ||||
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Increase (decrease) in assets from operations and distributions | 3,100,591 | 5,296,343 | ||||||
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Share transactions: |
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Proceeds from sale of shares | 476,265 | 499,825 | ||||||
Value of distributions reinvested | 2,081,342 | 1,660,269 | ||||||
Cost of shares redeemed | (3,879,729 | ) | (4,979,288 | ) | ||||
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Net increase (decrease) from share transactions | (1,322,122 | ) | (2,819,194 | ) | ||||
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Total increase (decrease) in net assets | 1,778,469 | 2,477,149 | ||||||
Net Assets |
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Beginning of year | 25,950,522 | 23,473,373 | ||||||
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End of year | $ | 27,728,991 | $ | 25,950,522 | ||||
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Changes in Fund Shares |
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Shares sold | 10,541 | 11,190 | ||||||
Issued for distributions reinvested | 39,308 | 35,227 | ||||||
Shares redeemed | (81,944 | ) | (110,556 | ) | ||||
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Net decrease in fund shares | (32,095 | ) | (64,139 | ) | ||||
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The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 13 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund (the “Fund”), State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks) 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. |
• | 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. |
14 | Notes to Financial Statements |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
• | 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
The Fund invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as return of capital or capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Notes to Financial Statements | 15 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts for cash equitization.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street U.S. Equity V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 5,755 | $ | — | $ | 5,755 |
16 | Notes to Financial Statements |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street U.S. Equity V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 192,022 | $ | — | $ | 192,022 |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street U.S. Equity V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (4,517 | ) | $ | — | $ | (4,517 | ) |
4. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.55%.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
5. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 9,282,979 | $ | 12,162,853 |
7. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
Notes to Financial Statements | 17 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to futures contracts, Non-REIT return of capital open basis adjustments received and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 324,922 | $ | 1,756,420 | $ | 2,081,342 |
The tax character of distributions paid during the year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 176,836 | $ | 1,483,433 | $ | 1,660,269 |
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Tax Exempt Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses* | Total | |||||||||||||||||||||||||||
$ | 75,846 | $ | — | $ | — | $ | 425,600 | $ | 10,636,271 | $ | — | $ | 11,137,717 |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 17,084,205 | $ | 10,946,560 | $ | 310,289 | $ | 10,636,271 |
8. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
18 | Notes to Financial Statements |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
9. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided the Fund by its service providers.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
Notes to Financial Statements | 19 |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street U.S. Equity V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street U.S. Equity V.I.S. Fund (the “Fund”) (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
20 | Report of Independent Registered Public Accounting Firm |
Table of Contents
State Street U.S. Equity V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the Fund during the year ended December 31, 2020 in the amount of $1,756,420.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at http://www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedules of investments are available upon request, without charge, by calling 1-800-242-0134.
Other Information | 21 |
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State Street U.S. Equity V.I.S. Fund
Other Information, continued — December 31, 2020(Unaudited)
Name, and Year | Position(s) Held with Funds | Term oF Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.(1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds One Iron Street
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009-2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||||
John R. Costantino c/o SSGA Funds One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 –2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
22 | Other Information |
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State Street U.S. Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, and Year | Position(s) Held with Funds | Term oF Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 –2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
Other Information | 23 |
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State Street U.S. Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, and Year | Position(s) Held with Funds | Term oF Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS (1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 - present). | |||||||
Jeanne La Porta(2) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020—present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
24 | Other Information |
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State Street U.S. Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held With Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020-present); President and Director, SSGA Funds Management, Inc. (2001-present); Senior Managing Director, State Street Global Advisors (1992-present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017-present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 –present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
Other Information | 25 |
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State Street U.S. Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held With Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS (continued): | ||||||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013—present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019—present); Vice President and Counsel, State Street Global Advisors (August 2015—April 2019); Associate, Ropes & Gray LLP (November 2012—August 2015). |
* Served in various capacities and/or with various affiliated entities during noted time period.
26 | Other Information |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street Premier Growth Equity V.I.S. Fund
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Annual Report
December 31, 2020
Page | ||||
Notes to Performance | 1 | |||
Manager Review and Schedule of Investments | 2 | |||
Financial Statements | ||||
9 | ||||
10 | ||||
11 | ||||
12 | ||||
Notes to Financial Statements | 13 | |||
Report of Independent Registered Public Accounting Firm | 19 | |||
Other Information | 20 |
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance pages relates to the State Street Premier Growth Equity V.I.S. Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise each index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Management Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street Premier Growth Equity V.I.S. Fund (the “Fund”) seeks to provide long-term growth of capital and future income rather than current income. The Fund’s benchmarks are the Russell 1000 Growth Index and S&P 500 Index (the “Indices”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was 33.61%, and the Russell 1000 Growth Index was 38.49% and the S&P 500 Index was 18.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
After the COVID-19-driven market plunge early in 2020, the market recovered strongly finishing the year up significantly for the full year. There was a large divergence in the year between growth and value stocks with growth stocks outperforming value by more than 35%. Given this divergence, the Fund was well ahead of the S&P 500 Index during the Reporting Period but lagged the Russell 1000 Growth Index. Within the growth segment of the market represented by the Russell 1000 Growth Index, there was very narrow leadership with only seven names representing more than half of the Index’s return for the year. The significant outperformance in the biggest Index names has resulted in a highly concentrated Index. Information Technology (IT) now represents approximately 45% of the Index with the top five names over 36%. The primary drivers of the underperformance versus the Russell 1000 Growth Index were not owning Tesla and stock selection in IT, while the Fund was helped by diverse stock selection across a range of industries. Tesla, which rose more than 700% in the Reporting Period, was not held in the Fund mainly because of concerns over extreme valuation and the firm’s management. We are believers in the long-term secular trend towards electric vehicles and recognize Tesla as a dominant leader in this space but have had difficulty justifying its valuation even with very aggressive growth assumptions over the next decade. Our confidence in leadership was also impacted as some public comments created issues with the SEC. In IT, the Fund outperformed in some segments such as semiconductors, with names like Nvidia and Applied Materials, and software with Servicenow and Salesforce.com, but was hurt in IT Services as Fidelity National Information Services and Visa lagged. Both companies are involved in electronic payment processing, which took a hit as some segments of consumer spending fell due to the pandemic, but we expect recovery as pent-up consumer demand returns. On the positive side, relative performance was helped by diverse stock-selection including names both held and avoided. Eight industries were represented in the top 10 contributors to relative return. These included Fund holdings Amazon.com, Ross Stores, and the previously mentioned IT positions. It also included stocks not held that lagged significantly such as Boeing, which was severely impacted by the collapse in air travel.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Apple, Amazon.com, and Microsoft. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Booking Holdings, Boston Scientific, and CME Group.
The Fund used equity futures and Index ETFs during the Reporting Period. Index Futures were used for the purpose of efficient cash management. Index ETFs were used in the technology and consumer sectors as a substitute for large Fund positions that were limited by mutual fund regulations for diversified funds that limit concentration. The Fund’s use of both futures and Index ETFs detracted from Fund performance relative to the Russell 1000 growth Index because they lagged in performance relative to the equity positions in the Fund.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Premier Growth Equity V.I.S. Fund |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,224.40 | $ | 1,020.81 | ||||
Expenses Paid During the Period* | $ | 4.81 | $ | 4.37 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.86%** (for the period July 1, 2020 - December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Premier Growth Equity V.I.S. Fund | 3 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Apple Inc. | 9.71 | % | ||
Microsoft Corps | 8.90 | % | ||
Amazon.com Inc. | 7.07 | % | ||
Facebook Inc., Class A | 4.69 | % | ||
Alphabet Inc., Class C | 4.68 | % | ||
Visa Inc., Class A | 4.36 | % | ||
Applied Materials Inc | 3.52 | % | ||
Quallcomn Inc | 3.06 | % | ||
Nvidia Corp | 2.59 | % | ||
Lowe’s Companies, Inc | 2.55 | % |
Sector Allocation as of December 31, 2020
Portfolio composition as a % of Fair Value of $39,148 December 31, 2020 (a)(b)
Average Annual Total Return for the periods ended December 31, 2020
Class 1 Shares (Inception date: 12/12/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Premier Growth Equity V.I.S. Fund | 33.61 | % | 18.62 | % | 16.32 | % | $ | 45,333 | ||||||||
S&P 500® Index | 18.40 | % | 15.22 | % | 13.88 | % | $ | 36,700 | ||||||||
Russell 1000® Growth Index | 38.49 | % | 21.00 | % | 17.21 | % | $ | 48,929 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street Premier Growth Equity V.I.S. Fund |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street Premier Growth Equity V.I.S. Fund | 5 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 97.1% † |
| |||||||
Apparel Retail - 1.6% |
| |||||||
Ross Stores Inc. | 5,166 | 634,437 | ||||||
|
| |||||||
Application Software - 3.8% |
| |||||||
salesforce.com Inc. | 4,436 | 987,143 | (a) | |||||
Splunk Inc. | 3,011 | 511,539 | (a) | |||||
|
| |||||||
1,498,682 | ||||||||
|
| |||||||
Biotechnology - 4.9% |
| |||||||
Alexion Pharmaceuticals Inc. | 4,929 | 770,107 | (a) | |||||
BioMarin Pharmaceutical Inc. | 5,507 | 482,909 | (a) | |||||
Vertex Pharmaceuticals Inc. | 2,887 | 682,313 | (a) | |||||
|
| |||||||
1,935,329 | ||||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
Trane Technologies PLC | 1,884 | 273,482 | ||||||
|
| |||||||
Cable & Satellite - 1.8% |
| |||||||
Charter Communications Inc., Class A | 1,044 | 690,658 | (a) | |||||
|
| |||||||
Data Processing & Outsourced Services - 7.8% |
| |||||||
Fidelity National Information Services Inc. | 4,709 | 666,135 | ||||||
Mastercard Inc., Class A | 1,895 | 676,401 | ||||||
Visa Inc., Class A | 7,797 | 1,705,438 | ||||||
|
| |||||||
3,047,974 | ||||||||
|
| |||||||
Electronic Components - 1.6% |
| |||||||
Corning Inc. | 17,634 | 634,824 | ||||||
|
| |||||||
Financial Exchanges & Data - 2.8% |
| |||||||
CME Group Inc. | 2,872 | 522,848 | ||||||
S&P Global Inc. | 1,777 | 584,153 | ||||||
|
| |||||||
1,107,001 | ||||||||
|
| |||||||
Healthcare Equipment - 3.7% |
| |||||||
Boston Scientific Corp. | 24,047 | 864,490 | (a) | |||||
Intuitive Surgical Inc. | 713 | 583,305 | (a) | |||||
|
| |||||||
1,447,795 | ||||||||
|
| |||||||
Home Improvement Retail - 2.6% |
| |||||||
Lowe’s Companies Inc. | 6,226 | 999,335 | ||||||
|
| |||||||
Industrial Conglomerates - 2.0% |
| |||||||
Honeywell International Inc. | 3,589 | 763,380 | ||||||
|
| |||||||
Interactive Media & Services - 11.0% |
| |||||||
Alphabet Inc., Class A | 374 | 655,487 | (a) | |||||
Alphabet Inc., Class C | 1,046 | 1,832,467 | (a) | |||||
Facebook Inc., Class A | 6,723 | 1,836,455 | (a) | |||||
|
| |||||||
4,324,409 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Internet & Direct Marketing Retail - 8.2% |
| |||||||
Alibaba Group Holding Ltd. ADR | 1,951 | 454,056 | (a) | |||||
Amazon.com Inc. | 850 | 2,768,391 | (a,b) | |||||
|
| |||||||
3,222,447 | ||||||||
|
| |||||||
Managed Healthcare - 2.5% |
| |||||||
UnitedHealth Group Inc. | 2,759 | 967,526 | ||||||
|
| |||||||
Movies & Entertainment - 1.8% |
| |||||||
The Walt Disney Co. | 3,879 | 702,797 | ||||||
|
| |||||||
Pharmaceuticals - 2.1% |
| |||||||
Elanco Animal Health Inc. | 26,153 | 802,113 | (a) | |||||
|
| |||||||
Regional Banks - 1.3% |
| |||||||
First Republic Bank | 3,409 | 500,884 | ||||||
|
| |||||||
Restaurants - 1.0% |
| |||||||
Domino’s Pizza Inc. | 981 | 376,174 | ||||||
|
| |||||||
Semiconductor Equipment - 3.5% |
| |||||||
Applied Materials Inc. | 15,970 | 1,378,211 | ||||||
|
| |||||||
Semiconductors - 5.7% |
| |||||||
NVIDIA Corp. | 1,944 | 1,015,157 | ||||||
QUALCOMM Inc. | 7,859 | 1,197,240 | ||||||
|
| |||||||
2,212,397 | ||||||||
|
| |||||||
Soft Drinks - 2.2% |
| |||||||
PepsiCo Inc. | 5,863 | 869,483 | ||||||
|
| |||||||
Specialized REITs - 1.2% |
| |||||||
American Tower Corp. | 2,059 | 462,163 | ||||||
|
| |||||||
Systems Software - 11.3% |
| |||||||
Microsoft Corp. | 15,662 | 3,483,542 | ||||||
ServiceNow Inc. | 1,712 | 942,336 | (a) | |||||
|
| |||||||
4,425,878 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 9.7% |
| |||||||
Apple Inc. | 28,643 | 3,800,640 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.6% |
| |||||||
United Rentals Inc. | 2,741 | 635,665 | (a) | |||||
|
| |||||||
Trucking - 0.7% |
| |||||||
Lyft Inc., Class A | 5,816 | 285,740 | (a) | |||||
|
| |||||||
Total Common Stock (Cost $16,750,649) |
| 37,999,424 | ||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street Premier Growth Equity V.I.S. Fund |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Exchange Traded & Mutual Funds - 0.7% |
| |||||||
The Consumer Discretionary Select Sector SPDR Fund | 1,097 | 176,376 | (c) | |||||
The Technology Select Sector SPDR Fund | 759 | 98,685 | (c) | |||||
|
| |||||||
Total Exchange Traded & Mutual Funds (Cost $216,175) |
| 275,061 | ||||||
|
| |||||||
Total Investments in Securities (Cost $16,966,824) |
| 38,274,485 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Short-Term Investments - 2.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | 873,386 | 873,386 | (c,d) | |||||
|
| |||||||
Total Investments (Cost $17,840,210) |
| 39,147,871 | ||||||
Liabilities in Excess of Other Assets, net - (0.0)%* |
| (4,067 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 39,143,804 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | March 2021 | 3 | $ | 552,981 | $ | 562,320 | $ | 9,339 | ||||||||||||
|
|
During the period ended December 31, 2020, average notional values related to long and short futures contracts were $ 292,490 and $72,604, respectively.
Notes to Schedule of Investments — December 31, 2020
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of December 31, 2020. |
* | Less than 0.05%. |
Abbreviations:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
SPDR - Standard and Poor’s Depositary Receipt
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Premier Growth Equity V.I.S. Fund | 7 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||||
Common Stock | $ | 37,999,424 | $ | — | $ | — | $ | 37,999,424 | ||||||||||
Exchange Traded & Mutual Funds | 275,061 | — | — | 275,061 | ||||||||||||||
Short-Term Investments | 873,386 | — | — | 873,386 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 39,147,871 | $ | — | $ | — | $ | 39,147,871 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments |
| |||||||||||||||||
Long Futures Contracts - Unrealized Appreciation | $ | 9,339 | $ | — | $ | — | $ | 9,339 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,223,418 | $ | 1,223,418 | $ | 9,084,723 | $ | 9,434,755 | $ | — | $ | — | 873,386 | $ | 873,386 | $ | 3,875 | ||||||||||||||||||||
The Consumer Discretionary Select Sector SPDR Fund | 2,634 | 330,356 | 61,110 | 244,661 | (3,311 | ) | 32,882 | 1,097 | 176,376 | 1,876 | ||||||||||||||||||||||||||
The Technology Select Sector SPDR Fund | — | — | 110,242 | 24,153 | 1,450 | 11,146 | 759 | 98,685 | 309 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 1,553,774 | $ | 9,256,075 | $ | 9,703,569 | $ | (1,861 | ) | $ | 44,028 | $ | 1,148,447 | $ | 6,060 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
8 | State Street Premier Growth Equity V.I.S. Fund |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 12/12/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 100.89 | $ | 82.51 | $ | 99.23 | $ | 86.08 | $ | 94.07 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income (loss) | (0.22 | )(a) | 0.03 | (a) | 0.12 | (a) | 0.32 | (a) | 0.50 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 34.12 | 30.84 | (2.88 | ) | 24.10 | 1.90 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 33.90 | 30.87 | (2.76 | ) | 24.42 | 2.40 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.04 | – | 0.15 | 0.34 | 0.48 | |||||||||||||||
Net realized gains | 11.79 | 12.49 | 13.81 | 10.93 | 9.91 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 11.83 | 12.49 | 13.96 | 11.27 | 10.39 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 122.96 | $ | 100.89 | $ | 82.51 | $ | 99.23 | $ | 86.08 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(b) | 33.61 | % | 37.33 | % | (2.66 | )% | 28.34 | % | 2.47 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 39,144 | $ | 35,502 | $ | 30,369 | $ | 36,404 | $ | 33,219 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.89 | % | 0.91 | % | 0.87 | % | 0.85 | % | 0.84 | % | ||||||||||
Gross expenses | 0.89 | % | 0.91 | % | 0.87 | % | 0.85 | % | 0.84 | % | ||||||||||
Net investment income (loss) | (0.19 | )% | 0.03 | % | 0.11 | % | 0.31 | % | 0.52 | % | ||||||||||
Portfolio turnover rate | 22 | % | 22 | % | 27 | % | 21 | % | 22 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
Financial Highlights | 9 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $16,750,649) | $ | 37,999,424 | ||
Investments in affiliated securities, at fair value (cost $216,175) | 275,061 | |||
Short-term affiliated investments, at fair value | 873,386 | |||
Net cash collateral on deposit with broker for future contracts | 30,620 | |||
Income receivables | 15,810 | |||
Receivable for fund shares sold | 119 | |||
Income receivable from affiliated investments | 32 | |||
Receivable for accumulated variation margin on futures contracts | 9,345 | |||
Other assets | 234 | |||
|
| |||
Total assets | 39,204,031 | |||
|
| |||
Liabilities | ||||
Payable for fund shares redeemed | 1,014 | |||
Payable to the Adviser | 20,354 | |||
Payable for custody, fund accounting and sub-administration fees | 3,973 | |||
Accrued other expenses | 34,886 | |||
|
| |||
Total liabilities | 60,227 | |||
|
| |||
Net Assets | $ | 39,143,804 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in | $ | 17,048,005 | ||
Total distributable earnings (loss) | 22,095,799 | |||
|
| |||
Net Assets | $ | 39,143,804 | ||
|
| |||
Shares outstanding ($0.01 par value; unlimited shares authorized) | 318,341 | |||
Net asset value per share | $ | 122.96 |
The accompanying Notes are an integral part of these financial statements.
10 | Statement of Assets and Liabilities |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
| |||
Income |
| |||
Dividend | $ | 240,229 | ||
Income from affiliated investments | 6,060 | |||
Less: Foreign taxes withheld | (295 | ) | ||
|
| |||
Total income | 245,994 | |||
|
| |||
Expenses |
| |||
Advisory and administration fees | 230,478 | |||
Directors’ fees | 18,941 | |||
Custody, fund accounting and sub-administration fees | 22,445 | |||
Professional fees | 31,790 | |||
Printing and shareholder reports | 7,089 | |||
Other expenses | 3,955 | |||
|
| |||
Total Expenses | 314,698 | |||
|
| |||
Net investment loss | $ | (68,704 | ) | |
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Realized gain (loss) on: |
| |||
Unaffiliated investments | $ | 4,079,743 | ||
Affiliated investments | (1,861 | ) | ||
Futures | 1,108 | |||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||
Unaffiliated investments | 6,338,895 | |||
Affiliated investments | 44,028 | |||
Futures | 1,708 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | 10,463,621 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 10,394,917 | ||
|
|
The accompanying Notes are an integral part of these financial statements.
Statement of Operations | 11 |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment income (loss) | $ | (68,704 | ) | $ | 10,575 | |||
Net realized gain (loss) on investments and futures | 4,078,990 | 3,991,999 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 6,384,631 | 6,518,386 | ||||||
|
|
|
| |||||
Net increase (decrease) from operations | 10,394,917 | 10,520,960 | ||||||
|
|
|
| |||||
Distributions to shareholders: |
| |||||||
Total distributions | (3,437,485 | ) | (3,931,647 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 6,957,432 | 6,589,313 | ||||||
|
|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares | 818,632 | 356,759 | ||||||
Value of distributions reinvested | 3,437,485 | 3,931,647 | ||||||
Cost of shares redeemed | (7,572,232 | ) | (5,743,877 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (3,316,115 | ) | (1,455,471 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 3,641,317 | 5,133,842 | ||||||
Net Assets |
| |||||||
Beginning of year | 35,502,487 | 30,368,645 | ||||||
|
|
|
| |||||
End of year | $ | 39,143,804 | $ | 35,502,487 | ||||
|
|
|
| |||||
Changes in Fund Shares |
| |||||||
Shares sold | 7,511 | 3,443 | ||||||
Issued for distributions reinvested | 27,995 | 38,755 | ||||||
Shares redeemed | (69,065 | ) | (58,360 | ) | ||||
|
|
|
| |||||
Net decrease in fund shares | (33,559 | ) | (16,162 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
12 | Statements of Changes in Net Assets |
Table of Contents
State Street Premier Growth Equity V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund (the “Fund”), State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks) 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. |
• | 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. |
Notes to Financial Statements | 13 |
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In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in
14 | Notes to Financial Statements |
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Notes to Financial Statements, continued — December 31, 2020
an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts for cash equitization.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Premier Growth Equity V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 9,345 | $ | — | $ | 9,345 |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Premier Growth Equity V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 1,108 | $ | — | $ | 1,108 |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Premier Growth Equity V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 1,708 | $ | — | $ | 1,708 |
4. | Fees and Transactions with Affiliates |
Advisory Fee SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.65%.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Notes to Financial Statements | 15 |
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Notes to Financial Statements, continued — December 31, 2020
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
5. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 7,561,795 | $ | 13,992,555 |
7. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for futures contracts and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 39,610 | $ | 3,397,875 | $ | 3,437,485 |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 186,046 | $ | 3,745,601 | $ | 3,971,647 |
16 | Notes to Financial Statements |
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State Street Premier Growth Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Tax Exempt Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late - Year Losses* | Total | |||||||||||||||||||||||||||
$ | 22,377 | $ | — | $ | — | $ | 995,120 | $ | 21,078,302 | $ | — | $ | 22,095,799 |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 18,078,907 | $ | 21,191,244 | $ | 112,941 | $ | 21,078,303 |
8. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
9. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented
Notes to Financial Statements | 17 |
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Notes to Financial Statements, continued — December 31, 2020
actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
18 | Notes to Financial Statements |
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State Street Premier Growth Equity V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Premier Growth Equity V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Premier Growth Equity V.I.S. Fund (the “Fund”) (one of the series constituting the State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
Report of Independent Registered Public Accounting Firm | 19 |
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State Street Premier Growth Equity V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received
deduction.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the Fund during the fiscal year ended December 31, 2020 in the amount of $3,397,875.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends
20 | Other Information |
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Other Information, continued — December 31, 2020 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at www.ssga.com/geam or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedule of investments are available upon request, without charge, by calling 1-800-242-0134.
Other Information | 21 |
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Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 – 2017); Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
22 | Other Information |
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Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
Other Information | 23 |
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Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS(1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(2) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
24 | Other Information |
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Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
Other Information | 25 |
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Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
26 | Other Information |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street S&P 500 Index V.I.S. Fund
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Annual Report
December 31, 2020
Page | ||||
Notes to Performance | 1 | |||
Manager Review and Schedule of Investments | 2 | |||
Financial Statements | ||||
17 | ||||
18 | ||||
19 | ||||
20 | ||||
Notes to Financial Statements | 21 | |||
Report of Independent Registered Public Accounting Firm | 27 | |||
Other Information | 28 |
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance page relates to the State Street S&P 500 Index V.I.S. Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The Fund is not sponsored, endorsed, sold or promoted by S&P Global Ratings (“S&P”), and S&P makes no representation or warranty, express or implied, to the investors of the Fund or any member of the public regarding the advisability of investing in the securities generally or in this Fund particularly or the ability of the Fund to track general stock market performance.
The results shown for the foregoing index assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise the index.
The views expressed in this document reflect our judgement as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Management’s Discussion of Fund Performance (Unaudited)
The State Street S&P 500 Index V.I.S Fund (the “Fund”). The investment objective of the Fund is to replicate as closely as possible, before expenses, the performance of the S&P 500 Index (the “S&P 500” or the “Index”). The Fund’s benchmark is S&P 500 (the “Index”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was 17.92%, and the Index was 18.40%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund’s performance was heavily dominated by the economic landscape of the COVID-19 pandemic environment. The U.S. fell hard to the virus from both health and economic perspectives. The S&P 500 started the year a big loser dropping -19.6% in the first quarter as the virus emerged and uncertainty followed. Companies began altering the ways that they operate amid everchanging social distancing orders. The Index recouped its value in Q2 surging +20.5% as both consumers and businesses learned to adapt to the new terrain. Many Technology and Materials stocks actually benefitted from the various regional lockdowns and easily offset laggards such as Consumer Staples. For the overall calendar year, the Index gained 18.4% buoyed by the increased demand of technology, the U.S. Presidential Election build up, federal stimulus legislation, and the hope for FDA approval of multiple COVID-19 vaccines, which came to fruition as the year was coming to a close. The big non-COVID-19 related event within the Index this past year was the long-anticipated addition of Tesla that finally occurred in mid-December. At the time of official announcement, Tesla was ranked as the 12th largest US company. The stock continued to ascend and finished the year a short time later with the fifth highest weight in the Index with a weight of just under 2% in the Index.
The Fund used index futures contracts in order to obtain equity exposure and equitize cash and dividend receivables during the Reporting Period. The Fund’s use of futures did not contribute material tracking to Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Apple Inc., Amazon.com, Inc., and Microsoft Corp. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Exxon Mobil Corporation, AT&T Inc., and Wells Fargo & Company.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,220.10 | $ | 1,023.63 | ||||
Expenses Paid During Period* | $ | 1.67 | $ | 1.53 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.30%** (for the period July 1, 2020 - December 30, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street S&P 500 Index V.I.S. Fund | 3 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Apple Inc. | 6.65 | % | ||
Microsoft Corp. | 5.27 | % | ||
Amazon.com Inc. | 4.35 | % | ||
Facebook Inc., Class A | 2.06 | % | ||
Tesla Inc. | 1.68 | % | ||
Alphabet Inc., Class A | 1.66 | % | ||
Alphabet Inc., Class C | 1.59 | % | ||
Berkshire Hathaway Inc., Class B | 1.42 | % | ||
Johnson & Johnson | 1.30 | % | ||
JPMorgan Chase & Co. | 1.22 | % |
Sector Allocation as of December 31, 2020
Portfolio composition as a % of Fair Value of $183,417 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return for the periods ended December 31, 2020
Class 1 Shares (Inception date: 4/15/85)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street S&P 500 Index V.I.S. Fund | 17.92 | % | 14.83 | % | 13.51 | % | $ | 35,500 | ||||||||
S&P 500® Index | 18.40 | % | 15.22 | % | 13.89 | % | $ | 36,700 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional Liquid Reserves Fund — Premier Class. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street S&P 500 Index V.I.S. Fund | 5 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 98.9%† |
| |||||||
Advertising - 0.1% |
| |||||||
Omnicom Group Inc. | 1,323 | 82,515 | ||||||
The Interpublic Group of Companies Inc. | 2,061 | 48,475 | ||||||
|
| |||||||
130,990 | ||||||||
|
| |||||||
Aerospace & Defense - 1.6% |
| |||||||
General Dynamics Corp. | 1,373 | 204,330 | ||||||
Howmet Aerospace Inc. | 2,272 | 64,843 | ||||||
Huntington Ingalls Industries Inc. | 200 | 34,096 | ||||||
L3Harris Technologies Inc. | 1,168 | 220,775 | ||||||
Lockheed Martin Corp. | 1,437 | 510,106 | ||||||
Northrop Grumman Corp. | 857 | 261,145 | ||||||
Raytheon Technologies Corp. | 8,642 | 617,990 | ||||||
Teledyne Technologies Inc. (a) | 200 | 78,396 | ||||||
Textron Inc. | 1,525 | 73,703 | ||||||
The Boeing Co. | 3,033 | 649,244 | ||||||
TransDigm Group Inc. (a) | 301 | 186,274 | ||||||
|
| |||||||
2,900,902 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.3% |
| |||||||
Deere & Co. | 1,770 | 476,219 | ||||||
|
| |||||||
Agricultural Products - 0.1% |
| |||||||
Archer-Daniels-Midland Co. | 3,171 | 159,850 | ||||||
|
| |||||||
Air Freight & Logistics - 0.7% |
| |||||||
CH Robinson Worldwide Inc. | 787 | 73,876 | ||||||
Expeditors International of Washington Inc. | 1,032 | 98,153 | ||||||
FedEx Corp. | 1,378 | 357,756 | ||||||
United Parcel Service Inc., Class B | 4,177 | 703,407 | ||||||
|
| |||||||
1,233,192 | ||||||||
|
| |||||||
Airlines - 0.2% |
| |||||||
Alaska Air Group Inc. | 700 | 36,400 | ||||||
American Airlines Group Inc. | 2,398 | 37,816 | ||||||
Delta Air Lines Inc. | 3,506 | 140,976 | ||||||
Southwest Airlines Co. | 3,202 | 149,245 | ||||||
United Airlines Holdings Inc. (a) | 1,450 | 62,713 | ||||||
|
| |||||||
427,150 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Alternative Carriers - 0.0%* |
| |||||||
CenturyLink Inc. | 5,933 | 57,847 | ||||||
|
| |||||||
Apparel Retail - 0.4% |
| |||||||
L Brands Inc. | 1,488 | 55,339 | ||||||
Ross Stores Inc. | 2,026 | 248,813 | ||||||
The Gap Inc. | 1,215 | 24,531 | ||||||
The TJX Companies Inc. | 6,778 | 462,869 | ||||||
|
| |||||||
791,552 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.2% |
| |||||||
Hanesbrands Inc. | 2,400 | 34,992 | ||||||
PVH Corp. | 518 | 48,635 | ||||||
Ralph Lauren Corp. | 270 | 28,010 | ||||||
Tapestry Inc. | 1,589 | 49,386 | ||||||
Under Armour Inc., Class A (a) | 500 | 8,585 | ||||||
Under Armour Inc., Class C (a) | 1,712 | 25,474 | ||||||
VF Corp. | 1,741 | 148,699 | ||||||
|
| |||||||
343,781 | ||||||||
|
| |||||||
Application Software - 2.4% |
| |||||||
Adobe Inc. (a) | 2,761 | 1,380,831 | ||||||
ANSYS Inc. (a) | 471 | 171,350 | ||||||
Autodesk Inc. (a) | 1,248 | 381,064 | ||||||
Cadence Design Systems Inc. (a) | 1,543 | 210,512 | ||||||
Citrix Systems Inc. | 707 | 91,981 | ||||||
Intuit Inc. | 1,518 | 576,612 | ||||||
Paycom Software Inc. (a) | 300 | 135,675 | ||||||
salesforce.com Inc. (a) | 5,245 | 1,167,170 | ||||||
Synopsys Inc. (a) | 843 | 218,539 | ||||||
Tyler Technologies Inc. (a) | 200 | 87,304 | ||||||
|
| |||||||
4,421,038 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.8% |
| |||||||
Ameriprise Financial Inc. | 676 | 131,367 | ||||||
BlackRock Inc. | 809 | 583,726 | ||||||
Franklin Resources Inc. | 830 | 20,742 | ||||||
Invesco Ltd. | 2,050 | 35,731 | ||||||
Northern Trust Corp. | 1,307 | �� | 121,734 | |||||
State Street Corp. (b) | 1,906 | 138,719 | ||||||
T Rowe Price Group Inc. | 1,310 | 198,321 | ||||||
The Bank of New York Mellon Corp. | 4,519 | 191,786 | ||||||
|
| |||||||
1,422,126 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.1% |
| |||||||
Aptiv PLC | 1,487 | 193,741 | ||||||
BorgWarner Inc. | 1,447 | 55,912 | ||||||
|
| |||||||
249,653 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Automobile Manufacturers - 1.9% |
| |||||||
Ford Motor Co. | 22,137 | 194,584 | ||||||
General Motors Co. | 7,231 | 301,099 | ||||||
Tesla Inc. (a) | 4,370 | 3,083,778 | ||||||
|
| |||||||
3,579,461 | ||||||||
|
| |||||||
Automotive Retail - 0.3% |
| |||||||
Advance Auto Parts Inc. | 401 | 63,162 | ||||||
AutoZone Inc. (a) | 128 | 151,736 | ||||||
CarMax Inc. (a) | 994 | 93,893 | ||||||
O’Reilly Automotive Inc. (a) | 415 | 187,817 | ||||||
|
| |||||||
496,608 | ||||||||
|
| |||||||
Biotechnology - 1.9% |
| |||||||
AbbVie Inc. | 10,109 | 1,083,179 | ||||||
Alexion Pharmaceuticals Inc. (a) | 1,301 | 203,268 | ||||||
Amgen Inc. | 3,333 | 766,324 | ||||||
Biogen Inc. (a) | 911 | 223,068 | ||||||
Gilead Sciences Inc. | 7,108 | 414,112 | ||||||
Incyte Corp. (a) | 1,122 | 97,592 | ||||||
Regeneron Pharmaceuticals Inc. (a) | 611 | 295,180 | ||||||
Vertex Pharmaceuticals Inc. (a) | 1,492 | 352,619 | ||||||
|
| |||||||
3,435,342 | ||||||||
|
| |||||||
Brewers - 0.0%* |
| |||||||
Molson Coors Beverage Co., Class B | 1,298 | 58,657 | ||||||
|
| |||||||
Broadcasting - 0.2% |
| |||||||
Discovery Inc., Class A (a) | 1,106 | 33,280 | ||||||
Discovery Inc., Class C (a) | 1,944 | 50,913 | ||||||
Fox Corp., Class A | 2,113 | 61,531 | ||||||
Fox Corp., Class B (a) | 1,130 | 32,634 | ||||||
ViacomCBS Inc., Class B | 3,494 | 130,186 | ||||||
|
| |||||||
308,544 | ||||||||
|
| |||||||
Building Products - 0.5% |
| |||||||
Allegion PLC | 533 | 62,031 | ||||||
AO Smith Corp. | 798 | 43,746 | ||||||
Carrier Global Corp. | 4,670 | 176,153 | ||||||
Fortune Brands Home & Security Inc. | 799 | 68,490 | ||||||
Johnson Controls International PLC | 4,296 | 200,151 | ||||||
Masco Corp. | 1,624 | 89,206 | ||||||
Trane Technologies PLC | 1,452 | 210,772 | ||||||
|
| |||||||
850,549 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Cable & Satellite - 1.1% |
| |||||||
Charter Communications Inc., Class A (a) | 831 | 549,748 | ||||||
Comcast Corp., Class A | 26,274 | 1,376,758 | ||||||
DISH Network Corp., Class A (a) | 1,581 | 51,129 | ||||||
|
| |||||||
1,977,635 | ||||||||
|
| |||||||
Casinos & Gaming - 0.1% |
| |||||||
Las Vegas Sands Corp. | 1,739 | 103,645 | ||||||
MGM Resorts International | 2,500 | 78,775 | ||||||
Wynn Resorts Ltd. | 481 | 54,271 | ||||||
|
| |||||||
236,691 | ||||||||
|
| |||||||
Commodity Chemicals - 0.2% |
| |||||||
Dow Inc. | 4,148 | 230,214 | ||||||
LyondellBasell Industries N.V., Class A | 1,538 | 140,973 | ||||||
|
| |||||||
371,187 | ||||||||
|
| |||||||
Communications Equipment - 0.8% |
| |||||||
Arista Networks Inc. (a) | 282 | 81,941 | ||||||
Cisco Systems Inc. | 24,276 | 1,086,351 | ||||||
F5 Networks Inc. (a) | 400 | 70,376 | ||||||
Juniper Networks Inc. | 2,247 | 50,580 | ||||||
Motorola Solutions Inc. | 925 | 157,305 | ||||||
|
| |||||||
1,446,553 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.1% |
| |||||||
Best Buy Company Inc. | 1,317 | 131,423 | ||||||
|
| |||||||
Construction & Engineering - 0.1% |
| |||||||
Jacobs Engineering Group Inc. | 664 | 72,349 | ||||||
Quanta Services Inc. | 784 | 56,464 | ||||||
|
| |||||||
128,813 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 0.5% |
| |||||||
Caterpillar Inc. | 3,087 | 561,896 | ||||||
Cummins Inc. | 815 | 185,086 | ||||||
PACCAR Inc. | 1,990 | 171,697 | ||||||
Westinghouse Air Brake Technologies Corp. | 1,160 | 84,912 | ||||||
|
| |||||||
1,003,591 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Martin Marietta Materials Inc. | 327 | 92,858 | ||||||
Vulcan Materials Co. | 795 | 117,907 | ||||||
|
| |||||||
210,765 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street S&P 500 Index V.I.S. Fund | 7 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Consumer Electronics - 0.1% |
| |||||||
Garmin Ltd. | 800 | 95,728 | ||||||
|
| |||||||
Consumer Finance - 0.5% |
| |||||||
American Express Co. | 3,719 | 449,664 | ||||||
Capital One Financial Corp. | 2,653 | 262,249 | ||||||
Discover Financial Services | 1,677 | 151,819 | ||||||
Synchrony Financial | 2,866 | 99,479 | ||||||
|
| |||||||
963,211 | ||||||||
|
| |||||||
Copper - 0.1% |
| |||||||
Freeport-McMoRan Inc. | 8,021 | 208,706 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 4.2% |
| |||||||
Automatic Data Processing Inc. | 2,426 | 427,461 | ||||||
Broadridge Financial Solutions Inc. | 730 | 111,836 | ||||||
Fidelity National Information Services Inc. | 3,619 | 511,944 | ||||||
Fiserv Inc. (a) | 3,225 | 367,199 | ||||||
FleetCor Technologies Inc. (a) | 439 | 119,772 | ||||||
Global Payments Inc. | 1,696 | 365,352 | ||||||
Jack Henry & Associates Inc. | 500 | 80,995 | ||||||
Mastercard Inc., Class A | 5,069 | 1,809,329 | ||||||
Paychex Inc. | 1,829 | 170,426 | ||||||
PayPal Holdings Inc. (a) | 6,749 | 1,580,616 | ||||||
The Western Union Co. | 2,524 | 55,377 | ||||||
Visa Inc., Class A | 9,780 | 2,139,179 | ||||||
|
| |||||||
7,739,486 | ||||||||
|
| |||||||
Distillers & Vintners - 0.2% |
| |||||||
Brown-Forman Corp., Class B | 994 | 78,953 | ||||||
Constellation Brands Inc., Class A | 951 | 208,317 | ||||||
|
| |||||||
287,270 | ||||||||
|
| |||||||
Distributors - 0.1% |
| |||||||
Genuine Parts Co. | 797 | 80,043 | ||||||
LKQ Corp. (a) | 1,180 | 41,583 | ||||||
Pool Corp. | 200 | 74,500 | ||||||
|
| |||||||
196,126 | ||||||||
|
| |||||||
Diversified Banks - 2.9% |
| |||||||
Bank of America Corp. | 43,786 | 1,327,153 | ||||||
Citigroup Inc. | 11,877 | 732,336 |
Number of Shares | Fair $ | |||||||
JPMorgan Chase & Co. | 17,583 | 2,234,272 | ||||||
U.S. Bancorp | 7,900 | 368,061 | ||||||
Wells Fargo & Co. | 23,644 | 713,576 | ||||||
|
| |||||||
5,375,398 | ||||||||
|
| |||||||
Diversified Chemicals - 0.0%* |
| |||||||
Eastman Chemical Co. | 817 | 81,929 | ||||||
|
| |||||||
Diversified Support Services - 0.2% |
| |||||||
Cintas Corp. | 508 | 179,558 | ||||||
Copart Inc. (a) | 1,178 | 149,900 | ||||||
|
| |||||||
329,458 | ||||||||
|
| |||||||
Drug Retail - 0.1% |
| |||||||
Walgreens Boots Alliance Inc. | 4,099 | 163,468 | ||||||
|
| |||||||
Electric Utilities - 1.8% |
| |||||||
Alliant Energy Corp. | 1,600 | 82,448 | ||||||
American Electric Power Company Inc. | 2,919 | 243,065 | ||||||
Duke Energy Corp. | 4,318 | 395,356 | ||||||
Edison International | 2,230 | 140,089 | ||||||
Entergy Corp. | 1,253 | 125,100 | ||||||
Evergy Inc. | 1,388 | 77,048 | ||||||
Eversource Energy | 1,971 | 170,511 | ||||||
Exelon Corp. | 5,634 | 237,867 | ||||||
FirstEnergy Corp. | 3,454 | 105,727 | ||||||
NextEra Energy Inc. | 11,193 | 863,540 | ||||||
NRG Energy Inc. | 1,518 | 57,001 | ||||||
Pinnacle West Capital Corp. | 700 | 55,965 | ||||||
PPL Corp. | 4,631 | 130,594 | ||||||
The Southern Co. | 6,190 | 380,252 | ||||||
Xcel Energy Inc. | 2,897 | 193,143 | ||||||
|
| |||||||
3,257,706 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
AMETEK Inc. | 1,249 | 151,054 | ||||||
Eaton Corporation PLC | 2,225 | 267,312 | ||||||
Emerson Electric Co. | 3,466 | 278,562 | ||||||
Rockwell Automation Inc. | 635 | 159,264 | ||||||
|
| |||||||
856,192 | ||||||||
|
| |||||||
Electronic Components - 0.2% |
| |||||||
Amphenol Corp., Class A | 1,652 | 216,032 | ||||||
Corning Inc. | 4,347 | 156,492 | ||||||
|
| |||||||
372,524 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.2% |
| |||||||
FLIR Systems Inc. | 736 | 32,259 | ||||||
Keysight Technologies Inc. (a) | 1,000 | 132,090 |
See Notes to Schedule of Investments and Notes to Financial Statements.
8 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Vontier Corp. (a) | 739 | 24,682 | ||||||
Zebra Technologies Corp., Class A (a) | 300 | 115,299 | ||||||
|
| |||||||
304,330 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.1% |
| |||||||
IPG Photonics Corp. (a) | 179 | 40,058 | ||||||
TE Connectivity Ltd. | 1,854 | 224,464 | ||||||
|
| |||||||
264,522 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.2% |
| |||||||
Republic Services Inc. | 1,215 | 117,004 | ||||||
Rollins Inc. | 1,200 | 46,884 | ||||||
Waste Management Inc. | 2,203 | 259,800 | ||||||
|
| |||||||
423,688 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.2% |
| |||||||
CF Industries Holdings Inc. | 1,250 | 48,387 | ||||||
Corteva Inc. | 4,217 | 163,282 | ||||||
FMC Corp. | 758 | 87,117 | ||||||
The Mosaic Co. | 2,054 | 47,263 | ||||||
|
| |||||||
346,049 | ||||||||
|
| |||||||
Financial Exchanges & Data - 1.1% |
| |||||||
Cboe Global Markets Inc. | 663 | 61,739 | ||||||
CME Group Inc. | 2,015 | 366,831 | ||||||
Intercontinental Exchange Inc. | 3,186 | 367,314 | ||||||
MarketAxess Holdings Inc. | 228 | 130,088 | ||||||
Moody’s Corp. | 903 | 262,087 | ||||||
MSCI Inc. | 500 | 223,265 | ||||||
Nasdaq Inc. | 691 | 91,723 | ||||||
S&P Global Inc. | 1,361 | 447,401 | ||||||
|
| |||||||
1,950,448 | ||||||||
|
| |||||||
Food Distributors - 0.1% |
| |||||||
Sysco Corp. | 2,842 | 211,047 | ||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
The Kroger Co. | 4,256 | 135,171 | ||||||
|
| |||||||
Footwear - 0.6% |
| |||||||
NIKE Inc., Class B | 7,184 | 1,016,320 | ||||||
|
| |||||||
Gas Utilities - 0.0%* |
| |||||||
Atmos Energy Corp. | 700 | 66,801 | ||||||
|
| |||||||
General Merchandise Stores - 0.5% |
| |||||||
Dollar General Corp. | 1,383 | 290,845 | ||||||
Dollar Tree Inc. (a) | 1,351 | 145,962 | ||||||
Target Corp. | 2,840 | 501,345 | ||||||
|
| |||||||
938,152 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Gold - 0.1% |
| |||||||
Newmont Corp. | 4,507 | 269,924 | ||||||
|
| |||||||
Health Care REITs - 0.2% |
| |||||||
Healthpeak Properties Inc. | 3,274 | 98,973 | ||||||
Ventas Inc. | 2,129 | 104,406 | ||||||
Welltower Inc. | 2,520 | 162,843 | ||||||
|
| |||||||
366,222 | ||||||||
|
| |||||||
Healthcare Distributors - 0.2% |
| |||||||
AmerisourceBergen Corp. | 913 | 89,255 | ||||||
Cardinal Health Inc. | 1,868 | 100,050 | ||||||
Henry Schein Inc. (a) | 863 | 57,700 | ||||||
McKesson Corp. | 930 | 161,746 | ||||||
|
| |||||||
408,751 | ||||||||
|
| |||||||
Healthcare Equipment - 3.5% |
| |||||||
Abbott Laboratories | 10,184 | 1,115,046 | ||||||
ABIOMED Inc. (a) | 272 | 88,182 | ||||||
Baxter International Inc. | 2,923 | 234,542 | ||||||
Becton Dickinson & Co. | 1,694 | 423,873 | ||||||
Boston Scientific Corp. (a) | 8,320 | 299,104 | ||||||
Danaher Corp. | 3,611 | 802,148 | ||||||
DexCom Inc. (a) | 562 | 207,783 | ||||||
Edwards Lifesciences Corp. (a) | 3,650 | 332,990 | ||||||
Hologic Inc. (a) | 1,500 | 109,245 | ||||||
IDEXX Laboratories Inc. (a) | 490 | 244,936 | ||||||
Intuitive Surgical Inc. (a) | 668 | 546,491 | ||||||
Medtronic PLC | 7,695 | 901,392 | ||||||
ResMed Inc. | 795 | 168,985 | ||||||
STERIS PLC | 500 | 94,770 | ||||||
Stryker Corp. | 1,900 | 465,576 | ||||||
Teleflex Inc. | 260 | 107,008 | ||||||
Varian Medical Systems Inc. (a) | 534 | 93,455 | ||||||
Zimmer Biomet Holdings Inc. | 1,255 | 193,383 | ||||||
|
| |||||||
6,428,909 | ||||||||
|
| |||||||
Healthcare Facilities - 0.2% |
| |||||||
HCA Healthcare Inc. | 1,527 | 251,130 | ||||||
Universal Health Services Inc., Class B | 483 | 66,413 | ||||||
|
| |||||||
317,543 | ||||||||
|
| |||||||
Healthcare Services - 0.7% |
| |||||||
Cigna Corp. | 2,048 | 426,353 | ||||||
CVS Health Corp. | 7,487 | 511,362 | ||||||
DaVita Inc. (a) | 358 | 42,029 | ||||||
Laboratory Corporation of America Holdings (a) | 591 | 120,298 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street S&P 500 Index V.I.S. Fund | 9 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Quest Diagnostics Inc. | 800 | 95,336 | ||||||
|
| |||||||
1,195,378 | ||||||||
|
| |||||||
Healthcare Supplies - 0.3% |
| |||||||
Align Technology Inc. (a) | 361 | 192,911 | ||||||
DENTSPLY SIRONA Inc. | 1,277 | 66,864 | ||||||
The Cooper Companies Inc. | 257 | 93,373 | ||||||
West Pharmaceutical Services Inc. | 450 | 127,490 | ||||||
|
| |||||||
480,638 | ||||||||
|
| |||||||
Healthcare Technology - 0.1% |
| |||||||
Cerner Corp. | 1,893 | 148,563 | ||||||
|
| |||||||
Home Building - 0.2% |
| |||||||
D.R. Horton Inc. | 2,047 | 141,080 | ||||||
Lennar Corp., Class A | 1,653 | 126,008 | ||||||
NVR Inc. (a) | 20 | 81,597 | ||||||
PulteGroup Inc. | 1,535 | 66,189 | ||||||
|
| |||||||
414,874 | ||||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Leggett & Platt Inc. | 775 | 34,333 | ||||||
Mohawk Industries Inc. (a) | 400 | 56,380 | ||||||
|
| |||||||
90,713 | ||||||||
|
| |||||||
Home Improvement Retail - 1.3% |
| |||||||
Lowe’s Companies Inc. | 4,189 | 672,376 | ||||||
The Home Depot Inc. | 6,204 | 1,647,907 | ||||||
|
| |||||||
2,320,283 | ||||||||
|
| |||||||
Hotel & Resort REITs - 0.0%* |
| |||||||
Host Hotels & Resorts Inc. | 4,517 | 66,084 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Carnival Corp. | 2,900 | 62,814 | ||||||
Hilton Worldwide Holdings Inc. | 1,515 | 168,559 | ||||||
Marriott International Inc., Class A | 1,497 | 197,484 | ||||||
Norwegian Cruise Line Holdings Ltd. (a) | 1,500 | 38,145 | ||||||
Royal Caribbean Cruises Ltd. | 1,063 | 79,396 | ||||||
|
| |||||||
546,398 | ||||||||
|
| |||||||
Household Appliances - 0.0%* |
| |||||||
Whirlpool Corp. | 359 | 64,796 | ||||||
|
| |||||||
Household Products - 1.6% |
| |||||||
Church & Dwight Company Inc. | 1,538 | 134,160 |
Number of Shares | Fair $ | |||||||
Colgate-Palmolive Co. | 4,883 | 417,545 | ||||||
Kimberly-Clark Corp. | 2,001 | 269,795 | ||||||
The Clorox Co. | 684 | 138,113 | ||||||
The Procter & Gamble Co. | 14,299 | 1,989,563 | ||||||
|
| |||||||
2,949,176 | ||||||||
|
| |||||||
Housewares & Specialties - 0.0%* |
| |||||||
Newell Brands Inc. | 2,334 | 49,551 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.0%* |
| |||||||
Robert Half International Inc. | 575 | 35,926 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 1.1% |
| |||||||
Costco Wholesale Corp. | 2,532 | 954,007 | ||||||
Walmart Inc. | 7,969 | 1,148,731 | ||||||
|
| |||||||
2,102,738 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
The AES Corp. | 3,956 | 92,966 | ||||||
|
| |||||||
Industrial Conglomerates - 1.2% |
| |||||||
3M Co. | 3,367 | 588,518 | ||||||
General Electric Co. | 49,754 | 537,343 | ||||||
Honeywell International Inc. | 4,010 | 852,927 | ||||||
Roper Technologies Inc. | 628 | 270,725 | ||||||
|
| |||||||
2,249,513 | ||||||||
|
| |||||||
Industrial Gases - 0.6% |
| |||||||
Air Products & Chemicals Inc. | 1,287 | 351,634 | ||||||
Linde PLC | 2,996 | 789,476 | ||||||
|
| |||||||
1,141,110 | ||||||||
|
| |||||||
Industrial Machinery - 0.8% |
| |||||||
Dover Corp. | 806 | 101,758 | ||||||
Flowserve Corp. | 900 | 33,165 | ||||||
Fortive Corp. | 1,849 | 130,946 | ||||||
IDEX Corp. | 455 | 90,636 | ||||||
Illinois Tool Works Inc. | 1,678 | 342,111 | ||||||
Ingersoll Rand Inc. (a) | 2,211 | 100,733 | ||||||
Otis Worldwide Corp. | 2,285 | 154,352 | ||||||
Parker-Hannifin Corp. | 778 | 211,935 | ||||||
Pentair PLC | 1,146 | 60,841 | ||||||
Snap-on Inc. | 349 | 59,728 | ||||||
Stanley Black & Decker Inc. | 929 | 165,882 | ||||||
Xylem Inc. | 1,095 | 111,460 | ||||||
|
| |||||||
1,563,547 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
10 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Industrial REITs - 0.3% | ||||||||
Duke Realty Corp. | 2,291 | 91,571 | ||||||
Prologis Inc. | 4,212 | 419,768 | ||||||
|
| |||||||
511,339 | ||||||||
|
| |||||||
Insurance Brokers - 0.5% |
| |||||||
Aon PLC, Class A | 989 | 208,946 | ||||||
Arthur J Gallagher & Co. | 1,027 | 127,050 | ||||||
Marsh & McLennan Companies Inc. | 2,896 | 338,832 | ||||||
Willis Towers Watson PLC | 1,104 | 232,591 | ||||||
|
| |||||||
907,419 | ||||||||
|
| |||||||
Integrated Oil & Gas - 1.1% |
| |||||||
Chevron Corp. | 11,049 | 933,088 | ||||||
Exxon Mobil Corp. | 24,286 | 1,001,069 | ||||||
Occidental Petroleum Corp. | 5,149 | 89,129 | ||||||
|
| |||||||
2,023,286 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 1.4% |
| |||||||
AT&T Inc. | 40,975 | 1,178,441 | ||||||
Verizon Communications Inc. | 23,821 | 1,399,484 | ||||||
|
| |||||||
2,577,925 | ||||||||
|
| |||||||
Interactive Home Entertainment - 0.4% |
| |||||||
Activision Blizzard Inc. | 4,428 | 411,140 | ||||||
Electronic Arts Inc. | 1,598 | 229,473 | ||||||
Take-Two Interactive Software Inc. (a) | 691 | 143,583 | ||||||
|
| |||||||
784,196 | ||||||||
|
| |||||||
Interactive Media & Services - 5.4% |
| |||||||
Alphabet Inc., Class A (a) | 1,736 | 3,042,583 | ||||||
Alphabet Inc., Class C (a) | 1,666 | 2,918,632 | ||||||
Facebook Inc., Class A (a) | 13,804 | 3,770,700 | ||||||
Twitter Inc. (a) | 4,551 | 246,437 | ||||||
|
| |||||||
9,978,352 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.9% |
| |||||||
Amazon.com Inc. (a)(c) | 2,452 | 7,985,992 | ||||||
Booking Holdings Inc. (a) | 233 | 518,954 | ||||||
eBay Inc. | 3,855 | 193,714 | ||||||
Etsy Inc. (a) | 700 | 124,537 | ||||||
Expedia Group Inc. | 850 | 112,540 | ||||||
|
| |||||||
8,935,737 | ||||||||
|
| |||||||
Internet Services & Infrastructure - 0.1% |
| |||||||
Akamai Technologies Inc. (a) | 994 | 104,360 |
Number of Shares | Fair $ | |||||||
VeriSign Inc. (a) | 543 | 117,505 | ||||||
|
| |||||||
221,865 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 0.9% |
| |||||||
Morgan Stanley | 8,357 | 572,705 | ||||||
Raymond James Financial Inc. | 786 | 75,197 | ||||||
The Charles Schwab Corp. | 8,611 | 456,727 | ||||||
The Goldman Sachs Group Inc. | 1,952 | 514,762 | ||||||
|
| |||||||
1,619,391 | ||||||||
|
| |||||||
IT Consulting & Other Services - 1.1% |
| |||||||
Accenture PLC, Class A | 3,636 | 949,760 | ||||||
Cognizant Technology Solutions Corp., Class A | 2,986 | 244,703 | ||||||
DXC Technology Co. | 1,824 | 46,968 | ||||||
Gartner Inc. (a) | 537 | 86,022 | ||||||
International Business Machines Corp. | 5,056 | 636,449 | ||||||
Leidos Holdings Inc. | 800 | 84,096 | ||||||
|
| |||||||
2,047,998 | ||||||||
|
| |||||||
Leisure Products - 0.0%* |
| |||||||
Hasbro Inc. | 796 | 74,458 | ||||||
|
| |||||||
Life & Health Insurance - 0.4% |
| |||||||
Aflac Inc. | 3,566 | 158,580 | ||||||
Globe Life Inc. | 457 | 43,397 | ||||||
Lincoln National Corp. | 863 | 43,417 | ||||||
MetLife Inc. | 4,446 | 208,740 | ||||||
Principal Financial Group Inc. | 1,311 | 65,039 | ||||||
Prudential Financial Inc. | 2,205 | 172,144 | ||||||
Unum Group | 1,164 | 26,702 | ||||||
|
| |||||||
718,019 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.2% |
| |||||||
Agilent Technologies Inc. | 1,722 | 204,040 | ||||||
Bio-Rad Laboratories Inc., Class A (a) | 100 | 58,294 | ||||||
Illumina Inc. (a) | 803 | 297,110 | ||||||
IQVIA Holdings Inc. (a) | 1,103 | 197,625 | ||||||
Mettler-Toledo International Inc. (a) | 137 | 156,136 | ||||||
PerkinElmer Inc. | 711 | 102,029 | ||||||
Thermo Fisher Scientific Inc. | 2,276 | 1,060,115 | ||||||
Waters Corp. (a) | 384 | 95,009 | ||||||
|
| |||||||
2,170,358 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street S&P 500 Index V.I.S. Fund | 11 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Managed Healthcare - 1.6% |
| |||||||
Anthem Inc. | 1,412 | 453,379 | ||||||
Centene Corp. (a) | 3,195 | 191,796 | ||||||
Humana Inc. | 771 | 316,318 | ||||||
UnitedHealth Group Inc. | 5,470 | 1,918,220 | ||||||
|
| |||||||
2,879,713 | ||||||||
|
| |||||||
Metal & Glass Containers - 0.1% |
| |||||||
Ball Corp. | 1,882 | 175,365 | ||||||
|
| |||||||
Movies & Entertainment - 1.8% |
| |||||||
Live Nation Entertainment Inc. (a) | 800 | 58,784 | ||||||
Netflix Inc. (a) | 2,542 | 1,374,536 | ||||||
The Walt Disney Co. | 10,436 | 1,890,794 | ||||||
|
| |||||||
3,324,114 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.2% |
| |||||||
American International Group Inc. | 4,776 | 180,819 | ||||||
Assurant Inc. | 339 | 46,179 | ||||||
The Hartford Financial Services Group Inc. | 2,196 | 107,560 | ||||||
|
| |||||||
334,558 | ||||||||
|
| |||||||
Multi-Sector Holdings - 1.4% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 11,245 | 2,607,378 | ||||||
|
| |||||||
Multi-Utilities - 0.8% |
| |||||||
Ameren Corp. | 1,442 | 112,563 | ||||||
CenterPoint Energy Inc. | 2,964 | 64,141 | ||||||
CMS Energy Corp. | 1,749 | 106,706 | ||||||
Consolidated Edison Inc. | 2,079 | 150,249 | ||||||
Dominion Energy Inc. | 4,607 | 346,446 | ||||||
DTE Energy Co. | 1,180 | 143,264 | ||||||
NiSource Inc. | 2,515 | 57,694 | ||||||
Public Service Enterprise Group Inc. | 2,905 | 169,362 | ||||||
Sempra Energy | 1,700 | 216,597 | ||||||
WEC Energy Group Inc. | 1,835 | 168,875 | ||||||
|
| |||||||
1,535,897 | ||||||||
|
| |||||||
Office REITs - 0.1% |
| |||||||
Alexandria Real Estate Equities Inc. | 700 | 124,754 | ||||||
Boston Properties Inc. | 898 | 84,888 | ||||||
SL Green Realty Corp. | 115 | 6,851 | ||||||
Vornado Realty Trust | 811 | 30,283 | ||||||
|
| |||||||
246,776 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Oil & Gas Equipment & Services - 0.2% |
| |||||||
Baker Hughes Co. | 3,481 | 72,579 | ||||||
Halliburton Co. | 4,615 | 87,224 | ||||||
NOV Inc. | 2,846 | 39,076 | ||||||
Schlumberger N.V. | 7,704 | 168,178 | ||||||
TechnipFMC PLC | 2,686 | 25,248 | ||||||
|
| |||||||
392,305 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.5% |
| |||||||
Apache Corp. | 2,348 | 33,318 | ||||||
Cabot Oil & Gas Corp. | 2,380 | 38,746 | ||||||
Concho Resources Inc. | 1,300 | 75,855 | ||||||
ConocoPhillips | 6,235 | 249,338 | ||||||
Devon Energy Corp. | 2,184 | 34,529 | ||||||
Diamondback Energy Inc. | 1,100 | 53,240 | ||||||
EOG Resources Inc. | 3,500 | 174,545 | ||||||
Hess Corp. | 1,531 | 80,822 | ||||||
Marathon Oil Corp. | 5,742 | 38,299 | ||||||
Pioneer Natural Resources Co. | 1,009 | 114,915 | ||||||
|
| |||||||
893,607 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.3% |
| |||||||
HollyFrontier Corp. | 900 | 23,265 | ||||||
Marathon Petroleum Corp. | 3,983 | 164,737 | ||||||
Phillips 66 | 2,645 | 184,991 | ||||||
Valero Energy Corp. | 2,188 | 123,775 | ||||||
|
| |||||||
496,768 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation - 0.2% |
| |||||||
Kinder Morgan Inc. | 11,109 | 151,860 | ||||||
ONEOK Inc. | 2,700 | 103,626 | ||||||
The Williams Companies Inc. | 7,489 | 150,154 | ||||||
|
| |||||||
405,640 | ||||||||
|
| |||||||
Packaged Foods & Meats - 0.9% |
| |||||||
Campbell Soup Co. | 1,076 | 52,025 | ||||||
Conagra Brands Inc. | 2,954 | 107,112 | ||||||
General Mills Inc. | 3,499 | 205,741 | ||||||
Hormel Foods Corp. | 1,800 | 83,898 | ||||||
Kellogg Co. | 1,586 | 98,697 | ||||||
Lamb Weston Holdings Inc. | 868 | 68,346 | ||||||
McCormick & Company Inc. | 1,510 | 144,356 | ||||||
Mondelez International Inc., Class A | 8,128 | 475,244 | ||||||
The Hershey Co. | 789 | 120,188 | ||||||
The JM Smucker Co. | 747 | 86,353 | ||||||
The Kraft Heinz Co. | 3,828 | 132,679 | ||||||
Tyson Foods Inc., Class A | 1,766 | 113,801 | ||||||
|
| |||||||
1,688,440 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
12 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Paper Packaging - 0.3% |
| |||||||
Amcor PLC | 9,798 | 115,322 | ||||||
Avery Dennison Corp. | 492 | 76,314 | ||||||
International Paper Co. | 2,215 | 110,130 | ||||||
Packaging Corporation of America | 603 | 83,160 | ||||||
Sealed Air Corp. | 931 | 42,630 | ||||||
WestRock Co. | 1,358 | 59,114 | ||||||
|
| |||||||
486,670 | ||||||||
|
| |||||||
Personal Products - 0.2% |
| |||||||
The Estee Lauder Companies Inc., Class A | 1,306 | 347,644 | ||||||
|
| |||||||
Pharmaceuticals - 3.8% |
| |||||||
Bristol-Myers Squibb Co. | 12,905 | 800,497 | ||||||
Catalent Inc. (a) | 1,000 | 104,070 | ||||||
Eli Lilly & Co. | 4,547 | 767,716 | ||||||
Johnson & Johnson | 15,192 | 2,390,917 | ||||||
Merck & Company Inc. | 14,543 | 1,189,617 | ||||||
Perrigo Company PLC | 807 | 36,089 | ||||||
Pfizer Inc. | 31,962 | 1,176,521 | ||||||
Viatris Inc. (a) | 7,112 | 133,279 | ||||||
Zoetis Inc. | 2,689 | 445,030 | ||||||
|
| |||||||
7,043,736 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.7% |
| |||||||
Chubb Ltd. | 2,556 | 393,420 | ||||||
Cincinnati Financial Corp. | 923 | 80,642 | ||||||
Loews Corp. | 1,524 | 68,610 | ||||||
The Allstate Corp. | 1,790 | 196,775 | ||||||
The Progressive Corp. | 3,416 | 337,774 | ||||||
The Travelers Companies Inc. | 1,459 | 204,800 | ||||||
WR Berkley Corp. | 878 | 58,317 | ||||||
|
| |||||||
1,340,338 | ||||||||
|
| |||||||
Publishing - 0.0%* |
| |||||||
News Corp., Class A | 2,596 | 46,650 | ||||||
|
| |||||||
Railroads - 0.9% |
| |||||||
CSX Corp. | 4,488 | 407,286 | ||||||
Kansas City Southern | 528 | 107,781 | ||||||
Norfolk Southern Corp. | 1,482 | 352,138 | ||||||
Union Pacific Corp. | 3,859 | 803,521 | ||||||
|
| |||||||
1,670,726 | ||||||||
|
| |||||||
Real Estate Services - 0.1% |
| |||||||
CBRE Group Inc., Class A (a) | 1,921 | 120,485 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Regional Banks - 0.9% |
| |||||||
Citizens Financial Group Inc. | 2,500 | 89,400 | ||||||
Comerica Inc. | 848 | 47,369 | ||||||
Fifth Third Bancorp | 4,313 | 118,909 | ||||||
First Republic Bank | 1,036 | 152,220 | ||||||
Huntington Bancshares Inc. | 6,083 | 76,828 | ||||||
KeyCorp | 5,765 | 94,604 | ||||||
M&T Bank Corp. | 790 | 100,567 | ||||||
People’s United Financial Inc. | 2,459 | 31,795 | ||||||
Regions Financial Corp. | 5,743 | 92,577 | ||||||
SVB Financial Group (a) | 300 | 116,349 | ||||||
The PNC Financial Services Group Inc. | 2,484 | 370,116 | ||||||
Truist Financial Corp. | 7,568 | 362,734 | ||||||
Zions Bancorp NA | 1,000 | 43,440 | ||||||
|
| |||||||
1,696,908 | ||||||||
|
| |||||||
Reinsurance - 0.0%* |
| |||||||
Everest Re Group Ltd. | 200 | 46,818 | ||||||
|
| |||||||
Research & Consulting Services - 0.3% |
| |||||||
Equifax Inc. | 744 | 143,473 | ||||||
IHS Markit Ltd. | 2,131 | 191,428 | ||||||
Nielsen Holdings PLC | 2,328 | 48,585 | ||||||
Verisk Analytics Inc. | 895 | 185,793 | ||||||
|
| |||||||
569,279 | ||||||||
|
| |||||||
Residential REITs - 0.3% |
| |||||||
AvalonBay Communities Inc. | 869 | 139,414 | ||||||
Equity Residential | 2,103 | 124,666 | ||||||
Essex Property Trust Inc. | 337 | 80,010 | ||||||
Mid-America Apartment Communities Inc. | 700 | 88,683 | ||||||
UDR Inc. | 1,900 | 73,017 | ||||||
|
| |||||||
505,790 | ||||||||
|
| |||||||
Restaurants - 1.2% |
| |||||||
Chipotle Mexican Grill Inc. (a) | 160 | 221,873 | ||||||
Darden Restaurants Inc. | 782 | 93,152 | ||||||
Domino’s Pizza Inc. | 200 | 76,692 | ||||||
McDonald’s Corp. | 4,274 | 917,115 | ||||||
Starbucks Corp. | 6,841 | 731,850 | ||||||
Yum! Brands Inc. | 1,732 | 188,026 | ||||||
|
| |||||||
2,228,708 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street S&P 500 Index V.I.S. Fund | 13 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Retail REITs - 0.2% |
| |||||||
Federal Realty Investment Trust | 500 | 42,560 | ||||||
Kimco Realty Corp. | 3,097 | 46,486 | ||||||
Realty Income Corp. | 2,000 | 124,340 | ||||||
Regency Centers Corp. | 999 | 45,545 | ||||||
Simon Property Group Inc. | 1,862 | 158,791 | ||||||
|
| |||||||
417,722 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.6% |
| |||||||
Applied Materials Inc. | 5,170 | 446,171 | ||||||
KLA Corp. | 885 | 229,136 | ||||||
Lam Research Corp. | 819 | 386,789 | ||||||
Teradyne Inc. | 1,000 | 119,890 | ||||||
|
| |||||||
1,181,986 | ||||||||
|
| |||||||
Semiconductors - 4.4% |
| |||||||
Advanced Micro Devices Inc. (a) | 6,883 | 631,240 | ||||||
Analog Devices Inc. | 1,529 | 225,879 | ||||||
Broadcom Inc. | 2,307 | 1,010,120 | ||||||
Intel Corp. | 23,561 | 1,173,809 | ||||||
Maxim Integrated Products Inc. | 2,625 | 232,706 | ||||||
Microchip Technology Inc. | 1,451 | 200,398 | ||||||
Micron Technology Inc. (a) | 6,542 | 491,828 | ||||||
NVIDIA Corp. | 3,569 | 1,863,732 | ||||||
Qorvo Inc. (a) | 700 | 116,389 | ||||||
QUALCOMM Inc. | 6,470 | 985,640 | ||||||
Skyworks Solutions Inc. | 904 | 138,203 | ||||||
Texas Instruments Inc. | 5,262 | 863,652 | ||||||
Xilinx Inc. | 1,405 | 199,187 | ||||||
|
| |||||||
8,132,783 | ||||||||
|
| |||||||
Soft Drinks - 1.4% |
| |||||||
Monster Beverage Corp. (a) | 2,033 | 188,012 | ||||||
PepsiCo Inc. | 7,944 | 1,178,095 | ||||||
The Coca-Cola Co. | 22,236 | 1,219,422 | ||||||
|
| |||||||
2,585,529 | ||||||||
|
| |||||||
Specialized REITs - 1.2% |
| |||||||
American Tower Corp. | 2,524 | 566,537 | ||||||
Crown Castle International Corp. | 2,452 | 390,334 | ||||||
Digital Realty Trust Inc. | 1,555 | 216,938 | ||||||
Equinix Inc. | 521 | 372,088 | ||||||
Extra Space Storage Inc. | 800 | 92,688 | ||||||
Iron Mountain Inc. | 1,886 | 55,599 | ||||||
Public Storage | 877 | 202,526 | ||||||
SBA Communications Corp. | 609 | 171,817 |
Number of Shares | Fair $ | |||||||
Weyerhaeuser Co. | 4,467 | 149,778 | ||||||
|
| |||||||
2,218,305 | ||||||||
|
| |||||||
Specialty Chemicals - 0.8% |
| |||||||
Albemarle Corp. | 669 | 98,691 | ||||||
Celanese Corp. | 722 | 93,817 | ||||||
DuPont de Nemours Inc. | 4,255 | 302,573 | ||||||
Ecolab Inc. | 1,441 | 311,775 | ||||||
International Flavors & Fragrances Inc. | 647 | 70,419 | ||||||
PPG Industries Inc. | 1,378 | 198,735 | ||||||
The Sherwin-Williams Co. | 476 | 349,817 | ||||||
|
| |||||||
1,425,827 | ||||||||
|
| |||||||
Specialty Stores - 0.1% |
| |||||||
Tiffany & Co. | 553 | 72,692 | ||||||
Tractor Supply Co. | 637 | 89,549 | ||||||
Ulta Beauty Inc. (a) | 292 | 83,851 | ||||||
|
| |||||||
246,092 | ||||||||
|
| |||||||
Steel - 0.1% |
| |||||||
Nucor Corp. | 1,791 | 95,263 | ||||||
|
| |||||||
Systems Software - 6.1% |
| |||||||
Fortinet Inc. (a) | 800 | 118,824 | ||||||
Microsoft Corp. | 43,476 | 9,669,932 | ||||||
Nortonlifelock Inc. | 3,572 | 74,226 | ||||||
Oracle Corp. | 10,846 | 701,628 | ||||||
ServiceNow Inc. (a) | 1,120 | 616,481 | ||||||
|
| |||||||
11,181,091 | ||||||||
|
| |||||||
Technology Distributors - 0.1% |
| |||||||
CDW Corp. | 880 | 115,975 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 6.9% |
| |||||||
Apple Inc. | 91,921 | 12,196,997 | ||||||
Hewlett Packard Enterprise Co. | 6,633 | 78,601 | ||||||
HP Inc. | 7,664 | 188,458 | ||||||
NetApp Inc. | 1,158 | 76,706 | ||||||
Seagate Technology PLC | 1,432 | 89,013 | ||||||
Western Digital Corp. | 1,815 | 100,533 | ||||||
Xerox Holdings Corp. | 1,211 | 28,083 | ||||||
|
| |||||||
12,758,391 | ||||||||
|
| |||||||
Tobacco - 0.6% |
| |||||||
Altria Group Inc. | 10,605 | 434,805 | ||||||
Philip Morris International Inc. | 9,081 | 751,816 | ||||||
|
| |||||||
1,186,621 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
14 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Trading Companies & Distributors - 0.2% |
| |||||||
Fastenal Co. | 3,400 | 166,022 | ||||||
United Rentals Inc. (a) | 440 | 102,040 | ||||||
WW Grainger Inc. | 282 | 115,152 | ||||||
|
| |||||||
383,214 | ||||||||
|
| |||||||
Trucking - 0.1% |
| |||||||
JB Hunt Transport Services Inc. | 520 | 71,058 | ||||||
Old Dominion Freight Line Inc. | 600 | 117,108 | ||||||
|
| |||||||
188,166 | ||||||||
|
| |||||||
Water Utilities - 0.1% |
| |||||||
American Water Works Company Inc. | 1,099 | 168,664 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.2% |
| |||||||
T-Mobile US Inc. (a) | 3,401 | 458,625 | ||||||
|
| |||||||
Total Common Stock (Cost $56,831,790) |
| 182,136,362 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Short-Term Investments - 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund - Premier Class 0.10% | 1,280,065 | 1,280,321 | ||||||
|
| |||||||
Total Investments (Cost $58,112,111) |
| 183,416,683 | ||||||
Other Assets and Liabilities, net - 0.4% |
| 747,382 | ||||||
|
| |||||||
NET ASSETS - 100.0% | 184,164,065 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | March 2021 | 10 | $ | 1,826,995 | $ | 1,874,400 | $ | 47,405 | ||||||||||||
| �� |
During the period ended December 31, 2020, average notional value related to long futures contracts was $2,004,240.
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) | State Street Corp. is the parent company of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(c) | At December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures. |
(d) | Coupon amount represents effective yield. |
(e) | 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. |
† | Percentages are based on net assets as of December 31, 2020. |
* | Less than 0.05%. |
Abbreviations:
REIT - Real Estate Investment Trust
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street S&P 500 Index V.I.S. Fund | 15 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
Common Stock | $ | 182,136,362 | $ | — | $ | — | $ | 182,136,362 | ||||||||
Short-Term Investments | 1,280,321 | — | — | 1,280,321 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 183,416,683 | $ | — | $ | — | $ | 183,416,683 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Long Futures Contracts - Unrealized Appreciation | $ | 47,405 | $ | — | $ | — | $ | 47,405 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Corp. | 2,611 | $ | 206,530 | $ | — | $ | 42,229 | $ | (7,157 | ) | $ | (18,425 | ) | 1,906 | $ | 138,719 | $ | 1,358 | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 896,863 | 896,953 | 23,858,617 | 23,478,064 | 2,816 | (1 | ) | 1,280,065 | 1,280,321 | 7,757 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 1,103,483 | $ | 23,858,617 | $ | 23,520,294 | $ | (4,341 | ) | $ | (18,426 | ) | $ | 1,419,040 | $ | 9,115 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
16 | State Street S&P 500 Index V.I.S. Fund |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 4/15/85 | |||||||||||||||||||
Net asset value, beginning of period | $ | 46.61 | $ | 38.13 | $ | 44.09 | $ | 38.22 | $ | 36.16 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.72 | (a) | 0.75 | (a) | 0.74 | (a) | 0.71 | (a) | 0.72 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 7.61 | 11.09 | (2.86 | ) | 7.52 | 3.49 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 8.33 | 11.84 | (2.12 | ) | 8.23 | 4.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.88 | 0.62 | 0.80 | 0.79 | 0.73 | |||||||||||||||
Net realized gains | 4.10 | 2.74 | 3.04 | 1.57 | 1.42 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 4.98 | 3.36 | 3.84 | 2.36 | 2.15 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 49.96 | $ | 46.61 | $ | 38.13 | $ | 44.09 | $ | 38.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(b) | 17.92 | % | 31.05 | % | (4.73 | )% | 21.50 | % | 11.61 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 184,164 | $ | 186,771 | $ | 160,902 | $ | 194,117 | $ | 180,761 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.31 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.34 | %(c) | ||||||||||
Gross expenses | 0.31 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.37 | % | ||||||||||
Net investment income | 1.54 | % | 1.67 | % | 1.62 | % | 1.69 | % | 1.86 | % | ||||||||||
Portfolio turnover rate | 3 | % | 2 | % | 2 | % | 2 | % | 2 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(c) | Reflects a contractual arrangement with GE Asset Management Incorporated, the Fund’s investment adviser and administrator prior to July 1, 2016, to limit the advisory and administrative fee charged to the Fund to 0.30% of the average daily net assets of the Fund. |
The accompanying Notes are an integral part of these financial statements.
Financial Highlights | 17 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $56,734,030) | $ | 181,997,643 | ||
Investments in affiliated securities, at fair value (cost $1,378,081) | 1,419,040 | |||
Net cash collateral on deposit with broker for future contracts | 74,895 | |||
Receivable for investments sold | 587,996 | |||
Income receivables | 136,392 | |||
Receivable for fund shares sold | 7,367 | |||
Receivable for accumulated variation margin on futures contracts | 47,405 | |||
Other assets | 1,143 | |||
|
| |||
Total assets | 184,271,881 | |||
|
| |||
Liabilities | ||||
Payable for fund shares redeemed | 7,837 | |||
Payable to the Adviser | 38,460 | |||
Payable for custody, fund accounting and sub-administration fees | 7,694 | |||
Accrued other expenses | 53,825 | |||
|
| |||
Total liabilities | 107,816 | |||
|
| |||
Net Assets | $ | 184,164,065 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in | $ | 57,364,957 | ||
Total distributable earnings (loss) | 126,799,108 | |||
|
| |||
Net Assets | $ | 184,164,065 | ||
|
| |||
Shares outstanding ($0.01 par value; unlimited shares authorized) | 3,686,405 | |||
Net asset value per share | $ | 49.96 |
The accompanying Notes are an integral part of these financial statements.
18 | Statement of Assets and Liabilities |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
| |||
Income |
| |||
Dividend | $ | 3,154,327 | ||
Income from affiliated investments | 9,115 | |||
|
| |||
Total income | 3,163,442 | |||
|
| |||
Expenses |
| |||
Advisory and administration fees | 425,486 | |||
Directors’ fees | 19,994 | |||
Custody, fund accounting and sub-administration fees | 38,513 | |||
Professional fees | 32,988 | |||
Printing and shareholder reports | 16,380 | |||
Other expenses | 2,500 | |||
|
| |||
Total Expenses | 535,861 | |||
|
| |||
Net investment income | $ | 2,627,581 | ||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Realized gain (loss) on: |
| |||
Unaffiliated investments | $ | 17,662,051 | ||
Affiliated investments | (4,341 | ) | ||
Futures | 487,344 | |||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||
Unaffiliated investments | 6,129,009 | |||
Affiliated investments | (18,426 | ) | ||
Futures | 25,778 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | 24,281,415 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 26,908,996 | ||
|
|
The accompanying Notes are an integral part of these financial statements.
Statement of Operations | 19 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment income | $ | 2,627,581 | $ | 2,955,811 | ||||
Net realized gain (loss) on investments and futures | 18,145,054 | 10,692,819 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 6,136,361 | 33,694,133 | ||||||
|
|
|
| |||||
Net increase (decrease) from operations | 26,908,996 | 47,342,763 | ||||||
|
|
|
| |||||
Distributions to shareholders: |
| |||||||
Total distributions | (16,701,378 | ) | (12,616,644 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 10,207,618 | 34,726,119 | ||||||
|
|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares | 3,703,237 | 4,643,425 | ||||||
Value of distributions reinvested | 16,701,377 | 12,616,644 | ||||||
Cost of shares redeemed | (33,218,777 | ) | (26,117,849 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (12,814,163 | ) | (8,857,780 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (2,606,545 | ) | 25,868,339 | |||||
Net Assets |
| |||||||
Beginning of year | 186,770,610 | 160,902,271 | ||||||
|
|
|
| |||||
End of year | $ | 184,164,065 | $ | 186,770,610 | ||||
|
|
|
| |||||
Changes in Fund Shares |
| |||||||
Shares sold | 82,249 | 103,613 | ||||||
Issued for distributions reinvested | 336,247 | 269,932 | ||||||
Shares redeemed | (739,201 | ) | (586,550 | ) | ||||
|
|
|
| |||||
Net decrease in fund shares | (320,705 | ) | (213,005 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
20 | Statements of Changes in Net Assets |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund (the “Fund”), State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments 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. |
• | 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. |
• | 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. |
Notes to Financial Statements | 21 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
• | 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
The Fund invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as return of capital or capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
22 | Notes to Financial Statements |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts for cash equitization.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street S&P 500 Index V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 47,405 | $ | — | $ | 47,405 |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street S&P 500 Index V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 487,344 | $ | — | $ | 487,344 |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street S&P 500 Index V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 25,778 | $ | — | $ | 25,788 |
Notes to Financial Statements | 23 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
4. | Fees and Transactions with Affiliates |
Advisory Fee The Adviser, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.25%.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
5. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended, December 31, 2020 were as follows:
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 5,219,249 | $ | 32,255,139 |
7. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, REIT basis adjustments, corporate actions, futures contracts, passive foreign investment company inclusions, Non-REIT return of capital basis adjustments and wash sale loss deferrals.
24 | Notes to Financial Statements |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 3,111,510 | $ | 13,589,868 | $ | 16,701,378 |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 2,536,339 | $ | 10,080,305 | $ | 12,616,644 |
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | |||||||||||||||||||||||
$ | 817,612 | $ | — | $ | 5,307,355 | $ | 120,674,164 | $ | — | $ | 126,799,131 |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 62,789,924 | $ | 123,652,263 | $ | 2,978,099 | $ | 120,674,164 |
8. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
9. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets
Notes to Financial Statements | 25 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided the Fund by its service providers.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
26 | Notes to Financial Statements |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street S&P 500 Index V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street S&P 500 Index V.I.S. Fund (the “Fund”) (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
Report of Independent Registered Public Accounting Firm | 27 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the Fund during the year ended December 31, 2020 in the amount of $13,589,868.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
28 | Other Information |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at http://www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedule of investments are available upon request, without charge, by calling 1-800-242-0134.
Other Information | 29 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.(1992 – 2017); Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
30 | Other Information |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
Other Information | 31 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS(1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(3) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
32 | Other Information |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
Other Information | 33 |
Table of Contents
State Street S&P 500 Index V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
34 | Other Information |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Lancaster, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street Small-Cap Equity V.I.S. Fund
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Annual Report
December 31, 2020
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance page relates to the State Street Small-Cap Equity V.I.S. Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The Russell 2000® Index is an unmanaged market capitalization-weighted index consisting of 2,000 of the smallest U.S.-domiciled publicly traded common stocks that are included in the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S. domiciled companies.
Russell Investment Group owns the Russell Index data, including all applicable trademarks and copyrights, used by SSGA Funds Management, Inc. (“SSGA FM”) in these materials. Any unauthorized use or redistribution of such Russell Index data is strictly prohibited. Russell Investment Group is not responsible for the configuration of this material or for any inaccuracy in SSGA FM’s presentation thereof.
The results shown for the foregoing index assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise the index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Management Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street Small-Cap Equity V.I.S. Fund (the “Fund”) seeks to provide long-term growth of capital by investing at least 80% of its net assets under normal circumstances in common and preferred stocks and other types of equity securities of small-cap companies. The Fund’s benchmark is the Russell 2000 Index (the “Index”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was 14.53% and the Index was 19.96%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Champlain, Kennedy and GlobeFlex were the primary drivers of Fund performance during the Reporting Period relative to the Index. Champlain was the largest positive contributor riding a strong growth market to substantial outperformance. Champlain’s growth-at-a-reasonable-price portfolio has a heavy technology bias which was additive to returns throughout the year, particularly in cloud computing and software-as-a-service holdings. Kennedy, which employs a value-with-a-catalyst approach to investing leads their portfolio into lower priced value securities which were not in favor across the market in 2020. GlobeFlex has a quality-growth bias in their portfolio which was the weakest of the growth areas, which cost the strategy against both the growth index and the broad market index. All of the other investment managers in the portfolio lagged the broader benchmark due to quality and disciplined value characteristics in their portfolio.
Derivatives did not meaningfully add to or detract from returns and are only used to neutralize the cash in the liquidity sleeve of the account to manage daily flows. The only derivative contracts used are the Russell 2000 e-Mini Futures to match the benchmark and not to speculate in either direction.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Ritchie Bros Auctioneers, CoreLogic Inc. and Catalent Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Icon PLC, Belden Inc., and Syneos Health Inc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,345.70 | $ | 1,019.00 | ||||
Expenses Paid During Period* | $ | 7.19 | $ | 6.19 |
* | Expenses are equal to the Fund’s annualized expense ratio of 1.22%** (for the period July 1, 2020 - December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Small-Cap Equity V.I.S. Fund | 3 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Ingevity Corp. | 1.37 | % | ||
The Brink’s Co. | 1.32 | % | ||
Darling Ingredients Inc. | 1.26 | % | ||
Altra Industrial Motion Corp. | 1.11 | % | ||
Crane Co. | 1.06 | % | ||
Extended Stay America Inc. | 1.05 | % | ||
Dycom Industries Inc. | 1.04 | % | ||
Sanderson Farms Inc. | 1.00 | % | ||
AGCO Corp. | 0.97 | % | ||
The Timken Co. | 0.94 | % |
Sector Allocation as of December 31, 2020
Portfolio composition as a % of Fair Value of $34,464 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return for the periods ended December 31, 2020
Class 1 Shares (Inception Date 4/28/00)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Small-Cap Equity V.I.S. Fund | 14.53 | % | 12.72 | % | 11.34 | % | $ | 29,280 | ||||||||
Russell 2000® Index | 19.96 | % | 13.26 | % | 11.21 | % | $ | 28,920 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street Small-Cap Equity V.I.S. Fund | 5 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 95.3%† |
| |||||||
Aerospace & Defense - 0.5% |
| |||||||
Teledyne Technologies Inc. (a) | 439 | 172,079 | ||||||
|
| |||||||
Agricultural & Farm Machinery - 1.0% |
| |||||||
AGCO Corp. | 3,232 | 333,187 | ||||||
|
| |||||||
Agricultural Products - 1.3% |
| |||||||
Darling Ingredients Inc. (a) | 7,531 | 434,388 | ||||||
|
| |||||||
Air Freight & Logistics - 0.3% |
| |||||||
Air Transport Services Group Inc. (a) | 917 | 28,739 | ||||||
Atlas Air Worldwide Holdings Inc. (a) | 219 | 11,944 | ||||||
Echo Global Logistics Inc. (a) | 911 | 24,433 | ||||||
Forward Air Corp. | 403 | 30,967 | ||||||
Hub Group Inc., Class A (a) | 402 | 22,914 | ||||||
|
| |||||||
118,997 | ||||||||
|
| |||||||
Aluminum - 0.2% |
| |||||||
Alcoa Corp. (a) | 2,147 | 49,489 | ||||||
Kaiser Aluminum Corp. | 207 | 20,472 | ||||||
|
| |||||||
69,961 | ||||||||
|
| |||||||
Apparel Retail - 0.8% |
| |||||||
American Eagle Outfitters Inc. | 4,238 | 85,057 | ||||||
Burlington Stores Inc. (a) | 407 | 106,451 | ||||||
Chico’s FAS Inc. | 5,599 | 8,902 | ||||||
The Buckle Inc. | 3,139 | 91,659 | ||||||
|
| |||||||
292,069 | ||||||||
|
| |||||||
Application Software - 6.0% |
| |||||||
ACI Worldwide Inc. (a) | 4,761 | 182,965 | ||||||
Altair Engineering Inc., Class A (a) | 1,784 | 103,793 | ||||||
Blackbaud Inc. | 2,242 | 129,050 | ||||||
Blackline Inc. (a) | 1,143 | 152,453 | ||||||
Box Inc., Class A (a) | 988 | 17,833 | ||||||
Cloudera Inc. (a) | 3,216 | 44,735 | ||||||
Cornerstone OnDemand Inc. (a) | 2,209 | 97,284 | ||||||
Envestnet Inc. (a) | 880 | 72,415 | ||||||
J2 Global Inc. (a) | 124 | 12,114 | ||||||
Medallia Inc. (a) | 6,170 | 204,967 | ||||||
MicroStrategy Inc., Class A (a) | 85 | 33,027 | ||||||
Mitek Systems Inc. (a) | 1,855 | 32,982 | ||||||
New Relic Inc. (a) | 3,040 | 198,816 | ||||||
Pluralsight Inc., Class A (a) | 4,330 | 90,757 | ||||||
Q2 Holdings Inc. (a) | 2,195 | 277,733 | ||||||
RealPage Inc. (a) | 1,482 | 129,290 |
Number of Shares | Fair $ | |||||||
SPS Commerce Inc. (a) | 150 | 16,289 | ||||||
Upland Software Inc. (a) | 584 | 26,800 | ||||||
Workiva Inc. (a) | 910 | 83,374 | ||||||
Yext Inc. (a) | 10,210 | 160,501 | ||||||
|
| |||||||
2,067,178 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.2% |
| |||||||
Artisan Partners Asset Management Inc., Class A | 401 | 20,186 | ||||||
Blucora Inc. (a) | 683 | 10,867 | ||||||
Cohen & Steers Inc. | 297 | 22,067 | ||||||
Diamond Hill Investment Group Inc. | 104 | 15,524 | ||||||
Federated Hermes Inc. | 516 | 14,907 | ||||||
|
| |||||||
83,551 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.8% |
| |||||||
Dana Inc. | 2,603 | 50,811 | ||||||
Dorman Products Inc. (a) | 1,833 | 159,141 | ||||||
LCI Industries | 437 | 56,670 | ||||||
Standard Motor Products Inc. | 599 | 24,235 | ||||||
|
| |||||||
290,857 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.8% |
| |||||||
Thor Industries Inc. | 3,091 | 287,432 | ||||||
|
| |||||||
Automotive Retail - 1.6% | ||||||||
America’s Car-Mart Inc. (a) | 668 | 73,373 | ||||||
Camping World Holdings Inc., Class A | 417 | 10,863 | ||||||
Group 1 Automotive Inc. | 1,183 | 155,139 | ||||||
Lithia Motors Inc., Class A | 57 | 16,682 | ||||||
Monro Inc. | 887 | 47,277 | ||||||
Murphy USA Inc. | 1,963 | 256,898 | ||||||
|
| |||||||
560,232 | ||||||||
|
| |||||||
Biotechnology - 1.1% | ||||||||
Catalyst Pharmaceuticals Inc. (a) | 8,801 | 29,395 | ||||||
Coherus Biosciences Inc. (a) | 559 | 9,715 | ||||||
Eagle Pharmaceuticals Inc. (a) | 188 | 8,755 | ||||||
Emergent BioSolutions Inc. (a) | 2,255 | 202,048 | ||||||
Heron Therapeutics Inc. (a) | 4,022 | 85,126 | ||||||
Ironwood Pharmaceuticals Inc. (a) | 1,304 | 14,853 | ||||||
Ligand Pharmaceuticals Inc. (a) | 179 | 17,801 | ||||||
Vanda Pharmaceuticals Inc. (a) | 885 | 11,629 | ||||||
Vericel Corp. (a) | 320 | 9,882 | ||||||
|
| |||||||
389,204 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Building Products - 0.9% | ||||||||
American Woodmark Corp. (a) | 425 | 39,886 | ||||||
Builders FirstSource Inc. (a) | 891 | 36,362 | ||||||
CSW Industrials Inc. | 495 | 55,395 | ||||||
Gibraltar Industries Inc. (a) | 1,698 | 122,154 | ||||||
UFP Industries Inc. | 1,118 | 62,105 | ||||||
|
| |||||||
315,902 | ||||||||
|
| |||||||
Commodity Chemicals - 0.6% |
| |||||||
Koppers Holdings Inc. (a) | 6,312 | 196,682 | ||||||
|
| |||||||
Communications Equipment - 0.7% |
| |||||||
Acacia Communications Inc. (a) | 383 | 27,944 | ||||||
Casa Systems Inc. (a) | 2,382 | 14,697 | ||||||
CommScope Holding Company Inc. (a) | 624 | 8,362 | ||||||
Extreme Networks Inc. (a) | 9,986 | 68,804 | ||||||
Infinera Corp. (a) | 2,761 | 28,935 | ||||||
Lumentum Holdings Inc. (a) | 553 | 52,424 | ||||||
NETGEAR Inc. (a) | 408 | 16,577 | ||||||
Plantronics Inc. | 1,373 | 37,112 | ||||||
|
| |||||||
254,855 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.1% |
| |||||||
Rent-A-Center Inc. | 628 | 24,046 | ||||||
|
| |||||||
Construction & Engineering - 1.9% |
| |||||||
Aegion Corp. (a) | 6,686 | 126,967 | ||||||
Comfort Systems USA Inc. | 284 | 14,955 | ||||||
Dycom Industries Inc. (a) | 4,753 | 358,947 | ||||||
EMCOR Group Inc. | 278 | 25,426 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 2,470 | 32,530 | ||||||
MasTec Inc. (a) | 355 | 24,204 | ||||||
Valmont Industries Inc. | 385 | 67,348 | ||||||
|
| |||||||
650,377 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 1.1% |
| |||||||
Alamo Group Inc. | 528 | 72,838 | ||||||
Allison Transmission Holdings Inc. | 295 | 12,723 | ||||||
Astec Industries Inc. | 899 | 52,034 | ||||||
Meritor Inc. (a) | 1,810 | 50,517 | ||||||
The Greenbrier Companies Inc. | 1,664 | 60,536 | ||||||
The Manitowoc Company Inc. (a) | 3,246 | 43,204 | ||||||
Trinity Industries Inc. | 1,015 | 26,786 | ||||||
Wabash National Corp. | 2,756 | 47,486 | ||||||
|
| |||||||
366,124 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Construction Materials - 0.1% |
| |||||||
Eagle Materials Inc. | 392 | 39,729 | ||||||
|
| |||||||
Consumer Electronics - 0.2% |
| |||||||
GoPro Inc., Class A (a) | 972 | 8,048 | ||||||
Sonos Inc. (a) | 831 | 19,437 | ||||||
Turtle Beach Corp. (a) | 951 | 20,494 | ||||||
Universal Electronics Inc. (a) | 255 | 13,378 | ||||||
|
| |||||||
61,357 | ||||||||
|
| |||||||
Consumer Finance - 0.3% |
| |||||||
Curo Group Holdings Corp. | 963 | 13,800 | ||||||
Prog Holdings Inc. | 1,911 | 102,945 | ||||||
|
| |||||||
116,745 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 1.4% |
| |||||||
Broadridge Financial Solutions Inc. | 790 | 121,028 | ||||||
Cass Information Systems Inc. | 193 | 7,510 | ||||||
CSG Systems International Inc. | 1,969 | 88,743 | ||||||
EVERTEC Inc. | 903 | 35,506 | ||||||
MAXIMUS Inc. | 327 | 23,933 | ||||||
NIC Inc. | 5,512 | 142,375 | ||||||
TTEC Holdings Inc. | 213 | 15,534 | ||||||
Verra Mobility Corp. (a) | 3,503 | 47,010 | ||||||
|
| |||||||
481,639 | ||||||||
|
| |||||||
Distillers & Vintners - 0.6% | ||||||||
MGP Ingredients Inc. | 4,578 | 215,441 | ||||||
|
| |||||||
Distributors - 0.5% | ||||||||
LKQ Corp. (a) | 4,454 | 156,959 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.3% |
| |||||||
Compass Minerals International Inc. | 1,407 | 86,840 | ||||||
Materion Corp. | 342 | 21,792 | ||||||
|
| |||||||
108,632 | ||||||||
|
| |||||||
Diversified REITs - 0.2% | ||||||||
American Assets Trust Inc. | 1,663 | 48,027 | ||||||
Essential Properties Realty Trust Inc. | 1,314 | 27,857 | ||||||
|
| |||||||
75,884 | ||||||||
|
| |||||||
Diversified Support Services - 1.6% |
| |||||||
Healthcare Services Group Inc. | 3,999 | 112,372 | ||||||
IAA Inc. (a) | 1,321 | 85,838 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Small-Cap Equity V.I.S. Fund | 7 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Matthews International Corp., Class A | 2,024 | 59,506 | ||||||
McGrath RentCorp. | 210 | 14,091 | ||||||
Ritchie Bros Auctioneers Inc. | 3,483 | 242,243 | ||||||
UniFirst Corp. | 203 | 42,973 | ||||||
|
| |||||||
557,023 | ||||||||
|
| |||||||
Education Services - 0.2% | ||||||||
American Public Education Inc. (a) | 373 | 11,369 | ||||||
Perdoceo Education Corp. (a) | 631 | 7,970 | ||||||
Stride Inc. (a) | 2,200 | 46,706 | ||||||
|
| |||||||
66,045 | ||||||||
|
| |||||||
Electric Utilities - 0.8% | ||||||||
ALLETE Inc. | 514 | 31,837 | ||||||
IDACORP Inc. | 2,420 | 232,393 | ||||||
|
| |||||||
264,230 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.6% |
| |||||||
Acuity Brands Inc. | 207 | 25,066 | ||||||
Atkore International Group Inc. (a) | 667 | 27,420 | ||||||
EnerSys | 185 | 15,366 | ||||||
Generac Holdings Inc. (a) | 325 | 73,908 | ||||||
Regal Beloit Corp. | 549 | 67,423 | ||||||
|
| |||||||
209,183 | ||||||||
|
| |||||||
Electronic Components - 1.5% |
| |||||||
Belden Inc. | 5,644 | 236,484 | ||||||
II-VI Inc. (a) | 495 | 37,600 | ||||||
Littelfuse Inc. | 865 | 220,281 | ||||||
Rogers Corp. (a) | 241 | 37,425 | ||||||
|
| |||||||
531,790 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.4% |
| |||||||
National Instruments Corp. | 2,666 | 117,144 | ||||||
OSI Systems Inc. (a) | 66 | 6,153 | ||||||
|
| |||||||
123,297 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.4% |
| |||||||
Methode Electronics Inc. | 1,217 | 46,587 | ||||||
Plexus Corp. (a) | 793 | 62,021 | ||||||
Sanmina Corp. (a) | 715 | 22,801 | ||||||
|
| |||||||
131,409 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.8% |
| |||||||
Clean Harbors Inc. (a) | 3,737 | 284,386 | ||||||
|
| |||||||
Food Distributors - 0.4% | ||||||||
Performance Food Group Co. (a) | 2,760 | 131,404 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Food Retail - 0.1% | ||||||||
Casey’s General Stores Inc. | 120 | 21,435 | ||||||
Sprouts Farmers Market Inc. (a) | 971 | 19,517 | ||||||
|
| |||||||
40,952 | ||||||||
|
| |||||||
Footwear - 0.6% | ||||||||
Deckers Outdoor Corp. (a) | 275 | 78,864 | ||||||
Wolverine World Wide Inc. | 4,495 | 140,469 | ||||||
|
| |||||||
219,333 | ||||||||
|
| |||||||
Gas Utilities - 0.1% | ||||||||
Spire Inc. | 681 | 43,611 | ||||||
|
| |||||||
Health Care REITs - 0.3% | ||||||||
CareTrust REIT Inc. | 1,468 | 32,560 | ||||||
LTC Properties Inc. | 281 | 10,934 | ||||||
National Health Investors Inc. | 721 | 49,872 | ||||||
|
| |||||||
93,366 | ||||||||
|
| |||||||
Healthcare Distributors - 0.4% |
| |||||||
Covetrus Inc. (a) | 4,477 | 128,669 | ||||||
|
| |||||||
Healthcare Equipment - 5.0% |
| |||||||
AtriCure Inc. (a) | 2,830 | 157,546 | ||||||
Cantel Medical Corp. | 2,600 | 205,036 | ||||||
Cardiovascular Systems Inc. (a) | 4,045 | 177,009 | ||||||
CONMED Corp. | 2,170 | 243,040 | ||||||
Envista Holdings Corp. (a) | 1,080 | 36,428 | ||||||
Globus Medical Inc., Class A (a) | 1,385 | 90,330 | ||||||
Hill-Rom Holdings Inc. | 2,070 | 202,798 | ||||||
Integra LifeSciences Holdings Corp. (a) | 3,800 | 246,696 | ||||||
IntriCon Corp. (a) | 1,999 | 36,182 | ||||||
LeMaitre Vascular Inc. | 835 | 33,817 | ||||||
Masimo Corp. (a) | 215 | 57,702 | ||||||
Natus Medical Inc. (a) | 1,449 | 29,038 | ||||||
Penumbra Inc. (a) | 615 | 107,625 | ||||||
Tactile Systems Technology Inc. (a) | 1,855 | 83,364 | ||||||
Vapotherm Inc. (a) | 980 | 26,323 | ||||||
|
| |||||||
1,732,934 | ||||||||
|
| |||||||
Healthcare Facilities - 0.9% |
| |||||||
Acadia Healthcare Company Inc. (a) | 3,724 | 187,168 | ||||||
Hanger Inc. (a) | 2,169 | 47,696 | ||||||
Select Medical Holdings Corp. (a) | 1,172 | 32,418 |
See Notes to Schedule of Investments and Notes to Financial Statements.
8 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
The Ensign Group Inc. | 415 | 30,262 | ||||||
|
| |||||||
297,544 | ||||||||
|
| |||||||
Healthcare Services - 1.4% | ||||||||
Addus HomeCare Corp. (a) | 251 | 29,390 | ||||||
Amedisys Inc. (a) | 151 | 44,293 | ||||||
AMN Healthcare Services Inc. (a) | 1,167 | 79,648 | ||||||
BioTelemetry Inc. (a) | 2,433 | 175,371 | ||||||
InfuSystem Holdings Inc. (a) | 1,347 | 25,297 | ||||||
MEDNAX Inc. (a) | 3,427 | 84,098 | ||||||
The Providence Service Corp. (a) | 113 | 15,665 | ||||||
Tivity Health Inc. (a) | 794 | 15,554 | ||||||
|
| |||||||
469,316 | ||||||||
|
| |||||||
Healthcare Supplies - 0.7% | ||||||||
Avanos Medical Inc. (a) | 4,450 | 204,166 | ||||||
Meridian Bioscience Inc. (a) | 709 | 13,251 | ||||||
Quidel Corp. (a) | 193 | 34,673 | ||||||
|
| |||||||
252,090 | ||||||||
|
| |||||||
Healthcare Technology - 1.5% |
| |||||||
Computer Programs and Systems Inc. | 629 | 16,882 | ||||||
HMS Holdings Corp. (a) | 4,263 | 156,665 | ||||||
Inspire Medical Systems Inc. (a) | 735 | 138,246 | ||||||
NextGen Healthcare Inc. (a) | 2,849 | 51,966 | ||||||
Omnicell Inc. (a) | 1,298 | 155,786 | ||||||
|
| |||||||
519,545 | ||||||||
|
| |||||||
Home Building - 1.2% | ||||||||
Cavco Industries Inc. (a) | 251 | 44,038 | ||||||
Century Communities Inc. (a) | 372 | 16,286 | ||||||
Green Brick Partners Inc. (a) | 826 | 18,965 | ||||||
Installed Building Products Inc. (a) | 192 | 19,570 | ||||||
LGI Homes Inc. (a) | 622 | 65,839 | ||||||
M/I Homes Inc. (a) | 278 | 12,313 | ||||||
Meritage Homes Corp. (a) | 231 | 19,131 | ||||||
Skyline Champion Corp. (a) | 724 | 22,400 | ||||||
Taylor Morrison Home Corp. (a) | 2,915 | 74,770 | ||||||
TopBuild Corp. (a) | 660 | 121,493 | ||||||
TRI Pointe Group Inc. (a) | 859 | 14,818 | ||||||
|
| |||||||
429,623 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.2% |
| |||||||
The Aaron’s Company Inc. (a) | 2,797 | 53,031 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Home Furnishings - 0.3% | ||||||||
Hooker Furniture Corp. | 616 | 19,866 | ||||||
La-Z-Boy Inc. | 1,910 | 76,094 | ||||||
Purple Innovation Inc. (a) | 675 | 22,235 | ||||||
|
| |||||||
118,195 | ||||||||
|
| |||||||
Home Improvement Retail - 0.0%* |
| |||||||
Lumber Liquidators Holdings Inc. (a) | 506 | 15,554 | ||||||
|
| |||||||
Hotel & Resort REITs - 0.3% |
| |||||||
RLJ Lodging Trust | 6,208 | 87,843 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 1.1% |
| |||||||
Extended Stay America Inc. | 24,523 | 363,186 | ||||||
Wyndham Hotels & Resorts Inc. | 232 | 13,790 | ||||||
|
| |||||||
376,976 | ||||||||
|
| |||||||
Household Appliances - 0.1% |
| |||||||
Helen of Troy Ltd. (a) | 168 | 37,328 | ||||||
|
| |||||||
Household Products - 0.1% |
| |||||||
Central Garden & Pet Co. (a) | 299 | 11,544 | ||||||
Central Garden & Pet Co., (a) Class A | 357 | 12,970 | ||||||
|
| |||||||
24,514 | ||||||||
|
| |||||||
Human Resource & Employment Services - 0.3% |
| |||||||
ASGN Inc. (a) | 374 | 31,240 | ||||||
Heidrick & Struggles International Inc. | 516 | 15,160 | ||||||
Kforce Inc. | 759 | 31,947 | ||||||
TriNet Group Inc. (a) | 105 | 8,463 | ||||||
|
| |||||||
86,810 | ||||||||
|
| |||||||
Hypermarkets & Super Centers - 0.1% |
| |||||||
BJ’s Wholesale Club Holdings Inc. (a) | 816 | 30,420 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.0%* |
| |||||||
Atlantic Power Corp. (a) | 5,479 | 11,506 | ||||||
|
| |||||||
Industrial Machinery - 7.3% |
| |||||||
Albany International Corp., Class A | 380 | 27,900 | ||||||
Altra Industrial Motion Corp. | 6,907 | 382,855 | ||||||
Barnes Group Inc. | 5,794 | 293,698 | ||||||
Crane Co. | 4,694 | 364,536 | ||||||
Enerpac Tool Group Corp. | 8,600 | 194,446 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Small-Cap Equity V.I.S. Fund | 9 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Evoqua Water Technologies Corp. (a) | 5,475 | 147,716 | ||||||
John Bean Technologies Corp. | 2,250 | 256,207 | ||||||
L B Foster Co., Class A (a) | 1,128 | 16,976 | ||||||
Lydall Inc. (a) | 1,313 | 39,429 | ||||||
Mueller Industries Inc. | 3,738 | 131,241 | ||||||
RBC Bearings Inc. (a) | 320 | 57,293 | ||||||
Standex International Corp. | 855 | 66,280 | ||||||
The Timken Co. | 4,200 | 324,912 | ||||||
TriMas Corp. (a) | 4,340 | 137,448 | ||||||
Woodward Inc. | 659 | 80,088 | ||||||
|
| |||||||
2,521,025 | ||||||||
|
| |||||||
Industrial REITs - 0.6% | ||||||||
EastGroup Properties Inc. | 1,377 | 190,108 | ||||||
Innovative Industrial Properties Inc. | 167 | 30,583 | ||||||
|
| |||||||
220,691 | ||||||||
|
| |||||||
Interactive Media & Services - 0.0%* |
| |||||||
Cargurus Inc. (a) | 493 | 15,643 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.5% |
| |||||||
1-800-Flowers.com Inc., Class A (a) | 1,092 | 28,392 | ||||||
Revolve Group Inc. (a) | 4,171 | 130,010 | ||||||
|
| |||||||
158,402 | ||||||||
|
| |||||||
Internet Services & Infrastructure - 0.1% |
| |||||||
Brightcove Inc. (a) | 1,294 | 23,810 | ||||||
|
| |||||||
Investment Banking & Brokerage - 1.0% |
| |||||||
Piper Sandler Cos. | 1,088 | 109,779 | ||||||
PJT Partners Inc., Class A | 214 | 16,103 | ||||||
Raymond James Financial Inc. | 1,404 | 134,321 | ||||||
Stifel Financial Corp. | 1,566 | 79,020 | ||||||
Stonex Group Inc. (a) | 219 | 12,680 | ||||||
Virtu Financial Inc., Class A | 374 | 9,414 | ||||||
|
| |||||||
361,317 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.5% |
| |||||||
Perficient Inc. (a) | 513 | 24,444 | ||||||
Perspecta Inc. | 458 | 11,029 | ||||||
Science Applications International Corp. | 178 | 16,846 | ||||||
Unisys Corp. (a) | 6,148 | 120,993 | ||||||
|
| |||||||
173,312 | ||||||||
|
| |||||||
Leisure Products - 1.0% | ||||||||
Malibu Boats Inc., Class A (a) | 464 | 28,972 |
Number of Shares | Fair $ | |||||||
MasterCraft Boat Holdings Inc. (a) | 1,067 | 26,504 | ||||||
Polaris Inc. | 3,210 | 305,849 | ||||||
|
| |||||||
361,325 | ||||||||
|
| |||||||
Life & Health Insurance - 0.3% |
| |||||||
Trupanion Inc. (a) | 931 | 111,450 | ||||||
|
| |||||||
Life Sciences Tools & Services - 2.9% |
| |||||||
Bruker Corp. | 2,800 | 151,564 | ||||||
ICON PLC (a) | 1,168 | 227,737 | ||||||
Medpace Holdings Inc. (a) | 334 | 46,493 | ||||||
PRA Health Sciences Inc. (a) | 266 | 33,367 | ||||||
Repligen Corp. (a) | 1,423 | 272,689 | ||||||
Syneos Health Inc. (a) | 4,088 | 278,515 | ||||||
|
| |||||||
1,010,365 | ||||||||
|
| |||||||
Marine - 0.2% | ||||||||
Kirby Corp. (a) | 1,031 | 53,437 | ||||||
|
| |||||||
Metal & Glass Containers - 0.0%* |
| |||||||
Silgan Holdings Inc. | 218 | 8,083 | ||||||
|
| |||||||
Multi-Line Insurance - 0.3% |
| |||||||
Horace Mann Educators Corp. | 2,349 | 98,752 | ||||||
|
| |||||||
Multi-Utilities - 0.1% | ||||||||
Black Hills Corp. | 552 | 33,920 | ||||||
|
| |||||||
Office REITs - 0.7% | ||||||||
Corporate Office Properties Trust | 1,717 | 44,779 | ||||||
Cousins Properties Inc. | 4,226 | 141,571 | ||||||
Easterly Government Properties Inc. | 2,829 | 64,077 | ||||||
|
| |||||||
250,427 | ||||||||
|
| |||||||
Office Services & Supplies - 0.9% |
| |||||||
Herman Miller Inc. | 614 | 20,753 | ||||||
HNI Corp. | 1,196 | 41,214 | ||||||
MSA Safety Inc. | 1,714 | 256,055 | ||||||
|
| |||||||
318,022 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.2% | ||||||||
Helmerich & Payne Inc. | 2,572 | 59,568 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.1% |
| |||||||
Championx Corp. (a) | 993 | 15,193 | ||||||
Oil States International Inc. (a) | 6,383 | 32,043 | ||||||
|
| |||||||
47,236 | ||||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
10 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Oil & Gas Exploration & Production - 0.6% |
| |||||||
Cimarex Energy Co. | 1,481 | 55,552 | ||||||
Parsley Energy Inc., Class A | 2,088 | 29,650 | ||||||
PDC Energy Inc. (a) | 3,614 | 74,196 | ||||||
Southwestern Energy Co. (a) | 10,741 | 32,008 | ||||||
|
| |||||||
191,406 | ||||||||
|
| |||||||
Packaged Foods & Meats - 4.2% |
| |||||||
B&G Foods Inc. | 2,850 | 79,030 | ||||||
Calavo Growers Inc. | 186 | 12,914 | ||||||
Freshpet Inc. (a) | 180 | 25,558 | ||||||
Hostess Brands Inc. (a) | 14,170 | 207,449 | ||||||
J&J Snack Foods Corp. | 775 | 120,412 | ||||||
John B Sanfilippo & Son Inc. | 411 | 32,411 | ||||||
Lancaster Colony Corp. | 1,245 | 228,744 | ||||||
Sanderson Farms Inc. | 2,602 | 343,984 | ||||||
The Simply Good Foods Co. (a) | 7,310 | 229,242 | ||||||
TreeHouse Foods Inc. (a) | 2,940 | 124,921 | ||||||
Utz Brands Inc. | 2,150 | 47,429 | ||||||
|
| |||||||
1,452,094 | ||||||||
|
| |||||||
Paper Products - 0.1% |
| |||||||
Neenah Inc. | 658 | 36,401 | ||||||
|
| |||||||
Personal Products - 0.5% |
| |||||||
elf Beauty Inc. (a) | 4,890 | 123,179 | ||||||
Lifevantage Corp. (a) | 710 | 6,617 | ||||||
Medifast Inc. | 160 | 31,414 | ||||||
Nu Skin Enterprises Inc., Class A | 261 | 14,259 | ||||||
USANA Health Sciences Inc. (a) | 126 | 9,715 | ||||||
|
| |||||||
185,184 | ||||||||
|
| |||||||
Pharmaceuticals - 0.5% |
| |||||||
Phibro Animal Health Corp., Class A | 1,256 | 24,392 | ||||||
Prestige Consumer Healthcare Inc. (a) | 3,305 | 115,245 | ||||||
Supernus Pharmaceuticals Inc. (a) | 602 | 15,146 | ||||||
|
| |||||||
154,783 | ||||||||
|
| |||||||
Property & Casualty Insurance - 2.1% |
| |||||||
AMERISAFE Inc. | 1,359 | 78,047 | ||||||
Argo Group International Holdings Ltd. | 3,591 | 156,927 | ||||||
James River Group Holdings Ltd. | 1,675 | 82,326 | ||||||
Kemper Corp. | 193 | 14,828 |
Number of Shares | Fair $ | |||||||
Palomar Holdings Inc. (a) | 915 | 81,289 | ||||||
RLI Corp. | 1,168 | 121,647 | ||||||
Selective Insurance Group Inc. | 2,457 | 164,570 | ||||||
Stewart Information Services Corp. | 386 | 18,667 | ||||||
|
| |||||||
718,301 | ||||||||
|
| |||||||
Publishing - 0.9% | ||||||||
John Wiley & Sons Inc., Class A | 6,443 | 294,187 | ||||||
|
| |||||||
Regional Banks - 7.3% | ||||||||
1st Source Corp. | 1,295 | 52,189 | ||||||
Atlantic Union Bankshares Corp. | 1,331 | 43,843 | ||||||
Bank OZK | 1,849 | 57,818 | ||||||
BankUnited Inc. | 850 | 29,563 | ||||||
Bryn Mawr Bank Corp. | 1,325 | 40,538 | ||||||
Cadence BanCorp | 4,214 | 69,194 | ||||||
Community Bank System Inc. | 1,330 | 82,872 | ||||||
Cullen/Frost Bankers Inc. | 977 | 85,224 | ||||||
CVB Financial Corp. | 3,540 | 69,030 | ||||||
Enterprise Financial Services Corp. | 1,422 | 49,699 | ||||||
Equity Bancshares Inc., Class A (a) | 1,150 | 24,829 | ||||||
FB Financial Corp. | 765 | 26,569 | ||||||
First Horizon Corp. | 3,305 | 42,172 | ||||||
First Interstate BancSystem Inc., Class A | 1,284 | 52,349 | ||||||
Fulton Financial Corp. | 6,610 | 84,079 | ||||||
German American Bancorp Inc. | 1,630 | 53,937 | ||||||
Glacier Bancorp Inc. | 913 | 42,007 | ||||||
Great Western Bancorp Inc. | 2,192 | 45,813 | ||||||
Independent Bank Corp. | 2,792 | 203,928 | ||||||
Investors Bancorp Inc. | 2,111 | 22,292 | ||||||
Lakeland Financial Corp. | 342 | 18,324 | ||||||
National Bank Holdings Corp., Class A | 1,082 | 35,446 | ||||||
Origin Bancorp Inc. | 1,916 | 53,207 | ||||||
PacWest Bancorp | 2,059 | 52,299 | ||||||
Peapack-Gladstone Financial Corp. | 595 | 13,542 | ||||||
Pinnacle Financial Partners Inc. | 901 | 58,024 | ||||||
Prosperity Bancshares Inc. | 3,133 | 217,305 | ||||||
Renasant Corp. | 4,613 | 155,366 | ||||||
Sandy Spring Bancorp Inc. | 1,375 | 44,261 | ||||||
Stock Yards Bancorp Inc. | 1,080 | 43,718 | ||||||
UMB Financial Corp. | 1,860 | 128,321 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Small-Cap Equity V.I.S. Fund | 11 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
United Community Banks Inc. | 1,646 | 46,812 | ||||||
Washington Trust Bancorp Inc. | 1,010 | 45,248 | ||||||
Westamerica BanCorp. | 2,004 | 110,801 | ||||||
Western Alliance Bancorp | 3,699 | 221,755 | ||||||
Wintrust Financial Corp. | 1,553 | 94,873 | ||||||
|
| |||||||
2,517,247 | ||||||||
|
| |||||||
Research & Consulting Services - 0.2% |
| |||||||
Resources Connection Inc. | 6,268 | 78,789 | ||||||
|
| |||||||
Residential REITs - 0.2% | ||||||||
NexPoint Residential Trust Inc. | 1,468 | 62,111 | ||||||
|
| |||||||
Restaurants - 0.9% | ||||||||
Cracker Barrel Old Country Store Inc. | 353 | 46,568 | ||||||
Shake Shack Inc., Class A (a) | 510 | 43,238 | ||||||
Texas Roadhouse Inc. | 1,457 | 113,879 | ||||||
The Cheesecake Factory Inc. | 1,506 | 55,812 | ||||||
Wingstop Inc. | 370 | 49,044 | ||||||
|
| |||||||
308,541 | ||||||||
|
| |||||||
Retail REITs - 0.2% | ||||||||
Alexander’s Inc. | 25 | 6,934 | ||||||
|
| |||||||
Retail Opportunity Investments Corp. | 3,168 | 42,419 | ||||||
The Macerich Co. | 2,421 | 25,832 | ||||||
|
| |||||||
75,185 | ||||||||
|
| |||||||
Security & Alarm Services - 1.3% |
| |||||||
The Brink’s Co. | 6,298 | 453,456 | ||||||
|
| |||||||
Semiconductor Equipment - 1.0% |
| |||||||
Advanced Energy Industries Inc. (a) | 304 | 29,479 | ||||||
Amkor Technology Inc. | 1,010 | 15,231 | ||||||
Axcelis Technologies Inc. (a) | 430 | 12,522 | ||||||
Brooks Automation Inc. | 1,578 | 107,067 | ||||||
Cohu Inc. | 687 | 26,230 | ||||||
FormFactor Inc. (a) | 417 | 17,939 | ||||||
Ichor Holdings Ltd. (a) | 1,491 | 44,946 | ||||||
Onto Innovation Inc. (a) | 2,137 | 101,614 | ||||||
|
| |||||||
355,028 | ||||||||
|
| |||||||
Semiconductors - 0.7% | ||||||||
Cirrus Logic Inc. (a) | 205 | 16,851 | ||||||
Diodes Inc. (a) | 353 | 24,886 | ||||||
Semtech Corp. (a) | 2,821 | 203,366 | ||||||
|
| |||||||
245,103 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Soft Drinks - 0.4% | ||||||||
Coca-Cola Consolidated Inc. | 43 | 11,449 | ||||||
Primo Water Corp. | 6,960 | 109,133 | ||||||
|
| |||||||
120,582 | ||||||||
|
| |||||||
Specialized Consumer Services - 1.3% |
| |||||||
frontdoor Inc. (a) | 3,488 | 175,133 | ||||||
OneSpaWorld Holdings Ltd. | 4,996 | 50,659 | ||||||
Terminix Global Holdings Inc. (a) | 4,535 | 231,330 | ||||||
|
| |||||||
457,122 | ||||||||
|
| |||||||
Specialized REITs - 0.5% | ||||||||
CoreSite Realty Corp. | 678 | 84,940 | ||||||
National Storage Affiliates Trust | 375 | 13,511 | ||||||
PotlatchDeltic Corp. | 1,185 | 59,274 | ||||||
QTS Realty Trust Inc., Class A | 503 | 31,125 | ||||||
|
| |||||||
188,850 | ||||||||
|
| |||||||
Specialty Chemicals - 4.2% |
| |||||||
Avient Corp. | 4,885 | 196,768 | ||||||
Chase Corp. | 385 | 38,889 | ||||||
HB Fuller Co. | 1,387 | 71,957 | ||||||
Ingevity Corp. (a) | 6,227 | 471,571 | ||||||
Innospec Inc. | 1,045 | 94,813 | ||||||
Minerals Technologies Inc. | 506 | 31,433 | ||||||
Quaker Chemical Corp. | 592 | 150,007 | ||||||
Sensient Technologies Corp. | 2,285 | 168,564 | ||||||
Stepan Co. | 2,030 | 242,219 | ||||||
|
| |||||||
1,466,221 | ||||||||
|
| |||||||
Specialty Stores - 0.6% | ||||||||
Dick’s Sporting Goods Inc. | 444 | 24,957 | ||||||
National Vision Holdings Inc. (a) | 2,220 | 100,544 | ||||||
Sally Beauty Holdings Inc. (a) | 6,560 | 85,542 | ||||||
|
| |||||||
211,043 | ||||||||
|
| |||||||
Steel - 0.5% | ||||||||
Carpenter Technology Corp. | 873 | 25,422 | ||||||
Commercial Metals Co. | 3,400 | 69,836 | ||||||
Steel Dynamics Inc. | 1,705 | 62,863 | ||||||
|
| |||||||
158,121 | ||||||||
|
| |||||||
Systems Software - 1.6% | ||||||||
A10 Networks Inc. (a) | 1,651 | 16,279 | ||||||
CommVault Systems Inc. (a) | 298 | 16,500 |
See Notes to Schedule of Investments and Notes to Financial Statements.
12 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
Ping Identity Holding Corp. (a) | 1,257 | 36,000 | ||||||
Progress Software Corp. | 647 | 29,238 | ||||||
Qualys Inc. (a) | 87 | 10,603 | ||||||
Sailpoint Technologies Holdings Inc. (a) | 3,690 | 196,456 | ||||||
SecureWorks Corp., Class A (a) | 1,447 | 20,576 | ||||||
Tenable Holdings Inc. (a) | 4,095 | 214,005 | ||||||
|
| |||||||
539,657 | ||||||||
|
| |||||||
Technology Distributors - 0.1% |
| |||||||
Insight Enterprises Inc. (a) | 385 | 29,295 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.8% |
| |||||||
Pure Storage Inc., Class A (a) | 12,705 | 287,260 | ||||||
|
| |||||||
Thrifts & Mortgage Finance - 1.1% |
| |||||||
Flagstar Bancorp Inc. | 1,339 | 54,578 | ||||||
FS Bancorp Inc. | 237 | 12,987 | ||||||
HomeStreet Inc. | 1,588 | 53,595 | ||||||
Kearny Financial Corp. | 3,746 | 39,558 | ||||||
NMI Holdings Inc., Class A (a) | 965 | 21,857 | ||||||
PennyMac Financial Services Inc. | 300 | 19,686 | ||||||
Premier Financial Corp. | 723 | 16,629 | ||||||
Washington Federal Inc. | 1,059 | 27,259 | ||||||
WSFS Financial Corp. | 3,231 | 145,007 | ||||||
|
| |||||||
391,156 | ||||||||
|
| |||||||
Tires & Rubber - 0.2% |
| |||||||
Cooper Tire & Rubber Co. | 1,523 | 61,682 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Trading Companies & Distributors - 0.9% |
| |||||||
Applied Industrial Technologies Inc. | 2,972 | 231,786 | ||||||
Boise Cascade Co. | 330 | 15,774 | ||||||
GMS Inc. (a) | 840 | 25,603 | ||||||
Rush Enterprises Inc., Class B | 629 | 23,833 | ||||||
|
| |||||||
296,996 | ||||||||
|
| |||||||
Trucking - 0.8% |
| |||||||
ArcBest Corp. | 448 | 19,116 | ||||||
Marten Transport Ltd. | 2,746 | 47,314 | ||||||
Saia Inc. (a) | 992 | 179,354 | ||||||
Universal Logistics Holdings Inc. | 704 | 14,495 | ||||||
USA Truck Inc. (a) | 1,336 | 11,930 | ||||||
Werner Enterprises Inc. | 487 | 19,100 | ||||||
291,309 | ||||||||
|
| |||||||
Total Common Stock (Cost $22,533,366) |
| 32,985,329 | ||||||
|
| |||||||
Short-Term Investments - 4.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 1,478,369 | 1,478,369 | ||||||
|
| |||||||
Total Investments (Cost $24,011,735) |
| 34,463,698 | ||||||
Other Assets and Liabilities, net - 0.5% |
| 157,674 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| $ | 34,621,372 | |||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Small-Cap Equity V.I.S. Fund | 13 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Other Information:
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
E-mini Russell 2000 Index Futures | March 2021 | 6 | $ | 590,578 | $ | 592,440 | $ | 1,862 |
During the year ended December 31, 2020, average notional value related to long futures contracts was $471,224.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of December 31, 2020. |
* | 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 December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
Common Stock | $ | 32,985,329 | $ | — | $ | — | $ | 32,985,329 | ||||||||
Short-Term Investments | 1,478,369 | — | — | 1,478,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 34,463,698 | $ | — | $ | — | $ | 34,463,698 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Long Futures Contracts - Unrealized Appreciation | $ | 1,862 | $ | — | $ | — | $ | 1,862 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,912,318 | $ | 1,912,318 | $ | 11,763,856 | $ | 12,197,805 | $ | — | $ | — | 1,478,369 | $ | 1,478,369 | $ | 7,428 |
See Notes to Schedule of Investments and Notes to Financial Statements.
14 | State Street Small-Cap Equity V.I.S. Fund |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 4/28/00 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.16 | $ | 11.24 | $ | 14.73 | $ | 14.40 | $ | 12.20 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income (loss) | (0.01 | )(a) | (0.00 | )(a)†† | (0.02 | )(a) | (0.02 | )(a) | (0.03 | ) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.92 | 2.94 | (1.43 | ) | 1.86 | 2.93 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 1.91 | 2.94 | (1.45 | ) | 1.84 | 2.90 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | — | — | — | — | — | |||||||||||||||
Net realized gains | 0.41 | 1.02 | 2.04 | 1.51 | 0.70 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.41 | 1.02 | 2.04 | 1.51 | 0.70 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 14.66 | $ | 13.16 | $ | 11.24 | $ | 14.73 | $ | 14.40 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(b) | 14.53 | % | 26.12 | % | (9.70 | )% | 12.71 | % | 23.77 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 34,621 | $ | 33,600 | $ | 30,781 | $ | 40,711 | $ | 42,320 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 1.27 | % | 1.24 | % | 1.20 | % | 1.25 | % | 1.40 | % | ||||||||||
Gross expenses | 1.27 | % | 1.24 | % | 1.20 | % | 1.25 | % | 1.40 | % | ||||||||||
Net investment loss | (0.06 | )% | (0.02 | )% | (0.13 | )% | (0.13 | )% | (0.22 | )% | ||||||||||
Portfolio turnover rate | 37 | % | 29 | % | 33 | % | 32 | % | 36 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
†† | Rounds to less than $0.01. |
The accompanying Notes are an integral part of these financial statements.
Financial Highlights | 15 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $22,533,366) | $ | 32,985,329 | ||
Short-term affiliated investments, at fair value | 1,478,369 | |||
Cash | 501 | |||
Net cash collateral on deposit with broker for future contracts | 147,869 | |||
Receivable for investments sold | 130,179 | |||
Income receivables | 24,113 | |||
Income receivable from affiliated investments | 89 | |||
Receivable for accumulated variation margin on futures contracts | 1,875 | |||
Other assets | 186 | |||
|
| |||
Total assets | 34,768,510 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 30,112 | |||
Payable for fund shares redeemed | 46,534 | |||
Payable to the Adviser | 27,510 | |||
Payable for custody, fund accounting and sub-administration fees | 5,207 | |||
Accrued other expenses | 37,775 | |||
|
| |||
Total liabilities | 147,138 | |||
|
| |||
Net Assets | $ | 34,621,372 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in | $ | 23,816,911 | ||
Total distributable earnings (loss) | 10,804,461 | |||
|
| |||
Net Assets | $ | 34,621,372 | ||
|
| |||
Shares outstanding ($0.01 par value; unlimited shares authorized) | 2,362,374 | |||
Net asset value per share | $ | 14.66 |
The accompanying Notes are an integral part of these financial statements.
16 | Statement of Assets and Liabilities |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Statement of Operations — For the fiscal year ended ended December 31, 2020
Investment Income |
| |||
Income |
| |||
Dividend | $ | 337,799 | ||
Income from affiliated investments | 7,428 | |||
Less: Foreign taxes withheld | (874 | ) | ||
|
| |||
Total income | 344,353 | |||
|
| |||
Expenses |
| |||
Advisory and administration fees | 271,706 | |||
Directors’ fees | 18,904 | |||
Custody, fund accounting and sub-administration fees | 30,922 | |||
Professional fees | 35,606 | |||
Other expenses | 5,565 | |||
|
| |||
Total Expenses | 362,703 | |||
|
| |||
Net investment loss | $ | (18,350 | ) | |
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Realized gain (loss) on: |
| |||
Unaffiliated investments | $ | 1,054,027 | ||
Futures | 82,442 | |||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||
Unaffiliated investments | 2,867,039 | |||
Futures | 805 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | 4,004,313 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 3,985,963 | ||
|
|
The accompanying Notes are an integral part of these financial statements.
Statement of Operations | 17 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment loss | $ | (18,350 | ) | $ | (6,276 | ) | ||
Net realized gain (loss) on investments and futures | 1,136,469 | 2,822,645 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 2,867,844 | 4,819,355 | ||||||
|
|
|
| |||||
Net increase (decrease) from operations | 3,985,963 | 7,635,724 | ||||||
|
|
|
| |||||
Distributions to shareholders:
|
| |||||||
Total distributions | (954,197 | ) | (2,413,108 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 3,031,766 | 5,222,616 | ||||||
|
|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares | 2,233,175 | 346,157 | ||||||
Value of distributions reinvested | 954,197 | 2,413,108 | ||||||
Cost of shares redeemed | (5,197,324 | ) | (5,163,732 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (2,009,952 | ) | (2,404,467 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 1,021,814 | 2,818,149 | ||||||
Net Assets |
| |||||||
Beginning of year | 33,599,558 | 30,781,409 | ||||||
|
|
|
| |||||
End of year | $ | 34,621,372 | $ | 33,599,558 | ||||
|
|
|
| |||||
Changes in Fund Shares |
| |||||||
Shares sold | 196,772 | 26,431 | ||||||
Issued for distributions reinvested | 64,911 | 183,506 | ||||||
Shares redeemed | (452,260 | ) | (396,476 | ) | ||||
|
|
|
| |||||
Net decrease in fund shares | (190,577 | ) | (186,539 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
18 | Statements of Changes in Net Assets |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund (the “Fund”), State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments 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. |
Notes to Financial Statements | 19 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
• | 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
The Fund invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as return of capital or capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
20 | Notes to Financial Statements |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts for cash equitization.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Small-Cap Equity V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 1,875 | $ | — | $ | 1,875 |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Small-Cap Equity V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 82,442 | $ | — | $ | 82,442 |
Notes to Financial Statements | 21 |
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State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Small-Cap Equity V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 805 | $ | — | $ | 805 |
4. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.95%.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
5. | Sub-Advisory Fees |
Pursuant to investment sub-advisory agreements with SSGA FM, the assets of the Fund are allocated to and managed by each of the following sub-advisers: (i) Palisade Capital Management, L.L.C.; (ii) Champlain Investment Partners, LLC; (iii) GlobeFlex Capital, L.P.; (iv) Kennedy Capital Management, Inc.; and (v) SouthernSun Asset Management, LLC. SSGA FM is responsible for allocating the Fund’s assets among the sub-advisers in its discretion (“Allocated Assets”), and for managing the Fund’s cash position, while each sub-adviser is responsible for the day-to-day management of their portion of the Allocated Assets, under the general supervision and oversight of SSGA FM and the Board. For their services, SSGA FM pays each sub-adviser an investment sub-advisory fee, which is calculated as a percentage of the average daily net assets of the respective Allocated Assets that it manages.
6. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 10,191,136 | $ | 12,810,601 |
22 | Notes to Financial Statements |
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State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
8. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for futures contracts, net operating losses, REIT basis adjustments, Non-REIT return of capital open-basis adjustments and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | — | $ | 954,197 | $ | 954,197 |
The tax character of distributions paid during the year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | — | $ | 2,413,108 | $ | 2,413,108 |
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Tax Exempt Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Total | |||||||||||||||||||||||
$ | — | $ | — | $ | — | $ | 899,746 | $ | 9,904,715 | $ | 10,804,461 |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 24,560,845 | $ | 10,454,669 | $ | 549,954 | $ | 9,904,715 |
9. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions.This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
Notes to Financial Statements | 23 |
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State Street Small-Cap Equity V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
The Fund had no outstanding loans as of December 31, 2020.
10. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided the Fund by its service providers.
11. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
24 | Notes to Financial Statements |
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State Street Small-Cap Equity V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Small-Cap Equity V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Small-Cap Equity V.I.S. Fund (the "Fund") (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the "Company")), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
Report of Independent Registered Public Accounting Firm | 25 |
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State Street Small-Cap Equity V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the Fund during the year ended December 31, 2020 in the amount of $954,197.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedule of investments are available upon request, without charge, by calling 1-800-242-0134.
26 | Other Information |
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State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Board Considerations related to Approval of New Sub-Advisory Agreement
SouthernSun Asset Management, LLC (“SouthernSun” or the “Sub-Adviser”) currently serves as sub-adviser to State Street Small-Cap Equity V.I.S. Fund (the “Fund”), a series of State Street Variable Insurance Series Funds, Inc. (the “Company”). At the meeting held on August 7, 2020, the Board of Directors of the Company (the “Board”), approved a new sub-advisory agreement (the “New Sub-Advisory Agreement”) between SSGA Funds Management, Inc. (the “Adviser”) and SouthernSun with respect to the Fund in connection with the anticipated termination of the prior sub-advisory agreement (the “Prior Sub-Advisory Agreement”) between the Adviser and SouthernSun in connection with SouthernSun’s acquisition of Affiliated Managers Group, Inc.’s ownership interest in SouthernSun (the “Transaction”). The Board considered the New Sub-Advisory Agreement as a result of the Transaction. The Board considered that the Transaction would result in the “assignment” of the Prior Sub-Advisory Agreement, which would automatically terminate as provided for in Section 15(a)(4) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Overview of the Contract Review Process
The Board met telephonically1 on August 7, 2020 (in reliance on the Order), including in executive sessions attended by the members of the Board who are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Board Members”), to consider a proposal to approve the New Sub-Advisory Agreement. Prior to voting on the proposal, the Independent Board Members, as well as the Board Members who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. In considering the New Sub-Advisory Agreement, the Board Members considered the information relating to the Fund and the Sub-Adviser provided to them in connection with the meeting on August 7, 2020, as well as information provided over the past year and information provided to them in connection with their meeting on May 13-14, 2020, which was the meeting in which the Board considered and approved the renewal of the Prior Sub-Advisory Agreement for the one-year period ending May 31, 2021 (the “Annual Renewal Meeting”). At the August 7, 2020 Meeting, the Sub-Adviser affirmed and updated prior information and representations provided to the Board, including information and representations provided in connection with the Annual Renewal Meeting. The Independent Board Members were separately represented by counsel who is independent of the Adviser and Sub-Adviser (“Independent Legal Counsel”) in connection with their consideration of approval of the New Sub-Advisory Agreement. The Independent Board Members also received a memorandum from their Independent Legal Counsel discussing the legal standards for their consideration of the New Sub-Advisory Agreement and discussed the New Sub-Advisory Agreement in a private session with their Independent Legal Counsel at which no representatives of the Adviser or Sub-Adviser were present.
1 | As result of health and safety measures put in place to combat the global Coronavirus Disease 2019 (also known as “COVID-19”) pandemic, the Securities and Exchange Commission issued an exemptive order (the “Order”) pursuant to Sections 6(c) and 38(a) of the 1940 Act, that temporarily exempts registered investment management companies from the in-person voting requirements under the 1940 Act, subject to certain requirements, including that votes taken pursuant to the Order are ratified at the next in-person meeting. The Board determined that reliance on the Order was necessary or appropriate due to the circumstances related to current or potential effects of COVID-19 and therefore, the August 7, 2020 meeting was held telephonically in reliance on the Order. See Investment Company Release No. 33897 (June 19, 2020). This Order supersedes, in part, a similar, earlier exemptive order issued by the SEC (Investment Company Release No. 33824 (March 25, 2020)). |
Other Information | 27 |
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State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The Independent Board Members considered, among other things, the following:
Information about Performance, Expenses and Fees
• | In connection with the Annual Renewal Meeting, a report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
¡ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2019, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
¡ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
¡ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
¡ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | In connection with the August 7, 2020 meeting, a report prepared by the Sub-Adviser, which includes updated Fund performance information as of June 30, 2020. |
• | Comparative information concerning fees charged by the Sub-Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for the Sub-Adviser. |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Sub-Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Sub-Adviser
• | Reports detailing the financial results and condition of the Sub-Adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals at the Sub-Adviser responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Sub-Adviser; |
• | Information about the Sub-Adviser’s proxy voting policies and procedures and information regarding the Sub-Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Sub-Adviser to overseeing compliance by the Fund and the service providers used by the Sub-Adviser in connecting with providing services to the Fund, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Sub-Adviser’s technology and systems with respect to investment and administrative matters; |
• | A description of the business continuity and disaster recovery plans of the Sub-Adviser; and |
• | Information regarding the Sub-Adviser’s risk management processes. |
28 | Other Information |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Other Relevant Information
• | Copies of the New Sub-Advisory Agreement; |
• | Responses to an information request letter in connection with the Annual Renewal Meeting, as updated at the August 7, 2020 meeting, requesting specific information from the Sub-Adviser, with respect to its operations relating to the Fund and its approximate profitability from such operations for the calendar year ended December 31, 2019. |
• | Materials provided by Broadridge, circulated to the Independent Board Members and to Independent Legal Counsel in connection with the Annual Renewal Meeting. |
In addition to the information identified above, the Board considered information provided from time to time by the Sub-Adviser throughout the year at meetings of the Board and its committees. At such meetings, the Board Members received, among other things, presentations by the portfolio managers and other investment professionals of the Sub-Adviser relating to the performance of the Fund, and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Board Members were assisted throughout the contract review process by their Independent Legal Counsel. The Independent Board Members relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the New Sub-Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the New Sub-Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Board Member may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund. Representatives from the Sub-Adviser attended the August 7, 2020 meeting and informed the Board Members that there would not be any changes to the Fund’s portfolio management team or investment process as a result of the Transaction and also responded to questions from the Independent Board Members regarding SouthernSun and the Transaction.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on August 7, 2020, the Board, including a majority of the Independent Board Members, voted to approve the New Sub-Advisory Agreement effective upon the close of the Transaction, for an initial two-year period.
Nature, Extent and Quality of Services
In considering whether to approve the New Sub-Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Sub-Adviser.
The Board considered the Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory services provided by the Sub-Adviser. The Board also considered the Fund’s multi-manager structure and how the Sub-Adviser’s approach to small-cap investing fits within the Fund’s overall strategy.
On the basis of the foregoing and other relevant information, the Board concluded that the Sub-Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2019. For purposes of these comparisons the Independent Board Members relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. The Board also considered updated
Other Information | 29 |
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State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
performance information provided by SouthernSun for various time periods ended June 30, 2020. Among other information, the Board considered the following performance information in its evaluation of the Fund:
Small-Cap Equity V.I.S. Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods ended December 31, 2019. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, as well as the fees paid to the Sub-Adviser by the Adviser, which reduced the net management fees retained by the Adviser. The Board also reviewed allocation of the total advisory fees between SSGA FM and the Sub-Adviser. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Sub-Adviser to the fees charged and services provided to other clients of the Sub-Adviser, including institutional accounts, as applicable. The Board also considered that the sub-advisory fees are paid by the Adviser out of its advisory fees it receives from the Fund and are not paid by the Fund. Among other information, the Board considered the following expense information in its evaluation of the Fund:
Small-Cap Equity V.I.S. Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were above the medians of its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Sub-Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Sub-Adviser in providing investment advisory and other services to the Fund. The Board considered other direct and indirect benefits received by the Sub-Adviser in connection with its relationship with the Fund.
The Board concluded that the profitability of the Sub-Adviser with respect to the Fund was reasonable in relation to the services provided.
Economies of Scale
The Board noted that the fees under the New Sub-Advisory Agreement are paid by the Adviser out of the advisory fees that the Adviser receives under the Advisory Agreement. Therefore, the Board concluded that the potential for economies of scale in the Sub-Adviser’s management of the Fund is not a material factor to the approval of the New Sub-Advisory Agreement.
Conclusions
In reaching its decision to approve the New Sub-Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Board Member may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Board Members, concluded that the Sub-Adviser possesses the capability and resources to perform the duties required of it under the New Sub-Advisory Agreement.
30 | Other Information |
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State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Further, based upon its review of the New Sub-Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Board Members, concluded that (1) the terms of the New Sub-Advisory Agreement are reasonable, fair, and in the best interests of the Fund and its shareholders, and (2) the rate payable under the New Sub-Advisory Agreement is fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
Other Information | 31 |
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State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by | Other Directorships Held by Director | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 – 2017); Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948
| Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
32 | Other Information |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by | Other Directorships Held by Director | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
Other Information | 33 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number Funds in Fund Complex Overseen by | Other Directorships Held by Director | |||||||
INTERESTED DIRECTORS(1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(2) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
34 | Other Information |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
Other Information | 35 |
Table of Contents
State Street Small-Cap Equity V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
36 | Other Information |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street Income V.I.S. Fund
Table of Contents
State Street Income V.I.S. Fund
Annual Report
December 31, 2020
Page | ||||
Notes to Performance | 1 | |||
Manager Review and Schedule of Investments | 2 | |||
Financial Statements | ||||
24 | ||||
25 | ||||
26 | ||||
27 | ||||
Notes to Financial Statements | 28 | |||
Report of Independent Registered Public Accounting Firm | 37 | |||
Other Information | 38 |
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street Income V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance pages relates to the State Street Income V.I.S. Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first rate bond market.
The results shown for the foregoing index assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise the index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Income V.I.S. Fund
Management Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street Income V.I.S. Fund (the “Fund”) seeks to provide the maximum income consistent with prudent investment management and the preservation of capital by investing at least 80% of its net assets under normal circumstances in debt securities. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was 7.03% and the Index was 7.51%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Asset allocation and security selection, which each had a positive impact, and duration, which had a negative impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index.
During the Reporting Period, the Fund increased its over-weight asset allocation to credit sectors from modest levels after credit spreads widened substantially in response to the COVID-19 global pandemic. The U.S. government responded with fiscal and monetary stimulus, which included a Federal Reserve program to temporarily buy U.S. corporate credit bonds, causing credit spreads to tighten significantly in the last three quarters of the Reporting Period. Given the timing of management’s allocation increase to credit, the Fund’s allocation to credit generated positive excess returns relative to the Index despite the fact that credit spreads widened during the Reporting Period.
Security selection in the investment-grade credit and agency MBS allocations generated positive excess returns relative to the Index, which was offset by security selection in the treasury allocation, which generated negative excess returns relative to the Index.
Over the course of the Reporting Period, the ten-year government interest rate decreased from 1.92% to 0.92%. During the first quarter of 2020, we had the view that the Phase One trade agreement between the U.S. and China coupled with pent up private investment would lead to above trend growth. As such, we felt that long-term interest rates were near a cyclical low and established a short duration position relative to the Index. The COVID-19 global pandemic caused interest rates to decline significantly, negatively impacting the Fund’s performance relative to the Index.
The Fund used treasury futures, interest rate swaps, options on treasury futures and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of options on treasury futures contributed to Fund performance relative to the Index, while its use of treasury futures, interest rate swaps, and index credit default swaps detracted from Fund performance relative to the Index.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,022.50 | $ | 1,020.16 | ||||
Expenses Paid During Period* | $ | 5.03 | $ | 5.03 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.99%** (for the period July 1, 2020 - December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Income V.I.S. Fund | 3 |
Table of Contents
State Street Income V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Quality Ratings
as of December 31, 2020 as a % of Fair Value (a)(b)
Moody’s / S&P /Rating* | Percentage of Fair Value | |||
Aaa / AAA | 15.9 | % | ||
Aa / AA | 47.1 | % | ||
A / A | 8.6 | % | ||
Baa / BBB | 25 | % | ||
Ba / BB and lower | 2.2 | % | ||
NR / Other | 1.2 | % | ||
|
| |||
100.0 | % | |||
|
|
Sector Allocation
Portfolio composition as a % of Fair Value of $18,862 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return for the Periods Ended December 31, 2020
Investment Class Shares (Inception date: 1/03/95)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Income V.I.S. Fund | 7.03 | % | 4.03 | % | 3.61 | % | $ | 14,258 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | % | 4.44 | % | 3.84 | % | $ | 14,576 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standards of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
4 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street Income V.I.S. Fund | 5 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments — December 31, 2020
Principal | Fair Value $ | |||||||
Bonds and Notes - 95.1%† |
| |||||||
U.S. Treasuries - 16.5% | ||||||||
U.S. Treasury Bonds | ||||||||
1.25%, 05/15/50 (a) | 88,000 | 79,874 | ||||||
2.25%, 08/15/46 (a) | 153,000 | 174,755 | ||||||
3.00%, 08/15/48 (a) | 335,000 | 440,944 | ||||||
3.75%, 08/15/41 | 43,000 | 61,094 | ||||||
4.75%, 02/15/37 (a) | 128,000 | 195,060 | ||||||
U.S. Treasury Notes |
| |||||||
0.25%, 07/31/25 (a) | 404,900 | 403,698 | ||||||
0.38%, 07/31/27 (a) | 482,900 | 476,486 | ||||||
0.63%, 08/15/30 (a) | 434,100 | 423,315 | ||||||
1.13%, 06/30/21 (a) | 98,000 | 98,501 | ||||||
1.25%, 03/31/21 | 443,000 | 444,194 | ||||||
2.50%, 01/31/24 | 76,000 | 81,421 | ||||||
|
| |||||||
2,879,342 | ||||||||
|
| |||||||
Agency Mortgage Backed - 27.5% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
3.00%, 04/01/43 - 10/01/49 (a) | 544,790 | 581,390 | ||||||
4.50%, 06/01/33 - 02/01/35 (a) | 3,383 | 3,793 | ||||||
5.00%, 07/01/35 (a) | 24,102 | 27,998 | ||||||
5.50%, 01/01/38 (a) | 25,795 | 30,358 | ||||||
6.00%, 04/01/29 - 11/01/37 (a) | 80,420 | 92,405 | ||||||
6.50%, 02/01/29 (a) | 35 | 40 | ||||||
6.93%, 06/01/26 (a)(b) | 60,000 | 79,787 | ||||||
7.00%, 06/01/29 - 08/01/36 (a) | 18,306 | 21,575 | ||||||
7.50%, 01/01/30 - 09/01/33 (a) | 3,660 | 4,148 | ||||||
8.00%, 11/01/30 (a) | 3,841 | 4,406 | ||||||
8.50%, 04/01/30 (a) | 3,515 | 4,512 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.00%, 03/01/50 (a) | 116,135 | 121,812 | ||||||
3.50%, 08/01/45 - 01/01/48 (a) | 512,246 | 560,413 | ||||||
4.00%, 01/01/41 - 01/01/50 (a) | 374,310 | 407,391 | ||||||
4.50%, 07/01/33 - 12/01/48 (a) | 146,140 | 161,846 | ||||||
5.00%, 03/01/34 - 08/01/35 (a) | 31,639 | 36,591 | ||||||
5.50%, 12/01/32 - 01/01/39 (a) | 96,040 | 110,875 | ||||||
6.00%, 03/01/21 - 07/01/35 (a) | 123,080 | 142,503 | ||||||
6.50%, 10/01/28 - 08/01/34 (a) | 18,785 | 21,134 | ||||||
7.00%, 10/01/32 - 02/01/34 (a) | 4,990 | 5,604 | ||||||
7.50%, 11/01/22 - 03/01/33 (a) | 12,140 | 13,207 | ||||||
8.00%, 08/01/25 - 10/01/31 (a) | 5,290 | 5,906 | ||||||
9.00%, 12/01/22 (a) | 72 | 73 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | ||||||||
5.85%, 09/25/46 (c)(d) | 160,462 | 36,341 | ||||||
Federal National Mortgage Assoc. | ||||||||
2.00%, TBA (e) | 543,793 | 567,707 | ||||||
Government National Mortgage Assoc. |
| |||||||
3.00%, 12/20/42 - 05/20/45 (a) | 504,947 | 538,883 | ||||||
3.50%, 08/20/48 (a) | 125,450 | 134,251 |
Principal | Fair Value $ | |||||||
4.00%, 01/20/41 - 04/20/43 (a) | 84,373 | 93,325 | ||||||
4.50%, 08/15/33 - 03/20/41 (a) | 61,422 | 69,007 | ||||||
6.00%, 04/15/27 - 04/15/34 (a) | 61,126 | 69,898 | ||||||
6.50%, 03/15/24 - 08/15/34 (a) | 24,117 | 27,035 | ||||||
7.00%, 01/15/28 - 10/15/36 (a) | 20,770 | 22,816 | ||||||
7.50%, 11/15/31 (a) | 60 | 60 | ||||||
9.00%, 12/15/21 (a) | 14 | 14 | ||||||
Government National Mortgage Assoc. 1.50% + 1 year CMT | ||||||||
3.00%, 02/20/23 - 02/20/26 (a)(c) | 831 | 841 | ||||||
3.13%, 12/20/24 (a)(c) | 432 | 437 | ||||||
Government National Mortgage Assoc. |
| |||||||
2.50%, TBA (e) | 751,250 | 795,010 | ||||||
|
| |||||||
4,793,392 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 1.1% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.08%, 09/25/43 (c)(d) | 348,738 | 1,112 | ||||||
2.51%, 07/25/29 | 55,000 | 61,086 | ||||||
4.05%, 09/25/28 (c) | 31,000 | 37,495 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/30 (d) | 13,933 | 452 | ||||||
5.50%, 06/15/33 (d) | 13,767 | 2,375 | ||||||
7.50%, 07/15/27 (d) | 1,199 | 192 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.15% - 1 month USD LIBOR | ||||||||
5.99%, 10/15/42 (c)(d) | 130,947 | 22,560 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | ||||||||
6.44%, 08/15/25 (c)(d) | 4,196 | 101 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (f)(g) | 150 | 143 | ||||||
8.00%, 02/01/23 - 07/01/24 (d) | 333 | 32 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | ||||||||
3.35%, 04/01/37 (a)(c) | 854 | 875 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
1.10%, 12/25/42 (c)(d) | 18,585 | 667 | ||||||
5.00%, 09/25/40 (d) | 8,986 | 1,019 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | ||||||||
5.85%, 07/25/38 (c)(d) | 4,435 | 802 | ||||||
Federal National Mortgage Assoc. REMIC 6.55% - 1 month USD LIBOR | ||||||||
6.40%, 11/25/41 (c)(d) | 205,835 | 45,727 |
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal | Fair Value $ | |||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (f)(g) | 11,123 | 10,182 | ||||||
4.50%, 08/25/35 - 01/25/36 (d) | 13,193 | 1,802 | ||||||
5.00%, 03/25/38 - 05/25/38 (d) | 7,909 | 1,386 | ||||||
5.50%, 12/25/33 (d) | 3,512 | 565 | ||||||
6.00%, 01/25/35 (d) | 5,976 | 1,132 | ||||||
7.50%, 11/25/23 (d) | 1,269 | 94 | ||||||
8.00%, 08/25/23 - 07/25/24 (d) | 595 | 61 | ||||||
8.50%, 07/25/22 (d)** | 3 | — | ||||||
9.00%, 05/25/22 (d)** | 2 | — | ||||||
Government National Mortgage Assoc. REMIC | ||||||||
4.50%, 08/16/39 (d) | 509 | 1 | ||||||
|
| |||||||
189,861 | ||||||||
|
| |||||||
Asset Backed - 1.7% |
| |||||||
Ally Auto Receivables Trust 2018-1 | ||||||||
2.35%, 06/15/22 | 2,209 | 2,214 | ||||||
American Express Credit Account Master Trust 2018-8 | ||||||||
3.18%, 04/15/24 | 104,000 | 106,145 | ||||||
CarMax Auto Owner Trust | ||||||||
3.13%, 06/15/23 | 9,197 | 9,351 | ||||||
Ford Credit Auto Owner Trust 2020-B |
| |||||||
0.56%, 10/15/24 | 63,000 | 63,278 | ||||||
Nissan Auto Lease Trust 2019-A | ||||||||
2.76%, 03/15/22 | 34,207 | 34,404 | ||||||
Nissan Auto Lease Trust 2020-A | ||||||||
1.80%, 05/16/22 | 18,935 | 19,022 | ||||||
Santander Retail Auto Lease Trust 2019-B | ||||||||
2.30%, 01/20/23 (h) | 63,000 | 64,159 | ||||||
|
| |||||||
298,573 | ||||||||
|
| |||||||
Corporate Notes - 38.9% |
| |||||||
3M Co. | ||||||||
3.13%, 09/19/46 (a) | 4,000 | 4,473 | ||||||
Abbott Laboratories | ||||||||
3.75%, 11/30/26 (a) | 6,000 | 7,028 | ||||||
4.90%, 11/30/46 (a) | 8,000 | 11,815 | ||||||
AbbVie Inc. | ||||||||
2.60%, 11/21/24 | 10,000 | 10,718 | ||||||
2.95%, 11/21/26 | 9,000 | 9,967 | ||||||
3.20%, 05/14/26 (a) | 4,000 | 4,442 | ||||||
3.20%, 11/21/29 | 10,000 | 11,264 | ||||||
3.25%, 10/01/22 | 6,000 | 6,249 | ||||||
3.45%, 03/15/22 | 16,000 | 16,493 | ||||||
4.05%, 11/21/39 | 5,000 | 6,046 | ||||||
4.25%, 11/21/49 | 8,000 | 10,062 | ||||||
4.63%, 10/01/42 | 2,000 | 2,543 |
Principal | Fair Value $ | |||||||
4.88%, 11/14/48 (a) | 3,000 | 4,079 | ||||||
5.00%, 12/15/21 | 9,000 | 9,285 | ||||||
Advance Auto Parts Inc. | ||||||||
3.90%, 04/15/30 (a) | 20,000 | 23,041 | ||||||
Aetna Inc. | ||||||||
3.50%, 11/15/24 (a) | 8,000 | 8,785 | ||||||
Aircastle Ltd. | ||||||||
4.25%, 06/15/26 (a) | 7,000 | 7,415 | ||||||
Albemarle Wodgina Pty Ltd. | ||||||||
3.45%, 11/15/29 (a) | 20,000 | 21,324 | ||||||
Alexandria Real Estate Equities Inc. | ||||||||
1.88%, 02/01/33 (a) | 5,000 | 4,983 | ||||||
4.70%, 07/01/30 (a) | 3,000 | 3,724 | ||||||
Alimentation Couche-Tard Inc. | ||||||||
2.70%, 07/26/22 (a)(h) | 8,000 | 8,261 | ||||||
2.95%, 01/25/30 (a)(h) | 6,000 | 6,550 | ||||||
3.80%, 01/25/50 (a)(h) | 8,000 | 9,447 | ||||||
Ally Financial Inc. | ||||||||
5.75%, 11/20/25 (a) | 6,000 | 6,980 | ||||||
Alphabet Inc. | ||||||||
1.10%, 08/15/30 (a) | 6,000 | 5,899 | ||||||
Altria Group Inc. | ||||||||
2.95%, 05/02/23 (a) | 5,000 | 5,273 | ||||||
3.80%, 02/14/24 (a) | 4,000 | 4,369 | ||||||
4.25%, 08/09/42 (a) | 2,000 | 2,229 | ||||||
4.45%, 05/06/50 (a) | 5,000 | 5,911 | ||||||
4.50%, 05/02/43 (a) | 3,000 | 3,477 | ||||||
4.80%, 02/14/29 (a) | 7,000 | 8,393 | ||||||
Amazon.com Inc. | ||||||||
1.50%, 06/03/30 (a) | 4,000 | 4,073 | ||||||
2.50%, 06/03/50 (a) | 5,000 | 5,181 | ||||||
2.70%, 06/03/60 (a) | 5,000 | 5,342 | ||||||
3.15%, 08/22/27 (a) | 4,000 | 4,550 | ||||||
4.05%, 08/22/47 (a) | 5,000 | 6,606 | ||||||
Ameren Corp. | ||||||||
3.65%, 02/15/26 (a) | 5,000 | 5,642 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
4.13%, 07/01/24 (a) | 4,000 | 4,370 | ||||||
American Electric Power Company Inc. | ||||||||
3.25%, 03/01/50 (a) | 5,000 | 5,352 | ||||||
American Electric Power Company Inc. | ||||||||
2.30%, 03/01/30 (a) | 5,000 | 5,220 | ||||||
American Express Co. | ||||||||
3.00%, 10/30/24 (a) | 8,000 | 8,729 | ||||||
American International Group Inc. | ||||||||
4.25%, 03/15/29 (a) | 8,000 | 9,608 | ||||||
4.50%, 07/16/44 (a) | 7,000 | 8,954 | ||||||
American Tower Corp. | ||||||||
1.50%, 01/31/28 | 14,000 | 14,090 | ||||||
2.90%, 01/15/30 (a) | 30,000 | 32,709 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 7 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal | Fair Value $ | |||||||
3.70%, 10/15/49 (a) | 3,000 | 3,400 | ||||||
3.80%, 08/15/29 (a) | 10,000 | 11,610 | ||||||
American Water Capital Corp. | ||||||||
2.95%, 09/01/27 (a) | 9,000 | 9,922 | ||||||
Amgen Inc. | ||||||||
2.45%, 02/21/30 (a) | 2,000 | 2,148 | ||||||
3.15%, 02/21/40 (a) | 9,000 | 9,817 | ||||||
3.38%, 02/21/50 (a) | 3,000 | 3,348 | ||||||
4.66%, 06/15/51 (a) | 3,000 | 4,073 | ||||||
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||||||||
4.70%, 02/01/36 (a) | 8,000 | 10,142 | ||||||
4.90%, 02/01/46 (a) | 9,000 | 11,694 | ||||||
Anheuser-Busch InBev Worldwide Inc. |
| |||||||
3.50%, 06/01/30 (a) | 6,000 | 6,953 | ||||||
4.00%, 04/13/28 (a) | 4,000 | 4,711 | ||||||
4.35%, 06/01/40 (a) | 10,000 | 12,243 | ||||||
4.38%, 04/15/38 (a) | 9,000 | 11,113 | ||||||
4.50%, 06/01/50 (a) | 3,000 | 3,786 | ||||||
4.75%, 04/15/58 (a) | 7,000 | 9,203 | ||||||
5.55%, 01/23/49 (a) | 6,000 | 8,510 | ||||||
Anthem Inc. | ||||||||
2.88%, 09/15/29 (a) | 3,000 | 3,326 | ||||||
3.30%, 01/15/23 (a) | 6,000 | 6,351 | ||||||
3.70%, 09/15/49 (a) | 3,000 | 3,576 | ||||||
Apollo Management Holdings LP | ||||||||
2.65%, 06/05/30 (a)(h) | 20,000 | 20,428 | ||||||
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | ||||||||
4.95%, 01/14/50 (a)(c)(h) | 10,000 | 10,201 | ||||||
Apple Inc. | ||||||||
2.20%, 09/11/29 (a) | 7,000 | 7,561 | ||||||
2.95%, 09/11/49 (a) | 5,000 | 5,605 | ||||||
3.35%, 02/09/27 (a) | 7,000 | 7,969 | ||||||
3.45%, 02/09/45 (a) | 10,000 | 12,128 | ||||||
Applied Materials Inc. | ||||||||
4.35%, 04/01/47 (a) | 6,000 | 8,316 | ||||||
Aptiv PLC | ||||||||
4.40%, 10/01/46 (a) | 7,000 | 7,618 | ||||||
Archer-Daniels-Midland Co. | ||||||||
2.50%, 08/11/26 (a) | 6,000 | 6,544 | ||||||
Ascension Health | ||||||||
4.85%, 11/15/53 (a) | 10,000 | 14,864 | ||||||
AstraZeneca PLC | ||||||||
4.00%, 01/17/29 (a) | 3,000 | 3,580 | ||||||
4.38%, 08/17/48 (a) | 2,000 | 2,689 | ||||||
AT&T Inc. | ||||||||
2.30%, 06/01/27 (a) | 35,000 | 37,292 | ||||||
2.75%, 06/01/31 (a) | 17,000 | 18,166 |
Principal | Fair Value $ | |||||||
3.30%, 02/01/52 (a) | 6,000 | 5,953 | ||||||
3.85%, 06/01/60 (a) | 10,000 | 10,535 | ||||||
4.35%, 03/01/29 (a) | 4,000 | 4,771 | ||||||
4.45%, 04/01/24 (a) | 7,000 | 7,814 | ||||||
4.50%, 05/15/35 (a) | 7,000 | 8,481 | ||||||
4.55%, 03/09/49 (a) | 4,000 | 4,773 | ||||||
4.75%, 05/15/46 (a) | 4,000 | 4,926 | ||||||
4.80%, 06/15/44 (a) | 2,000 | 2,484 | ||||||
4.85%, 03/01/39 (a) | 8,000 | 9,918 | ||||||
5.15%, 11/15/46 (a) | 2,000 | 2,583 | ||||||
5.25%, 03/01/37 (a) | 5,000 | 6,474 | ||||||
5.35%, 12/15/43 (a) | 7,000 | 8,904 | ||||||
5.45%, 03/01/47 (a) | 7,000 | 9,443 | ||||||
Athene Holding Ltd. | ||||||||
4.13%, 01/12/28 (a) | 4,000 | 4,452 | ||||||
6.15%, 04/03/30 (a) | 9,000 | 11,171 | ||||||
Avangrid Inc. | ||||||||
3.15%, 12/01/24 (a) | 9,000 | 9,811 | ||||||
Avery Dennison Corp. | ||||||||
2.65%, 04/30/30 (a) | 6,000 | 6,450 | ||||||
Bank of America Corp. | ||||||||
3.95%, 04/21/25 (a) | 7,000 | 7,887 | ||||||
4.18%, 11/25/27 (a) | 11,000 | 12,761 | ||||||
4.25%, 10/22/26 (a) | 11,000 | 12,877 | ||||||
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | ||||||||
2.59%, 04/29/31 (a)(c) | 47,000 | 50,299 | ||||||
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)(c) | 8,000 | 8,231 | ||||||
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)(c) | 2,000 | 2,197 | ||||||
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)(c) | 11,000 | 12,543 | ||||||
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)(c) | 3,000 | 3,731 | ||||||
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)(c) | 3,000 | 3,570 | ||||||
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)(c) | 10,000 | 10,268 |
See Notes to Schedule of Investments and Notes to Financial Statements.
8 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal | Fair Value $ | |||||||
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)(c) | 3,000 | 3,972 | ||||||
Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter) | ||||||||
4.34%, 10/05/28 (a)(c) | 9,000 | 9,866 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 (a) | 3,000 | 4,323 | ||||||
BAT Capital Corp. | ||||||||
2.26%, 03/25/28 (a) | 5,000 | 5,171 | ||||||
2.73%, 03/25/31 (a) | 8,000 | 8,282 | ||||||
3.56%, 08/15/27 (a) | 5,000 | 5,574 | ||||||
3.73%, 09/25/40 (a) | 5,000 | 5,230 | ||||||
3.98%, 09/25/50 (a) | 8,000 | 8,329 | ||||||
4.39%, 08/15/37 (a) | 7,000 | 7,834 | ||||||
4.54%, 08/15/47 (a) | 4,000 | 4,441 | ||||||
4.70%, 04/02/27 (a) | 5,000 | 5,896 | ||||||
4.91%, 04/02/30 (a) | 6,000 | 7,246 | ||||||
BAT International Finance PLC | ||||||||
1.67%, 03/25/26 (a) | 5,000 | 5,127 | ||||||
Becton Dickinson and Co. | ||||||||
2.89%, 06/06/22 (a) | 9,000 | 9,289 | ||||||
3.70%, 06/06/27 (a) | 10,000 | 11,440 | ||||||
3.73%, 12/15/24 (a) | 2,000 | 2,215 | ||||||
4.67%, 06/06/47 (a) | 3,000 | 3,929 | ||||||
4.69%, 12/15/44 (a) | 2,000 | 2,583 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.25%, 04/15/28 (a) | 4,000 | 4,562 | ||||||
3.70%, 07/15/30 (a)(h) | 5,000 | 5,921 | ||||||
3.80%, 07/15/48 (a) | 5,000 | 5,979 | ||||||
4.25%, 10/15/50 (a)(h) | 2,000 | 2,580 | ||||||
6.13%, 04/01/36 (a) | 5,000 | 7,383 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
1.45%, 10/15/30 (a) | 30,000 | 30,398 | ||||||
2.85%, 10/15/50 (a) | 5,000 | 5,363 | ||||||
4.25%, 01/15/49 (a) | 6,000 | 7,949 | ||||||
Berry Global Inc. | ||||||||
4.88%, 07/15/26 (h) | 11,000 | 11,810 | ||||||
Biogen Inc. | ||||||||
2.25%, 05/01/30 (a) | 3,000 | 3,121 | ||||||
Block Financial LLC | ||||||||
3.88%, 08/15/30 (a) | 5,000 | 5,396 | ||||||
Boardwalk Pipelines LP | ||||||||
4.80%, 05/03/29 (a) | 10,000 | 11,450 | ||||||
Boston Scientific Corp. | ||||||||
4.70%, 03/01/49 (a) | 4,000 | 5,457 | ||||||
BP Capital Markets America Inc. | ||||||||
3.00%, 02/24/50 (a) | 5,000 | 5,144 | ||||||
3.02%, 01/16/27 (a) | 11,000 | 12,157 |
Principal | Fair Value $ | |||||||
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)(c) | 8,000 | 8,529 | ||||||
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)(c) | 8,000 | 8,890 | ||||||
Brighthouse Financial Inc. | ||||||||
3.70%, 06/22/27 (a) | 2,000 | 2,174 | ||||||
Bristol-Myers Squibb Co. | ||||||||
1.45%, 11/13/30 | 15,000 | 15,061 | ||||||
2.35%, 11/13/40 | 2,000 | 2,047 | ||||||
2.55%, 11/13/50 | 6,000 | 6,132 | ||||||
3.20%, 06/15/26 (a) | 7,000 | 7,876 | ||||||
3.40%, 07/26/29 (a) | 7,000 | 8,137 | ||||||
3.45%, 11/15/27 (a) | 2,000 | 2,304 | ||||||
4.13%, 06/15/39 (a) | 5,000 | 6,410 | ||||||
4.25%, 10/26/49 (a) | 5,000 | 6,745 | ||||||
4.55%, 02/20/48 (a) | 4,000 | 5,551 | ||||||
5.00%, 08/15/45 (a) | 5,000 | 7,214 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
2.65%, 01/15/23 (a) | 3,000 | 3,123 | ||||||
3.13%, 01/15/25 (a) | 3,000 | 3,243 | ||||||
3.88%, 01/15/27 (a) | 2,000 | 2,244 | ||||||
Broadcom Inc. | ||||||||
3.15%, 11/15/25 (a) | 10,000 | 10,920 | ||||||
4.15%, 11/15/30 (a) | 33,000 | 38,158 | ||||||
4.30%, 11/15/32 (a) | 8,000 | 9,482 | ||||||
Brown-Forman Corp. | ||||||||
4.00%, 04/15/38 (a) | 2,000 | 2,475 | ||||||
Bunge Limited Finance Corp. | ||||||||
3.75%, 09/25/27 (a) | 3,000 | 3,431 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
4.15%, 12/15/48 (a) | 8,000 | 10,650 | ||||||
4.55%, 09/01/44 (a) | 11,000 | 14,959 | ||||||
Cameron LNG LLC | ||||||||
3.30%, 01/15/35 (a)(h) | 3,000 | 3,376 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.85%, 06/01/27 (a) | 7,000 | 7,864 | ||||||
4.95%, 06/01/47 (a) | 2,000 | 2,522 | ||||||
Cantor Fitzgerald LP | ||||||||
4.88%, 05/01/24 (a)(h) | 10,000 | 11,117 | ||||||
Capital One Financial Corp. | ||||||||
3.75%, 07/28/26 (a) | 9,000 | 10,177 | ||||||
4.75%, 07/15/21 (a) | 12,000 | 12,278 | ||||||
Cardinal Health Inc. | ||||||||
2.62%, 06/15/22 (a) | 6,000 | 6,177 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 9 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal | Fair Value $ | |||||||
3.08%, 06/15/24 (a) | 4,000 | 4,302 | ||||||
Carrier Global Corp. | ||||||||
2.72%, 02/15/30 | 5,000 | 5,345 | ||||||
3.38%, 04/05/40 | 5,000 | 5,483 | ||||||
3.58%, 04/05/50 | 5,000 | 5,592 | ||||||
Caterpillar Inc. | ||||||||
3.25%, 09/19/49 (a) | 7,000 | 8,211 | ||||||
3.80%, 08/15/42 (a) | 4,000 | 5,046 | ||||||
Centene Corp. | ||||||||
3.38%, 02/15/30 (a) | 8,000 | 8,415 | ||||||
4.25%, 12/15/27 (a) | 23,000 | 24,480 | ||||||
5.38%, 08/15/26 (h) | 33,000 | 34,894 | ||||||
CenterPoint Energy Inc. | ||||||||
2.50%, 09/01/22 (a) | 13,000 | 13,439 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.46%, 07/23/22 (a) | 11,000 | 11,594 | ||||||
4.80%, 03/01/50 (a) | 8,000 | 9,502 | ||||||
4.91%, 07/23/25 (a) | 5,000 | 5,805 | ||||||
5.05%, 03/30/29 (a) | 32,000 | 38,784 | ||||||
5.75%, 04/01/48 (a) | 10,000 | 13,069 | ||||||
6.38%, 10/23/35 (a) | 3,000 | 4,113 | ||||||
Cheniere Corpus Christi Holdings LLC | ||||||||
5.88%, 03/31/25 (a) | 7,000 | 8,146 | ||||||
Chevron Corp. | ||||||||
1.55%, 05/11/25 (a) | 2,000 | 2,082 | ||||||
2.24%, 05/11/30 (a) | 3,000 | 3,217 | ||||||
2.98%, 05/11/40 (a) | 5,000 | 5,540 | ||||||
3.08%, 05/11/50 (a) | 5,000 | 5,582 | ||||||
Choice Hotels International Inc. | ||||||||
3.70%, 01/15/31 (a) | 5,000 | 5,524 | ||||||
Chubb INA Holdings Inc. | ||||||||
1.38%, 09/15/30 (a) | 50,000 | 49,833 | ||||||
4.35%, 11/03/45 (a) | 8,000 | 10,828 | ||||||
Cigna Corp. | ||||||||
2.40%, 03/15/30 (a) | 5,000 | 5,321 | ||||||
3.25%, 04/15/25 (a) | 7,000 | 7,691 | ||||||
3.40%, 09/17/21 - 03/01/27 (a) | 12,000 | 12,796 | ||||||
3.75%, 07/15/23 (a) | 4,000 | 4,320 | ||||||
3.88%, 10/15/47 (a) | 4,000 | 4,744 | ||||||
4.13%, 11/15/25 (a) | 7,000 | 8,053 | ||||||
4.38%, 10/15/28 (a) | 3,000 | 3,622 | ||||||
4.80%, 08/15/38 (a) | 3,000 | 3,901 | ||||||
Cisco Systems Inc. | ||||||||
5.90%, 02/15/39 (a) | 5,000 | 7,667 | ||||||
Citigroup Inc. | ||||||||
4.40%, 06/10/25 (a) | 35,000 | 40,123 | ||||||
4.45%, 09/29/27 (a) | 4,000 | 4,724 |
Principal Amount ($) | Fair Value $ | |||||||
4.65%, 07/23/48 (a) | 13,000 | 17,920 | ||||||
4.75%, 05/18/46 (a) | 9,000 | 11,949 | ||||||
5.50%, 09/13/25 (a) | 10,000 | 12,026 | ||||||
Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | ||||||||
1.68%, 05/15/24 (a)(c) | 28,000 | 28,864 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | ||||||||
2.88%, 07/24/23 (a)(c) | 7,000 | 7,266 | ||||||
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | ||||||||
2.98%, 11/05/30 (a)(c) | 31,000 | 34,145 | ||||||
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | ||||||||
3.88%, 01/24/39 (a)(c) | 7,000 | 8,380 | ||||||
Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | ||||||||
4.70%, 12/31/99 (a)(c) | 12,000 | 12,325 | ||||||
CME Group Inc. | ||||||||
3.75%, 06/15/28 (a) | 2,000 | 2,374 | ||||||
CMS Energy Corp. | ||||||||
4.88%, 03/01/44 (a) | 11,000 | 14,590 | ||||||
CNA Financial Corp. | ||||||||
3.45%, 08/15/27 (a) | 5,000 | 5,660 | ||||||
3.90%, 05/01/29 (a) | 10,000 | 11,869 | ||||||
CNH Industrial Capital LLC | ||||||||
1.95%, 07/02/23 (a) | 10,000 | 10,310 | ||||||
4.88%, 04/01/21 (a) | 8,000 | 8,077 | ||||||
CNOOC Petroleum North America ULC | ||||||||
6.40%, 05/15/37 (a) | 7,000 | 9,633 | ||||||
Comcast Corp. | ||||||||
2.65%, 08/15/62 (a) | 5,000 | 5,002 | ||||||
2.80%, 01/15/51 (a) | 5,000 | 5,208 | ||||||
3.10%, 04/01/25 (a) | 5,000 | 5,499 | ||||||
3.20%, 07/15/36 (a) | 7,000 | 7,932 | ||||||
3.25%, 11/01/39 (a) | 9,000 | 10,174 | ||||||
3.38%, 08/15/25 (a) | 5,000 | 5,579 | ||||||
3.45%, 02/01/50 (a) | 5,000 | 5,874 | ||||||
3.97%, 11/01/47 (a) | 6,000 | 7,507 | ||||||
4.15%, 10/15/28 (a) | 7,000 | 8,395 | ||||||
4.60%, 08/15/45 (a) | 3,000 | 4,018 | ||||||
4.70%, 10/15/48 (a) | 4,000 | 5,554 | ||||||
CommonSpirit Health | ||||||||
4.35%, 11/01/42 | 16,000 | 18,752 |
See Notes to Schedule of Investments and Notes to Financial Statements.
10 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
Conagra Brands Inc. | ||||||||
5.30%, 11/01/38 (a) | 3,000 | 4,023 | ||||||
5.40%, 11/01/48 (a) | 4,000 | 5,705 | ||||||
Concho Resources Inc. | ||||||||
3.75%, 10/01/27 (a) | 3,000 | 3,431 | ||||||
4.88%, 10/01/47 (a) | 4,000 | 5,444 | ||||||
ConocoPhillips Co. | ||||||||
4.30%, 11/15/44 (a) | 8,000 | 10,096 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
3.35%, 04/01/30 (a) | 5,000 | 5,723 | ||||||
3.88%, 06/15/47 (a) | 4,000 | 4,729 | ||||||
3.95%, 04/01/50 (a) | 5,000 | 6,087 | ||||||
Constellation Brands Inc. | ||||||||
3.15%, 08/01/29 (a) | 8,000 | 8,907 | ||||||
3.70%, 12/06/26 (a) | 6,000 | 6,877 | ||||||
4.50%, 05/09/47 (a) | 8,000 | 10,143 | ||||||
Continental Resources Inc. | ||||||||
4.50%, 04/15/23 (a) | 7,000 | 7,214 | ||||||
Corning Inc. | ||||||||
4.38%, 11/15/57 (a) | 6,000 | 7,392 | ||||||
Corporate Office Properties LP | ||||||||
2.25%, 03/15/26 (a) | 5,000 | 5,211 | ||||||
Costco Wholesale Corp. | ||||||||
1.75%, 04/20/32 (a) | 8,000 | 8,295 | ||||||
Crown Castle International Corp. | ||||||||
3.30%, 07/01/30 (a) | 41,000 | 46,028 | ||||||
5.20%, 02/15/49 (a) | 6,000 | 8,169 | ||||||
CSX Corp. | ||||||||
4.50%, 03/15/49 - 08/01/54 (a) | 14,000 | 18,686 | ||||||
CubeSmart LP | ||||||||
4.38%, 02/15/29 (a) | 7,000 | 8,251 | ||||||
Cummins Inc. | ||||||||
1.50%, 09/01/30 (a) | 6,000 | 6,035 | ||||||
2.60%, 09/01/50 (a) | 6,000 | 6,108 | ||||||
CVS Health Corp. | ||||||||
3.00%, 08/15/26 (a) | 6,000 | 6,646 | ||||||
3.25%, 08/15/29 (a) | 5,000 | 5,631 | ||||||
3.35%, 03/09/21 (a) | 6,000 | 6,032 | ||||||
3.63%, 04/01/27 (a) | 5,000 | 5,692 | ||||||
3.75%, 04/01/30 (a) | 5,000 | 5,829 | ||||||
4.25%, 04/01/50 (a) | 5,000 | 6,254 | ||||||
4.30%, 03/25/28 (a) | 2,000 | 2,371 | ||||||
4.78%, 03/25/38 (a) | 3,000 | 3,799 | ||||||
5.00%, 12/01/24 (a) | 6,000 | 6,889 | ||||||
5.13%, 07/20/45 (a) | 2,000 | 2,683 | ||||||
5.30%, 12/05/43 (a) | 6,000 | 8,123 | ||||||
D.R. Horton Inc. | ||||||||
2.60%, 10/15/25 (a) | 14,000 | 15,103 | ||||||
Dell International LLC/EMC Corp. | ||||||||
4.00%, 07/15/24 (a)(h) | 9,000 | 9,930 | ||||||
5.45%, 06/15/23 (a)(h) | 5,000 | 5,532 |
Principal Amount ($) | Fair Value $ | |||||||
6.02%, 06/15/26 (a)(h) | 5,000 | 6,104 | ||||||
8.10%, 07/15/36 (a)(h) | 2,000 | 2,940 | ||||||
8.35%, 07/15/46 (a)(h) | 4,000 | 6,032 | ||||||
Devon Energy Corp. | ||||||||
5.00%, 06/15/45 (a) | 6,000 | 7,035 | ||||||
DH Europe Finance II Sarl | ||||||||
2.60%, 11/15/29 (a) | 4,000 | 4,374 | ||||||
3.25%, 11/15/39 (a) | 3,000 | 3,414 | ||||||
3.40%, 11/15/49 (a) | 3,000 | 3,557 | ||||||
Diamondback Energy Inc. | ||||||||
2.88%, 12/01/24 (a) | 10,000 | 10,504 | ||||||
3.25%, 12/01/26 (a) | 5,000 | 5,344 | ||||||
3.50%, 12/01/29 (a) | 5,000 | 5,344 | ||||||
5.38%, 05/31/25 (a) | 12,000 | 12,459 | ||||||
Digital Realty Trust LP | ||||||||
3.60%, 07/01/29 (a) | 10,000 | 11,469 | ||||||
Discovery Communications LLC | ||||||||
2.95%, 03/20/23 (a) | 5,000 | 5,265 | ||||||
3.95%, 03/20/28 (a) | 30,000 | 34,396 | ||||||
4.95%, 05/15/42 (a) | 2,000 | 2,412 | ||||||
5.00%, 09/20/37 (a) | 3,000 | 3,813 | ||||||
Dollar General Corp. | ||||||||
3.50%, 04/03/30 (a) | 9,000 | 10,360 | ||||||
4.13%, 04/03/50 (a) | 6,000 | 7,632 | ||||||
Dollar Tree Inc. | ||||||||
4.00%, 05/15/25 (a) | 7,000 | 7,902 | ||||||
Dominion Energy Inc. | ||||||||
3.07%, 08/15/24 (a)(b) | 5,000 | 5,403 | ||||||
3.38%, 04/01/30 (a) | 10,000 | 11,385 | ||||||
Dover Corp. | ||||||||
2.95%, 11/04/29 (a) | 5,000 | 5,423 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 (a) | 8,000 | 8,786 | ||||||
3.85%, 12/01/23 (a) | 7,000 | 7,618 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.95%, 03/15/48 (a) | 5,000 | 6,262 | ||||||
Duke Energy Corp. | ||||||||
3.55%, 09/15/21 (a) | 6,000 | 6,085 | ||||||
3.75%, 09/01/46 (a) | 3,000 | 3,482 | ||||||
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | ||||||||
4.88%, 12/31/99 (a)(c) | 9,000 | 9,722 | ||||||
Duke Energy Progress LLC | ||||||||
4.15%, 12/01/44 (a) | 11,000 | 14,024 | ||||||
Duke Realty LP | ||||||||
3.05%, 03/01/50 (a) | 5,000 | 5,429 | ||||||
3.25%, 06/30/26 (a) | 4,000 | 4,473 | ||||||
3.38%, 12/15/27 (a) | 3,000 | 3,376 | ||||||
DuPont de Nemours Inc. | ||||||||
2.17%, 05/01/23 (a) | 10,000 | 10,132 | ||||||
5.32%, 11/15/38 (a) | 3,000 | 4,066 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 11 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
5.42%, 11/15/48 (a) | 3,000 | 4,341 | ||||||
Duquesne Light Holdings Inc. | ||||||||
3.62%, 08/01/27 (a)(h) | 11,000 | 12,188 | ||||||
DXC Technology Co. | ||||||||
4.00%, 04/15/23 (a) | 11,000 | 11,756 | ||||||
Eastman Chemical Co. | ||||||||
3.50%, 12/01/21 (a) | 8,000 | 8,221 | ||||||
3.60%, 08/15/22 (a) | 7,000 | 7,291 | ||||||
4.65%, 10/15/44 (a) | 6,000 | 7,587 | ||||||
Eaton Corp. | ||||||||
3.10%, 09/15/27 (a) | 4,000 | 4,481 | ||||||
Ecolab Inc. | ||||||||
1.30%, 01/30/31 (a) | 5,000 | 4,949 | ||||||
2.13%, 08/15/50 (a) | 11,000 | 10,502 | ||||||
Edison International | ||||||||
4.95%, 04/15/25 (a) | 10,000 | 11,397 | ||||||
EI du Pont de Nemours & Co. | ||||||||
2.30%, 07/15/30 (a) | 13,000 | 13,834 | ||||||
Eli Lilly & Co. | ||||||||
3.95%, 03/15/49 (a) | 8,000 | 10,444 | ||||||
Emera US Finance LP | ||||||||
4.75%, 06/15/46 (a) | 3,000 | 3,831 | ||||||
Emerson Electric Co. | ||||||||
1.80%, 10/15/27 (a) | 2,000 | 2,112 | ||||||
2.75%, 10/15/50 (a) | 3,000 | 3,186 | ||||||
Empower Finance 2020 LP | ||||||||
1.36%, 09/17/27 (a)(h) | 10,000 | 10,101 | ||||||
1.78%, 03/17/31 (a)(h) | 39,000 | 39,892 | ||||||
Enbridge Energy Partners LP | ||||||||
5.50%, 09/15/40 (a) | 4,000 | 4,944 | ||||||
Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | ||||||||
5.75%, 07/15/80 (a)(c) | 14,000 | 15,755 | ||||||
Energy Transfer Operating LP | ||||||||
4.25%, 03/15/23 (a) | 8,000 | 8,498 | ||||||
4.50%, 04/15/24 (a) | 2,000 | 2,191 | ||||||
4.95%, 06/15/28 (a) | 4,000 | 4,603 | ||||||
5.30%, 04/15/47 (a) | 6,000 | 6,604 | ||||||
6.50%, 02/01/42 (a) | 8,000 | 9,784 | ||||||
Energy Transfer Operating LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | ||||||||
6.75%, 12/31/99 (a)(c) | 19,000 | 17,582 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | ||||||||
4.50%, 11/01/23 (a) | 4,000 | 4,332 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 (a) | 10,000 | 11,317 | ||||||
4.00%, 03/15/33 (a) | 3,000 | 3,739 |
Principal Amount ($) | Fair Value $ | |||||||
Enterprise Products Operating LLC | ||||||||
4.25%, 02/15/48 (a) | 7,000 | 8,209 | ||||||
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)(c) | 7,000 | 7,088 | ||||||
EOG Resources Inc. | ||||||||
4.38%, 04/15/30 (a) | 5,000 | 6,094 | ||||||
4.95%, 04/15/50 (a) | 8,000 | 10,864 | ||||||
5.10%, 01/15/36 (a) | 4,000 | 4,977 | ||||||
Equinix Inc. | ||||||||
1.25%, 07/15/25 (a) | 10,000 | 10,196 | ||||||
2.15%, 07/15/30 (a) | 10,000 | 10,189 | ||||||
Equinor ASA | ||||||||
3.25%, 11/18/49 (a) | 5,000 | 5,563 | ||||||
ERP Operating LP | ||||||||
4.50%, 07/01/44 (a) | 9,000 | 11,890 | ||||||
Essex Portfolio LP | ||||||||
2.65%, 03/15/32 (a) | 5,000 | 5,358 | ||||||
Eversource Energy | ||||||||
3.45%, 01/15/50 (a) | 7,000 | 8,026 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 (a) | 9,000 | 9,361 | ||||||
4.05%, 04/15/30 (a) | 9,000 | 10,656 | ||||||
4.45%, 04/15/46 (a) | 7,000 | 8,936 | ||||||
4.70%, 04/15/50 (a) | 6,000 | 7,953 | ||||||
Exxon Mobil Corp. | ||||||||
2.61%, 10/15/30 (a) | 17,000 | 18,565 | ||||||
3.45%, 04/15/51 (a) | 10,000 | 11,415 | ||||||
FedEx Corp. | ||||||||
3.80%, 05/15/25 (a) | 22,000 | 24,853 | ||||||
4.10%, 02/01/45 (a) | 13,000 | 15,412 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.55%, 04/01/49 (a)(h) | 7,000 | 8,171 | ||||||
Fiserv Inc. | ||||||||
3.50%, 07/01/29 (a) | 5,000 | 5,743 | ||||||
4.40%, 07/01/49 (a) | 5,000 | 6,664 | ||||||
Florida Power & Light Co. | ||||||||
2.85%, 04/01/25 (a) | 10,000 | 10,913 | ||||||
4.13%, 02/01/42 (a) | 13,000 | 16,538 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/08/26 (a) | 6,000 | 6,398 | ||||||
Fox Corp. | ||||||||
3.50%, 04/08/30 (a) | 6,000 | 6,832 | ||||||
General Dynamics Corp. | ||||||||
4.25%, 04/01/50 (a) | 15,000 | 20,456 | ||||||
General Mills Inc. | ||||||||
2.88%, 04/15/30 (a) | 5,000 | 5,547 | ||||||
4.55%, 04/17/38 (a) | 2,000 | 2,581 | ||||||
4.70%, 04/17/48 (a) | 3,000 | 4,205 |
See Notes to Schedule of Investments and Notes to Financial Statements.
12 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
General Motors Co. | ||||||||
5.20%, 04/01/45 (a) | 3,000 | 3,630 | ||||||
5.40%, 04/01/48 (a) | 2,000 | 2,512 | ||||||
6.13%, 10/01/25 (a) | 8,000 | 9,713 | ||||||
6.80%, 10/01/27 (a) | 5,000 | 6,432 | ||||||
General Motors Financial Company Inc. | ||||||||
3.45%, 01/14/22 - 04/10/22 (a) | 19,000 | 19,520 | ||||||
3.55%, 04/09/21 (a) | 7,000 | 7,052 | ||||||
4.20%, 11/06/21 (a) | 4,000 | 4,119 | ||||||
5.25%, 03/01/26 (a) | 8,000 | 9,407 | ||||||
Georgia-Pacific LLC | ||||||||
1.75%, 09/30/25 (a)(h) | 11,000 | 11,510 | ||||||
3.60%, 03/01/25 (a)(h) | 11,000 | 12,246 | ||||||
Gilead Sciences Inc. | ||||||||
1.20%, 10/01/27 (a) | 5,000 | 5,036 | ||||||
1.65%, 10/01/30 (a) | 5,000 | 5,010 | ||||||
2.60%, 10/01/40 (a) | 4,000 | 4,040 | ||||||
2.80%, 10/01/50 (a) | 4,000 | 3,994 | ||||||
2.95%, 03/01/27 (a) | 3,000 | 3,313 | ||||||
3.50%, 02/01/25 (a) | 4,000 | 4,423 | ||||||
3.65%, 03/01/26 (a) | 2,000 | 2,268 | ||||||
4.15%, 03/01/47 (a) | 7,000 | 8,567 | ||||||
GlaxoSmithKline Capital Inc. | ||||||||
3.38%, 05/15/23 (a) | 7,000 | 7,499 | ||||||
3.63%, 05/15/25 (a) | 6,000 | 6,761 | ||||||
GlaxoSmithKline Capital PLC | ||||||||
3.38%, 06/01/29 (a) | 9,000 | 10,466 | ||||||
Glencore Finance Canada Ltd. | ||||||||
4.25%, 10/25/22 (a)(h) | 11,000 | 11,703 | ||||||
4.95%, 11/15/21 (a)(h) | 7,000 | 7,256 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 09/01/30 (a)(h) | 16,000 | 16,353 | ||||||
Gray Oak Pipeline LLC | ||||||||
2.00%, 09/15/23 (a)(h) | 14,000 | 14,241 | ||||||
2.60%, 10/15/25 (a)(h) | 10,000 | 10,352 | ||||||
Halliburton Co. | ||||||||
5.00%, 11/15/45 (a) | 6,000 | 7,077 | ||||||
HCA Inc. | ||||||||
4.13%, 06/15/29 (a) | 5,000 | 5,805 | ||||||
4.50%, 02/15/27 (a) | 6,000 | 6,983 | ||||||
Health Care Service Corp. | ||||||||
2.20%, 06/01/30 (a)(h) | 14,000 | 14,616 | ||||||
3.20%, 06/01/50 (a)(h) | 4,000 | 4,288 | ||||||
Healthcare Trust of America Holdings LP | ||||||||
2.00%, 03/15/31 (a) | 5,000 | 5,000 | ||||||
Hess Corp. | ||||||||
5.60%, 02/15/41 (a) | 4,000 | 4,842 | ||||||
5.80%, 04/01/47 (a) | 2,000 | 2,524 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
6.35%, 10/15/45 (a) | 5,000 | 6,601 |
Principal Amount ($) | Fair Value $ | |||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/28 (a) | 7,000 | 7,819 | ||||||
4.20%, 04/15/29 (a) | 11,000 | 12,542 | ||||||
Honeywell International Inc. | ||||||||
2.70%, 08/15/29 (a) | 2,000 | 2,235 | ||||||
Hormel Foods Corp. | ||||||||
1.80%, 06/11/30 (a) | 11,000 | 11,373 | ||||||
Huntington Bancshares Inc. | ||||||||
2.55%, 02/04/30 (a) | 12,000 | 12,893 | ||||||
Hyundai Capital America | ||||||||
3.10%, 04/05/22 (a)(h) | 7,000 | 7,203 | ||||||
Ingredion Inc. | ||||||||
2.90%, 06/01/30 (a) | 6,000 | 6,619 | ||||||
3.90%, 06/01/50 (a) | 2,000 | 2,387 | ||||||
Intel Corp. | ||||||||
2.45%, 11/15/29 (a) | 12,000 | 12,974 | ||||||
2.60%, 05/19/26 (a) | 8,000 | 8,719 | ||||||
2.88%, 05/11/24 (a) | 3,000 | 3,236 | ||||||
3.10%, 02/15/60 (a) | 7,000 | 7,560 | ||||||
Intercontinental Exchange Inc. | ||||||||
1.85%, 09/15/32 (a) | 2,000 | 2,015 | ||||||
2.65%, 09/15/40 (a) | 2,000 | 2,051 | ||||||
3.00%, 09/15/60 (a) | 5,000 | 5,209 | ||||||
International Paper Co. |
| |||||||
4.40%, 08/15/47 (a) | 7,000 | 9,144 | ||||||
Interstate Power & Light Co. |
| |||||||
3.40%, 08/15/25 (a) | 8,000 | 8,832 | ||||||
ITC Holdings Corp. |
| |||||||
2.95%, 05/14/30 (a)(h) | 14,000 | 15,336 | ||||||
Jabil Inc. |
| |||||||
3.95%, 01/12/28 (a) | 4,000 | 4,540 | ||||||
Jefferies Group LLC |
| |||||||
5.13%, 01/20/23 (a) | 10,000 | 10,930 | ||||||
John Deere Capital Corp. |
| |||||||
2.45%, 01/09/30 (a) | 15,000 | 16,407 | ||||||
Johnson & Johnson |
| |||||||
3.63%, 03/03/37 (a) | 5,000 | 6,135 | ||||||
Johnson Controls International PLC |
| |||||||
4.50%, 02/15/47 (a) | 5,000 | 6,564 | ||||||
JPMorgan Chase & Co. |
| |||||||
3.30%, 04/01/26 (a) | 11,000 | 12,317 | ||||||
3.63%, 12/01/27 (a) | 5,000 | 5,681 | ||||||
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | ||||||||
2.96%, 05/13/31 (a)(c) | 35,000 | 38,314 | ||||||
JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter) | ||||||||
3.51%, 01/23/29 (a)(c) | 7,000 | 7,978 | ||||||
JPMorgan Chase & Co. (3.68% fixed rate until 04/30/21; 3.47% + 3 month USD LIBOR thereafter) | ||||||||
3.68%, 12/29/49 (a)(c) | 8,000 | 7,943 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 13 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | ||||||||
3.88%, 07/24/38 (a)(c) | �� | 2,000 | 2,430 | |||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | ||||||||
3.90%, 01/23/49 (a)(c) | 10,000 | 12,622 | ||||||
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | ||||||||
4.01%, 04/23/29 (a)(c) | 4,000 | 4,694 | ||||||
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | ||||||||
4.03%, 07/24/48 (a)(c) | 7,000 | 8,888 | ||||||
JPMorgan Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + SOFR thereafter) | ||||||||
4.49%, 03/24/31 (a)(c) | 22,000 | 27,125 | ||||||
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | ||||||||
4.60%, 12/31/99 (a)(c) | 12,000 | 12,364 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | ||||||||
6.10%, 10/29/49 (a)(c) | 7,000 | 7,665 | ||||||
Keurig Dr Pepper Inc. | ||||||||
3.20%, 05/01/30 (a) | 3,000 | 3,404 | ||||||
3.80%, 05/01/50 (a) | 7,000 | 8,378 | ||||||
4.50%, 11/15/45 (a) | 3,000 | 3,840 | ||||||
KeyCorp | ||||||||
2.25%, 04/06/27 (a) | 17,000 | 18,201 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 03/01/21 (a) | 11,000 | 11,000 | ||||||
4.70%, 11/01/42 (a) | 2,000 | 2,290 | ||||||
5.00%, 03/01/43 (a) | 2,000 | 2,365 | ||||||
6.38%, 03/01/41 (a) | 4,000 | 5,252 | ||||||
Kinder Morgan Inc. | ||||||||
5.05%, 02/15/46 (a) | 9,000 | 10,962 | ||||||
KLA Corp. | ||||||||
3.30%, 03/01/50 (a) | 5,000 | 5,642 | ||||||
4.10%, 03/15/29 (a) | 11,000 | 13,183 | ||||||
4.65%, 11/01/24 (a) | 6,000 | 6,834 | ||||||
Kohl’s Corp. | ||||||||
9.50%, 05/15/25 (a) | 5,000 | 6,480 | ||||||
L3Harris Technologies Inc. | ||||||||
3.85%, 12/15/26 (a) | 6,000 | 6,938 | ||||||
Las Vegas Sands Corp. | ||||||||
3.50%, 08/18/26 (a) | 5,000 | 5,361 |
Principal Amount ($) | Fair Value $ | |||||||
Lear Corp. | ||||||||
4.25%, 05/15/29 (a) | 10,000 | 11,404 | ||||||
5.25%, 05/15/49 (a) | 5,000 | 6,119 | ||||||
Leidos Inc. | ||||||||
2.95%, 05/15/23 (a)(h) | 11,000 | 11,575 | ||||||
3.63%, 05/15/25 (a)(h) | 5,000 | 5,590 | ||||||
4.38%, 05/15/30 (a)(h) | 13,000 | 15,583 | ||||||
Liberty Mutual Group Inc. | ||||||||
3.95%, 05/15/60 (a)(h) | 3,000 | 3,598 | ||||||
Life Storage LP | ||||||||
2.20%, 10/15/30 (a) | 10,000 | 10,216 | ||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 (a) | 4,000 | 4,580 | ||||||
4.35%, 03/01/48 (a) | 7,000 | 8,941 | ||||||
Lockheed Martin Corp. | ||||||||
4.50%, 05/15/36 (a) | 7,000 | 9,244 | ||||||
Lowe’s Companies Inc. | ||||||||
1.30%, 04/15/28 (a) | 5,000 | 5,030 | ||||||
1.70%, 10/15/30 (a) | 3,000 | 3,032 | ||||||
3.00%, 10/15/50 (a) | 7,000 | 7,508 | ||||||
4.05%, 05/03/47 (a) | 4,000 | 5,001 | ||||||
LYB International Finance BV | ||||||||
4.88%, 03/15/44 (a) | 5,000 | 6,301 | ||||||
LYB International Finance III LLC | ||||||||
1.25%, 10/01/25 (a) | 5,000 | 5,088 | ||||||
3.63%, 04/01/51 (a) | 3,000 | 3,276 | ||||||
3.80%, 10/01/60 (a) | 3,000 | 3,213 | ||||||
Marathon Oil Corp. | ||||||||
3.85%, 06/01/25 (a) | 7,000 | 7,502 | ||||||
Masco Corp. | ||||||||
3.50%, 11/15/27 (a) | 2,000 | 2,264 | ||||||
Mastercard Inc. | ||||||||
3.30%, 03/26/27 (a) | 5,000 | 5,705 | ||||||
McCormick & Company Inc. | ||||||||
2.50%, 04/15/30 (a) | 3,000 | 3,214 | ||||||
3.25%, 11/15/25 (a) | 32,000 | 35,191 | ||||||
McDonald’s Corp. | ||||||||
3.60%, 07/01/30 (a) | 8,000 | 9,372 | ||||||
3.63%, 09/01/49 (a) | 3,000 | 3,523 | ||||||
3.70%, 01/30/26 (a) | 5,000 | 5,683 | ||||||
3.80%, 04/01/28 (a) | 9,000 | 10,531 | ||||||
4.20%, 04/01/50 (a) | 2,000 | 2,564 | ||||||
4.88%, 12/09/45 (a) | 8,000 | 10,850 | ||||||
Medtronic Inc. | ||||||||
4.63%, 03/15/45 (a) | 2,000 | 2,842 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
4.13%, 07/01/52 (a) | 17,000 | 22,331 | ||||||
Merck & Company Inc. | ||||||||
1.45%, 06/24/30 (a) | 5,000 | 5,057 | ||||||
2.45%, 06/24/50 (a) | 5,000 | 5,179 | ||||||
2.75%, 02/10/25 (a) | 7,000 | 7,613 |
See Notes to Schedule of Investments and Notes to Financial Statements.
14 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
4.00%, 03/07/49 (a) | 4,000 | 5,284 | ||||||
MetLife Inc. | ||||||||
4.05%, 03/01/45 (a) | 3,000 | 3,842 | ||||||
4.72%, 12/15/44 (a) | 10,000 | 13,695 | ||||||
Microchip Technology Inc. | ||||||||
2.67%, 09/01/23 (a)(h) | 28,000 | 29,322 | ||||||
Micron Technology Inc. | ||||||||
2.50%, 04/24/23 (a) | 10,000 | 10,428 | ||||||
Microsoft Corp. | ||||||||
2.40%, 08/08/26 (a) | 6,000 | 6,545 | ||||||
2.68%, 06/01/60 (a) | 3,000 | 3,261 | ||||||
3.45%, 08/08/36 (a) | 5,000 | 6,162 | ||||||
3.50%, 02/12/35 (a) | 3,000 | 3,690 | ||||||
3.70%, 08/08/46 (a) | 11,000 | 13,920 | ||||||
3.95%, 08/08/56 (a) | 5,000 | 6,847 | ||||||
4.10%, 02/06/37 (a) | 4,000 | 5,230 | ||||||
Molson Coors Beverage Co. | ||||||||
2.10%, 07/15/21 (a) | 7,000 | 7,051 | ||||||
4.20%, 07/15/46 (a) | 6,000 | 6,864 | ||||||
Morgan Stanley | ||||||||
3.70%, 10/23/24 (a) | 7,000 | 7,791 | ||||||
3.95%, 04/23/27 (a) | 5,000 | 5,782 | ||||||
4.35%, 09/08/26 (a) | 12,000 | 14,122 | ||||||
5.00%, 11/24/25 (a) | 25,000 | 29,852 | ||||||
Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter) | ||||||||
2.72%, 07/22/25 (a)(c) | 12,000 | 12,838 | ||||||
Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | ||||||||
3.62%, 04/01/31 (a)(c) | 30,000 | 34,867 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | ||||||||
3.97%, 07/22/38 (a)(c) | 10,000 | 12,371 | ||||||
MPLX LP | ||||||||
1.75%, 03/01/26 (a) | 5,000 | 5,171 | ||||||
2.65%, 08/15/30 (a) | 5,000 | 5,252 | ||||||
3.38%, 03/15/23 (a) | 5,000 | 5,292 | ||||||
5.20%, 12/01/47 (a) | 3,000 | 3,646 | ||||||
5.25%, 01/15/25 (a) | 9,000 | 9,248 | ||||||
MPLX LP (1.34% fixed rate until 02/01/2021; 1.10% + 3 month USD LIBOR) | ||||||||
1.33%, 09/09/22 (a)(c) | 10,000 | 10,003 | ||||||
Mylan Inc. | ||||||||
5.20%, 04/15/48 (a) | 5,000 | 6,578 | ||||||
National Oilwell Varco Inc. | ||||||||
3.60%, 12/01/29 (a) | 9,000 | 9,404 | ||||||
National Retail Properties Inc. | ||||||||
4.00%, 11/15/25 (a) | 6,000 | 6,703 |
Principal Amount ($) | Fair Value $ | |||||||
Newmont Corp. | ||||||||
4.88%, 03/15/42 (a) | 7,000 | 9,480 | ||||||
NextEra Energy Capital Holdings Inc. | ||||||||
3.25%, 04/01/26 (a) | 11,000 | 12,306 | ||||||
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)(c) | 7,000 | 8,216 | ||||||
NIKE Inc. | ||||||||
3.38%, 03/27/50 (a) | 2,000 | 2,470 | ||||||
NiSource Inc. | ||||||||
3.60%, 05/01/30 (a) | 5,000 | 5,795 | ||||||
3.95%, 03/30/48 (a) | 2,000 | 2,458 | ||||||
Noble Energy Inc. | ||||||||
3.85%, 01/15/28 (a) | 6,000 | 6,948 | ||||||
3.90%, 11/15/24 (a) | 4,000 | 4,446 | ||||||
4.20%, 10/15/49 (a) | 3,000 | 3,898 | ||||||
5.05%, 11/15/44 (a) | 3,000 | 4,210 | ||||||
Norfolk Southern Corp. | ||||||||
3.95%, 10/01/42 (a) | 6,000 | 7,270 | ||||||
Northrop Grumman Corp. | ||||||||
3.85%, 04/15/45 (a) | 4,000 | 4,848 | ||||||
4.03%, 10/15/47 (a) | 3,000 | 3,751 | ||||||
Novartis Capital Corp. | ||||||||
2.20%, 08/14/30 (a) | 8,000 | 8,604 | ||||||
3.00%, 11/20/25 (a) | 3,000 | 3,321 | ||||||
NRG Energy Inc. | ||||||||
2.00%, 12/02/25 (h) | 10,000 | 10,363 | ||||||
2.45%, 12/02/27 (h) | 5,000 | 5,249 | ||||||
Nutrien Ltd. | ||||||||
4.00%, 12/15/26 (a) | 3,000 | 3,485 | ||||||
4.90%, 06/01/43 (a) | 6,000 | 7,714 | ||||||
NVIDIA Corp. | ||||||||
2.85%, 04/01/30 (a) | 30,000 | 33,750 | ||||||
3.50%, 04/01/50 (a) | 5,000 | 6,061 | ||||||
NXP BV/NXP Funding LLC/NXP USA Inc. | ||||||||
2.70%, 05/01/25 (a)(h) | 30,000 | 32,255 | ||||||
Occidental Petroleum Corp. | ||||||||
2.90%, 08/15/24 (a) | 4,000 | 3,855 | ||||||
4.85%, 03/15/21 (a) | 3,000 | 3,001 | ||||||
Oklahoma Gas & Electric Co. | ||||||||
3.25%, 04/01/30 (a) | 5,000 | 5,688 | ||||||
Oncor Electric Delivery Company LLC |
| |||||||
3.80%, 09/30/47 (a) | 2,000 | 2,474 | ||||||
ONEOK Inc. | ||||||||
4.35%, 03/15/29 (a) | 6,000 | 6,796 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/23 (a) | 4,000 | 4,208 | ||||||
2.65%, 07/15/26 (a) | 7,000 | 7,671 | ||||||
2.95%, 04/01/30 (a) | 9,000 | 10,060 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 15 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
3.60%, 04/01/50 (a) | 6,000 | 7,004 | ||||||
3.80%, 11/15/37 (a) | 3,000 | 3,606 | ||||||
4.00%, 07/15/46 - 11/15/47 (a) | 15,000 | 18,403 | ||||||
Otis Worldwide Corp. | ||||||||
2.06%, 04/05/25 (a) | 5,000 | 5,303 | ||||||
2.57%, 02/15/30 (a) | 5,000 | 5,367 | ||||||
3.36%, 02/15/50 (a) | 5,000 | 5,808 | ||||||
Ovintiv Exploration Inc. | ||||||||
5.63%, 07/01/24 (a) | 21,000 | 22,473 | ||||||
Owens Corning | ||||||||
4.40%, 01/30/48 (a) | 5,000 | 6,034 | ||||||
Pacific Gas & Electric Co. | ||||||||
2.50%, 02/01/31 (a) | 8,000 | 8,003 | ||||||
Pacific Gas & Electric Co. | ||||||||
2.10%, 08/01/27 (a) | 5,000 | 5,086 | ||||||
3.30%, 08/01/40 (a) | 8,000 | 8,014 | ||||||
3.50%, 08/01/50 (a) | 5,000 | 4,960 | ||||||
PacifiCorp | ||||||||
2.70%, 09/15/30 (a) | 5,000 | 5,508 | ||||||
6.25%, 10/15/37 (a) | 4,000 | 6,009 | ||||||
Parker-Hannifin Corp. | ||||||||
3.25%, 06/14/29 (a) | 5,000 | 5,674 | ||||||
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)(c) | 30,000 | 31,276 | ||||||
PayPal Holdings Inc. | ||||||||
2.65%, 10/01/26 (a) | 10,000 | 10,989 | ||||||
3.25%, 06/01/50 (a) | 4,000 | 4,597 | ||||||
PepsiCo Inc. | ||||||||
1.63%, 05/01/30 (a) | 5,000 | 5,130 | ||||||
2.63%, 07/29/29 (a) | 10,000 | 11,050 | ||||||
3.45%, 10/06/46 (a) | 6,000 | 7,219 | ||||||
Petroleos Mexicanos | ||||||||
5.35%, 02/12/28 (a) | 10,000 | 9,876 | ||||||
5.63%, 01/23/46 (a) | 10,000 | 8,592 | ||||||
6.35%, 02/12/48 (a) | 10,000 | 9,026 | ||||||
6.50%, 03/13/27 (a) | 15,000 | 15,814 | ||||||
7.69%, 01/23/50 (a) | 10,000 | 10,097 | ||||||
Pfizer Inc. | ||||||||
2.63%, 04/01/30 (a) | 3,000 | 3,327 | ||||||
2.70%, 05/28/50 (a) | 12,000 | 12,866 | ||||||
3.45%, 03/15/29 (a) | 4,000 | 4,669 | ||||||
3.60%, 09/15/28 (a) | 7,000 | 8,251 | ||||||
3.90%, 03/15/39 (a) | 5,000 | 6,237 | ||||||
4.40%, 05/15/44 (a) | 4,000 | 5,384 | ||||||
Philip Morris International Inc. | ||||||||
1.50%, 05/01/25 (a) | 4,000 | 4,144 | ||||||
2.10%, 05/01/30 (a) | 3,000 | 3,125 | ||||||
4.13%, 03/04/43 (a) | 4,000 | 4,907 |
Principal Amount ($) | Fair Value $ | |||||||
Phillips 66 | ||||||||
2.15%, 12/15/30 (a) | 28,000 | 28,400 | ||||||
Phillips 66 Partners LP | ||||||||
3.15%, 12/15/29 (a) | 16,000 | 16,696 | ||||||
3.75%, 03/01/28 (a) | 3,000 | 3,263 | ||||||
4.68%, 02/15/45 (a) | 6,000 | 6,515 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.55%, 12/15/29 (a) | 3,000 | 3,141 | ||||||
3.65%, 06/01/22 (a) | 11,000 | 11,333 | ||||||
Precision Castparts Corp. | ||||||||
4.38%, 06/15/45 (a) | 10,000 | 12,574 | ||||||
Prologis LP | ||||||||
4.38%, 02/01/29 (a) | 8,000 | 9,783 | ||||||
Prudential Financial Inc. | ||||||||
3.94%, 12/07/49 (a) | 6,000 | 7,314 | ||||||
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | ||||||||
5.70%, 09/15/48 (a)(c) | 12,000 | 13,852 | ||||||
Public Service Company of Colorado | ||||||||
3.70%, 06/15/28 (a) | 7,000 | 8,173 | ||||||
Public Service Electric & Gas Co. | ||||||||
2.38%, 05/15/23 (a) | 8,000 | 8,353 | ||||||
PVH Corp. | ||||||||
4.63%, 07/10/25 (a) | 10,000 | 11,257 | ||||||
QUALCOMM Inc. | ||||||||
1.30%, 05/20/28 (a)(h) | 5,000 | 5,053 | ||||||
1.65%, 05/20/32 (a)(h) | 2,000 | 2,007 | ||||||
3.25%, 05/20/27 (a) | 2,000 | 2,271 | ||||||
4.30%, 05/20/47 (a) | 3,000 | 4,035 | ||||||
Raytheon Technologies Corp. | ||||||||
3.13%, 05/04/27 (a) | 20,000 | 22,330 | ||||||
3.50%, 03/15/27 | 3,000 | 3,422 | ||||||
3.95%, 08/16/25 (a) | 2,000 | 2,293 | ||||||
4.13%, 11/16/28 (a) | 2,000 | 2,386 | ||||||
4.15%, 05/15/45 (a) | 5,000 | 6,315 | ||||||
4.45%, 11/16/38 (a) | 4,000 | 5,086 | ||||||
4.50%, 06/01/42 (a) | 4,000 | 5,217 | ||||||
Realty Income Corp. | ||||||||
3.00%, 01/15/27 (a) | 5,000 | 5,529 | ||||||
3.25%, 01/15/31 (a) | 5,000 | 5,678 | ||||||
Regeneron Pharmaceuticals Inc. | ||||||||
1.75%, 09/15/30 (a) | 10,000 | 9,856 | ||||||
2.80%, 09/15/50 (a) | 5,000 | 4,842 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
2.15%, 08/15/30 (a) | 20,000 | 20,585 | ||||||
Reynolds American Inc. | ||||||||
4.45%, 06/12/25 (a) | 4,000 | 4,560 | ||||||
Rio Tinto Finance USA PLC | ||||||||
4.13%, 08/21/42 (a) | 6,000 | 7,828 |
See Notes to Schedule of Investments and Notes to Financial Statements.
16 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
Rockwell Automation Inc. | ||||||||
4.20%, 03/01/49 (a) | 6,000 | 8,117 | ||||||
Rogers Communications Inc. | ||||||||
5.00%, 03/15/44 (a) | 4,000 | 5,486 | ||||||
Roper Technologies Inc. | ||||||||
2.95%, 09/15/29 (a) | 4,000 | 4,400 | ||||||
Ross Stores Inc. | ||||||||
4.70%, 04/15/27 (a) | 3,000 | 3,547 | ||||||
Royalty Pharma PLC | ||||||||
0.75%, 09/02/23 (a)(h) | 5,000 | 5,025 | ||||||
1.20%, 09/02/25 (a)(h) | 5,000 | 5,080 | ||||||
1.75%, 09/02/27 (a)(h) | 5,000 | 5,141 | ||||||
2.20%, 09/02/30 (a)(h) | 3,000 | 3,080 | ||||||
3.30%, 09/02/40 (a)(h) | 2,000 | 2,106 | ||||||
RPM International Inc. | ||||||||
3.75%, 03/15/27 (a) | 2,000 | 2,217 | ||||||
Ryder System Inc. | ||||||||
2.90%, 12/01/26 (a) | 9,000 | 9,889 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 (a) | 4,000 | 4,590 | ||||||
4.50%, 05/15/30 (a)(h) | 5,000 | 5,944 | ||||||
5.00%, 03/15/27 (a) | 2,000 | 2,360 | ||||||
5.88%, 06/30/26 (a) | 9,000 | 10,884 | ||||||
Santander Holdings USA Inc. | ||||||||
4.40%, 07/13/27 (a) | 4,000 | 4,556 | ||||||
Schlumberger Holdings Corp. | ||||||||
3.90%, 05/17/28 (a)(h) | 8,000 | 9,025 | ||||||
Selective Insurance Group Inc. | ||||||||
5.38%, 03/01/49 (a) | 5,000 | 6,295 | ||||||
Sempra Energy | ||||||||
3.80%, 02/01/38 (a) | 2,000 | 2,311 | ||||||
4.00%, 02/01/48 (a) | 4,000 | 4,754 | ||||||
Shell International Finance BV | ||||||||
2.38%, 08/21/22 (a) | 11,000 | 11,381 | ||||||
3.13%, 11/07/49 (a) | 8,000 | 8,853 | ||||||
3.75%, 09/12/46 (a) | 7,000 | 8,462 | ||||||
4.13%, 05/11/35 (a) | 8,000 | 10,010 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/21 (a) | 2,000 | 2,025 | ||||||
2.88%, 09/23/23 (a) | 3,000 | 3,180 | ||||||
3.20%, 09/23/26 (a) | 3,000 | 3,355 | ||||||
Simon Property Group LP | ||||||||
3.38%, 06/15/27 (a) | 4,000 | 4,427 | ||||||
Southern California Edison Co. | ||||||||
2.40%, 02/01/22 (a) | 10,000 | 10,171 | ||||||
4.00%, 04/01/47 (a) | 12,000 | 14,113 | ||||||
4.20%, 03/01/29 (a) | 11,000 | 12,890 | ||||||
Southern Company Gas Capital Corp. |
| |||||||
3.95%, 10/01/46 (a) | 6,000 | 7,058 | ||||||
4.40%, 05/30/47 (a) | 2,000 | 2,514 | ||||||
Southern Copper Corp. | ||||||||
5.88%, 04/23/45 (a) | 8,000 | 11,588 |
Principal Amount ($) | Fair Value $ | |||||||
Southwest Airlines Co. | ||||||||
2.63%, 02/10/30 (a) | 9,000 | 9,177 | ||||||
Southwestern Electric Power Co. | ||||||||
2.75%, 10/01/26 (a) | 7,000 | 7,606 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 (a) | 2,000 | 2,234 | ||||||
4.50%, 03/15/45 (a) | 3,000 | 3,525 | ||||||
Spirit Realty LP | ||||||||
4.00%, 07/15/29 (a) | 10,000 | 11,247 | ||||||
Starbucks Corp. | ||||||||
4.00%, 11/15/28 (a) | 6,000 | 7,137 | ||||||
Steel Dynamics Inc. | ||||||||
3.25%, 10/15/50 (a) | 4,000 | 4,157 | ||||||
3.45%, 04/15/30 (a) | 5,000 | 5,660 | ||||||
Stryker Corp. | ||||||||
1.95%, 06/15/30 (a) | 11,000 | 11,318 | ||||||
2.90%, 06/15/50 (a) | 5,000 | 5,302 | ||||||
Suncor Energy Inc. | ||||||||
4.00%, 11/15/47 (a) | 3,000 | 3,400 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
5.30%, 04/01/44 (a) | 5,000 | 5,399 | ||||||
Sysco Corp. | ||||||||
3.25%, 07/15/27 (a) | 4,000 | 4,464 | ||||||
T-Mobile USA Inc. | ||||||||
3.50%, 04/15/25 (a)(h) | 7,000 | 7,745 | ||||||
3.75%, 04/15/27 (a)(h) | 13,000 | 14,826 | ||||||
3.88%, 04/15/30 (a)(h) | 27,000 | 31,214 | ||||||
Tampa Electric Co. | ||||||||
4.35%, 05/15/44 (a) | 13,000 | 16,384 | ||||||
Target Corp. | ||||||||
2.50%, 04/15/26 (a) | 5,000 | 5,526 | ||||||
Teck Resources Ltd. | ||||||||
3.90%, 07/15/30 | 7,000 | 7,793 | ||||||
5.40%, 02/01/43 (a) | 4,000 | 4,751 | ||||||
Texas Instruments Inc. | ||||||||
3.88%, 03/15/39 (a) | 6,000 | 7,520 | ||||||
The Allstate Corp. | ||||||||
4.20%, 12/15/46 (a) | 3,000 | 3,967 | ||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | ||||||||
5.75%, 08/15/53 (a)(c) | 11,000 | 11,781 | ||||||
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)(c) | 6,000 | 6,377 | ||||||
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)(c) | 8,000 | 8,021 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 17 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
The Boeing Co. | ||||||||
2.70%, 02/01/27 (a) | 20,000 | 20,793 | ||||||
2.95%, 02/01/30 (a) | 14,000 | 14,477 | ||||||
3.25%, 03/01/28 (a) | 3,000 | 3,177 | ||||||
3.75%, 02/01/50 (a) | 4,000 | 4,183 | ||||||
5.04%, 05/01/27 (a) | 16,000 | 18,721 | ||||||
5.15%, 05/01/30 (a) | 11,000 | 13,314 | ||||||
5.81%, 05/01/50 (a) | 10,000 | 13,770 | ||||||
The Charles Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT Rate thereafter) | ||||||||
4.00%, 12/31/99 (c) | 14,000 | 14,697 | ||||||
The Cleveland Electric Illuminating Co. |
| |||||||
4.55%, 11/15/30 (a)(h) | 14,000 | 16,149 | ||||||
The Clorox Co. | ||||||||
1.80%, 05/15/30 (a) | 10,000 | 10,293 | ||||||
The Coca-Cola Co. | ||||||||
2.60%, 06/01/50 (a) | 11,000 | 11,559 | ||||||
2.75%, 06/01/60 (a) | 5,000 | 5,850 | ||||||
The Dow Chemical Co. | ||||||||
2.10%, 11/15/30 (a) | 15,000 | 15,353 | ||||||
3.60%, 11/15/50 (a) | 5,000 | 5,606 | ||||||
4.25%, 10/01/34 (a) | 5,000 | 6,037 | ||||||
5.55%, 11/30/48 (a) | 4,000 | 5,756 | ||||||
The Estee Lauder Companies Inc. | ||||||||
2.38%, 12/01/29 (a) | 5,000 | 5,411 | ||||||
3.13%, 12/01/49 (a) | 5,000 | 5,771 | ||||||
The George Washington University | ||||||||
4.13%, 09/15/48 | 8,000 | 10,068 | ||||||
The Goldman Sachs Group Inc. |
| |||||||
2.60%, 02/07/30 (a) | 30,000 | 32,276 | ||||||
3.50%, 04/01/25 - 11/16/26 (a) | 17,000 | 19,029 | ||||||
3.85%, 01/26/27 (a) | 21,000 | 23,996 | ||||||
4.25%, 10/21/25 (a) | 2,000 | 2,291 | ||||||
5.15%, 05/22/45 (a) | 5,000 | 7,000 | ||||||
The Goldman Sachs Group Inc. (2.88% fixed rate until 10/31/21; 0.82% + 3 month USD LIBOR thereafter) | ||||||||
2.88%, 10/31/22 (a)(c) | 7,000 | 7,142 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | ||||||||
2.91%, 06/05/23 (a)(c) | 11,000 | 11,389 | ||||||
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)(c) | 4,000 | 4,629 |
Principal Amount ($) | Fair Value $ | |||||||
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)(c) | 6,000 | 7,316 | ||||||
The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | ||||||||
4.22%, 05/01/29 (a)(c) | 6,000 | 7,106 | ||||||
The Hartford Financial Services Group Inc. | ||||||||
2.80%, 08/19/29 (a) | 15,000 | 16,374 | ||||||
The Hartford Financial Services Group Inc. (2.35% fixed rate until 02/01/2021; 2.13% + 3 month USD LIBOR) | ||||||||
2.35%, 02/12/67 (a)(c)(h) | 10,000 | 8,749 | ||||||
The Home Depot Inc. |
| |||||||
2.70%, 04/15/30 (a) | 2,000 | 2,230 | ||||||
3.35%, 04/15/50 (a) | 5,000 | 5,965 | ||||||
3.50%, 09/15/56 (a) | 7,000 | 8,651 | ||||||
3.90%, 12/06/28 (a) | 6,000 | 7,223 | ||||||
4.50%, 12/06/48 (a) | 4,000 | 5,621 | ||||||
The Kroger Co. |
| |||||||
2.20%, 05/01/30 (a) | 4,000 | 4,206 | ||||||
2.95%, 11/01/21 (a) | 7,000 | 7,135 | ||||||
4.65%, 01/15/48 (a) | 4,000 | 5,245 | ||||||
The Mosaic Co. |
| |||||||
5.63%, 11/15/43 (a) | 3,000 | 3,886 | ||||||
The Southern Co. |
| |||||||
4.40%, 07/01/46 (a) | 4,000 | 5,033 | ||||||
The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | ||||||||
3.63%, 09/15/31 (a)(c) | 10,000 | 11,310 | ||||||
The Travelers Companies Inc. |
| |||||||
2.55%, 04/27/50 (a) | 14,000 | 14,718 | ||||||
The Walt Disney Co. |
| |||||||
2.65%, 01/13/31 (a) | 10,000 | 10,963 | ||||||
3.38%, 11/15/26 (a) | 5,000 | 5,640 | ||||||
3.60%, 01/13/51 (a) | 7,000 | 8,485 | ||||||
4.75%, 11/15/46 (a) | 4,000 | 5,410 | ||||||
6.65%, 11/15/37 (a) | 8,000 | 12,591 | ||||||
The Williams Companies Inc. |
| |||||||
3.75%, 06/15/27 (a) | 3,000 | 3,431 | ||||||
4.85%, 03/01/48 (a) | 7,000 | 8,626 | ||||||
4.90%, 01/15/45 (a) | 8,000 | 9,526 | ||||||
5.40%, 03/04/44 (a) | 4,000 | 4,937 | ||||||
Time Warner Cable LLC |
| |||||||
4.50%, 09/15/42 (a) | 3,000 | 3,495 | ||||||
6.55%, 05/01/37 (a) | 5,000 | 6,862 |
See Notes to Schedule of Investments and Notes to Financial Statements.
18 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
Total Capital International S.A. |
| |||||||
3.46%, 02/19/29 (a) | 7,000 | 8,105 | ||||||
Trane Technologies Luxembourg Finance S.A. | ||||||||
3.55%, 11/01/24 (a) | 7,000 | 7,735 | ||||||
3.80%, 03/21/29 (a) | 6,000 | 7,040 | ||||||
TransCanada PipeLines Ltd. |
| |||||||
4.25%, 05/15/28 (a) | 8,000 | 9,466 | ||||||
4.88%, 01/15/26 (a) | 3,000 | 3,568 | ||||||
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | ||||||||
5.63%, 05/20/75 (a)(c) | 11,000 | 11,939 | ||||||
Transcontinental Gas Pipe Line Company LLC | ||||||||
4.00%, 03/15/28 (a) | 6,000 | 6,883 | ||||||
Truist Bank (3.50% fixed rate until 08/02/21; 0.59% + 3 month USD LIBOR thereafter) | ||||||||
3.50%, 08/02/22 (a)(c) | 6,000 | 6,109 | ||||||
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | ||||||||
4.80%, 12/31/99 (a)(c) | 17,000 | 17,890 | ||||||
TWDC Enterprises 18 Corp. |
| |||||||
4.13%, 06/01/44 (a) | 6,000 | 7,634 | ||||||
Tyco Electronics Group S.A. |
| |||||||
3.13%, 08/15/27 (a) | 5,000 | 5,543 | ||||||
Tyson Foods Inc. |
| |||||||
4.00%, 03/01/26 (a) | 7,000 | 8,045 | ||||||
4.55%, 06/02/47 (a) | 2,000 | 2,652 | ||||||
U.S. Bancorp (5.13% fixed rate until 02/01/21; 3.49% + 3 month USD LIBOR thereafter) | ||||||||
5.13%, 12/29/49 (a)(c) | 26,000 | 25,990 | ||||||
UDR Inc. |
| |||||||
2.10%, 08/01/32 (a) | 5,000 | 5,095 | ||||||
3.00%, 08/15/31 (a) | 5,000 | 5,515 | ||||||
Union Pacific Corp. |
| |||||||
3.50%, 06/08/23 (a) | 8,000 | 8,575 | ||||||
3.60%, 09/15/37 (a) | 3,000 | 3,482 | ||||||
4.10%, 09/15/67 (a) | 5,000 | 6,268 | ||||||
4.30%, 03/01/49 (a) | 5,000 | 6,548 | ||||||
UnitedHealth Group Inc. | ||||||||
2.00%, 05/15/30 (a) | 10,000 | 10,617 | ||||||
4.45%, 12/15/48 (a) | 6,000 | 8,278 | ||||||
4.75%, 07/15/45 (a) | 8,000 | 11,246 | ||||||
Unum Group | ||||||||
4.50%, 03/15/25 (a) | 2,000 | 2,267 | ||||||
Utah Acquisition Sub Inc. | ||||||||
3.15%, 06/15/21 (a) | 7,000 | 7,067 | ||||||
3.95%, 06/15/26 (a) | 2,000 | 2,289 |
Principal Amount ($) | Fair Value $ | |||||||
Vale S.A. | ||||||||
5.63%, 09/11/42 (a) | 5,000 | 6,711 | ||||||
Valero Energy Corp. | ||||||||
2.85%, 04/15/25 (a) | 7,000 | 7,468 | ||||||
4.00%, 04/01/29 (a) | 2,000 | 2,251 | ||||||
Ventas Realty LP | ||||||||
3.25%, 10/15/26 (a) | 10,000 | 11,002 | ||||||
VEREIT Operating Partnership LP | ||||||||
2.85%, 12/15/32 | 5,000 | 5,226 | ||||||
Verizon Communications Inc. | ||||||||
3.00%, 03/22/27 (a) | 45,000 | 49,872 | ||||||
4.33%, 09/21/28 (a) | 7,000 | 8,416 | ||||||
4.40%, 11/01/34 (a) | 7,000 | 8,739 | ||||||
4.52%, 09/15/48 (a) | 6,000 | 7,770 | ||||||
4.67%, 03/15/55 (a) | 3,000 | 4,019 | ||||||
4.86%, 08/21/46 (a) | 2,000 | 2,687 | ||||||
5.25%, 03/16/37 (a) | 5,000 | 6,824 | ||||||
ViacomCBS Inc. | ||||||||
2.90%, 01/15/27 (a) | 5,000 | 5,487 | ||||||
3.45%, 10/04/26 (a) | 7,000 | 7,566 | ||||||
3.70%, 06/01/28 (a) | 4,000 | 4,568 | ||||||
5.25%, 04/01/44 (a) | 3,000 | 3,908 | ||||||
Virginia Electric & Power Co. | ||||||||
4.00%, 11/15/46 (a) | 7,000 | 8,925 | ||||||
Visa Inc. | ||||||||
2.00%, 08/15/50 (a) | 5,000 | 4,756 | ||||||
2.05%, 04/15/30 (a) | 5,000 | 5,347 | ||||||
2.70%, 04/15/40 (a) | 8,000 | 8,740 | ||||||
Vistra Operations Company LLC | ||||||||
3.55%, 07/15/24 (a)(h) | 9,000 | 9,751 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 05/30/28 (a) | 8,000 | 9,594 | ||||||
5.25%, 05/30/48 (a) | 4,000 | 5,554 | ||||||
Vornado Realty LP | ||||||||
3.50%, 01/15/25 (a) | 4,000 | 4,223 | ||||||
Vulcan Materials Co. | ||||||||
3.90%, 04/01/27 (a) | 4,000 | 4,663 | ||||||
Walmart Inc. | ||||||||
3.63%, 12/15/47 (a) | 6,000 | 7,601 | ||||||
3.70%, 06/26/28 (a) | 7,000 | 8,239 | ||||||
3.95%, 06/28/38 (a) | 3,000 | 3,820 | ||||||
4.05%, 06/29/48 (a) | 7,000 | 9,474 | ||||||
WEC Energy Group Inc. | ||||||||
3.55%, 06/15/25 (a) | 8,000 | 8,919 | ||||||
Wells Fargo & Co. | ||||||||
4.15%, 01/24/29 (a) | 8,000 | 9,490 | ||||||
4.75%, 12/07/46 (a) | 2,000 | 2,619 | ||||||
Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | ||||||||
1.65%, 06/02/24 (a)(c) | 5,000 | 5,139 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 19 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Principal Amount ($) | Fair Value $ | |||||||
Wells Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) | ||||||||
2.19%, 04/30/26 (a)(c) | 10,000 | 10,525 | ||||||
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | ||||||||
2.39%, 06/02/28 (a)(c) | 10,000 | 10,642 | ||||||
Wells Fargo & Co. (2.88% fixed rate until 10/30/29; 1.17% + 3 month USD LIBOR thereafter) | ||||||||
2.88%, 10/30/30 (a)(c) | 3,000 | 3,270 | ||||||
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | ||||||||
3.07%, 04/30/41 (a)(c) | 10,000 | 10,842 | ||||||
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | ||||||||
3.20%, 06/17/27 (a)(c) | 51,000 | 56,589 | ||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | ||||||||
5.88%, 12/29/49 (a)(c) | 9,000 | 10,131 | ||||||
Western Midstream Operating LP | ||||||||
5.38%, 06/01/21 (a) | 10,000 | 10,084 | ||||||
Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | ||||||||
2.89%, 02/04/30 (a)(c) | 12,000 | 12,584 | ||||||
Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | ||||||||
4.11%, 07/24/34 (a)(c) | 7,000 | 7,953 | ||||||
Willis North America Inc. | ||||||||
3.60%, 05/15/24 (a) | 6,000 | 6,553 | ||||||
3.88%, 09/15/49 (a) | 6,000 | 7,346 | ||||||
WPP Finance 2010 | ||||||||
3.75%, 09/19/24 (a) | 10,000 | 11,091 | ||||||
WRKCo Inc. | ||||||||
3.00%, 09/15/24 (a) | 4,000 | 4,301 | ||||||
Xcel Energy Inc. | ||||||||
3.40%, 06/01/30 (a) | 5,000 | 5,745 | ||||||
Zoetis Inc. | ||||||||
3.00%, 09/12/27 (a) | 3,000 | 3,358 | ||||||
3.90%, 08/20/28 (a) | 6,000 | 7,073 | ||||||
|
| |||||||
6,779,080 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 8.2% |
| |||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | ||||||||
4.36%, 09/15/48 (c) | 19,000 | 16,881 |
Principal Amount ($) | Fair Value $ | |||||||
Banc of America Commercial Mortgage Trust 2016-UBS10 | ||||||||
4.90%, 07/15/49 (c) | 23,000 | 21,668 | ||||||
BANK 2017-BNK7 | ||||||||
3.18%, 09/15/60 | 158,000 | 175,773 | ||||||
BANK 2018-BNK15 | ||||||||
4.41%, 11/15/61 (c) | 66,000 | 79,528 | ||||||
BANK 2019-BNK17 | ||||||||
4.52%, 04/15/52 (c) | 10,000 | 11,458 | ||||||
Cantor Commercial Real Estate Lending 2019-CF3 | ||||||||
3.01%, 01/15/53 | 34,000 | 37,879 | ||||||
CD 2019-CD8 Mortgage Trust | ||||||||
2.91%, 08/15/57 | 63,000 | 69,720 | ||||||
CFCRE Commercial Mortgage Trust 2016-C7 | ||||||||
4.43%, 12/10/54 (c) | 20,000 | 17,936 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC35 | ||||||||
4.49%, 11/10/48 (c) | 19,000 | 17,209 | ||||||
Citigroup Commercial Mortgage Trust 2015-P1 | ||||||||
3.72%, 09/15/48 | 98,000 | 110,153 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
4.03%, 12/10/49 (c) | 31,273 | 34,733 | ||||||
COMM 2014-CR14 Mortgage Trust | ||||||||
4.53%, 02/10/47 (c) | 25,000 | 27,285 | ||||||
CSAIL 2015-C3 Commercial Mortgage Trust | ||||||||
4.13%, 08/15/48 (c) | 13,967 | 13,220 | ||||||
CSAIL 2016-C7 Commercial Mortgage Trust | ||||||||
4.34%, 11/15/49 (c) | 31,000 | 31,284 | ||||||
GS Mortgage Securities Trust 2014-GC24 | ||||||||
4.51%, 09/10/47 (c) | 25,000 | 24,785 | ||||||
GS Mortgage Securities Trust 2015-GS1 | ||||||||
4.42%, 11/10/48 (c) | 25,000 | 21,842 | ||||||
GS Mortgage Securities Trust 2016-GS3 | ||||||||
2.85%, 10/10/49 | 33,000 | 35,944 | ||||||
GS Mortgage Securities Trust 2017-GS8 | ||||||||
3.47%, 11/10/50 | 63,977 | 72,719 | ||||||
GS Mortgage Securities Trust 2018-GS9 | ||||||||
4.14%, 03/10/51 (c) | 25,000 | 28,912 | ||||||
GS Mortgage Securities Trust 2019-GC42 | ||||||||
2.75%, 09/01/52 | 105,000 | 114,147 |
See Notes to Schedule of Investments and Notes to Financial Statements.
20 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
| Fair Value $ | |||||||
GS Mortgage Securities Trust 2019-GSA1 | ||||||||
3.05%, 11/10/52 | 56,000 | 62,827 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
4.04%, 07/15/45 (c) | 15,000 | 15,920 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C32 | ||||||||
4.65%, 11/15/48 (c) | 20,000 | 16,290 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
5.00%, 08/25/18 (d) | 729 | 8 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7 | ||||||||
4.12%, 02/15/46 (c) | 26,000 | 22,316 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||||||||
0.88%, 03/15/48 (c)(d) | 348,073 | 9,932 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | ||||||||
5.99%, 10/15/42 (c) | 5,610 | 5,578 | ||||||
Morgan Stanley Capital I Trust 2016-UBS12 | ||||||||
4.03%, 12/15/49 (c) | 26,000 | 24,259 | ||||||
UBS Commercial Mortgage Trust 2012-C1 | ||||||||
5.57%, 05/10/45 (c)(h) | 25,000 | 24,055 | ||||||
UBS Commercial Mortgage Trust 2018-C12 | ||||||||
4.79%, 08/15/51 (c) | 17,000 | 19,562 | ||||||
UBS-Barclays Commercial Mortgage Trust 2013-C6 | ||||||||
3.88%, 04/10/46 (c)(h) | 62,000 | 62,010 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||||||||
4.32%, 08/15/50 | 62,000 | 61,007 | ||||||
Wells Fargo Commercial Mortgage Trust 2019-C50 | ||||||||
4.35%, 05/15/52 | 15,000 | 14,876 | ||||||
WFRBS Commercial Mortgage Trust 2012-C10 | ||||||||
3.74%, 12/15/45 | 16,000 | 14,976 | ||||||
WFRBS Commercial Mortgage Trust 2013-C17 | ||||||||
4.26%, 12/15/46 | 25,000 | 27,100 | ||||||
WFRBS Commercial Mortgage Trust 2014-C20 | ||||||||
4.38%, 05/15/47 | 25,000 | 25,488 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
4.35%, 03/15/47 (c) | 58,000 | 63,195 | ||||||
|
| |||||||
1,432,475 | ||||||||
|
|
Principal or Number of Shares | Fair Value $ | |||||||
Sovereign Bonds - 0.6% |
| |||||||
Government of Mexico | ||||||||
4.00%, 10/02/23 (a) | 12,000 | 13,139 | ||||||
4.75%, 03/08/44 (a) | 20,000 | 23,788 | ||||||
Government of Peru | ||||||||
1.86%, 12/01/32 | 10,000 | 10,123 | ||||||
2.78%, 12/01/60 | 15,000 | 15,169 | ||||||
5.63%, 11/18/50 (a) | 11,000 | 17,298 | ||||||
Government of Uruguay | ||||||||
5.10%, 06/18/50 (a) | 14,040 | 19,665 | ||||||
|
| |||||||
99,182 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.6% |
| |||||||
American Municipal Power Inc. | ||||||||
6.27%, 02/15/50 | 15,000 | 21,298 | ||||||
Board of Regents of the University of Texas System | ||||||||
3.35%, 08/15/47 | 10,000 | 12,008 | ||||||
Port Authority of New York & New Jersey | ||||||||
4.46%, 10/01/62 | 25,000 | 33,259 | ||||||
State of California | ||||||||
4.60%, 04/01/38 | 15,000 | 18,035 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/33 | 10,000 | 10,762 | ||||||
|
| |||||||
95,362 | ||||||||
|
| |||||||
Total Bonds and Notes (Cost $15,504,672) |
| 16,567,267 | ||||||
|
| |||||||
Domestic Equity - 0.1% |
| |||||||
Preferred Stock - 0.1% |
| |||||||
Wells Fargo & Co. 5.85%, 3.09% + 3 month USD LIBOR | 932 | 25,024 | ||||||
|
| |||||||
Total Investments in Securities (Cost $15,527,972) |
| 16,592,291 | ||||||
|
| |||||||
Short-Term Investments - 13.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | 2,270,043 | 2,270,043 | ||||||
|
| |||||||
Total Investments (Cost $17,798,015) | 18,862,334 | |||||||
Liabilities in Excess of Other Assets, net - (8.2)% |
| (1,427,386 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | 17,434,948 | |||||||
|
|
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 21 |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
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 | $ | 365 | 5.00%/Quarterly | 06/20/25 | $ | 33,883 | $ | (20,367 | ) | $ | 54,250 | ||||||||||||||
|
|
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | March 2021 | 1 | $ | 216,596 | $ | 214,040 | $ | (2,556 | ) | |||||||||||
2 Yr. U.S. Treasury Notes Futures | March 2021 | 5 | 1,104,046 | 1,104,883 | 837 | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,719 | ) | ||||||||||||||||||
|
|
The Fund had the following short futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
U.S. Long Bond Futures | March 2021 | 1 | $ | (174,302 | ) | $ | (173,187 | ) | $ | 1,115 | ||||||||||
5 Yr. U.S. Treasury Notes Futures | March 2021 | 2 | (251,942 | ) | (252,328 | ) | (386 | ) | ||||||||||||
10 Yr. U.S. Treasury Notes Futures | March 2021 | 1 | (137,904 | ) | (138,078 | ) | (174 | ) | ||||||||||||
10 Yr. U.S. Treasury Ultra Futures | March 2021 | 6 | (939,478 | ) | (938,156 | ) | 1,322 | |||||||||||||
|
| |||||||||||||||||||
$ | 1,877 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 158 | |||||||||||||||||||
|
|
During the period ended December 31, 2020, average notional values related to derivative contracts were as follows:
Purchased Put Options | Purchased Call Options | Written Put Options | Written Call Options | Long Futures Contracts | Short Futures Contracts | Credit Default Swap Contracts | Interest Rate Swap Contracts | |||||||||||||||||||||||||
Average Notional Value | $ | — | $ | 2,525 | $ | — | $ | — | $ | 2,931,917 | $ | 1,209,588 | $ | 1,182,880 | $ | 660,447 |
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 December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures, swaps, and/or TBA’s. |
(b) | Step coupon bond. |
(c) | Variable Rate Security—Interest rate shown is rate in effect at December 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(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) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
See Notes to Schedule of Investments and Notes to Financial Statements.
22 | State Street Income V.I.S. Fund |
Table of Contents
State Street Income V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
(g) | Coupon amount represents effective yield. |
(h) | 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 December 31, 2020, these securities amounted to $745,233 or 4.27% of the net assets of the State Street Income V.I.S. Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Directors. |
(i) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of December 31, 2020. |
** | Amount is less than $0.50. |
Abbreviations:
CMT - Constant Maturity Treasury
LIBOR - London Interbank Offered Rate
REMIC - Real Estate Mortgage Investment Conduit
SOFR - Secured Overnight Financing Rate
STRIPS - Separate Trading of Registered Interest and Principal of Security
TBA - To Be Announced
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
U.S. Treasuries | $ | — | $ | 2,879,342 | $ | — | $ | 2,879,342 | ||||||||
Agency Mortgage Backed | — | 4,793,392 | — | 4,793,392 | ||||||||||||
Agency Collateralized Mortgage Obligations | — | 189,861 | — | 189,861 | ||||||||||||
Asset Backed | — | 298,573 | — | 298,573 | ||||||||||||
Corporate Notes | — | 6,779,080 | — | 6,779,080 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 1,432,475 | — | 1,432,475 | ||||||||||||
Sovereign Bonds | — | 99,182 | — | 99,182 | ||||||||||||
Municipal Bonds and Notes | — | 95,362 | — | 95,362 | ||||||||||||
Preferred Stock | 25,024 | — | — | 25,024 | ||||||||||||
Short-Term Investments | 2,270,043 | — | — | 2,270,043 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,295,067 | $ | 16,567,267 | $ | — | $ | 18,862,334 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ | — | $ | 54,250 | $ | — | $ | 54,250 | ||||||||
Long Futures Contracts - Unrealized Appreciation | 837 | — | — | 837 | ||||||||||||
Long Futures Contracts - Unrealized Depreciation | (2,556 | ) | — | — | (2,556 | ) | ||||||||||
Short Futures Contracts - Unrealized Appreciation | 2,437 | — | — | 2,437 | ||||||||||||
Short Futures Contracts - Unrealized Depreciation | (560 | ) | — | — | (560 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 158 | $ | 54,250 | $ | — | $ | 54,408 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,365,049 | $ | 2,365,049 | $ | 14,585,996 | $ | 14,681,002 | $ | — | $ | — | 2,270,043 | $ | 2,270,043 | $ | 9,394 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Income V.I.S. Fund | 23 |
Table of Contents
State Street Income V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.00 | $ | 11.07 | $ | 11.49 | $ | 11.37 | $ | 11.25 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.19 | (a) | 0.24 | (a) | 0.25 | (a) | 0.19 | (a) | 0.24 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 0.65 | 0.71 | (0.41 | ) | 0.18 | 0.09 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.84 | 0.95 | (0.16 | ) | 0.37 | 0.33 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.32 | 0.02 | 0.26 | 0.25 | 0.21 | |||||||||||||||
Net realized gains | 0.04 | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.36 | 0.02 | 0.26 | 0.25 | 0.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.48 | $ | 12.00 | $ | 11.07 | $ | 11.49 | $ | 11.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(b) | 7.03 | % | 8.62 | % | (1.42 | )% | 3.25 | % | 2.98 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,435 | $ | 17,112 | $ | 18,685 | $ | 21,847 | $ | 25,582 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 1.06 | % | 1.06 | % | 1.00 | % | 1.36 | % | 1.15 | % | ||||||||||
Gross expenses | 1.06 | % | 1.06 | % | 1.00 | % | 1.36 | % | 1.15 | % | ||||||||||
Net investment income | 1.50 | % | 2.05 | % | 2.25 | % | 1.62 | % | 1.98 | % | ||||||||||
Portfolio turnover rate | 120 | %(c) | 90 | % | 182 | % | 255 | % | 220 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(c) | The portfolio turnover calculated for the period ended 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 277%. |
The accompanying Notes are an integral part of these financial statements.
24 | Financial Highlights |
Table of Contents
State Street Income V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $15,527,972) | $ | 16,592,291 | ||
Short-term affiliated investments, at fair value | 2,270,043 | |||
Cash | 97,958 | |||
Receivable for investments sold | 2,257 | |||
Income receivables | 88,538 | |||
Receivable for fund shares sold | 240 | |||
Income receivable from affiliated investments | 81 | |||
Receivable for accumulated variation margin on swap contracts | 34,390 | |||
Other assets | 109 | |||
|
| |||
Total assets | 19,085,907 | |||
|
| |||
Liabilities | ||||
Net cash collateral on futures contracts due to broker | 1,050 | |||
Net cash collateral on swap contracts due to broker | 33,407 | |||
Payable for investments purchased | 1,562,132 | |||
Payable for fund shares redeemed | 1,167 | |||
Payable for accumulated variation margin on futures contracts | 290 | |||
Payable to the Adviser | 6,664 | |||
Payable for custody, fund accounting and sub-administration fees | 9,185 | |||
Accrued other expenses | 37,064 | |||
|
| |||
Total liabilities | 1,650,959 | |||
|
| |||
Net Assets | $ | 17,434,948 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in | $ | 15,982,660 | ||
Total distributable earnings (loss) | 1,452,288 | |||
|
| |||
Net Assets | $ | 17,434,948 | ||
|
| |||
Shares outstanding ($0.01 par value; unlimited shares authorized) | 1,396,711 | |||
Net asset value per share | $ | 12.48 |
The accompanying Notes are an integral part of these financial statements.
Statement of Assets and Liabilities | 25 |
Table of Contents
State Street Income V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
| |||
Income |
| |||
Dividend | $ | 1,236 | ||
Interest | 403,084 | |||
Income from affiliated investments | 9,394 | |||
|
| |||
Total income | 413,714 | |||
|
| |||
Expenses |
| |||
Advisory and administration fees | 80,973 | |||
Directors’ fees | 18,807 | |||
Custody, fund accounting and sub-administration fees | 33,691 | |||
Professional fees | 35,135 | |||
Printing and shareholder reports | 1,743 | |||
Other expenses | 1,820 | |||
|
| |||
Total expenses before waivers | 172,169 | |||
|
| |||
Less: Fees waived by the adviser | (696 | ) | ||
|
| |||
Net expenses | 171,473 | |||
|
| |||
Net investment income | $ | 242,241 | ||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Realized gain (loss) on: |
| |||
Unaffiliated investments | $ | 591,137 | ||
Futures | (41,717 | ) | ||
Swap contracts | (164,155 | ) | ||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||
Unaffiliated investments | 422,806 | |||
Futures | (14,144 | ) | ||
Swap contracts | 76,213 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | 870,140 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 1,112,381 | ||
|
|
The accompanying Notes are an integral part of these financial statements.
26 | Statement of Operations |
Table of Contents
State Street Income V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment income | $ | 242,241 | $ | 367,830 | ||||
Net realized gain (loss) on investments, futures and swap contracts | 385,265 | 452,007 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | 484,875 | 672,170 | ||||||
|
|
|
| |||||
Net increase (decrease) from operations | 1,112,381 | 1,492,007 | ||||||
|
|
|
| |||||
Distributions to shareholders: |
| |||||||
Total distributions | (445,767 | ) | (34,589 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 666,614 | 1,457,418 | ||||||
|
|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares | 2,272,897 | 215,396 | ||||||
Value of distributions reinvested | 445,767 | 34,589 | ||||||
Cost of shares redeemed | (3,062,021 | ) | (3,281,191 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (343,357 | ) | (3,031,206 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | 323,257 | (1,573,788 | ) | |||||
Net Assets |
| |||||||
Beginning of year | 17,111,691 | 18,685,479 | ||||||
|
|
|
| |||||
End of year | $ | 17,434,948 | $ | 17,111,691 | ||||
|
|
|
| |||||
Changes in Fund Shares |
| |||||||
Shares sold | 183,078 | 18,533 | ||||||
Issued for distributions reinvested | 35,776 | 2,880 | ||||||
Shares redeemed | (248,669 | ) | (283,071 | ) | ||||
|
|
|
| |||||
Net decrease in fund shares | (29,815 | ) | (261,658 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 27 |
Table of Contents
State Street Income V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund (the “Fund”) and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
28 | Notes to Financial Statements |
Table of Contents
State Street Income V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
• | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Notes to Financial Statements | 29 |
Table of Contents
State Street Income V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities During the fiscal year ended December 31, 2020, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the 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 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, the 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
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agreement for future delivery of pools of mortgage pass-through securities. The 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.
4. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule of Investments and cash deposited, if any, is included in Net cash at broker on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts to manage interest rate risk.
Options on Futures Contracts The Fund may purchase and write options, including options on futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase the Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease the Fund’s exposure to the underlying instrument. The Fund will not enter into a transaction involving options for speculative purposes. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
When the Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gain from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.
For the fiscal year ended December 31, 2020, the Fund purchased options in order to manage interest rate risk.
Credit Default Swaps During the fiscal year ended December 31, 2020, the 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
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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.
Interest Rate Swaps Interest rate swaps involve the exchange by the 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 fiscal year ended December 31, 2020, the Fund entered into interest rate swaps in order to manage interest rate risk.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Income V.I.S. Fund | ||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 34,390 | $ | — | $ | — | $ | 34,390 |
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Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Income V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | 290 | $ | — | $ | — | $ | — | $ | — | $ | 290 |
Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Income V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | (41,717 | ) | $ | — | $ | — | $ | — | $ | — | $ | (41,717 | ) | ||||||||||
Swap Contracts | (81,214 | ) | — | (82,941 | ) | — | — | (164,155 | ) | |||||||||||||||
Purchased Option Contracts(a) | 11,281 | — | — | — | — | 11,281 |
(a) | Purchased options are included in net realized gain (loss) from investments. |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Income V.I.S. Fund | ||||||||||||||||||||||||
Futures Contracts | $ | (14,144 | ) | $ | — | $ | — | $ | — | $ | — | $ | (14,144 | ) | ||||||||||
Swap Contracts | 44,501 | — | 31,712 | — | — | 76,213 |
5. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.50%. SSGA FM is contractually obligated until May 1, 2021 to waive its management fee and/or reimburse certain expenses for the Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”), excluding AFFEs derived from the Fund’s holdings in acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to May 1, 2021 except with approval of the Board.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
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6. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 12,148,536 | $ | 13,120,957 | |||||
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 5,672,879 | $ | 3,271,539 |
8. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatment for paydown gains and losses, swap contracts, futures contracts, open straddle adjustments, premium amortization, and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 445,767 | $ | — | $ | 445,767 |
The tax character of distributions paid during the year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 34,589 | $ | — | $ | 34,589 |
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At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Tax Exempt Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses* | Total | |||||||||||||||||||||||||||
$ | 474,310 | $ | — | $ | — | $ | — | $ | 977,978 | $ | — | $ | 1,452,288 |
As of December 31, 2020, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:
Non-Expiring Short Term | Non-Expiring Long Term |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 17,808,958 | $ | 1,140,045 | $ | 32,261 | $ | 1,107,784 |
9. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
10. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund was more broadly diversified.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the value of the Fund’s investments.
Foreign and Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
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Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
11. | New Accounting Pronouncement |
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments are effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
36 | Notes to Financial Statements |
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State Street Income V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Income V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Income V.I.S. Fund (the “Fund”) (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
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Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at http://www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedule of investments are available upon request, without charge, by calling 1-800-242-0134.
38 | Other Information |
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Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Overseen by | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.(1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009-2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
Other Information | 39 |
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Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Overseen by | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
40 | Other Information |
Table of Contents
State Street Income V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Overseen by | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS (1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(2) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
Other Information | 41 |
Table of Contents
State Street Income V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
42 | Other Information |
Table of Contents
State Street Income V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Other Information | 43 |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street Real Estate Securities V.I.S. Fund
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Annual Report
December 31, 2020
Page | ||||
Notes to Performance | 1 | |||
Manager Review and Schedule of Investments | 2 | |||
Financial Statements | ||||
8 | ||||
9 | ||||
10 | ||||
11 | ||||
Notes to Financial Statements | 12 | |||
Report of Independent Registered Public Accounting Firm | 17 | |||
Other Information | 18 |
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance page relates to the State Street Real Estate Securities V.I.S Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free
(800) 242-0134 or visit the Fund’s website at www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
FTSE NAREIT Equity REITs Index is an unmanaged index of all tax-qualified equity real estate investment trusts (“REITs”) (except Timber REITs or Infrastructure REITs) listed on the New York Stock Exchange, NYSE Amex and NASDAQ which have 75% or more of their gross invested book assets invested directly or indirectly in the equity ownership of real estate. The returns of the index do not reflect the actual cost of investing in the instruments that comprise the index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Management Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street Real Estate Securities V.I.S. Fund (the “Fund”) seeks to provide the maximum total return through current income and capital appreciation by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks, and debt securities of U.S. issuers that are principally engaged in or related to the real estate industry, including those that own significant real estate assets. The Fund’s benchmark is the FTSE NAREIT Equity REITs Index (the “Index”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund was -5.23%, and the Index was -8.00%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The REIT market was heavily affected by the COVID-19 pandemic and REITs significantly underperformed the broader U.S. stock market in 2020. During the first wave of the pandemic in the first quarter the Index lost nearly a third of its value. Sectors that were especially sensitive to the economic shutdown fell tremendously - regional malls, hotels and shopping centers all lost half their value or more amid expectations that revenue would dry up as non-essential consumption disappeared. REIT returns bounced back in subsequent quarters as the economy partially re-opened but continued to lag broad equity markets. The fourth quarter saw REITs gain more than 11% which was at best in line with broad equity returns. The announcements of three effective vaccines in November gave investors optimism that economic conditions could normalize in 2021, and the hotel and retail sectors that lost so much value in Q1 had the strongest Q4 returns. It was not enough to make up for earlier losses, however.
The Fund outperformed the benchmark before, during, and after the economic crisis. In the worst of the crisis during the first quarter, the portfolio’s positioning added value relative to the Index by moving away from hard hit sectors like retail and hotels and into sectors that were less affected by conditions like cell phone towers and alternative housing. As the year progressed and sectors rebounded and rotated, we moved allocations into the sectors and individual company balance sheets we perceived to be best positioned.
Stock selection was particularly strong in the hotel, infill office, and data center sectors. In the hotel sector, performance was driven by the portfolio’s overweight positions in Host Hotels & Resorts and Ryman Hospitality Properties. In the infill office sector, our overweight positions in JBG SMITH Properties and Kilroy Realty Corp. added to relative outperformance, and in the data center sector, our overweight position in out-of-benchmark position Equinix contributed to alpha.
The Fund did not invest in derivatives during the Reporting Period.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Host Hotels & Resorts, Welltower, and Vornado. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Alexandria Real Estate, W.P. Carey and Diversified Healthcare.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Real Estate Securities V.I.S. Fund |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | |||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,129.50 | $ | 1,020.01 | ||||
Expenses Paid During the Period* | $ | 5.46 | $ | 5.18 |
* | Expenses are equal to the Fund’s annualized expense ratio of 1.02%** (for the period July 1, 2020 — December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period) |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Real Estate Securities V.I.S. Fund | 3 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Equinix Inc. | 7.36 | % | ||
Prologis Inc. REIT | 6.82 | % | ||
Invitation Homes Inc. | 4.95 | % | ||
Welltower Inc | 3.96 | % | ||
UDR Inc. | 3.91 | % | ||
Digital Realty Trust Inc. | 3.79 | % | ||
Equity Residential | 3.40 | % | ||
Healthpeak Properties Inc. | 3.15 | % | ||
Realty Income Corp. | 2.93 | % | ||
Life Storage Inc. | 2.80 | % |
Sector Allocation as of December 31, 2020
Portfolio composition as a % of Fair Value of $47,524 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return for the periods ended December 31, 2020
Class 1 Shares (Inception date: 5/01/95)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Real Estate Securities V.I.S. Fund | -5.23 | % | 5.20 | % | 8.87 | % | $ | 23,392 | ||||||||
FTSE NAREIT Equity REITs Index | -8.00 | % | 4.77 | % | 8.31 | % | $ | 22,212 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street Real Estate Securities V.I.S. Fund |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street Real Estate Securities V.I.S. Fund | 5 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Common Stock (REITs) - 99.6%† |
| |||||||
Alternate Housing - 9.8% |
| |||||||
American Campus Communities Inc. | 16,060 | 686,886 | ||||||
American Homes 4 Rent, Class A | 14,174 | 425,220 | ||||||
Equity LifeStyle Properties Inc. | 4,630 | 293,357 | ||||||
Invitation Homes Inc. | 79,166 | 2,351,230 | ||||||
Sun Communities Inc. | 5,950 | 904,103 | ||||||
|
| |||||||
4,660,796 | ||||||||
|
| |||||||
Data Center - 11.1% |
| |||||||
Digital Realty Trust Inc. | 12,916 | 1,801,911 | ||||||
Equinix Inc. | 4,900 | 3,499,482 | ||||||
|
| |||||||
5,301,393 | ||||||||
|
| |||||||
Diversified - 2.5% |
| |||||||
American Assets Trust Inc. | 19,500 | 563,160 | ||||||
Broadstone Net Lease Inc., Class A | 21,500 | 420,970 | ||||||
Vornado Realty Trust | 5,550 | 207,237 | ||||||
|
| |||||||
1,191,367 | ||||||||
|
| |||||||
Freestanding - 1.2% |
| |||||||
Agree Realty Corp. | 8,650 | 575,917 | ||||||
|
| |||||||
Healthcare - 11.1% |
| |||||||
Diversified Healthcare Trust | 17,275 | 71,173 | ||||||
Healthpeak Properties Inc. | 49,550 | 1,497,897 | ||||||
Medical Properties Trust Inc. | 38,380 | 836,300 | ||||||
Sabra Health Care REIT Inc. | 20,990 | 364,596 | ||||||
Ventas Inc. | 12,798 | 627,614 | ||||||
Welltower Inc. | 29,120 | 1,881,734 | ||||||
|
| |||||||
5,279,314 | ||||||||
|
| |||||||
Hotel - 3.5% |
| |||||||
Apple Hospitality REIT Inc. | 28,426 | 366,980 | ||||||
Host Hotels & Resorts Inc. | 62,498 | 914,346 | ||||||
Ryman Hospitality Properties Inc. | 3,660 | 248,001 | ||||||
Xenia Hotels & Resorts Inc. | 7,731 | 117,511 | ||||||
|
| |||||||
1,646,838 | ||||||||
|
| |||||||
Industrial - 14.4% |
| |||||||
Americold Realty Trust | 26,840 | 1,001,937 | ||||||
Duke Realty Corp. | 29,850 | 1,193,105 | ||||||
First Industrial Realty Trust Inc. | 21,042 | 886,499 | ||||||
Prologis Inc. | 32,533 | 3,242,239 | ||||||
Rexford Industrial Realty Inc. | 10,430 | 512,217 | ||||||
|
| |||||||
6,835,997 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Multifamily - 12.8% |
| |||||||
AvalonBay Communities Inc. | 2,885 | 462,841 | ||||||
Equity Residential | 27,216 | 1,613,364 | ||||||
Essex Property Trust Inc. | 3,864 | 917,391 | ||||||
Mid-America Apartment Communities Inc. | 9,917 | 1,256,385 | ||||||
UDR Inc. | 48,321 | 1,856,976 | ||||||
|
| |||||||
6,106,957 | ||||||||
|
| |||||||
Net Lease - 4.2% |
| |||||||
Realty Income Corp. | 22,410 | 1,393,230 | ||||||
STORE Capital Corp. | 18,420 | 625,911 | ||||||
|
| |||||||
2,019,141 | ||||||||
|
| |||||||
Office - 9.8% |
| |||||||
Columbia Property Trust Inc. | 21,113 | 302,760 | ||||||
Cousins Properties Inc. | 28,717 | 962,020 | ||||||
Douglas Emmett Inc. | 12,870 | 375,547 | ||||||
Empire State Realty Trust Inc., Class A | 14,841 | 138,318 | ||||||
JBG SMITH Properties | 27,906 | 872,621 | ||||||
Kilroy Realty Corp. | 11,905 | 683,347 | ||||||
SL Green Realty Corp. | 1,706 | 101,643 | ||||||
VEREIT Inc. | 32,646 | 1,233,692 | ||||||
|
| |||||||
4,669,948 | ||||||||
|
| |||||||
Regional Malls - 1.6% |
| |||||||
Simon Property Group Inc. | 8,982 | 765,985 | ||||||
|
| |||||||
Self Storage - 6.1% |
| |||||||
Extra Space Storage Inc. | 8,802 | 1,019,800 | ||||||
Life Storage Inc. | 11,160 | 1,332,392 | ||||||
Public Storage | 2,320 | 535,758 | ||||||
|
| |||||||
2,887,950 | ||||||||
|
| |||||||
Shopping Centers - 5.9% |
| |||||||
Brixmor Property Group Inc. | 54,280 | 898,334 | ||||||
Regency Centers Corp. | 11,819 | 538,828 | ||||||
Retail Opportunity Investments Corp. | 20,903 | 279,891 | ||||||
Retail Properties of America Inc., Class A | 67,081 | 574,214 | ||||||
RPT Realty | 6,772 | 58,578 | ||||||
Weingarten Realty Investors | 20,515 | 444,560 | ||||||
|
| |||||||
2,794,405 | ||||||||
|
| |||||||
Specialty - 5.6% |
| |||||||
American Tower Corp. | 4,690 | 1,052,718 | ||||||
Gaming and Leisure Properties Inc. | 15,109 | 640,622 | ||||||
Outfront Media Inc. | 17,440 | 341,126 |
See Notes to Schedule of Investments and Notes to Financial Statements.
6 | State Street Real Estate Securities V.I.S. Fund |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Schedule of Investments, continued — December 31, 2020
Number of Shares | Fair $ | |||||||
SBA Communications Corp. | 2,170 | 612,221 | ||||||
|
| |||||||
2,646,687 | ||||||||
|
| |||||||
Total Common Stock (REITs) (Cost $40,540,608) |
| 47,382,695 | ||||||
|
| |||||||
Short-Term Investments - 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | 140,904 | 140,904 | ||||||
|
| |||||||
Total Investments (Cost $40,681,512) |
| 47,523,599 | ||||||
Other Assets and Liabilities, net - 0.1% |
| 64,720 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 47,588,319 | ||||||
|
|
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) | Coupon amount represents effective yield. |
(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. |
† | Percentages are based on net assets as of December 31, 2020. |
Abbreviations:
REIT Real Estate Investment Trust
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
Common Stock | $ | 47,382,695 | $ | — | $ | — | $ | 47,382,695 | ||||||||
Short-Term Investments | 140,904 | — | — | 140,904 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 47,523,599 | $ | — | $ | — | $ | 47,523,599 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 417,366 | $ | 417,366 | $ | 8,563,888 | $ | 8,840,350 | $ | — | $ | — | 140,904 | $ | 140,904 | $ | 867 |
See Notes to Schedule of Investments and Notes to Financial Statements.
State Street Real Estate Securities V.I.S. Fund | 7 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 5/1/95 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.92 | $ | 11.14 | $ | 12.32 | $ | 12.37 | $ | 13.30 | ||||||||||
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Income/(loss) from investment operations: |
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Net investment income | 0.17 | (a) | 0.25 | (a) | 0.25 | (a) | 0.15 | (a) | 0.31 | |||||||||||
Net realized and unrealized gains/(losses) on investments | (0.85 | ) | 2.65 | (0.95 | ) | 0.57 | 0.71 | |||||||||||||
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Total income/(loss) from investment operations | (0.68 | ) | 2.90 | (0.70 | ) | 0.72 | 1.02 | |||||||||||||
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Less distributions from: |
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Net investment income | 0.06 | 0.19 | 0.28 | 0.22 | 0.35 | |||||||||||||||
Net realized gains | 0.16 | 0.93 | 0.16 | 0.55 | 1.60 | |||||||||||||||
Return of capital | — | — | 0.04 | — | — | |||||||||||||||
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Total distributions | 0.22 | 1.12 | 0.48 | 0.77 | 1.95 | |||||||||||||||
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Net asset value, end of period | $ | 12.02 | $ | 12.92 | $ | 11.14 | $ | 12.32 | $ | 12.37 | ||||||||||
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Total Return(b) | (5.23 | )% | 26.15 | % | (5.71 | )% | 5.84 | % | 8.00 | % | ||||||||||
Ratios/Supplemental Data: |
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Net assets, end of period (in thousands) | $ | 47,588 | $ | 55,266 | $ | 50,360 | $ | 61,685 | $ | 72,483 | ||||||||||
Ratios to average net assets: |
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Net expenses | 1.04 | % | 1.04 | % | 1.05 | % | 1.01 | % | 0.97 | % | ||||||||||
Gross expenses | 1.04 | % | 1.04 | % | 1.05 | % | 1.01 | % | 0.97 | % | ||||||||||
Net investment income | 1.49 | % | 1.91 | % | 2.11 | % | 1.16 | % | 1.95 | % | ||||||||||
Portfolio turnover rate | 108 | % | 72 | % | 59 | % | 73 | % | 67 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
The accompanying Notes are an integral part of these financial statements.
8 | Financial Highlights |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $40,540,608) | $ | 47,382,695 | ||
Short-term affiliated investments, at fair value | 140,904 | |||
Income receivables | 179,082 | |||
Income receivable from affiliated investments | 20 | |||
Other assets | 326 | |||
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Total assets | 47,703,027 | |||
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Liabilities | ||||
Payable for fund shares redeemed | 34,502 | |||
Payable to the Adviser | 33,850 | |||
Payable for custody, fund accounting and sub-administration fees | 4,108 | |||
Accrued other expenses | 42,248 | |||
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Total liabilities | 114,708 | |||
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Net Assets | $ | 47,588,319 | ||
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Net Assets Consist of: | ||||
Capital paid in | $ | 43,137,057 | ||
Total distributable earnings (loss) | 4,451,262 | |||
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Net Assets | $ | 47,588,319 | ||
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Shares outstanding ($0.01 par value; unlimited shares authorized) | 3,959,650 | |||
Net asset value per share | $ | 12.02 |
The accompanying Notes are an integral part of these financial statements.
Statement of Assets and Liabilities | 9 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
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Income | ||||
Dividend | $ | 1,177,843 | ||
Income from affiliated investments | 867 | |||
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Total income | 1,178,710 | |||
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Expenses |
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Advisory and administration fees | 395,373 | |||
Directors’ fees | 19,060 | |||
Custody, fund accounting and sub-administration fees | 22,266 | |||
Professional fees | 32,287 | |||
Printing and shareholder reports | 12,988 | |||
Other expenses | 2,371 | |||
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Total Expenses | 484,345 | |||
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Net investment income | $ | 694,365 | ||
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Net Realized and Unrealized Gain (Loss) on Investments |
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Realized gain (loss) on investments | $ | (2,776,009 | ) | |
Increase (decrease) in unrealized appreciation/(depreciation) on investments | (227,369 | ) | ||
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Net realized and unrealized gain (loss) on investments | (3,003,378 | ) | ||
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Net Decrease in Net Assets Resulting from Operations | $ | (2,309,013 | ) | |
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The accompanying Notes are an integral part of these financial statements.
10 | Statement of Operations |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets |
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Operations: | ||||||||
Net investment income | $ | 694,365 | $ | 1,059,869 | ||||
Net realized gain (loss) on investments | (2,776,009 | ) | 4,952,822 | |||||
Net increase (decrease) in unrealized appreciation/depreciation on investments | (227,369 | ) | 6,699,615 | |||||
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Net increase (decrease) from operations | (2,309,013 | ) | 12,712,306 | |||||
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Distributions to shareholders: |
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Total distributions | (867,566 | ) | (4,417,061 | ) | ||||
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Increase (decrease) in assets from operations and distributions | (3,176,579 | ) | 8,295,245 | |||||
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Share transactions: |
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Proceeds from sale of shares | 3,618,392 | 1,937,025 | ||||||
Value of distributions reinvested | 867,566 | 4,417,061 | ||||||
Cost of shares redeemed | (8,986,932 | ) | (9,743,533 | ) | ||||
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Net increase (decrease) from share transactions | (4,500,974 | ) | (3,389,447 | ) | ||||
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Total increase (decrease) in net assets | (7,677,553 | ) | 4,905,798 | |||||
Net Assets |
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Beginning of year | 55,265,872 | 50,360,074 | ||||||
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End of year | $ | 47,588,319 | $ | 55,265,872 | ||||
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Changes in Fund Shares |
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Shares sold | 369,554 | 147,090 | ||||||
Issued for distributions reinvested | 72,782 | 345,083 | ||||||
Shares redeemed | (761,607 | ) | (734,446 | ) | ||||
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Net decrease in fund shares | (319,271 | ) | (242,273 | ) | ||||
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The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 11 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund (the “Fund”). Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments 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. |
12 | Notes to Financial Statements |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
The Fund invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as return of capital or capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
Notes to Financial Statements | 13 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund. The Management Fee is stated in the following schedule:
Average Daily Net Assets of the Fund | Management Fees | |||||||
First $ | 100 million | 0.85 | % | |||||
Next $ | 100 million | 0.80 | % | |||||
Over $ | 200 million | 0.75 | % |
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Schedule of Investments.
4. | Sub-Advisory Fees |
Pursuant to an investment sub-advisory agreement with SSGA FM, CenterSquare Investment Management LLC (“CenterSquare”) is the sub-adviser to the Fund. CenterSquare is responsible for the day-to-day portfolio management of the assets of the Fund, including the responsibility for making decisions to buy, sell or hold a particular security, under the general supervision of SSGA FM and the Board. For its services, SSGA FM pays CenterSquare monthly sub-advisory fees which are calculated as a percentage of the average daily net assets of the Fund.
5. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
14 | Notes to Financial Statements |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
6. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 49,965,545 | $ | 53,881,982 |
7. | Income Taxes |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 281,496 | $ | 586,070 | $ | 867,566 |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 1,411,368 | $ | 3,005,693 | $ | 4,417,061 |
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Tax Exempt Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses* | Total | |||||||||||||||||||||||||||
$ | 734,121 | $ | — | $ | (1,282,190 | ) | $ | — | $ | 4,999,331 | $ | — | $ | 4,451,262 |
As of December 31, 2020, the Fund had capital loss carryforwards available to offset future realized capital gains as follows:
Non-expiring Short-term | Non-expiring Long-term | |||||||
$ | 1,171,120 | $ | 111,070 |
Notes to Financial Statements | 15 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 42,524,268 | $ | 5,812,896 | $ | 813,565 | $ | 4,999,331 |
8. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
9. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
16 | Notes to Financial Statements |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Real Estate Securities V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Real Estate Securities V.I.S. Fund (the “Fund”) (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
Report of Independent Registered Public Accounting Firm | 17 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Long Term Capital Gain Distributions
Long term capital gains dividends were paid from the Fund during the year ended December 31, 2020 in the amount of $586,070.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
18 | Other Information |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedule of investments are available upon request, without charge, by calling 1-800-242-0134.
Other Information | 19 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and | Number of Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.(1992 – 2017); Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
20 | Other Information |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and | Number of Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
Other Information | 21 |
Table of Contents
State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and | Number of Funds in Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS (1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(2) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
22 | Other Information |
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State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held With Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 –present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
Other Information | 23 |
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State Street Real Estate Securities V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held With Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
24 | Other Information |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Lancaster, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Annual Report
December 31, 2020
State Street Total Return V.I.S. Fund
Table of Contents
State Street Total Return V.I.S Fund
Annual Report
December 31, 2020
This report is prepared for Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments thereunder.
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Performance — December 31, 2020 (Unaudited)
The information provided on the performance page relates to the State Street Total Return V.I.S Fund (the “Fund”).
Total return performance shown in this report for the Fund takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com/geam for the most recent month-end performance data.
An investment in the Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index is an unmanaged, market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The MSCI All Country World Index ex-U.S. (“MSCI® ACWI ex-U.S.”) is a market-capitalization weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI® ACWI ex-U.S. Index includes both developed and emerging markets.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. This index is designed to represent the performance of the U.S. investment-grade first rate bond market.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, the index returns do not reflect the actual cost of investing in the instruments that comprise each index.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street V.I.S. Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Total Return V.I.S. Fund
Management’s Discussion of Fund Performance — December 31, 2020 (Unaudited)
The State Street Total Return V.I.S. Fund (the “Fund”) seeks the highest total return, composed of current income and capital appreciation, as is consistent with prudent investment risk. The Fund’s benchmarks are the S&P 500 Index, the MSCI All Country World ex-U.S. Index, and the Bloomberg Barclays U.S. Aggregate Bond Index (the “Indices”).
For the 12-month period ended December 31, 2020 (the “Reporting Period”), the total return for the Fund’s Class 1 and Class 3 Shares was 6.44% and 6.14%, respectively. The total return for the S&P 500 Index was 18.40%. The total return for the MSCI All Country World ex-U.S. Index was 10.65%. The total return for the Bloomberg Barclays U.S. Aggregate Bond Index was 7.51%. The Fund and Indices’ returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Asset allocation decisions and performance of the investment options across asset classes were the primary drivers of Fund performance during the Reporting Period relative to the Indices. The Fund’s principal investment strategy is to construct a broadly diversified portfolio across various investment asset classes. The results of the enhanced diversification were mixed but, on balance, negative with commodities, REITs and high yield bonds underperforming while inflation linked bonds were additive. In addition to the decisions around greater diversification, the Fund’s factor based strategies underperformed when compared against their respective market cap-weighted indices and were the largest contributor to benchmark relative results. The factor based strategies are designed to provide exposure to various investment style premia including value, quality, low-volatility, momentum and market capitalization. While these factors are considered to be beneficial to the portfolio over the long-term, value, size and low volatility performed poorly during 2020. The year was also challenging in terms of tactical asset allocation as equities reached new highs early in the first quarter only to plunge as economies were shuttered to combat the COVID-19 pandemic. While painful during the brunt of the selloff, holding over weights to equities and corporate bonds did help the portfolio recover lost ground as global stimulus measures and eventually news of multiple vaccines led to strong rebounds globally.
The Fund used equity futures contracts in order to equitize cash in the portfolio during the Reporting Period. The Fund’s use of futures contracts did not have a material impact on Fund performance.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Understanding Your Fund’s Expenses — December 31, 2020 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended December 31, 2020.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Class 1 | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,148.10 | $ | 1,022.20 | ||||
Expenses paid during the period* | $ | 3.19 | $ | 3.00 | ||||
Class 3 | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Beginning Account Value July 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value December 31, 2020 | $ | 1,145.90 | $ | 1,020.91 | ||||
Expenses paid during the period* | $ | 4.53 | $ | 4.27 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.59%** for Investment Class shares and 0.84%** for Service Class shares (for the period July 1, 2020 — December 31, 2020), multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Total Return V.I.S. Fund | 3 |
Table of Contents
State Street Total Return V.I.S. Fund
Performance Summary — December 31, 2020 (Unaudited)
Top Ten Largest Equity Holdings
as of December 31, 2020 (as a % of Fair Value) (a)(b)
Apple Inc. | 1.82 | % | ||
Berkshire Hathaway Inc., Class B | 1.14 | % | ||
Accenture PLC, Class A | 0.90 | % | ||
Costco Wholesale Corp. | 0.87 | % | ||
Danaher Corp. | 0.86 | % | ||
Microsoft Corp. | 0.83 | % | ||
Johnson & Johnson | 0.82 | % | ||
Walmart Inc. | 0.77 | % | ||
Target Corp. | 0.76 | % | ||
BlackRock Inc. | 0.72 | % |
Sector Allocation
Portfolio Composition as a % of Fair Value of $1,810,076 (in thousands) as of December 31, 2020 (a)(b)
Average Annual Total Return
for the Periods Ended December 31, 2020
Class 1 Shares (Inception date: 7/01/85)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Total Return V.I.S Fund | 6.44 | % | 7.25 | % | 6.39 | % | $ | 18,570 | ||||||||
S&P 500® Index | 18.40 | % | 15.22 | % | 13.89 | % | $ | 36,700 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | % | 4.44 | % | 3.84 | % | $ | 14,576 | ||||||||
MSCI All Country World ex.-U.S. | 10.65 | % | 8.93 | % | 4.92 | % | $ | 16,163 |
Class 3 Shares (Inception date: 5/01/06)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Total Return V.I.S Fund | 6.14 | % | 6.97 | % | 6.12 | % | $ | 18,106 | ||||||||
S&P 500® Index | 18.40 | % | 15.22 | % | 13.89 | % | $ | 36,700 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | % | 4.44 | % | 3.84 | % | $ | 14,576 | ||||||||
MSCI All Country World ex-U.S. | 10.65 | % | 8.93 | % | 4.92 | % | $ | 16,163 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Performance Summary, continued — December 31, 2020 (Unaudited)
Class 1 Shares
Class 3 Shares
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares and does not reflect the fees or charges that would be associated with variable contracts through which shares of the Fund are offered.
State Street Total Return V.I.S. Fund | 5 |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments — December 31, 2020
Number of Shares | Fair $ | |||||||
Equity Securities - 60.4%† |
| |||||||
Communication Services - 3.4% |
| |||||||
KDDI Corp. | 170,508 | 5,063,466 | ||||||
Nippon Telegraph & Telephone Corp. | 240,009 | 6,149,875 | ||||||
T-Mobile US Inc. (a) | 85,697 | 11,556,240 | ||||||
Verizon Communications Inc. | 217,266 | 12,764,378 | ||||||
Other Securities | 25,291,061 | |||||||
|
| |||||||
60,825,020 | ||||||||
|
| |||||||
Consumer Discretionary - 8.4% |
| |||||||
Amazon.com Inc. (a) | 2,953 | 9,617,714 | ||||||
FF Group (a)(b)** | 1,860 | — | ||||||
Flutter Entertainment PLC (a) | 25,622 | 5,232,281 | ||||||
Ford Motor Co. | 606,969 | 5,335,257 | ||||||
General Motors Co. | 194,623 | 8,104,102 | ||||||
Target Corp. | 77,855 | 13,743,743 | ||||||
Wesfarmers Ltd. | 211,451 | 8,223,577 | ||||||
Other Securities | 100,958,842 | |||||||
|
| |||||||
151,215,516 | ||||||||
|
| |||||||
Consumer Staples - 5.7% |
| |||||||
China Huishan Dairy Holdings Company Ltd. (a)(b)** | 55,000 | — | ||||||
Costco Wholesale Corp. | 41,998 | 15,824,007 | ||||||
General Mills Inc. | 94,512 | 5,557,306 | ||||||
Koninklijke Ahold Delhaize N.V. | 205,241 | 5,803,444 | ||||||
L’Oreal S.A. | 18,114 | 6,888,380 | ||||||
The Procter & Gamble Co. | 40,158 | 5,587,584 | ||||||
Walmart Inc. | 96,574 | 13,921,142 | ||||||
Other Securities | 50,373,211 | |||||||
|
| |||||||
103,955,074 | ||||||||
|
| |||||||
Energy - 0.4% |
| |||||||
Other Securities | 7,989,577 | |||||||
|
| |||||||
Financials - 10.7% |
| |||||||
Allianz SE | 30,329 | 7,447,785 | ||||||
Berkshire Hathaway Inc., | 89,249 | 20,694,166 | ||||||
BlackRock Inc. | 17,939 | 12,943,706 | ||||||
China Common Rich Renewable Energy Investments | 64,000 | — | ||||||
Chubb Ltd. | 60,291 | 9,279,991 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 26,126 | 7,761,458 | ||||||
The Allstate Corp. | 47,249 | 5,194,083 | ||||||
T Rowe Price Group Inc. | 35,192 | 5,327,717 | ||||||
The Progressive Corp. | 91,092 | 9,007,177 | ||||||
The Travelers Companies Inc. | 39,367 | 5,525,946 |
Number of Shares | Fair $ | |||||||
Zurich Insurance Group AG | 20,172 | 8,523,380 | ||||||
Other Securities | 101,168,727 | |||||||
|
| |||||||
192,874,136 | ||||||||
|
| |||||||
Healthcare - 5.4% |
| |||||||
Danaher Corp. | 70,218 | 15,598,226 | ||||||
Johnson & Johnson | 94,775 | 14,915,689 | ||||||
Roche Holding AG | 20,577 | 7,193,046 | ||||||
Other Securities | 59,083,021 | |||||||
|
| |||||||
96,789,982 | ||||||||
|
| |||||||
Industrials - 7.6% |
| |||||||
Cummins Inc. | 22,966 | 5,215,579 | ||||||
Deere & Co. | 43,952 | 11,825,286 | ||||||
Eaton Corporation PLC | 62,327 | 7,487,966 | ||||||
FedEx Corp. | 37,673 | 9,780,664 | ||||||
Furguson PLC | 41,929 | 5,091,848 | ||||||
ITOCHU Corp. | 251,205 | 7,211,697 | ||||||
Kone Oyj, Class B | 58,817 | 4,782,829 | ||||||
Trane Technologies PLC | 37,194 | 5,399,081 | ||||||
Other Securities | 81,325,944 | |||||||
|
| |||||||
138,120,894 | ||||||||
|
| |||||||
Information Technology - 10.5% |
| |||||||
Accenture PLC, Class A | 62,194 | 16,245,695 | ||||||
Apple Inc. (c) | 247,879 | 32,891,065 | ||||||
Cognizant Technology Solutions Corp., Class A | 83,219 | 6,819,797 | ||||||
Microsoft Corp. | 67,406 | 14,992,443 | ||||||
Shopify Inc., Class A (a) | 6,818 | 7,692,031 | ||||||
Synopsys Inc. (a) | 23,575 | 6,111,583 | ||||||
Zoom Video Communications | 26,060 | 8,790,559 | ||||||
Other Securities | 98,278,079 | |||||||
|
| |||||||
191,821,252 | ||||||||
|
| |||||||
Materials - 3.0% |
| |||||||
Ferroglobe PLC (a)(b)** | 1,316 | — | ||||||
Fortescue Metals Group Ltd. | 315,757 | 5,708,812 | ||||||
Other Securities | 49,461,628 | |||||||
|
| |||||||
55,170,440 | ||||||||
|
| |||||||
Real Estate - 1.5% | ||||||||
Public Storage | 23,421 | 5,408,612 | ||||||
Other Securities | 22,306,956 | |||||||
|
| |||||||
27,715,568 | ||||||||
|
| |||||||
Utilities - 3.7% | ||||||||
Duke Energy Corp. | 114,414 | 10,475,746 | ||||||
NextEra Energy Inc. | 94,740 | 7,309,191 | ||||||
Xcel Energy Inc. | 81,844 | 5,456,539 |
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
6 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Principal Amount ($) or Number of Shares | Fair $ | |||||||
Other Securities | 42,927,805 | |||||||
|
| |||||||
66,169,281 | ||||||||
|
| |||||||
Total Equity Securities (Cost $914,038,283) | 1,092,646,740 | |||||||
|
| |||||||
Bonds and Notes - 22.7% |
| |||||||
U.S. Treasuries - 8.2% |
| |||||||
U.S. Treasury Bonds | ||||||||
1.13% 08/15/40 | 300,000 | 284,109 | ||||||
1.25% 05/15/50 | 550,000 | 499,211 | ||||||
1.38% 11/15/40 - 08/15/50 | 200,000 | 192,562 | ||||||
1.63% 11/15/50 | 200,000 | 199,219 | ||||||
2.00% 02/15/50 | 350,000 | 380,352 | ||||||
2.25% 08/15/46 - 08/15/49 | 800,000 | 914,641 | ||||||
2.38% 11/15/49 | 350,000 | 411,414 | ||||||
2.50% 02/15/45 - 05/15/46 | 910,000 | 1,086,670 | ||||||
2.75% 11/15/42 - 11/15/47 | 925,000 | 1,154,253 | ||||||
2.88% 05/15/43 - 05/15/49 | 800,000 | 1,022,063 | ||||||
3.00% 05/15/42 - 02/15/49 | 2,450,000 | 3,198,406 | ||||||
3.13% 02/15/43 - 05/15/48 | 700,000 | 923,532 | ||||||
3.38% 05/15/44 - 11/15/48 | 400,000 | 554,594 | ||||||
3.63% 02/15/44 | 540,000 | 764,606 | ||||||
3.75% 08/15/41 | 100,000 | 142,078 | ||||||
4.25% 05/15/39 - 11/15/40 | 200,000 | 298,547 | ||||||
4.38% 02/15/38 - 05/15/40 | 400,000 | 603,844 | ||||||
4.50% 02/15/36 | 100,000 | 146,734 | ||||||
4.63% 02/15/40 | 100,000 | 155,797 | ||||||
5.25% 02/15/29 | 200,000 | 270,969 | ||||||
5.50% 08/15/28 | 200,000 | 271,219 | ||||||
6.00% 02/15/26 | 427,000 | 548,261 | ||||||
6.13% 08/15/29 | 200,000 | 289,594 | ||||||
6.38% 08/15/27 | 200,000 | 275,469 | ||||||
7.63% 11/15/22 - 02/15/25 | 500,000 | 601,836 | ||||||
U.S. Treasury Inflation Indexed Bonds |
| |||||||
0.13% 07/15/30 | 2,742,039 | 3,078,785 | ||||||
0.25% 02/15/50 | 1,012,790 | 1,208,470 | ||||||
0.63% 02/15/43 | 1,075,913 | 1,342,586 | ||||||
0.75% 02/15/42 - 02/15/45 | 2,833,376 | 3,637,889 | ||||||
0.88% 02/15/47 | 884,518 | 1,190,436 | ||||||
1.00% 02/15/46 - 02/15/49 | 2,432,309 | 3,380,855 | ||||||
1.38% 02/15/44 | 1,340,700 | 1,932,788 | ||||||
1.75% 01/15/28 | 994,328 | 1,220,786 | ||||||
2.00% 01/15/26 | 1,311,910 | 1,560,635 | ||||||
2.13% 02/15/40 - 02/15/41 | 1,255,532 | 1,961,013 | ||||||
2.38% 01/15/25 - 01/15/27 | 3,190,564 | 3,827,097 | ||||||
2.50% 01/15/29 | 1,212,780 | 1,594,531 | ||||||
3.38% 04/15/32 | 366,740 | 559,316 | ||||||
3.63% 04/15/28 | 853,247 | 1,174,600 | ||||||
3.88% 04/15/29 | 1,029,542 | 1,484,663 | ||||||
U.S. Treasury Inflation Indexed Notes |
| |||||||
0.13% 01/15/22 - 01/15/30 | 23,559,968 | 25,012,899 |
Principal Amount ($) | Fair $ | |||||||
0.25% 01/15/25 - 07/15/29 | 4,808,705 | 5,299,030 | ||||||
0.38% 07/15/23 - 07/15/27 | 10,627,262 | 11,648,669 | ||||||
0.50% 04/15/24 - 01/15/28 | 4,964,315 | 5,493,545 | ||||||
0.63% 04/15/23 - 01/15/26 | 8,158,219 | 8,807,330 | ||||||
0.75% 07/15/28 | 2,059,080 | 2,397,001 | ||||||
0.88% 01/15/29 | 1,753,074 | 2,061,697 | ||||||
U.S. Treasury Notes |
| |||||||
0.13% 05/15/23 - 10/15/23 | 1,200,000 | 1,199,297 | ||||||
0.25% 04/15/23 - 12/31/25 | 2,300,000 | 2,295,555 | ||||||
0.38% 04/30/25 | 200,000 | 200,734 | ||||||
0.50% 03/15/23 - 10/31/27 | 1,700,000 | 1,700,437 | ||||||
0.63% 05/15/30 - 08/15/30 | 650,000 | 634,649 | ||||||
0.88% 11/15/30 | 300,000 | 298,969 | ||||||
1.13% 02/28/22 - 02/28/27 | 1,400,000 | 1,440,766 | ||||||
1.25% 08/31/24 | 500,000 | 518,633 | ||||||
1.38% 01/31/22 - 08/31/26 | 900,000 | 931,785 | ||||||
1.50% 08/15/22 - 02/15/30 | 3,050,000 | 3,179,071 | ||||||
1.63% 08/31/22 - 08/15/29 | 2,140,000 | 2,247,924 | ||||||
1.75% 05/31/22 - 11/15/29 | 3,500,000 | 3,657,504 | ||||||
1.88% 01/31/22 - 07/31/26 | 2,200,000 | 2,259,363 | ||||||
2.00% 10/31/22 - 08/15/25 | 1,844,000 | 1,962,244 | ||||||
2.13% 12/31/22 - 05/31/26 | 3,900,000 | 4,159,721 | ||||||
2.25% 04/30/24 - 11/15/27 | 3,590,000 | 3,907,850 | ||||||
2.38% 01/31/23 - 05/15/29 | 1,800,000 | 1,992,766 | ||||||
2.50% 08/15/23 - 05/15/24 | 1,000,000 | 1,069,492 | ||||||
2.63% 02/28/23 - 02/15/29 | 2,400,000 | 2,631,367 | ||||||
2.75% 04/30/23 - 02/15/28 | 3,600,000 | 3,884,508 | ||||||
2.88% 09/30/23 - 08/15/28 | 2,900,000 | 3,247,781 | ||||||
3.00% 09/30/25 | 300,000 | 337,594 | ||||||
3.13% 11/15/28 | 400,000 | 473,562 | ||||||
|
| |||||||
149,296,173 | ||||||||
|
| |||||||
U.S. Government Sponsored Agency - 0.0%* |
| |||||||
Tennessee Valley Authority | 100,000 | 125,144 | ||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. |
| |||||||
1.48% 04/25/30 | 69,643 | 71,698 | ||||||
1.56% 04/25/30 | 40,000 | 41,426 | ||||||
1.87% 01/25/30 | 58,333 | 61,876 | ||||||
2.57% 07/25/26 | 352,000 | 383,912 | ||||||
2.75% 01/25/26 | 300,000 | 328,518 | ||||||
3.18% 11/25/28 | 291,808 | 324,643 | ||||||
3.30% 04/25/23 (d) | 100,000 | 106,342 | ||||||
3.39% 03/25/24 | 200,000 | 217,256 | ||||||
3.56% 01/25/29 | 200,000 | 236,906 | ||||||
3.78% 08/25/28 | 191,071 | 216,831 | ||||||
Federal National Mortgage Assoc. |
| |||||||
1.27% 07/25/30 | 80,000 | 80,418 | ||||||
3.08% 06/25/27 (d) | 261,000 | 296,362 | ||||||
3.37% 07/25/28 (d) | 500,000 | 583,576 | ||||||
3.64% 08/25/30 (d) | 200,000 | 240,334 | ||||||
|
| |||||||
3,190,098 | ||||||||
|
|
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
State Street Total Return V.I.S. Fund | 7 |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Principal Amount��($) | Fair $ | |||||||
Agency Mortgage Backed - 5.1% |
| |||||||
Federal Home Loan Banks |
| |||||||
2.50% 02/13/24 | 440,000 | 471,420 | ||||||
3.25% 11/16/28 | 125,000 | 149,022 | ||||||
Federal Home Loan Mortgage Corp. |
| |||||||
0.13% 10/16/23 | 380,000 | 379,483 | ||||||
2.00% 09/01/50 | 779,322 | 809,742 | ||||||
2.50% 01/01/28 - 09/01/50 | 4,428,455 | 4,663,148 | ||||||
3.00% 07/01/30 - 04/01/50 | 8,337,219 | 8,835,910 | ||||||
3.50% 03/01/26 - 11/01/49 | 5,231,818 | 5,614,212 | ||||||
4.00% 06/01/42 - 03/01/49 | 2,160,129 | 2,345,779 | ||||||
4.50% 05/01/42 - 03/01/49 | 648,870 | 704,576 | ||||||
5.50% 01/01/38 - 04/01/39 | 234,514 | 276,566 | ||||||
6.00% 06/01/37 - 11/01/37 | 229,612 | 270,892 | ||||||
6.25% 07/15/32 | 250,000 | 387,077 | ||||||
Federal National Mortgage Assoc. |
| |||||||
0.25% 05/22/23 - 07/10/23 | 955,000 | 956,772 | ||||||
1.50% 12/01/50 | 673,149 | 680,407 | ||||||
1.75% 07/02/24 | 225,000 | 236,799 | ||||||
2.00% 11/01/35 - 12/01/50 | 6,402,109 | 6,659,660 | ||||||
2.13% 04/24/26 | 200,000 | 217,820 | ||||||
2.50% 09/01/28 - 11/01/50 | 7,049,288 | 7,419,734 | ||||||
2.63% 01/11/22 | 500,000 | 512,790 | ||||||
3.00% 01/01/28 - 07/01/50 | 6,497,256 | 6,929,380 | ||||||
3.50% 01/01/27 - 06/01/50 | 6,721,501 | 7,179,921 | ||||||
4.00% 10/01/41 - 02/01/50 | 5,149,538 | 5,585,604 | ||||||
4.50% 01/01/27 - 09/01/49 | 2,472,318 | 2,744,133 | ||||||
5.00% 12/01/39 - 05/01/41 | 164,111 | 186,503 | ||||||
5.50% 12/01/35 - 04/01/38 | 816,181 | 949,778 | ||||||
6.00% 03/01/34 - 08/01/37 | 1,085,726 | 1,275,239 | ||||||
6.63% 11/15/30 | 100,000 | 151,373 | ||||||
1.50% TBA (e) | 800,000 | 815,620 | ||||||
2.00% TBA (e) | 2,575,000 | 2,678,374 | ||||||
Government National Mortgage Assoc. |
| |||||||
2.00% 10/20/50 | 657,856 | 688,352 | ||||||
2.50% 05/20/45 - 10/20/50 | 2,974,506 | 3,151,703 | ||||||
3.00% 10/15/42 - 07/20/50 | 5,783,613 | 6,127,585 | ||||||
3.50% 03/20/45 - 02/20/50 | 5,426,301 | 5,825,008 | ||||||
4.00% 12/20/40 - 07/20/49 | 2,481,513 | 2,708,990 | ||||||
4.50% 05/20/40 - 01/20/49 | 1,277,044 | 1,409,752 | ||||||
5.00% 08/15/41 | 839,888 | 938,620 | ||||||
2.00% TBA (e) | 500,000 | 522,615 | ||||||
|
| |||||||
91,460,359 | ||||||||
|
| |||||||
Asset Backed - 0.1% |
| |||||||
Other Securities | 1,206,486 | |||||||
|
| |||||||
Corporate Notes - 8.2% |
| |||||||
Apple Inc. |
| |||||||
0.75% 05/11/23 | 100,000 | 101,243 | ||||||
2.40% 01/13/23 - 08/20/50 | 160,000 | 164,316 | ||||||
2.50% 02/09/22 | 50,000 | 51,143 | ||||||
2.75% 01/13/25 | 50,000 | 54,274 | ||||||
3.00% 11/13/27 | 100,000 | 112,840 |
Principal or Number | Fair $ | |||||||
3.25% 02/23/26 | 60,000 | 67,275 | ||||||
3.75% 11/13/47 | 50,000 | 63,123 | ||||||
4.38% 05/13/45 | 65,000 | 89,354 | ||||||
4.50% 02/23/36 | 150,000 | 202,194 | ||||||
4.65% 02/23/46 | 185,000 | 264,054 | ||||||
Other Securities | 146,634,997 | |||||||
|
| |||||||
147,534,813 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 0.2% |
| |||||||
Other Securities | 4,355,277 | |||||||
|
| |||||||
Sovereign Bonds - 0.5% |
| |||||||
Other Securities | 9,284,719 | |||||||
|
| |||||||
Municipal Bonds and Notes - 0.2% |
| |||||||
Other Securities | 3,786,139 | |||||||
|
| |||||||
Total Bonds and Notes (Cost $377,270,599) |
| 410,239,208 | ||||||
|
| |||||||
Exchange Traded Funds - 12.3% |
| |||||||
Exchange Traded & Mutual Funds - 12.3% |
| |||||||
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 4,809,593 | 73,394,389 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF (f) | 829,249 | 90,338,386 | ||||||
SPDR Bloomberg Barclays International Treasury Bond ETF (f) | 1,143,138 | 35,700,200 | ||||||
SPDR Portfolio Long Term Corporate Bond ETF (f) | 546,231 | 18,080,246 | ||||||
Other Securities | 4,712,578 | |||||||
|
| |||||||
Total Exchange Traded Funds (Cost $219,150,689) |
| 222,225,799 | ||||||
|
| |||||||
Total Investments in Securities (Cost $1,510,459,571) |
| 1,725,111,747 | ||||||
|
| |||||||
Short-Term Investments - 4.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | 84,964,250 | 84,964,250 | ||||||
|
| |||||||
Total Investments (Cost $1,595,423,821) |
| 1,810,075,997 | ||||||
Liabilities in Excess of Other Assets, net - (0.1)% |
| (2,325,219 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 1,807,750,778 | ||||||
|
|
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
8 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Other Information:
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
E-mini Russell 2000 Index Futures | March 2021 | 10 | $ | 955,623 | $ | 987,400 | $ | 31,777 | ||||||||||||
MSCI EAFE Mini Index Futures | March 2021 | 36 | 3,754,429 | 3,835,440 | 81,011 | |||||||||||||||
MSCI Emerging Markets Index Futures | March 2021 | 14 | 871,640 | 901,740 | 30,100 | |||||||||||||||
S&P 500 Emini Index Futures | March 2021 | 20 | 3,679,840 | 3,748,800 | 68,960 | |||||||||||||||
|
| |||||||||||||||||||
$ | 211,848 | |||||||||||||||||||
|
|
During the year ended December 31, 2020, the average notional value related to long futures contracts was $7,921,466.
The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represents all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 242-0134; and ii) on the SEC’s website at www.sec.gov.
(a) | Non-income producing security. |
(b) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund’s Board of Directors. Security value is determined based on level 3 inputs. |
(c) | At December 31, 2020, all or a portion of this |
security was pledged to cover collateral requirements for futures and/or TBAs. |
(d) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(e) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(f) | 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. |
(g) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of December 31, 2020. |
** | Amount is less than $0.50. |
* | Less than 0.05%. |
Abbreviations:
TBA To Be Announced
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
State Street Total Return V.I.S. Fund | 9 |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities | ||||||||||||||||
Foreign Equity | $ | 445,832,933 | $ | — | $ | — | $ | 445,832,933 | ||||||||
Domestic Equity | 646,812,962 | 845 | — | 646,813,807 | ||||||||||||
U.S. Treasuries | — | 149,296,173 | — | 149,296,173 | ||||||||||||
U.S. Government Sponsored Agencies | — | 125,144 | — | 125,144 | ||||||||||||
Agency Collateralized Mortgage Obligations | — | 3,190,098 | — | 3,190,098 | ||||||||||||
Agency Mortgage Backed | — | 91,460,359 | — | 91,460,359 | ||||||||||||
Asset Backed | — | 1,206,486 | — | 1,206,486 | ||||||||||||
Corporate Notes | — | 147,534,813 | — | 147,534,813 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 4,355,277 | — | 4,355,277 | ||||||||||||
Sovereign Bonds | — | 9,284,719 | — | 9,284,719 | ||||||||||||
Municipal Bonds and Notes | — | 3,786,139 | — | 3,786,139 | ||||||||||||
Exchange Traded & Mutual Funds | 222,225,799 | — | — | 222,225,799 | ||||||||||||
Short-Term Investments | 84,964,250 | — | — | 84,964,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,399,835,944 | $ | 410,240,053 | $ | — | $ | 1,810,075,997 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments | ||||||||||||||||
Long Futures Contracts - Unrealized Appreciation | $ | 211,848 | $ | — | $ | — | $ | 211,848 | ||||||||
|
|
|
|
|
|
|
|
The Fund was invested in the following countries/territories at December 31, 2020 (unaudited):
Country/Territory | Percentage (based on Fair Value) | |||
United States | 72.42% | |||
Japan | 4.08% | |||
Canada | 2.37% | |||
Switzerland | 2.27% | |||
United Kingdom | 2.01% | |||
China | 1.97% | |||
Germany | 1.76% | |||
Ireland | 1.51% | |||
France | 1.31% | |||
Australia | 1.19% | |||
Taiwan | 0.80% | |||
South Korea | 0.79% | |||
Sweden | 0.75% | |||
Netherlands | 0.72% | |||
India | 0.55% | |||
Italy | 0.48% | |||
Denmark | 0.43% | |||
Supranational | 0.39% | |||
Hong Kong | 0.37% | |||
Finland | 0.35% | |||
Belgium | 0.29% | |||
Spain | 0.28% | |||
Israel | 0.28% |
Country/Territory | Percentage (based on Fair Value) | |||
Singapore | 0.25% | |||
Russian Federation | 0.24% | |||
South Africa | 0.24% | |||
New Zealand | 0.24% | |||
Brazil | 0.19% | |||
Norway | 0.15% | |||
Mexico | 0.14% | |||
Malaysia | 0.13% | |||
Cayman Islands | 0.11% | |||
Philippines | 0.08% | |||
Saudi Arabia | 0.08% | |||
Portugal | 0.08% | |||
Poland | 0.07% | |||
Turkey | 0.07% | |||
Colombia | 0.06% | |||
Austria | 0.06% | |||
Thailand | 0.06% | |||
Chile | 0.06% | |||
Bermuda | 0.05% | |||
Indonesia | 0.04% | |||
Panama | 0.04% | |||
United Arab Emirates | 0.03% | |||
Iraq | 0.03% |
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
10 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Country/Territory | Percentage (based on Fair Value) | |||
Cyprus | 0.02% | |||
Uruguay | 0.02% | |||
Luxembourg | 0.02% | |||
Peru | 0.02% | |||
Hungary | 0.01% | |||
Puerto Rico | 0.01% | |||
Qatar | 0.01% | |||
Greece | 0.01% | |||
Czech | 0.01% | |||
Guernsey | 0.00% | *** | ||
Pakistan | 0.00% | *** | ||
|
| |||
100.00% | ||||
|
|
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2020 (unaudited):
Industry | Domestic | Foreign | Total | |||||||||
Exchange Traded Funds | 9.32% | 0.00% | 9.32% | |||||||||
Specialized Finance | 2.97% | 0.00% | 2.97% | |||||||||
Technology Hardware, Storage & Peripherals | 1.82% | 0.71% | 2.53% | |||||||||
Electric Utilities | 1.64% | 0.86% | 2.50% | |||||||||
Property & Casualty Insurance | 2.04% | 0.33% | 2.37% | |||||||||
IT Consulting & Other Services | 0.73% | 1.32% | 2.05% | |||||||||
Hypermarkets & Super Centers | 1.64% | 0.20% | 1.84% | |||||||||
Pharmaceuticals | 0.91% | 0.82% | 1.73% | |||||||||
Multi-Sector Holdings | 1.20% | 0.47% | 1.67% | |||||||||
Integrated Telecommunication Services | 0.72% | 0.88% | 1.60% | |||||||||
Multi-Line Insurance | 0.07% | 1.28% | 1.35% | |||||||||
Asset Management & Custody Banks | 1.14% | 0.10% | 1.24% | |||||||||
General Merchandise Stores | 0.79% | 0.45% | 1.24% | |||||||||
Healthcare Equipment | 1.13% | 0.11% | 1.24% | |||||||||
Food Retail | 0.32% | 0.82% | 1.14% | |||||||||
Automobile Manufacturers | 0.77% | 0.37% | 1.14% | |||||||||
Home Building | 0.74% | 0.37% | 1.11% | |||||||||
Application Software | 1.11% | 0.00% | 1.11% | |||||||||
Internet & Direct Marketing Retail | 0.63% | 0.45% | 1.08% | |||||||||
Wireless Telecommunication Services | 0.67% | 0.40% | 1.07% | |||||||||
Systems Software | 0.93% | 0.10% | 1.03% | |||||||||
Air Freight & Logistics | 0.86% | 0.17% | 1.03% | |||||||||
Packaged Foods & Meats | 0.62% | 0.40% | 1.02% | |||||||||
Life & Health Insurance | 0.12% | 0.81% | 0.93% | |||||||||
Industrial Machinery | 0.27% | 0.63% | 0.90% | |||||||||
Semiconductors | 0.45% | 0.40% | 0.85% | |||||||||
Trading Companies & Distributors | 0.13% | 0.69% | 0.82% | |||||||||
Semiconductor Equipment | 0.60% | 0.21% | 0.81% | |||||||||
Diversified Banks | 0.00% | 0.78% | 0.78% | |||||||||
Agricultural & Farm Machinery | 0.71% | 0.00% | 0.71% | |||||||||
Electrical Components & Equipment | 0.60% | 0.08% | 0.68% | |||||||||
Healthcare Distributors | 0.53% | 0.10% | 0.63% | |||||||||
Building Products | 0.21% | 0.40% | 0.61% | |||||||||
Household Products | 0.53% | 0.07% | 0.60% | |||||||||
Auto Parts & Equipment | 0.07% | 0.47% | 0.54% |
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
State Street Total Return V.I.S. Fund | 11 |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Industry | Domestic | Foreign | Total | |||||||||
Electronic Components | 0.30% | 0.24% | 0.54% | |||||||||
Specialty Chemicals | 0.14% | 0.39% | 0.53% | |||||||||
Reinsurance | 0.00% | 0.53% | 0.53% | |||||||||
Steel | 0.10% | 0.40% | 0.50% | |||||||||
Trucking | 0.42% | 0.07% | 0.49% | |||||||||
Internet Services & Infrastructure | 0.06% | 0.42% | 0.48% | |||||||||
Life Sciences Tools & Services | 0.31% | 0.15% | 0.46% | |||||||||
Personal Products | 0.02% | 0.43% | 0.45% | |||||||||
Regional Banks | 0.35% | 0.10% | 0.45% | |||||||||
Interactive Media & Services | 0.11% | 0.33% | 0.44% | |||||||||
Automotive Retail | 0.41% | 0.02% | 0.43% | |||||||||
Construction & Engineering | 0.17% | 0.26% | 0.43% | |||||||||
Tires & Rubber | 0.00% | 0.42% | 0.42% | |||||||||
Casinos & Gaming | 0.08% | 0.33% | 0.41% | |||||||||
Data Processing & Outsourced Services | 0.38% | 0.00% | 0.38% | |||||||||
Multi-Utilities | 0.37% | 0.00% | 0.37% | |||||||||
Construction Machinery & Heavy Trucks | 0.32% | 0.05% | 0.37% | |||||||||
Industrial REITs | 0.17% | 0.20% | 0.37% | |||||||||
Agricultural Products | 0.29% | 0.06% | 0.35% | |||||||||
Healthcare Services | 0.24% | 0.10% | 0.34% | |||||||||
Environmental & Facilities Services | 0.28% | 0.06% | 0.34% | |||||||||
Biotechnology | 0.32% | 0.01% | 0.33% | |||||||||
Research & Consulting Services | 0.19% | 0.14% | 0.33% | |||||||||
Commodity Chemicals | 0.04% | 0.29% | 0.33% | |||||||||
Financial Exchanges & Data | 0.13% | 0.19% | 0.32% | |||||||||
Specialized REITs | 0.31% | 0.00% | 0.31% | |||||||||
Electronic Equipment & Instruments | 0.11% | 0.19% | 0.30% | |||||||||
Metal & Glass Containers | 0.29% | 0.00% | 0.29% | |||||||||
Paper Packaging | 0.29% | 0.00% | 0.29% | |||||||||
Specialty Stores | 0.26% | 0.02% | 0.28% | |||||||||
Healthcare Supplies | 0.23% | 0.03% | 0.26% | |||||||||
Computer & Electronics Retail | 0.23% | 0.03% | 0.26% | |||||||||
Diversified Capital Markets | 0.00% | 0.26% | 0.26% | |||||||||
Water Utilities | 0.24% | 0.00% | 0.24% | |||||||||
Leisure Products | 0.23% | 0.00% | 0.23% | |||||||||
Apparel Retail | 0.18% | 0.05% | 0.23% | |||||||||
Electronic Manufacturing Services | 0.09% | 0.14% | 0.23% | |||||||||
Investment Banking & Brokerage | 0.20% | 0.02% | 0.22% | |||||||||
Industrial Conglomerates | 0.00% | 0.22% | 0.22% | |||||||||
Real Estate Operating Companies | 0.00% | 0.22% | 0.22% | |||||||||
Independent Power Producers & Energy Traders | 0.10% | 0.11% | 0.21% | |||||||||
Technology Distributors | 0.17% | 0.04% | 0.21% | |||||||||
Thrifts & Mortgage Finance | 0.21% | 0.00% | 0.21% | |||||||||
Oil & Gas Refining & Marketing | 0.09% | 0.11% | 0.20% | |||||||||
Gas Utilities | 0.00% | 0.18% | 0.18% | |||||||||
Healthcare Facilities | 0.18% | 0.00% | 0.18% | |||||||||
Paper Products | 0.05% | 0.12% | 0.17% | |||||||||
Marine | 0.00% | 0.17% | 0.17% | |||||||||
Diversified Metals & Mining | 0.00% | 0.17% | 0.17% | |||||||||
Apparel, Accessories & Luxury Goods | 0.01% | 0.15% | 0.16% | |||||||||
Gold | 0.00% | 0.16% | 0.16% | |||||||||
Consumer Electronics | 0.15% | 0.01% | 0.16% | |||||||||
Diversified Chemicals | 0.12% | 0.03% | 0.15% | |||||||||
Human Resource & Employment Services | 0.07% | 0.08% | 0.15% |
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
12 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Industry | Domestic | Foreign | Total | |||||||||
Renewable Electricity | 0.07% | 0.08% | 0.15% | |||||||||
Real Estate Development | 0.00% | 0.14% | 0.14% | |||||||||
Household Appliances | 0.09% | 0.05% | 0.14% | |||||||||
Mortgage REITs | 0.13% | 0.00% | 0.13% | |||||||||
Health Care REITs | 0.13% | 0.00% | 0.13% | |||||||||
Diversified Support Services | 0.13% | 0.00% | 0.13% | |||||||||
Distributors | 0.13% | 0.00% | 0.13% | |||||||||
Integrated Oil & Gas | 0.00% | 0.13% | 0.13% | |||||||||
Drug Retail | 0.00% | 0.13% | 0.13% | |||||||||
Managed Healthcare | 0.11% | 0.01% | 0.12% | |||||||||
Diversified Real Estate Activities | 0.00% | 0.11% | 0.11% | |||||||||
Forest Products | 0.00% | 0.11% | 0.11% | |||||||||
Home Furnishing Retail | 0.10% | 0.00% | 0.10% | |||||||||
Industrial Gases | 0.00% | 0.10% | 0.10% | |||||||||
Fertilizers & Agricultural Chemicals | 0.07% | 0.02% | 0.09% | |||||||||
Heavy Electrical Equipment | 0.07% | 0.02% | 0.09% | |||||||||
Brewers | 0.08% | 0.01% | 0.09% | |||||||||
Home Improvement Retail | 0.00% | 0.08% | 0.08% | |||||||||
Other Diversified Financial Services | 0.01% | 0.07% | 0.08% | |||||||||
Aerospace & Defense | 0.07% | 0.01% | 0.08% | |||||||||
Advertising | 0.08% | 0.00% | 0.08% | |||||||||
Office REITs | 0.08% | 0.00% | 0.08% | |||||||||
Publishing | 0.08% | 0.00% | 0.08% | |||||||||
Communications Equipment | 0.04% | 0.03% | 0.07% | |||||||||
Footwear | 0.00% | 0.07% | 0.07% | |||||||||
Motorcycle Manufacturers | 0.00% | 0.07% | 0.07% | |||||||||
Retail REITs | 0.03% | 0.03% | 0.06% | |||||||||
Diversified REITs | 0.06% | 0.00% | 0.06% | |||||||||
Healthcare Technology | 0.06% | 0.00% | 0.06% | |||||||||
Copper | 0.00% | 0.06% | 0.06% | |||||||||
Food Distributors | 0.04% | 0.02% | 0.06% | |||||||||
Coal & Consumable Fuels | 0.00% | 0.06% | 0.06% | |||||||||
Consumer Finance | 0.04% | 0.02% | 0.06% | |||||||||
Tobacco | 0.05% | 0.00% | 0.05% | |||||||||
Construction Materials | 0.02% | 0.03% | 0.05% | |||||||||
Real Estate Services | 0.04% | 0.00% | 0.04% | |||||||||
Insurance Brokers | 0.04% | 0.00% | 0.04% | |||||||||
Airlines | 0.00% | 0.04% | 0.04% | |||||||||
Interactive Home Entertainment | 0.00% | 0.04% | 0.04% | |||||||||
Precious Metals & Minerals | 0.00% | 0.04% | 0.04% | |||||||||
Alternative Carriers | 0.00% | 0.03% | 0.03% | |||||||||
Restaurants | 0.03% | 0.00% | 0.03% | |||||||||
Oil & Gas Exploration & Production | 0.03% | 0.00% | 0.03% | |||||||||
Oil & Gas Storage & Transportation | 0.01% | 0.02% | 0.03% | |||||||||
Education Services | 0.00% | 0.03% | 0.03% | |||||||||
Office Services & Supplies | 0.02% | 0.00% | 0.02% | |||||||||
Cable & Satellite | 0.00% | 0.02% | 0.02% | |||||||||
Soft Drinks | 0.00% | 0.01% | 0.01% | |||||||||
Commercial Printing | 0.01% | 0.00% | 0.01% | |||||||||
Leisure Facilities | 0.01% | 0.00% | 0.01% | |||||||||
Department Stores | 0.00% | 0.01% | 0.01% | |||||||||
Residential REITs | 0.01% | 0.00% | 0.01% | |||||||||
Aluminum | 0.00% | 0.01% | 0.01% | |||||||||
Security & Alarm Services | 0.00% | 0.01% | 0.01% |
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
State Street Total Return V.I.S. Fund | 13 |
Table of Contents
State Street Total Return V.I.S. Fund
Summary Schedule of Investments, continued — December 31, 2020
Industry | Domestic | Foreign | Total | |||||||||
Housewares & Specialties | 0.01% | 0.00% | 0.01% | |||||||||
Home Furnishings | 0.00% | 0.00% | 0.00% | *** | ||||||||
Hotels, Resorts & Cruise Lines | 0.00% | 0.00% | 0.00% | *** | ||||||||
Marine Ports & Services | 0.00% | 0.00% | 0.00% | *** | ||||||||
Broadcasting | 0.00% | 0.00% | 0.00% | *** | ||||||||
Banks | 0.00% | 0.00% | 0.00% | *** | ||||||||
|
| |||||||||||
72.65% | ||||||||||||
|
|
*** | Amount is less than 0.005% |
Sector | Percentage (based on Fair Value) | |||
U.S. Treasuries | 8.25% | |||
Corporate Notes | 8.15% | |||
Agency Mortgage Backed | 5.05% | |||
Sovereign Bonds | 0.51% | |||
Non-Agency Collateralized Mortgage Obligations | 0.24% | |||
Municipal Bonds and Notes | 0.21% | |||
Agency Collateralized Mortgage Obligations | 0.17% | |||
Asset Backed | 0.07% | |||
U.S. Government Sponsored Agencies | 0.01% | |||
|
| |||
22.66% | ||||
|
|
Sector | Percentage (based on Fair Value) | |||
Short-Term Investments | ||||
Short-Term Investments | 4.69% | |||
|
| |||
4.69% | ||||
|
| |||
100.00% | ||||
�� |
|
|
Affilate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,233,354 | $ | 135,101,597 | $ | 123,557,735 | $ | 167,664,991 | $ | (1,763,651 | ) | $ | 1,107,696 | 829,249 | $ | 90,338,386 | $ | 5,383,720 | |||||||||||||||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | — | — | 34,459,895 | — | — | 1,240,305 | 1,143,138 | 35,700,200 | 53,187 | |||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 917,656 | 93,619,265 | 15,198,967 | 85,788,806 | (14,940,444 | ) | (3,376,404 | ) | 54,355 | 4,712,578 | 676,218 | |||||||||||||||||||||||||
SPDR Portfolio Long Term Corporate Bond ETF | — | — | 66,296,563 | 47,949,947 | (574,991 | ) | 308,621 | 546,231 | 18,080,246 | 243,946 | ||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 60,902,376 | 60,902,376 | 636,541,393 | 612,479,519 | — | — | 84,964,250 | 84,964,250 | 162,187 | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||
TOTAL | $ | 289,623,238 | $ | 876,054,553 | $ | 913,883,263 | $ | (17,279,086 | ) | $ | (719,782 | ) | $ | 233,795,660 | $ | 6,519,258 | ||||||||||||||||||||
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|
|
See Notes to Summary Schedule of Investments and Notes to Financial Statements.
14 | State Street Total Return V.I.S. Fund |
Table of Contents
State Street Total Return V.I.S. Fund
Selected data based on a share outstanding throughout the fiscal years indicated
Class 1 | ||||||||||||||||||||
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | 7/1/85 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.91 | $ | 14.06 | $ | 19.94 | $ | 18.08 | $ | 17.66 | ||||||||||
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| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.27 | (a) | 0.34 | (a) | 0.40 | (a) | 0.36 | (a) | 0.35 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 0.75 | 1.88 | (1.69 | ) | 2.46 | 0.77 | ||||||||||||||
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| |||||||||||
Total income/(loss) from investment operations | 1.02 | 2.22 | (1.29 | ) | 2.82 | 1.12 | ||||||||||||||
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Less distributions from: | ||||||||||||||||||||
Net investment income | 0.30 | 0.37 | 0.45 | 0.41 | 0.35 | |||||||||||||||
Net realized gains | — | — | 4.14 | 0.55 | 0.35 | |||||||||||||||
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Total distributions | 0.30 | 0.37 | 4.59 | 0.96 | 0.70 | |||||||||||||||
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| |||||||||||
Net asset value, end of period | $ | 16.63 | $ | 15.91 | $ | 14.06 | $ | 19.94 | $ | 18.08 | ||||||||||
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| |||||||||||
Total Return(b) | 6.44 | % | 15.81 | % | (6.34 | )% | 15.58 | % | 6.35 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 743,820 | $ | 764,667 | $ | 733,417 | $ | 856,665 | $ | 797,448 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.60 | % | 0.61 | % | 0.62 | % | 0.62 | % | 0.60 | % | ||||||||||
Gross expenses | 0.60 | % | 0.61 | % | 0.62 | % | 0.62 | % | 0.60 | % | ||||||||||
Net investment income | 1.77 | % | 2.24 | % | 2.01 | % | 1.83 | % | 1.85 | % | ||||||||||
Portfolio turnover rate | 92 | %(c) | 81 | % | 97 | % | 15 | % | 45 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(c) | The portfolio turnover calculated for the year ended 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 103%. |
The accompanying Notes are an integral part of these financial statements.
Financial Highlights | 15 |
Table of Contents
State Street Total Return V.I.S. Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Class 3 | ||||||||||||||||||||
12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | ||||||||||||||||
Inception date | — | — | — | — | 5/1/06 | |||||||||||||||
Net asset value, beginning of period | $ | 15.86 | $ | 14.01 | $ | 19.88 | $ | 18.03 | $ | 17.61 | ||||||||||
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Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.23 | (a) | 0.30 | (a) | 0.35 | (a) | 0.31 | (a) | 0.30 | |||||||||||
Net realized and unrealized gains/(losses) on investments | 0.74 | 1.88 | (1.69 | ) | 2.44 | 0.77 | ||||||||||||||
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Total income/(loss) from investment operations | 0.97 | 2.18 | (1.34 | ) | 2.75 | 1.07 | ||||||||||||||
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Less distributions from: | ||||||||||||||||||||
Net investment income | 0.26 | 0.33 | 0.39 | 0.35 | 0.30 | |||||||||||||||
Net realized gains | — | — | 4.14 | 0.55 | 0.35 | |||||||||||||||
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Total distributions | 0.26 | 0.33 | 4.53 | 0.90 | 0.65 | |||||||||||||||
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Net asset value, end of period | $ | 16.57 | $ | 15.86 | $ | 14.01 | $ | 19.88 | $ | 18.03 | ||||||||||
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Total Return(b) | 6.14 | % | 15.57 | % | (6.61 | )% | 15.26 | % | 6.08 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,063,931 | $ | 1,156,437 | $ | 1,165,809 | $ | 1,464,061 | $ | 1,508,428 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net Expenses | 0.85 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.85 | % | ||||||||||
Gross Expenses | 0.85 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.85 | % | ||||||||||
Net investment income | 1.52 | % | 1.99 | % | 1.76 | % | 1.59 | % | 1.60 | % | ||||||||||
Portfolio turnover rate | 92 | %(c) | 81 | % | 97 | % | 15 | % | 45 | % |
Notes to Financial Highlights
(a) | Per share values have been calculated using the average shares method. |
(b) | Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(c) | The portfolio turnover calculated for the year ended 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 103%. |
The accompanying Notes are an integral part of these financial statements.
16 | Financial Highlights |
Table of Contents
State Street Total Return V.I.S. Fund
Statement of Assets and Liabilities — December 31, 2020
Assets | ||||
Investments in securities, at fair value (cost $1,367,635,929) | $ | 1,576,280,337 | ||
Investments in affiliated securities, at fair value (cost $142,823,642) | 148,831,410 | |||
Short-term affiliated investments, at fair value | 84,964,250 | |||
Net cash collateral on deposit with broker for future contracts | 474,343 | |||
Foreign currency (cost $378,628) | 368,306 | |||
Receivable for investments sold | 507,971 | |||
Income receivables | 4,143,138 | |||
Receivable for fund shares sold | 5,500 | |||
Income receivable from affiliated investments | 1,651 | |||
Receivable for accumulated variation margin on futures contracts | 212,060 | |||
Other assets | 11,571 | |||
|
| |||
Total assets | 1,815,800,537 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 5,380,560 | |||
Payable for fund shares redeemed | 648,839 | |||
Payable to the Adviser | 532,658 | |||
Payable for custody, fund accounting and sub-administration fees | 80,296 | |||
Accrued other expenses | 138,851 | |||
Distribution and service fees | 1,111,359 | |||
Accrued foreign capital gains tax | 157,196 | |||
|
| |||
Total liabilities | 8,049,759 | |||
|
| |||
Net Assets | $ | 1,807,750,778 | ||
|
| |||
Net Assets Consist of: | ||||
Capital paid in | $ | 1,611,363,994 | ||
Total distributable earnings (loss) | 196,386,784 | |||
|
| |||
Net Assets | $ | 1,807,750,778 | ||
|
| |||
Class 1 | ||||
Net Assets | $ | 743,819,559 | ||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 44,727,202 | |||
Net asset value, offering and redemption price per share | $ | 16.63 | ||
Class 3 | ||||
Net Assets | $ | 1,063,931,219 | ||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 64,189,494 | |||
Net asset value per share | $ | 16.57 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 17 |
Table of Contents
State Street Total Return V.I.S. Fund
Statement of Operations — For the fiscal year ended December 31, 2020
Investment Income |
| |||
Income |
| |||
Dividend | $ | 23,731,789 | ||
Interest | 11,351,325 | |||
Income from affiliated investments | 6,519,258 | |||
Less: Foreign taxes withheld | (1,049,645 | ) | ||
|
| |||
Total income | 40,552,727 | |||
|
| |||
Expenses |
| |||
Advisory and administration fees | 6,054,013 | |||
Distribution and service fees | ||||
Class 1 | 1,397,560 | |||
Class 3 | 4,639,221 | |||
Directors’ fees | 32,264 | |||
Custody, fund accounting and sub-administration fees | 465,544 | |||
Professional fees | 131,713 | |||
Other expenses | 167,305 | |||
|
| |||
Total Expenses | 12,887,620 | |||
|
| |||
Net investment income | $ | 27,665,107 | ||
|
| |||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||
Realized gain (loss) on: |
| |||
Unaffiliated investments | $ | 18,605,337 | * | |
Affiliated investments | (17,279,086 | ) | ||
Futures | 1,052,121 | |||
Foreign currency transactions | (45,848 | ) | ||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||
Unaffiliated investments | 69,090,881 | ** | ||
Affiliated investments | (719,782 | ) | ||
Futures | (68,811 | ) | ||
Foreign currency translations | 93,488 | |||
|
| |||
Net realized and unrealized gain (loss) on investments | 70,728,300 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 98,393,407 | ||
|
|
* | Includes $309 of net realized gains from foreign capital tax gain. |
** | Includes change in accrued foreign capital gains tax of $157,196. |
The accompanying Notes are an integral part of these financial statements.
18 | Statements of Operations |
Table of Contents
State Street Total Return V.I.S. Fund
Statements of Changes in Net Assets
Year Ended December 31, | Year Ended December 31, | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income | $ | 27,665,107 | $ | 40,578,804 | ||||
Net realized gain (loss) on investments, futures and foreign currency related transactions | 2,332,524 | 5,720,067 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign currency transactions | 68,395,776 | 235,897,549 | ||||||
|
|
|
| |||||
Net increase (decrease) from operations | 98,393,407 | 282,196,420 | ||||||
|
|
|
| |||||
Distributions to shareholders: | ||||||||
Total distributions | ||||||||
Class 1 | (13,378,166 | ) | (17,548,395 | ) | ||||
Class 3 | (16,628,981 | ) | (23,703,106 | ) | ||||
|
|
|
| |||||
Total distributions | (30,007,147 | ) | (41,251,501 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 68,386,260 | 240,944,919 | ||||||
|
|
|
| |||||
Share transactions: | ||||||||
Proceeds from sale of shares | ||||||||
Class 1 | 4,111,457 | 10,132,130 | ||||||
Class 3 | 18,262,784 | 13,995,283 | ||||||
Value of distributions reinvested | ||||||||
Class 1 | 13,378,166 | 17,548,395 | ||||||
Class 3 | 16,628,981 | 23,703,106 | ||||||
Cost of shares redeemed | ||||||||
Class 1 | (67,099,035 | ) | (90,189,216 | ) | ||||
Class 3 | (167,021,825 | ) | (194,257,291 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (181,739,472 | ) | (219,067,593 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (113,353,212 | ) | 21,877,326 | |||||
Net Assets | ||||||||
Beginning of year | 1,921,103,990 | 1,899,226,664 | ||||||
|
|
|
| |||||
End of year | $ | 1,807,750,778 | $ | 1,921,103,990 | ||||
|
|
|
| |||||
Changes in Fund Shares | ||||||||
Class 1 | ||||||||
Shares sold | 270,371 | 659,598 | ||||||
Issued for distributions reinvested | 806,886 | 1,101,594 | ||||||
Shares redeemed | (4,414,312 | ) | (5,867,922 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in fund shares | (3,337,055 | ) | (4,106,730 | ) | ||||
|
|
|
| |||||
Class 3 | ||||||||
Shares sold | 1,247,259 | 912,764 | ||||||
Issued for distributions reinvested | 1,006,597 | 1,492,639 | ||||||
Shares redeemed | (10,989,224 | ) | (12,678,384 | ) | ||||
|
|
|
| |||||
Net decrease in fund shares | (8,735,368 | ) | (10,272,981 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 19 |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements — December 31, 2020
1. | Organization of the Company |
State Street Variable Insurance Series Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund (the “Fund”), State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Shares of the Funds of the Company are offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers two share classes of the Fund as investment options for variable life insurance and variable annuity contracts — Class 1 and Class 3. Class 3 shares were first offered on May 1, 2006, and Fund shares outstanding prior to May 1, 2006 were designated as Class 1 shares. Each class of shares has different fees and expenses, and as a result, each class of shares will have different share price and performance. Not all variable contracts offer each class of the Fund’s shares.
Under the Company’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The 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 the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Company’s Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value the 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. |
20 | Notes to Financial Statements |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
• | 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. |
• | 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. |
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 Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020 is disclosed in the Fund’s Summary Schedule of Investments.
Notes to Financial Statements | 21 |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
The Fund invests in real estate investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as return of capital or capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc’s (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities During the fiscal year ended December 31, 2020, the 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
22 | Notes to Financial Statements |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund’s Summary 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 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, the Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. The 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.
4. | Derivative Financial Instruments |
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Summary Schedule of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the fiscal year ended December 31, 2020, the Fund entered into futures contracts for cash equitization.
Notes to Financial Statements | 23 |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 2020 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Total Return V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 212,060 | $ | — | $ | 212,060 |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Total Return V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 1,052,121 | $ | — | $ | 1,052,121 |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Total Return V.I.S. Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (68,811 | ) | $ | — | $ | (68,811 | ) |
5. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.35%.
Investor Service Plan — Class 1 and Class 3 Shares The Company adopted an Investor Service Plan (the “Service Plan”) on December 9, 2005 for Class 1 shares and on May 1, 2009 for Class 3 shares of the Fund. The Service Plan was not adopted pursuant to Rule 12b-1 under the 1940 Act. Each Service Plan provides that during any fiscal year, the amount of compensation paid under the Service Plan by the Fund Class 1 or Class 3 shares may not exceed the annual rate of 0.20% of the average daily net assets of the Fund attributable to each such share class.
Distribution and Shareholder Service (12b-1) Fees The Company has adopted a Distribution and Service (12b-1) Plan (the “12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to each of Class 1 and Class 3 shares of the Fund. Under the 12b-1 Plan for Class 1 shares that became effective May 1, 2009, payments made under the Class 1 Investor Service Plan are covered in the event that any portion of compensation paid pursuant to the Class 1 Investor Service Plan is determined to be an indirect use of the assets attributable to the Class 1 shares to finance distribution of such shares. Under the 12b-1 Plan for Class 3 shares, the Company, on behalf of the Fund, may have compensated State Street Global Advisors Funds Distributors, LLC (“SSGA FD”), the distributor of the shares of the Fund for certain sales services provided by SSGA FD or other broker dealers and investor services provided by SSGA FD or other service providers relating to the Fund’s Class 3 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offer Class 3 shares as an investment option under such variable contracts. The amount of compensation paid under the 12b-1 Plan for Class 3 shares may not exceed 0.25% of the average
24 | Notes to Financial Statements |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
daily net assets of the Fund attributable to such share class. The 12b-1 Plan continues in effect from year to year for so long as such continuance is approved annually by the Board, including by those Directors who are not interested persons of the Company and who have no direct or indirect financial interest in the operation of the 12b-1 Plan or in any agreement related to it. In addition, the Class 3 12b-1 Plan covers payments made under the Class 3 Investor Service Plan in the event that any portion of compensation paid pursuant to the Class 3 Investor Service Plan is determined to be an indirect use of the assets attributable to the Class 3 shares to finance distribution of such shares.
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended December 31, 2020 are disclosed in the Summary Schedule of Investments.
6. | Directors’ Fees |
The fees and expenses of the Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended December 31, 2020 were as follows:
U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 370,486,083 | $ | 530,120,484 |
Non-U.S. Government Securities | ||||||||
Purchases | Sales | |||||||
$ | 1,389,665,597 | $ | 1,450,737,904 |
8. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary
Notes to Financial Statements | 25 |
Table of Contents
State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
book-tax differences will reverse in the future. These book-tax differences are primarily due to nontaxable dividend adjustments to income, foreign currencies, premium amortization, REIT basis adjustments, foreign capital gains taxes, investments in futures, passive foreign investment company gains and losses, paydown gains and losses and wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 30,007,147 | $ | — | $ | 30,007,147 |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Ordinary Income | Long-Term Capital Gains | Total | |||||||||||
$ | 41,251,501 | $ | — | $ | 41,251,501 |
At December 31, 2020, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | |||||||||||||||||||||||
$ | 531,163 | $ | (8,243,088 | ) | $ | — | $ | 204,098,709 | $ | — | $ | 196,386,784 |
As of December 31, 2020, the Fund had capital loss carryforwards available to offset future realized capital gains as follows:
Non-Expiring Short-Term | Non-Expiring Long-Term | |||||||
$ | 8,243,088 | $ | — |
As of December 31, 2020, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
$ | 1,606,293,843 | $ | 220,406,171 | $ | 16,412,169 | $ | 203,994,002 |
9. | Line of Credit |
The Fund and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2021 unless otherwise extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate. Prior to October 8, 2020, interest was calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The Fund had no outstanding loans as of December 31, 2020.
10. | Risks |
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund was more broadly diversified.
26 | Notes to Financial Statements |
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State Street Total Return V.I.S. Fund
Notes to Financial Statements, continued — December 31, 2020
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the value of the Fund’s investments.
Foreign and Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
11. | New Accounting Pronouncement |
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting, ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments are effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact of the guidance.
12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
Notes to Financial Statements | 27 |
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State Street Total Return V.I.S. Fund
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Total Return V.I.S. Fund and the Board of Directors of State Street Variable Insurance Series Funds, Inc.
Opinion on the Financial Statements and Schedule of Investments in Securities
We have audited the accompanying statement of assets and liabilities of State Street Total Return V.I.S. Fund (the “Fund”) (one of the series constituting State Street Variable Insurance Series Funds, Inc. (the “Company”)), including the summary schedule of investments, as of December 31, 2020, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”) (the financial statements are included in Item 1 of this Form N-CSR), and the schedule of investments in securities as of December 31, 2020 (included in Item 6 of this Form N-CSR). In our opinion, the financial statements and schedule of investments in securities present fairly, in all material respects, the financial position of the Fund (one of the series constituting State Street Variable Insurance Series Funds, Inc.) at December 31, 2020, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and schedule of investments in securities are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements and schedule of investments in securities based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and schedule of investments in securities are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and schedule of investments in securities, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and schedule of investments in securities. Our procedures included confirmation of securities owned as of December 31, 2020, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and schedule of investments in securities. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 18, 2021
28 | Report of Independent Registered Public Accounting Firm |
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State Street Total Return V.I.S. Fund
Other Information — December 31, 2020 (Unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions of the Fund for its fiscal year ended December 31, 2020.
Dividends Received Deduction
The Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Interest Dividends
The Fund reports the maximum amount allowable as Section 163(j) Interest Dividends.
Other Information | 29 |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Funds’ Program. The Program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period October 2019 through September 2020. As reported to the Board, the Program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Fund’s website at www.ssga.com/geam, or (iii) on the SEC’s website at www.sec.gov. Information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Fund’s first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Fund’s schedules of investments are available upon request, without charge, by calling 1-800-242-0134.
30 | Other Information |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds In Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 65 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 – 2017); Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 – 2019, Independent Director, SSGA Qualified Funds PLC. | 65 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 65 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Director, Muscular Dystrophy Association (since 2019); Trustee of GE Funds (1993 – February 2011); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Director and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 65 | Director-Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
Other Information | 31 |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds In Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INDEPENDENT DIRECTORS (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Director and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 65 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Director and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 65 | None | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Director and Chairperson of the Valuation Committee | Term: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 65 | None |
32 | Other Information |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds In Fund Complex Overseen by Director† | Other Directorships Held by Director During Past Five Years | |||||||
INTERESTED DIRECTORS(1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Director and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 65 | Board Director, SSGA SPDR ETFs Europe I plc (May 2020 – present); Board Director, SSGA SPDR ETFs Europe II plc (May 2020 – present). | |||||||
Jeanne La Porta(3) c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Director | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – March 2020); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 –March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016). | 18 | None |
(1) | The individuals listed below are Directors who are “interested persons,” as defined in the 1940 Act, of the Company (“Interested Directors”). |
(2) | Ms. Needham and Ms. La Porta are Interested Directors because of their employment by SSGA FM, an affiliate of the Company. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Directors, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
Other Information | 33 |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
The following lists the principal officers for the Company, as well as their mailing addresses and ages, positions with the Company and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Director | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present); Senior Managing Director, State Street Global Advisors (1992 – present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 4/19 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors (April 2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Mutual Funds Controller at GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). |
34 | Other Information |
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State Street Total Return V.I.S. Fund
Other Information, continued — December 31, 2020 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Funds | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
David Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present).* | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Other Information | 35 |
Table of Contents
Directors
Michael F. Holland, Co-Chairperson
Patrick J. Riley, Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers
Ellen M. Needham, President
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Sean O’Malley, Chief Legal Officer
Bruce S. Rosenberg, Treasurer
Ann M. Carpenter, Vice President and Deputy Treasurer
Chad C. Hallett, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
David Lancaster, Assistant Treasurer
David Barr, Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
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Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Variable Insurance Series Funds, Inc. (the “Company,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Company’s Board of Directors (the “Board”) has determined that the Company has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Company’s principal accountant, for the audit of the Company’s annual financial statements or services normally provided by E&Y in connection with the Company’s statutory and regulatory filings and engagements were $190,678 and $195,570, respectively.
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(b) | Audit-Related Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Company’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $47,874 and $49,100, respectively.
(d) | All Other Fees |
For the fiscal years ended December 31, 2020 and December 31, 2019, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Company, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Company that (i) relate directly to the operations and financial reporting of the Company and (ii) were pre-approved by the Audit Committee were approximately $7,019,005 and $6,939,666, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Company’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Fund Entity’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to |
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permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2020 and December 31, 2019, the aggregate non-audit fees billed by E&Y for services rendered to the Company and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Company were approximately $36,534,447 and $35,152,927, respectively.
(h) | E&Y notified the Company’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Company, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Company’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | The Schedule of Investments for the State Street Total Return V.I.S. Fund is listed below. The Schedules of Investments for the State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund and a Summary Schedule of Investments for the State Street Total Return V.I.S. Fund are included as part of the report to shareholders filed under Item 1 of this Form N-CSR. |
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Domestic Equity – 35.8% † |
| |||||||
Common Stock – 35.8% |
| |||||||
Advertising – 0.1% |
| |||||||
The Interpublic Group of Companies Inc. | 60,400 | $ | 1,420,608 | |||||
Aerospace & Defense – 0.1% |
| |||||||
Kaman Corp. | 10,735 | 613,290 | ||||||
National Presto Industries Inc. | 2,590 | 229,034 | ||||||
Park Aerospace Corp. | 9,853 | 132,129 | ||||||
Vectrus Inc. | 5,715 | 284,150 | (a) | |||||
1,258,603 | ||||||||
Agricultural & Farm Machinery – 0.7% |
| |||||||
AGCO Corp. | 9,568 | 986,365 | ||||||
Deere & Co. | 43,952 | 11,825,286 | ||||||
12,811,651 | ||||||||
Agricultural Products – 0.3% |
| |||||||
Archer-Daniels-Midland Co. | 86,222 | 4,346,451 | ||||||
Ingredion Inc. | 10,408 | 818,797 | ||||||
5,165,248 | ||||||||
Air Freight & Logistics – 0.9% |
| |||||||
Atlas Air Worldwide Holdings Inc. | 12,840 | 700,294 | (a) | |||||
CH Robinson Worldwide Inc. | 20,656 | 1,938,979 | ||||||
Expeditors International of Washington Inc. | 26,266 | 2,498,159 | ||||||
FedEx Corp. | 37,673 | 9,780,664 | ||||||
Hub Group Inc., Class A | 9,451 | 538,707 | (a) | |||||
15,456,803 | ||||||||
Apparel Retail – 0.2% |
| |||||||
Citi Trends Inc. | 3,367 | 167,273 | ||||||
Foot Locker Inc. | 16,046 | 648,900 | ||||||
L Brands Inc. | 35,679 | 1,326,902 | ||||||
Shoe Carnival Inc. | 4,679 | 183,323 | ||||||
The Buckle Inc. | 14,459 | 422,203 | ||||||
The Gap Inc. | 28,404 | 573,477 | ||||||
3,322,078 | ||||||||
Apparel, Accessories & Luxury Goods – 0.0%* |
| |||||||
Lakeland Industries Inc. | 2,587 | 70,495 | (a) | |||||
Superior Group of Companies Inc. | 5,399 | 125,473 | ||||||
195,968 | ||||||||
Application Software – 1.1% |
| |||||||
American Software Inc., Class A | 14,997 | 257,498 | ||||||
Avaya Holdings Corp. | 9,160 | 175,414 | (a) | |||||
Bill.com Holdings Inc. | 8,571 | 1,169,942 | (a) | |||||
Cerence Inc. | 13,532 | 1,359,695 | (a) | |||||
Nuance Communications Inc. | 43,698 | 1,926,645 | (a) | |||||
SPS Commerce Inc. | 1,857 | 201,652 | (a) | |||||
Synopsys Inc. | 23,575 | 6,111,583 | (a) | |||||
Zoom Video Communications Inc. | 26,060 | 8,790,559 | (a) | |||||
19,992,988 | ||||||||
Asset Management & Custody Banks – 1.2% |
| |||||||
Artisan Partners Asset Management Inc., Class A | 14,916 | 750,871 | ||||||
BlackRock Inc. | 17,939 | 12,943,706 | ||||||
Brightsphere Investment Group Inc. | 30,700 | 591,896 | ||||||
Cohen & Steers Inc. | 12,193 | 905,940 | ||||||
Diamond Hill Investment Group Inc. | 1,477 | 220,472 | ||||||
Silvercrest Asset Management Group Inc., Class A | 4,805 | 66,741 | ||||||
T Rowe Price Group Inc. | 35,192 | 5,327,717 | ||||||
20,807,343 | ||||||||
Auto Parts & Equipment – 0.1% |
| |||||||
Gentex Corp. | 38,169 | 1,295,074 | ||||||
Automobile Manufacturers – 0.8% |
| |||||||
Ford Motor Co. | 606,969 | 5,335,257 |
Number of Shares | Fair Value | |||||||
General Motors Co. | 194,623 | $ | 8,104,102 | |||||
Thor Industries Inc. | 5,926 | 551,059 | ||||||
13,990,418 | ||||||||
Automotive Retail – 0.4% |
| |||||||
America’s Car-Mart Inc. | 1,313 | 144,220 | (a) | |||||
Asbury Automotive Group Inc. | 5,695 | 829,989 | (a) | |||||
AutoNation Inc. | 8,922 | 622,666 | (a) | |||||
Camping World Holdings Inc., Class A | 16,433 | 428,080 | ||||||
Group 1 Automotive Inc. | 8,689 | 1,139,476 | ||||||
Lithia Motors Inc., Class A | 12,394 | 3,627,352 | ||||||
Penske Automotive Group Inc. | 4,983 | 295,940 | ||||||
Sonic Automotive Inc., Class A | 11,706 | 451,500 | ||||||
7,539,223 | ||||||||
Biotechnology – 0.3% |
| |||||||
Adverum Biotechnologies Inc. | 20,632 | 223,651 | (a) | |||||
Arcturus Therapeutics Holdings Inc. | 2,304 | 99,947 | (a) | |||||
Bioxcel Therapeutics Inc. | 1,797 | 83,021 | (a) | |||||
Chinook Therapeutics Inc. | 6,653 | 105,517 | (a) | |||||
Cidara Therapeutics Inc. | 16,538 | 33,076 | (a) | |||||
Contra Aduro Biotech | 4,580 | 595 | ||||||
Fate Therapeutics Inc. | 15,206 | 1,382,682 | (a) | |||||
Fennec Pharmaceuticals Inc. | 10,845 | 80,795 | (a) | |||||
Five Prime Therapeutics Inc. | 8,500 | 144,585 | (a) | |||||
Fortress Biotech Inc. | 32,158 | 101,941 | (a) | |||||
Genprex Inc. | 14,500 | 60,175 | (a) | |||||
Inovio Pharmaceuticals Inc. | 4,314 | 38,179 | (a) | |||||
Kodiak Sciences Inc. | 4,824 | 708,694 | (a) | |||||
Mersana Therapeutics Inc. | 26,674 | 709,795 | (a) | |||||
NantKwest Inc. | 15,773 | 210,254 | (a) | |||||
Novavax Inc. | 600 | 66,906 | (a) | |||||
OPKO Health Inc. | 17,000 | 67,150 | (a) | |||||
Syndax Pharmaceuticals Inc. | 12,996 | 289,031 | (a) | |||||
United Therapeutics Corp. | 6,773 | 1,028,074 | (a) | |||||
Vaxart Inc. | 26,245 | 149,859 | (a) | |||||
VBI Vaccines Inc. | 90,093 | 247,756 | (a) | |||||
5,831,683 | ||||||||
Brewers – 0.1% |
| |||||||
The Boston Beer Company Inc., Class A | 1,395 | 1,387,035 | (a) | |||||
Broadcasting – 0.0%* |
| |||||||
Media General Inc. | 2,076 | 208 | ||||||
Building Products – 0.2% |
| |||||||
AAON Inc. | 13,156 | 876,584 | ||||||
AO Smith Corp. | 20,630 | 1,130,937 | ||||||
Fortune Brands Home & Security Inc. | 21,454 | 1,839,037 | ||||||
3,846,558 | ||||||||
Casinos & Gaming – 0.1% |
| |||||||
Bally’s Corp. | 6,600 | 331,518 | ||||||
Monarch Casino & Resort Inc. | 6,294 | 385,318 | (a) | |||||
Penn National Gaming Inc. | 8,267 | 714,021 | (a) | |||||
1,430,857 | ||||||||
Commercial Printing – 0.0%* |
| |||||||
Ennis Inc. | 12,777 | 228,069 | ||||||
Commodity Chemicals – 0.0%* |
| |||||||
Hawkins Inc. | 4,280 | 223,887 | ||||||
Olin Corp. | 22,125 | 543,390 | ||||||
767,277 | ||||||||
Communications Equipment – 0.1% |
| |||||||
Calix Inc. | 14,809 | 440,716 | (a) | |||||
Cambium Networks Corp. | 2,800 | 70,224 | (a) | |||||
Digi International Inc. | 13,637 | 257,739 | (a) | |||||
Genasys Inc. | 16,659 | 108,617 | (a) | |||||
Ribbon Communications Inc. | 10,100 | 66,256 | (a) | |||||
943,552 | ||||||||
Computer & Electronics Retail – 0.2% |
| |||||||
Best Buy Company Inc. | 35,494 | 3,541,946 | ||||||
GameStop Corp., Class A | 25,300 | 476,652 | (a) | |||||
4,018,598 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Construction & Engineering – 0.2% |
| |||||||
Ameresco Inc., Class A | 4,800 | $ | 250,752 | (a) | ||||
Argan Inc. | 7,374 | 328,069 | ||||||
Construction Partners Inc., Class A | 10,285 | 299,396 | (a) | |||||
HC2 Holdings Inc. | 27,971 | 91,186 | (a) | |||||
IES Holdings Inc. | 3,220 | 148,249 | (a) | |||||
MYR Group Inc. | 6,081 | 365,468 | (a) | |||||
Northwest Pipe Co. | 2,297 | 65,005 | (a) | |||||
Quanta Services Inc. | 21,248 | 1,530,281 | ||||||
Tutor Perini Corp. | 1,700 | 22,015 | (a) | |||||
3,100,421 | ||||||||
Construction Machinery & Heavy Trucks – 0.3% |
| |||||||
Cummins Inc. | 22,966 | 5,215,579 | ||||||
Miller Industries Inc. | 5,570 | 211,771 | ||||||
The Shyft Group Inc. | 14,263 | 404,784 | ||||||
5,832,134 | ||||||||
Construction Materials – 0.0%* |
| |||||||
Forterra Inc. | 10,819 | 186,033 | (a) | |||||
U.S. Lime & Minerals Inc. | 980 | 111,720 | ||||||
297,753 | ||||||||
Consumer Electronics – 0.2% |
| |||||||
Garmin Ltd. | 21,644 | 2,589,921 | ||||||
VOXX International Corp. | 9,943 | 126,873 | (a) | |||||
2,716,794 | ||||||||
Consumer Finance – 0.0%* |
| |||||||
Green Dot Corp., Class A | 11,900 | 664,020 | (a) | |||||
Data Processing & Outsourced Services – 0.4% |
| |||||||
Black Knight Inc. | 23,521 | 2,078,080 | (a) | |||||
Concentrix Corp. | 6,475 | 639,083 | (a) | |||||
Jack Henry & Associates Inc. | 11,899 | 1,927,519 | ||||||
MoneyGram International Inc. | 31,000 | 169,415 | (a) | |||||
NIC Inc. | 32,945 | 850,969 | ||||||
Sykes Enterprises Inc. | 19,132 | 720,703 | (a) | |||||
TTEC Holdings Inc. | 6,700 | 488,631 | ||||||
6,874,400 | ||||||||
Distributors – 0.1% |
| |||||||
Pool Corp. | 6,062 | 2,258,095 | ||||||
Weyco Group Inc. | 2,927 | 46,364 | ||||||
2,304,459 | ||||||||
Diversified Chemicals – 0.1% |
| |||||||
Eastman Chemical Co. | 21,129 | 2,118,816 | ||||||
Diversified REITs – 0.1% |
| |||||||
One Liberty Properties Inc. | 7,985 | 160,259 | ||||||
PS Business Parks Inc. | 6,894 | 916,006 | ||||||
1,076,265 | ||||||||
Diversified Support Services – 0.1% |
| |||||||
McGrath RentCorp. | 10,629 | 713,206 | ||||||
UniFirst Corp. | 7,522 | 1,592,332 | ||||||
2,305,538 | ||||||||
Electric Utilities – 1.6% |
| |||||||
Avangrid Inc. | 8,830 | 401,324 | ||||||
Duke Energy Corp. | 114,414 | 10,475,746 | ||||||
Eversource Energy | 53,437 | 4,622,835 | ||||||
NextEra Energy Inc. | 94,740 | 7,309,191 | ||||||
Pinnacle West Capital Corp. | 17,538 | 1,402,163 | ||||||
Xcel Energy Inc. | 81,844 | 5,456,539 | ||||||
29,667,798 | ||||||||
Electrical Components & Equipment – 0.6% |
| |||||||
Eaton Corporation PLC | 62,327 | 7,487,966 | ||||||
Encore Wire Corp. | 1,928 | 116,779 | ||||||
Generac Holdings Inc. | 9,462 | 2,151,753 | (a) | |||||
LSI Industries Inc. | 12,844 | 109,944 | ||||||
Preformed Line Products Co. | 1,463 | 100,128 | ||||||
Regal Beloit Corp. | 6,279 | 771,124 | ||||||
10,737,694 | ||||||||
Electronic Components – 0.3% |
| |||||||
Corning Inc. | 116,706 | 4,201,416 |
Number of Shares | Fair Value | |||||||
Dolby Laboratories Inc., Class A | 9,767 | $ | 948,669 | |||||
Vishay Intertechnology Inc. | 14,955 | 309,718 | ||||||
5,459,803 | ||||||||
Electronic Equipment & Instruments – 0.1% |
| |||||||
Badger Meter Inc. | 14,584 | 1,371,771 | ||||||
Vontier Corp. | 18,537 | 619,136 | (a) | |||||
1,990,907 | ||||||||
Electronic Manufacturing Services – 0.1% |
| |||||||
Kimball Electronics Inc. | 12,080 | 193,159 | (a) | |||||
Plexus Corp. | 14,336 | 1,121,218 | (a) | |||||
Sanmina Corp. | 12,721 | 405,673 | (a) | |||||
1,720,050 | ||||||||
Environmental & Facilities Services – 0.3% |
| |||||||
ABM Industries Inc. | 16,901 | 639,534 | ||||||
PICO Holdings Inc. | 8,355 | 78,119 | (a) | |||||
Republic Services Inc. | 32,684 | 3,147,469 | ||||||
Rollins Inc. | 34,544 | 1,349,634 | ||||||
5,214,756 | ||||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
AgroFresh Solutions Inc. | 14,864 | 33,741 | (a) | |||||
The Scotts Miracle-Gro Co. | 6,253 | 1,245,223 | ||||||
1,278,964 | ||||||||
Financial Exchanges & Data – 0.1% |
| |||||||
Nasdaq Inc. | 17,794 | 2,361,976 | ||||||
Food Distributors – 0.0%* |
| |||||||
SpartanNash Co. | 17,761 | 309,219 | ||||||
United Natural Foods Inc. | 27,305 | 436,061 | (a) | |||||
745,280 | ||||||||
Food Retail – 0.3% |
| |||||||
Casey’s General Stores Inc. | 5,732 | 1,023,850 | ||||||
Ingles Markets Inc., Class A | 5,693 | 242,863 | ||||||
Sprouts Farmers Market Inc. | 18,364 | 369,117 | (a) | |||||
The Kroger Co. | 120,525 | 3,827,874 | ||||||
Village Super Market Inc., Class A | 4,336 | 95,652 | ||||||
Weis Markets Inc. | 4,783 | 228,675 | ||||||
5,788,031 | ||||||||
General Merchandise Stores – 0.8% |
| |||||||
Big Lots Inc. | 10,778 | 462,700 | ||||||
Target Corp. | 77,855 | 13,743,743 | ||||||
14,206,443 | ||||||||
Health Care REITs – 0.1% |
| |||||||
Community Healthcare Trust Inc. | 9,228 | 434,731 | ||||||
LTC Properties Inc. | 15,195 | 591,238 | ||||||
National Health Investors Inc. | 18,713 | 1,294,378 | ||||||
2,320,347 | ||||||||
Healthcare Distributors – 0.5% |
| |||||||
AdaptHealth Corp. | 12,500 | 469,500 | (a) | |||||
AmerisourceBergen Corp. | 22,672 | 2,216,415 | ||||||
Covetrus Inc. | 13,500 | 387,990 | (a) | |||||
McKesson Corp. | 25,143 | 4,372,871 | ||||||
Owens & Minor Inc. | 36,287 | 981,563 | ||||||
Patterson Companies Inc. | 42,442 | 1,257,556 | ||||||
9,685,895 | ||||||||
Healthcare Equipment – 1.1% |
| |||||||
Danaher Corp. | 70,218 | 15,598,227 | ||||||
Electromed Inc. | 2,400 | 23,544 | (a) | |||||
FONAR Corp. | 3,016 | 52,358 | (a) | |||||
Invacare Corp. | 16,852 | 150,825 | ||||||
Masimo Corp. | 7,617 | 2,044,250 | (a) | |||||
STERIS PLC | 13,033 | 2,470,275 | ||||||
Zynex Inc. | 9,307 | 125,272 | (a) | |||||
20,464,751 | ||||||||
Healthcare Facilities – 0.2% |
| |||||||
Community Health Systems Inc. | 42,634 | 316,771 | (a) | |||||
Five Star Senior Living Inc. | 9,487 | 65,460 | (a) | |||||
National HealthCare Corp. | 6,257 | 415,527 | ||||||
Select Medical Holdings Corp. | 35,480 | 981,377 | (a) | |||||
Surgery Partners Inc. | 11,286 | 327,407 | (a) |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Tenet Healthcare Corp. | 16,213 | $ | 647,385 | (a) | ||||
The Ensign Group Inc. | 6,187 | 451,156 | ||||||
3,205,083 | ||||||||
Healthcare Services – 0.2% |
| |||||||
Addus HomeCare Corp. | 5,862 | 686,381 | (a) | |||||
CorVel Corp. | 4,355 | 461,630 | (a) | |||||
DaVita Inc. | 11,852 | 1,391,425 | (a) | |||||
Fulgent Genetics Inc. | 6,796 | 354,072 | (a) | |||||
InfuSystem Holdings Inc. | 7,316 | 137,394 | (a) | |||||
Sharps Compliance Corp. | 7,156 | 67,624 | (a) | |||||
The Providence Service Corp. | 6,092 | 844,534 | (a) | |||||
Viemed Healthcare Inc. | 17,460 | 135,490 | (a) | |||||
4,078,550 | ||||||||
Healthcare Supplies – 0.2% |
| |||||||
Atrion Corp. | 682 | 438,008 | ||||||
Meridian Bioscience Inc. | 21,170 | 395,667 | (a) | |||||
Retractable Technologies Inc. | 6,671 | 71,647 | (a) | |||||
Utah Medical Products Inc. | 1,731 | 145,923 | ||||||
West Pharmaceutical Services Inc. | 11,420 | 3,235,400 | ||||||
4,286,645 | ||||||||
Healthcare Technology – 0.1% |
| |||||||
Computer Programs and Systems Inc. | 6,469 | 173,628 | ||||||
Evolent Health Inc. Class A | 22,260 | 356,828 | (a) | |||||
NantHealth Inc. | 9,200 | 29,716 | (a) | |||||
Simulations Plus Inc. | 6,916 | 497,398 | ||||||
1,057,570 | ||||||||
Heavy Electrical Equipment – 0.1% |
| |||||||
Bloom Energy Corp. | 44,385 | 1,272,074 | (a) | |||||
Home Building – 0.7% |
| |||||||
Beazer Homes USA Inc. | 14,271 | 216,206 | (a) | |||||
Century Communities Inc. | 14,630 | 640,501 | (a) | |||||
D.R. Horton Inc. | 51,378 | 3,540,972 | ||||||
Green Brick Partners Inc. | 11,900 | 273,224 | (a) | |||||
Lennar Corp., Class A | 42,111 | 3,210,121 | ||||||
M/I Homes Inc. | 13,974 | 618,908 | (a) | |||||
MDC Holdings Inc. | 25,973 | 1,262,288 | ||||||
Meritage Homes Corp. | 8,584 | 710,927 | (a) | |||||
Toll Brothers Inc. | 18,009 | 782,851 | ||||||
TopBuild Corp. | 8,158 | 1,501,725 | (a) | |||||
TRI Pointe Group Inc. | 27,800 | 479,550 | (a) | |||||
13,237,273 | ||||||||
Home Furnishing Retail – 0.1% |
| |||||||
Bed Bath & Beyond Inc. | 17,324 | 307,674 | ||||||
Haverty Furniture Companies Inc. | 8,193 | 226,700 | ||||||
Williams-Sonoma Inc. | 11,896 | 1,211,489 | ||||||
1,745,863 | ||||||||
Home Furnishings – 0.0%* |
| |||||||
Ethan Allen Interiors Inc. | 3,310 | 66,895 | ||||||
Household Appliances – 0.1% |
| |||||||
Whirlpool Corp. | 9,468 | 1,708,879 | ||||||
Household Products – 0.5% |
| |||||||
The Clorox Co. | 19,627 | 3,963,084 | ||||||
The Procter & Gamble Co. | 40,158 | 5,587,584 | ||||||
9,550,668 | ||||||||
Housewares & Specialties – 0.0%* |
| |||||||
Lifetime Brands Inc. | 6,072 | 92,294 | ||||||
Human Resource & Employment Services – 0.1% |
| |||||||
GP Strategies Corp. | 5,601 | 66,428 | (a) | |||||
Kelly Services Inc., Class A | 16,858 | 346,769 | ||||||
ManpowerGroup Inc. | 9,029 | 814,235 | ||||||
1,227,432 | ||||||||
Hypermarkets & Super Centers – 1.7% |
| |||||||
Costco Wholesale Corp. | 41,998 | 15,824,007 | ||||||
Walmart Inc. | 96,574 | 13,921,142 | ||||||
29,745,149 | ||||||||
Independent Power Producers & Energy Traders – 0.1% |
| |||||||
Clearway Energy Inc. | 17,400 | 514,170 | ||||||
Clearway Energy Inc. | 41,000 | 1,309,130 | ||||||
1,823,300 |
Number of Shares | Fair Value | |||||||
Industrial Machinery – 0.3% |
| |||||||
Graco Inc. | 25,713 | $ | 1,860,336 | |||||
Hurco Companies Inc. | 3,162 | 94,860 | ||||||
Hyster-Yale Materials Handling Inc. | 2,060 | 122,673 | ||||||
Mueller Industries Inc. | 19,994 | 701,989 | ||||||
Omega Flex Inc. | 1,326 | 193,596 | ||||||
Snap-on Inc. | 8,343 | 1,427,821 | ||||||
The Eastern Co. | 2,351 | 56,659 | ||||||
The Gorman-Rupp Co. | 8,758 | 284,197 | ||||||
4,742,131 | ||||||||
Industrial REITs – 0.2% |
| |||||||
Duke Realty Corp. | 57,260 | 2,288,682 | ||||||
Industrial Logistics Properties Trust | 32,520 | 757,391 | ||||||
3,046,073 | ||||||||
Insurance Brokers – 0.0%* |
| |||||||
Goosehead Insurance Inc., Class A | 5,560 | 693,666 | ||||||
Integrated Telecommunication Services – 0.7% |
| |||||||
Consolidated Communications Holdings Inc. | 36,423 | 178,108 | (a) | |||||
Verizon Communications Inc. | 217,266 | 12,764,378 | ||||||
12,942,486 | ||||||||
Interactive Media & Services – 0.1% |
| |||||||
Pinterest Inc. | 31,394 | 2,068,865 | (a) | |||||
Internet & Direct Marketing Retail – 0.6% |
| |||||||
1-800-Flowers.com Inc., Class A | 12,661 | 329,186 | (a) | |||||
Amazon.com Inc. | 2,953 | 9,617,714 | (a) | |||||
CarParts.com Inc. | 12,418 | 153,859 | (a) | |||||
Overstock.com Inc. | 4,800 | 230,256 | (a) | |||||
PetMed Express Inc. | 9,747 | 312,489 | ||||||
Qurate Retail Inc. | 59,250 | 649,973 | ||||||
11,293,477 | ||||||||
Internet Services & Infrastructure – 0.1% |
| |||||||
Fastly Inc. | 12,208 | 1,066,613 | (a) | |||||
Investment Banking & Brokerage – 0.2% |
| |||||||
Cowen Inc., Class A | 12,791 | 332,438 | ||||||
Evercore Inc., Class A | 6,179 | 677,466 | ||||||
Houlihan Lokey Inc. | 17,824 | 1,198,307 | ||||||
Moelis & Co., Class A | 15,757 | 736,797 | ||||||
Oppenheimer Holdings Inc., Class A | 2,424 | 76,186 | ||||||
Stonex Group Inc. | 8,204 | 475,012 | (a) | |||||
3,496,206 | ||||||||
IT Consulting & Other Services – 0.7% |
| |||||||
Amdocs Ltd. | 20,426 | 1,448,816 | ||||||
Cognizant Technology Solutions Corp., Class A | 83,219 | 6,819,797 | ||||||
EPAM Systems Inc. | 8,272 | 2,964,271 | (a) | |||||
ManTech International Corp., Class A | 13,601 | 1,209,673 | ||||||
Perficient Inc. | 14,440 | 688,066 | (a) | |||||
ServiceSource International Inc. | 40,847 | 71,891 | (a) | |||||
13,202,514 | ||||||||
Leisure Facilities – 0.0%* |
| |||||||
RCI Hospitality Holdings Inc. | 4,257 | 167,896 | ||||||
Leisure Products – 0.2% |
| |||||||
Escalade Inc. | 5,195 | 109,978 | ||||||
Johnson Outdoors Inc., Class A | 2,440 | 274,817 | ||||||
MasterCraft Boat Holdings Inc. | 4,783 | 118,810 | (a) | |||||
Nautilus Inc. | 15,015 | 272,372 | (a) | |||||
Peloton Interactive Inc. | 10,963 | 1,663,306 | (a) | |||||
Smith & Wesson Brands Inc. | 27,686 | 491,427 | ||||||
Sturm Ruger & Company Inc. | 8,387 | 545,742 | ||||||
Vista Outdoor Inc. | 29,208 | 693,982 | (a) | |||||
4,170,434 | ||||||||
Life & Health Insurance – 0.1% |
| |||||||
Athene Holding Ltd., Class A | 17,740 | 765,304 | (a) | |||||
Brighthouse Financial Inc. | 13,925 | 504,155 | (a) | |||||
FBL Financial Group Inc., Class A | 2,197 | 115,364 | ||||||
Independence Holding Co. | 2,348 | 96,268 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
National Western Life Group Inc., Class A | 1,155 | $ | 238,438 | |||||
Prudential Financial Inc. | 3,588 | 280,115 | ||||||
1,999,644 | ||||||||
Life Sciences Tools & Services – 0.3% |
| |||||||
Bio-Rad Laboratories Inc., Class A | 3,282 | 1,913,209 | (a) | |||||
Charles River Laboratories International Inc. | 7,574 | 1,892,439 | (a) | |||||
Luminex Corp. | 2,431 | 56,205 | ||||||
Medpace Holdings Inc. | 11,360 | 1,581,312 | (a) | |||||
Personalis Inc. | 4,700 | 172,067 | (a) | |||||
5,615,232 | ||||||||
Managed Healthcare – 0.1% |
| |||||||
Molina Healthcare Inc. | 9,169 | 1,950,063 | (a) | |||||
Metal & Glass Containers – 0.3% |
| |||||||
AptarGroup Inc. | 10,001 | 1,369,037 | ||||||
Berry Global Group Inc. | 20,630 | 1,159,200 | (a) | |||||
Crown Holdings Inc. | 20,153 | 2,019,330 | (a) | |||||
Greif Inc., Class A | 4,469 | 209,507 | ||||||
Greif Inc., Class B | 2,484 | 120,176 | ||||||
Silgan Holdings Inc. | 12,239 | 453,822 | ||||||
5,331,072 | ||||||||
Mortgage REITs – 0.1% |
| |||||||
AGNC Investment Corp. | 84,840 | 1,323,504 | ||||||
Ares Commercial Real Estate Corp. | 15,186 | 180,865 | ||||||
Capstead Mortgage Corp. | 19,791 | 114,986 | ||||||
Cherry Hill Mortgage Investment Corp. | 7,602 | 69,482 | ||||||
Dynex Capital Inc. | 11,051 | 196,708 | ||||||
Ellington Residential Mortgage REIT | 4,460 | 58,158 | ||||||
KKR Real Estate Finance Trust Inc. | 14,286 | 256,005 | ||||||
Orchid Island Capital Inc. | 34,792 | 181,614 | ||||||
Ready Capital Corp. | 277 | 3,449 | ||||||
2,384,771 | ||||||||
Multi-Line Insurance – 0.1% |
| |||||||
Assurant Inc. | 9,151 | 1,246,549 | ||||||
Multi-Sector Holdings – 1.2% |
| |||||||
Berkshire Hathaway Inc., Class B | 89,249 | 20,694,166 | (a) | |||||
Cannae Holdings Inc. | 2,861 | 126,656 | (a) | |||||
Jefferies Financial Group Inc. | 33,487 | 823,780 | ||||||
21,644,602 | ||||||||
Multi-Utilities – 0.4% |
| |||||||
Ameren Corp. | 38,353 | 2,993,835 | ||||||
WEC Energy Group Inc. | 40,814 | 3,756,113 | ||||||
6,749,948 | ||||||||
Office REITs – 0.1% |
| |||||||
Easterly Government Properties Inc. | 40,810 | 924,346 | ||||||
Equity Commonwealth | 18,150 | 495,132 | ||||||
1,419,478 | ||||||||
Office Services & Supplies – 0.0%* |
| |||||||
Pitney Bowes Inc. | 70,200 | 432,432 | ||||||
Oil & Gas Exploration & Production – 0.0%* |
| |||||||
EQT Corp. | 42,749 | 543,340 | ||||||
Oil & Gas Refining & Marketing – 0.1% |
| |||||||
Green Plains Inc. | 17,058 | 224,654 | (a) | |||||
Renewable Energy Group Inc. | 19,088 | 1,351,812 | (a) | |||||
REX American Resources Corp. | 2,814 | 206,745 | (a) | |||||
1,783,211 | ||||||||
Oil & Gas Storage & Transportation – 0.0%* |
| |||||||
DHT Holdings Inc. | 45,728 | 239,157 | ||||||
Other Diversified Financial Services – 0.0%* |
| |||||||
Alerus Financial Corp. | 7,401 | 202,565 | ||||||
Packaged Foods & Meats – 0.6% |
| |||||||
B&G Foods Inc. | 1,869 | 51,827 | ||||||
General Mills Inc. | 94,512 | 5,557,306 | ||||||
Hormel Foods Corp. | 43,453 | 2,025,344 | ||||||
Lancaster Colony Corp. | 6,586 | 1,210,046 | ||||||
Seneca Foods Corp., Class A | 3,214 | 128,239 | (a) |
Number of Shares | Fair Value | |||||||
The JM Smucker Co. | 17,129 | $ | 1,980,112 | |||||
Tootsie Roll Industries Inc. | 7,930 | 235,521 | ||||||
11,188,395 | ||||||||
Paper Packaging – 0.3% |
| |||||||
International Paper Co. | 61,193 | 3,042,516 | ||||||
Packaging Corporation of America | 14,551 | 2,006,729 | ||||||
UFP Technologies Inc. | 3,407 | 158,766 | (a) | |||||
5,208,011 | ||||||||
Paper Products – 0.1% |
| |||||||
Clearwater Paper Corp. | 8,079 | 304,982 | (a) | |||||
Schweitzer-Mauduit International Inc. | 15,529 | 624,421 | ||||||
929,403 | ||||||||
Personal Products – 0.0%* |
| |||||||
Nu Skin Enterprises Inc., Class A | 7,873 | 430,102 | ||||||
Pharmaceuticals – 0.9% |
| |||||||
Cymabay Therapeutics Inc. | 34,600 | 198,604 | (a) | |||||
Johnson & Johnson | 94,775 | 14,915,689 | ||||||
Prestige Consumer Healthcare Inc. | 25,219 | 879,387 | (a) | |||||
Revance Therapeutics Inc. | 21,834 | 618,776 | (a) | |||||
16,612,456 | ||||||||
Property & Casualty Insurance – 2.1% |
| |||||||
AMERISAFE Inc. | 9,538 | 547,767 | ||||||
Chubb Ltd. | 60,291 | 9,279,991 | ||||||
Donegal Group Inc., Class A | 5,629 | 79,200 | ||||||
Employers Holdings Inc. | 9,480 | 305,161 | ||||||
Erie Indemnity Co., Class A | 3,887 | 954,647 | ||||||
James River Group Holdings Ltd. | 1,578 | 77,559 | ||||||
Kinsale Capital Group Inc. | 10,461 | 2,093,560 | ||||||
NI Holdings Inc. | 4,488 | 73,693 | (a) | |||||
Old Republic International Corp. | 44,027 | 867,772 | ||||||
Palomar Holdings Inc. | 10,130 | 899,949 | (a) | |||||
Protective Insurance Corp., Class B | 4,437 | 60,831 | ||||||
Safety Insurance Group Inc. | 7,186 | 559,789 | ||||||
The Allstate Corp. | 47,249 | 5,194,083 | ||||||
The Progressive Corp. | 91,092 | 9,007,177 | ||||||
The Travelers Companies Inc. | 39,367 | 5,525,946 | ||||||
Tiptree Inc. | 12,205 | 61,269 | ||||||
WR Berkley Corp. | 21,637 | 1,437,130 | ||||||
37,025,524 | ||||||||
Publishing – 0.1% |
| |||||||
News Corp., Class A | 60,296 | 1,083,519 | ||||||
News Corp., Class B | 18,836 | 334,716 | ||||||
1,418,235 | ||||||||
Real Estate Operating Companies – 0.0%* |
| |||||||
Indus Realty Trust Inc. | 1,006 | 62,875 | ||||||
Real Estate Services – 0.0%* |
| |||||||
Realogy Holdings Corp. | 57,349 | 752,419 | (a) | |||||
Regional Banks – 0.4% |
| |||||||
1st Constitution Bancorp | 4,538 | 72,018 | ||||||
ACNB Corp. | 2,938 | 73,450 | ||||||
American National Bankshares Inc. | 1,088 | 28,516 | ||||||
Ames National Corp. | 4,368 | 104,919 | ||||||
Arrow Financial Corp. | 6,619 | 197,974 | ||||||
Auburn National Bancorp. Inc. | 500 | 20,845 | ||||||
Bank First Corp. | 721 | 46,735 | ||||||
Bank of Marin Bancorp | 3,475 | 119,331 | ||||||
Cambridge Bancorp | 2,421 | 168,865 | ||||||
CB Financial Services Inc. | 2,447 | 48,964 | ||||||
ChoiceOne Financial Services Inc. | 3,620 | 111,532 | ||||||
Citizens & Northern Corp. | 6,699 | 132,908 | ||||||
City Holding Co. | 5,481 | 381,204 | ||||||
Community Trust Bancorp Inc. | 6,317 | 234,045 | ||||||
County Bancorp Inc. | 2,447 | 54,030 | ||||||
Eagle Bancorp Montana Inc. | 3,018 | 64,042 | ||||||
Evans Bancorp Inc. | 2,430 | 66,922 | ||||||
Fidelity D&D Bancorp Inc. | 1,528 | 98,342 | ||||||
Financial Institutions Inc. | 5,177 | 116,483 | ||||||
First Business Financial Services Inc. | 1,500 | 27,615 | ||||||
First Capital Inc. | 1,660 | 100,530 | ||||||
First Community Bancshares Inc. | 7,939 | 171,324 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
First Financial Corp. | 6,015 | $ | 233,683 | |||||
First Internet Bancorp | 4,778 | 137,320 | ||||||
First Mid Bancshares Inc. | 6,466 | 217,646 | ||||||
First Northwest Bancorp | 2,000 | 31,200 | ||||||
Franklin Financial Services Corp. | 2,125 | 57,439 | ||||||
Guaranty Bancshares Inc. | 3,537 | 105,933 | ||||||
Hawthorn Bancshares Inc. | 2,699 | 59,108 | ||||||
HBT Financial Inc. | 4,927 | 74,644 | ||||||
Landmark Bancorporation Inc. | 1,967 | 44,946 | ||||||
LCNB Corp. | 4,454 | 65,429 | ||||||
Level One Bancorp Inc. | 1,339 | 27,088 | ||||||
Live Oak Bancshares Inc. | 14,200 | 673,932 | ||||||
Mackinac Financial Corp. | 2,100 | 26,796 | ||||||
Mid Penn Bancorp Inc. | 390 | 8,541 | ||||||
Middlefield Banc Corp. | 2,161 | 48,623 | ||||||
National Bankshares Inc. | 3,235 | 101,288 | ||||||
Nicolet Bankshares Inc. | 4,514 | 299,504 | (a) | |||||
Northrim BanCorp Inc. | 3,067 | 104,125 | ||||||
Norwood Financial Corp. | 2,895 | 75,762 | ||||||
Oak Valley Bancorp | 2,990 | 49,694 | ||||||
Ohio Valley Banc Corp. | 1,912 | 45,123 | ||||||
Orrstown Financial Services Inc. | 1,744 | 28,863 | ||||||
Park National Corp. | 5,515 | 579,130 | ||||||
Parke Bancorp Inc. | 4,694 | 73,226 | ||||||
PCB Bancorp | 1,900 | 19,209 | ||||||
Penns Woods Bancorp Inc. | 2,186 | 56,858 | ||||||
Peoples Bancorp of North Carolina Inc. | 1,500 | 34,530 | ||||||
Premier Financial Bancorp Inc. | 6,559 | 87,169 | ||||||
Republic Bancorp Inc., Class A | 2,675 | 96,487 | ||||||
Select Bancorp Inc. | 3,457 | 32,738 | (a) | |||||
Shore Bancshares Inc. | 5,924 | 86,490 | ||||||
Silvergate Capital Corp. | 7,800 | 579,618 | (a) | |||||
Stock Yards Bancorp Inc. | 8,789 | 355,779 | ||||||
The Bancorp Inc. | 12,783 | 174,488 | (a) | |||||
The Community Financial Corp. | 1,100 | 29,128 | ||||||
7,162,131 | ||||||||
Renewable Electricity – 0.1% |
| |||||||
Sunnova Energy International Inc. | 26,531 | 1,197,344 | (a) | |||||
Research & Consulting Services – 0.2% |
| |||||||
CBIZ Inc. | 25,528 | 679,300 | (a) | |||||
CRA International Inc. | 3,793 | 193,177 | ||||||
Exponent Inc. | 25,699 | 2,313,681 | ||||||
Resources Connection Inc. | 13,329 | 167,546 | ||||||
3,353,704 | ||||||||
Residential REITs – 0.0%* |
| |||||||
Bluerock Residential Growth REIT Inc. | 10,105 | 128,030 | ||||||
BRT Apartments Corp. | 4,137 | 62,883 | ||||||
190,913 | ||||||||
Restaurants – 0.0%* |
| |||||||
El Pollo Loco Holdings Inc. | 9,329 | 168,855 | (a) | |||||
The Cheesecake Factory Inc. | 3,484 | 129,117 | ||||||
Wingstop Inc. | 1,252 | 165,953 | ||||||
463,925 | ||||||||
Retail REITs – 0.0%* |
| |||||||
Getty Realty Corp. | 17,440 | 480,298 | ||||||
Semiconductor Equipment – 0.6% |
| |||||||
Amkor Technology Inc. | 49,896 | 752,432 | ||||||
AXT Inc. | 19,800 | 189,486 | (a) | |||||
Entegris Inc. | 20,830 | 2,001,763 | ||||||
Lam Research Corp. | 9,342 | 4,411,946 | ||||||
Teradyne Inc. | 25,736 | 3,085,489 | ||||||
Ultra Clean Holdings Inc. | 20,109 | 626,395 | (a) | |||||
11,067,511 | ||||||||
Semiconductors – 0.5% |
| |||||||
Alpha & Omega Semiconductor Ltd. | 9,045 | 213,824 | (a) | |||||
Diodes Inc. | 21,126 | 1,489,383 | (a) | |||||
DSP Group Inc. | 3,313 | 54,963 | (a) | |||||
Monolithic Power Systems Inc. | 6,777 | 2,481,941 | ||||||
SiTime Corp. | 4,600 | 514,878 | (a) |
Number of Shares | Fair Value | |||||||
Skyworks Solutions Inc. | 20,072 | $ | 3,068,607 | |||||
SunPower Corp. | 16,700 | 428,188 | (a) | |||||
8,251,784 | ||||||||
Specialized Finance – 0.0%* |
| |||||||
A-Mark Precious Metals Inc. | 2,435 | 62,458 | ||||||
NewStar Financial Inc. | 492 | 42 | ||||||
62,500 | ||||||||
Specialized REITs – 0.3% |
| |||||||
Farmland Partners Inc. | 12,812 | 111,464 | ||||||
Gladstone Land Corp. | 10,705 | 156,721 | ||||||
Public Storage | 23,421 | 5,408,612 | ||||||
5,676,797 | ||||||||
Specialty Chemicals – 0.1% |
| |||||||
Albemarle Corp. | 16,444 | 2,425,819 | ||||||
FutureFuel Corp. | 12,890 | 163,703 | ||||||
2,589,522 | ||||||||
Specialty Stores – 0.3% |
| |||||||
Dick’s Sporting Goods Inc. | 9,582 | 538,604 | ||||||
Hibbett Sports Inc. | 8,203 | 378,815 | (a) | |||||
MarineMax Inc. | 10,285 | 360,284 | (a) | |||||
Signet Jewelers Ltd. | 15,900 | 433,593 | ||||||
Sportsman’s Warehouse Holdings Inc. | 21,370 | 375,043 | (a) | |||||
The Container Store Group Inc. | 9,800 | 93,492 | (a) | |||||
Tractor Supply Co. | 17,984 | 2,528,191 | ||||||
4,708,022 | ||||||||
Steel – 0.1% |
| |||||||
Reliance Steel & Aluminum Co. | 9,824 | 1,176,424 | ||||||
Warrior Met Coal Inc. | 22,701 | 483,985 | ||||||
1,660,409 | ||||||||
Systems Software – 0.9% |
| |||||||
Microsoft Corp. | 67,406 | 14,992,442 | ||||||
Nortonlifelock Inc. | 85,455 | 1,775,755 | ||||||
16,768,197 | ||||||||
Technology Distributors – 0.2% |
| |||||||
Arrow Electronics Inc. | 11,684 | 1,136,853 | (a) | |||||
Insight Enterprises Inc. | 17,310 | 1,317,118 | (a) | |||||
PC Connection Inc. | 5,502 | 260,190 | ||||||
SYNNEX Corp. | 6,433 | 523,903 | ||||||
3,238,064 | ||||||||
Technology Hardware, Storage & Peripherals – 1.8% |
| |||||||
Apple Inc. | 247,879 | 32,891,064 | (b) | |||||
Thrifts & Mortgage Finance – 0.2% |
| |||||||
Capitol Federal Financial Inc. | 65,199 | 814,988 | ||||||
ESSA Bancorp Inc. | 4,542 | 68,130 | ||||||
FS Bancorp Inc. | 1,868 | 102,366 | ||||||
Luther Burbank Corp. | 9,168 | 89,846 | ||||||
Merchants Bancorp | 4,340 | 119,914 | ||||||
MMA Capital Holdings Inc. | 2,301 | 56,605 | (a) | |||||
Mr Cooper Group Inc. | 37,820 | 1,173,555 | (a) | |||||
Northwest Bancshares Inc. | 50,764 | 646,733 | ||||||
Provident Financial Holdings Inc. | 1,700 | 26,707 | ||||||
Territorial Bancorp Inc. | 3,947 | 94,846 | ||||||
Timberland Bancorp Inc. | 1,147 | 27,826 | ||||||
TrustCo Bank Corp. | 47,423 | 316,312 | ||||||
Waterstone Financial Inc. | 10,914 | 205,402 | ||||||
Western New England Bancorp Inc. | 3,300 | 22,737 | ||||||
3,765,967 | ||||||||
Tobacco – 0.1% |
| |||||||
Vector Group Ltd. | 69,849 | 813,741 | ||||||
Trading Companies & Distributors – 0.1% |
| |||||||
CAI International Inc. | 8,338 | 260,479 | ||||||
MSC Industrial Direct Company Inc., Class A | 6,976 | 588,705 | ||||||
Rush Enterprises Inc., Class A | 2,764 | 114,485 | ||||||
Rush Enterprises Inc., Class B | 3,288 | 124,582 | ||||||
Transcat Inc. | 3,488 | 120,964 | (a) | |||||
Watsco Inc. | 5,011 | 1,135,242 | ||||||
2,344,457 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Trucking – 0.5% |
| |||||||
Avis Budget Group Inc. | 10,740 | $ | 400,602 | (a) | ||||
Covenant Logistics Group Inc., Class A | 5,800 | 85,898 | (a) | |||||
Daseke Inc. | 22,794 | 132,433 | (a) | |||||
Heartland Express Inc. | 24,326 | 440,301 | ||||||
Knight-Swift Transportation Holdings Inc. | 19,434 | 812,730 | ||||||
Landstar System Inc. | 5,937 | 799,476 | ||||||
Marten Transport Ltd. | 29,570 | 509,491 | ||||||
Old Dominion Freight Line Inc. | 15,181 | 2,963,027 | ||||||
Ryder System Inc. | 8,172 | 504,703 | ||||||
Saia Inc. | 994 | 179,715 | (a) | |||||
U.S. Xpress Enterprises Inc., Class A | 11,076 | 75,760 | (a) | |||||
Werner Enterprises Inc. | 29,312 | 1,149,617 | ||||||
8,053,753 | ||||||||
Water Utilities – 0.2% | ||||||||
American Water Works Company Inc. | 28,205 | 4,328,621 | ||||||
Wireless Telecommunication Services – 0.7% | ||||||||
Spok Holdings Inc. | 8,826 | 98,233 | ||||||
T-Mobile US Inc. | 85,697 | 11,556,241 | (a) | |||||
Telephone & Data Systems Inc. | 15,614 | 289,952 | ||||||
11,944,426 | ||||||||
Total Domestic Equity |
| 646,813,807 | ||||||
Foreign Equity – 24.7% |
| |||||||
Common Stock – 24.4% |
| |||||||
Aerospace & Defense – 0.0%* |
| |||||||
Aselsan Elektronik Sanayi Ve Ticaret AS | 79,778 | 195,890 | ||||||
Agricultural Products – 0.1% | ||||||||
Wilmar International Ltd. | 357,406 | 1,257,472 | ||||||
Air Freight & Logistics – 0.2% | ||||||||
SG Holdings Company Ltd. | 59,600 | 1,623,277 | ||||||
Yamato Holdings Company Ltd. | 57,400 | 1,462,728 | ||||||
ZTO Express Cayman Inc., ADR ADR | 4,104 | 119,673 | ||||||
3,205,678 | ||||||||
Airlines – 0.0%* |
| |||||||
Deutsche Lufthansa AG | 19,314 | 255,576 | (a) | |||||
Japan Airlines Company Ltd. | 22,614 | 436,970 | (a) | |||||
692,546 | ||||||||
Alternative Carriers – 0.0%* | ||||||||
Iliad S.A. | 2,744 | 564,382 | ||||||
Aluminum – 0.0%* | ||||||||
China Hongqiao Group Ltd. | 199,500 | 182,677 | ||||||
Apparel Retail – 0.1% | ||||||||
ABC-Mart Inc. | 6,498 | 361,262 | ||||||
Shimamura Company Ltd. | 4,400 | 461,969 | ||||||
823,231 | ||||||||
Apparel, Accessories & Luxury Goods – 0.2% | ||||||||
FF Group | 1,860 | — | (a,i,**) | |||||
Li Ning Company Ltd. | 9,319 | 64,059 | ||||||
Pandora A/S | 18,626 | 2,085,034 | ||||||
The Swatch Group AG | 9,753 | 515,923 | ||||||
2,665,016 | ||||||||
Application Software – 0.0%* |
| |||||||
Sapiens International Corp. N.V. | 1,868 | 57,180 | ||||||
Asset Management & Custody Banks – 0.1% | ||||||||
Bangkok Commercial Asset Management PCL | 207,300 | 151,531 | ||||||
China Cinda Asset Management Company Ltd., Class H | 1,028,556 | 194,997 | ||||||
CI Financial Corp. | 37,841 | 468,706 | ||||||
IGM Financial Inc. | 16,577 | 449,036 | ||||||
Schroders PLC | 10,014 | 456,790 | ||||||
1,721,060 |
Number of Shares | Fair Value | |||||||
Auto Parts & Equipment – 0.5% |
| |||||||
Aisin Seiki Company Ltd. | 29,500 | $ | 884,328 | |||||
Faurecia S.A. | 14,480 | 742,520 | (a) | |||||
Fuyao Glass Industry Group Company Ltd. | 13,900 | 102,806 | ||||||
Fuyao Glass Industry Group Company Ltd., Class H | 59,076 | 324,566 | (c) | |||||
Huayu Automotive Systems Co. Ltd., Class A | 22,068 | 97,897 | ||||||
Magna International Inc. | 52,835 | 3,737,019 | ||||||
Sumitomo Electric Industries Ltd. | 140,466 | 1,859,139 | ||||||
Toyoda Gosei Company Ltd. | 12,865 | 373,196 | ||||||
Toyota Industries Corp. | 4,400 | 349,034 | ||||||
8,470,505 | ||||||||
Automobile Manufacturers – 0.3% |
| |||||||
Chongqing Changan Automobile Co. Ltd., Class A | 31,341 | 105,553 | (a) | |||||
Ford Otomotiv Sanayi A/S | 8,185 | 138,757 | ||||||
Great Wall Motor Company Ltd., Class H | 361,716 | 1,240,886 | ||||||
Kia Motors Corp. | 28,937 | 1,662,219 | ||||||
NIO Inc. ADR | 18,347 | 894,233 | (a) | |||||
Volkswagen AG | 6,040 | 1,257,080 | ||||||
5,298,728 | ||||||||
Automotive Retail – 0.0%* |
| |||||||
China Meidong Auto Holdings Ltd. | 18,000 | 73,125 | ||||||
Hotai Motor Company Ltd. | 8,863 | 202,823 | ||||||
275,948 | ||||||||
Banks – 0.0%* |
| |||||||
China Common Rich Renewable Energy Investments Ltd. | 64,000 | — | (i,**) | |||||
Biotechnology – 0.0%* | ||||||||
Hualan Biological Engineering Inc.,Class A | 12,738 | 82,820 | ||||||
XBiotech Inc. | 7,257 | 113,572 | (a) | |||||
196,392 | ||||||||
Brewers – 0.0%* |
| |||||||
Tsingtao Brewery Company Ltd., Class H | 14,924 | 156,287 | ||||||
Building Products – 0.4% |
| |||||||
Alpha Pro Tech Ltd. | 6,099 | 68,004 | (a) | |||||
China Lesso Group Holdings Ltd. | 126,494 | 198,048 | ||||||
Guangdong Kinlong Hardware Products Company Ltd. | 2,200 | 48,764 | ||||||
ROCKWOOL International A/S | 1,495 | 559,811 | ||||||
Trane Technologies PLC | 37,194 | 5,399,081 | ||||||
Xinyi Glass Holdings Ltd. | 338,000 | 943,750 | ||||||
7,217,458 | ||||||||
Cable & Satellite – 0.0%* |
| |||||||
Cyfrowy Polsat S.A. | 33,566 | 272,780 | ||||||
Megacable Holdings SAB de C.V. | 30,483 | 111,189 | ||||||
383,969 | ||||||||
Casinos & Gaming – 0.3% |
| |||||||
Flutter Entertainment PLC | 25,622 | 5,232,281 | (a) | |||||
La Francaise des Jeux SAEM | 15,469 | 708,063 | (c) | |||||
5,940,344 | ||||||||
Coal & Consumable Fuels – 0.1% |
| |||||||
China Shenhua Energy Company Ltd., Class H | 283,683 | 534,157 | ||||||
Washington H Soul Pattinson & Company Ltd. | 21,390 | 496,653 | ||||||
1,030,810 | ||||||||
Commodity Chemicals – 0.2% |
| |||||||
Advanced Petrochemical Co. | 12,372 | 220,952 | ||||||
Berger Paints India Ltd. | 28,517 | 296,400 | ||||||
Hanwha Solutions Corp. | 4,453 | 196,354 | ||||||
Kingfa Sci & Tech Company Ltd. | 17,900 | 47,225 | ||||||
Kumho Petrochemical Company Ltd. | 2,132 | 284,581 | ||||||
LG Chem Ltd. | 1,711 | 1,297,859 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Lomon Billions Group Company Ltd. | 13,200 | $ | 62,519 | |||||
Mitsui Chemicals Inc. | 34,300 | 1,004,964 | ||||||
Tosoh Corp. | 48,282 | 751,973 | ||||||
4,162,827 | ||||||||
Communications Equipment – 0.0%* |
| |||||||
BYD Electronic International Company Ltd. | 78,609 | 411,605 | ||||||
Computer & Electronics Retail – 0.0%* |
| |||||||
Yamada Holdings Company Ltd. | 134,614 | 714,499 | ||||||
Construction & Engineering – 0.3% |
| |||||||
Bouygues S.A. | 42,464 | 1,748,347 | ||||||
China Communications Services Corporation Ltd., Class H | 289,733 | 127,793 | ||||||
Eiffage S.A. | 15,131 | 1,463,310 | (a) | |||||
Obayashi Corp. | 39,800 | 343,087 | ||||||
Skanska AB, Class B | 36,681 | 936,616 | ||||||
4,619,153 | ||||||||
Construction Machinery & Heavy Trucks – 0.1% |
| |||||||
Hino Motors Ltd. | 53,187 | 452,820 | ||||||
Weichai Power Company Ltd., Class H | 125,737 | 252,322 | ||||||
Zoomlion Heavy Industry Science and Technology Company Ltd. | 159,548 | 191,362 | ||||||
896,504 | ||||||||
Construction Materials – 0.0%* |
| |||||||
Anhui Conch Cement Co. Ltd.,Class A | 18,469 | 146,748 | ||||||
Anhui Conch Cement Company Ltd., Class H | 32,581 | 204,003 | ||||||
Beijing Oriental Yuhong Waterproof Technology Company Ltd. | 10,947 | 65,379 | ||||||
China National Building Material Company Ltd., Class H | 149,243 | 179,387 | ||||||
595,517 | ||||||||
Consumer Electronics – 0.0%* |
| |||||||
TCL Technology Group Corp., Class A | 94,627 | 103,124 | ||||||
Consumer Finance – 0.0%* |
| |||||||
Muthoot Finance Ltd. | 14,037 | 232,559 | ||||||
Samsung Card Company Ltd. | 3,379 | 101,094 | ||||||
333,653 | ||||||||
Copper – 0.1% |
| |||||||
Jiangxi Copper Company Ltd., Class H | 137,782 | 216,432 | ||||||
Southern Copper Corp. | 12,857 | 837,248 | ||||||
1,053,680 | ||||||||
Department Stores – 0.0%* |
| |||||||
Central Retail Corp. PCL | 211,000 | 216,564 | (a) | |||||
Diversified Banks – 0.8% |
| |||||||
Agricultural Bank of China Ltd., Class A | 521,272 | 251,944 | ||||||
Agricultural Bank of China Ltd., Class H | 3,226,420 | 1,181,740 | ||||||
Bank Central Asia Tbk PT | 18,200 | 43,848 | ||||||
Bank Leumi Le-Israel BM | 221,843 | 1,305,853 | ||||||
Bank of China Ltd. | 245,794 | 120,312 | ||||||
Bank of China Ltd., Class H | 165,868 | 56,688 | ||||||
Bank of Communications Company Ltd., Class H | 1,020,605 | 539,665 | ||||||
Banque Saudi Fransi | 12,881 | 108,498 | ||||||
China CITIC Bank Corporation Ltd., Class H | 1,041,241 | 441,804 | ||||||
China Construction Bank Corp. | 67,100 | 64,862 | ||||||
China Everbright Bank Co. Ltd., Class A | 278,620 | 171,118 | ||||||
China Everbright Bank Company Ltd., Class H | 382,883 | 145,670 | ||||||
China Minsheng Banking Corporation Ltd., Class H | 679,248 | 387,198 | ||||||
Danske Bank A/S | 75,247 | 1,244,943 | (a) | |||||
Dubai Islamic Bank PJSC | 150,289 | 188,621 | ||||||
First Financial Holding Company Ltd. | 306,608 | 232,973 | ||||||
Hong Leong Financial Group Bhd | 26,787 | 120,267 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 990,883 | 642,796 |
Number of Shares | Fair Value | |||||||
Industrial Bank of Korea | 30,154 | $ | 245,385 | (a) | ||||
Japan Post Bank Company Ltd. | 75,200 | 616,925 | ||||||
Krung Thai Bank PCL NVDR | 77 | 28 | ||||||
Malayan Banking Bhd | 115,200 | 242,285 | ||||||
MCB Bank Ltd. | 55,508 | 64,359 | ||||||
Mega Financial Holding Company Ltd. | 651,223 | 690,670 | ||||||
Moneta Money Bank A/S | 61,871 | 196,015 | (a,c) | |||||
Postal Savings Bank of China Company Ltd., Class H | 437,139 | 246,931 | (c) | |||||
Qatar International Islamic Bank QSC | 86,509 | 215,073 | ||||||
RHB Bank Bhd | 107,033 | 145,017 | ||||||
Royal Bank of Canada | 36,112 | 2,964,642 | ||||||
SinoPac Financial Holdings Company Ltd. | 965,281 | 393,354 | ||||||
Taiwan Cooperative Financial Holding Company Ltd. | 593,061 | 429,525 | ||||||
Turkiye Is Bankasi A/S , Class C | 183,698 | 173,009 | (a) | |||||
VTB Bank PJSC GDR | 196,977 | 188,015 | ||||||
Yapi ve Kredi Bankasi A/S | 344,825 | 142,894 | (a) | |||||
14,202,927 | ||||||||
Diversified Capital Markets – 0.3% |
| |||||||
Banco BTG Pactual S.A. | 27,588 | 499,263 | ||||||
China Everbright Ltd. | 107,953 | 144,516 | ||||||
Deutsche Bank AG | 366,002 | 4,007,556 | (a) | |||||
4,651,335 | ||||||||
Diversified Chemicals – 0.0%* |
| |||||||
Mitsubishi Gas Chemical Companies Inc. | 29,337 | 673,150 | ||||||
Diversified Metals & Mining – 0.2% |
| |||||||
African Rainbow Minerals Ltd. | 12,876 | 229,588 | ||||||
Boliden AB | 41,810 | 1,483,514 | ||||||
Ferroglobe PLC | 1,316 | — | (i,**) | |||||
Grupo Mexico SAB de C.V., Class B | 78,539 | 331,570 | ||||||
Korea Zinc Company Ltd. | 991 | 366,277 | ||||||
MMC Norilsk Nickel PJSC ADR | 19,580 | 610,896 | ||||||
3,021,845 | ||||||||
Diversified Real Estate Activities – 0.1% |
| |||||||
Aldar Properties PJSC | 449,355 | 385,356 | ||||||
Hang Lung Properties Ltd. | 376,000 | 991,662 | ||||||
Nomura Real Estate Holdings Inc. | 22,996 | 508,498 | ||||||
Shenzhen Investment Ltd. | 364,181 | 124,934 | ||||||
2,010,450 | ||||||||
Drug Retail – 0.1% |
| |||||||
Clicks Group Ltd. | 29,002 | 498,881 | ||||||
Cosmos Pharmaceutical Corp. | 3,700 | 597,763 | ||||||
Sundrug Company Ltd. | 13,300 | 530,737 | ||||||
Welcia Holdings Company Ltd. | 17,544 | 661,861 | ||||||
2,289,242 | ||||||||
Education Services – 0.0%* |
| |||||||
GSX Techedu Inc.,ADR ADR | 9,048 | 467,872 | (a) | |||||
Electric Utilities – 0.9% |
| |||||||
AusNet Services | 347,772 | 470,969 | ||||||
EDP - Energias de Portugal S.A. | 90,047 | 568,073 | ||||||
Electricite de France S.A. | 86,948 | 1,371,837 | (a) | |||||
Elia Group S.A. | 5,736 | 684,283 | ||||||
Endesa S.A. | 59,139 | 1,617,235 | ||||||
Enel S.p.A. | 24,269 | 245,750 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 491,369 | 483,520 | ||||||
Hydro One Ltd. | 61,098 | 1,373,986 | (c) | |||||
Inter Rao UES PJSC | 4,261,707 | 306,702 | (a) | |||||
Interconexion Electrica S.A. ESP | 20,787 | 156,184 | ||||||
Kyushu Electric Power Company Inc. | 70,400 | 605,503 | ||||||
Manila Electric Co. | 26,280 | 159,792 | ||||||
Mercury NZ Ltd. | 126,332 | 593,962 | ||||||
Red Electrica Corporacion S.A. | 75,538 | 1,550,421 | ||||||
SSE PLC | 177,437 | 3,638,211 | ||||||
Terna Rete Elettrica Nazionale S.p.A. | 64,803 | 495,561 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
The Chugoku Electric Power Company Inc. | 53,900 | $ | 631,170 | |||||
Tohoku Electric Power Company Inc. | 79,400 | 653,688 | ||||||
15,606,847 | ||||||||
Electrical Components & Equipment – 0.1% |
| |||||||
Sungrow Power Supply Company Ltd. | 9,100 | 101,244 | ||||||
WEG S.A. | 97,901 | 1,427,558 | ||||||
1,528,802 | ||||||||
Electronic Components – 0.2% |
| |||||||
Hirose Electric Company Ltd. | 6,074 | 920,704 | ||||||
Kingboard Laminates Holdings Ltd. | 125,549 | 204,989 | ||||||
Lens Technology Co. Ltd., Class A | 22,760 | 107,237 | ||||||
Omron Corp. | 31,797 | 2,833,381 | ||||||
Zhen Ding Technology Holding Ltd. | 49,665 | 201,502 | ||||||
4,267,813 | ||||||||
Electronic Equipment & Instruments – 0.2% |
| |||||||
Azbil Corp. | 23,000 | 1,256,429 | ||||||
Halma PLC | 63,454 | 2,124,223 | ||||||
3,380,652 | ||||||||
Electronic Manufacturing Services – 0.1% |
| |||||||
Fabrinet | 18,331 | 1,422,302 | (a) | |||||
GoerTek Inc., Class A | 23,648 | 135,846 | ||||||
Venture Corporation Ltd. | 51,300 | 753,790 | ||||||
Wingtech Technology Company Ltd. | 7,300 | 111,242 | ||||||
2,423,180 | ||||||||
Environmental & Facilities Services – 0.1% |
| |||||||
A-Living Smart City Services Company Ltd. | 23,805 | 105,611 | (c) | |||||
Country Garden Services Holdings Company Ltd. | 118,533 | 801,802 | ||||||
907,413 | ||||||||
Fertilizers & Agricultural Chemicals – 0.0%* |
| |||||||
Saudi Arabian Fertilizer Co. | 10,648 | 228,764 | ||||||
Yara International ASA | 4,207 | 174,924 | ||||||
403,688 | ||||||||
Financial Exchanges & Data – 0.2% |
| |||||||
ASX Ltd. | 36,060 | 2,003,451 | ||||||
Moscow Exchange Micex Pj | 159,301 | 342,963 | (a) | |||||
Singapore Exchange Ltd. | 149,436 | 1,049,269 | ||||||
3,395,683 | ||||||||
Food Distributors – 0.0%* |
| |||||||
The SPAR Group Ltd. | 22,464 | 289,870 | ||||||
Food Retail – 0.8% |
| |||||||
BIM Birlesik Magazalar A/S | 39,896 | 405,267 | ||||||
Dino Polska S.A. | 3,912 | 303,847 | (a,c) | |||||
Etablissements Franz Colruyt N.V. | 10,276 | 609,423 | ||||||
George Weston Ltd. | 14,269 | 1,064,911 | ||||||
J Sainsbury PLC | 330,750 | 1,019,527 | ||||||
Jeronimo Martins SGPS S.A. | 46,772 | 790,889 | ||||||
Koninklijke Ahold Delhaize N.V. | 205,241 | 5,803,444 | ||||||
Loblaw Companies Ltd. | 33,219 | 1,637,744 | ||||||
Metro Inc. | 46,876 | 2,089,919 | ||||||
WM Morrison Supermarkets PLC | 447,889 | 1,085,810 | ||||||
14,810,781 | ||||||||
Footwear – 0.1% |
| |||||||
ANTA Sports Products Ltd. | 83,926 | 1,330,243 | ||||||
Forest Products – 0.1% |
| |||||||
Svenska Cellulosa AB SCA, Class B | 112,844 | 1,969,004 | (a) | |||||
Gas Utilities – 0.2% |
| |||||||
Enagas S.A. | 43,532 | 956,880 | ||||||
Petronas Gas Bhd | 61,349 | 262,020 | ||||||
Snam S.p.A. | 375,618 | 2,114,562 | ||||||
3,333,462 | ||||||||
General Merchandise Stores – 0.5% |
| |||||||
Wesfarmers Ltd. | 211,451 | 8,223,577 | ||||||
Gold – 0.2% |
| |||||||
Caledonia Mining Corporation PLC | 5,926 | 94,105 | ||||||
Evolution Mining Ltd. | 301,975 | 1,162,765 |
Number of Shares | Fair Value | |||||||
Northern Star Resources Ltd. | 51,029 | $ | 499,688 | |||||
Polymetal International PLC | 16,291 | 375,121 | ||||||
Polyus PJSC GDR | 4,000 | 403,200 | ||||||
Zijin Mining Group Company Ltd., Class H | 280,000 | 317,056 | ||||||
2,851,935 | ||||||||
Healthcare Distributors – 0.1% |
| |||||||
Alfresa Holdings Corp. | 34,878 | 638,138 | ||||||
Medipal Holdings Corp. | 34,005 | 638,304 | ||||||
Suzuken Company Ltd. | 12,448 | 449,717 | ||||||
1,726,159 | ||||||||
Healthcare Equipment – 0.1% |
| |||||||
AK Medical Holdings Ltd. | 46,215 | 80,225 | (c) | |||||
BioMerieux | 3,717 | 524,832 | ||||||
Fisher & Paykel Healthcare Corporation Ltd. | 54,912 | 1,303,523 | ||||||
1,908,580 | ||||||||
Healthcare Services – 0.1% |
| |||||||
Sonic Healthcare Ltd. | 84,305 | 2,091,485 | ||||||
Healthcare Supplies – 0.0%* |
| |||||||
Autobio Diagnostics Co. Ltd., Class A | 2,332 | 52,113 | ||||||
Kossan Rubber Industries | 35,700 | 39,938 | ||||||
Supermax Corporation BHD | 122,999 | 183,772 | (a) | |||||
Top Glove Corporation BHD | 130,200 | 198,092 | ||||||
473,915 | ||||||||
Heavy Electrical Equipment – 0.0%* |
| |||||||
Doosan Heavy Industries & Construction Company Ltd. | 22,443 | 278,911 | (a) | |||||
Home Building – 0.4% |
| |||||||
Berkeley Group Holdings PLC | 23,397 | 1,516,611 | ||||||
Iida Group Holdings Company Ltd. | 27,338 | 551,817 | ||||||
Persimmon PLC | 59,414 | 2,247,245 | ||||||
Sekisui House Ltd. | 114,758 | 2,334,174 | ||||||
Taylor Wimpey PLC | 88,892 | 201,465 | (a) | |||||
6,851,312 | ||||||||
Home Improvement Retail – 0.1% |
| |||||||
Ace Hardware Indonesia Tbk PT | 634,600 | 77,462 | ||||||
Kingfisher PLC | 392,784 | 1,451,820 | (a) | |||||
1,529,282 | ||||||||
Hotels, Resorts & Cruise Lines – 0.0%* |
| |||||||
Shanghai Jinjiang International Hotels Company Ltd. | 5,500 | 43,625 | ||||||
Household Appliances – 0.1% |
| |||||||
Rinnai Corp. | 6,662 | 773,023 | ||||||
Household Products – 0.1% |
| |||||||
Hindustan Unilever Ltd. | 37,520 | 1,230,033 | ||||||
Human Resource & Employment Services – 0.1% |
| |||||||
Randstad N.V. | 22,179 | 1,444,780 | (a) | |||||
Hypermarkets & Super Centers – 0.2% |
| |||||||
Abdullah Al Othaim Markets Co. | 5,144 | 168,377 | ||||||
Aeon Company Ltd. | 66,175 | 2,169,620 | ||||||
Carrefour S.A. | 27,408 | 470,497 | ||||||
Cencosud S.A. | 138,324 | 246,277 | ||||||
E-MART Inc. | 416 | 58,017 | ||||||
Wal-Mart de Mexico SAB de C.V. | 190,905 | 536,341 | ||||||
3,649,129 | ||||||||
Independent Power Producers & Energy Traders – 0.1% |
| |||||||
Colbun S.A. | 920,391 | 162,574 | ||||||
Northland Power Inc. | 14,800 | 530,546 | ||||||
Uniper SE | 37,455 | 1,294,185 | ||||||
1,987,305 | ||||||||
Industrial Conglomerates – 0.2% |
| |||||||
CJ Corp. | 627 | 53,159 | ||||||
Hanwha Corp. | 4,809 | 125,283 | ||||||
Investment AB Latour | 27,485 | 668,337 | ||||||
Jardine Matheson Holdings Ltd. | 40,400 | 2,262,400 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Sime Darby Bhd | 317,358 | $ | 182,249 | |||||
SK Holdings Company Ltd. | 3,116 | 689,863 | ||||||
3,981,291 | ||||||||
Industrial Gases – 0.1% |
| |||||||
Air Liquide S.A. | 6,891 | 1,131,926 | ||||||
Air Water Inc. | 34,100 | 605,738 | ||||||
1,737,664 | ||||||||
Industrial Machinery – 0.6% |
| |||||||
Airtac International Group | 10,260 | 328,636 | ||||||
Atlas Copco AB, Class B | 39,463 | 1,769,758 | ||||||
Haitian International Holdings Ltd. | 18,655 | 64,478 | ||||||
Kone Oyj, Class B | 58,817 | 4,782,829 | ||||||
Kurita Water Industries Ltd. | 18,307 | 699,512 | ||||||
Makita Corp. | 18,200 | 911,366 | ||||||
Schindler Holding AG | 3,742 | 1,009,212 | ||||||
SKF AB, Class B | 70,915 | 1,842,699 | ||||||
Zhejiang Sanhua Intelligent Controls Co. Ltd., Class A | 25,105 | 95,255 | ||||||
11,503,745 | ||||||||
Industrial REITs – 0.2% |
| |||||||
Mapletree Logistics Trust | 509,304 | 774,563 | ||||||
Segro PLC | 221,927 | 2,874,667 | ||||||
3,649,230 | ||||||||
Integrated Oil & Gas – 0.1% |
| |||||||
LUKOIL PJSC ADR | 16,584 | 1,131,029 | ||||||
LUKOIL PJSC ADR | 1,807 | 123,527 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo S.A. | 202,185 | 300,727 | ||||||
Surgutneftegas PJSC ADR | 56,406 | 260,483 | ||||||
Total SE | 10,963 | 473,506 | ||||||
2,289,272 | ||||||||
Integrated Telecommunication Services – 0.9% |
| |||||||
BCE Inc. | 28,647 | 1,223,906 | ||||||
Chunghwa Telecom Company Ltd. | 379,858 | 1,473,575 | ||||||
HKT Trust & HKT Ltd. | 703,815 | 913,143 | ||||||
Nippon Telegraph & Telephone Corp. | 240,009 | 6,149,875 | ||||||
PCCW Ltd. | 787,851 | 474,508 | ||||||
Spark New Zealand Ltd. | 341,752 | 1,156,489 | ||||||
Swisscom AG | 4,826 | 2,604,768 | ||||||
Telefonica Brasil S.A. | 52,214 | 467,435 | ||||||
TELUS Corp. | 78,879 | 1,560,863 | ||||||
16,024,562 | ||||||||
Interactive Home Entertainment – 0.0%* |
| |||||||
Koei Tecmo Holdings Company Ltd. | 8,400 | 512,567 | ||||||
NetEase Inc. ADR | 1,865 | 178,611 | ||||||
691,178 | ||||||||
Interactive Media & Services – 0.3% |
| |||||||
NAVER Corp. | 3,013 | 811,288 | ||||||
Tencent Holdings Ltd. | 45,396 | 3,302,017 | ||||||
Yandex N.V. | 3,397 | 236,049 | (a) | |||||
Z Holdings Corp. | 249,196 | 1,507,075 | ||||||
5,856,429 | ||||||||
Internet & Direct Marketing Retail – 0.5% |
| |||||||
Alibaba Group Holding Ltd. ADR | 15,176 | 3,531,910 | (a) | |||||
JD.com Inc. ADR | 31,500 | 2,768,850 | (a) | |||||
Naspers Ltd., Class N | 1,828 | 375,755 | ||||||
Pinduoduo Inc. ADR | 3,010 | 534,787 | (a) | |||||
Vipshop Holdings Ltd. ADR | 40,215 | 1,130,444 | (a) | |||||
8,341,746 | ||||||||
Internet Services & Infrastructure – 0.4% |
| |||||||
Shopify Inc., Class A | 6,818 | 7,692,031 | (a) | |||||
Investment Banking & Brokerage – 0.0%* |
| |||||||
CSC Financial Company Ltd. | 11,000 | 71,114 | ||||||
GF Securities Company Ltd., Class H | 148,800 | 210,327 | ||||||
Meritz Securities Company Ltd. | 31,536 | 106,397 | ||||||
Samsung Securities Company Ltd. | 2,879 | 107,204 | ||||||
Sinolink Securities Company Ltd. | 21,100 | 52,842 | ||||||
547,884 |
Number of Shares | Fair Value | |||||||
IT Consulting & Other Services – 1.3% |
| |||||||
Accenture PLC, Class A | 62,194 | $ | 16,245,695 | |||||
Fujitsu Ltd. | 2,200 | 317,604 | ||||||
HCL Technologies Ltd. | 22,859 | 296,001 | ||||||
Infosys Ltd. | 94,614 | 1,626,116 | ||||||
Itochu Techno-Solutions Corp. | 17,832 | 636,456 | ||||||
Larsen & Toubro Infotech Ltd. | 3,608 | 180,703 | (c) | |||||
NEC Corp. | 47,440 | 2,545,572 | ||||||
Nomura Research Institute Ltd. | 59,660 | 2,135,151 | ||||||
23,983,298 | ||||||||
Leisure Facilities – 0.0%* |
| |||||||
Songcheng Performance Development Co. Ltd., Class A | 20,987 | 57,243 | ||||||
Life & Health Insurance – 0.8% |
| |||||||
Bupa Arabia for Cooperative Insurance Co. | 6,998 | 227,944 | (a) | |||||
CNP Assurances | 31,822 | 513,174 | (a) | |||||
Great-West Lifeco Inc. | 51,681 | 1,231,176 | ||||||
iA Financial Corporation Inc. | 19,798 | 857,499 | ||||||
ICICI Prudential Life Insurance Company Ltd. | 42,123 | 287,584 | (a,c) | |||||
Japan Post Insurance Company Ltd. | 41,800 | 855,069 | ||||||
Legal & General Group PLC | 519,994 | 1,892,164 | ||||||
New China Life Insurance Company Ltd. | 14,500 | 129,385 | ||||||
NN Group N.V. | 53,698 | 2,334,399 | ||||||
Phoenix Group Holdings PLC | 19,770 | 189,334 | ||||||
Poste Italiane S.p.A. | 97,149 | 988,971 | (c) | |||||
Power Corporation of Canada | 104,180 | 2,390,252 | ||||||
Rand Merchant Investment Holdings Ltd. | 89,330 | 194,913 | ||||||
Sun Life Financial Inc. | 35,890 | 1,594,485 | ||||||
T&D Holdings Inc. | 100,100 | 1,179,928 | ||||||
14,866,277 | ||||||||
Life Sciences Tools & Services – 0.2% |
| |||||||
Divi’s Laboratories Ltd. | 9,812 | 515,916 | ||||||
Sartorius Stedim Biotech | 5,151 | 1,835,290 | ||||||
WuXi AppTec Company Ltd., Class H | 14,756 | 288,884 | (c) | |||||
2,640,090 | ||||||||
Managed Healthcare – 0.0%* |
| |||||||
Triple-S Management Corp., Class B | 11,390 | 243,177 | (a) | |||||
Marine – 0.2% |
| |||||||
China COSCO Holdings Company Ltd., Class H | 300,870 | 360,865 | (a) | |||||
Costamare Inc. | 25,256 | 209,120 | ||||||
Kuehne + Nagel International AG | 10,060 | 2,285,251 | ||||||
MISC Bhd | 156,175 | 266,730 | ||||||
3,121,966 | ||||||||
Marine Ports & Services – 0.0%* |
| |||||||
Westports Holdings Bhd | 30,688 | 32,805 | ||||||
Motorcycle Manufacturers – 0.1% |
| |||||||
Bajaj Auto Ltd. | 7,372 | 347,481 | ||||||
Hero MotoCorp Ltd. | 13,978 | 594,951 | ||||||
Yadea Group Holdings Ltd. | 120,000 | 247,928 | (c) | |||||
1,190,360 | ||||||||
Multi-Line Insurance – 1.3% |
| |||||||
Allianz SE | 30,329 | 7,447,785 | ||||||
Assicurazioni Generali S.p.A. | 205,635 | 3,587,883 | ||||||
Baloise Holding AG | 4,775 | 850,798 | ||||||
BB Seguridade Participacoes S.A. | 81,649 | 465,762 | ||||||
China Pacific Insurance Group Company Ltd., Class H | 323,779 | 1,267,331 | ||||||
Gjensidige Forsikring ASA | 37,162 | 830,746 | ||||||
Watford Holdings Ltd. | 8,569 | 296,487 | (a) | |||||
Zurich Insurance Group AG | 20,172 | 8,523,380 | ||||||
23,270,172 | ||||||||
Multi-Sector Holdings – 0.5% |
| |||||||
EXOR N.V. | 20,190 | 1,635,864 | ||||||
Groupe Bruxelles Lambert S.A. | 10,323 | 1,042,286 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Haci Omer Sabanci Holding A/S | 107,091 | $ | 165,121 | |||||
Industrivarden AB | 19,835 | 662,250 | (a) | |||||
Industrivarden AB, Class C | 29,692 | 959,900 | (a) | |||||
Kinnevik AB | 45,068 | 2,280,139 | ||||||
L E Lundbergforetagen AB, Class B | 14,117 | 757,371 | (a) | |||||
Metro Pacific Investments Corp. | 1,645,000 | 146,607 | ||||||
Sofina S.A. | 2,865 | 971,015 | ||||||
8,620,553 | ||||||||
Oil & Gas Refining & Marketing – 0.1% |
| |||||||
Cosan S.A. | 18,418 | 268,529 | ||||||
Neste Oyj | 21,754 | 1,574,668 | ||||||
1,843,197 | ||||||||
Oil & Gas Storage & Transportation – 0.0%* |
| |||||||
Petronet LNG Ltd. | 76,901 | 260,590 | ||||||
Other Diversified Financial Services – 0.1% |
| |||||||
M&G PLC | 483,804 | 1,309,114 | ||||||
Packaged Foods & Meats – 0.4% |
| |||||||
China Feihe Ltd. | 135,000 | 316,179 | (c) | |||||
China Huishan Dairy Holdings Company Ltd. | 55,000 | — | (i,**) | |||||
Chocoladefabriken Lindt & Spruengli AG | 191 | 1,864,732 | ||||||
CJ CheilJedang Corp. | 966 | 338,807 | ||||||
Dali Foods Group Company Ltd. | 248,617 | 142,042 | (c) | |||||
Grupo Bimbo SAB de C.V., Class A | 130,044 | 282,206 | ||||||
Henan Shuanghui Investment & Development Co. Ltd. | 20,085 | 145,120 | ||||||
Indofood Sukses Makmur Tbk PT | 512,036 | 249,640 | ||||||
Nestle India Ltd. | 1,830 | 460,590 | ||||||
Nestle Malaysia Bhd | 1,839 | 63,502 | ||||||
NH Foods Ltd. | 15,230 | 669,710 | ||||||
Orkla ASA | 117,105 | 1,189,932 | ||||||
PPB Group Bhd | 58,813 | 270,781 | ||||||
QL Resources Bhd | 83,188 | 119,948 | ||||||
Standard Foods Corp. | 48,012 | 104,745 | ||||||
Toyo Suisan Kaisha Ltd. | 16,490 | 801,780 | ||||||
Yihai International Holding Ltd. | 16,180 | 239,971 | ||||||
7,259,685 | ||||||||
Paper Products – 0.1% |
| |||||||
Lee & Man Paper Manufacturing Ltd. | 148,310 | 121,458 | ||||||
Mondi PLC | 79,370 | 1,865,568 | ||||||
Nine Dragons Paper Holdings Ltd. | 148,310 | 210,400 | ||||||
2,197,426 | ||||||||
Personal Products – 0.4% |
| |||||||
Dabur India Ltd. | 61,842 | 451,961 | ||||||
Hengan International Group Company Ltd. | 63,480 | 449,461 | ||||||
L’Oreal S.A. | 18,114 | 6,888,379 | ||||||
7,789,801 | ||||||||
Pharmaceuticals – 0.8% |
| |||||||
Asymchem Laboratories Tianjin Co. Ltd., Class A | 1,866 | 85,920 | ||||||
Aurobindo Pharma Ltd. | 34,170 | 430,846 | ||||||
CanSino Biologics Inc., Class H | 3,545 | 80,694 | (a,c) | |||||
Humanwell Healthcare Group Company Ltd. | 9,400 | 49,021 | ||||||
Novo Nordisk A/S, Class B | 56,056 | 3,931,338 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 16,617 | 921,637 | ||||||
Richter Gedeon Nyrt | 5,550 | 139,302 | ||||||
Roche Holding AG | 20,577 | 7,193,046 | ||||||
UCB S.A. | 18,289 | 1,890,452 | ||||||
14,722,256 | ||||||||
Precious Metals & Minerals – 0.0%* |
| |||||||
Fresnillo PLC | 34,163 | 527,466 | ||||||
Impala Platinum Holdings Ltd. | 10,625 | 146,043 | ||||||
673,509 | ||||||||
Property & Casualty Insurance – 0.3% |
| |||||||
Admiral Group PLC | 35,576 | 1,413,205 | ||||||
Direct Line Insurance Group PLC | 253,788 | 1,106,660 |
Number of Shares | Fair Value | |||||||
Hyundai Marine & Fire Insurance Company Ltd. | 7,590 | $ | 158,954 | |||||
Intact Financial Corp. | 26,717 | 3,160,743 | ||||||
5,839,562 | ||||||||
Real Estate Development – 0.1% |
| |||||||
Hopson Development Holdings Ltd. | 76,000 | 193,679 | ||||||
KWG Group Holdings Ltd. | 148,436 | 202,538 | ||||||
Land & Houses PCL NVDR | 442,602 | 117,446 | ||||||
Longfor Group Holdings Ltd. | 209,776 | 1,228,271 | (c) | |||||
Ruentex Development Company Ltd. | 96,000 | 139,740 | ||||||
Shimao Group Holdings Ltd. | 139,254 | 443,596 | ||||||
Yuexiu Property Company Ltd. | 846,316 | 170,271 | ||||||
2,495,541 | ||||||||
Real Estate Operating Companies – 0.2% |
| |||||||
Aeon Mall Company Ltd. | 20,300 | 334,646 | ||||||
Deutsche Wohnen SE | 63,712 | 3,405,846 | ||||||
Swire Properties Ltd. | 59,000 | 171,586 | ||||||
3,912,078 | ||||||||
Regional Banks – 0.1% |
| |||||||
Bank of Hangzhou Co. Ltd., Class A | 41,547 | 95,415 | ||||||
Bank of Ningbo Company Ltd. | 42,082 | 228,915 | ||||||
Banque Cantonale Vaudoise | 5,590 | 608,990 | ||||||
Chongqing Rural Commercial Bank Company Ltd., Class H | 278,378 | 113,450 | ||||||
1,046,770 | ||||||||
Reinsurance – 0.5% |
| |||||||
Hannover Rueck SE | 11,229 | 1,790,223 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 26,126 | 7,761,458 | ||||||
9,551,681 | ||||||||
Renewable Electricity – 0.1% |
| |||||||
Engie Brasil Energia S.A. | 23,796 | 201,301 | ||||||
Meridian Energy Ltd. | 238,349 | 1,273,355 | ||||||
1,474,656 | ||||||||
Research & Consulting Services – 0.2% |
| |||||||
Thomson Reuters Corp. | 32,418 | 2,650,948 | ||||||
Restaurants – 0.0%* |
| |||||||
Saudi Airlines Catering Co. | 4,686 | 96,303 | ||||||
Retail REITs – 0.0%* |
| |||||||
Mapletree Commercial Trust | 386,446 | 622,805 | ||||||
Security & Alarm Services – 0.0%* |
| |||||||
S-1 Corp. | 2,070 | 161,972 | ||||||
Semiconductor Equipment – 0.2% |
| |||||||
SolarEdge Technologies Inc. | 7,574 | 2,417,015 | (a) | |||||
Xinyi Solar Holdings Ltd. | 475,878 | 1,242,806 | ||||||
3,659,821 | ||||||||
Semiconductors – 0.4% |
| |||||||
ASMedia Technology Inc. | 2,000 | 111,752 | ||||||
Novatek Microelectronics Corp. | 67,061 | 880,686 | ||||||
Phison Electronics Corp. | 17,592 | 208,176 | ||||||
Realtek Semiconductor Corp. | 12,040 | 167,329 | ||||||
Shenzhen SC New Energy Technology Corp. | 2,200 | 49,305 | ||||||
Silergy Corp. | 6,222 | 533,669 | ||||||
STMicroelectronics N.V. | 11,599 | 429,732 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 235,350 | 4,439,302 | ||||||
Vanguard International Semiconductor Corp. | 58,330 | 240,810 | ||||||
7,060,761 | ||||||||
Soft Drinks – 0.0%* |
| |||||||
Fraser & Neave Holdings Bhd | 17,135 | 136,654 | ||||||
Osotspa PCL | 87,621 | 103,823 | ||||||
240,477 | ||||||||
Specialty Chemicals – 0.4% |
| |||||||
Covestro AG | 5,692 | 351,565 | (c) | |||||
Croda International PLC | 25,991 | 2,343,452 | ||||||
EMS-Chemie Holding AG | 1,523 | 1,469,675 | ||||||
Evonik Industries AG | 17,062 | 556,977 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||||
Givaudan S.A. | 292 | $ | 1,232,151 | |||||||
JSR Corp. | 37,761 | 1,051,142 | ||||||||
Shenzhen Capchem Technology Company Ltd. | 2,800 | 43,703 | ||||||||
7,048,665 | ||||||||||
Specialty Stores – 0.0%* | ||||||||||
Jarir Marketing Co. | 6,858 | 316,979 | ||||||||
Steel – 0.4% | ||||||||||
Baoshan Iron & Steel Company Ltd. | 79,100 | 72,444 | ||||||||
Fortescue Metals Group Ltd. | 315,757 | 5,708,812 | ||||||||
Novolipetskiy Metallurgicheskiy Kombinat PAO GDR | 13,900 | 385,586 | ||||||||
Severstal PAO GDR | 24,426 | 429,165 | ||||||||
voestalpine AG | 21,563 | 773,034 | ||||||||
7,369,041 | ||||||||||
Systems Software – 0.1% | ||||||||||
Check Point Software Technologies Ltd. | 7,633 | 1,014,502 | (a) | |||||||
Oracle Corporation Japan | 7,137 | 929,756 | ||||||||
1,944,258 | ||||||||||
Technology Distributors – 0.0%* |
| |||||||||
Synnex Technology International Corp. | 155,218 | 259,636 | ||||||||
WPG Holdings Ltd. | 185,938 | 283,890 | ||||||||
543,526 | ||||||||||
Technology Hardware, Storage & Peripherals – 0.6% |
| |||||||||
Asustek Computer Inc. | 7,053 | 62,879 | ||||||||
Chicony Electronics Company Ltd. | 69,250 | 212,448 | ||||||||
Compal Electronics Inc. | 488,445 | 359,841 | ||||||||
FUJIFILM Holdings Corp. | 67,115 | 3,535,003 | ||||||||
Inventec Corp. | 292,249 | 249,625 | ||||||||
Lite-On Technology Corp. | 201,095 | 356,414 | ||||||||
Logitech International S.A. | 9,705 | 943,327 | ||||||||
Pegatron Corp. | 228,284 | 546,783 | ||||||||
Quanta Computer Inc. | 338,308 | 974,059 | ||||||||
Samsung Electronics Company Ltd. | 30,528 | 2,276,322 | ||||||||
Wistron Corp. | 331,483 | 365,719 | ||||||||
9,882,420 | ||||||||||
Tires & Rubber – 0.4% | ||||||||||
Balkrishna Industries Ltd. | 8,587 | 193,475 | ||||||||
Bridgestone Corp. | 99,796 | 3,270,954 | ||||||||
Cie Generale des Etablissements Michelin SCA | 31,637 | 4,062,557 | ||||||||
7,526,986 | ||||||||||
Tobacco – 0.0%* | ||||||||||
British American Tobacco PLC | 4,556 | 168,649 | ||||||||
Trading Companies & Distributors – 0.7% |
| |||||||||
Bunzl PLC | 7,781 | 259,843 | ||||||||
Ferguson PLC | 41,929 | 5,091,848 | ||||||||
ITOCHU Corp. | 251,205 | 7,211,697 | ||||||||
12,563,388 | ||||||||||
Trucking – 0.1% | ||||||||||
Nippon Express Company Ltd. | 13,400 | 899,433 | ||||||||
Wireless Telecommunication Services – 0.4% |
| |||||||||
China Mobile Ltd. | 96,802 | 551,809 | ||||||||
Intouch Holdings PCL | 264,172 | 495,984 | ||||||||
KDDI Corp. | 170,508 | 5,063,466 | ||||||||
PLDT Inc. | 4,295 | 119,843 | ||||||||
SK Telecom Company Ltd. | 768 | 168,263 | ||||||||
Taiwan Mobile Company Ltd. | 135,194 | 475,859 | ||||||||
Vodacom Group Ltd. | 74,944 | 634,655 | ||||||||
7,509,879 | ||||||||||
Total Common Stock | 440,453,159 | |||||||||
Preferred Stock – 0.3% | ||||||||||
Automobile Manufacturers – 0.1% |
| |||||||||
Bayerische Motoren Werke AG | 10,561 | 713,290 |
Number of Shares | Fair Value | |||||||||
Hyundai Motor Co. | 4,255 | $ | 350,960 | |||||||
Hyundai Motor Co. | 2,699 | 219,885 | ||||||||
1,284,135 | ||||||||||
Commodity Chemicals – 0.1% | ||||||||||
FUCHS PETROLUB SE | 12,910 | 733,568 | ||||||||
LG Chem Ltd. | 897 | 315,019 | ||||||||
1,048,587 | ||||||||||
Technology Hardware, Storage & Peripherals – 0.1% |
| |||||||||
Samsung Electronics Company Ltd. | 44,973 | 3,047,052 | ||||||||
Total Preferred Stock | 5,379,774 | |||||||||
Total Foreign Equity | 445,832,933 |
Principal Amount | Fair Value | |||||||||
Bonds and Notes – 22.6% | ||||||||||
U.S. Treasuries – 8.2% | ||||||||||
U.S. Treasury Bonds | ||||||||||
1.13% | 08/15/40 | $ | 300,000 | 284,109 | ||||||
1.25% | 05/15/50 | 550,000 | 499,211 | |||||||
1.38% | 11/15/40 - 08/15/50 | 200,000 | 192,562 | |||||||
1.63% | 11/15/50 | 200,000 | 199,219 | |||||||
2.00% | 02/15/50 | 350,000 | 380,352 | |||||||
2.25% | 08/15/46 - 08/15/49 | 800,000 | 914,641 | |||||||
2.38% | 11/15/49 | 350,000 | 411,414 | |||||||
2.50% | 02/15/45 - 05/15/46 | 910,000 | 1,086,670 | |||||||
2.75% | 11/15/42 - 11/15/47 | 925,000 | 1,154,253 | |||||||
2.88% | 05/15/43 - 05/15/49 | 800,000 | 1,022,063 | |||||||
3.00% | 05/15/42 - 02/15/49 | 2,450,000 | 3,198,406 | |||||||
3.13% | 02/15/43 - 05/15/48 | 700,000 | 923,532 | |||||||
3.38% | 05/15/44 - 11/15/48 | 400,000 | 554,594 | |||||||
3.63% | 02/15/44 | 540,000 | 764,606 | |||||||
3.75% | 08/15/41 | 100,000 | 142,078 | |||||||
4.25% | 05/15/39 - 11/15/40 | 200,000 | 298,547 | |||||||
4.38% | 02/15/38 - 05/15/40 | 400,000 | 603,844 | |||||||
4.50% | 02/15/36 | 100,000 | 146,734 | |||||||
4.63% | 02/15/40 | 100,000 | 155,797 | |||||||
5.25% | 02/15/29 | 200,000 | 270,969 | |||||||
5.50% | 08/15/28 | 200,000 | 271,219 | |||||||
6.00% | 02/15/26 | 427,000 | 548,261 | |||||||
6.13% | 08/15/29 | 200,000 | 289,594 | |||||||
6.38% | 08/15/27 | 200,000 | 275,469 | |||||||
7.63% | 11/15/22 - 02/15/25 | 500,000 | 601,836 | |||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||||
0.13% | 07/15/30 | 2,742,039 | 3,078,785 | |||||||
0.25% | 02/15/50 | 1,012,790 | 1,208,470 | |||||||
0.63% | 02/15/43 | 1,075,913 | 1,342,586 | |||||||
0.75% | 02/15/42 - 02/15/45 | 2,833,376 | 3,637,889 | |||||||
0.88% | 02/15/47 | 884,518 | 1,190,436 | |||||||
1.00% | 02/15/46 - 02/15/49 | 2,432,309 | 3,380,855 | |||||||
1.38% | 02/15/44 | 1,340,700 | 1,932,788 | |||||||
1.75% | 01/15/28 | 994,328 | 1,220,786 | |||||||
2.00% | 01/15/26 | 1,311,910 | 1,560,635 | |||||||
2.13% | 02/15/40 - 02/15/41 | 1,255,532 | 1,961,013 | |||||||
2.38% | 01/15/25 - 01/15/27 | 3,190,564 | 3,827,097 | |||||||
2.50% | 01/15/29 | 1,212,780 | 1,594,531 | |||||||
3.38% | 04/15/32 | 366,740 | 559,316 | |||||||
3.63% | 04/15/28 | 853,247 | 1,174,600 | |||||||
3.88% | 04/15/29 | 1,029,542 | 1,484,663 | |||||||
U.S. Treasury Inflation Indexed Notes | ||||||||||
0.13% | 01/15/22 - 01/15/30 | 23,559,968 | 25,012,899 | |||||||
0.25% | 01/15/25 - 07/15/29 | 4,808,705 | 5,299,030 | |||||||
0.38% | 07/15/23 - 07/15/27 | 10,627,262 | 11,648,669 | |||||||
0.50% | 04/15/24 - 01/15/28 | 4,964,315 | 5,493,545 | |||||||
0.63% | 04/15/23 - 01/15/26 | 8,158,219 | 8,807,330 | |||||||
0.75% | 07/15/28 | 2,059,080 | 2,397,001 | |||||||
0.88% | 01/15/29 | 1,753,074 | 2,061,697 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
U.S. Treasury Notes | ||||||||||
0.13% | 05/15/23 - 10/15/23 | $ | 1,200,000 | $ | 1,199,297 | |||||
0.25% | 04/15/23 - 12/31/25 | 2,300,000 | 2,295,555 | |||||||
0.38% | 04/30/25 | 200,000 | 200,734 | |||||||
0.50% | 03/15/23 - 10/31/27 | 1,700,000 | 1,700,437 | |||||||
0.63% | 05/15/30 - 08/15/30 | 650,000 | 634,649 | |||||||
0.88% | 11/15/30 | 300,000 | 298,969 | |||||||
1.13% | 02/28/22 - 02/28/27 | 1,400,000 | 1,440,766 | |||||||
1.25% | 08/31/24 | 500,000 | 518,633 | |||||||
1.38% | 01/31/22 - 08/31/26 | 900,000 | 931,785 | |||||||
1.50% | 08/15/22 - 02/15/30 | 3,050,000 | 3,179,071 | |||||||
1.63% | 08/31/22 - 08/15/29 | 2,140,000 | 2,247,924 | |||||||
1.75% | 05/31/22 - 11/15/29 | 3,500,000 | 3,657,504 | |||||||
1.88% | 01/31/22 - 07/31/26 | 2,200,000 | 2,259,363 | |||||||
2.00% | 10/31/22 - 08/15/25 | 1,844,000 | 1,962,244 | |||||||
2.13% | 12/31/22 - 05/31/26 | 3,900,000 | 4,159,721 | |||||||
2.25% | 04/30/24 - 11/15/27 | 3,590,000 | 3,907,850 | |||||||
2.38% | 01/31/23 - 05/15/29 | 1,800,000 | 1,992,766 | |||||||
2.50% | 08/15/23 - 05/15/24 | 1,000,000 | 1,069,492 | |||||||
2.63% | 02/28/23 - 02/15/29 | 2,400,000 | 2,631,367 | |||||||
2.75% | 04/30/23 - 02/15/28 | 3,600,000 | 3,884,508 | |||||||
2.88% | 09/30/23 - 08/15/28 | 2,900,000 | 3,247,781 | |||||||
3.00% | 09/30/25 | 300,000 | 337,594 | |||||||
3.13% | 11/15/28 | 400,000 | 473,562 | |||||||
149,296,173 | ||||||||||
Agency Mortgage Backed – 5.0% | ||||||||||
Federal Home Loan Banks | ||||||||||
2.50% | 02/13/24 | 440,000 | 471,420 | |||||||
3.25% | 11/16/28 | 125,000 | 149,022 | |||||||
Federal Home Loan Mortgage Corp. | ||||||||||
0.13% | 10/16/23 | 380,000 | 379,483 | |||||||
2.00% | 09/01/50 | 779,322 | 809,742 | |||||||
2.50% | 01/01/28 - 09/01/50 | 4,428,455 | 4,663,148 | |||||||
3.00% | 07/01/30 - 04/01/50 | 8,337,219 | 8,835,910 | |||||||
3.50% | 03/01/26 - 11/01/49 | 5,231,818 | 5,614,212 | |||||||
4.00% | 06/01/42 - 03/01/49 | 2,160,129 | 2,345,779 | |||||||
4.50% | 05/01/42 - 03/01/49 | 648,870 | 704,576 | |||||||
5.50% | 01/01/38 - 04/01/39 | 234,514 | 276,566 | |||||||
6.00% | 06/01/37 - 11/01/37 | 229,612 | 270,892 | |||||||
6.25% | 07/15/32 | 250,000 | 387,077 | |||||||
Federal National Mortgage Assoc. | ||||||||||
0.25% | 05/22/23 - 07/10/23 | 955,000 | 956,772 | |||||||
1.50% | 12/01/50 | 673,149 | 680,407 | |||||||
1.75% | 07/02/24 | 225,000 | 236,799 | |||||||
2.00% | 11/01/35 - 12/01/50 | 6,402,109 | 6,659,660 | |||||||
2.13% | 04/24/26 | 200,000 | 217,820 | |||||||
2.50% | 09/01/28 - 11/01/50 | 7,049,288 | 7,419,734 | |||||||
2.63% | 01/11/22 | 500,000 | 512,790 | |||||||
3.00% | 01/01/28 - 07/01/50 | 6,497,256 | 6,929,380 | |||||||
3.50% | 01/01/27 - 06/01/50 | 6,721,501 | 7,179,921 | |||||||
4.00% | 10/01/41 - 02/01/50 | 5,149,538 | 5,585,604 | |||||||
4.50% | 01/01/27 - 09/01/49 | 2,472,318 | 2,744,133 | |||||||
5.00% | 12/01/39 - 05/01/41 | 164,111 | 186,503 | |||||||
5.50% | 12/01/35 - 04/01/38 | 816,181 | 949,778 | |||||||
6.00% | 03/01/34 - 08/01/37 | 1,085,726 | 1,275,239 | |||||||
6.63% | 11/15/30 | 100,000 | 151,373 | |||||||
1.50% | TBA | 800,000 | 815,620 | (d) | ||||||
2.00% | TBA | 2,575,000 | 2,678,374 | (d) | ||||||
Government National Mortgage Assoc. | ||||||||||
2.00% | 10/20/50 | 657,856 | 688,352 | |||||||
2.50% | 05/20/45 - 10/20/50 | 2,974,506 | 3,151,703 | |||||||
3.00% | 10/15/42 - 07/20/50 | 5,783,613 | 6,127,585 | |||||||
3.50% | 03/20/45 - 02/20/50 | 5,426,301 | 5,825,008 | |||||||
4.00% | 12/20/40 - 07/20/49 | 2,481,513 | 2,708,990 | |||||||
4.50% | 05/20/40 - 01/20/49 | 1,277,044 | 1,409,752 | |||||||
5.00% | 08/15/41 | 839,888 | 938,620 | |||||||
2.00% | TBA | 500,000 | 522,615 | (d) | ||||||
91,460,359 | ||||||||||
Agency Collateralized Mortgage Obligations – 0.2% | ||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||
1.48% | 04/25/30 | 69,643 | 71,698 | |||||||
1.56% | 04/25/30 | 40,000 | 41,426 |
Principal Amount | Fair Value | |||||||||
1.87% | 01/25/30 | $ | 58,333 | $ | 61,876 | |||||
2.57% | 07/25/26 | 352,000 | 383,912 | |||||||
2.75% | 01/25/26 | 300,000 | 328,518 | |||||||
3.18% | 11/25/28 | 291,808 | 324,643 | |||||||
3.30% | 04/25/23 | 100,000 | 106,342 | (e) | ||||||
3.39% | 03/25/24 | 200,000 | 217,256 | |||||||
3.56% | 01/25/29 | 200,000 | 236,906 | |||||||
3.78% | 08/25/28 | 191,071 | 216,831 | |||||||
Federal National Mortgage Assoc. | ||||||||||
1.27% | 07/25/30 | 80,000 | 80,418 | |||||||
3.08% | 06/25/27 | 261,000 | 296,362 | (e) | ||||||
3.37% | 07/25/28 | 500,000 | 583,576 | (e) | ||||||
3.64% | 08/25/30 | 200,000 | 240,334 | (e) | ||||||
3,190,098 | ||||||||||
Asset Backed – 0.1% | ||||||||||
American Express Credit Account Master Trust | ||||||||||
2.35% | 05/15/25 | 100,000 | 103,798 | |||||||
Americredit Automobile Receivables Trust 2018-1 | ||||||||||
3.50% | 01/18/24 | 75,000 | 77,543 | |||||||
Capital One Multi-Asset Execution Trust | ||||||||||
2.84% | 12/15/24 | 250,000 | 257,290 | |||||||
Carmax Auto Owner Trust 2018-4 | ||||||||||
3.48% | 02/15/24 | 150,000 | 158,607 | |||||||
Discover Card Execution Note Trust | ||||||||||
3.04% | 07/15/24 | 60,000 | 61,746 | |||||||
Ford Credit Auto Owner Trust 2020-B | ||||||||||
0.56% | 10/15/24 | 189,000 | 189,834 | |||||||
Honda Auto Receivables 2019-4 Owner Trust | ||||||||||
1.83% | 01/18/24 | 100,000 | 102,022 | |||||||
Mercedes-Benz Auto Lease Trust 2020-A | ||||||||||
1.88% | 09/15/25 | 250,000 | 255,646 | |||||||
1,206,486 | ||||||||||
Corporate Notes – 8.2% | ||||||||||
3M Co. | ||||||||||
3.00% | 08/07/25 | 40,000 | 44,397 | |||||||
3.25% | 02/14/24 | 75,000 | 81,381 | |||||||
3.38% | 03/01/29 | 50,000 | 57,852 | |||||||
3.63% | 09/14/28 | 25,000 | 29,194 | |||||||
4.00% | 09/14/48 | 55,000 | 70,352 | |||||||
Abbott Laboratories | ||||||||||
2.55% | 03/15/22 | 130,000 | 133,488 | |||||||
3.75% | 11/30/26 | 57,000 | 66,766 | |||||||
4.75% | 11/30/36 | 100,000 | 137,121 | |||||||
4.90% | 11/30/46 | 100,000 | 147,692 | |||||||
AbbVie Inc. | ||||||||||
2.60% | 11/21/24 | 50,000 | 53,591 | |||||||
3.20% | 11/21/29 | 105,000 | 118,272 | |||||||
3.25% | 10/01/22 | 300,000 | 312,471 | |||||||
3.75% | 11/14/23 | 35,000 | 38,173 | |||||||
3.80% | 03/15/25 | 300,000 | 335,007 | |||||||
4.25% | 11/14/28 - 11/21/49 | 60,000 | 74,585 | |||||||
4.30% | 05/14/36 | 100,000 | 123,525 | |||||||
4.40% | 11/06/42 | 150,000 | 187,974 | |||||||
4.50% | 05/14/35 | 70,000 | 88,112 | |||||||
4.70% | 05/14/45 | 50,000 | 65,223 | |||||||
4.75% | 03/15/45 | 100,000 | 130,933 | |||||||
4.88% | 11/14/48 | 25,000 | 33,994 | |||||||
Activision Blizzard Inc. | ||||||||||
2.50% | 09/15/50 | 180,000 | 174,677 | |||||||
Adobe Inc. | ||||||||||
1.90% | 02/01/25 | 100,000 | 105,690 | |||||||
3.25% | 02/01/25 | 70,000 | 77,255 | |||||||
Advocate Health & Hospitals Corp. | ||||||||||
3.39% | 10/15/49 | 25,000 | 28,240 | |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | ||||||||||
4.45% | 10/01/25 - 04/03/26 | 150,000 | 167,466 | |||||||
6.50% | 07/15/25 | 150,000 | 179,319 | |||||||
Aetna Inc. | ||||||||||
2.75% | 11/15/22 | 50,000 | 51,870 | |||||||
Aflac Inc. | ||||||||||
3.63% | 11/15/24 | 50,000 | 55,980 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
African Development Bank | ||||||||||
0.75% | 04/03/23 | $ | 100,000 | $ | 101,191 | |||||
Agilent Technologies Inc. | ||||||||||
2.10% | 06/04/30 | 115,000 | 119,518 | |||||||
2.75% | 09/15/29 | 25,000 | 27,307 | |||||||
Air Lease Corp. | ||||||||||
2.88% | 01/15/26 | 120,000 | 126,961 | |||||||
3.38% | 07/01/25 | 95,000 | 102,621 | |||||||
3.88% | 07/03/23 | 50,000 | 53,278 | |||||||
4.25% | 02/01/24 | 100,000 | 108,501 | |||||||
Air Products & Chemicals Inc. | ||||||||||
1.50% | 10/15/25 | 10,000 | 10,426 | |||||||
2.05% | 05/15/30 | 10,000 | 10,677 | |||||||
2.70% | 05/15/40 | 25,000 | 26,884 | |||||||
2.80% | 05/15/50 | 20,000 | 21,980 | |||||||
Aircastle Ltd. | ||||||||||
4.13% | 05/01/24 | 20,000 | 21,257 | |||||||
5.00% | 04/01/23 | 20,000 | 21,451 | |||||||
5.50% | 02/15/22 | 20,000 | 20,914 | |||||||
Alabama Power Co. | ||||||||||
3.45% | 10/01/49 | 50,000 | 58,873 | |||||||
Alexandria Real Estate Equities Inc. | ||||||||||
1.88% | 02/01/33 | 170,000 | 169,436 | |||||||
3.45% | 04/30/25 | 100,000 | 110,894 | |||||||
4.00% | 02/01/50 | 25,000 | 31,394 | |||||||
4.70% | 07/01/30 | 15,000 | 18,622 | |||||||
Alibaba Group Holding Ltd. | ||||||||||
4.00% | 12/06/37 | 100,000 | 117,960 | |||||||
4.20% | 12/06/47 | 60,000 | 75,203 | |||||||
Allegion PLC | ||||||||||
3.50% | 10/01/29 | 15,000 | 16,571 | |||||||
Ally Financial Inc. | ||||||||||
1.45% | 10/02/23 | 270,000 | 275,600 | |||||||
Alphabet Inc. | ||||||||||
0.45% | 08/15/25 | 90,000 | 89,983 | |||||||
1.10% | 08/15/30 | 65,000 | 63,903 | |||||||
1.90% | 08/15/40 | 100,000 | 97,584 | |||||||
2.05% | 08/15/50 | 165,000 | 157,271 | |||||||
3.38% | 02/25/24 | 125,000 | 136,679 | |||||||
Altria Group Inc. | ||||||||||
2.63% | 09/16/26 | 100,000 | 107,878 | |||||||
3.80% | 02/14/24 | 20,000 | 21,847 | |||||||
4.25% | 08/09/42 | 113,000 | 125,944 | |||||||
4.45% | 05/06/50 | 120,000 | 141,857 | |||||||
4.80% | 02/14/29 | 40,000 | 47,961 | |||||||
5.38% | 01/31/44 | 70,000 | 89,095 | |||||||
5.80% | 02/14/39 | 15,000 | 19,746 | |||||||
5.95% | 02/14/49 | 40,000 | 55,884 | |||||||
6.20% | 02/14/59 | 15,000 | 21,287 | |||||||
Amazon.com Inc. | ||||||||||
0.40% | 06/03/23 | 105,000 | 105,448 | |||||||
0.80% | 06/03/25 | 135,000 | 136,998 | |||||||
1.50% | 06/03/30 | 65,000 | 66,183 | |||||||
2.50% | 06/03/50 | 80,000 | 82,902 | |||||||
3.15% | 08/22/27 | 100,000 | 113,759 | |||||||
3.88% | 08/22/37 | 100,000 | 124,599 | |||||||
4.25% | 08/22/57 | 100,000 | 141,734 | |||||||
4.80% | 12/05/34 | 150,000 | 206,061 | |||||||
America Movil SAB de C.V. | ||||||||||
2.88% | 05/07/30 | 100,000 | 108,659 | |||||||
3.13% | 07/16/22 | 50,000 | 51,977 | |||||||
6.13% | 03/30/40 | 100,000 | 147,924 | |||||||
American Airlines 2019-1 Class AA Pass Through Trust | ||||||||||
3.15% | 08/15/33 | 72,392 | 69,961 | |||||||
American Campus Communities Operating Partnership LP | ||||||||||
3.63% | 11/15/27 | 30,000 | 32,987 | |||||||
American Electric Power Company Inc. | ||||||||||
3.20% | 11/13/27 | 100,000 | 112,099 | |||||||
American Express Co. | ||||||||||
2.75% | 05/20/22 | 100,000 | 103,144 | |||||||
3.00% | 10/30/24 | 100,000 | 109,113 | |||||||
3.40% | 02/27/23 | 100,000 | 106,357 |
Principal Amount | Fair Value | |||||||||
3.63% | 12/05/24 | $ | 50,000 | $ | 55,540 | |||||
American Financial Group Inc. | ||||||||||
3.50% | 08/15/26 | 65,000 | 71,511 | |||||||
American Homes 4 Rent LP | ||||||||||
4.90% | 02/15/29 | 100,000 | 120,741 | |||||||
American Honda Finance Corp. | ||||||||||
1.20% | 07/08/25 | 150,000 | 153,463 | |||||||
1.95% | 05/20/22 | 15,000 | 15,341 | |||||||
2.40% | 06/27/24 | 25,000 | 26,579 | |||||||
2.60% | 11/16/22 | 100,000 | 104,262 | |||||||
American International Group Inc. | ||||||||||
2.50% | 06/30/25 | 100,000 | 107,546 | |||||||
3.40% | 06/30/30 | 100,000 | 114,489 | |||||||
4.25% | 03/15/29 | 100,000 | 120,098 | |||||||
4.38% | 06/30/50 | 65,000 | 84,557 | |||||||
4.50% | 07/16/44 | 50,000 | 63,960 | |||||||
4.88% | 06/01/22 | 100,000 | 106,193 | |||||||
American Tower Corp. | ||||||||||
2.40% | 03/15/25 | 100,000 | 106,514 | |||||||
3.10% | 06/15/50 | 200,000 | 206,242 | |||||||
3.50% | 01/31/23 | 50,000 | 53,063 | |||||||
3.95% | 03/15/29 | 100,000 | 116,392 | |||||||
American Water Capital Corp. | ||||||||||
2.80% | 05/01/30 | 100,000 | 110,295 | |||||||
Ameriprise Financial Inc. | ||||||||||
3.00% | 03/22/22 | 15,000 | 15,484 | |||||||
AmerisourceBergen Corp. | ||||||||||
3.45% | 12/15/27 | 100,000 | 113,863 | |||||||
Amgen Inc. | ||||||||||
2.20% | 02/21/27 | 100,000 | 106,884 | |||||||
3.15% | 02/21/40 | 275,000 | 299,964 | |||||||
3.20% | 11/02/27 | 100,000 | 112,584 | |||||||
3.38% | 02/21/50 | 75,000 | 83,708 | |||||||
4.56% | 06/15/48 | 50,000 | 65,810 | |||||||
4.66% | 06/15/51 | 105,000 | 142,562 | |||||||
Amphenol Corp. | ||||||||||
2.80% | 02/15/30 | 50,000 | 55,176 | |||||||
4.35% | 06/01/29 | 25,000 | 30,771 | |||||||
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||||||||||
4.70% | 02/01/36 | 150,000 | 190,153 | |||||||
4.90% | 02/01/46 | 120,000 | 155,924 | |||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||||
3.50% | 06/01/30 | 100,000 | 115,883 | |||||||
4.00% | 04/13/28 | 55,000 | 64,782 | |||||||
4.38% | 04/15/38 | 115,000 | 141,995 | |||||||
4.50% | 06/01/50 | 100,000 | 126,206 | |||||||
4.60% | 04/15/48 | 135,000 | 170,267 | |||||||
4.75% | 01/23/29 - 04/15/58 | 105,000 | 133,584 | |||||||
5.45% | 01/23/39 | 35,000 | 47,396 | |||||||
5.55% | 01/23/49 | 65,000 | 92,190 | |||||||
5.80% | 01/23/59 | 25,000 | 38,297 | |||||||
Anthem Inc. | ||||||||||
3.30% | 01/15/23 | 100,000 | 105,849 | |||||||
3.70% | 09/15/49 | 100,000 | 119,206 | |||||||
4.38% | 12/01/47 | 65,000 | 84,226 | |||||||
4.65% | 01/15/43 | 100,000 | 131,435 | |||||||
Aon Corp. | ||||||||||
3.75% | 05/02/29 | 25,000 | 29,202 | |||||||
4.50% | 12/15/28 | 100,000 | 120,705 | |||||||
Apple Inc. | ||||||||||
0.75% | 05/11/23 | 100,000 | 101,243 | |||||||
2.40% | 01/13/23 - 08/20/50 | 160,000 | 164,316 | |||||||
2.50% | 02/09/22 | 50,000 | 51,143 | |||||||
2.75% | 01/13/25 | 50,000 | 54,274 | |||||||
3.00% | 11/13/27 | 100,000 | 112,840 | |||||||
3.25% | 02/23/26 | 60,000 | 67,275 | |||||||
3.75% | 11/13/47 | 50,000 | 63,123 | |||||||
4.38% | 05/13/45 | 65,000 | 89,354 | |||||||
4.50% | 02/23/36 | 150,000 | 202,194 | |||||||
4.65% | 02/23/46 | 185,000 | 264,054 | |||||||
Applied Materials Inc. | ||||||||||
3.90% | 10/01/25 | 60,000 | 68,794 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Aptiv Corp. | ||||||||||
4.15% | 03/15/24 | $ | 50,000 | $ | 55,008 | |||||
Arch Capital Finance LLC | ||||||||||
4.01% | 12/15/26 | 100,000 | 116,057 | |||||||
5.03% | 12/15/46 | 100,000 | 136,370 | |||||||
Ares Capital Corp. | ||||||||||
3.88% | 01/15/26 | 100,000 | 108,392 | |||||||
4.20% | 06/10/24 | 65,000 | 70,777 | |||||||
Arizona Public Service Co. | ||||||||||
2.65% | 09/15/50 | 65,000 | 67,207 | |||||||
4.25% | 03/01/49 | 25,000 | 32,359 | |||||||
Arrow Electronics Inc. | ||||||||||
4.00% | 04/01/25 | 40,000 | 43,736 | |||||||
Ascension Health | ||||||||||
3.95% | 11/15/46 | 125,000 | 160,149 | |||||||
Asian Development Bank | ||||||||||
0.25% | 07/14/23 | 135,000 | 135,104 | |||||||
0.75% | 10/08/30 | 200,000 | 194,924 | |||||||
1.75% | 09/19/29 | 50,000 | 53,252 | |||||||
1.88% | 07/19/22 | 200,000 | 205,200 | |||||||
2.13% | 03/19/25 | 200,000 | 214,448 | |||||||
2.63% | 01/30/24 | 200,000 | 214,422 | |||||||
2.75% | 03/17/23 | 295,000 | 311,434 | |||||||
3.13% | 09/26/28 | 25,000 | 29,267 | |||||||
Assurant Inc. | ||||||||||
4.90% | 03/27/28 | 50,000 | 57,968 | |||||||
AstraZeneca PLC | ||||||||||
0.70% | 04/08/26 | 150,000 | 149,146 | |||||||
1.38% | 08/06/30 | 100,000 | 98,808 | |||||||
2.13% | 08/06/50 | 115,000 | 107,853 | |||||||
3.50% | 08/17/23 | 25,000 | 26,949 | |||||||
4.00% | 01/17/29 | 20,000 | 23,866 | |||||||
4.38% | 08/17/48 | 20,000 | 26,887 | |||||||
6.45% | 09/15/37 | 50,000 | 76,789 | |||||||
AT&T Inc. | ||||||||||
1.65% | 02/01/28 | 45,000 | 45,995 | |||||||
2.25% | 02/01/32 | 110,000 | 111,430 | |||||||
2.75% | 06/01/31 | 100,000 | 106,856 | |||||||
3.10% | 02/01/43 | 300,000 | 305,028 | |||||||
3.30% | 02/01/52 | 150,000 | 148,828 | |||||||
3.40% | 05/15/25 | 100,000 | 111,116 | |||||||
3.50% | 09/15/53 | 198,000 | 199,099 | (c) | ||||||
3.55% | 09/15/55 | 186,000 | 186,809 | (c) | ||||||
3.65% | 06/01/51 | 100,000 | 104,654 | |||||||
3.80% | 12/01/57 | 58,000 | 60,583 | (c) | ||||||
4.10% | 02/15/28 | 106,000 | 124,492 | |||||||
4.30% | 02/15/30 | 20,000 | 23,871 | |||||||
4.35% | 03/01/29 - 06/15/45 | 150,000 | 176,957 | |||||||
4.50% | 05/15/35 | 95,000 | 115,099 | |||||||
4.75% | 05/15/46 | 150,000 | 184,741 | |||||||
Athene Holding Ltd. | ||||||||||
3.50% | 01/15/31 | 10,000 | 10,626 | |||||||
Atmos Energy Corp. | ||||||||||
4.30% | 10/01/48 | 100,000 | 132,570 | |||||||
Australia & New Zealand Banking Group Ltd. | ||||||||||
3.70% | 11/16/25 | 50,000 | 57,378 | |||||||
Automatic Data Processing Inc. | ||||||||||
1.25% | 09/01/30 | 40,000 | 39,967 | |||||||
AutoNation Inc. | ||||||||||
3.80% | 11/15/27 | 50,000 | 55,148 | |||||||
AutoZone Inc. | ||||||||||
3.75% | 04/18/29 | 100,000 | 115,177 | |||||||
AvalonBay Communities Inc. | ||||||||||
3.20% | 01/15/28 | 40,000 | 44,610 | |||||||
3.45% | 06/01/25 | 115,000 | 128,081 | |||||||
Avangrid Inc. | ||||||||||
3.20% | 04/15/25 | 100,000 | 109,598 | |||||||
3.80% | 06/01/29 | 50,000 | 57,572 | |||||||
AXA S.A. | ||||||||||
8.60% | 12/15/30 | 100,000 | 155,669 | |||||||
Baidu Inc. | ||||||||||
3.08% | 04/07/25 | 100,000 | 107,044 |
Principal Amount | Fair Value | |||||||||
4.38% | 03/29/28 | $ | 100,000 | $ | 115,275 | |||||
Baker Hughes a GE Company LLC/Baker Hughes Co-Obligor Inc. | ||||||||||
2.77% | 12/15/22 | 50,000 | 52,231 | |||||||
3.34% | 12/15/27 | 50,000 | 56,168 | |||||||
4.08% | 12/15/47 | 50,000 | 57,072 | |||||||
Banco Bilbao Vizcaya Argentaria S.A. | ||||||||||
0.88% | 09/18/23 | 100,000 | 100,773 | |||||||
Banco Santander S.A. | ||||||||||
3.13% | 02/23/23 | 100,000 | 105,287 | |||||||
3.31% | 06/27/29 | 100,000 | 112,477 | |||||||
3.80% | 02/23/28 | 100,000 | 113,255 | |||||||
4.25% | 04/11/27 | 100,000 | 115,822 | |||||||
Bank of America Corp. | ||||||||||
3.50% | 04/19/26 | 145,000 | 164,402 | |||||||
3.88% | 08/01/25 | 50,000 | 57,019 | |||||||
3.95% | 04/21/25 | 55,000 | 61,972 | |||||||
4.00% | 04/01/24 | 50,000 | 55,472 | |||||||
4.18% | 11/25/27 | 100,000 | 116,005 | |||||||
6.11% | 01/29/37 | 100,000 | 145,873 | |||||||
Bank of America Corp. (0.81% fixed rate until 10/24/23; 0.74% + SOFR thereafter) | ||||||||||
0.81% | 10/24/24 | 200,000 | 201,950 | (e) | ||||||
Bank of America Corp. (0.98% fixed rate until 09/25/24; 0.91% + SOFR thereafter) | ||||||||||
0.98% | 09/25/25 | 200,000 | 202,352 | (e) | ||||||
Bank of America Corp. (1.20% fixed rate until 10/24/25; 1.01% + SOFR thereafter) | ||||||||||
1.20% | 10/24/26 | 100,000 | 101,569 | (e) | ||||||
Bank of America Corp. (1.32% fixed rate until 06/19/25; 1.15% + SOFR thereafter) | ||||||||||
1.32% | 06/19/26 | 150,000 | 152,763 | (e) | ||||||
Bank of America Corp. (1.92% fixed rate until 10/24/30; 1.37% + SOFR thereafter) | ||||||||||
1.92% | 10/24/31 | 100,000 | 101,323 | (e) | ||||||
Bank of America Corp. (2.46% fixed rate until 10/22/24; 0.87% + 3 month USD LIBOR thereafter) | ||||||||||
2.46% | 10/22/25 | 100,000 | 106,674 | (e) | ||||||
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | ||||||||||
2.59% | 04/29/31 | 75,000 | 80,265 | (e) | ||||||
Bank of America Corp. (2.83% fixed rate until 10/24/50; 1.88% + SOFR thereafter) | ||||||||||
2.83% | 10/24/51 | 125,000 | 129,945 | (e) | ||||||
Bank of America Corp. (2.88% fixed rate until 10/22/29; 1.19% + 3 month USD LIBOR thereafter) | ||||||||||
2.88% | 10/22/30 | 100,000 | 109,409 | (e) | ||||||
Bank of America Corp. (3.19% fixed rate until 07/23/29; 1.18% + 3 month USD LIBOR thereafter) | ||||||||||
3.19% | 07/23/30 | 50,000 | 55,941 | (e) | ||||||
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | ||||||||||
3.42% | 12/20/28 | 107,000 | 120,694 | (e) | ||||||
Bank of America Corp. (3.46% fixed rate until 03/15/24; 0.97% + 3 month USD LIBOR thereafter) | ||||||||||
3.46% | 03/15/25 | 100,000 | 108,922 | (e) | ||||||
Bank of America Corp. (3.55% fixed rate until 03/05/23; 0.78% + 3 month USD LIBOR thereafter) | ||||||||||
3.55% | 03/05/24 | 100,000 | 106,798 | (e) | ||||||
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | ||||||||||
3.56% | 04/23/27 | 100,000 | 112,944 | (e) | ||||||
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | ||||||||||
3.95% | 01/23/49 | 100,000 | 124,355 | (e) | ||||||
Bank of America Corp. (3.97% fixed rate until 03/05/28; 1.07% + 3 month USD LIBOR thereafter) | ||||||||||
3.97% | 03/05/29 | 100,000 | 116,516 | (e) | ||||||
Bank of America Corp. (4.08% fixed rate until 03/20/50; 3.15% + 3 month USD LIBOR therefter) | ||||||||||
4.08% | 03/20/51 | 100,000 | 126,498 | (e) |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Bank of America Corp. (4.08% fixed rate until 04/23/39; 1.32% + 3 month USD LIBOR thereafter) | ||||||||||
4.08% | 04/23/40 | $ | 150,000 | $ | 184,438 | (e) | ||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | ||||||||||
4.24% | 04/24/38 | 50,000 | 61,741 | (e) | ||||||
Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter) | ||||||||||
4.33% | 03/15/50 | 100,000 | 130,226 | (e) | ||||||
Bank of Montreal | ||||||||||
2.05% | 11/01/22 | 20,000 | 20,645 | |||||||
2.90% | 03/26/22 | 50,000 | 51,623 | |||||||
3.30% | 02/05/24 | 200,000 | 217,030 | |||||||
Banner Health | ||||||||||
2.34% | 01/01/30 | 75,000 | 78,660 | |||||||
Barclays PLC | ||||||||||
3.65% | 03/16/25 | 50,000 | 55,208 | |||||||
4.38% | 01/12/26 | 200,000 | 230,316 | |||||||
Barclays PLC (2.85% fixed rate until 05/07/25; 2.45% + 3 month USD LIBOR therefter) | ||||||||||
2.85% | 05/07/26 | 200,000 | 214,812 | (e) | ||||||
Barclays PLC (3.56% fixed rate until 09/23/30; 2.9% + 5 year CMT Rate thereafter) | ||||||||||
3.56% | 09/23/35 | 100,000 | 107,719 | (e) | ||||||
Barclays PLC (4.61% fixed rate until 02/15/22; 1.40% + 3 month USD LIBOR thereafter) | ||||||||||
4.61% | 02/15/23 | 100,000 | 104,382 | (e) | ||||||
Barclays PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) | ||||||||||
4.97% | 05/16/29 | 100,000 | 120,290 | (e) | ||||||
BAT Capital Corp. | ||||||||||
2.79% | 09/06/24 | 100,000 | 106,949 | |||||||
3.56% | 08/15/27 | 100,000 | 111,486 | |||||||
Baxalta Inc. | ||||||||||
4.00% | 06/23/25 | 30,000 | 33,906 | |||||||
Baxter International Inc. | ||||||||||
2.60% | 08/15/26 | 130,000 | 142,031 | |||||||
BBVA USA | ||||||||||
3.88% | 04/10/25 | 50,000 | 56,065 | |||||||
Becton Dickinson and Co. | ||||||||||
3.70% | 06/06/27 | 66,000 | 75,507 | |||||||
3.73% | 12/15/24 | 50,000 | 55,381 | |||||||
Bell Canada Inc. | ||||||||||
4.30% | 07/29/49 | 30,000 | 39,154 | |||||||
Berkshire Hathaway Energy Co. | ||||||||||
4.05% | 04/15/25 | 100,000 | 113,534 | (c) | ||||||
4.25% | 10/15/50 | 100,000 | 129,011 | (c) | ||||||
4.45% | 01/15/49 | 100,000 | 132,132 | |||||||
Berkshire Hathaway Finance Corp. | ||||||||||
2.85% | 10/15/50 | 100,000 | 107,250 | |||||||
3.00% | 05/15/22 | 100,000 | 103,863 | |||||||
4.20% | 08/15/48 | 100,000 | 131,990 | |||||||
4.25% | 01/15/49 | 100,000 | 132,487 | |||||||
Best Buy Company Inc. | ||||||||||
4.45% | 10/01/28 | 25,000 | 30,091 | |||||||
Biogen Inc. | ||||||||||
2.25% | 05/01/30 | 85,000 | 88,440 | |||||||
4.05% | 09/15/25 | 80,000 | 91,671 | |||||||
5.20% | 09/15/45 | 50,000 | 67,115 | |||||||
Black Hills Corp. | ||||||||||
3.88% | 10/15/49 | 25,000 | 29,233 | |||||||
4.35% | 05/01/33 | 30,000 | 36,303 | |||||||
BlackRock Inc. | ||||||||||
1.90% | 01/28/31 | 25,000 | 26,184 | |||||||
2.40% | 04/30/30 | 20,000 | 21,855 | |||||||
3.25% | 04/30/29 | 60,000 | 69,241 | |||||||
Boardwalk Pipelines LP | ||||||||||
4.80% | 05/03/29 | 20,000 | 22,900 | |||||||
Booking Holdings Inc. | ||||||||||
3.55% | 03/15/28 | 100,000 | 114,687 | |||||||
BorgWarner Inc. | ||||||||||
2.65% | 07/01/27 | 25,000 | 26,956 |
Principal Amount | Fair Value | |||||||||
Boston Properties LP | ||||||||||
3.40% | 06/21/29 | $ | 50,000 | $ | 55,817 | |||||
3.85% | 02/01/23 | 150,000 | 159,621 | |||||||
Boston Scientific Corp. | ||||||||||
1.90% | 06/01/25 | 125,000 | 130,850 | |||||||
2.65% | 06/01/30 | 100,000 | 107,196 | |||||||
4.55% | 03/01/39 | 50,000 | 64,165 | |||||||
BP Capital Markets America Inc. | ||||||||||
2.77% | 11/10/50 | 100,000 | 99,448 | |||||||
2.94% | 04/06/23 | 200,000 | 211,232 | |||||||
3.19% | 04/06/25 | 100,000 | 109,991 | |||||||
3.41% | 02/11/26 | 50,000 | 56,062 | |||||||
3.94% | 09/21/28 | 100,000 | 117,577 | |||||||
4.23% | 11/06/28 | 50,000 | 59,705 | |||||||
BP Capital Markets PLC | ||||||||||
2.50% | 11/06/22 | 100,000 | 103,956 | |||||||
3.06% | 03/17/22 | 110,000 | 113,502 | |||||||
BPCE S.A. | ||||||||||
4.00% | 04/15/24 | 50,000 | 55,421 | |||||||
Brandywine Operating Partnership LP | ||||||||||
4.55% | 10/01/29 | 25,000 | 28,029 | |||||||
Bristol-Myers Squibb Co. | ||||||||||
0.54% | 11/13/23 | 35,000 | 35,055 | |||||||
0.75% | 11/13/25 | 50,000 | 50,340 | |||||||
1.13% | 11/13/27 | 50,000 | 50,467 | |||||||
1.45% | 11/13/30 | 30,000 | 30,123 | |||||||
2.00% | 08/01/22 | 50,000 | 51,333 | |||||||
2.35% | 11/13/40 | 20,000 | 20,471 | |||||||
2.55% | 11/13/50 | 30,000 | 30,658 | |||||||
2.60% | 05/16/22 | 50,000 | 51,592 | |||||||
2.75% | 02/15/23 | 50,000 | 52,425 | |||||||
3.40% | 07/26/29 | 55,000 | 63,936 | |||||||
3.45% | 11/15/27 | 50,000 | 57,598 | |||||||
4.13% | 06/15/39 | 15,000 | 19,230 | |||||||
4.25% | 10/26/49 | 40,000 | 53,962 | |||||||
4.35% | 11/15/47 | 50,000 | 67,303 | |||||||
5.00% | 08/15/45 | 50,000 | 72,141 | |||||||
5.25% | 08/15/43 | 120,000 | 171,613 | |||||||
British Telecommunications PLC | ||||||||||
9.63% | 12/15/30 | 50,000 | 82,854 | |||||||
Brixmor Operating Partnership LP | ||||||||||
4.05% | 07/01/30 | 100,000 | 115,019 | |||||||
4.13% | 05/15/29 | 50,000 | 57,476 | |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||||
2.65% | 01/15/23 | 100,000 | 104,110 | |||||||
Broadcom Inc. | ||||||||||
2.25% | 11/15/23 | 135,000 | 141,037 | |||||||
3.15% | 11/15/25 | 140,000 | 152,887 | |||||||
3.46% | 09/15/26 | 115,000 | 127,614 | |||||||
4.30% | 11/15/32 | 130,000 | 154,085 | |||||||
4.75% | 04/15/29 | 100,000 | 119,300 | |||||||
Broadridge Financial Solutions Inc. | ||||||||||
3.40% | 06/27/26 | 80,000 | 90,136 | |||||||
Brookfield Finance Inc. | ||||||||||
3.90% | 01/25/28 | 100,000 | 115,388 | |||||||
Brown & Brown Inc. | ||||||||||
4.50% | 03/15/29 | 100,000 | 118,259 | |||||||
Brown-Forman Corp. | ||||||||||
4.00% | 04/15/38 | 30,000 | 37,123 | |||||||
Bunge Limited Finance Corp. | ||||||||||
1.63% | 08/17/25 | 50,000 | 51,520 | |||||||
4.35% | 03/15/24 | 50,000 | 55,242 | |||||||
Burlington Northern Santa Fe LLC | ||||||||||
3.55% | 02/15/50 | 100,000 | 122,598 | |||||||
5.75% | 05/01/40 | 100,000 | 148,360 | |||||||
California Institute of Technology | ||||||||||
3.65% | 09/01/19 | 20,000 | 22,446 | |||||||
Camden Property Trust | ||||||||||
2.80% | 05/15/30 | 10,000 | 11,102 | |||||||
3.35% | 11/01/49 | 10,000 | 11,470 | |||||||
4.10% | 10/15/28 | 10,000 | 11,884 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Campbell Soup Co. | ||||||||||
2.38% | 04/24/30 | $ | 15,000 | $ | 15,833 | |||||
3.65% | 03/15/23 | 15,000 | 16,018 | |||||||
4.15% | 03/15/28 | 50,000 | 58,794 | |||||||
4.80% | 03/15/48 | 20,000 | 26,642 | |||||||
Canadian Imperial Bank of Commerce | ||||||||||
2.25% | 01/28/25 | 100,000 | 106,079 | |||||||
3.10% | 04/02/24 | 100,000 | 108,238 | |||||||
Canadian National Railway Co. | ||||||||||
2.95% | 11/21/24 | 55,000 | 59,386 | |||||||
Canadian Natural Resources Ltd. | ||||||||||
3.80% | 04/15/24 | 50,000 | 54,219 | |||||||
3.85% | 06/01/27 | 100,000 | 112,347 | |||||||
3.90% | 02/01/25 | 50,000 | 55,279 | |||||||
Canadian Pacific Railway Co. | ||||||||||
2.05% | 03/05/30 | 20,000 | 21,004 | |||||||
2.90% | 02/01/25 | 50,000 | 54,188 | |||||||
Capital One Financial Corp. | ||||||||||
3.75% | 07/28/26 - 03/09/27 | 230,000 | 261,488 | |||||||
3.90% | 01/29/24 | 125,000 | 136,845 | |||||||
4.20% | 10/29/25 | 90,000 | 102,609 | |||||||
Cardinal Health Inc. | ||||||||||
3.20% | 03/15/23 | 50,000 | 52,918 | |||||||
Carrier Global Corp. | ||||||||||
1.92% | 02/15/23 | 10,000 | 10,303 | |||||||
2.24% | 02/15/25 | 15,000 | 15,870 | |||||||
2.49% | 02/15/27 | 15,000 | 16,180 | |||||||
2.72% | 02/15/30 | 25,000 | 26,726 | |||||||
3.38% | 04/05/40 | 15,000 | 16,448 | |||||||
3.58% | 04/05/50 | 25,000 | 27,962 | |||||||
Caterpillar Financial Services Corp. | ||||||||||
0.45% | 09/14/23 | 100,000 | 100,343 | |||||||
0.95% | 05/13/22 | 100,000 | 100,939 | |||||||
1.95% | 11/18/22 | 50,000 | 51,567 | |||||||
2.55% | 11/29/22 | 50,000 | 52,166 | |||||||
3.25% | 12/01/24 | 100,000 | 110,377 | |||||||
Caterpillar Inc. | ||||||||||
3.25% | 04/09/50 | 100,000 | 117,450 | |||||||
3.80% | 08/15/42 | 100,000 | 126,149 | |||||||
Celulosa Arauco y Constitucion S.A. | ||||||||||
3.88% | 11/02/27 | 100,000 | 110,841 | |||||||
CenterPoint Energy Houston Electric LLC | ||||||||||
4.25% | 02/01/49 | 110,000 | 145,302 | |||||||
4.50% | 04/01/44 | 50,000 | 66,565 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||||
2.80% | 04/01/31 | 65,000 | 68,552 | |||||||
3.70% | 04/01/51 | 105,000 | 108,391 | |||||||
4.46% | 07/23/22 | 100,000 | 105,403 | |||||||
4.80% | 03/01/50 | 95,000 | 112,831 | |||||||
4.91% | 07/23/25 | 135,000 | 156,732 | |||||||
6.48% | 10/23/45 | 150,000 | 211,872 | |||||||
Cheniere Corpus Christi Holdings LLC | ||||||||||
3.70% | 11/15/29 | 45,000 | 50,052 | |||||||
Chevron Corp. | ||||||||||
2.41% | 03/03/22 | 45,000 | 45,959 | |||||||
2.90% | 03/03/24 | 50,000 | 53,605 | |||||||
2.95% | 05/16/26 | 100,000 | 111,008 | |||||||
2.98% | 05/11/40 | 215,000 | 238,229 | |||||||
Choice Hotels International Inc. | ||||||||||
3.70% | 12/01/29 | 25,000 | 27,339 | |||||||
Chubb INA Holdings Inc. | ||||||||||
1.38% | 09/15/30 | 165,000 | 164,451 | |||||||
4.35% | 11/03/45 | 100,000 | 135,354 | |||||||
Cigna Corp. | ||||||||||
2.40% | 03/15/30 | 15,000 | 15,964 | |||||||
3.40% | 03/15/50 | 160,000 | 179,550 | |||||||
3.75% | 07/15/23 | 37,000 | 39,963 | |||||||
4.38% | 10/15/28 | 40,000 | 48,294 | |||||||
4.80% | 08/15/38 | 30,000 | 39,013 | |||||||
4.90% | 12/15/48 | 130,000 | 178,574 | |||||||
Cimarex Energy Co. | ||||||||||
4.38% | 03/15/29 | 50,000 | 56,801 |
Principal Amount | Fair Value | |||||||||
Cintas Corporation No. 2 | ||||||||||
3.70% | 04/01/27 | $ | 100,000 | $ | 115,178 | |||||
Cisco Systems Inc. | ||||||||||
5.90% | 02/15/39 | 100,000 | 153,336 | |||||||
Citibank NA | ||||||||||
3.65% | 01/23/24 | 100,000 | 109,339 | |||||||
Citigroup Inc. | ||||||||||
2.70% | 10/27/22 | 100,000 | 104,013 | |||||||
3.88% | 03/26/25 | 50,000 | 55,978 | |||||||
4.30% | 11/20/26 | 100,000 | 116,676 | |||||||
4.75% | 05/18/46 | 50,000 | 66,381 | |||||||
5.88% | 01/30/42 | 72,000 | 109,741 | |||||||
6.13% | 08/25/36 | 155,000 | 217,104 | |||||||
Citigroup Inc. (0.78% fixed rate until 10/30/23; 0.69% + SOFR thereafter) | ||||||||||
0.78% | 10/30/24 | 100,000 | 100,731 | (e) | ||||||
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | ||||||||||
2.98% | 11/05/30 | 50,000 | 55,073 | (e) | ||||||
Citigroup Inc. (3.11% fixed rate until 04/08/25; 2.75% + SOFR thereafter) | ||||||||||
3.11% | 04/08/26 | 100,000 | 109,453 | (e) | ||||||
Citigroup Inc. (3.35% fixed rate until 04/24/24; 0.90% + 3 month USD LIBOR thereafter) | ||||||||||
3.35% | 04/24/25 | 100,000 | 108,817 | (e) | ||||||
Citigroup Inc. (3.52% fixed rate until 10/27/27; 1.15% + 3 month USD LIBOR thereafter) | ||||||||||
3.52% | 10/27/28 | 100,000 | 112,903 | (e) | ||||||
Citigroup Inc. (3.98% fixed rate until 03/20/29; 1.34% + 3 month USD LIBOR thereafter) | ||||||||||
3.98% | 03/20/30 | 100,000 | 117,530 | (e) | ||||||
Citigroup Inc. (5.32% fixed rate until 03/26/40; 4.55% + SOFR thereafter) | ||||||||||
5.32% | 03/26/41 | 150,000 | 209,893 | (e) | ||||||
Citizens Financial Group Inc. | ||||||||||
2.50% | 02/06/30 | 30,000 | 32,116 | |||||||
3.25% | 04/30/30 | 65,000 | 73,404 | |||||||
Citrix Systems Inc. | ||||||||||
3.30% | 03/01/30 | 25,000 | 27,632 | |||||||
CME Group Inc. | ||||||||||
3.00% | 03/15/25 | 50,000 | 54,855 | |||||||
CNA Financial Corp. | ||||||||||
2.05% | 08/15/30 | 45,000 | 46,366 | |||||||
CNH Industrial Capital LLC | ||||||||||
1.95% | 07/02/23 | 65,000 | 67,012 | |||||||
4.38% | 04/05/22 | 15,000 | 15,685 | |||||||
CNH Industrial N.V. | ||||||||||
3.85% | 11/15/27 | 15,000 | 16,902 | |||||||
CNOOC Finance 2014 ULC | ||||||||||
4.25% | 04/30/24 | 100,000 | 108,567 | |||||||
CNOOC Petroleum North America ULC | ||||||||||
6.40% | 05/15/37 | 100,000 | 137,611 | |||||||
Colgate-Palmolive Co. | ||||||||||
3.25% | 03/15/24 | 50,000 | 54,517 | |||||||
Comcast Corp. | ||||||||||
2.45% | 08/15/52 | 190,000 | 184,581 | |||||||
2.65% | 02/01/30 - 08/15/62 | 160,000 | 163,222 | |||||||
3.15% | 02/15/28 | 100,000 | 112,358 | |||||||
3.38% | 08/15/25 | 100,000 | 111,573 | |||||||
3.40% | 04/01/30 | 100,000 | 115,376 | |||||||
3.45% | 02/01/50 | 135,000 | 158,589 | |||||||
3.55% | 05/01/28 | 100,000 | 115,197 | |||||||
3.70% | 04/15/24 | 55,000 | 60,624 | |||||||
3.90% | 03/01/38 | 100,000 | 122,015 | |||||||
3.97% | 11/01/47 | 100,000 | 125,111 | |||||||
4.00% | 03/01/48 | 50,000 | 62,813 | |||||||
4.15% | 10/15/28 | 45,000 | 53,969 | |||||||
4.25% | 01/15/33 | 100,000 | 125,583 | |||||||
4.60% | 10/15/38 | 130,000 | 171,344 | |||||||
4.70% | 10/15/48 | 40,000 | 55,538 | |||||||
Comerica Inc. | ||||||||||
3.70% | 07/31/23 | 25,000 | 27,003 | |||||||
4.00% | 02/01/29 | 50,000 | 59,688 | |||||||
CommonSpirit Health | ||||||||||
4.19% | 10/01/49 | 100,000 | 116,662 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Commonwealth Edison Co. | ||||||||||
4.00% | 03/01/49 | $ | 100,000 | $ | 127,638 | |||||
4.60% | 08/15/43 | 150,000 | 196,938 | |||||||
Conagra Brands Inc. | ||||||||||
4.30% | 05/01/24 | 5,000 | 5,595 | |||||||
4.85% | 11/01/28 | 25,000 | 31,088 | |||||||
5.30% | 11/01/38 | 110,000 | 147,521 | |||||||
5.40% | 11/01/48 | 20,000 | 28,523 | |||||||
Concho Resources Inc. | ||||||||||
2.40% | 02/15/31 | 125,000 | 130,762 | |||||||
4.30% | 08/15/28 | 25,000 | 29,616 | |||||||
4.85% | 08/15/48 | 25,000 | 33,855 | |||||||
ConocoPhillips | ||||||||||
6.50% | 02/01/39 | 100,000 | 154,301 | |||||||
ConocoPhillips Co. | ||||||||||
4.95% | 03/15/26 | 200,000 | 240,140 | |||||||
Consolidated Edison Company of New York Inc. | ||||||||||
3.88% | 06/15/47 | 100,000 | 118,216 | |||||||
3.95% | 03/01/43 | 150,000 | 176,001 | |||||||
4.00% | 12/01/28 | 25,000 | 29,486 | |||||||
4.13% | 05/15/49 | 50,000 | 61,607 | |||||||
Constellation Brands Inc. | ||||||||||
3.50% | 05/09/27 | 100,000 | 113,488 | |||||||
3.75% | 05/01/50 | 5,000 | 5,888 | |||||||
4.75% | 11/15/24 | 100,000 | 114,805 | |||||||
5.25% | 11/15/48 | 15,000 | 21,118 | |||||||
Consumers Energy Co. | ||||||||||
3.75% | 02/15/50 | 100,000 | 126,054 | |||||||
4.05% | 05/15/48 | 50,000 | 65,220 | |||||||
Cooperatieve Rabobank UA | ||||||||||
2.75% | 01/10/22 | 100,000 | 102,492 | |||||||
3.95% | 11/09/22 | 100,000 | 106,166 | |||||||
4.63% | 12/01/23 | 50,000 | 55,721 | |||||||
Corning Inc. | ||||||||||
2.90% | 05/15/22 | 55,000 | 56,540 | |||||||
3.90% | 11/15/49 | 50,000 | 60,625 | |||||||
Corp. Andina de Fomento | ||||||||||
1.63% | 09/23/25 | 200,000 | 202,602 | |||||||
Costco Wholesale Corp. | ||||||||||
3.00% | 05/18/27 | 100,000 | 112,260 | |||||||
Council Of Europe Development Bank | ||||||||||
2.63% | 02/13/23 | 120,000 | 126,080 | |||||||
Credit Suisse AG | ||||||||||
3.63% | 09/09/24 | 50,000 | 55,490 | |||||||
Credit Suisse Group AG | ||||||||||
4.88% | 05/15/45 | 50,000 | 69,839 | |||||||
Crown Castle International Corp. | ||||||||||
2.25% | 01/15/31 | 55,000 | 56,972 | |||||||
3.15% | 07/15/23 | 55,000 | 58,520 | |||||||
3.80% | 02/15/28 | 100,000 | 114,750 | |||||||
5.20% | 02/15/49 | 50,000 | 68,079 | |||||||
CSX Corp. | ||||||||||
2.60% | 11/01/26 | 100,000 | 109,298 | |||||||
4.10% | 03/15/44 | 68,000 | 84,798 | |||||||
4.50% | 03/15/49 | 95,000 | 127,708 | |||||||
4.75% | 11/15/48 | 65,000 | 88,830 | |||||||
CubeSmart LP | ||||||||||
2.00% | 02/15/31 | 125,000 | 125,326 | |||||||
4.38% | 02/15/29 | 15,000 | 17,681 | |||||||
Cummins Inc. | ||||||||||
1.50% | 09/01/30 | 100,000 | 100,588 | |||||||
CVS Health Corp. | ||||||||||
2.63% | 08/15/24 | 100,000 | 107,134 | |||||||
2.70% | 08/21/40 | 300,000 | 304,185 | |||||||
2.75% | 12/01/22 | 50,000 | 51,986 | |||||||
3.38% | 08/12/24 | 50,000 | 54,594 | |||||||
3.70% | 03/09/23 | 16,000 | 17,112 | |||||||
4.10% | 03/25/25 | 13,000 | 14,745 | |||||||
4.13% | 04/01/40 | 200,000 | 239,410 | |||||||
4.30% | 03/25/28 | 110,000 | 130,377 | |||||||
4.78% | 03/25/38 | 245,000 | 310,263 | |||||||
5.05% | 03/25/48 | 115,000 | 155,482 |
Principal Amount | Fair Value | |||||||||
CyrusOne LP/CyrusOne Finance Corp. | ||||||||||
2.90% | 11/15/24 | $ | 25,000 | $ | 26,721 | |||||
3.45% | 11/15/29 | 30,000 | 32,285 | |||||||
Danaher Corp. | ||||||||||
2.60% | 10/01/50 | 200,000 | 206,580 | |||||||
Darden Restaurants Inc. | ||||||||||
4.55% | 02/15/48 | 15,000 | 16,602 | |||||||
Deere & Co. | ||||||||||
3.90% | 06/09/42 | 71,000 | 89,360 | |||||||
Dell International LLC/EMC Corp. | ||||||||||
5.30% | 10/01/29 | 100,000 | 122,527 | (c) | ||||||
6.02% | 06/15/26 | 90,000 | 109,865 | (c) | ||||||
6.20% | 07/15/30 | 100,000 | 129,440 | (c) | ||||||
8.10% | 07/15/36 | 100,000 | 147,019 | (c) | ||||||
Delmarva Power & Light Co. | ||||||||||
4.15% | 05/15/45 | 100,000 | 124,874 | |||||||
Deutsche Bank AG | ||||||||||
3.30% | 11/16/22 | 100,000 | 104,455 | |||||||
Deutsche Bank AG (2.22% fixed rate until 09/18/23; 2.15% + SOFR thereafter) | ||||||||||
2.22% | 09/18/24 | 100,000 | 102,770 | (e) | ||||||
Deutsche Bank AG (3.55% fixed rate until 09/18/30; 3.04% + SOFR thereafter) | ||||||||||
3.55% | 09/18/31 | 200,000 | 217,124 | (e) | ||||||
Deutsche Bank AG (3.96% fixed rate until 11/26/24; 2.58% + SOFR thereafter) | ||||||||||
3.96% | 11/26/25 | 50,000 | 54,675 | (e) | ||||||
Deutsche Telekom International Finance BV | ||||||||||
8.75% | 06/15/30 | 50,000 | 78,940 | |||||||
Devon Energy Corp. | ||||||||||
5.00% | 06/15/45 | 100,000 | 117,246 | |||||||
DH Europe Finance II Sarl | ||||||||||
3.40% | 11/15/49 | 100,000 | 118,578 | |||||||
Diageo Capital PLC | ||||||||||
1.38% | 09/29/25 | 100,000 | 102,771 | |||||||
2.13% | 04/29/32 | 100,000 | 105,380 | |||||||
Diageo Investment Corp. | ||||||||||
2.88% | 05/11/22 | 50,000 | 51,695 | |||||||
Diamondback Energy Inc. | ||||||||||
2.88% | 12/01/24 | 30,000 | 31,511 | |||||||
3.25% | 12/01/26 | 20,000 | 21,375 | |||||||
3.50% | 12/01/29 | 50,000 | 53,443 | |||||||
4.75% | 05/31/25 | 65,000 | 73,110 | |||||||
Digital Realty Trust LP | ||||||||||
4.45% | 07/15/28 | 50,000 | 59,505 | |||||||
Discover Bank | ||||||||||
4.20% | 08/08/23 | 150,000 | 164,145 | |||||||
Discover Financial Services | ||||||||||
4.50% | 01/30/26 | 100,000 | 115,714 | |||||||
Discovery Communications LLC | ||||||||||
3.45% | 03/15/25 | 135,000 | 148,212 | |||||||
3.90% | 11/15/24 | 50,000 | 55,475 | |||||||
4.65% | 05/15/50 | 100,000 | 125,078 | |||||||
Dollar General Corp. | ||||||||||
4.13% | 05/01/28 | 70,000 | 82,809 | |||||||
Dollar Tree Inc. | ||||||||||
3.70% | 05/15/23 | 20,000 | 21,431 | |||||||
4.00% | 05/15/25 | 50,000 | 56,440 | |||||||
4.20% | 05/15/28 | 25,000 | 29,747 | |||||||
Dominion Energy Inc. | ||||||||||
4.25% | 06/01/28 | 50,000 | 59,975 | |||||||
Dominion Energy South Carolina Inc. | ||||||||||
5.10% | 06/01/65 | 50,000 | 79,163 | |||||||
DTE Electric Co. | ||||||||||
2.25% | 03/01/30 | 125,000 | 134,191 | |||||||
2.95% | 03/01/50 | 125,000 | 139,104 | |||||||
3.70% | 03/15/45 | 45,000 | 54,318 | |||||||
DTE Energy Co. | ||||||||||
3.85% | 12/01/23 | 50,000 | 54,412 | |||||||
Duke Energy Carolinas LLC | ||||||||||
3.05% | 03/15/23 | 50,000 | 52,823 | |||||||
3.70% | 12/01/47 | 50,000 | 60,193 | |||||||
3.95% | 03/15/48 | 50,000 | 62,621 | |||||||
Duke Energy Corp. | ||||||||||
3.05% | 08/15/22 | 139,000 | 143,957 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Duke Energy Florida LLC | ||||||||||
3.20% | 01/15/27 | $ | 100,000 | $ | 111,855 | |||||
3.40% | 10/01/46 | 100,000 | 114,736 | |||||||
3.80% | 07/15/28 | 50,000 | 58,771 | |||||||
Duke Energy Ohio Inc. | ||||||||||
3.65% | 02/01/29 | 100,000 | 115,853 | |||||||
4.30% | 02/01/49 | 100,000 | 128,803 | |||||||
Duke Realty LP | ||||||||||
3.38% | 12/15/27 | 50,000 | 56,275 | |||||||
DuPont de Nemours Inc. | ||||||||||
2.17% | 05/01/23 | 115,000 | 116,519 | |||||||
4.21% | 11/15/23 | 50,000 | 55,208 | |||||||
4.73% | 11/15/28 | 50,000 | 61,448 | |||||||
5.32% | 11/15/38 | 15,000 | 20,331 | |||||||
5.42% | 11/15/48 | 40,000 | 57,876 | |||||||
DXC Technology Co. | ||||||||||
4.00% | 04/15/23 | 200,000 | 213,738 | |||||||
4.13% | 04/15/25 | 85,000 | 94,061 | |||||||
Eastern Energy Gas Holdings LLC | ||||||||||
2.50% | 11/15/24 | 100,000 | 106,935 | |||||||
Eaton Vance Corp. | ||||||||||
3.50% | 04/06/27 | 100,000 | 111,256 | |||||||
eBay Inc. | ||||||||||
1.90% | 03/11/25 | 40,000 | 42,060 | |||||||
3.80% | 03/09/22 | 45,000 | 46,659 | |||||||
Ecolab Inc. | ||||||||||
2.38% | 08/10/22 | 100,000 | 103,104 | |||||||
3.25% | 12/01/27 | 70,000 | 79,344 | |||||||
Ecopetrol S.A. | ||||||||||
4.13% | 01/16/25 | 150,000 | 163,486 | |||||||
Edison International | ||||||||||
4.13% | 03/15/28 | 50,000 | 55,718 | |||||||
Eli Lilly & Co. | ||||||||||
3.95% | 03/15/49 | 50,000 | 65,273 | |||||||
Eli Lilly & Co. | ||||||||||
2.75% | 06/01/25 | 22,000 | 24,035 | |||||||
3.38% | 03/15/29 | 30,000 | 34,848 | |||||||
4.15% | 03/15/59 | 50,000 | 68,681 | |||||||
Emera US Finance LP | ||||||||||
3.55% | 06/15/26 | 60,000 | 67,379 | |||||||
Emerson Electric Co. | ||||||||||
1.95% | 10/15/30 | 50,000 | 52,642 | |||||||
2.63% | 02/15/23 | 100,000 | 104,195 | |||||||
Emory University | ||||||||||
2.14% | 09/01/30 | 65,000 | 68,236 | |||||||
2.97% | 09/01/50 | 65,000 | 70,080 | |||||||
Enable Midstream Partners LP | ||||||||||
4.95% | 05/15/28 | 60,000 | 61,486 | |||||||
Enbridge Energy Partners LP | ||||||||||
5.88% | 10/15/25 | 125,000 | 152,212 | |||||||
Enbridge Inc. | ||||||||||
3.50% | 06/10/24 | 65,000 | 70,563 | |||||||
Enel Chile S.A. | ||||||||||
4.88% | 06/12/28 | 50,000 | 59,164 | |||||||
Energy Transfer Operating LP | ||||||||||
4.20% | 09/15/23 | 25,000 | 26,983 | |||||||
4.50% | 04/15/24 | 135,000 | 147,903 | |||||||
4.95% | 06/15/28 | 75,000 | 86,298 | |||||||
5.25% | 04/15/29 | 25,000 | 29,179 | |||||||
5.88% | 01/15/24 | 100,000 | 112,347 | |||||||
6.00% | 06/15/48 | 50,000 | 58,951 | |||||||
6.25% | 04/15/49 | 125,000 | 151,781 | |||||||
6.50% | 02/01/42 | 150,000 | 183,447 | |||||||
Entergy Louisiana LLC | ||||||||||
0.62% | 11/17/23 | 25,000 | 25,072 | |||||||
4.05% | 09/01/23 | 50,000 | 54,290 | |||||||
Entergy Texas Inc. | ||||||||||
1.75% | 03/15/31 | 165,000 | 165,315 | |||||||
4.00% | 03/30/29 | 100,000 | 117,078 | |||||||
Enterprise Products Operating LLC | ||||||||||
2.80% | 01/31/30 | 100,000 | 108,543 | |||||||
3.50% | 02/01/22 | 25,000 | 25,843 | |||||||
3.70% | 02/15/26 | 35,000 | 39,641 |
Principal Amount | Fair Value | |||||||||
3.90% | 02/15/24 | $ | 75,000 | $ | 82,143 | |||||
4.15% | 10/16/28 | 25,000 | 29,630 | |||||||
4.20% | 01/31/50 | 35,000 | 40,961 | |||||||
4.25% | 02/15/48 | 25,000 | 29,318 | |||||||
4.45% | 02/15/43 | 142,000 | 170,575 | |||||||
4.80% | 02/01/49 | 25,000 | 31,590 | |||||||
Enterprise Products Operating LLC (5.38% fixed rate until 02/15/28; 2.57% + 3 month USD LIBOR thereafter) | ||||||||||
5.38% | 02/15/78 | 50,000 | 49,919 | (e) | ||||||
EOG Resources Inc. | ||||||||||
3.15% | 04/01/25 | 80,000 | 87,999 | |||||||
4.38% | 04/15/30 | 100,000 | 121,886 | |||||||
Equifax Inc. | ||||||||||
2.60% | 12/01/24 | 50,000 | 53,526 | |||||||
3.10% | 05/15/30 | 30,000 | 33,439 | |||||||
Equinix Inc. | ||||||||||
2.15% | 07/15/30 | 115,000 | 117,172 | |||||||
2.63% | 11/18/24 | 65,000 | 69,478 | |||||||
5.38% | 05/15/27 | 30,000 | 32,651 | |||||||
Equinor ASA | ||||||||||
2.45% | 01/17/23 | 150,000 | 156,580 | |||||||
2.88% | 04/06/25 | 100,000 | 109,153 | |||||||
3.63% | 04/06/40 | 100,000 | 120,229 | |||||||
3.95% | 05/15/43 | 100,000 | 121,629 | |||||||
ERP Operating LP | ||||||||||
3.00% | 04/15/23 | 150,000 | 158,041 | |||||||
Essential Utilities Inc. | ||||||||||
2.70% | 04/15/30 | 100,000 | 108,473 | |||||||
Essex Portfolio LP | ||||||||||
3.63% | 05/01/27 | 100,000 | 112,553 | |||||||
European Bank for Reconstruction & Development | ||||||||||
1.50% | 02/13/25 | 300,000 | 313,611 | |||||||
European Investment Bank | ||||||||||
0.25% | 09/15/23 | 100,000 | 100,122 | |||||||
0.38% | 12/15/25 | 200,000 | 199,318 | |||||||
0.63% | 07/25/25 | 300,000 | 302,919 | |||||||
2.00% | 12/15/22 | 200,000 | 207,080 | |||||||
2.25% | 06/24/24 | 250,000 | 267,017 | |||||||
2.63% | 03/15/24 | 285,000 | 306,489 | |||||||
Everest Reinsurance Holdings Inc. | ||||||||||
3.50% | 10/15/50 | 100,000 | 113,448 | |||||||
Evergy Metro Inc. | ||||||||||
4.20% | 06/15/47 | 100,000 | 128,125 | |||||||
Eversource Energy | ||||||||||
2.90% | 10/01/24 | 100,000 | 107,978 | |||||||
3.15% | 01/15/25 | 125,000 | 136,239 | |||||||
Exelon Generation Company LLC | ||||||||||
3.25% | 06/01/25 | 195,000 | 212,821 | |||||||
Expedia Group Inc. | ||||||||||
3.25% | 02/15/30 | 35,000 | 36,291 | |||||||
4.63% | 08/01/27 | 90,000 | 100,553 | (c) | ||||||
Exxon Mobil Corp. | ||||||||||
1.57% | 04/15/23 | 100,000 | 102,946 | |||||||
1.90% | 08/16/22 | 20,000 | 20,528 | |||||||
2.02% | 08/16/24 | 50,000 | 52,628 | |||||||
2.44% | 08/16/29 | 50,000 | 54,285 | |||||||
2.71% | 03/06/25 | 50,000 | 54,010 | |||||||
2.99% | 03/19/25 | 100,000 | 109,485 | |||||||
3.04% | 03/01/26 | 150,000 | 166,267 | |||||||
3.10% | 08/16/49 | 25,000 | 27,040 | |||||||
3.18% | 03/15/24 | 50,000 | 53,984 | |||||||
4.23% | 03/19/40 | 100,000 | 124,461 | |||||||
Fairfax Financial Holdings Ltd. | ||||||||||
4.63% | 04/29/30 | 25,000 | 27,979 | |||||||
Federal Realty Investment Trust | ||||||||||
3.20% | 06/15/29 | 50,000 | 54,332 | |||||||
FedEx Corp. | ||||||||||
3.40% | 02/15/28 | 100,000 | 114,141 | |||||||
4.05% | 02/15/48 | 100,000 | 120,320 | |||||||
4.75% | 11/15/45 | 95,000 | 123,916 | |||||||
Fidelity National Financial Inc. | ||||||||||
4.50% | 08/15/28 | 25,000 | 29,068 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Fidelity National Information Services Inc. | ||||||||||
4.25% | 05/15/28 | $ | 80,000 | $ | 94,963 | |||||
Fiserv Inc. | ||||||||||
2.25% | 06/01/27 | 100,000 | 106,786 | |||||||
2.65% | 06/01/30 | 100,000 | 108,500 | |||||||
3.50% | 07/01/29 | 45,000 | 51,689 | |||||||
3.80% | 10/01/23 | 25,000 | 27,255 | |||||||
4.20% | 10/01/28 | 30,000 | 35,786 | |||||||
4.40% | 07/01/49 | 40,000 | 53,316 | |||||||
Flex Ltd. | ||||||||||
4.88% | 06/15/29 - 05/12/30 | 135,000 | 162,141 | |||||||
Florida Power & Light Co. | ||||||||||
4.13% | 02/01/42 | 100,000 | 127,216 | |||||||
FMC Corp. | ||||||||||
3.45% | 10/01/29 | 50,000 | 56,968 | |||||||
FMS Wertmanagement | ||||||||||
2.00% | 08/01/22 | 200,000 | 205,672 | |||||||
2.75% | 01/30/24 | 100,000 | 107,602 | |||||||
Fomento Economico Mexicano SAB de C.V. | ||||||||||
3.50% | 01/16/50 | 150,000 | 166,851 | |||||||
Fortune Brands Home & Security Inc. | ||||||||||
3.25% | 09/15/29 | 50,000 | 55,456 | |||||||
Fox Corp. | ||||||||||
4.03% | 01/25/24 | 125,000 | 137,595 | |||||||
FS KKR Capital Corp. | ||||||||||
4.13% | 02/01/25 | 25,000 | 26,006 | |||||||
GATX Corp. | ||||||||||
3.50% | 03/15/28 | 100,000 | 112,013 | |||||||
GE Capital Funding LLC | ||||||||||
3.45% | 05/15/25 | 200,000 | 220,940 | (c) | ||||||
4.40% | 05/15/30 | 100,000 | 117,811 | (c) | ||||||
General Dynamics Corp. | ||||||||||
3.38% | 05/15/23 | 50,000 | 53,468 | |||||||
3.75% | 05/15/28 | 55,000 | 64,389 | |||||||
General Electric Co. | ||||||||||
4.35% | 05/01/50 | 55,000 | 66,532 | |||||||
5.88% | 01/14/38 | 100,000 | 135,647 | |||||||
6.75% | 03/15/32 | 100,000 | 140,152 | |||||||
General Mills Inc. | ||||||||||
3.65% | 02/15/24 | 50,000 | 54,324 | |||||||
4.55% | 04/17/38 | 100,000 | 129,061 | |||||||
General Motors Co. | ||||||||||
5.40% | 10/02/23 | 100,000 | 112,322 | |||||||
6.80% | 10/01/27 | 55,000 | 70,749 | |||||||
General Motors Financial Company Inc. | ||||||||||
1.70% | 08/18/23 | 100,000 | 102,618 | |||||||
2.70% | 08/20/27 | 100,000 | 105,729 | |||||||
3.25% | 01/05/23 | 50,000 | 52,425 | |||||||
3.45% | 01/14/22 | 100,000 | 102,539 | |||||||
3.70% | 05/09/23 | 100,000 | 106,091 | |||||||
4.35% | 01/17/27 | 100,000 | 113,853 | |||||||
5.20% | 03/20/23 | 105,000 | 115,160 | |||||||
5.25% | 03/01/26 | 55,000 | 64,671 | |||||||
Georgia Power Co. | ||||||||||
2.20% | 09/15/24 | 100,000 | 105,555 | |||||||
2.65% | 09/15/29 | 100,000 | 109,821 | |||||||
4.30% | 03/15/42 | 172,000 | 218,010 | |||||||
Georgia-Pacific LLC | ||||||||||
8.88% | 05/15/31 | 50,000 | 80,831 | |||||||
Gilead Sciences Inc. | ||||||||||
0.75% | 09/29/23 | 295,000 | 295,776 | |||||||
1.65% | 10/01/30 | 80,000 | 80,162 | |||||||
2.60% | 10/01/40 | 100,000 | 101,009 | |||||||
3.65% | 03/01/26 | 100,000 | 113,388 | |||||||
3.70% | 04/01/24 | 50,000 | 54,649 | |||||||
4.80% | 04/01/44 | 150,000 | 197,956 | |||||||
GlaxoSmithKline Capital Inc. | ||||||||||
3.63% | 05/15/25 | 55,000 | 61,976 | |||||||
3.88% | 05/15/28 | 100,000 | 119,001 | |||||||
GlaxoSmithKline Capital PLC | ||||||||||
0.53% | 10/01/23 | 100,000 | 100,500 | |||||||
3.00% | 06/01/24 | 100,000 | 108,068 |
Principal Amount | Fair Value | |||||||||
Global Payments Inc. | ||||||||||
2.90% | 05/15/30 | $ | 145,000 | $ | 157,738 | |||||
4.45% | 06/01/28 | 100,000 | 118,447 | |||||||
Globe Life Inc. | ||||||||||
4.55% | 09/15/28 | 25,000 | 29,996 | |||||||
GLP Capital LP/GLP Financing II Inc. | ||||||||||
4.00% | 01/15/31 | 100,000 | 109,082 | |||||||
5.25% | 06/01/25 | 10,000 | 11,270 | |||||||
5.38% | 11/01/23 - 04/15/26 | 30,000 | 33,875 | |||||||
5.75% | 06/01/28 | 10,000 | 11,837 | |||||||
Halliburton Co. | ||||||||||
2.92% | 03/01/30 | 50,000 | 52,992 | |||||||
3.50% | 08/01/23 | 6,000 | 6,398 | |||||||
5.00% | 11/15/45 | 50,000 | 58,978 | |||||||
Hasbro Inc. | ||||||||||
3.00% | 11/19/24 | 50,000 | 54,146 | |||||||
HCA Inc. | ||||||||||
4.50% | 02/15/27 | 30,000 | 34,914 | |||||||
4.75% | 05/01/23 | 30,000 | 32,733 | |||||||
5.00% | 03/15/24 | 50,000 | 56,279 | |||||||
5.25% | 04/15/25 - 06/15/26 | 70,000 | 82,374 | |||||||
5.50% | 06/15/47 | 35,000 | 46,812 | |||||||
Healthcare Trust of America Holdings LP | ||||||||||
3.50% | 08/01/26 | 30,000 | 33,977 | |||||||
Healthpeak Properties Inc. | ||||||||||
2.88% | 01/15/31 | 100,000 | 109,010 | |||||||
3.00% | 01/15/30 | 50,000 | 54,877 | |||||||
3.25% | 07/15/26 | 100,000 | 112,974 | |||||||
Hewlett Packard Enterprise Co. | ||||||||||
4.45% | 10/02/23 | 100,000 | 110,130 | |||||||
6.35% | 10/15/45 | 150,000 | 198,018 | |||||||
Highwoods Realty LP | ||||||||||
4.20% | 04/15/29 | 25,000 | 28,505 | |||||||
Honeywell International Inc. | ||||||||||
0.48% | 08/19/22 | 135,000 | 135,184 | |||||||
1.35% | 06/01/25 | 50,000 | 51,718 | |||||||
2.70% | 08/15/29 | 30,000 | 33,518 | |||||||
3.35% | 12/01/23 | 50,000 | 54,464 | |||||||
5.38% | 03/01/41 | 100,000 | 144,732 | |||||||
Host Hotels & Resorts LP | ||||||||||
3.38% | 12/15/29 | 100,000 | 102,709 | |||||||
HP Inc. | ||||||||||
6.00% | 09/15/41 | 162,000 | 211,360 | |||||||
HSBC Holdings PLC | ||||||||||
3.90% | 05/25/26 | 50,000 | 57,037 | |||||||
5.25% | 03/14/44 | 100,000 | 138,886 | |||||||
HSBC Holdings PLC (1.65% fixed rate until 04/18/25; 1.53% + SOFR thereafter) | ||||||||||
1.65% | 04/18/26 | 100,000 | 102,282 | (e) | ||||||
HSBC Holdings PLC (2.36% fixed rate until 08/18/30; 1.97% + SOFR thereafter) | ||||||||||
2.36% | 08/18/31 | 100,000 | 103,290 | (e) | ||||||
HSBC Holdings PLC (2.63% fixed rate until 11/07/24; 1.14% + 3 month USD LIBOR thereafter) | ||||||||||
2.63% | 11/07/25 | 100,000 | 106,405 | (e) | ||||||
HSBC Holdings PLC (3.80% fixed rate until 03/11/24; 1.21% + 3 month USD LIBOR thereafter) | ||||||||||
3.80% | 03/11/25 | 100,000 | 109,169 | (e) | ||||||
HSBC Holdings PLC (3.95% fixed rate until 05/18/23; 0.99% + 3 month USD LIBOR thereafter) | ||||||||||
3.95% | 05/18/24 | 100,000 | 107,956 | (e) | ||||||
HSBC Holdings PLC (3.97% fixed rate until 05/22/29; 1.61% + 3 month USD LIBOR thereafter) | ||||||||||
3.97% | 05/22/30 | 100,000 | 115,524 | (e) | ||||||
HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) | ||||||||||
4.29% | 09/12/26 | 100,000 | 114,021 | (e) | ||||||
Hubbell Inc. | ||||||||||
3.50% | 02/15/28 | 50,000 | 54,781 | |||||||
Hudson Pacific Properties LP | ||||||||||
4.65% | 04/01/29 | 25,000 | 29,109 | |||||||
Humana Inc. | ||||||||||
2.90% | 12/15/22 | 100,000 | 104,555 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||
Huntsman International LLC | ||||||||||
4.50% | 05/01/29 | $ | 20,000 | $ | 23,148 | |||||
Husky Energy Inc. | ||||||||||
4.00% | 04/15/24 | 100,000 | 107,269 | |||||||
Hyatt Hotels Corp. | ||||||||||
5.75% | 04/23/30 | 25,000 | 30,679 | |||||||
IDEX Corp. | ||||||||||
3.00% | 05/01/30 | 10,000 | 11,029 | |||||||
IHS Markit Ltd. | ||||||||||
4.25% | 05/01/29 | 85,000 | 103,289 | |||||||
Illinois Tool Works Inc. | ||||||||||
2.65% | 11/15/26 | 100,000 | 110,747 | |||||||
3.50% | 03/01/24 | 50,000 | 54,504 | |||||||
Indiana Michigan Power Co. | ||||||||||
3.85% | 05/15/28 | 25,000 | 29,008 | |||||||
ING Groep N.V. | ||||||||||
3.95% | 03/29/27 | 100,000 | 115,656 | |||||||
Ingredion Inc. | ||||||||||
2.90% | 06/01/30 | 100,000 | 110,324 | |||||||
Intel Corp. | ||||||||||
2.45% | 11/15/29 | 135,000 | 145,962 | |||||||
2.60% | 05/19/26 | 50,000 | 54,493 | |||||||
3.10% | 02/15/60 | 35,000 | 37,798 | |||||||
3.25% | 11/15/49 | 50,000 | 56,136 | |||||||
3.75% | 03/25/27 | 100,000 | 116,023 | |||||||
4.95% | 03/25/60 | 100,000 | 147,832 | |||||||
Inter-American Development Bank | ||||||||||
0.25% | 11/15/23 | 200,000 | 200,052 | |||||||
0.63% | 07/15/25 | 150,000 | 151,267 | |||||||
1.75% | 03/14/25 | 200,000 | 211,154 | |||||||
2.13% | 01/15/25 | 200,000 | 213,848 | |||||||
2.38% | 07/07/27 | 200,000 | 220,692 | |||||||
2.63% | 01/16/24 | 300,000 | 321,288 | |||||||
3.00% | 09/26/22 | 50,000 | 52,429 | |||||||
Intercontinental Exchange Inc. | ||||||||||
2.10% | 06/15/30 | 155,000 | 162,302 | |||||||
2.65% | 09/15/40 | 200,000 | 205,142 | |||||||
3.00% | 06/15/50 | 15,000 | 15,898 | |||||||
3.45% | 09/21/23 | 90,000 | 97,013 | |||||||
International Bank for Reconstruction & Development | ||||||||||
0.25% | 11/24/23 | 100,000 | 100,050 | |||||||
0.50% | 10/28/25 | 100,000 | 100,247 | |||||||
0.63% | 04/22/25 | 300,000 | 302,724 | |||||||
0.75% | 11/24/27 - 08/26/30 | 355,000 | 350,875 | |||||||
1.50% | 08/28/24 | 200,000 | 208,590 | |||||||
1.63% | 01/15/25 | 200,000 | 209,942 | |||||||
1.75% | 10/23/29 | 150,000 | 159,846 | |||||||
2.50% | 07/29/25 | 200,000 | 218,616 | |||||||
International Business Machines Corp. | ||||||||||
1.95% | 05/15/30 | 100,000 | 103,082 | |||||||
2.50% | 01/27/22 | 50,000 | 51,196 | |||||||
2.85% | 05/13/22 - 05/15/40 | 200,000 | 210,822 | |||||||
2.95% | 05/15/50 | 100,000 | 106,543 | |||||||
3.50% | 05/15/29 | 130,000 | 150,025 | |||||||
4.00% | 06/20/42 | 150,000 | 186,738 | |||||||
4.15% | 05/15/39 | 100,000 | 126,759 | |||||||
International Finance Corp. | ||||||||||
0.50% | 03/20/23 | 300,000 | 302,046 | |||||||
International Flavors & Fragrances Inc. | ||||||||||
5.00% | 09/26/48 | 15,000 | 20,084 | |||||||
Intuit Inc. | ||||||||||
0.65% | 07/15/23 | 65,000 | 65,475 | |||||||
Invesco Finance PLC | ||||||||||
3.13% | 11/30/22 | 100,000 | 105,197 | |||||||
Jabil Inc. | ||||||||||
3.95% | 01/12/28 | 100,000 | 113,504 | |||||||
4.70% | 09/15/22 | 23,000 | 24,604 | |||||||
Jefferies Group LLC | ||||||||||
2.75% | 10/15/32 | 85,000 | 89,130 | |||||||
John Deere Capital Corp. | ||||||||||
0.40% | 10/10/23 | 60,000 | 60,225 | |||||||
2.70% | 01/06/23 | 100,000 | 104,836 |
Principal Amount | Fair Value | |||||||||
3.45% | 06/07/23 - 03/13/25 | $ | 75,000 | $ | 82,916 | |||||
Johnson & Johnson | ||||||||||
2.10% | 09/01/40 | 100,000 | 100,903 | |||||||
2.25% | 09/01/50 | 200,000 | 202,358 | |||||||
2.45% | 03/01/26 | 75,000 | 81,594 | |||||||
2.90% | 01/15/28 | 50,000 | 56,465 | |||||||
3.40% | 01/15/38 | 25,000 | 30,007 | |||||||
3.50% | 01/15/48 | 30,000 | 37,410 | |||||||
4.38% | 12/05/33 | 150,000 | 198,031 | |||||||
Johnson Controls International PLC | ||||||||||
3.63% | 07/02/24 | 75,000 | 81,306 | (f) | ||||||
JPMorgan Chase & Co. | ||||||||||
3.13% | 01/23/25 | 50,000 | 54,711 | |||||||
3.25% | 09/23/22 | 136,000 | 142,906 | |||||||
3.38% | 05/01/23 | 150,000 | 160,300 | |||||||
6.40% | 05/15/38 | 100,000 | 155,039 | |||||||
JPMorgan Chase & Co. (0.65% fixed rate until 09/16/23; 0.6% + SOFR thereafter) | ||||||||||
0.65% | 09/16/24 | 100,000 | 100,557 | (e) | ||||||
JPMorgan Chase & Co. (1.05% fixed rate until 11/19/25; 0.8% + SOFR thereafter) | ||||||||||
1.05% | 11/19/26 | 250,000 | 252,860 | (e) | ||||||
JPMorgan Chase & Co. (1.76% fixed rate until 11/19/30; 1.10% + SOFR thereafter) | ||||||||||
1.76% | 11/19/31 | 100,000 | 100,818 | (e) | ||||||
JPMorgan Chase & Co. (2.08% fixed rate until 04/22/25; 1.85% + SOFR thereafter) | ||||||||||
2.08% | 04/22/26 | 150,000 | 158,317 | (e) | ||||||
JPMorgan Chase & Co. (2.53% fixed rate until 11/19/40; 1.51% + SOFR thereafter) | ||||||||||
2.53% | 11/19/41 | 250,000 | 256,572 | (e) | ||||||
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | ||||||||||
2.96% | 05/13/31 | 35,000 | 38,315 | (e) | ||||||
JPMorgan Chase & Co. (3.11% fixed rate until 04/22/40; 2.46% + SOFR thereafter) | ||||||||||
3.11% | 04/22/41 | 300,000 | 337,560 | (e) | ||||||
JPMorgan Chase & Co. (3.21% fixed rate until 04/01/22; 0.70% + 3 month USD LIBOR thereafter) | ||||||||||
3.21% | 04/01/23 | 80,000 | 82,930 | (e) | ||||||
JPMorgan Chase & Co. (3.54% fixed rate until 05/01/27; 1.38% + 3 month USD LIBOR thereafter) | ||||||||||
3.54% | 05/01/28 | 50,000 | 57,030 | (e) | ||||||
JPMorgan Chase & Co. (3.70% fixed rate until 05/06/29; 1.16% + 3 month USD LIBOR thereafter) | ||||||||||
3.70% | 05/06/30 | 75,000 | 86,983 | (e) | ||||||
JPMorgan Chase & Co. (3.80% fixed rate until 07/23/23; 0.89% + 3 month USD LIBOR thereafter) | ||||||||||
3.80% | 07/23/24 | 100,000 | 108,375 | (e) | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | ||||||||||
3.88% | 07/24/38 | 50,000 | 60,759 | (e) | ||||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | ||||||||||
3.90% | 01/23/49 | 100,000 | 126,216 | (e) | ||||||
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | ||||||||||
3.96% | 01/29/27 | 100,000 | 114,965 | (e) | ||||||
JPMorgan Chase & Co. (3.96% fixed rate until 11/15/47; 1.38% + 3 month USD LIBOR thereafter) | ||||||||||
3.96% | 11/15/48 | 100,000 | 125,785 | (e) | ||||||
JPMorgan Chase & Co. (4.02% fixed rate until 12/05/23; 1.00% + 3 month USD LIBOR thereafter) | ||||||||||
4.02% | 12/05/24 | 50,000 | 55,101 | (e) | ||||||
JPMorgan Chase & Co. (4.45% fixed rate until 12/05/28; 1.33% + 3 month USD LIBOR thereafter) | ||||||||||
4.45% | 12/05/29 | 50,000 | 61,122 | (e) | ||||||
Juniper Networks Inc. | ||||||||||
3.75% | 08/15/29 | 50,000 | 57,474 | |||||||
Kansas City Southern | ||||||||||
3.50% | 05/01/50 | 25,000 | 27,862 | |||||||
4.70% | 05/01/48 | 50,000 | 63,559 | |||||||
Kellogg Co. | ||||||||||
2.10% | 06/01/30 | 65,000 | 68,195 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
2.65% | 12/01/23 | $ | 84,000 | $ | 89,581 | |||||||
Kennametal Inc. | ||||||||||||
4.63% | 06/15/28 | 25,000 | 27,785 | |||||||||
Kentucky Utilities Co. | ||||||||||||
4.38% | 10/01/45 | 40,000 | 51,919 | |||||||||
Keurig Dr Pepper Inc. | ||||||||||||
3.13% | 12/15/23 | 100,000 | 107,425 | |||||||||
4.60% | 05/25/28 | 50,000 | 60,997 | |||||||||
4.99% | 05/25/38 | 125,000 | 167,111 | |||||||||
KeyBank NA | ||||||||||||
3.38% | 03/07/23 | 150,000 | 159,778 | |||||||||
3.90% | 04/13/29 | 100,000 | 115,739 | |||||||||
Keysight Technologies Inc. | ||||||||||||
3.00% | 10/30/29 | 25,000 | 27,607 | |||||||||
Kilroy Realty LP | ||||||||||||
3.45% | 12/15/24 | 50,000 | 53,982 | |||||||||
Kimberly-Clark Corp. | ||||||||||||
1.05% | 09/15/27 | 25,000 | 25,373 | |||||||||
3.20% | 07/30/46 | 125,000 | 148,246 | |||||||||
Kimco Realty Corp. | ||||||||||||
2.70% | 10/01/30 | 100,000 | 108,185 | |||||||||
3.70% | 10/01/49 | 50,000 | 53,655 | |||||||||
Kinder Morgan Energy Partners LP | ||||||||||||
5.00% | 08/15/42 | 242,000 | 282,886 | |||||||||
Kinder Morgan Inc. | ||||||||||||
2.00% | 02/15/31 | 140,000 | 140,720 | |||||||||
3.25% | 08/01/50 | 145,000 | 144,869 | |||||||||
4.30% | 06/01/25 | 115,000 | 131,287 | |||||||||
5.05% | 02/15/46 | 50,000 | 60,897 | |||||||||
5.30% | 12/01/34 | 100,000 | 123,356 | |||||||||
KLA Corp. | ||||||||||||
4.65% | 11/01/24 | 115,000 | 130,977 | |||||||||
Kohl’s Corp. | ||||||||||||
9.50% | 05/15/25 | 30,000 | 38,881 | |||||||||
Koninklijke Philips N.V. | ||||||||||||
6.88% | 03/11/38 | 100,000 | 155,815 | |||||||||
Kreditanstalt fuer Wiederaufbau | ||||||||||||
0.38% | 07/18/25 | 80,000 | 79,895 | |||||||||
2.00% | 09/29/22 - 05/02/25 | 250,000 | 263,645 | |||||||||
2.50% | 02/15/22 | 200,000 | 205,194 | |||||||||
2.63% | 02/28/24 | 225,000 | 241,720 | |||||||||
2.88% | 04/03/28 | 175,000 | 201,379 | |||||||||
L3Harris Technologies Inc. | ||||||||||||
3.83% | 04/27/25 | 50,000 | 56,075 | |||||||||
3.85% | 12/15/26 | 100,000 | 115,631 | |||||||||
4.85% | 04/27/35 | 40,000 | 52,710 | |||||||||
Laboratory Corporation of America Holdings | ||||||||||||
4.00% | 11/01/23 | 100,000 | 108,825 | |||||||||
Lam Research Corp. | ||||||||||||
3.80% | 03/15/25 | 115,000 | 129,005 | |||||||||
Landwirtschaftliche Rentenbank | ||||||||||||
0.50% | 05/27/25 | 175,000 | 175,537 | |||||||||
0.88% | 09/03/30 | 200,000 | 196,778 | |||||||||
2.50% | 11/15/27 | 100,000 | 111,748 | |||||||||
Las Vegas Sands Corp. | ||||||||||||
2.90% | 06/25/25 | 65,000 | 68,082 | |||||||||
3.90% | 08/08/29 | 40,000 | 42,998 | |||||||||
Lazard Group LLC | ||||||||||||
4.38% | 03/11/29 | 50,000 | 58,749 | |||||||||
Lear Corp. | ||||||||||||
4.25% | 05/15/29 | 25,000 | 28,510 | |||||||||
5.25% | 05/15/49 | 25,000 | 30,596 | |||||||||
Leggett & Platt Inc. | ||||||||||||
3.50% | 11/15/27 | 50,000 | 54,326 | |||||||||
4.40% | 03/15/29 | 100,000 | 114,953 | |||||||||
Leidos Inc. | ||||||||||||
2.30% | 02/15/31 | 30,000 | 30,719 | (c) | ||||||||
Life Storage LP | ||||||||||||
4.00% | 06/15/29 | 50,000 | 58,525 | |||||||||
Lincoln National Corp. | ||||||||||||
3.63% | 12/12/26 | 50,000 | 57,244 | |||||||||
4.20% | 03/15/22 | 117,000 | 122,230 |
Principal Amount | Fair Value | |||||||||||
4.38% | 06/15/50 | $ | 55,000 | $ | 70,957 | |||||||
Linde Inc. | ||||||||||||
1.10% | 08/10/30 | 100,000 | 98,944 | |||||||||
2.00% | 08/10/50 | 65,000 | 60,502 | |||||||||
Lloyds Banking Group PLC | ||||||||||||
3.00% | 01/11/22 | 100,000 | 102,591 | |||||||||
3.90% | 03/12/24 | 100,000 | 109,845 | |||||||||
4.45% | 05/08/25 | 100,000 | 114,794 | |||||||||
4.65% | 03/24/26 | 50,000 | 57,660 | |||||||||
| Lloyds Banking Group PLC (2.86% fixed rate until 03/17/22; | | ||||||||||
2.86% | 03/17/23 | 100,000 | 102,788 | (e) | ||||||||
Lockheed Martin Corp. | ||||||||||||
2.80% | 06/15/50 | 50,000 | 53,884 | |||||||||
3.60% | 03/01/35 | 55,000 | 66,335 | |||||||||
4.70% | 05/15/46 | 150,000 | 210,094 | |||||||||
Loews Corp. | ||||||||||||
2.63% | 05/15/23 | 100,000 | 104,625 | |||||||||
Lowe’s Companies Inc. | ||||||||||||
1.30% | 04/15/28 | 45,000 | 45,267 | |||||||||
1.70% | 10/15/30 | 45,000 | 45,486 | |||||||||
2.50% | 04/15/26 | 130,000 | 141,119 | |||||||||
3.00% | 10/15/50 | 30,000 | 32,178 | |||||||||
3.38% | 09/15/25 | 30,000 | 33,497 | |||||||||
LYB International Finance BV | ||||||||||||
4.88% | 03/15/44 | 100,000 | 126,023 | |||||||||
LYB International Finance II BV | ||||||||||||
3.50% | 03/02/27 | 100,000 | 112,136 | |||||||||
M&T Bank Corp. | ||||||||||||
3.55% | 07/26/23 | 50,000 | 53,936 | |||||||||
Magellan Midstream Partners LP | ||||||||||||
3.25% | 06/01/30 | 150,000 | 168,976 | |||||||||
Manulife Financial Corp. | ||||||||||||
2.48% | 05/19/27 | 140,000 | 151,487 | |||||||||
Marathon Petroleum Corp. | ||||||||||||
3.80% | 04/01/28 | 30,000 | 33,445 | |||||||||
4.50% | 04/01/48 | 25,000 | 27,854 | |||||||||
4.75% | 12/15/23 | 50,000 | 55,465 | |||||||||
5.13% | 12/15/26 | 50,000 | 59,634 | |||||||||
Markel Corp. | ||||||||||||
3.50% | 11/01/27 | 50,000 | 55,945 | |||||||||
Marriott International Inc. | ||||||||||||
4.00% | 04/15/28 | 50,000 | 55,283 | |||||||||
4.63% | 06/15/30 | 90,000 | 105,589 | |||||||||
5.75% | 05/01/25 | 40,000 | 46,800 | |||||||||
Marsh & McLennan Companies Inc. | ||||||||||||
3.88% | 03/15/24 | 100,000 | 110,402 | |||||||||
4.38% | 03/15/29 | 25,000 | 30,462 | |||||||||
4.75% | 03/15/39 | 100,000 | 133,995 | |||||||||
4.90% | 03/15/49 | 15,000 | 21,678 | |||||||||
Martin Marietta Materials Inc. | ||||||||||||
3.50% | 12/15/27 | 50,000 | 56,881 | |||||||||
Masco Corp. | ||||||||||||
4.38% | 04/01/26 | 40,000 | 46,801 | |||||||||
Massachusetts Institute of Technology | ||||||||||||
3.89% | 07/01/16 | 126,000 | 160,054 | |||||||||
Mastercard Inc. | ||||||||||||
2.00% | 03/03/25 | 100,000 | 106,130 | |||||||||
2.95% | 11/21/26 | 100,000 | 111,836 | |||||||||
McDonald’s Corp. | ||||||||||||
1.45% | 09/01/25 | 30,000 | 31,087 | |||||||||
2.13% | 03/01/30 | 30,000 | 31,594 | |||||||||
3.50% | 07/01/27 | 100,000 | 114,823 | |||||||||
3.63% | 09/01/49 | 55,000 | 64,583 | |||||||||
3.70% | 02/15/42 | 150,000 | 177,663 | |||||||||
3.80% | 04/01/28 | 50,000 | 58,503 | |||||||||
McKesson Corp. | ||||||||||||
3.80% | 03/15/24 | 150,000 | 164,490 | |||||||||
Mead Johnson Nutrition Co. | ||||||||||||
4.13% | 11/15/25 | 110,000 | 126,826 | |||||||||
Medtronic Inc. | ||||||||||||
4.63% | 03/15/45 | 82,000 | 116,515 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
Memorial Sloan-Kettering Cancer Center | ||||||||||||
4.13% | 07/01/52 | $ | 95,000 | $ | 124,792 | |||||||
Merck & Company Inc. | ||||||||||||
0.75% | 02/24/26 | 115,000 | 116,032 | |||||||||
2.35% | 06/24/40 | 145,000 | 150,042 | |||||||||
2.40% | 09/15/22 | 128,000 | 132,004 | |||||||||
2.75% | 02/10/25 | 70,000 | 76,133 | |||||||||
3.40% | 03/07/29 | 25,000 | 29,078 | |||||||||
3.90% | 03/07/39 | 25,000 | 31,684 | |||||||||
4.00% | 03/07/49 | 115,000 | 151,909 | |||||||||
Mercy Health | ||||||||||||
4.30% | 07/01/28 | 100,000 | 114,901 | |||||||||
MetLife Inc. | ||||||||||||
4.13% | 08/13/42 | 50,000 | 63,666 | |||||||||
6.50% | 12/15/32 | 150,000 | 225,340 | |||||||||
Micron Technology Inc. | ||||||||||||
4.64% | 02/06/24 | 15,000 | 16,700 | |||||||||
4.66% | 02/15/30 | 100,000 | 122,683 | |||||||||
Microsoft Corp. | ||||||||||||
2.38% | 02/12/22 | 100,000 | 102,202 | |||||||||
2.40% | 02/06/22 - 08/08/26 | 200,000 | 211,294 | |||||||||
2.53% | 06/01/50 | 150,000 | 157,942 | |||||||||
2.88% | 02/06/24 | 50,000 | 53,662 | |||||||||
3.30% | 02/06/27 | 100,000 | 113,955 | |||||||||
3.45% | 08/08/36 | 100,000 | 123,236 | |||||||||
3.50% | 02/12/35 | 65,000 | 79,949 | |||||||||
3.70% | 08/08/46 | 100,000 | 126,548 | |||||||||
4.10% | 02/06/37 | 63,000 | 82,379 | |||||||||
Mid-America Apartments LP | ||||||||||||
4.20% | 06/15/28 | 100,000 | 117,574 | |||||||||
MidAmerican Energy Co. | ||||||||||||
4.25% | 07/15/49 | 100,000 | 133,951 | |||||||||
Mitsubishi UFJ Financial Group Inc. | ||||||||||||
2.76% | 09/13/26 | 50,000 | 54,887 | |||||||||
3.22% | 03/07/22 | 100,000 | 103,330 | |||||||||
3.46% | 03/02/23 | 100,000 | 106,558 | |||||||||
3.78% | 03/02/25 | 100,000 | 111,999 | |||||||||
3.96% | 03/02/28 | 100,000 | 117,690 | |||||||||
4.05% | 09/11/28 | 100,000 | 119,404 | |||||||||
4.15% | 03/07/39 | 70,000 | 87,881 | |||||||||
| Mitsubishi UFJ Financial Group Inc. (0.85% fixed rate until | | ||||||||||
0.85% | 09/15/24 | 100,000 | 100,670 | (e) | ||||||||
Mizuho Financial Group Inc. | ||||||||||||
3.55% | 03/05/23 | 100,000 | 106,469 | |||||||||
4.02% | 03/05/28 | 100,000 | 117,222 | |||||||||
| Mizuho Financial Group Inc. (2.84% fixed rate until | | ||||||||||
2.84% | 07/16/25 | 100,000 | 106,496 | (e) | ||||||||
Mohawk Industries Inc. | ||||||||||||
3.63% | 05/15/30 | 100,000 | 112,152 | |||||||||
Molson Coors Beverage Co. | ||||||||||||
3.00% | 07/15/26 | 95,000 | 104,136 | |||||||||
Mondelez International Inc. | ||||||||||||
2.13% | 04/13/23 | 200,000 | 207,500 | |||||||||
Moody’s Corp. | ||||||||||||
3.25% | 05/20/50 | 100,000 | 110,271 | |||||||||
4.88% | 02/15/24 - 12/17/48 | 150,000 | 191,913 | |||||||||
| Morgan Stanley (0.99% fixed rate until 06/10/21; 0.72% + | | ||||||||||
0.99% | 12/10/26 | 100,000 | 100,795 | (e) | ||||||||
2.75% | 05/19/22 | 100,000 | 103,279 | |||||||||
3.13% | 01/23/23 | 100,000 | 105,556 | |||||||||
3.95% | 04/23/27 | 50,000 | 57,816 | |||||||||
4.00% | 07/23/25 | 95,000 | 108,681 | |||||||||
4.10% | 05/22/23 | 150,000 | 162,600 | |||||||||
4.35% | 09/08/26 | 50,000 | 58,840 | |||||||||
4.88% | 11/01/22 | 150,000 | 161,695 | |||||||||
| Morgan Stanley (0.56% fixed rate until 11/10/22; 1.03% + | | ||||||||||
0.56% | 11/10/23 | 115,000 | 115,197 | (e) | ||||||||
| Morgan Stanley (0.86% fixed rate until 10/21/24; 0.75% + | | ||||||||||
0.86% | 10/21/25 | 270,000 | 272,041 | (e) |
Principal Amount | Fair Value | |||||||||||
| Morgan Stanley (1.79% fixed rate until 02/13/31; 1.03% + | | ||||||||||
1.79% | 02/13/32 | $ | 95,000 | $ | 95,762 | (e) | ||||||
| Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + | | ||||||||||
2.72% | 07/22/25 | 15,000 | 16,047 | (e) | ||||||||
| Morgan Stanley (3.74% fixed rate until 04/24/23; 0.85% + 3 | | ||||||||||
3.74% | 04/24/24 | 110,000 | 118,346 | (e) | ||||||||
| Morgan Stanley (3.77% fixed rate until 01/24/28; 1.14% + 3 | | ||||||||||
3.77% | 01/24/29 | 100,000 | 115,801 | (e) | ||||||||
| Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 | | ||||||||||
4.43% | 01/23/30 | 100,000 | 121,727 | (e) | ||||||||
| Morgan Stanley (4.46% fixed rate until 04/22/38; 1.43% + 3 | | ||||||||||
4.46% | 04/22/39 | 100,000 | 130,528 | (e) | ||||||||
Motorola Solutions Inc. | ||||||||||||
4.60% | 02/23/28 | 100,000 | 120,769 | |||||||||
MPLX LP | ||||||||||||
1.75% | 03/01/26 | 270,000 | 279,253 | |||||||||
2.65% | 08/15/30 | 90,000 | 94,540 | |||||||||
4.00% | 03/15/28 | 35,000 | 40,285 | |||||||||
4.25% | 12/01/27 | 35,000 | 40,907 | |||||||||
4.50% | 04/15/38 | 30,000 | 34,434 | |||||||||
4.70% | 04/15/48 | 25,000 | 29,690 | |||||||||
4.80% | 02/15/29 | 70,000 | 84,097 | |||||||||
4.90% | 04/15/58 | 25,000 | 29,775 | |||||||||
5.50% | 02/15/49 | 70,000 | 92,272 | |||||||||
MUFG Americas Holdings Corp. | ||||||||||||
3.00% | 02/10/25 | 120,000 | 130,904 | |||||||||
Mylan Inc. | ||||||||||||
4.55% | 04/15/28 | 100,000 | 119,099 | |||||||||
Nasdaq Inc. | ||||||||||||
3.25% | 04/28/50 | 20,000 | 21,906 | |||||||||
National Australia Bank Ltd. | ||||||||||||
2.80% | 01/10/22 | 100,000 | 102,594 | |||||||||
| National Bank of Canada (0.55% fixed rate until 05/15/21; | | ||||||||||
0.55% | 11/15/24 | 250,000 | 250,822 | (e) | ||||||||
National Fuel Gas Co. | ||||||||||||
4.75% | 09/01/28 | 50,000 | 53,994 | |||||||||
National Oilwell Varco Inc. | ||||||||||||
3.60% | 12/01/29 | 100,000 | 104,485 | |||||||||
National Retail Properties Inc. | ||||||||||||
3.60% | 12/15/26 | 100,000 | 109,554 | |||||||||
National Rural Utilities Cooperative Finance Corp. | ||||||||||||
3.70% | 03/15/29 | 50,000 | 58,434 | |||||||||
4.40% | 11/01/48 | 10,000 | 13,358 | |||||||||
National Rural Utility Coop Collateral | ||||||||||||
1.35% | 03/15/31 | 125,000 | 123,450 | |||||||||
Natwest Group PLC | ||||||||||||
3.88% | 09/12/23 | 100,000 | 108,465 | |||||||||
5.13% | 05/28/24 | 80,000 | 89,790 | |||||||||
6.00% | 12/19/23 | 75,000 | 85,576 | |||||||||
| Natwest Group PLC (3.07% fixed rate until 05/22/27; 2.55% | | ||||||||||
3.07% | 05/22/28 | 100,000 | 108,670 | (e) | ||||||||
| Natwest Group PLC (4.89% fixed rate until 05/18/28; 1.75% | | ||||||||||
4.89% | 05/18/29 | 100,000 | 120,372 | (e) | ||||||||
Newmont Corp. | ||||||||||||
2.25% | 10/01/30 | 65,000 | 68,458 | |||||||||
NextEra Energy Capital Holdings Inc. | ||||||||||||
2.75% | 11/01/29 | 30,000 | 32,706 | |||||||||
3.15% | 04/01/24 | 100,000 | 108,100 | |||||||||
3.50% | 04/01/29 | 100,000 | 114,229 | |||||||||
NIKE Inc. | ||||||||||||
2.38% | 11/01/26 | 50,000 | 54,715 | |||||||||
2.40% | 03/27/25 | 100,000 | 107,751 | |||||||||
3.25% | 03/27/40 | 100,000 | 116,929 | |||||||||
NiSource Inc. | ||||||||||||
3.60% | 05/01/30 | 100,000 | 115,895 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
4.38% | 05/15/47 | $ | 100,000 | $ | 127,365 | |||||||
Noble Energy Inc. | ||||||||||||
3.25% | 10/15/29 | 100,000 | 113,511 | |||||||||
Nomura Holdings Inc. | ||||||||||||
1.85% | 07/16/25 | 100,000 | 104,008 | |||||||||
Nordic Investment Bank | ||||||||||||
0.38% | 09/11/25 | 250,000 | 249,200 | |||||||||
Norfolk Southern Corp. | ||||||||||||
3.80% | 08/01/28 | 30,000 | 35,089 | |||||||||
3.94% | 11/01/47 | 60,000 | 73,606 | |||||||||
Northern Trust Corp. | ||||||||||||
1.95% | 05/01/30 | 190,000 | 198,311 | |||||||||
3.65% | 08/03/28 | 100,000 | 117,466 | |||||||||
Northrop Grumman Corp. | ||||||||||||
2.55% | 10/15/22 | 100,000 | 103,845 | |||||||||
2.93% | 01/15/25 | 50,000 | 54,384 | |||||||||
3.25% | 01/15/28 | 65,000 | 73,553 | |||||||||
4.03% | 10/15/47 | 75,000 | 93,776 | |||||||||
Northwell Healthcare Inc. | ||||||||||||
3.81% | 11/01/49 | 50,000 | 56,855 | |||||||||
Northwestern University | ||||||||||||
3.66% | 12/01/57 | 10,000 | 12,610 | |||||||||
Novartis Capital Corp. | ||||||||||||
2.20% | 08/14/30 | 50,000 | 53,774 | |||||||||
2.40% | 09/21/22 | 102,000 | 105,820 | |||||||||
3.00% | 11/20/25 | 50,000 | 55,353 | |||||||||
NSTAR Electric Co. | ||||||||||||
3.20% | 05/15/27 | 100,000 | 112,974 | |||||||||
Nucor Corp. | ||||||||||||
2.00% | 06/01/25 | 35,000 | 37,019 | |||||||||
2.70% | 06/01/30 | 30,000 | 32,996 | |||||||||
Nutrien Ltd. | ||||||||||||
3.63% | 03/15/24 | 150,000 | 162,840 | |||||||||
4.00% | 12/15/26 | 100,000 | 116,182 | |||||||||
5.00% | 04/01/49 | 50,000 | 68,853 | |||||||||
NXP BV/NXP Funding LLC | ||||||||||||
5.55% | 12/01/28 | 100,000 | 126,534 | (c) | ||||||||
O’Reilly Automotive Inc. | ||||||||||||
4.35% | 06/01/28 | 100,000 | 119,151 | |||||||||
Oesterreichische Kontrollbank AG | ||||||||||||
1.50% | 02/12/25 | 100,000 | 104,370 | |||||||||
2.63% | 01/31/22 | 150,000 | 153,862 | |||||||||
Office Properties Income Trust | ||||||||||||
4.50% | 02/01/25 | 100,000 | 106,121 | |||||||||
Oglethorpe Power Corp. | ||||||||||||
3.75% | 08/01/50 | 125,000 | 134,147 | (c) | ||||||||
Ohio Power Co. | ||||||||||||
4.15% | 04/01/48 | 100,000 | 127,878 | |||||||||
Oklahoma Gas & Electric Co. | ||||||||||||
3.30% | 03/15/30 | 50,000 | 57,034 | |||||||||
Omega Healthcare Investors Inc. | ||||||||||||
4.50% | 04/01/27 | 100,000 | 112,549 | |||||||||
Omnicom Group Inc./Omnicom Capital Inc. | ||||||||||||
3.63% | 05/01/22 | 100,000 | 104,245 | |||||||||
Oncor Electric Delivery Company LLC | ||||||||||||
2.75% | 06/01/24 | 100,000 | 107,258 | |||||||||
3.70% | 11/15/28 | 100,000 | 117,156 | |||||||||
3.80% | 06/01/49 | 100,000 | 124,662 | |||||||||
ONE Gas Inc. | ||||||||||||
4.50% | 11/01/48 | 20,000 | 26,454 | |||||||||
ONEOK Inc. | ||||||||||||
4.35% | 03/15/29 | 50,000 | 56,635 | |||||||||
7.15% | 01/15/51 | 125,000 | 176,112 | |||||||||
ONEOK Partners LP | ||||||||||||
6.13% | 02/01/41 | 162,000 | 193,200 | |||||||||
Oracle Corp. | ||||||||||||
2.50% | 04/01/25 | 100,000 | 107,457 | |||||||||
2.65% | 07/15/26 | 100,000 | 109,592 | |||||||||
2.80% | 04/01/27 | 100,000 | 110,390 | |||||||||
3.25% | 05/15/30 | 50,000 | 57,509 | |||||||||
3.60% | 04/01/40 | 150,000 | 175,972 | |||||||||
3.63% | 07/15/23 | 125,000 | 135,459 |
Principal Amount | Fair Value | |||||||||||
4.00% | 07/15/46 | $ | 100,000 | $ | 122,560 | |||||||
4.30% | 07/08/34 | 100,000 | 126,485 | |||||||||
Orange S.A. | ||||||||||||
9.00% | 03/01/31 | 50,000 | 82,347 | |||||||||
ORIX Corp. | ||||||||||||
4.05% | 01/16/24 | 100,000 | 109,638 | |||||||||
Otis Worldwide Corp. | ||||||||||||
2.06% | 04/05/25 | 20,000 | 21,212 | |||||||||
2.29% | 04/05/27 | 20,000 | 21,389 | |||||||||
2.57% | 02/15/30 | 20,000 | 21,470 | |||||||||
3.11% | 02/15/40 | 50,000 | 54,522 | |||||||||
3.36% | 02/15/50 | 30,000 | 34,850 | |||||||||
Owens Corning | ||||||||||||
3.88% | 06/01/30 | 50,000 | 57,656 | |||||||||
Owl Rock Capital Corp. | ||||||||||||
3.40% | 07/15/26 | 100,000 | 101,230 | |||||||||
PACCAR Financial Corp. | ||||||||||||
0.80% | 06/08/23 | 70,000 | 70,745 | |||||||||
1.80% | 02/06/25 | 35,000 | 36,670 | |||||||||
Pacific Gas & Electric Co. | ||||||||||||
3.30% | 08/01/40 | 500,000 | 500,900 | |||||||||
PacifiCorp | ||||||||||||
4.15% | 02/15/50 | 50,000 | 65,217 | |||||||||
6.25% | 10/15/37 | 153,000 | 229,838 | |||||||||
Packaging Corporation of America | ||||||||||||
3.40% | 12/15/27 | 35,000 | 39,415 | |||||||||
Parker-Hannifin Corp. | ||||||||||||
4.00% | 06/14/49 | 20,000 | 24,961 | |||||||||
4.20% | 11/21/34 | 100,000 | 123,409 | |||||||||
PayPal Holdings Inc. | ||||||||||||
2.30% | 06/01/30 | 55,000 | 58,936 | |||||||||
2.40% | 10/01/24 | 35,000 | 37,409 | |||||||||
2.85% | 10/01/29 | 30,000 | 33,350 | |||||||||
PeaceHealth Obligated Group | ||||||||||||
3.22% | 11/15/50 | 25,000 | 27,011 | |||||||||
PepsiCo Inc. | ||||||||||||
0.40% | 10/07/23 | 80,000 | 80,422 | |||||||||
1.40% | 02/25/31 | 115,000 | 115,708 | |||||||||
2.25% | 03/19/25 | 100,000 | 107,013 | |||||||||
2.75% | 03/01/23 | 50,000 | 52,712 | |||||||||
2.88% | 10/15/49 | 25,000 | 27,929 | |||||||||
3.00% | 10/15/27 | 100,000 | 112,761 | |||||||||
3.38% | 07/29/49 | 35,000 | 42,295 | |||||||||
3.45% | 10/06/46 | 50,000 | 60,161 | |||||||||
PerkinElmer Inc. | ||||||||||||
3.30% | 09/15/29 | 15,000 | 16,904 | |||||||||
Pfizer Inc. | ||||||||||||
2.55% | 05/28/40 | 100,000 | 106,279 | |||||||||
2.70% | 05/28/50 | 90,000 | 96,493 | |||||||||
2.80% | 03/11/22 | 100,000 | 103,001 | |||||||||
3.20% | 09/15/23 | 125,000 | 134,634 | |||||||||
3.45% | 03/15/29 | 50,000 | 58,363 | |||||||||
3.60% | 09/15/28 | 50,000 | 58,939 | |||||||||
3.90% | 03/15/39 | 125,000 | 155,917 | |||||||||
4.00% | 12/15/36 - 03/15/49 | 125,000 | 159,766 | |||||||||
4.30% | 06/15/43 | 100,000 | 132,086 | |||||||||
Philip Morris International Inc. | ||||||||||||
0.88% | 05/01/26 | 50,000 | 50,116 | |||||||||
Philip Morris International Inc. | ||||||||||||
1.13% | 05/01/23 | 85,000 | 86,666 | |||||||||
1.75% | 11/01/30 | 50,000 | 50,496 | |||||||||
2.88% | 05/01/24 | 50,000 | 53,776 | |||||||||
3.13% | 03/02/28 | 50,000 | 56,120 | |||||||||
3.38% | 08/15/29 | 50,000 | 57,349 | |||||||||
3.88% | 08/21/42 | 92,000 | 108,560 | |||||||||
Phillips 66 | ||||||||||||
3.70% | 04/06/23 | 100,000 | 107,104 | |||||||||
3.90% | 03/15/28 | 50,000 | 57,649 | |||||||||
4.88% | 11/15/44 | 45,000 | 56,792 | |||||||||
Phillips 66 Partners LP | ||||||||||||
3.15% | 12/15/29 | 50,000 | 52,176 | |||||||||
3.75% | 03/01/28 | 10,000 | 10,876 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
4.68% | 02/15/45 | $ | 10,000 | $ | 10,858 | |||||||
Pinnacle West Capital Corp. | ||||||||||||
1.30% | 06/15/25 | 150,000 | 152,677 | |||||||||
Pioneer Natural Resources Co. | ||||||||||||
1.90% | 08/15/30 | 100,000 | 99,138 | |||||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||||||
3.80% | 09/15/30 | 100,000 | 107,139 | |||||||||
3.85% | 10/15/23 | 100,000 | 106,889 | |||||||||
4.50% | 12/15/26 | 100,000 | 112,083 | |||||||||
PNC Bank NA | ||||||||||||
2.95% | 02/23/25 | 100,000 | 109,563 | |||||||||
3.10% | 10/25/27 | 100,000 | 112,385 | |||||||||
PPG Industries Inc. | ||||||||||||
3.75% | 03/15/28 | 50,000 | 59,881 | |||||||||
PPL Electric Utilities Corp. | ||||||||||||
4.15% | 06/15/48 | 100,000 | 129,183 | |||||||||
President & Fellows of Harvard College | ||||||||||||
3.15% | 07/15/46 | 50,000 | 58,848 | |||||||||
Principal Financial Group Inc. | ||||||||||||
3.40% | 05/15/25 | 50,000 | 55,373 | |||||||||
Prologis LP | ||||||||||||
4.38% | 02/01/29 | 65,000 | 79,487 | |||||||||
Providence St Joseph Health Obligated Group | ||||||||||||
2.53% | 10/01/29 | 20,000 | 21,328 | |||||||||
3.93% | 10/01/48 | 20,000 | 24,184 | |||||||||
Prudential Financial Inc. | ||||||||||||
3.70% | 03/13/51 | 50,000 | 60,107 | |||||||||
3.94% | 12/07/49 | 90,000 | 109,710 | |||||||||
4.35% | 02/25/50 | 100,000 | 130,768 | |||||||||
| Prudential Financial Inc. (3.70% fixed rate until 07/01/30; | | ||||||||||
3.70% | 10/01/50 | 180,000 | 190,091 | (e) | ||||||||
| Prudential Financial Inc. (5.70% fixed rate until 09/15/28; | | ||||||||||
5.70% | 09/15/48 | 100,000 | 115,433 | (e) | ||||||||
Public Service Company of Colorado | ||||||||||||
3.70% | 06/15/28 | 50,000 | 58,376 | |||||||||
4.10% | 06/15/48 | 30,000 | 39,173 | |||||||||
Public Service Electric & Gas Co. | ||||||||||||
2.38% | 05/15/23 | 100,000 | 104,416 | |||||||||
2.70% | 05/01/50 | 50,000 | 53,041 | |||||||||
3.20% | 08/01/49 | 90,000 | 103,224 | |||||||||
3.65% | 09/01/28 | 25,000 | 29,025 | |||||||||
Public Service Enterprise Group Inc. | ||||||||||||
2.88% | 06/15/24 | 15,000 | 16,161 | |||||||||
Public Storage | ||||||||||||
3.39% | 05/01/29 | 30,000 | 34,418 | |||||||||
Puget Energy Inc. | ||||||||||||
3.65% | 05/15/25 | 50,000 | 54,992 | |||||||||
4.10% | 06/15/30 | 125,000 | 143,066 | |||||||||
QUALCOMM Inc. | ||||||||||||
2.15% | 05/20/30 | 50,000 | 53,041 | |||||||||
3.25% | 05/20/50 | 115,000 | 133,436 | |||||||||
4.30% | 05/20/47 | 100,000 | 134,498 | |||||||||
4.65% | 05/20/35 | 50,000 | 67,010 | |||||||||
Quest Diagnostics Inc. | ||||||||||||
2.80% | 06/30/31 | 35,000 | 38,441 | |||||||||
4.25% | 04/01/24 | 50,000 | 55,125 | |||||||||
Ralph Lauren Corp. | ||||||||||||
1.70% | 06/15/22 | 25,000 | 25,459 | |||||||||
Raytheon Technologies Corp. | ||||||||||||
2.25% | 07/01/30 | 50,000 | 53,047 | |||||||||
3.95% | 08/16/25 | 15,000 | 17,199 | |||||||||
4.13% | 11/16/28 | 30,000 | 35,783 | |||||||||
4.45% | 11/16/38 | 160,000 | 203,434 | |||||||||
4.50% | 06/01/42 | 158,000 | 206,076 | |||||||||
4.63% | 11/16/48 | 15,000 | 20,404 | |||||||||
Realty Income Corp. | ||||||||||||
3.25% | 01/15/31 | 160,000 | 181,680 | |||||||||
4.65% | 08/01/23 | 100,000 | 109,660 | |||||||||
Regency Centers LP | ||||||||||||
4.13% | 03/15/28 | 50,000 | 56,922 |
Principal Amount | Fair Value | |||||||||||
Regeneron Pharmaceuticals Inc. | ||||||||||||
1.75% | 09/15/30 | $ | 70,000 | $ | 68,995 | |||||||
Regions Financial Corp. | ||||||||||||
3.80% | 08/14/23 | 100,000 | 108,580 | |||||||||
Reinsurance Group of America Inc. | ||||||||||||
3.90% | 05/15/29 | 50,000 | 57,387 | |||||||||
Reliance Steel & Aluminum Co. | ||||||||||||
1.30% | 08/15/25 | 105,000 | 106,804 | |||||||||
RELX Capital Inc. | ||||||||||||
3.50% | 03/16/23 | 30,000 | 31,917 | |||||||||
4.00% | 03/18/29 | 25,000 | 29,703 | |||||||||
RenaissanceRe Holdings Ltd. | ||||||||||||
3.60% | 04/15/29 | 25,000 | 28,196 | |||||||||
Republic Services Inc. | ||||||||||||
1.45% | 02/15/31 | 100,000 | 97,997 | |||||||||
2.50% | 08/15/24 | 70,000 | 74,708 | |||||||||
3.05% | 03/01/50 | 50,000 | 54,385 | |||||||||
Reynolds American Inc. | ||||||||||||
4.45% | 06/12/25 | 100,000 | 113,993 | |||||||||
Rio Tinto Finance USA Ltd. | ||||||||||||
5.20% | 11/02/40 | 150,000 | 218,848 | |||||||||
Rockwell Automation Inc. | ||||||||||||
3.50% | 03/01/29 | 45,000 | 52,406 | |||||||||
Rogers Communications Inc. | ||||||||||||
2.90% | 11/15/26 | 100,000 | 111,117 | |||||||||
3.00% | 03/15/23 | 50,000 | 52,522 | |||||||||
3.63% | 12/15/25 | 60,000 | 68,052 | |||||||||
3.70% | 11/15/49 | 100,000 | 117,938 | |||||||||
Roper Technologies Inc. | ||||||||||||
2.00% | 06/30/30 | 115,000 | 117,826 | |||||||||
3.80% | 12/15/26 | 100,000 | 115,613 | |||||||||
Ross Stores Inc. | ||||||||||||
0.88% | 04/15/26 | 50,000 | 49,944 | |||||||||
1.88% | 04/15/31 | 50,000 | 50,235 | |||||||||
Royal Bank of Canada | ||||||||||||
0.50% | 10/26/23 | 100,000 | 100,538 | |||||||||
1.15% | 06/10/25 | 140,000 | 143,041 | |||||||||
1.60% | 04/17/23 | 80,000 | 82,274 | |||||||||
1.95% | 01/17/23 | 30,000 | 30,994 | |||||||||
2.75% | 02/01/22 | 50,000 | 51,345 | |||||||||
2.80% | 04/29/22 | 100,000 | 103,357 | |||||||||
Royalty Pharma PLC | ||||||||||||
0.75% | 09/02/23 | 300,000 | 301,515 | (c) | ||||||||
3.30% | 09/02/40 | 100,000 | 105,291 | (c) | ||||||||
RPM International Inc. | ||||||||||||
4.25% | 01/15/48 | 50,000 | 55,528 | |||||||||
Ryder System Inc. | ||||||||||||
3.40% | 03/01/23 | 50,000 | 52,980 | |||||||||
Sabine Pass Liquefaction LLC | ||||||||||||
4.50% | 05/15/30 | 125,000 | 148,592 | (c) | ||||||||
5.63% | 03/01/25 | 135,000 | 157,617 | |||||||||
5.75% | 05/15/24 | 35,000 | 40,046 | |||||||||
Sabra Health Care LP | ||||||||||||
3.90% | 10/15/29 | 25,000 | 26,144 | |||||||||
San Diego Gas & Electric Co. | ||||||||||||
3.60% | 09/01/23 | 100,000 | 107,396 | |||||||||
Sanofi | ||||||||||||
3.63% | 06/19/28 | 100,000 | 116,809 | |||||||||
Santander Holdings USA Inc. | ||||||||||||
3.40% | 01/18/23 | 50,000 | 52,510 | |||||||||
3.50% | 06/07/24 | 100,000 | 108,291 | |||||||||
4.40% | 07/13/27 | 50,000 | 56,948 | |||||||||
| Santander UK Group Holdings PLC (1.53% fixed rate until | | ||||||||||
1.53% | 08/21/26 | 100,000 | 101,920 | (e) | ||||||||
| Santander UK Group Holdings PLC (3.37% fixed rate until | | ||||||||||
3.37% | 01/05/24 | 100,000 | 105,190 | (e) | ||||||||
Santander UK PLC | ||||||||||||
2.88% | 06/18/24 | 100,000 | 107,090 | |||||||||
Schlumberger Investment S.A. | ||||||||||||
2.65% | 06/26/30 | 100,000 | 106,989 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
Sempra Energy | ||||||||||||
3.80% | 02/01/38 | $ | 100,000 | $ | 115,563 | |||||||
4.05% | 12/01/23 | 50,000 | 54,750 | |||||||||
Shell International Finance BV | ||||||||||||
0.38% | 09/15/23 | 100,000 | 100,219 | |||||||||
3.13% | 11/07/49 | 100,000 | 110,663 | |||||||||
3.25% | 04/06/50 | 100,000 | 113,313 | |||||||||
3.50% | 11/13/23 | 140,000 | 152,352 | |||||||||
4.00% | 05/10/46 | 50,000 | 62,744 | |||||||||
4.13% | 05/11/35 | 150,000 | 187,690 | |||||||||
4.38% | 05/11/45 | 100,000 | 131,581 | |||||||||
Shire Acquisitions Investments Ireland DAC | ||||||||||||
3.20% | 09/23/26 | 50,000 | 55,916 | |||||||||
Simon Property Group LP | ||||||||||||
2.00% | 09/13/24 | 100,000 | 104,557 | |||||||||
2.45% | 09/13/29 | 100,000 | 105,141 | |||||||||
2.75% | 02/01/23 | 121,000 | 126,164 | |||||||||
3.25% | 09/13/49 | 100,000 | 102,576 | |||||||||
SL Green Operating Partnership LP | ||||||||||||
3.25% | 10/15/22 | 30,000 | 30,935 | |||||||||
Snap-on Inc. | ||||||||||||
3.10% | 05/01/50 | 15,000 | 16,974 | |||||||||
Southern California Edison Co. | ||||||||||||
3.40% | 06/01/23 | 100,000 | 106,595 | |||||||||
3.60% | 02/01/45 | 125,000 | 137,892 | |||||||||
3.65% | 02/01/50 | 100,000 | 114,225 | |||||||||
4.20% | 03/01/29 | 100,000 | 117,183 | |||||||||
Southern California Gas Co. | ||||||||||||
2.55% | 02/01/30 | 50,000 | 54,232 | |||||||||
Southern Company Gas Capital Corp. | ||||||||||||
1.75% | 01/15/31 | 100,000 | 100,844 | |||||||||
Southern Copper Corp. | ||||||||||||
5.88% | 04/23/45 | 155,000 | 224,522 | |||||||||
Southwest Airlines Co. | ||||||||||||
3.00% | 11/15/26 | 100,000 | 106,862 | |||||||||
5.13% | 06/15/27 | 40,000 | 47,495 | |||||||||
Southwestern Electric Power Co. | ||||||||||||
3.85% | 02/01/48 | 100,000 | 117,562 | |||||||||
Southwestern Public Service Co. | ||||||||||||
3.15% | 05/01/50 | 100,000 | 111,562 | |||||||||
Spectra Energy Partners LP | ||||||||||||
3.50% | 03/15/25 | 50,000 | 55,393 | |||||||||
Spirit Realty LP | ||||||||||||
3.40% | 01/15/30 | 25,000 | 27,131 | |||||||||
SSM Health Care Corp. | ||||||||||||
3.69% | 06/01/23 | 10,000 | 10,691 | |||||||||
Stanley Black & Decker Inc. | ||||||||||||
2.30% | 03/15/30 | 50,000 | 53,540 | |||||||||
Starbucks Corp. | ||||||||||||
2.00% | 03/12/27 | 25,000 | 26,528 | |||||||||
2.25% | 03/12/30 | 25,000 | 26,499 | |||||||||
3.10% | 03/01/23 | 50,000 | 52,830 | |||||||||
3.35% | 03/12/50 | 15,000 | 16,691 | |||||||||
3.50% | 03/01/28 - 11/15/50 | 200,000 | 229,772 | |||||||||
3.75% | 12/01/47 | 35,000 | 41,052 | |||||||||
Steel Dynamics Inc. | ||||||||||||
2.40% | 06/15/25 | 15,000 | 15,969 | |||||||||
3.25% | 01/15/31 | 40,000 | 44,928 | |||||||||
Stryker Corp. | ||||||||||||
1.95% | 06/15/30 | 100,000 | 102,891 | |||||||||
2.90% | 06/15/50 | 45,000 | 47,715 | |||||||||
3.65% | 03/07/28 | 50,000 | 57,808 | |||||||||
Sumitomo Mitsui Financial Group Inc. | ||||||||||||
1.47% | 07/08/25 | 100,000 | 102,533 | |||||||||
2.14% | 09/23/30 | 100,000 | 100,562 | |||||||||
2.70% | 07/16/24 | 100,000 | 106,805 | |||||||||
2.78% | 10/18/22 | 100,000 | 104,195 | |||||||||
3.01% | 10/19/26 | 100,000 | 110,856 | |||||||||
3.35% | 10/18/27 | 50,000 | 56,273 | |||||||||
3.94% | 10/16/23 | 100,000 | 109,326 | |||||||||
4.31% | 10/16/28 | 100,000 | 119,625 |
Principal Amount | Fair Value | |||||||||||
Suncor Energy Inc. | ||||||||||||
3.10% | 05/15/25 | $ | 75,000 | $ | 82,143 | |||||||
6.85% | 06/01/39 | 50,000 | 70,208 | |||||||||
Sunoco Logistics Partners Operations LP | ||||||||||||
5.95% | 12/01/25 | 50,000 | 58,698 | |||||||||
Suzano Austria GmbH | ||||||||||||
3.75% | 01/15/31 | 55,000 | 58,456 | |||||||||
Svensk Exportkredit AB | ||||||||||||
1.63% | 11/14/22 | 200,000 | 205,156 | |||||||||
Synchrony Financial | ||||||||||||
2.85% | 07/25/22 | 15,000 | 15,501 | |||||||||
3.95% | 12/01/27 | 100,000 | 112,370 | |||||||||
4.38% | 03/19/24 | 35,000 | 38,548 | |||||||||
Sysco Corp. | ||||||||||||
2.40% | 02/15/30 | 15,000 | 15,612 | |||||||||
3.30% | 02/15/50 | 20,000 | 20,891 | |||||||||
6.60% | 04/01/40 | 200,000 | 292,756 | |||||||||
T-Mobile USA Inc. | ||||||||||||
2.25% | 11/15/31 | 100,000 | 102,570 | (c) | ||||||||
2.55% | 02/15/31 | 40,000 | 42,034 | (c) | ||||||||
3.00% | 02/15/41 | 180,000 | 186,107 | (c) | ||||||||
3.30% | 02/15/51 | 150,000 | 154,125 | (c) | ||||||||
3.60% | 11/15/60 | 45,000 | 47,776 | (c) | ||||||||
4.38% | 04/15/40 | 150,000 | 183,093 | (c) | ||||||||
Takeda Pharmaceutical Company Ltd. | ||||||||||||
2.05% | 03/31/30 | 100,000 | 102,151 | |||||||||
4.40% | 11/26/23 | 50,000 | 55,394 | |||||||||
5.00% | 11/26/28 | 50,000 | 62,136 | |||||||||
Tampa Electric Co. | ||||||||||||
4.30% | 06/15/48 | 50,000 | 63,959 | |||||||||
Target Corp. | ||||||||||||
2.25% | 04/15/25 | 100,000 | 107,118 | |||||||||
3.38% | 04/15/29 | 50,000 | 58,601 | |||||||||
TC PipeLines LP | ||||||||||||
3.90% | 05/25/27 | 100,000 | 112,448 | |||||||||
TD Ameritrade Holding Corp. | ||||||||||||
2.95% | 04/01/22 | 150,000 | 154,350 | |||||||||
Teck Resources Ltd. | ||||||||||||
6.25% | 07/15/41 | 100,000 | 128,622 | |||||||||
Telefonica Emisiones S.A. | ||||||||||||
4.10% | 03/08/27 | 100,000 | 115,670 | |||||||||
4.90% | 03/06/48 | 50,000 | 61,995 | |||||||||
5.52% | 03/01/49 | 200,000 | 267,790 | |||||||||
TELUS Corp. | ||||||||||||
4.60% | 11/16/48 | 50,000 | 65,859 | |||||||||
Texas Instruments Inc. | ||||||||||||
1.75% | 05/04/30 | 35,000 | 36,186 | |||||||||
3.88% | 03/15/39 | 100,000 | 125,336 | |||||||||
Textron Inc. | ||||||||||||
3.90% | 09/17/29 | 50,000 | 57,051 | |||||||||
The Allstate Corp. | ||||||||||||
4.20% | 12/15/46 | 100,000 | 132,237 | |||||||||
| The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + | | ||||||||||
5.75% | 08/15/53 | 50,000 | 53,548 | (e) | ||||||||
The Asian Infrastructure Investment Bank | ||||||||||||
0.25% | 09/29/23 | 135,000 | 135,066 | |||||||||
The Bank of New York Mellon Corp. | ||||||||||||
1.60% | 04/24/25 | 100,000 | 104,436 | |||||||||
2.80% | 05/04/26 | 30,000 | 33,159 | |||||||||
3.00% | 02/24/25 | 105,000 | 115,513 | |||||||||
3.45% | 08/11/23 | 100,000 | 108,072 | |||||||||
3.50% | 04/28/23 | 100,000 | 107,274 | |||||||||
3.85% | 04/28/28 | 100,000 | 119,774 | |||||||||
The Bank of Nova Scotia | ||||||||||||
2.00% | 11/15/22 | 100,000 | 103,262 | |||||||||
2.70% | 08/03/26 | 200,000 | 220,792 | |||||||||
The Boeing Co. | ||||||||||||
2.95% | 02/01/30 | 50,000 | 51,704 | |||||||||
3.10% | 05/01/26 | 100,000 | 106,501 | |||||||||
3.20% | 03/01/29 | 50,000 | 52,623 | |||||||||
3.75% | 02/01/50 | 50,000 | 52,290 | |||||||||
4.88% | 05/01/25 | 255,000 | 290,450 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
5.71% | 05/01/40 | $ | 100,000 | $ | 129,719 | |||||||
5.81% | 05/01/50 | 100,000 | 137,702 | |||||||||
The Charles Schwab Corp. | ||||||||||||
3.85% | 05/21/25 | 50,000 | 56,885 | |||||||||
The Clorox Co. | ||||||||||||
3.50% | 12/15/24 | 50,000 | 55,435 | |||||||||
The Coca-Cola Co. | ||||||||||||
1.00% | 03/15/28 | 120,000 | 120,264 | |||||||||
1.65% | 06/01/30 | 135,000 | 138,607 | |||||||||
2.13% | 09/06/29 | 100,000 | 106,789 | |||||||||
2.50% | 06/01/40 - 03/15/51 | 170,000 | 177,551 | |||||||||
2.95% | 03/25/25 | 100,000 | 110,269 | |||||||||
The Dayton Power & Light Co. | ||||||||||||
3.95% | 06/15/49 | 15,000 | 17,487 | |||||||||
The Dow Chemical Co. | ||||||||||||
2.10% | 11/15/30 | 100,000 | 102,353 | |||||||||
3.60% | 11/15/50 | 200,000 | 224,250 | |||||||||
4.38% | 11/15/42 | 137,000 | 168,283 | |||||||||
The Estee Lauder Companies Inc. | ||||||||||||
2.00% | 12/01/24 | 20,000 | 21,111 | |||||||||
2.38% | 12/01/29 | 20,000 | 21,642 | |||||||||
3.13% | 12/01/49 | 30,000 | 34,625 | |||||||||
The George Washington University | ||||||||||||
4.13% | 09/15/48 | 50,000 | 62,922 | (b) | ||||||||
The Georgetown University | ||||||||||||
2.94% | 04/01/50 | 10,000 | 10,194 | |||||||||
| The Goldman Sachs Group Inc. (1.09% fixed rate until | | ||||||||||
1.09% | 12/09/26 | 100,000 | 101,136 | (e) | ||||||||
2.60% | 02/07/30 | 95,000 | 102,208 | |||||||||
3.50% | 04/01/25 - 11/16/26 | 150,000 | 167,270 | |||||||||
3.63% | 02/20/24 | 100,000 | 108,977 | |||||||||
3.85% | 07/08/24 | 50,000 | 55,177 | |||||||||
4.80% | 07/08/44 | 100,000 | 138,203 | |||||||||
6.25% | 02/01/41 | 50,000 | 78,626 | |||||||||
6.75% | 10/01/37 | 100,000 | 152,574 | |||||||||
| The Goldman Sachs Group Inc. (0.63% fixed rate until | | ||||||||||
0.63% | 11/17/23 | 285,000 | 286,331 | (e) | ||||||||
| The Goldman Sachs Group Inc. (4.02% fixed rate until | | ||||||||||
4.02% | 10/31/38 | 100,000 | 121,931 | (e) | ||||||||
| The Goldman Sachs Group Inc. (4.41% fixed rate until | | ||||||||||
4.41% | 04/23/39 | 150,000 | 191,025 | (e) | ||||||||
The Hartford Financial Services Group Inc. | ||||||||||||
4.40% | 03/15/48 | 100,000 | 132,046 | |||||||||
The Hershey Co. | ||||||||||||
2.65% | 06/01/50 | 60,000 | 63,154 | |||||||||
3.38% | 05/15/23 | 50,000 | 53,613 | |||||||||
The Home Depot Inc. | ||||||||||||
2.13% | 09/15/26 | 45,000 | 48,479 | |||||||||
3.13% | 12/15/49 | 50,000 | 57,608 | |||||||||
3.30% | 04/15/40 | 100,000 | 117,686 | |||||||||
3.90% | 12/06/28 | 100,000 | 120,391 | |||||||||
4.20% | 04/01/43 | 50,000 | 65,208 | |||||||||
The Interpublic Group of Companies Inc. | ||||||||||||
4.65% | 10/01/28 | 10,000 | 12,051 | |||||||||
The JM Smucker Co. | ||||||||||||
3.38% | 12/15/27 | 100,000 | 112,872 | |||||||||
The Kroger Co. | ||||||||||||
3.85% | 08/01/23 | 50,000 | 53,986 | |||||||||
4.50% | 01/15/29 | 100,000 | 122,906 | |||||||||
5.40% | 01/15/49 | 100,000 | 145,043 | |||||||||
The Mosaic Co. | ||||||||||||
3.25% | 11/15/22 | 50,000 | 52,289 | |||||||||
4.05% | 11/15/27 | 50,000 | 56,656 | |||||||||
The New York and Presbyterian Hospital | ||||||||||||
2.26% | 08/01/40 | 25,000 | 24,328 | |||||||||
3.95% | 08/01/19 | 35,000 | 40,364 | |||||||||
The PNC Financial Services Group Inc. | ||||||||||||
2.20% | 11/01/24 | 50,000 | 53,183 |
Principal Amount | Fair Value | |||||||||||
3.45% | 04/23/29 | 100,000 | 115,466 | |||||||||
The Procter & Gamble Co. | ||||||||||||
0.55% | 10/29/25 | 200,000 | 201,726 | |||||||||
2.45% | 11/03/26 | 100,000 | 110,391 | |||||||||
The Progressive Corp. | ||||||||||||
4.35% | 04/25/44 | 100,000 | 132,815 | |||||||||
The Sherwin-Williams Co. | ||||||||||||
3.95% | 01/15/26 | 100,000 | 114,453 | |||||||||
| The Southern Co. (4.00% fixed rate until 10/15/25; 3.73% + 5 | | ||||||||||
4.00% | 01/15/51 | 200,000 | 211,150 | (e) | ||||||||
The Timken Co. | ||||||||||||
4.50% | 12/15/28 | 20,000 | 22,318 | |||||||||
The TJX Companies Inc. | ||||||||||||
1.15% | 05/15/28 | 100,000 | 100,437 | |||||||||
1.60% | 05/15/31 | 100,000 | 100,905 | |||||||||
The Toronto-Dominion Bank | ||||||||||||
0.75% | 09/11/25 | 100,000 | 100,353 | |||||||||
2.65% | 06/12/24 | 100,000 | 107,178 | |||||||||
3.25% | 03/11/24 | 100,000 | 108,607 | |||||||||
The Travelers Companies Inc. | ||||||||||||
4.00% | 05/30/47 | 100,000 | 130,438 | |||||||||
5.35% | 11/01/40 | 100,000 | 144,324 | |||||||||
The Walt Disney Co. | ||||||||||||
2.65% | 01/13/31 | 60,000 | 65,776 | |||||||||
3.35% | 03/24/25 | 100,000 | 110,875 | |||||||||
3.38% | 11/15/26 | 100,000 | 112,792 | |||||||||
6.65% | 11/15/37 | 79,000 | 124,333 | |||||||||
The Western Union Co. | ||||||||||||
3.60% | 03/15/22 | 50,000 | 51,628 | |||||||||
The Williams Companies Inc. | ||||||||||||
3.70% | 01/15/23 | 10,000 | 10,601 | |||||||||
4.55% | 06/24/24 | 40,000 | 44,790 | |||||||||
4.85% | 03/01/48 | 70,000 | 86,255 | |||||||||
5.10% | 09/15/45 | 150,000 | 186,688 | |||||||||
5.75% | 06/24/44 | 15,000 | 19,391 | |||||||||
5.80% | 11/15/43 | 150,000 | 191,395 | |||||||||
Thermo Fisher Scientific Inc. | ||||||||||||
2.60% | 10/01/29 | 50,000 | 54,746 | |||||||||
4.15% | 02/01/24 | 25,000 | 27,641 | |||||||||
4.50% | 03/25/30 | 100,000 | 124,790 | |||||||||
Time Warner Cable LLC | ||||||||||||
4.50% | 09/15/42 | 150,000 | 174,760 | |||||||||
Total Capital International S.A. | ||||||||||||
2.43% | 01/10/25 | 50,000 | 53,356 | |||||||||
3.13% | 05/29/50 | 150,000 | 163,252 | |||||||||
3.46% | 02/19/29 | 100,000 | 115,784 | |||||||||
Total Capital S.A. | ||||||||||||
3.88% | 10/11/28 | 25,000 | 29,664 | |||||||||
Toyota Motor Credit Corp. | ||||||||||||
0.35% | 10/14/22 | 50,000 | 50,088 | |||||||||
0.80% | 10/16/25 | 250,000 | 251,365 | |||||||||
2.60% | 01/11/22 | 100,000 | 102,334 | |||||||||
2.70% | 01/11/23 | 100,000 | 104,784 | |||||||||
2.90% | 03/30/23 | 100,000 | 105,753 | |||||||||
3.45% | 09/20/23 | 50,000 | 54,154 | |||||||||
3.65% | 01/08/29 | 100,000 | 118,387 | |||||||||
Trane Technologies Global Holding Company Ltd. | ||||||||||||
4.25% | 06/15/23 | 100,000 | 109,127 | |||||||||
Trane Technologies Luxembourg Finance S.A. | ||||||||||||
4.50% | 03/21/49 | 100,000 | 130,966 | |||||||||
TransCanada PipeLines Ltd. | ||||||||||||
4.10% | 04/15/30 | 100,000 | 118,370 | |||||||||
4.25% | 05/15/28 | 50,000 | 59,161 | |||||||||
5.10% | 03/15/49 | 50,000 | 67,101 | |||||||||
7.63% | 01/15/39 | 100,000 | 156,497 | |||||||||
Transcontinental Gas Pipe Line Company LLC | ||||||||||||
3.95% | 05/15/50 | 100,000 | 112,481 | |||||||||
4.00% | 03/15/28 | 100,000 | 114,715 | |||||||||
Truist Bank | ||||||||||||
2.63% | 01/15/22 | 100,000 | 102,231 | |||||||||
2.80% | 05/17/22 | 50,000 | 51,637 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
3.00% | 02/02/23 | $ | 100,000 | $ | 105,201 | |||||||
3.20% | 04/01/24 | 50,000 | 54,189 | |||||||||
Truist Financial Corp. | ||||||||||||
1.95% | 06/05/30 | 135,000 | 141,117 | |||||||||
2.85% | 10/26/24 | 50,000 | 54,257 | |||||||||
3.75% | 12/06/23 | 100,000 | 109,874 | |||||||||
4.00% | 05/01/25 | 50,000 | 56,817 | |||||||||
Tucson Electric Power Co. | ||||||||||||
4.85% | 12/01/48 | 50,000 | 66,983 | |||||||||
TWDC Enterprises 18 Corp. | ||||||||||||
3.00% | 07/30/46 | 60,000 | 64,891 | |||||||||
Tyson Foods Inc. | ||||||||||||
4.00% | 03/01/26 | 15,000 | 17,240 | |||||||||
4.88% | 08/15/34 | 70,000 | 92,389 | |||||||||
5.10% | 09/28/48 | 35,000 | 50,108 | |||||||||
U.S. Bancorp | ||||||||||||
3.95% | 11/17/25 | 100,000 | 115,654 | |||||||||
U.S. Bancorp | ||||||||||||
2.63% | 01/24/22 | 100,000 | 102,307 | |||||||||
U.S. Bank NA | ||||||||||||
2.80% | 01/27/25 | 50,000 | 54,385 | |||||||||
UDR Inc. | ||||||||||||
4.40% | 01/26/29 | 50,000 | 59,543 | |||||||||
Unilever Capital Corp. | ||||||||||||
0.38% | 09/14/23 | 100,000 | 100,267 | |||||||||
1.38% | 09/14/30 | 105,000 | 105,457 | |||||||||
2.00% | 07/28/26 | 50,000 | 53,352 | |||||||||
2.90% | 05/05/27 | 100,000 | 111,336 | |||||||||
Union Electric Co. | ||||||||||||
2.63% | 03/15/51 | 65,000 | 67,725 | |||||||||
2.95% | 06/15/27 | 100,000 | 110,429 | |||||||||
3.50% | 03/15/29 | 25,000 | 28,823 | |||||||||
3.65% | 04/15/45 | 35,000 | 41,549 | |||||||||
Union Pacific Corp. | ||||||||||||
2.15% | 02/05/27 | 100,000 | 106,298 | |||||||||
2.97% | 09/16/62 | 15,000 | 15,726 | (c) | ||||||||
3.00% | 04/15/27 | 100,000 | 111,328 | |||||||||
3.50% | 06/08/23 | 50,000 | 53,594 | |||||||||
3.55% | 08/15/39 | 15,000 | 17,306 | |||||||||
3.70% | 03/01/29 | 65,000 | 75,776 | |||||||||
3.84% | 03/20/60 | 105,000 | 129,438 | |||||||||
3.95% | 09/10/28 - 08/15/59 | 50,000 | 60,281 | |||||||||
United Airlines 2020-1 Class A Pass Through Trust | ||||||||||||
5.88% | 04/15/29 | 370,000 | 399,186 | |||||||||
United Parcel Service Inc. | ||||||||||||
2.45% | 10/01/22 | 75,000 | 77,818 | |||||||||
3.05% | 11/15/27 | 50,000 | 56,691 | |||||||||
3.75% | 11/15/47 | 50,000 | 63,256 | |||||||||
3.90% | 04/01/25 | 100,000 | 113,014 | |||||||||
UnitedHealth Group Inc. | ||||||||||||
1.25% | 01/15/26 | 90,000 | 92,408 | |||||||||
2.88% | 08/15/29 | 75,000 | 84,984 | |||||||||
2.95% | 10/15/27 | 100,000 | 112,190 | |||||||||
3.10% | 03/15/26 | 50,000 | 56,050 | |||||||||
3.50% | 02/15/24 - 08/15/39 | 120,000 | 141,174 | |||||||||
3.70% | 12/15/25 - 08/15/49 | 75,000 | 92,740 | |||||||||
3.75% | 10/15/47 | 100,000 | 124,311 | |||||||||
3.88% | 12/15/28 | 15,000 | 17,990 | |||||||||
4.45% | 12/15/48 | 10,000 | 13,796 | |||||||||
4.63% | 07/15/35 | 45,000 | 60,424 | |||||||||
6.88% | 02/15/38 | 100,000 | 164,036 | |||||||||
University of Notre Dame du Lac | ||||||||||||
3.39% | 02/15/48 | 25,000 | 30,779 | |||||||||
Unum Group | ||||||||||||
4.50% | 12/15/49 | 30,000 | 31,938 | |||||||||
Vale Overseas Ltd. | ||||||||||||
6.25% | 08/10/26 | 100,000 | 124,240 | |||||||||
6.88% | 11/10/39 | 100,000 | 149,099 | |||||||||
Valero Energy Corp. | ||||||||||||
2.85% | 04/15/25 | 25,000 | 26,673 | |||||||||
6.63% | 06/15/37 | 50,000 | 66,307 |
Principal Amount | Fair Value | |||||||||||
Valero Energy Partners LP | ||||||||||||
4.38% | 12/15/26 | $ | 100,000 | $ | 116,018 | |||||||
Ventas Realty LP | ||||||||||||
4.00% | 03/01/28 | 50,000 | 57,068 | |||||||||
4.40% | 01/15/29 | 100,000 | 116,518 | |||||||||
VEREIT Operating Partnership LP | ||||||||||||
3.40% | 01/15/28 | 100,000 | 110,366 | |||||||||
4.60% | 02/06/24 | 20,000 | 22,027 | |||||||||
4.88% | 06/01/26 | 25,000 | 29,327 | |||||||||
Verisk Analytics Inc. | ||||||||||||
4.13% | 03/15/29 | 60,000 | 72,207 | |||||||||
Verizon Communications Inc. | ||||||||||||
0.85% | 11/20/25 | 100,000 | 100,818 | |||||||||
1.75% | 01/20/31 | 100,000 | 99,628 | |||||||||
2.63% | 08/15/26 | 100,000 | 109,522 | |||||||||
2.65% | 11/20/40 | 100,000 | 101,029 | |||||||||
2.88% | 11/20/50 | 100,000 | 100,652 | |||||||||
2.99% | 10/30/56 | 219,000 | 220,428 | (c) | ||||||||
3.00% | 11/20/60 | 90,000 | 90,721 | |||||||||
3.38% | 02/15/25 | 100,000 | 111,041 | |||||||||
3.85% | 11/01/42 | 136,000 | 161,252 | |||||||||
3.88% | 02/08/29 | 5,000 | 5,883 | |||||||||
4.02% | 12/03/29 | 100,000 | 118,663 | |||||||||
4.33% | 09/21/28 | 109,000 | 131,053 | |||||||||
4.40% | 11/01/34 | 50,000 | 62,421 | |||||||||
4.52% | 09/15/48 | 150,000 | 194,244 | |||||||||
4.81% | 03/15/39 | 189,000 | 246,758 | |||||||||
5.15% | 09/15/23 | 100,000 | 112,711 | |||||||||
VF Corp. | ||||||||||||
2.95% | 04/23/30 | 30,000 | 33,153 | |||||||||
ViacomCBS Inc. | ||||||||||||
4.00% | 01/15/26 | 50,000 | 57,229 | |||||||||
4.20% | 05/19/32 | 150,000 | 180,309 | |||||||||
4.95% | 05/19/50 | 100,000 | 129,831 | |||||||||
5.85% | 09/01/43 | 100,000 | 138,947 | |||||||||
Virginia Electric & Power Co. | ||||||||||||
4.60% | 12/01/48 | 60,000 | 84,190 | |||||||||
4.65% | 08/15/43 | 100,000 | 135,016 | |||||||||
Visa Inc. | ||||||||||||
2.00% | 08/15/50 | 200,000 | 190,248 | |||||||||
2.15% | 09/15/22 | 100,000 | 103,131 | |||||||||
2.70% | 04/15/40 | 100,000 | 109,250 | |||||||||
4.30% | 12/14/45 | 100,000 | 136,885 | |||||||||
VMware Inc. | ||||||||||||
4.50% | 05/15/25 | 100,000 | 114,551 | |||||||||
4.65% | 05/15/27 | 100,000 | 117,062 | |||||||||
Vodafone Group PLC | ||||||||||||
4.25% | 09/17/50 | 55,000 | 67,830 | |||||||||
4.38% | 05/30/28 - 02/19/43 | 205,000 | 252,092 | |||||||||
5.00% | 05/30/38 | 100,000 | 130,738 | |||||||||
5.25% | 05/30/48 | 50,000 | 69,421 | |||||||||
Vornado Realty LP | ||||||||||||
3.50% | 01/15/25 | 50,000 | 52,790 | |||||||||
Vulcan Materials Co. | ||||||||||||
4.70% | 03/01/48 | 50,000 | 64,037 | |||||||||
Walgreens Boots Alliance Inc. | ||||||||||||
3.45% | 06/01/26 | 55,000 | 60,948 | |||||||||
4.50% | 11/18/34 | 155,000 | 178,493 | |||||||||
Walmart Inc. | ||||||||||||
2.35% | 12/15/22 | 100,000 | 103,989 | |||||||||
3.25% | 07/08/29 | 40,000 | 46,547 | |||||||||
3.40% | 06/26/23 | 50,000 | 53,721 | |||||||||
3.63% | 12/15/47 | 125,000 | 158,347 | |||||||||
3.70% | 06/26/28 | 100,000 | 117,702 | |||||||||
4.05% | 06/29/48 | 85,000 | 115,046 | |||||||||
Waste Connections Inc. | ||||||||||||
3.50% | 05/01/29 | 50,000 | 57,042 | |||||||||
Waste Management Inc. | ||||||||||||
2.90% | 09/15/22 | 50,000 | 51,857 | |||||||||
4.15% | 07/15/49 | 65,000 | 86,010 | |||||||||
WEC Energy Group Inc. | ||||||||||||
0.55% | 09/15/23 | 50,000 | 50,235 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
Wells Fargo & Co. | ||||||||||||
2.63% | 07/22/22 | $ | 100,000 | $ | 103,522 | |||||||
4.13% | 08/15/23 | 150,000 | 163,722 | |||||||||
4.15% | 01/24/29 | 100,000 | 118,625 | |||||||||
4.40% | 06/14/46 | 50,000 | 62,431 | |||||||||
4.65% | 11/04/44 | 50,000 | 63,787 | |||||||||
4.75% | 12/07/46 | 100,000 | 130,936 | |||||||||
5.61% | 01/15/44 | 69,000 | 97,301 | |||||||||
| Wells Fargo & Co. (2.16% fixed rate until 02/11/25; | | ||||||||||
2.16% | 02/11/26 | 165,000 | 173,478 | (e) | ||||||||
| Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% | | ||||||||||
2.39% | 06/02/28 | 120,000 | 127,704 | (e) | ||||||||
| Wells Fargo & Co. (2.41% fixed rate until 10/30/24; | | ||||||||||
2.41% | 10/30/25 | 90,000 | 95,077 | (e) | ||||||||
| Wells Fargo & Co. (2.57% fixed rate until 02/11/30; | | ||||||||||
2.57% | 02/11/31 | 165,000 | 175,279 | (e) | ||||||||
| Wells Fargo & Co. (2.88% fixed rate until 10/30/29; | | ||||||||||
2.88% | 10/30/30 | 100,000 | 108,999 | (e) | ||||||||
| Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% | | ||||||||||
3.07% | 04/30/41 | 165,000 | 178,901 | (e) | ||||||||
Wells Fargo Bank NA | ||||||||||||
3.55% | 08/14/23 | 50,000 | 54,014 | |||||||||
Welltower Inc. | ||||||||||||
2.75% | 01/15/31 | 105,000 | 111,555 | |||||||||
3.63% | 03/15/24 | 25,000 | 27,263 | |||||||||
4.25% | 04/15/28 | 115,000 | 134,121 | |||||||||
Westinghouse Air Brake Technologies Corp. | ||||||||||||
3.45% | 11/15/26 | 100,000 | 109,684 | |||||||||
Westlake Chemical Corp. | ||||||||||||
4.38% | 11/15/47 | 50,000 | 59,256 | |||||||||
Westpac Banking Corp. | ||||||||||||
2.80% | 01/11/22 | 100,000 | �� | 102,595 | ||||||||
3.30% | 02/26/24 | 100,000 | 109,001 | |||||||||
3.35% | 03/08/27 | 100,000 | 113,651 | |||||||||
| Westpac Banking Corp. (4.11% fixed rate until 07/24/29; | | ||||||||||
4.11% | 07/24/34 | 100,000 | 113,615 | (e) | ||||||||
| Westpac Banking Corp. (4.32% fixed rate until 11/23/26; | | ||||||||||
4.32% | 11/23/31 | 100,000 | 114,022 | (e) | ||||||||
Weyerhaeuser Co. | ||||||||||||
7.38% | 03/15/32 | 100,000 | 149,554 | |||||||||
Whirlpool Corp. | ||||||||||||
3.70% | 05/01/25 | 50,000 | 55,690 | |||||||||
4.60% | 05/15/50 | 225,000 | 291,861 | |||||||||
Willis North America Inc. | ||||||||||||
2.95% | 09/15/29 | 85,000 | 92,968 | |||||||||
3.88% | 09/15/49 | 35,000 | 42,849 | |||||||||
4.50% | 09/15/28 | 50,000 | 60,201 | |||||||||
Wisconsin Electric Power Co. | ||||||||||||
4.30% | 10/15/48 | 10,000 | 13,453 | |||||||||
Wisconsin Power & Light Co. | ||||||||||||
3.05% | 10/15/27 | 100,000 | 110,806 | |||||||||
Wisconsin Public Service Corp. | ||||||||||||
3.30% | 09/01/49 | 20,000 | 22,926 | |||||||||
WP Carey Inc. | ||||||||||||
3.85% | 07/15/29 | 50,000 | 57,020 | |||||||||
WR Berkley Corp. | ||||||||||||
4.00% | 05/12/50 | 20,000 | 24,551 | |||||||||
WRKCo Inc. | ||||||||||||
4.20% | 06/01/32 | 50,000 | 60,611 | |||||||||
4.65% | 03/15/26 | 100,000 | 117,625 | |||||||||
WW Grainger Inc. | ||||||||||||
1.85% | 02/15/25 | 50,000 | 52,576 | |||||||||
Xcel Energy Inc. | ||||||||||||
0.50% | 10/15/23 | 80,000 | 80,270 | |||||||||
3.30% | 06/01/25 | 50,000 | 54,986 |
Principal Amount | Fair Value | |||||||||||
Xilinx Inc. | ||||||||||||
2.38% | 06/01/30 | $ | 100,000 | $ | 104,845 | |||||||
Xylem Inc. | ||||||||||||
2.25% | 01/30/31 | 75,000 | 78,997 | |||||||||
Zimmer Biomet Holdings Inc. | ||||||||||||
3.05% | 01/15/26 | 200,000 | 220,850 | |||||||||
3.70% | 03/19/23 | 75,000 | 79,939 | |||||||||
Zoetis Inc. | ||||||||||||
3.00% | 05/15/50 | 70,000 | 77,057 | |||||||||
4.70% | 02/01/43 | 50,000 | 68,488 | |||||||||
147,534,813 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations – 0.2% | ||||||||||||
BANK 2018-BNK14 | ||||||||||||
4.23% | 09/15/60 | 191,106 | 228,222 | (e) | ||||||||
BANK 2019-BNK20 | ||||||||||||
3.01% | 09/15/62 | 50,000 | 55,868 | |||||||||
BANK 2019-BNK21 | ||||||||||||
2.85% | 10/17/52 | 100,000 | 110,487 | |||||||||
BANK 2019-BNK22 | ||||||||||||
2.98% | 11/15/62 | 50,000 | 55,774 | |||||||||
BBCMS Mortgage Trust 2018-C2 | ||||||||||||
4.31% | 12/15/51 | 50,000 | 59,855 | |||||||||
Benchmark 2018-B4 Mortgage Trust | ||||||||||||
4.12% | 07/15/51 | 100,000 | 118,440 | (e) | ||||||||
Benchmark 2018-B5 Mortgage Trust | ||||||||||||
4.21% | 07/15/51 | 100,000 | 119,336 | |||||||||
Benchmark 2019-B13 Mortgage Trust | ||||||||||||
2.95% | 08/15/57 | 100,000 | 111,465 | |||||||||
CD 2017-CD6 Mortgage Trust | ||||||||||||
3.46% | 11/13/50 | 150,000 | 170,337 | |||||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||||||
4.03% | 05/10/47 | 100,000 | 108,108 | |||||||||
Citigroup Commercial Mortgage Trust 2014-GC25 | ||||||||||||
4.02% | 10/10/47 | 300,000 | 327,894 | |||||||||
COMM 2015-LC19 Mortgage Trust | ||||||||||||
3.18% | 02/10/48 | 150,000 | 162,561 | |||||||||
COMM 2016-DC2 Mortgage Trust | ||||||||||||
3.77% | 02/10/49 | 190,000 | 214,391 | |||||||||
CSAIL 2018-CX12 Commercial Mortgage Trust | ||||||||||||
4.22% | 08/15/51 | 200,000 | 237,766 | (e) | ||||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||||||
3.98% | 02/10/48 | 150,000 | 161,412 | |||||||||
GS Mortgage Securities Trust 2016-GS3 | ||||||||||||
2.78% | 10/10/49 | 80,000 | 84,532 | |||||||||
GS Mortgage Securities Trust 2019-GC38 | ||||||||||||
3.97% | 02/10/52 | 50,000 | 59,164 | |||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust | | ||||||||||
3.80% | 07/15/47 | 250,000 | 273,831 | |||||||||
JPMBB Commercial Mortgage Securities Trust 2013-C14 | ||||||||||||
3.76% | 08/15/46 | 133,426 | 139,004 | (e) | ||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C22 | ||||||||||||
3.80% | 09/15/47 | 75,000 | 82,555 | |||||||||
JPMDB Commercial Mortgage Securities Trust 2017-C5 | ||||||||||||
3.41% | 03/15/50 | 150,000 | 165,667 | |||||||||
Morgan Stanley Capital I Trust 2016-UBS12 | ||||||||||||
3.60% | 12/15/49 | 150,000 | 169,273 | |||||||||
UBS Commercial Mortgage Trust 2018-C15 | ||||||||||||
4.07% | 12/15/51 | 100,000 | 116,534 | |||||||||
Wells Fargo Commercial Mortgage Trust 2012-LC5 | ||||||||||||
2.92% | 10/15/45 | 141,156 | 145,641 | |||||||||
4.69% | 10/15/45 | 220,000 | 224,305 | (e) | ||||||||
Wells Fargo Commercial Mortgage Trust 2017-C41 | ||||||||||||
3.47% | 11/15/50 | 150,000 | 169,751 | |||||||||
Wells Fargo Commercial Mortgage Trust 2018-C46 | ||||||||||||
4.15% | 08/15/51 | 200,000 | 238,985 | |||||||||
WFRBS Commercial Mortgage Trust 2012-C7 | ||||||||||||
3.43% | 06/15/45 | 200,000 | 206,015 | |||||||||
WFRBS Commercial Mortgage Trust 2013-C17 | ||||||||||||
4.02% | 12/15/46 | 35,000 | 38,104 | |||||||||
4,355,277 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Principal Amount | Fair Value | |||||||||||
Sovereign Bonds – 0.5% | ||||||||||||
Colombia Government International Bond | ||||||||||||
4.13% | 05/15/51 | $ | 200,000 | $ | 222,676 | |||||||
Export Development Canada | ||||||||||||
2.50% | 01/24/23 | 200,000 | 209,510 | |||||||||
Export-Import Bank of Korea | ||||||||||||
1.88% | 02/12/25 | 100,000 | 104,642 | |||||||||
3.00% | 11/01/22 | 200,000 | 209,416 | |||||||||
3.63% | 11/27/23 | 100,000 | 109,177 | |||||||||
Government of Canada | ||||||||||||
2.63% | 01/25/22 | 100,000 | 102,608 | |||||||||
Government of Chile | ||||||||||||
2.45% | 01/31/31 | 200,000 | 214,238 | |||||||||
3.13% | 01/21/26 | 100,000 | 111,015 | |||||||||
3.50% | 01/25/50 | 100,000 | 115,067 | |||||||||
Government of Colombia | ||||||||||||
3.00% | 01/30/30 | 200,000 | 210,526 | |||||||||
5.00% | 06/15/45 | 150,000 | 183,519 | |||||||||
6.13% | 01/18/41 | 150,000 | 201,312 | |||||||||
Government of Hungary | ||||||||||||
5.38% | 03/25/24 | 100,000 | 114,262 | |||||||||
Government of Indonesia | ||||||||||||
3.85% | 10/15/30 | 200,000 | 232,668 | |||||||||
4.75% | 02/11/29 | 100,000 | 121,204 | |||||||||
Government of Israel | ||||||||||||
2.88% | 03/16/26 | 100,000 | 110,155 | |||||||||
3.88% | 07/03/50 | 100,000 | 120,487 | |||||||||
Government of Italy | ||||||||||||
2.88% | 10/17/29 | 100,000 | 105,413 | |||||||||
5.38% | 06/15/33 | 150,000 | 192,726 | |||||||||
Government of Mexico | ||||||||||||
4.00% | 10/02/23 | 100,000 | 109,490 | |||||||||
4.35% | 01/15/47 | 100,000 | 114,214 | |||||||||
4.75% | 03/08/44 | 102,000 | 121,318 | |||||||||
5.00% | 04/27/51 | 100,000 | 124,737 | |||||||||
5.75% | 10/12/10 | 172,000 | 228,937 | |||||||||
6.05% | 01/11/40 | 130,000 | 174,736 | |||||||||
Government of Panama | ||||||||||||
3.75% | 03/16/25 | 100,000 | 110,765 | |||||||||
4.50% | 04/01/56 | 100,000 | 129,138 | |||||||||
6.70% | 01/26/36 | 150,000 | 222,940 | |||||||||
Government of Peru | ||||||||||||
6.55% | 03/14/37 | 147,000 | 223,374 | |||||||||
7.35% | 07/21/25 | 100,000 | 128,073 | |||||||||
Government of Philippines | ||||||||||||
2.46% | 05/05/30 | 200,000 | 215,676 | |||||||||
2.95% | 05/05/45 | 200,000 | 211,552 | |||||||||
3.70% | 03/01/41 | 100,000 | 115,866 | |||||||||
3.75% | 01/14/29 | 100,000 | 116,639 | |||||||||
4.20% | 01/21/24 | 100,000 | 111,396 | |||||||||
Government of Poland | ||||||||||||
3.00% | 03/17/23 | 147,000 | 155,366 | |||||||||
3.25% | 04/06/26 | 100,000 | 112,810 | |||||||||
5.00% | 03/23/22 | 100,000 | 105,874 | |||||||||
Government of Uruguay | ||||||||||||
4.50% | 08/14/24 | 100,000 | 110,358 | |||||||||
4.98% | 04/20/55 | 100,000 | 139,218 | |||||||||
Iraq Government AID Bond | ||||||||||||
2.15% | 01/18/22 | 480,000 | 488,750 | |||||||||
Japan Bank for International Cooperation | ||||||||||||
0.38% | 09/15/23 | 80,000 | 80,074 | |||||||||
1.63% | 10/17/22 | 200,000 | 204,640 | |||||||||
2.88% | 07/21/27 | 100,000 | 112,656 | |||||||||
3.38% | 10/31/23 | 200,000 | 216,874 | |||||||||
Korea International Bond | ||||||||||||
2.50% | 06/19/29 | 100,000 | 110,257 | |||||||||
Panama Government International Bond | ||||||||||||
2.25% | 09/29/32 | 200,000 | 206,190 | |||||||||
Province of Alberta Canada | ||||||||||||
2.95% | 01/23/24 | 150,000 | 161,664 | |||||||||
3.35% | 11/01/23 | 150,000 | 162,616 |
Principal Amount | Fair Value | |||||||||||
Province of Manitoba Canada | ||||||||||||
2.60% | 04/16/24 | $ | 100,000 | $ | 107,100 | |||||||
Province of Ontario Canada | ||||||||||||
1.13% | 10/07/30 | 200,000 | 197,432 | |||||||||
3.05% | 01/29/24 | 150,000 | 162,290 | |||||||||
3.40% | 10/17/23 | 150,000 | 162,733 | |||||||||
Province of Quebec Canada | ||||||||||||
0.60% | 07/23/25 | 200,000 | 200,586 | |||||||||
2.38% | 01/31/22 | 200,000 | 204,618 | |||||||||
The Korea Development Bank | ||||||||||||
2.13% | 10/01/24 | 100,000 | 105,277 | |||||||||
2.63% | 02/27/22 | 200,000 | 205,066 | |||||||||
Uruguay Government International Bond | ||||||||||||
4.38% | 01/23/31 | 100,000 | 122,798 | |||||||||
9,284,719 | ||||||||||||
Municipal Bonds and Notes – 0.2% | ||||||||||||
American Municipal Power Inc. | ||||||||||||
6.27% | 02/15/50 | 100,000 | 141,989 | (b) | ||||||||
Board of Regents of the University of Texas System | ||||||||||||
4.79% | 08/15/46 | 100,000 | 137,073 | (b) | ||||||||
Chicago O’Hare International Airport | ||||||||||||
4.47% | 01/01/49 | 100,000 | 123,464 | (b) | ||||||||
| Chicago Transit Authority Sales & Transfer Tax Receipts | | ||||||||||
6.90% | 12/01/40 | 75,000 | 108,447 | (b) | ||||||||
Commonwealth of Massachusetts | ||||||||||||
4.50% | 08/01/31 | 100,000 | 128,245 | (b) | ||||||||
Dallas Area Rapid Transit | ||||||||||||
5.02% | 12/01/48 | 75,000 | 106,786 | (b) | ||||||||
East Bay Municipal Utility District | ||||||||||||
5.87% | 06/01/40 | 100,000 | 150,287 | (b) | ||||||||
Los Angeles Department of Water & Power | ||||||||||||
6.57% | 07/01/45 | 100,000 | 175,117 | (b) | ||||||||
6.60% | 07/01/50 | 90,000 | 167,515 | (b) | ||||||||
Los Angeles Unified School District | ||||||||||||
5.76% | 07/01/29 | 110,000 | 141,842 | (b) | ||||||||
Municipal Electric Authority of Georgia | ||||||||||||
6.64% | 04/01/57 | 123,000 | 187,052 | (b) | ||||||||
New York City Water & Sewer System | ||||||||||||
6.01% | 06/15/42 | 50,000 | 79,455 | (b) | ||||||||
New York State Dormitory Authority | ||||||||||||
3.14% | 07/01/43 | 50,000 | 52,668 | (b) | ||||||||
New York State Urban Development Corp. | ||||||||||||
3.90% | 03/15/33 | 25,000 | 28,719 | (b) | ||||||||
North Texas Tollway Authority | ||||||||||||
6.72% | 01/01/49 | 100,000 | 173,414 | (b) | ||||||||
Port Authority of New York & New Jersey | ||||||||||||
5.31% | 08/01/46 | 200,000 | 224,436 | (b) | ||||||||
1.09% | 07/01/23 | 135,000 | 137,011 | (b) | ||||||||
Sales Tax Securitization Corp. | ||||||||||||
4.64% | 01/01/40 | 25,000 | 29,532 | (b) | ||||||||
South Carolina State Public Service Authority | ||||||||||||
6.45% | 01/01/50 | 50,000 | 82,919 | (b) | ||||||||
State Board of Administration Finance Corp. | ||||||||||||
2.15% | 07/01/30 | 300,000 | 315,666 | |||||||||
State of California | ||||||||||||
2.38% | 10/01/26 | 200,000 | 218,138 | (b) | ||||||||
2.50% | 10/01/29 | 300,000 | 330,186 | (b) | ||||||||
7.60% | 11/01/40 | 100,000 | 180,878 | (b) | ||||||||
Texas Transportation Commission | ||||||||||||
2.56% | 04/01/42 | 80,000 | 81,494 | (b) | ||||||||
University of California | ||||||||||||
4.60% | 05/15/31 | 100,000 | 121,908 | (b) | ||||||||
6.58% | 05/15/49 | 100,000 | 161,898 | (b) | ||||||||
3,786,139 | ||||||||||||
U.S. Government Sponsored Agency – 0.0%* | ||||||||||||
Tennessee Valley Authority | ||||||||||||
3.50% | 12/15/42 | 100,000 | 125,144 | |||||||||
| Total Bonds and Notes | 410,239,208 |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Number of Shares | Fair Value | |||||||
Exchange Traded & Mutual Funds – 12.3% |
| |||||||
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 4,809,593 | $ | 73,394,389 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 829,249 | 90,338,386 | (g) | |||||
SPDR Bloomberg Barclays International Treasury Bond ETF | 1,143,138 | 35,700,200 | ||||||
SPDR Dow Jones REIT ETF | 54,355 | 4,712,578 | (g) | |||||
SPDR Portfolio Long Term Corporate Bond ETF | 546,231 | 18,080,246 | (g) | |||||
222,225,799 | ||||||||
Total Exchange Traded & Mutual Funds | 222,225,799 | |||||||
Total Investments in Securities | 1,725,111,747 | |||||||
Other Information: |
|
Number of Shares | Fair Value | |||||||
Short-Term Investments – 4.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.05% | ||||||||
(Cost $84,964,250) | 84,964,250 | $ | 84,964,250 | (b,g,h) | ||||
Total Investments |
| 1,810,075,997 | ||||||
Liabilities in Excess of Other Assets, net – (0.1)% |
| (2,325,219 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,807,750,778 | |||||
|
|
The Fund had the following long futures contracts open at December 31, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | March 2021 | 20 | $ | 3,679,840 | $ | 3,748,800 | $ | 68,960 | ||||||||||||
E-mini Russell 2000 Index Futures | March 2021 | 10 | 955,623 | 987,400 | 31,777 | |||||||||||||||
MSCI Emerging Markets Index Futures | March 2021 | 14 | 871,640 | 901,740 | 30,100 | |||||||||||||||
MSCI EAFE Mini Index Futures | March 2021 | 36 | 3,754,429 | 3,835,440 | 81,011 | |||||||||||||||
$ | 211,848 |
During the year ended December 31, 2020, the average notional value related to long futures contracts was $7,921,466.
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At December 31, 2020, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBAs. |
(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 December 31, 2020, these securities amounted to $10,887,913 or 0.60% of the net assets of the State Street Total Return V.I.S. Fund. These securities have been determined to be liquid using procedures established by the Fund’s Board of Directors . |
(d) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(e) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(f) | Step coupon bond. |
(g) | 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. |
(h) | Coupon amount represents effective yield. |
(i) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund’s Board of Directors. Security value is determined based on level 3 inputs. |
† | Percentages are based on net assets as of December 31, 2020. |
* | Less than 0.05%. |
** | Amount is less than $0.50. |
Abbreviations:
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
ADR | American Depositary Receipt | |
CMT | Constant Maturity Treasury | |
GDR | Global Depositary Receipt | |
ISDA | International Swaps and Derivatives Association | |
LIBOR | London Interbank Offered Rate | |
NVDR | Non-Voting Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SOFR | Secured Overnight Financing Rate | |
SPDR | Standard and Poor’s Depositary Receipt | |
TBA | To Be Announced |
The following table presents the Fund’s investments measured at fair value on a recurring basis at December 31, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments in Securities | ||||||||||||||||||
| Domestic Equity | $ | 646,812,962 | $ | 845 | $ | — | $ | 646,813,807 | |||||||||
Foreign Equity | 445,832,933 | — | — | 445,832,933 | ||||||||||||||
U.S. Treasuries | — | 149,296,173 | — | 149,296,173 | ||||||||||||||
Agency Mortgage Backed | — | 91,460,359 | — | 91,460,359 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 3,190,098 | — | 3,190,098 | ||||||||||||||
Asset Backed | — | 1,206,486 | — | 1,206,486 | ||||||||||||||
Corporate Notes | — | 147,534,813 | — | 147,534,813 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 4,355,277 | — | 4,355,277 | ||||||||||||||
Sovereign Bonds | — | 9,284,719 | — | 9,284,719 | ||||||||||||||
Municipal Bonds and Notes | — | 3,786,139 | — | 3,786,139 | ||||||||||||||
U.S. Government Sponsored Agencies | — | 125,144 | — | 125,144 | ||||||||||||||
Exchange Traded & Mutual Funds | 222,225,799 | — | — | 222,225,799 | ||||||||||||||
Short-Term Investments | 84,964,250 | — | — | 84,964,250 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,399,835,944 | $ | 410,240,053 | $ | — | $ | 1,810,075,997 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Appreciation | $ | 211,848 $ | — | $ | — | $ | 211,848 | |||||||||||
|
|
|
|
|
|
|
|
The Fund was invested in the following countries/territories at December 31, 2020 (unaudited):
Country/Territory | Percentage (based on Fair Value) | |||
United States | 72.42 | % | ||
Japan | 4.08 | % | ||
Canada | 2.37 | % | ||
Switzerland | 2.27 | % | ||
United Kingdom | 2.01 | % | ||
China | 1.97 | % | ||
Germany | 1.76 | % | ||
Ireland | 1.51 | % | ||
France | 1.31 | % | ||
Australia | 1.19 | % | ||
Taiwan | 0.80 | % | ||
South Korea | 0.79 | % | ||
Sweden | 0.75 | % | ||
Netherlands | 0.72 | % | ||
India | 0.55 | % | ||
Italy | 0.48 | % | ||
Denmark | 0.43 | % | ||
Supranational | 0.39 | % | ||
Hong Kong | 0.37 | % | ||
Finland | 0.35 | % | ||
Belgium | 0.29 | % | ||
Spain | 0.28 | % | ||
Israel | 0.28 | % | ||
Singapore | 0.25 | % | ||
Russian Federation | 0.24 | % | ||
South Africa | 0.24 | % | ||
New Zealand | 0.24 | % | ||
Brazil | 0.19 | % | ||
Norway | 0.15 | % | ||
Mexico | 0.14 | % | ||
Malaysia | 0.13 | % |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Country/Territory | Percentage (based on Fair Value) | |||
Cayman Islands | 0.11 | % | ||
Philippines | 0.08 | % | ||
Saudi Arabia | 0.08 | % | ||
Portugal | 0.08 | % | ||
Poland | 0.07 | % | ||
Turkey | 0.07 | % | ||
Colombia | 0.06 | % | ||
Austria | 0.06 | % | ||
Thailand | 0.06 | % | ||
Chile | 0.06 | % | ||
Bermuda | 0.05 | % | ||
Indonesia | 0.04 | % | ||
Panama | 0.04 | % | ||
United Arab Emirates | 0.03 | % | ||
Iraq | 0.03 | % | ||
Cyprus | 0.02 | % | ||
Uruguay | 0.02 | % | ||
Luxembourg | 0.02 | % | ||
Peru | 0.02 | % | ||
Hungary | 0.01 | % | ||
Puerto Rico | 0.01 | % | ||
Qatar | 0.01 | % | ||
Greece | 0.01 | % | ||
Czech | 0.01 | % | ||
Guernsey | 0.00 | %*** | ||
Pakistan | 0.00 | %*** | ||
|
| |||
100.00 | % | |||
|
|
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at December 31, 2020 (unaudited):
Industry | Domestic | Foreign | Total | |||||||||
Exchange Traded Funds | 9.32 | % | 0.00 | % | 9.32 | % | ||||||
Specialized Finance | 2.97 | % | 0.00 | % | 2.97 | % | ||||||
Technology Hardware, Storage & Peripherals | 1.82 | % | 0.71 | % | 2.53 | % | ||||||
Electric Utilities | 1.64 | % | 0.86 | % | 2.50 | % | ||||||
Property & Casualty Insurance | 2.04 | % | 0.33 | % | 2.37 | % | ||||||
IT Consulting & Other Services | 0.73 | % | 1.32 | % | 2.05 | % | ||||||
Hypermarkets & Super Centers | 1.64 | % | 0.20 | % | 1.84 | % | ||||||
Pharmaceuticals | 0.91 | % | 0.82 | % | 1.73 | % | ||||||
Multi-Sector Holdings | 1.20 | % | 0.47 | % | 1.67 | % | ||||||
Integrated Telecommunication Services | 0.72 | % | 0.88 | % | 1.60 | % | ||||||
Multi-Line Insurance | 0.07 | % | 1.28 | % | 1.35 | % | ||||||
Asset Management & Custody Banks | 1.14 | % | 0.10 | % | 1.24 | % | ||||||
General Merchandise Stores | 0.79 | % | 0.45 | % | 1.24 | % | ||||||
Healthcare Equipment | 1.13 | % | 0.11 | % | 1.24 | % | ||||||
Food Retail | 0.32 | % | 0.82 | % | 1.14 | % | ||||||
Automobile Manufacturers | 0.77 | % | 0.37 | % | 1.14 | % | ||||||
Home Building | 0.74 | % | 0.37 | % | 1.11 | % | ||||||
Application Software | 1.11 | % | 0.00 | % | 1.11 | % | ||||||
Internet & Direct Marketing Retail | 0.63 | % | 0.45 | % | 1.08 | % | ||||||
Wireless Telecommunication Services | 0.67 | % | 0.40 | % | 1.07 | % | ||||||
Systems Software | 0.93 | % | 0.10 | % | 1.03 | % | ||||||
Air Freight & Logistics | 0.86 | % | 0.17 | % | 1.03 | % | ||||||
Packaged Foods & Meats | 0.62 | % | 0.40 | % | 1.02 | % | ||||||
Life & Health Insurance | 0.12 | % | 0.81 | % | 0.93 | % | ||||||
Industrial Machinery | 0.27 | % | 0.63 | % | 0.90 | % | ||||||
Semiconductors | 0.45 | % | 0.40 | % | 0.85 | % | ||||||
Trading Companies & Distributors | 0.13 | % | 0.69 | % | 0.82 | % | ||||||
Semiconductor Equipment | 0.60 | % | 0.21 | % | 0.81 | % | ||||||
Diversified Banks | 0.00 | % | 0.78 | % | 0.78 | % | ||||||
Agricultural & Farm Machinery | 0.71 | % | 0.00 | % | 0.71 | % | ||||||
Electrical Components & Equipment | 0.60 | % | 0.08 | % | 0.68 | % | ||||||
Healthcare Distributors | 0.53 | % | 0.10 | % | 0.63 | % | ||||||
Building Products | 0.21 | % | 0.40 | % | 0.61 | % | ||||||
Household Products | 0.53 | % | 0.07 | % | 0.60 | % | ||||||
Auto Parts & Equipment | 0.07 | % | 0.47 | % | 0.54 | % | ||||||
Electronic Components | 0.30 | % | 0.24 | % | 0.54 | % | ||||||
Specialty Chemicals | 0.14 | % | 0.39 | % | 0.53 | % | ||||||
Reinsurance | 0.00 | % | 0.53 | % | 0.53 | % |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Industry | Domestic | Foreign | Total | |||||||||
Steel | 0.10 | % | 0.40 | % | 0.50 | % | ||||||
Trucking | 0.42 | % | 0.07 | % | 0.49 | % | ||||||
Internet Services & Infrastructure | 0.06 | % | 0.42 | % | 0.48 | % | ||||||
Life Sciences Tools & Services | 0.31 | % | 0.15 | % | 0.46 | % | ||||||
Personal Products | 0.02 | % | 0.43 | % | 0.45 | % | ||||||
Regional Banks | 0.35 | % | 0.10 | % | 0.45 | % | ||||||
Interactive Media & Services | 0.11 | % | 0.33 | % | 0.44 | % | ||||||
Automotive Retail | 0.41 | % | 0.02 | % | 0.43 | % | ||||||
Construction & Engineering | 0.17 | % | 0.26 | % | 0.43 | % | ||||||
Tires & Rubber | 0.00 | % | 0.42 | % | 0.42 | % | ||||||
Casinos & Gaming | 0.08 | % | 0.33 | % | 0.41 | % | ||||||
Data Processing & Outsourced Services | 0.38 | % | 0.00 | % | 0.38 | % | ||||||
Multi-Utilities | 0.37 | % | 0.00 | % | 0.37 | % | ||||||
Construction Machinery & Heavy Trucks | 0.32 | % | 0.05 | % | 0.37 | % | ||||||
Industrial REITs | 0.17 | % | 0.20 | % | 0.37 | % | ||||||
Agricultural Products | 0.29 | % | 0.06 | % | 0.35 | % | ||||||
Healthcare Services | 0.24 | % | 0.10 | % | 0.34 | % | ||||||
Environmental & Facilities Services | 0.28 | % | 0.06 | % | 0.34 | % | ||||||
Biotechnology | 0.32 | % | 0.01 | % | 0.33 | % | ||||||
Research & Consulting Services | 0.19 | % | 0.14 | % | 0.33 | % | ||||||
Commodity Chemicals | 0.04 | % | 0.29 | % | 0.33 | % | ||||||
Financial Exchanges & Data | 0.13 | % | 0.19 | % | 0.32 | % | ||||||
Specialized REITs | 0.31 | % | 0.00 | % | 0.31 | % | ||||||
Electronic Equipment & Instruments | 0.11 | % | 0.19 | % | 0.30 | % | ||||||
Metal & Glass Containers | 0.29 | % | 0.00 | % | 0.29 | % | ||||||
Paper Packaging | 0.29 | % | 0.00 | % | 0.29 | % | ||||||
Specialty Stores | 0.26 | % | 0.02 | % | 0.28 | % | ||||||
Healthcare Supplies | 0.23 | % | 0.03 | % | 0.26 | % | ||||||
Computer & Electronics Retail | 0.23 | % | 0.03 | % | 0.26 | % | ||||||
Diversified Capital Markets | 0.00 | % | 0.26 | % | 0.26 | % | ||||||
Water Utilities | 0.24 | % | 0.00 | % | 0.24 | % | ||||||
Leisure Products | 0.23 | % | 0.00 | % | 0.23 | % | ||||||
Apparel Retail | 0.18 | % | 0.05 | % | 0.23 | % | ||||||
Electronic Manufacturing Services | 0.09 | % | 0.14 | % | 0.23 | % | ||||||
Investment Banking & Brokerage | 0.20 | % | 0.02 | % | 0.22 | % | ||||||
Industrial Conglomerates | 0.00 | % | 0.22 | % | 0.22 | % | ||||||
Real Estate Operating Companies | 0.00 | % | 0.22 | % | 0.22 | % | ||||||
Independent Power Producers & Energy Traders | 0.10 | % | 0.11 | % | 0.21 | % | ||||||
Technology Distributors | 0.17 | % | 0.04 | % | 0.21 | % | ||||||
Thrifts & Mortgage Finance | 0.21 | % | 0.00 | % | 0.21 | % | ||||||
Oil & Gas Refining & Marketing | 0.09 | % | 0.11 | % | 0.20 | % | ||||||
Gas Utilities | 0.00 | % | 0.18 | % | 0.18 | % | ||||||
Healthcare Facilities | 0.18 | % | 0.00 | % | 0.18 | % | ||||||
Paper Products | 0.05 | % | 0.12 | % | 0.17 | % | ||||||
Marine | 0.00 | % | 0.17 | % | 0.17 | % | ||||||
Diversified Metals & Mining | 0.00 | % | 0.17 | % | 0.17 | % | ||||||
Apparel, Accessories & Luxury Goods | 0.01 | % | 0.15 | % | 0.16 | % | ||||||
Gold | 0.00 | % | 0.16 | % | 0.16 | % | ||||||
Consumer Electronics | 0.15 | % | 0.01 | % | 0.16 | % | ||||||
Diversified Chemicals | 0.12 | % | 0.03 | % | 0.15 | % | ||||||
Human Resource & Employment Services | 0.07 | % | 0.08 | % | 0.15 | % | ||||||
Renewable Electricity | 0.07 | % | 0.08 | % | 0.15 | % | ||||||
Real Estate Development | 0.00 | % | 0.14 | % | 0.14 | % | ||||||
Household Appliances | 0.09 | % | 0.05 | % | 0.14 | % | ||||||
Mortgage REITs | 0.13 | % | 0.00 | % | 0.13 | % | ||||||
Health Care REITs | 0.13 | % | 0.00 | % | 0.13 | % | ||||||
Diversified Support Services | 0.13 | % | 0.00 | % | 0.13 | % | ||||||
Distributors | 0.13 | % | 0.00 | % | 0.13 | % | ||||||
Integrated Oil & Gas | 0.00 | % | 0.13 | % | 0.13 | % | ||||||
Drug Retail | 0.00 | % | 0.13 | % | 0.13 | % | ||||||
Managed Healthcare | 0.11 | % | 0.01 | % | 0.12 | % | ||||||
Diversified Real Estate Activities | 0.00 | % | 0.11 | % | 0.11 | % | ||||||
Forest Products | 0.00 | % | 0.11 | % | 0.11 | % | ||||||
Home Furnishing Retail | 0.10 | % | 0.00 | % | 0.10 | % | ||||||
Industrial Gases | 0.00 | % | 0.10 | % | 0.10 | % | ||||||
Fertilizers & Agricultural Chemicals | 0.07 | % | 0.02 | % | 0.09 | % | ||||||
Heavy Electrical Equipment | 0.07 | % | 0.02 | % | 0.09 | % | ||||||
Brewers | 0.08 | % | 0.01 | % | 0.09 | % | ||||||
Home Improvement Retail | 0.00 | % | 0.08 | % | 0.08 | % | ||||||
Other Diversified Financial Services | 0.01 | % | 0.07 | % | 0.08 | % | ||||||
Aerospace & Defense | 0.07 | % | 0.01 | % | 0.08 | % | ||||||
Advertising | 0.08 | % | 0.00 | % | 0.08 | % | ||||||
Office REITs | 0.08 | % | 0.00 | % | 0.08 | % | ||||||
Publishing | 0.08 | % | 0.00 | % | 0.08 | % |
See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Industry | Domestic | Foreign | Total | |||||||||
Communications Equipment | 0.04 | % | 0.03 | % | 0.07 | % | ||||||
Footwear | 0.00 | % | 0.07 | % | 0.07 | % | ||||||
Motorcycle Manufacturers | 0.00 | % | 0.07 | % | 0.07 | % | ||||||
Retail REITs | 0.03 | % | 0.03 | % | 0.06 | % | ||||||
Diversified REITs | 0.06 | % | 0.00 | % | 0.06 | % | ||||||
Healthcare Technology | 0.06 | % | 0.00 | % | 0.06 | % | ||||||
Copper | 0.00 | % | 0.06 | % | 0.06 | % | ||||||
Food Distributors | 0.04 | % | 0.02 | % | 0.06 | % | ||||||
Coal & Consumable Fuels | 0.00 | % | 0.06 | % | 0.06 | % | ||||||
Consumer Finance | 0.04 | % | 0.02 | % | 0.06 | % | ||||||
Tobacco | 0.05 | % | 0.00 | % | 0.05 | % | ||||||
Construction Materials | 0.02 | % | 0.03 | % | 0.05 | % | ||||||
Real Estate Services | 0.04 | % | 0.00 | % | 0.04 | % | ||||||
Insurance Brokers | 0.04 | % | 0.00 | % | 0.04 | % | ||||||
Airlines | 0.00 | % | 0.04 | % | 0.04 | % | ||||||
Interactive Home Entertainment | 0.00 | % | 0.04 | % | 0.04 | % | ||||||
Precious Metals & Minerals | 0.00 | % | 0.04 | % | 0.04 | % | ||||||
Alternative Carriers | 0.00 | % | 0.03 | % | 0.03 | % | ||||||
Restaurants | 0.03 | % | 0.00 | % | 0.03 | % | ||||||
Oil & Gas Exploration & Production | 0.03 | % | 0.00 | % | 0.03 | % | ||||||
Oil & Gas Storage & Transportation | 0.01 | % | 0.02 | % | 0.03 | % | ||||||
Education Services | 0.00 | % | 0.03 | % | 0.03 | % | ||||||
Office Services & Supplies | 0.02 | % | 0.00 | % | 0.02 | % | ||||||
Cable & Satellite | 0.00 | % | 0.02 | % | 0.02 | % | ||||||
Soft Drinks | 0.00 | % | 0.01 | % | 0.01 | % | ||||||
Commercial Printing | 0.01 | % | 0.00 | % | 0.01 | % | ||||||
Leisure Facilities | 0.01 | % | 0.00 | % | 0.01 | % | ||||||
Department Stores | 0.00 | % | 0.01 | % | 0.01 | % | ||||||
Residential REITs | 0.01 | % | 0.00 | % | 0.01 | % | ||||||
Aluminum | 0.00 | % | 0.01 | % | 0.01 | % | ||||||
Security & Alarm Services | 0.00 | % | 0.01 | % | 0.01 | % | ||||||
Housewares & Specialties | 0.01 | % | 0.00 | % | 0.01 | % | ||||||
Home Furnishings | 0.00 | % | 0.00 | % | 0.00 | %*** | ||||||
Hotels, Resorts & Cruise Lines | 0.00 | % | 0.00 | % | 0.00 | %*** | ||||||
Marine Ports & Services | 0.00 | % | 0.00 | % | 0.00 | %*** | ||||||
Broadcasting | 0.00 | % | 0.00 | % | 0.00 | %*** | ||||||
Banks | 0.00 | % | 0.00 | % | 0.00 | %*** | ||||||
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72.65 | % | |||||||||||
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*** | Amount is less than 0.005% |
Sector | Percentage (based on Fair Value) | |||
U.S. Treasuries | 8.25 | % | ||
Corporate Notes | 8.15 | % | ||
Agency Mortgage Backed | 5.05 | % | ||
Sovereign Bonds | 0.51 | % | ||
Non-Agency Collateralized Mortgage Obligations | 0.24 | % | ||
Municipal Bonds and Notes | 0.21 | % | ||
Agency Collateralized Mortgage Obligations | 0.17 | % | ||
Asset Backed | 0.07 | % | ||
U.S. Government Sponsored Agencies | 0.01 | % | ||
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22.66 | % | |||
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Short-Term Investments | ||||
Short-Term Investments | 4.69 | % | ||
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4.69 | % | |||
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100.00 | % | |||
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See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
State Street Total Return V.I.S. Fund
Schedule of Investments, continued | December 31, 2020 |
Affiliate Table
Number of Shares Held at 12/31/19 | Value At 12/31/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 12/31/20 | Value at 12/31/20 | Dividend Income | ||||||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 1,233,354 | $ | 135,101,597 | $ | 123,557,735 | $ | 167,664,991 | $ | (1,763,651 | ) | $ | 1,107,696 | 829,249 | $ | 90,338,386 | 5,383,720 | ||||||||||||||||||||
SPDR Bloomberg Barclays International Treasury Bond ETF | — | — | 34,459,895 | — | — | 1,240,305 | 1,143,138 | 35,700,200 | 53,187 | |||||||||||||||||||||||||||
SPDR Dow Jones REIT ETF | 917,656 | 93,619,265 | 15,198,967 | 85,788,806 | (14,940,444 | ) | (3,376,404 | ) | 54,355 | 4,712,578 | 676,218 | |||||||||||||||||||||||||
SPDR Portfolio Long Term Corporate Bond ETF | — | — | 66,296,563 | 47,949,947 | (574,991 | ) | 308,621 | 546,231 | $ | 18,080,246 | 243,946 | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 60,902,376 | 60,902,376 | 636,541,393 | 612,479,519 | — | — | 84,964,250 | 84,964,250 | 162,187 | |||||||||||||||||||||||||||
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TOTAL | $ | 289,623,238 | $ | 876,054,553 | $ | 913,883,263 | $ | (17,279,086 | ) | $ | (719,782 | ) | $ | 233,795,660 | $ | 6,519,258 | ||||||||||||||||||||
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See Notes to Schedules of Investments and Notes to Financial Statements.
Table of Contents
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
Table of Contents
(b) Not applicable to the Registrant.
Item 13. Exhibits.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET VARIABLE INSURANCE SERIES FUNDS, INC. | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | February 26, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | February 26, 2021 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial Officer) | ||
Date: | February 26, 2021 |