State Street Institutional Investment Trust
06/04/2026 | Press release | Distributed by Public on 06/04/2026 10:14
Semi-Annual Report by Investment Company (Form N-CSRS)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
One Congress Street, Boston, Massachusetts 02114
(Address of principal executive offices) (Zip code)
| (Name and Address of Agent for Service) | Copy to: | |
|
Andrew J. DeLorme, Esq. Chief Legal Officer c/o SSGA Funds Management, Inc. One Congress Street Boston, Massachusetts 02114 |
Adam M. Schlichtmann, Esq. Ropes & Gray LLP Prudential Tower, 800 Boylston Street Boston, Massachusetts 02199-3600 |
|
Registrant's telephone number, including area code: (617) 664-3920
Date of fiscal year end: September 30
Date of reporting period: March 31, 2026
Item 1. Reports to Shareholders.
| (a) |
The Reports to Shareholders are attached herewith. |
State Street U.S. Core Equity Fund
SSAQX
Semi-Annual Shareholder Report
March 31, 2026
This semi-annual shareholder report contains important information about the State Street U.S. Core Equity Fund (the "Fund") for the period of October 1, 2025 through March 31, 2026. You can find additional information about the Fund, including the Prospectus, Statement of Additional Information, financial statements and other information at www.ssga.com/us/en/institutional/fund-finder?tab=documents&type=mf. You can also request this information about the Fund by contacting us at 1-800-242-0134.
What were the Fund costs for the last six months? (based on a hypothetical $10,000 Investment)
Table Summary
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
State Street U.S. Core Equity Fund
|
$7
|
0.14%Footnote Reference*
|
| Footnote | Description |
|
Footnote*
|
Annualized. |
Key Fund Statistics as of 3/31/2026
- Total Net Assets$3,745,676,496
- Number of Portfolio Holdings98
- Portfolio Turnover Rate21%
What did the Fund invest in as of 3/31/2026? (as a percentage of total net assets)
Top Ten Industries
Table Summary
|
Industries
|
%
|
|
Semiconductors
|
15.0%
|
|
Interactive Media & Services
|
9.4%
|
|
Systems Software
|
6.7%
|
|
Technology Hardware, Storage & Peripherals
|
5.6%
|
|
Broadline Retail
|
4.7%
|
|
Pharmaceuticals
|
4.2%
|
|
Diversified Banks
|
3.4%
|
|
Financial Exchanges & Data
|
3.3%
|
|
Integrated Oil & Gas
|
3.0%
|
|
Transaction & Payment Processing Services
|
2.4%
|
Top Ten Holdings
Table Summary
|
Holdings
|
%
|
|
NVIDIA Corp.
|
9.1%
|
|
Microsoft Corp.
|
5.8%
|
|
Apple, Inc.
|
5.6%
|
|
Alphabet, Inc., Class A
|
5.4%
|
|
Amazon.com, Inc.
|
4.7%
|
|
Broadcom, Inc.
|
3.4%
|
|
Meta Platforms, Inc., Class A
|
3.1%
|
|
Exxon Mobil Corp.
|
1.9%
|
|
JPMorgan Chase & Co.
|
1.9%
|
|
Eli Lilly & Co.
|
1.8%
|
Availability of Additional Information
For additional information about the Fund, including its Prospectus, Statement of Additional Information, financial statements, holdings and
proxy information please visit: www.ssga.com/us/en/institutional/fund-finder?tab=documents&type=mf.
TSR SAR SSAQX
State Street Income Fund
SSASX
Semi-Annual Shareholder Report
March 31, 2026
This semi-annual shareholder report contains important information about the State Street Income Fund (the "Fund") for the period of October 1, 2025 through March 31, 2026. You can find additional information about the Fund, including the Prospectus, Statement of Additional Information, financial statements and other information at www.ssga.com/us/en/institutional/fund-finder?tab=documents&type=mf. You can also request this information about the Fund by contacting us at 1-800-242-0134.
What were the Fund costs for the last six months? (based on a hypothetical $10,000 Investment)
Table Summary
|
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
|
State Street Income Fund
|
$11
|
0.22%Footnote Reference*
|
| Footnote | Description |
|
Footnote*
|
Annualized. |
Key Fund Statistics as of 3/31/2026
- Total Net Assets$278,197,882
- Number of Portfolio Holdings1,202
- Portfolio Turnover Rate24%
What did the Fund invest in as of 3/31/2026? (as a percentage of total net assets)
Top Security Types
Table Summary
|
Assets
|
%
|
|
Short-Term Investments
|
41.2%
|
|
U.S. Treasuries
|
34.3%
|
|
Corporate Notes
|
25.2%
|
|
Agency Mortgage Backed
|
24.1%
|
|
Non-Agency Collateralized Mortgage Obligations
|
11.1%
|
|
Asset Backed
|
1.6%
|
|
Agency Collateralized Mortgage Obligations
|
0.8%
|
|
Municipal Bonds and Notes
|
0.2%
|
Top Ten Holdings
Table Summary
|
Holdings
|
%
|
|
Uniform Mortgage-Backed Security, TBA, 2.50%, due 04/01/56
|
5.4%
|
|
Uniform Mortgage-Backed Security, TBA, 6.00%, due 04/01/56
|
4.9%
|
|
U.S. Treasury Notes, 3.88%, due 07/31/27
|
4.6%
|
|
U.S. Treasury Notes, 4.63%, due 05/31/31
|
2.8%
|
|
U.S. Treasury Notes, 3.50%, due 10/31/27
|
2.8%
|
|
Uniform Mortgage-Backed Security, TBA, 2.00%, due 04/01/56
|
2.2%
|
|
U.S. Treasury Bonds, 4.75%, due 08/15/55
|
2.2%
|
|
U.S. Treasury Notes, 4.00%, due 07/31/29
|
2.2%
|
|
U.S. Treasury Notes, 3.88%, due 08/15/33
|
2.1%
|
|
U.S. Treasury Bonds, 3.00%, due 08/15/48
|
2.0%
|
Availability of Additional Information
For additional information about the Fund, including its Prospectus, Statement of Additional Information, financial statements, holdings and
proxy information please visit: www.ssga.com/us/en/institutional/fund-finder?tab=documents&type=mf.
TSR SAR SSASX
| (b) |
Not applicable to the Registrant. |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
| (a) |
A Schedule of Investments for each applicable series of the Registrant is included as a part of the Financial Statements filed under Item 7(a) of this Form N-CSR. |
| (b) |
Not applicable to the Registrant. |
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies
| (a) |
The Registrant's Financial Statements are attached herewith. |
| (b) |
The Registrant's Financial Highlights are included as part of the Financial Statements filed under Item 7(a) of this Form N-CSR. |
Semi-Annual Financial Statements and Other Information
March 31, 2026
|
State Street Institutional
Investment Trust
|
|
State Street U.S. Core Equity Fund
|
|
State Street Income Fund
|
State Street Institutional Investment Trust
Semi-Annual Financial Statements and Other Information
March 31, 2026 (Unaudited)
Table of Contents
|
|
Page
|
|
Schedule of Investments (N-CSR Item 6)
|
1
|
|
State Street U.S. Core Equity Fund
|
1
|
|
State Street Income Fund
|
5
|
|
Financial Statements (N-CSR Item 7)
|
26
|
|
Financial Highlights
|
26
|
|
Statements of Assets and Liabilities
|
28
|
|
Statements of Operations
|
29
|
|
Statements of Changes in Net Assets
|
30
|
|
Notes to Financial Statements (N-CSR Item 7)
|
32
|
Changes in and Disagreements with Accountants for Open-End Management Investment Companies (N-CSR Item 8) - Not Applicable
Proxy Disclosures for Open-End Management Investment Companies (N-CSR Item 9) - Not applicable
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies (N-CSR Item 10) - Please see Statement of Operations in the Financial Statements under Item 7 above
Statement Regarding Basis for Approval of Investment Advisory Contract (N-CSR Item 11) - Not Applicable
[This page intentionally left blank]
State Street U.S. Core Equity Fund
Schedule of Investments - March 31, 2026 (Unaudited)
|
|
Number
of Shares
|
Fair
Value
|
|
Common Stock - 98.8% †
|
||
|
Aerospace & Defense - 0.7%
|
||
|
RTX Corp.
|
144,482
|
$27,870,578
|
|
Application Software - 2.2%
|
||
|
Adobe, Inc. (a)
|
44,622
|
10,846,716
|
|
Intuit, Inc.
|
17,382
|
7,515,629
|
|
Salesforce, Inc.
|
168,311
|
31,418,614
|
|
Synopsys, Inc. (a)
|
85,281
|
33,812,211
|
|
|
|
83,593,170
|
|
Automobile Manufacturers - 1.1%
|
||
|
General Motors Co.
|
296,687
|
22,103,181
|
|
Tesla, Inc. (a)
|
56,580
|
21,033,615
|
|
|
|
43,136,796
|
|
Automotive Retail - 0.5%
|
||
|
O'Reilly Automotive, Inc. (a)
|
211,130
|
19,489,410
|
|
Biotechnology - 0.3%
|
||
|
Vertex Pharmaceuticals,
Inc. (a)
|
27,680
|
12,360,227
|
|
Broadline Retail - 4.7%
|
||
|
Amazon.com, Inc. (a)
|
837,157
|
174,354,688
|
|
Building Products - 0.6%
|
||
|
Trane Technologies PLC
|
51,910
|
21,632,973
|
|
Construction & Engineering - 0.1%
|
||
|
MasTec, Inc. (a)
|
10,251
|
3,298,157
|
|
Construction Machinery & Heavy Transportation
Equipment - 1.2%
|
||
|
Westinghouse Air Brake
Technologies Corp.
|
184,326
|
46,064,911
|
|
Construction Materials - 0.7%
|
||
|
Martin Marietta Materials, Inc.
|
44,938
|
26,454,102
|
|
Consumer Staples Merchandise Retail - 2.1%
|
||
|
BJ's Wholesale Club Holdings,
Inc. (a)
|
299,924
|
29,518,520
|
|
Costco Wholesale Corp.
|
14,396
|
14,344,606
|
|
Walmart, Inc.
|
279,944
|
34,791,441
|
|
|
|
78,654,567
|
|
Copper - 0.3%
|
||
|
Freeport-McMoRan, Inc.
|
186,649
|
10,971,228
|
|
|
Number
of Shares
|
Fair
Value
|
|
Data Center REITs - 0.9%
|
||
|
Equinix, Inc.
|
35,316
|
$34,618,156
|
|
Data Processing & Outsourced Services - 0.2%
|
||
|
Broadridge Financial
Solutions, Inc.
|
36,589
|
5,944,981
|
|
Diversified Banks - 3.4%
|
||
|
Bank of America Corp.
|
1,119,295
|
54,565,631
|
|
JPMorgan Chase & Co.
|
242,624
|
71,370,276
|
|
|
|
125,935,907
|
|
Electric Utilities - 1.1%
|
||
|
NextEra Energy, Inc.
|
454,806
|
42,242,381
|
|
Electrical Components & Equipment - 2.0%
|
||
|
Eaton Corp. PLC
|
79,872
|
28,567,818
|
|
Emerson Electric Co.
|
361,292
|
47,336,478
|
|
|
|
75,904,296
|
|
Electronic Components - 0.9%
|
||
|
Amphenol Corp., Class A
|
258,997
|
32,724,271
|
|
Environmental & Facilities Services - 1.5%
|
||
|
Tetra Tech, Inc.
|
336,772
|
10,143,573
|
|
Waste Management, Inc.
|
193,914
|
44,559,498
|
|
|
|
54,703,071
|
|
Financial Exchanges & Data - 3.3%
|
||
|
CME Group, Inc.
|
43,263
|
12,777,727
|
|
Intercontinental Exchange,
Inc.
|
309,337
|
48,652,524
|
|
S&P Global, Inc.
|
149,677
|
63,663,615
|
|
|
|
125,093,866
|
|
Healthcare Equipment - 2.1%
|
||
|
Abbott Laboratories
|
151,932
|
15,598,858
|
|
Boston Scientific Corp. (a)
|
592,710
|
37,192,553
|
|
Dexcom, Inc. (a)
|
146,874
|
9,223,687
|
|
Intuitive Surgical, Inc. (a)
|
36,600
|
16,872,234
|
|
|
|
78,887,332
|
|
Healthcare Supplies - 0.4%
|
||
|
Cooper Cos., Inc. (a)
|
197,239
|
14,102,589
|
|
Home Improvement Retail - 1.6%
|
||
|
Home Depot, Inc.
|
172,465
|
56,722,014
|
|
Lowe's Cos., Inc.
|
16,966
|
4,008,726
|
|
|
|
60,730,740
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
1
|
State Street U.S. Core Equity Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Number
of Shares
|
Fair
Value
|
|
Household Products - 0.6%
|
||
|
Procter & Gamble Co.
|
145,140
|
$20,964,022
|
|
Independent Power Producers & Energy Traders - 0.3%
|
||
|
Vistra Corp.
|
72,504
|
10,899,526
|
|
Industrial Gases - 1.3%
|
||
|
Linde PLC
|
97,923
|
48,546,306
|
|
Industrial Machinery & Supplies & Components - 1.3%
|
||
|
Parker-Hannifin Corp.
|
55,972
|
50,108,373
|
|
Insurance Brokers - 0.9%
|
||
|
Marsh & McLennan Cos., Inc.
|
185,674
|
32,205,155
|
|
Integrated Oil & Gas - 3.0%
|
||
|
Chevron Corp.
|
184,337
|
38,139,325
|
|
Exxon Mobil Corp.
|
428,495
|
72,698,462
|
|
|
|
110,837,787
|
|
Interactive Media & Services - 9.4%
|
||
|
Alphabet, Inc., Class A
|
708,696
|
203,792,622
|
|
Alphabet, Inc., Class C
|
106,451
|
30,536,534
|
|
Meta Platforms, Inc., Class A
|
205,862
|
117,779,826
|
|
|
|
352,108,982
|
|
Investment Banking & Brokerage - 0.3%
|
||
|
Robinhood Markets, Inc.,
Class A (a)
|
153,243
|
10,619,740
|
|
IT Consulting & Other Services - 0.2%
|
||
|
Accenture PLC, Class A
|
34,350
|
6,811,262
|
|
Life Sciences Tools & Services - 2.1%
|
||
|
Agilent Technologies, Inc.
|
123,488
|
14,075,162
|
|
Danaher Corp.
|
155,669
|
29,514,842
|
|
Repligen Corp. (a)
|
77,821
|
9,168,870
|
|
Thermo Fisher Scientific, Inc.
|
49,465
|
24,313,532
|
|
Waters Corp. (a)
|
4,796
|
1,428,249
|
|
|
|
78,500,655
|
|
Movies & Entertainment - 1.2%
|
||
|
Netflix, Inc. (a)
|
303,831
|
29,213,350
|
|
Walt Disney Co.
|
147,110
|
14,178,462
|
|
|
|
43,391,812
|
|
Multi-Sector Holdings - 1.2%
|
||
|
Berkshire Hathaway, Inc.,
Class B (a)
|
90,203
|
43,225,278
|
|
|
Number
of Shares
|
Fair
Value
|
|
Multi-Utilities - 1.3%
|
||
|
CMS Energy Corp.
|
146,289
|
$11,349,101
|
|
Sempra
|
398,959
|
38,766,846
|
|
|
|
50,115,947
|
|
Oil & Gas Exploration & Production - 0.4%
|
||
|
EQT Corp.
|
234,716
|
14,937,326
|
|
Packaged Foods & Meats - 0.2%
|
||
|
Mondelez International, Inc.,
Class A
|
123,390
|
7,112,200
|
|
Passenger Ground Transportation - 1.2%
|
||
|
Uber Technologies, Inc. (a)
|
643,838
|
46,311,267
|
|
Pharmaceuticals - 4.2%
|
||
|
AstraZeneca PLC ADR
|
99,064
|
19,537,402
|
|
Eli Lilly & Co.
|
72,816
|
66,973,972
|
|
Johnson & Johnson
|
179,349
|
43,840,070
|
|
Merck & Co., Inc.
|
210,327
|
25,300,235
|
|
|
|
155,651,679
|
|
Property & Casualty Insurance - 0.9%
|
||
|
American International Group,
Inc.
|
84,199
|
6,335,975
|
|
Chubb Ltd.
|
48,626
|
15,848,672
|
|
Progressive Corp.
|
55,715
|
11,044,942
|
|
|
|
33,229,589
|
|
Real Estate Services - 0.7%
|
||
|
CBRE Group, Inc., Class A (a)
|
191,188
|
25,898,326
|
|
Regional Banks - 0.5%
|
||
|
Regions Financial Corp. (b)
|
770,199
|
20,117,598
|
|
Restaurants - 0.5%
|
||
|
McDonald's Corp.
|
63,532
|
19,745,110
|
|
Semiconductor Materials & Equipment - 1.9%
|
||
|
Applied Materials, Inc.
|
154,572
|
52,831,164
|
|
Lam Research Corp.
|
81,785
|
17,474,183
|
|
|
|
70,305,347
|
|
Semiconductors - 15.0%
|
||
|
Advanced Micro Devices,
Inc. (a)
|
280,843
|
57,131,891
|
|
Broadcom, Inc.
|
406,684
|
125,872,765
|
|
Micron Technology, Inc.
|
63,115
|
21,322,772
|
|
NVIDIA Corp.
|
1,948,601
|
339,836,014
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
2
|
|
State Street U.S. Core Equity Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Number
of Shares
|
Fair
Value
|
|
Texas Instruments, Inc.
|
91,955
|
$17,852,144
|
|
|
|
562,015,586
|
|
Soft Drinks & Non-alcoholic Beverages - 0.8%
|
||
|
Monster Beverage Corp. (a)
|
238,561
|
17,286,130
|
|
PepsiCo, Inc.
|
91,189
|
14,160,740
|
|
|
|
31,446,870
|
|
Specialty Chemicals - 0.3%
|
||
|
Ecolab, Inc.
|
22,413
|
5,962,306
|
|
International Flavors &
Fragrances, Inc.
|
49,346
|
3,580,053
|
|
|
|
9,542,359
|
|
Systems Software - 6.7%
|
||
|
Crowdstrike Holdings, Inc.,
Class A (a)
|
20,853
|
8,141,220
|
|
Microsoft Corp.
|
585,321
|
216,668,274
|
|
Oracle Corp.
|
130,316
|
19,170,787
|
|
ServiceNow, Inc. (a)
|
83,803
|
8,761,604
|
|
|
|
252,741,885
|
|
Technology Hardware, Storage & Peripherals - 5.6%
|
||
|
Apple, Inc.
|
821,004
|
208,362,605
|
|
Telecom Tower REITs - 0.3%
|
||
|
American Tower Corp.
|
57,237
|
9,877,961
|
|
Tobacco - 0.7%
|
||
|
Philip Morris International,
Inc.
|
170,628
|
28,211,634
|
|
|
Number
of Shares
|
Fair
Value
|
|
Trading Companies & Distributors - 1.3%
|
||
|
United Rentals, Inc.
|
44,907
|
$32,717,444
|
|
WW Grainger, Inc.
|
15,699
|
17,124,626
|
|
|
|
49,842,070
|
|
Transaction & Payment Processing Services - 2.4%
|
||
|
Mastercard, Inc., Class A
|
65,961
|
32,958,073
|
|
Visa, Inc., Class A
|
195,012
|
58,940,427
|
|
|
|
91,898,500
|
|
Wireless Telecommunication Services - 0.2%
|
||
|
T-Mobile U.S., Inc.
|
39,686
|
8,335,251
|
|
Total Common Stock
(Cost $2,255,457,876)
|
|
3,702,686,405
|
|
Short-Term Investment - 1.0%
|
||
|
State Street Institutional
U.S. Government Money
Market Fund - Class G
Shares 3.64% (b)(c)(d)
(Cost $36,659,471)
|
36,659,471
|
36,659,471
|
|
Total Investments
(Cost $2,292,117,347)
|
|
3,739,345,876
|
|
Other Assets and Liabilities, net -
0.2%
|
6,330,620
|
|
|
NET ASSETS - 100.0%
|
|
$3,745,676,496
|
Other Information:
|
The Fund had the following long futures contracts open at March 31, 2026:
|
|
Description
|
Expiration
Date
|
Number of
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
S&P 500 E-mini Index Futures
|
June 2026
|
93
|
$31,167,641
|
$30,553,762
|
$(613,879
)
|
During the period ended March 31, 2026, the average notional value related to long futures contracts was $80,798,266.
|
(a)
|
Non-income producing security.
|
|
(b)
|
At March 31, 2026, all or a portion of this security was pledged to cover collateral requirements for futures
contracts.
|
|
(c)
|
Sponsored by SSGA Funds Management, Inc., the Fund's investment adviser and administrator, and an affiliate of
State Street Bank & Trust Co., the Fund's sub-administrator, custodian and accounting agent.
|
|
(d)
|
Coupon amount represents effective yield.
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
3
|
State Street U.S. Core Equity Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
†
|
Percentages are based on net assets as of March 31, 2026.
|
|
Abbreviations:
|
|
ADR - American Depositary Receipt
|
|
REIT - Real Estate Investment Trust
|
The following table presents the Fund's investments measured at fair value on a recurring basis at March 31, 2026:
|
Investments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
||||
|
Common Stock
|
$3,702,686,405
|
$-
|
$-
|
$3,702,686,405
|
|
Short-Term Investment
|
36,659,471
|
-
|
-
|
36,659,471
|
|
Total Investments in Securities
|
$3,739,345,876
|
$-
|
$-
|
$3,739,345,876
|
|
Other Financial Instruments
|
||||
|
Long Futures Contracts - Unrealized Depreciation
|
$(613,879
)
|
$-
|
$-
|
$(613,879
)
|
|
Total Other Financial Instruments
|
$(613,879
)
|
$-
|
$-
|
$(613,879
)
|
|
Affiliate Table
|
|
|
Number
of Shares
Held at
9/30/25
|
Value at
9/30/25
|
Cost of
Purchases
|
Proceeds
from
Shares
Sold
|
Realized
Gain
(Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Number of
Shares
Held at
3/31/26
|
Value at
3/31/26
|
Dividend
Income
|
|
State Street Institutional
U.S. Government
Money Market Fund -
Class G Shares
|
174,418,135
|
$174,418,135
|
$293,129,012
|
$430,887,676
|
$-
|
$-
|
36,659,471
|
$36,659,471
|
$2,294,986
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
4
|
|
State Street Income Fund
Schedule of Investments - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Bonds and Notes - 97.3% †
|
||
|
U.S. Treasuries - 34.3%
|
||
|
U.S. Treasury Bonds
|
|
|
|
2.25%, 08/15/46 (a)
|
$3,508,700
|
$2,286,137
|
|
3.00%, 08/15/48 (a)
|
7,654,700
|
5,616,636
|
|
4.13%, 08/15/53 (a)
|
2,547,000
|
2,234,197
|
|
4.38%, 08/15/43 (a)
|
3,460,800
|
3,266,671
|
|
4.75%, 08/15/55 (a)
|
6,374,100
|
6,209,768
|
|
U.S. Treasury
Inflation-Indexed Notes
|
|
|
|
0.13%, 01/15/31 (a)
|
3,740,278
|
3,516,738
|
|
1.63%, 10/15/29 (a)
|
5,346,961
|
5,431,447
|
|
1.88%, 01/15/36 (a)
|
3,938,927
|
3,892,383
|
|
U.S. Treasury Notes
|
|
|
|
0.75%, 01/31/28
|
1,995,500
|
1,887,462
|
|
1.63%, 05/15/31
|
1,858,900
|
1,657,906
|
|
2.63%, 02/15/29
|
2,662,100
|
2,575,582
|
|
3.50%, 10/31/27 - 12/15/28
|
9,725,900
|
9,671,242
|
|
3.63%, 12/31/30
|
2,650,300
|
2,614,480
|
|
3.88%, 07/31/27 - 08/15/33
|
23,038,000
|
22,902,463
|
|
4.00%, 07/31/29 - 07/31/32
|
8,884,600
|
8,898,849
|
|
4.13%, 07/31/31
|
787,500
|
792,545
|
|
4.25%, 08/15/35
|
2,521,100
|
2,512,040
|
|
4.63%, 04/30/29 - 05/31/31
|
9,265,400
|
9,528,933
|
|
|
|
95,495,479
|
|
Agency Mortgage Backed - 24.1%
|
||
|
Federal Home Loan Mortgage
Corp.
|
|
|
|
3.00%, 04/01/43 -
10/01/49 (a)
|
7,051,738
|
6,374,219
|
|
4.50%, 06/01/33 -
02/01/35 (a)
|
2,735
|
2,750
|
|
5.00%, 07/01/35 (a)
|
49,012
|
49,889
|
|
5.50%, 01/01/38 -
04/01/39 (a)
|
78,986
|
81,877
|
|
6.00%, 06/01/33 -
11/01/37 (a)
|
161,333
|
168,987
|
|
6.50%, 07/01/29 (a)
|
887
|
892
|
|
7.00%, 01/01/30 -
08/01/36 (a)
|
33,321
|
35,567
|
|
7.50%, 01/01/28 -
09/01/33 (a)
|
2,502
|
2,572
|
|
8.00%, 11/01/30 (a)
|
224
|
229
|
|
8.50%, 04/01/30 (a)
|
437
|
466
|
|
Federal National Mortgage
Association
|
|
|
|
2.50%, 03/01/51 (a)
|
3,130,796
|
2,634,533
|
|
3.00%, 03/01/50 (a)
|
1,283,605
|
1,144,131
|
|
|
Principal
Amount
|
Fair
Value
|
|
3.50%, 08/01/45 -
01/01/48 (a)
|
$2,742,576
|
$2,558,601
|
|
4.00%, 01/01/41 -
01/01/50 (a)
|
3,105,582
|
2,985,151
|
|
4.50%, 07/01/33 -
12/01/48 (a)
|
1,477,384
|
1,460,066
|
|
5.00%, 03/01/34 -
05/01/39 (a)
|
128,070
|
130,227
|
|
5.50%, 12/01/32 -
01/01/39 (a)
|
426,021
|
440,719
|
|
6.00%, 02/01/33 -
05/01/41 (a)
|
721,999
|
750,124
|
|
6.50%, 02/01/29 -
08/01/36 (a)
|
21,138
|
22,228
|
|
7.00%, 10/01/32 -
12/01/33 (a)
|
1,703
|
1,812
|
|
7.50%, 12/01/26 -
03/01/33 (a)
|
10,549
|
10,908
|
|
8.00%, 02/01/30 -
10/01/31 (a)
|
1,207
|
1,226
|
|
8.50%, 04/01/30 (a)
|
647
|
680
|
|
Federal National Mortgage
Association 1 yr. USD
RFUCCT + 1.60%
|
|
|
|
6.60%, 04/01/37 (a)(b)
|
713
|
725
|
|
Government National
Mortgage Association
|
|
|
|
3.00%, 12/20/42 -
05/20/45 (a)
|
6,716,822
|
6,134,376
|
|
3.50%, 08/20/48 (a)
|
1,031,568
|
966,251
|
|
4.00%, 01/20/41 -
04/20/43 (a)
|
814,390
|
786,659
|
|
4.50%, 08/15/33 -
03/20/41 (a)
|
315,536
|
314,030
|
|
5.00%, 08/15/33 (a)
|
15,205
|
15,429
|
|
6.00%, 04/15/27 -
04/15/35 (a)
|
57,455
|
59,401
|
|
6.50%, 04/15/28 -
09/15/36 (a)
|
36,206
|
37,541
|
|
7.00%, 09/15/27 -
10/15/36 (a)
|
24,885
|
25,981
|
|
7.50%, 02/15/28 -
10/15/28 (a)
|
3,407
|
3,415
|
|
8.00%, 12/15/29 -
05/15/30 (a)
|
86
|
87
|
|
Government National
Mortgage Association
REMICS 30 day USD SOFR
Average - 5.85%
|
|
|
|
2.18%, 05/20/64 (a)(b)(c)
|
3,291,087
|
119,716
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
5
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Uniform Mortgage-Backed
Security, TBA
|
|
|
|
2.00%, 04/01/56 (d)
|
$7,773,343
|
$6,256,157
|
|
2.50%, 04/01/56 (d)
|
17,870,345
|
15,030,143
|
|
3.00%, 04/01/56 (d)
|
5,515,099
|
4,848,682
|
|
6.00%, 04/01/56 (d)
|
13,440,768
|
13,695,202
|
|
|
|
67,151,649
|
|
Agency Collateralized Mortgage Obligations - 0.8%
|
||
|
Federal Home Loan Mortgage
Corp. Multifamily Structured
Pass-Through Certificates
|
|
|
|
2.51%, 07/25/29 (a)
|
1,565,639
|
1,489,131
|
|
4.05%, 09/25/28 (a)(b)
|
412,352
|
411,450
|
|
Federal Home Loan Mortgage
Corp. REMICS
|
|
|
|
5.50%, 06/15/33 (a)(c)
|
11,255
|
1,339
|
|
7.50%, 07/15/27 (a)(c)
|
87
|
3
|
|
Federal Home Loan Mortgage
Corp. STRIPS
|
|
|
|
0.00%, 08/01/27 (a)(e)
|
83
|
81
|
|
Federal Home Loan Mortgage
Corp. Structured
Pass-Through Certificates
|
|
|
|
0.09%, 09/25/43 (a)(b)(c)
|
591,724
|
1,693
|
|
Federal National Mortgage
Association Interest STRIPS
|
|
|
|
0.00%, 12/25/34 (a)(e)
|
12,687
|
10,351
|
|
4.50%, 08/25/35 -
01/25/36 (a)(c)
|
27,352
|
3,221
|
|
5.00%, 03/25/38 -
05/25/38 (a)(c)
|
18,626
|
2,792
|
|
5.50%, 12/25/33 (a)(c)
|
5,053
|
716
|
|
6.00%, 01/25/35 (a)(c)
|
20,691
|
3,097
|
|
Federal National Mortgage
Association REMICS
|
|
|
|
1.13%, 12/25/42 (a)(b)(c)
|
76,346
|
1,882
|
|
5.00%, 02/25/40 -
09/25/40 (a)(c)
|
17,011
|
1,467
|
|
Federal National Mortgage
Association REMICS 30 day
USD SOFR Average -
5.89%
|
|
|
|
2.22%, 07/25/38 (a)(b)(c)
|
19,253
|
1,524
|
|
Federal National Mortgage
Association REMICS 30 day
USD SOFR Average -
6.44%
|
|
|
|
2.77%, 11/25/41 (a)(b)(c)
|
2,262,246
|
245,904
|
|
|
|
2,174,651
|
|
|
Principal
Amount
|
Fair
Value
|
|
Asset Backed - 1.6%
|
||
|
Chase Funding Trust
|
|
|
|
4.99%, 11/25/33 (a)(f)
|
$21,738
|
$21,556
|
|
RCKT Mortgage Trust
|
|
|
|
4.89%, 11/25/55 (a)(f)(g)
|
1,959,949
|
1,944,838
|
|
4.97%, 11/25/55 (a)(f)(g)
|
1,211,931
|
1,204,088
|
|
Towd Point Mortgage Trust
|
|
|
|
5.09%, 10/25/65 (a)(f)(g)
|
1,201,749
|
1,194,875
|
|
|
|
4,365,357
|
|
Corporate Notes - 25.2%
|
||
|
Abbott Laboratories
|
|
|
|
3.75%, 11/30/26 (a)
|
57,000
|
56,888
|
|
4.90%, 11/30/46 (a)
|
49,000
|
44,993
|
|
AbbVie, Inc.
|
|
|
|
3.20%, 11/21/29 (a)
|
69,000
|
66,424
|
|
4.05%, 11/21/39 (a)
|
38,000
|
33,349
|
|
4.25%, 11/21/49 (a)
|
50,000
|
40,548
|
|
4.30%, 05/14/36 (a)
|
41,000
|
38,743
|
|
4.40%, 11/06/42 (a)
|
36,000
|
31,594
|
|
4.63%, 10/01/42 (a)
|
9,000
|
8,081
|
|
4.70%, 05/14/45 (a)
|
15,000
|
13,368
|
|
4.88%, 11/14/48 (a)
|
13,000
|
11,653
|
|
5.05%, 03/15/34 (a)
|
106,000
|
107,596
|
|
5.40%, 03/15/54 (a)
|
41,000
|
39,137
|
|
5.50%, 03/15/64 (a)
|
48,000
|
45,740
|
|
Advanced Micro Devices, Inc.
|
|
|
|
4.39%, 06/01/52 (a)
|
57,000
|
47,153
|
|
AEP Texas, Inc.
|
|
|
|
3.45%, 05/15/51 (a)
|
97,000
|
64,209
|
|
5.70%, 05/15/34 (a)
|
135,000
|
139,321
|
|
AEP Transmission Co. LLC
|
|
|
|
5.40%, 03/15/53 (a)
|
49,000
|
46,302
|
|
Aircastle Ltd.
|
|
|
|
4.25%, 06/15/26 (a)
|
57,000
|
56,932
|
|
Alcon Finance Corp.
|
|
|
|
2.60%, 05/27/30 (a)(g)
|
358,000
|
330,874
|
|
Alexandria Real Estate
Equities, Inc.
|
|
|
|
1.88%, 02/01/33 (a)
|
31,000
|
25,107
|
|
2.95%, 03/15/34 (a)
|
53,000
|
44,749
|
|
4.70%, 07/01/30 (a)
|
18,000
|
17,902
|
|
Allstate Corp.
|
|
|
|
4.20%, 12/15/46 (a)
|
55,000
|
43,580
|
|
Allstate Corp. (6.85% fixed
rate until 04/30/26; 3.20% +
3 mo. Term SOFR
thereafter)
|
|
|
|
6.85%, 08/15/53 (a)(b)
|
72,000
|
71,901
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
6
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Ally Financial, Inc.
|
|
|
|
2.20%, 11/02/28 (a)
|
$76,000
|
$71,556
|
|
Alphabet, Inc.
|
|
|
|
4.00%, 05/15/30 (a)
|
51,000
|
50,633
|
|
4.10%, 11/15/30 (a)
|
231,000
|
229,351
|
|
4.50%, 05/15/35 (a)
|
130,000
|
127,836
|
|
5.25%, 05/15/55 (a)
|
62,000
|
58,509
|
|
Altria Group, Inc.
|
|
|
|
3.40%, 05/06/30 -
02/04/41 (a)
|
44,000
|
35,831
|
|
4.00%, 02/04/61 (a)
|
15,000
|
10,487
|
|
4.25%, 08/09/42 (a)
|
5,000
|
4,073
|
|
4.45%, 05/06/50 (a)
|
23,000
|
17,974
|
|
4.50%, 05/02/43 (a)
|
15,000
|
12,464
|
|
Amazon.com, Inc.
|
|
|
|
1.50%, 06/03/30 (a)
|
22,000
|
19,675
|
|
2.50%, 06/03/50 (a)
|
32,000
|
18,626
|
|
2.70%, 06/03/60 (a)
|
21,000
|
11,443
|
|
2.88%, 05/12/41 (a)
|
54,000
|
39,910
|
|
3.25%, 05/12/61 (a)
|
35,000
|
21,651
|
|
4.25%, 03/13/31 -
08/22/57 (a)
|
121,000
|
117,938
|
|
American Electric Power Co.,
Inc.
|
|
|
|
2.30%, 03/01/30 (a)
|
33,000
|
30,227
|
|
3.25%, 03/01/50 (a)
|
27,000
|
17,721
|
|
American Honda Finance
Corp.
|
|
|
|
5.85%, 10/04/30 (a)
|
204,000
|
211,748
|
|
American Tower Corp.
|
|
|
|
1.50%, 01/31/28 (a)
|
99,000
|
93,832
|
|
2.90%, 01/15/30 (a)
|
35,000
|
32,878
|
|
3.70%, 10/15/49 (a)
|
20,000
|
14,355
|
|
American Water Capital Corp.
|
|
|
|
2.95%, 09/01/27 (a)
|
31,000
|
30,442
|
|
5.45%, 03/01/54 (a)
|
136,000
|
128,999
|
|
Americold Realty Operating
Partnership LP
|
|
|
|
5.41%, 09/12/34 (a)
|
98,000
|
93,273
|
|
Amgen, Inc.
|
|
|
|
2.00%, 01/15/32 (a)
|
52,000
|
44,988
|
|
2.45%, 02/21/30 (a)
|
14,000
|
13,010
|
|
3.00%, 01/15/52 (a)
|
37,000
|
23,811
|
|
3.15%, 02/21/40 (a)
|
64,000
|
49,727
|
|
3.38%, 02/21/50 (a)
|
17,000
|
11,968
|
|
4.66%, 06/15/51 (a)
|
13,000
|
10,915
|
|
5.60%, 03/02/43 (a)
|
59,000
|
58,224
|
|
5.65%, 03/02/53 (a)
|
56,000
|
54,201
|
|
5.75%, 03/02/63 (a)
|
51,000
|
49,016
|
|
|
Principal
Amount
|
Fair
Value
|
|
AngloGold Ashanti Holdings
PLC
|
|
|
|
3.38%, 11/01/28 (a)
|
$342,000
|
$330,871
|
|
Anheuser-Busch Cos.
LLC/Anheuser-Busch InBev
Worldwide, Inc.
|
|
|
|
4.70%, 02/01/36 (a)
|
86,000
|
83,741
|
|
4.90%, 02/01/46 (a)
|
42,000
|
37,868
|
|
Anheuser-Busch InBev
Worldwide, Inc.
|
|
|
|
3.50%, 06/01/30 (a)
|
46,000
|
44,473
|
|
5.55%, 01/23/49 (a)
|
47,000
|
45,559
|
|
Aon Corp./Aon Global
Holdings PLC
|
|
|
|
2.90%, 08/23/51 (a)
|
61,000
|
37,052
|
|
Apollo Debt Solutions BDC
|
|
|
|
6.90%, 04/13/29 (a)
|
101,000
|
103,348
|
|
Apollo Management
Holdings LP
|
|
|
|
2.65%, 06/05/30 (a)(g)
|
33,000
|
30,304
|
|
Apple, Inc.
|
|
|
|
2.20%, 09/11/29 (a)
|
39,000
|
36,765
|
|
2.65%, 02/08/51 (a)
|
80,000
|
48,458
|
|
2.80%, 02/08/61 (a)
|
42,000
|
23,949
|
|
2.95%, 09/11/49 (a)
|
25,000
|
16,416
|
|
3.35%, 02/09/27 (a)
|
18,000
|
17,919
|
|
3.45%, 02/09/45 (a)
|
66,000
|
50,250
|
|
3.85%, 08/04/46 (a)
|
59,000
|
46,890
|
|
3.95%, 08/08/52 (a)
|
51,000
|
39,659
|
|
4.85%, 05/10/53 (a)
|
155,000
|
142,544
|
|
Applied Materials, Inc.
|
|
|
|
4.35%, 04/01/47 (a)
|
22,000
|
18,614
|
|
Aptiv Swiss Holdings Ltd.
|
|
|
|
4.40%, 10/01/46 (a)
|
64,000
|
51,474
|
|
5.15%, 09/13/34 (a)
|
344,000
|
351,568
|
|
ArcelorMittal SA
|
|
|
|
6.00%, 06/17/34 (a)
|
87,000
|
91,609
|
|
6.35%, 06/17/54 (a)
|
145,000
|
147,904
|
|
6.80%, 11/29/32 (a)
|
36,000
|
39,741
|
|
Archer-Daniels-Midland Co.
|
|
|
|
2.50%, 08/11/26 (a)
|
22,000
|
21,877
|
|
ARES Capital Corp.
|
|
|
|
2.88%, 06/15/28 (a)
|
117,000
|
110,680
|
|
Arthur J Gallagher & Co.
|
|
|
|
3.50%, 05/20/51 (a)
|
41,000
|
27,954
|
|
Ascension Health
|
|
|
|
4.85%, 11/15/53 (a)
|
56,000
|
49,837
|
|
Ashtead Capital, Inc.
|
|
|
|
5.55%, 05/30/33 (a)(g)
|
305,000
|
307,571
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
7
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Astrazeneca Finance LLC
|
|
|
|
1.75%, 05/28/28 (a)
|
$82,000
|
$78,025
|
|
5.00%, 02/26/34 (a)
|
66,000
|
66,984
|
|
AstraZeneca PLC
|
|
|
|
3.00%, 05/28/51 (a)
|
44,000
|
29,091
|
|
4.00%, 01/17/29 (a)
|
17,000
|
16,943
|
|
4.38%, 08/17/48 (a)
|
11,000
|
9,362
|
|
AT&T, Inc.
|
|
|
|
2.75%, 06/01/31 (a)
|
241,000
|
220,274
|
|
3.55%, 09/15/55 (a)
|
26,000
|
16,905
|
|
3.65%, 06/01/51 (a)
|
194,000
|
132,985
|
|
3.85%, 06/01/60 (a)
|
68,000
|
45,603
|
|
4.35%, 03/01/29 (a)
|
69,000
|
69,048
|
|
4.50%, 05/15/35 (a)
|
49,000
|
46,431
|
|
4.55%, 03/09/49 (a)
|
27,000
|
21,689
|
|
4.75%, 05/15/46 (a)
|
15,000
|
12,691
|
|
4.85%, 03/01/39 (a)
|
65,000
|
60,495
|
|
5.40%, 02/15/34 (a)
|
87,000
|
88,952
|
|
Athene Holding Ltd.
|
|
|
|
4.13%, 01/12/28 (a)
|
28,000
|
27,659
|
|
6.15%, 04/03/30 (a)
|
56,000
|
57,929
|
|
Atmos Energy Corp.
|
|
|
|
6.20%, 11/15/53 (a)
|
59,000
|
62,507
|
|
AutoNation, Inc.
|
|
|
|
5.89%, 03/15/35 (a)
|
126,000
|
128,587
|
|
BAE Systems PLC
|
|
|
|
5.50%, 03/26/54 (a)(g)
|
170,000
|
167,521
|
|
Bank of America Corp.
|
|
|
|
3.25%, 10/21/27 (a)
|
64,000
|
63,127
|
|
4.18%, 11/25/27 (a)
|
74,000
|
73,723
|
|
4.25%, 10/22/26 (a)
|
79,000
|
78,944
|
|
Bank of America Corp. (2.09%
fixed rate until 06/14/28;
1.06% + SOFR thereafter)
|
|
|
|
2.09%, 06/14/29 (a)(b)
|
134,000
|
127,439
|
|
Bank of America Corp. (2.97%
fixed rate until 02/04/32;
1.33% + SOFR thereafter)
|
|
|
|
2.97%, 02/04/33 (a)(b)
|
229,000
|
207,275
|
|
Bank of America Corp. (2.97%
fixed rate until 07/21/51;
1.56% + SOFR thereafter)
|
|
|
|
2.97%, 07/21/52 (a)(b)
|
102,000
|
64,375
|
|
Bank of America Corp. (3.42%
fixed rate until 12/20/27;
1.30% + 3 mo. Term SOFR
thereafter)
|
|
|
|
3.42%, 12/20/28 (a)(b)
|
36,000
|
35,367
|
|
|
Principal
Amount
|
Fair
Value
|
|
Bank of America Corp. (3.56%
fixed rate until 04/23/26;
1.32% + 3 mo. Term SOFR
thereafter)
|
|
|
|
3.56%, 04/23/27 (a)(b)
|
$59,000
|
$58,967
|
|
Bank of America Corp. (3.71%
fixed rate until 04/24/27;
1.77% + 3 mo. Term SOFR
thereafter)
|
|
|
|
3.71%, 04/24/28 (a)(b)
|
79,000
|
78,393
|
|
Bank of America Corp. (3.85%
fixed rate until 03/08/32;
2.00% + 5 yr. CMT
thereafter)
|
|
|
|
3.85%, 03/08/37 (a)(b)
|
83,000
|
76,828
|
|
Bank of America Corp. (3.95%
fixed rate until 01/23/48;
1.45% + 3 mo. Term SOFR
thereafter)
|
|
|
|
3.95%, 01/23/49 (a)(b)
|
47,000
|
36,224
|
|
Bank of America Corp. (4.24%
fixed rate until 04/24/37;
2.08% + 3 mo. Term SOFR
thereafter)
|
|
|
|
4.24%, 04/24/38 (a)(b)
|
49,000
|
44,379
|
|
Bank of America Corp. (4.27%
fixed rate until 07/23/28;
1.57% + 3 mo. Term SOFR
thereafter)
|
|
|
|
4.27%, 07/23/29 (a)(b)
|
17,000
|
16,930
|
|
Bank of America Corp. (5.29%
fixed rate until 04/25/33;
1.91% + SOFR thereafter)
|
|
|
|
5.29%, 04/25/34 (a)(b)
|
183,000
|
185,158
|
|
Bank of America Corp. (5.47%
fixed rate until 01/23/34;
1.65% + SOFR thereafter)
|
|
|
|
5.47%, 01/23/35 (a)(b)
|
117,000
|
119,342
|
|
Bank of America Corp. (5.87%
fixed rate until 09/15/33;
1.84% + SOFR thereafter)
|
|
|
|
5.87%, 09/15/34 (a)(b)
|
214,000
|
223,996
|
|
Bank of New York Mellon
Corp. (4.63% fixed rate until
09/20/26; 3.39% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.63%, 09/20/26 (a)(b)
|
68,000
|
67,667
|
|
Bank of Nova Scotia (6.56%
fixed rate until 07/12/26;
2.91% + 3 mo. Term SOFR
thereafter)
|
|
|
|
6.56%, 07/12/26 (a)(b)
|
70,000
|
68,774
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
8
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Barclays PLC (2.65% fixed
rate until 06/24/30; 1.90% +
1 yr. CMT thereafter)
|
|
|
|
2.65%, 06/24/31 (a)(b)
|
$390,000
|
$357,068
|
|
Barclays PLC (4.97% fixed
rate until 05/16/28; 1.90% +
3 mo. Term SOFR
thereafter)
|
|
|
|
4.97%, 05/16/29 (a)(b)
|
307,000
|
308,735
|
|
BAT Capital Corp.
|
|
|
|
2.73%, 03/25/31 (a)
|
52,000
|
47,495
|
|
4.39%, 08/15/37 (a)
|
39,000
|
35,440
|
|
4.54%, 08/15/47 (a)
|
13,000
|
10,527
|
|
4.63%, 03/22/33 (a)
|
170,000
|
166,338
|
|
5.83%, 02/20/31 (a)
|
60,000
|
62,810
|
|
6.00%, 02/20/34 (a)
|
51,000
|
53,870
|
|
Baxter International, Inc.
|
|
|
|
1.92%, 02/01/27 (a)
|
76,000
|
74,263
|
|
4.90%, 12/15/30 (a)
|
161,000
|
158,785
|
|
5.65%, 12/15/35 (a)
|
64,000
|
62,532
|
|
Bayer U.S. Finance LLC
|
|
|
|
6.38%, 11/21/30 (a)(g)
|
230,000
|
241,838
|
|
Baylor Scott & White Holdings
|
|
|
|
2.84%, 11/15/50 (a)
|
11,000
|
6,912
|
|
Becton Dickinson & Co.
|
|
|
|
3.70%, 06/06/27 (a)
|
33,000
|
32,727
|
|
4.69%, 12/15/44 (a)
|
5,000
|
4,371
|
|
5.11%, 02/08/34 (a)
|
135,000
|
135,679
|
|
Berkshire Hathaway Energy
Co.
|
|
|
|
3.25%, 04/15/28 (a)
|
21,000
|
20,598
|
|
3.70%, 07/15/30 (a)
|
48,000
|
46,613
|
|
3.80%, 07/15/48 (a)
|
18,000
|
13,251
|
|
4.25%, 10/15/50 (a)
|
41,000
|
31,936
|
|
6.13%, 04/01/36 (a)
|
18,000
|
19,213
|
|
Berkshire Hathaway Finance
Corp.
|
|
|
|
2.85%, 10/15/50 (a)
|
112,000
|
70,348
|
|
Berry Global, Inc.
|
|
|
|
4.88%, 07/15/26 (a)(g)
|
56,000
|
56,010
|
|
BHP Billiton Finance USA Ltd.
|
|
|
|
5.25%, 09/08/33 (a)
|
68,000
|
69,468
|
|
5.50%, 09/08/53 (a)
|
23,000
|
22,221
|
|
BlackRock TCP Capital Corp.
|
|
|
|
6.95%, 05/30/29 (a)
|
361,000
|
354,282
|
|
Block Financial LLC
|
|
|
|
2.50%, 07/15/28 (a)
|
49,000
|
46,268
|
|
3.88%, 08/15/30 (a)
|
16,000
|
15,077
|
|
Boardwalk Pipelines LP
|
|
|
|
4.80%, 05/03/29 (a)
|
34,000
|
34,159
|
|
|
Principal
Amount
|
Fair
Value
|
|
Boeing Co.
|
|
|
|
2.70%, 02/01/27 (a)
|
$81,000
|
$79,844
|
|
2.95%, 02/01/30 (a)
|
20,000
|
18,813
|
|
3.25%, 03/01/28 (a)
|
11,000
|
10,764
|
|
3.55%, 03/01/38 (a)
|
14,000
|
11,625
|
|
3.75%, 02/01/50 (a)
|
21,000
|
14,888
|
|
5.04%, 05/01/27 (a)
|
120,000
|
120,635
|
|
5.15%, 05/01/30 (a)
|
68,000
|
69,039
|
|
5.81%, 05/01/50 (a)
|
127,000
|
122,593
|
|
Boston Properties LP
|
|
|
|
3.40%, 06/21/29 (a)
|
87,000
|
83,397
|
|
Boston Scientific Corp.
|
|
|
|
4.70%, 03/01/49 (a)
|
6,000
|
5,270
|
|
BP Capital Markets America,
Inc.
|
|
|
|
3.00%, 02/24/50 (a)
|
51,000
|
32,861
|
|
3.38%, 02/08/61 (a)
|
51,000
|
32,953
|
|
4.81%, 02/13/33 (a)
|
84,000
|
84,270
|
|
5.23%, 11/17/34 (a)
|
257,000
|
262,153
|
|
BP Capital Markets PLC
(4.88% fixed rate until
03/22/30; 4.40% + 5 yr.
CMT thereafter)
|
|
|
|
4.88%, 03/22/30 (a)(b)
|
56,000
|
55,231
|
|
Bristol-Myers Squibb Co.
|
|
|
|
1.45%, 11/13/30 (a)
|
41,000
|
36,069
|
|
2.35%, 11/13/40 (a)
|
25,000
|
17,444
|
|
3.55%, 03/15/42 (a)
|
25,000
|
19,742
|
|
4.13%, 06/15/39 (a)
|
34,000
|
30,253
|
|
4.25%, 10/26/49 (a)
|
34,000
|
27,292
|
|
4.35%, 11/15/47 (a)
|
4,000
|
3,295
|
|
4.55%, 02/20/48 (a)
|
10,000
|
8,454
|
|
5.20%, 02/22/34 (a)
|
142,000
|
145,475
|
|
Brixmor Operating
Partnership LP
|
|
|
|
2.25%, 04/01/28 (a)
|
70,000
|
67,177
|
|
3.90%, 03/15/27 (a)
|
14,000
|
13,923
|
|
Broadcom, Inc.
|
|
|
|
3.14%, 11/15/35 (a)(g)
|
25,000
|
21,241
|
|
3.19%, 11/15/36 (a)(g)
|
3,000
|
2,507
|
|
3.42%, 04/15/33 (a)
|
194,000
|
177,450
|
|
3.47%, 04/15/34 (a)
|
3,000
|
2,704
|
|
4.15%, 11/15/30 (a)
|
26,000
|
25,602
|
|
4.30%, 11/15/32 (a)
|
42,000
|
40,895
|
|
4.93%, 05/15/37 (a)(g)
|
35,000
|
33,925
|
|
Brown-Forman Corp.
|
|
|
|
4.00%, 04/15/38 (a)
|
9,000
|
7,905
|
|
Bunge Ltd. Finance Corp.
|
|
|
|
2.00%, 04/21/26 (a)
|
92,000
|
91,809
|
|
3.20%, 04/21/31 (a)
|
117,000
|
109,201
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
9
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
3.75%, 09/25/27 (a)
|
$13,000
|
$12,890
|
|
Burlington Northern Santa
Fe LLC
|
|
|
|
4.15%, 12/15/48 (a)
|
35,000
|
28,044
|
|
4.55%, 09/01/44 (a)
|
52,000
|
45,337
|
|
Cameron LNG LLC
|
|
|
|
3.30%, 01/15/35 (a)(g)
|
16,000
|
13,907
|
|
Campbell's Co.
|
|
|
|
5.40%, 03/21/34 (a)
|
73,000
|
70,768
|
|
Canadian Natural Resources
Ltd.
|
|
|
|
3.85%, 06/01/27 (a)
|
38,000
|
37,780
|
|
4.95%, 06/01/47 (a)
|
26,000
|
22,669
|
|
Canadian Pacific Railway Co.
|
|
|
|
1.75%, 12/02/26 (a)
|
87,000
|
85,605
|
|
3.10%, 12/02/51 (a)
|
27,000
|
17,667
|
|
3.50%, 05/01/50 (a)
|
31,000
|
21,914
|
|
Capital One Financial Corp.
|
|
|
|
3.75%, 07/28/26 (a)
|
79,000
|
78,791
|
|
Carlisle Cos., Inc.
|
|
|
|
2.20%, 03/01/32 (a)
|
96,000
|
82,727
|
|
5.25%, 09/15/35 (a)
|
30,000
|
30,008
|
|
5.55%, 09/15/40 (a)
|
57,000
|
56,377
|
|
Carlyle Secured Lending, Inc.
|
|
|
|
6.75%, 02/18/30 (a)
|
32,000
|
31,734
|
|
Carrier Global Corp.
|
|
|
|
2.72%, 02/15/30 (a)
|
38,000
|
35,510
|
|
3.58%, 04/05/50 (a)
|
30,000
|
21,444
|
|
5.90%, 03/15/34 (a)
|
38,000
|
40,108
|
|
CBRE Services, Inc.
|
|
|
|
4.90%, 01/15/33 (a)
|
300,000
|
296,307
|
|
Cenovus Energy, Inc.
|
|
|
|
2.65%, 01/15/32 (a)
|
36,000
|
32,026
|
|
3.75%, 02/15/52 (a)
|
47,000
|
32,860
|
|
Centene Corp.
|
|
|
|
2.45%, 07/15/28 (a)
|
647,000
|
602,467
|
|
CGI, Inc.
|
|
|
|
4.95%, 03/14/30 (a)
|
339,000
|
340,336
|
|
Charles Schwab Corp.
|
|
|
|
2.45%, 03/03/27 (a)
|
315,000
|
310,152
|
|
2.90%, 03/03/32 (a)
|
30,000
|
27,192
|
|
Charles Schwab Corp. (4.00%
fixed rate until 12/01/30;
3.08% + 10 yr. CMT
thereafter)
|
|
|
|
4.00%, 12/01/30 (a)(b)
|
87,000
|
80,505
|
|
Charles Schwab Corp. (5.64%
fixed rate until 05/19/28;
2.21% + SOFR thereafter)
|
|
|
|
5.64%, 05/19/29 (a)(b)
|
175,000
|
179,779
|
|
|
Principal
Amount
|
Fair
Value
|
|
Charles Schwab Corp. (6.14%
fixed rate until 08/24/33;
2.01% + SOFR thereafter)
|
|
|
|
6.14%, 08/24/34 (a)(b)
|
$130,000
|
$138,316
|
|
Charter Communications
Operating LLC/Charter
Communications Operating
Capital
|
|
|
|
3.50%, 06/01/41 (a)
|
58,000
|
40,651
|
|
3.70%, 04/01/51 (a)
|
176,000
|
109,087
|
|
4.80%, 03/01/50 (a)
|
87,000
|
64,525
|
|
6.55%, 06/01/34 (a)
|
214,000
|
222,036
|
|
Cheniere Energy, Inc.
|
|
|
|
5.65%, 04/15/34 (a)
|
68,000
|
70,064
|
|
Chevron Corp.
|
|
|
|
2.24%, 05/11/30 (a)
|
17,000
|
15,698
|
|
Chevron USA, Inc.
|
|
|
|
3.85%, 01/15/28 (a)
|
62,000
|
61,789
|
|
Chubb INA Holdings LLC
|
|
|
|
4.35%, 11/03/45 (a)
|
28,000
|
23,565
|
|
Church & Dwight Co., Inc.
|
|
|
|
2.30%, 12/15/31 (a)
|
48,000
|
42,549
|
|
Cigna Group
|
|
|
|
2.40%, 03/15/30 (a)
|
31,000
|
28,641
|
|
3.40%, 03/15/50 -
03/15/51 (a)
|
33,000
|
22,428
|
|
4.38%, 10/15/28 (a)
|
17,000
|
16,991
|
|
Cisco Systems, Inc.
|
|
|
|
5.30%, 02/26/54 (a)
|
101,000
|
94,757
|
|
5.35%, 02/26/64 (a)
|
101,000
|
93,252
|
|
5.90%, 02/15/39 (a)
|
20,000
|
21,125
|
|
Citigroup, Inc.
|
|
|
|
4.45%, 09/29/27 (a)
|
43,000
|
42,992
|
|
4.65%, 07/23/48 (a)
|
94,000
|
79,590
|
|
Citigroup, Inc. (2.98% fixed
rate until 11/05/29; 1.42% +
SOFR thereafter)
|
|
|
|
2.98%, 11/05/30 (a)(b)
|
36,000
|
33,986
|
|
Citigroup, Inc. (3.79% fixed
rate until 03/17/32; 1.94% +
SOFR thereafter)
|
|
|
|
3.79%, 03/17/33 (a)(b)
|
290,000
|
271,945
|
|
Citigroup, Inc. (3.88% fixed
rate until 01/24/38; 1.43% +
3 mo. Term SOFR
thereafter)
|
|
|
|
3.88%, 01/24/39 (a)(b)
|
17,000
|
14,639
|
|
Cleveland Electric Illuminating
Co.
|
|
|
|
4.55%, 11/15/30 (a)(g)
|
112,000
|
110,448
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
10
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Clorox Co.
|
|
|
|
1.80%, 05/15/30 (a)
|
$48,000
|
$42,932
|
|
CME Group, Inc.
|
|
|
|
2.65%, 03/15/32 (a)
|
39,000
|
35,342
|
|
3.75%, 06/15/28 (a)
|
18,000
|
17,867
|
|
CMS Energy Corp.
|
|
|
|
4.88%, 03/01/44 (a)
|
64,000
|
56,274
|
|
Coca-Cola Co.
|
|
|
|
2.60%, 06/01/50 (a)
|
39,000
|
23,644
|
|
2.75%, 06/01/60 (a)
|
27,000
|
15,437
|
|
Comcast Corp.
|
|
|
|
2.65%, 08/15/62 (a)
|
29,000
|
14,286
|
|
2.80%, 01/15/51 (a)
|
33,000
|
18,878
|
|
2.89%, 11/01/51 (a)
|
31,000
|
17,918
|
|
2.94%, 11/01/56 (a)
|
25,000
|
13,880
|
|
2.99%, 11/01/63 (a)
|
24,000
|
12,729
|
|
3.20%, 07/15/36 (a)
|
36,000
|
30,181
|
|
3.25%, 11/01/39 (a)
|
58,000
|
44,657
|
|
3.97%, 11/01/47 (a)
|
40,000
|
29,452
|
|
5.17%, 01/15/37 (a)(g)
|
39,000
|
37,990
|
|
5.65%, 06/01/54 (a)
|
112,000
|
103,319
|
|
Conagra Brands, Inc.
|
|
|
|
5.30%, 11/01/38 (a)
|
15,000
|
13,957
|
|
ConocoPhillips Co.
|
|
|
|
5.55%, 03/15/54 (a)
|
76,000
|
72,819
|
|
5.70%, 09/15/63 (a)
|
79,000
|
76,043
|
|
Consolidated Edison Co. of
New York, Inc.
|
|
|
|
2.90%, 12/01/26 (a)
|
51,000
|
50,474
|
|
3.35%, 04/01/30 (a)
|
18,000
|
17,268
|
|
3.88%, 06/15/47 (a)
|
22,000
|
16,782
|
|
3.95%, 04/01/50 (a)
|
31,000
|
23,852
|
|
Constellation Brands, Inc.
|
|
|
|
3.15%, 08/01/29 (a)
|
82,000
|
78,450
|
|
4.50%, 05/09/47 (a)
|
34,000
|
27,696
|
|
Constellation Energy
Generation LLC
|
|
|
|
6.50%, 10/01/53 (a)
|
52,000
|
55,260
|
|
Continental Resources, Inc.
|
|
|
|
2.88%, 04/01/32 (a)(g)
|
56,000
|
48,918
|
|
COPT Defense Properties LP
|
|
|
|
2.00%, 01/15/29 (a)
|
57,000
|
53,213
|
|
2.75%, 04/15/31 (a)
|
135,000
|
121,991
|
|
Corebridge Financial, Inc.
|
|
|
|
3.90%, 04/05/32 (a)
|
168,000
|
157,577
|
|
Coterra Energy, Inc.
|
|
|
|
5.60%, 03/15/34 (a)
|
219,000
|
224,103
|
|
5.90%, 02/15/55 (a)
|
114,000
|
108,718
|
|
|
Principal
Amount
|
Fair
Value
|
|
Crowdstrike Holdings, Inc.
|
|
|
|
3.00%, 02/15/29 (a)
|
$1,282,000
|
$1,219,849
|
|
Crown Castle, Inc.
|
|
|
|
2.90%, 03/15/27 (a)
|
138,000
|
135,962
|
|
3.30%, 07/01/30 (a)
|
108,000
|
101,276
|
|
CSL Finance PLC
|
|
|
|
4.25%, 04/27/32 (a)(g)
|
79,000
|
76,491
|
|
5.11%, 04/03/34 (a)(g)
|
27,000
|
27,153
|
|
5.42%, 04/03/54 (a)(g)
|
13,000
|
12,105
|
|
CSX Corp.
|
|
|
|
4.50%, 03/15/49 -
08/01/54 (a)
|
58,000
|
48,192
|
|
CubeSmart LP
|
|
|
|
4.38%, 02/15/29 (a)
|
51,000
|
50,673
|
|
CVS Health Corp.
|
|
|
|
3.00%, 08/15/26 (a)
|
45,000
|
44,769
|
|
3.63%, 04/01/27 (a)
|
41,000
|
40,653
|
|
3.75%, 04/01/30 (a)
|
29,000
|
28,035
|
|
4.30%, 03/25/28 (a)
|
3,000
|
2,990
|
|
4.78%, 03/25/38 (a)
|
26,000
|
23,950
|
|
5.13%, 07/20/45 (a)
|
29,000
|
25,512
|
|
5.30%, 06/01/33 -
12/05/43 (a)
|
115,000
|
111,064
|
|
5.88%, 06/01/53 (a)
|
15,000
|
14,200
|
|
6.00%, 06/01/63 (a)
|
13,000
|
12,309
|
|
6.05%, 06/01/54 (a)
|
35,000
|
33,949
|
|
CVS Health Corp. (6.75%
fixed rate until 09/10/34;
2.52% + 5 yr. CMT
thereafter)
|
|
|
|
6.75%, 12/10/54 (a)(b)
|
97,000
|
97,911
|
|
CVS Health Corp. (7.00%
fixed rate until 12/10/29;
2.89% + 5 yr. CMT
thereafter)
|
|
|
|
7.00%, 03/10/55 (a)(b)
|
94,000
|
96,741
|
|
Daimler Truck Finance North
America LLC
|
|
|
|
2.50%, 12/14/31 (a)(g)
|
244,000
|
214,774
|
|
Deutsche Bank AG (2.31%
fixed rate until 11/16/26;
1.22% + SOFR thereafter)
|
|
|
|
2.31%, 11/16/27 (a)(b)
|
262,000
|
258,405
|
|
Deutsche Bank AG (3.74%
fixed rate until 10/07/31;
2.26% + SOFR thereafter)
|
|
|
|
3.74%, 01/07/33 (a)(b)
|
398,000
|
362,180
|
|
Deutsche Bank AG (6.82%
fixed rate until 11/20/28;
2.51% + SOFR thereafter)
|
|
|
|
6.82%, 11/20/29 (a)(b)
|
209,000
|
219,425
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
11
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Deutsche Bank AG (7.08%
fixed rate until 11/10/32;
3.65% + SOFR thereafter)
|
|
|
|
7.08%, 02/10/34 (a)(b)
|
$210,000
|
$224,534
|
|
DH Europe Finance II SARL
|
|
|
|
2.60%, 11/15/29 (a)
|
34,000
|
32,028
|
|
3.25%, 11/15/39 (a)
|
21,000
|
16,857
|
|
3.40%, 11/15/49 (a)
|
12,000
|
8,415
|
|
Diamondback Energy, Inc.
|
|
|
|
3.13%, 03/24/31 (a)
|
47,000
|
43,613
|
|
4.40%, 03/24/51 (a)
|
27,000
|
21,536
|
|
5.40%, 04/18/34 (a)
|
167,000
|
169,627
|
|
5.75%, 04/18/54 (a)
|
62,000
|
58,711
|
|
Dick's Sporting Goods, Inc.
|
|
|
|
4.10%, 01/15/52 (a)
|
234,000
|
165,611
|
|
Digital Realty Trust LP
|
|
|
|
3.60%, 07/01/29 (a)
|
55,000
|
53,427
|
|
Discovery
Communications LLC
|
|
|
|
3.95%, 03/20/28 (a)
|
32,000
|
31,351
|
|
5.00%, 09/20/37 (a)
|
18,000
|
13,016
|
|
Discovery Global Holdings,
Inc.
|
|
|
|
3.76%, 03/15/27 (a)
|
303,000
|
299,303
|
|
4.28%, 03/15/32 (a)
|
241,000
|
213,367
|
|
5.05%, 03/15/42 (a)
|
36,000
|
24,017
|
|
5.14%, 03/15/52 (a)
|
5,000
|
3,030
|
|
Dollar General Corp.
|
|
|
|
3.50%, 04/03/30 (a)
|
20,000
|
19,051
|
|
4.13%, 04/03/50 (a)
|
34,000
|
25,601
|
|
Dominion Energy, Inc.
|
|
|
|
3.38%, 04/01/30 (a)
|
63,000
|
60,211
|
|
Dover Corp.
|
|
|
|
2.95%, 11/04/29 (a)
|
35,000
|
33,205
|
|
Dow Chemical Co.
|
|
|
|
2.10%, 11/15/30 (a)
|
27,000
|
23,741
|
|
3.60%, 11/15/50 (a)
|
30,000
|
19,259
|
|
4.25%, 10/01/34 (a)
|
16,000
|
14,525
|
|
5.15%, 02/15/34 (a)
|
68,000
|
66,271
|
|
5.55%, 11/30/48 (a)
|
21,000
|
18,079
|
|
6.30%, 03/15/33 (a)
|
68,000
|
71,284
|
|
DR Horton, Inc.
|
|
|
|
5.50%, 10/15/35 (a)
|
86,000
|
87,278
|
|
DTE Energy Co.
|
|
|
|
2.85%, 10/01/26 (a)
|
22,000
|
21,829
|
|
Duke Energy Carolinas LLC
|
|
|
|
3.95%, 03/15/48 (a)
|
25,000
|
19,214
|
|
Duke Energy Corp.
|
|
|
|
2.55%, 06/15/31 (a)
|
97,000
|
87,238
|
|
3.30%, 06/15/41 (a)
|
87,000
|
65,297
|
|
|
Principal
Amount
|
Fair
Value
|
|
3.50%, 06/15/51 (a)
|
$87,000
|
$58,240
|
|
3.75%, 09/01/46 (a)
|
134,000
|
99,021
|
|
Duke Energy Progress LLC
|
|
|
|
4.15%, 12/01/44 (a)
|
24,000
|
19,483
|
|
DuPont de Nemours, Inc.
|
|
|
|
5.42%, 11/15/48 (a)
|
3,000
|
2,769
|
|
Duquesne Light Holdings, Inc.
|
|
|
|
3.62%, 08/01/27 (a)(g)
|
66,000
|
65,189
|
|
Eastern Energy Gas
Holdings LLC
|
|
|
|
5.65%, 10/15/54 (a)
|
87,000
|
81,823
|
|
Eastman Chemical Co.
|
|
|
|
4.65%, 10/15/44 (a)
|
39,000
|
32,680
|
|
Eaton Corp.
|
|
|
|
3.10%, 09/15/27 (a)
|
21,000
|
20,703
|
|
Electronic Arts, Inc.
|
|
|
|
1.85%, 02/15/31 (a)
|
49,000
|
45,092
|
|
Elevance Health, Inc.
|
|
|
|
2.88%, 09/15/29 (a)
|
17,000
|
16,106
|
|
3.60%, 03/15/51 (a)
|
21,000
|
14,569
|
|
3.70%, 09/15/49 (a)
|
19,000
|
13,515
|
|
5.13%, 02/15/53 (a)
|
15,000
|
13,174
|
|
5.65%, 06/15/54 (a)
|
39,000
|
36,749
|
|
6.10%, 10/15/52 (a)
|
34,000
|
34,132
|
|
Eli Lilly & Co.
|
|
|
|
5.00%, 02/09/54 (a)
|
27,000
|
24,579
|
|
5.10%, 02/09/64 (a)
|
102,000
|
91,635
|
|
Emera U.S. Finance LP
|
|
|
|
2.64%, 06/15/31 (a)
|
97,000
|
86,519
|
|
Emerson Electric Co.
|
|
|
|
1.80%, 10/15/27 (a)
|
22,000
|
21,271
|
|
2.75%, 10/15/50 (a)
|
19,000
|
11,705
|
|
Enbridge Energy Partners LP
|
|
|
|
5.50%, 09/15/40 (a)
|
5,000
|
4,887
|
|
Enbridge, Inc.
|
|
|
|
1.60%, 10/04/26 (a)
|
154,000
|
151,924
|
|
Enbridge, Inc. (5.75% fixed
rate until 04/15/30; 5.31% +
5 yr. CMT thereafter)
|
|
|
|
5.75%, 07/15/80 (a)(b)
|
87,000
|
86,884
|
|
Energy Transfer LP
|
|
|
|
5.25%, 07/01/29 (a)
|
483,000
|
493,621
|
|
5.30%, 04/01/44 -
04/15/47 (a)
|
65,000
|
57,709
|
|
5.35%, 05/15/45 (a)
|
54,000
|
48,225
|
|
5.75%, 02/15/33 (a)
|
36,000
|
37,439
|
|
5.95%, 05/15/54 (a)
|
31,000
|
29,097
|
|
6.10%, 12/01/28 (a)
|
148,000
|
153,849
|
|
6.40%, 12/01/30 (a)
|
57,000
|
60,914
|
|
6.50%, 02/01/42 (a)
|
30,000
|
31,224
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
12
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Enterprise Products
Operating LLC
|
|
|
|
4.25%, 02/15/48 (a)
|
$70,000
|
$56,396
|
|
4.85%, 01/31/34 (a)
|
219,000
|
218,621
|
|
Enterprise Products
Operating LLC (5.25% fixed
rate until 08/16/27; 3.29% +
3 mo. Term SOFR
thereafter)
|
|
|
|
5.25%, 08/16/77 (a)(b)
|
20,000
|
19,822
|
|
EOG Resources, Inc.
|
|
|
|
5.10%, 01/15/36 (a)
|
14,000
|
13,827
|
|
Equinix, Inc.
|
|
|
|
2.15%, 07/15/30 (a)
|
56,000
|
50,337
|
|
ERP Operating LP
|
|
|
|
4.50%, 07/01/44 (a)
|
13,000
|
11,239
|
|
Eversource Energy
|
|
|
|
3.45%, 01/15/50 (a)
|
42,000
|
28,831
|
|
Exelon Corp.
|
|
|
|
4.05%, 04/15/30 (a)
|
65,000
|
63,698
|
|
4.45%, 04/15/46 (a)
|
41,000
|
33,601
|
|
4.70%, 04/15/50 (a)
|
43,000
|
35,647
|
|
5.60%, 03/15/53 (a)
|
127,000
|
119,850
|
|
Expand Energy Corp.
|
|
|
|
6.75%, 04/15/29 (a)(g)
|
436,000
|
436,955
|
|
Expedia Group, Inc.
|
|
|
|
5.40%, 02/15/35 (a)
|
95,000
|
94,235
|
|
Extra Space Storage LP
|
|
|
|
2.20%, 10/15/30 (a)
|
48,000
|
42,974
|
|
3.90%, 04/01/29 (a)
|
32,000
|
31,372
|
|
5.90%, 01/15/31 (a)
|
140,000
|
146,222
|
|
Exxon Mobil Corp.
|
|
|
|
3.45%, 04/15/51 (a)
|
76,000
|
54,119
|
|
FedEx Corp.
|
|
|
|
4.10%, 02/01/45 (a)
|
94,000
|
73,883
|
|
Fidelity National Financial, Inc.
|
|
|
|
3.20%, 09/17/51 (a)
|
61,000
|
37,300
|
|
Fidelity National Information
Services, Inc.
|
|
|
|
3.10%, 03/01/41 (a)
|
11,000
|
7,910
|
|
FirstEnergy Corp.
|
|
|
|
3.40%, 03/01/50 (a)
|
59,000
|
39,418
|
|
FirstEnergy Transmission LLC
|
|
|
|
4.55%, 04/01/49 (a)(g)
|
84,000
|
69,673
|
|
Fiserv, Inc.
|
|
|
|
3.50%, 07/01/29 (a)
|
26,000
|
24,910
|
|
4.40%, 07/01/49 (a)
|
15,000
|
11,332
|
|
Florida Power & Light Co.
|
|
|
|
4.13%, 02/01/42 (a)
|
23,000
|
19,503
|
|
|
Principal
Amount
|
Fair
Value
|
|
Flowserve Corp.
|
|
|
|
2.80%, 01/15/32 (a)
|
$53,000
|
$46,779
|
|
Foundry JV Holdco LLC
|
|
|
|
5.88%, 01/25/34 (a)(g)
|
332,000
|
336,688
|
|
Fox Corp.
|
|
|
|
6.50%, 10/13/33 (a)
|
81,000
|
86,882
|
|
Freeport-McMoRan, Inc.
|
|
|
|
4.25%, 03/01/30 (a)
|
71,000
|
69,672
|
|
General Dynamics Corp.
|
|
|
|
4.25%, 04/01/50 (a)
|
30,000
|
25,075
|
|
General Mills, Inc.
|
|
|
|
3.00%, 02/01/51 (a)
|
32,000
|
19,628
|
|
General Motors Co.
|
|
|
|
5.20%, 04/01/45 (a)
|
7,000
|
6,072
|
|
5.40%, 04/01/48 (a)
|
15,000
|
13,121
|
|
6.80%, 10/01/27 (a)
|
30,000
|
30,853
|
|
General Motors Financial Co.,
Inc.
|
|
|
|
2.35%, 01/08/31 (a)
|
38,000
|
33,856
|
|
5.85%, 04/06/30 (a)
|
252,000
|
260,931
|
|
6.10%, 01/07/34 (a)
|
220,000
|
228,452
|
|
Genuine Parts Co.
|
|
|
|
2.75%, 02/01/32 (a)
|
36,000
|
31,171
|
|
Georgia Power Co.
|
|
|
|
5.25%, 03/15/34 (a)
|
291,000
|
297,312
|
|
Gilead Sciences, Inc.
|
|
|
|
2.60%, 10/01/40 (a)
|
33,000
|
23,877
|
|
2.95%, 03/01/27 (a)
|
7,000
|
6,927
|
|
4.15%, 03/01/47 (a)
|
15,000
|
12,141
|
|
4.60%, 09/01/35 (a)
|
41,000
|
40,022
|
|
5.25%, 10/15/33 (a)
|
41,000
|
42,400
|
|
GlaxoSmithKline Capital PLC
|
|
|
|
3.38%, 06/01/29 (a)
|
42,000
|
40,907
|
|
Goldman Sachs Group, Inc.
|
|
|
|
3.85%, 01/26/27 (a)
|
208,000
|
207,312
|
|
5.15%, 05/22/45 (a)
|
15,000
|
13,431
|
|
Goldman Sachs Group, Inc.
(1.54% fixed rate until
09/10/26; 0.82% + SOFR
thereafter)
|
|
|
|
1.54%, 09/10/27 (a)(b)
|
78,000
|
76,981
|
|
Goldman Sachs Group, Inc.
(2.38% fixed rate until
07/21/31; 1.25% + SOFR
thereafter)
|
|
|
|
2.38%, 07/21/32 (a)(b)
|
40,000
|
35,292
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
13
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Goldman Sachs Group, Inc.
(2.91% fixed rate until
07/21/41; 1.47% + SOFR
thereafter)
|
|
|
|
2.91%, 07/21/42 (a)(b)
|
$33,000
|
$23,252
|
|
Goldman Sachs Group, Inc.
(3.21% fixed rate until
04/22/41; 1.51% + SOFR
thereafter)
|
|
|
|
3.21%, 04/22/42 (a)(b)
|
49,000
|
36,310
|
|
Goldman Sachs Group, Inc.
(3.44% fixed rate until
02/24/42; 1.63% + SOFR
thereafter)
|
|
|
|
3.44%, 02/24/43 (a)(b)
|
83,000
|
62,322
|
|
Goldman Sachs Group, Inc.
(3.81% fixed rate until
04/23/28; 1.42% + 3 mo.
Term SOFR thereafter)
|
|
|
|
3.81%, 04/23/29 (a)(b)
|
23,000
|
22,683
|
|
Goldman Sachs Group, Inc.
(4.02% fixed rate until
10/31/37; 1.63% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.02%, 10/31/38 (a)(b)
|
23,000
|
20,065
|
|
Goldman Sachs Group, Inc.
(4.22% fixed rate until
05/01/28; 1.56% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.22%, 05/01/29 (a)(b)
|
38,000
|
37,777
|
|
Graphic Packaging
International LLC
|
|
|
|
1.51%, 04/15/26 (a)(g)
|
137,000
|
136,808
|
|
Haleon U.S. Capital LLC
|
|
|
|
3.63%, 03/24/32 (a)
|
360,000
|
339,077
|
|
Halliburton Co.
|
|
|
|
5.00%, 11/15/45 (a)
|
19,000
|
16,845
|
|
Hartford Insurance Group, Inc.
(6.04% fixed rate until
04/30/26; 2.39% + 3 mo.
Term SOFR thereafter)
|
|
|
|
6.04%, 02/12/67 (a)(b)(g)
|
55,000
|
52,566
|
|
HCA, Inc.
|
|
|
|
3.13%, 03/15/27 (a)
|
111,000
|
109,599
|
|
3.38%, 03/15/29 (a)
|
68,000
|
65,859
|
|
3.50%, 09/01/30 (a)
|
40,000
|
37,982
|
|
3.63%, 03/15/32 (a)
|
31,000
|
28,790
|
|
4.63%, 03/15/52 (a)
|
75,000
|
59,691
|
|
5.60%, 04/01/34 (a)
|
30,000
|
30,634
|
|
5.75%, 03/01/35 (a)
|
94,000
|
96,647
|
|
6.00%, 04/01/54 (a)
|
41,000
|
39,603
|
|
|
Principal
Amount
|
Fair
Value
|
|
Health Care Service Corp. A
Mutual Legal Reserve Co.
|
|
|
|
2.20%, 06/01/30 (a)(g)
|
$48,000
|
$43,433
|
|
3.20%, 06/01/50 (a)(g)
|
19,000
|
11,805
|
|
Healthcare Realty Holdings LP
|
|
|
|
2.00%, 03/15/31 (a)
|
28,000
|
24,304
|
|
Hess Corp.
|
|
|
|
5.60%, 02/15/41 (a)
|
10,000
|
10,181
|
|
5.80%, 04/01/47 (a)
|
7,000
|
7,056
|
|
Highwoods Realty LP
|
|
|
|
4.13%, 03/15/28 (a)
|
20,000
|
19,712
|
|
4.20%, 04/15/29 (a)
|
50,000
|
48,638
|
|
7.65%, 02/01/34 (a)
|
14,000
|
15,483
|
|
Home Depot, Inc.
|
|
|
|
2.70%, 04/15/30 (a)
|
19,000
|
17,876
|
|
3.35%, 04/15/50 (a)
|
39,000
|
26,910
|
|
3.50%, 09/15/56 (a)
|
18,000
|
12,281
|
|
3.90%, 12/06/28 -
06/15/47 (a)
|
41,000
|
35,741
|
|
4.50%, 12/06/48 (a)
|
17,000
|
14,286
|
|
4.95%, 06/25/34 -
09/15/52 (a)
|
74,000
|
71,603
|
|
5.30%, 06/25/54 (a)
|
23,000
|
21,522
|
|
5.40%, 06/25/64 (a)
|
41,000
|
38,461
|
|
Honeywell Aerospace, Inc.
|
|
|
|
4.30%, 03/16/31 (a)(g)
|
160,000
|
158,370
|
|
Honeywell International, Inc.
|
|
|
|
1.75%, 09/01/31 (a)
|
129,000
|
111,746
|
|
2.70%, 08/15/29 (a)
|
94,000
|
89,096
|
|
Hormel Foods Corp.
|
|
|
|
1.80%, 06/11/30 (a)
|
69,000
|
62,035
|
|
HSBC Holdings PLC (2.01%
fixed rate until 09/22/27;
1.73% + SOFR thereafter)
|
|
|
|
2.01%, 09/22/28 (a)(b)
|
263,000
|
253,577
|
|
HSBC Holdings PLC (6.88%
fixed rate until 09/11/29;
3.30% + 5 yr. CMT
thereafter)
|
|
|
|
6.88%, 09/11/29 (a)(b)
|
332,000
|
333,985
|
|
HSBC Holdings PLC (8.11%
fixed rate until 11/03/32;
4.25% + SOFR thereafter)
|
|
|
|
8.11%, 11/03/33 (a)(b)
|
398,000
|
454,902
|
|
Huntington Bancshares, Inc.
|
|
|
|
2.55%, 02/04/30 (a)
|
79,000
|
73,188
|
|
Huntington Bancshares, Inc.
(5.27% fixed rate until
01/15/30; 1.28% + SOFR
thereafter)
|
|
|
|
5.27%, 01/15/31 (a)(b)
|
201,000
|
203,999
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
14
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Huntington Bancshares, Inc.
(6.14% fixed rate until
08/18/34; 1.70% + 5 yr.
CMT thereafter)
|
|
|
|
6.14%, 11/18/39 (a)(b)
|
$76,000
|
$77,344
|
|
Huntington Ingalls Industries,
Inc.
|
|
|
|
2.04%, 08/16/28 (a)
|
94,000
|
89,082
|
|
Hyundai Capital America
|
|
|
|
5.40%, 01/08/31 (a)(g)
|
307,000
|
313,336
|
|
IBM International Capital Pte.
Ltd.
|
|
|
|
5.25%, 02/05/44 (a)
|
159,000
|
145,925
|
|
Imperial Brands Finance PLC
|
|
|
|
5.50%, 02/01/30 (g)
|
391,000
|
400,986
|
|
5.88%, 07/01/34 (g)
|
387,000
|
398,324
|
|
6.13%, 07/27/27 (g)
|
300,000
|
306,063
|
|
Indiana Michigan Power Co.
|
|
|
|
3.25%, 05/01/51 (a)
|
43,000
|
28,085
|
|
ING Groep NV (4.70% fixed
rate until 04/01/26; 1.01% +
SOFR thereafter)
|
|
|
|
4.70%, 04/01/27 (a)(b)
|
236,000
|
236,000
|
|
Ingersoll Rand, Inc.
|
|
|
|
5.70%, 08/14/33 (a)
|
117,000
|
121,517
|
|
Ingredion, Inc.
|
|
|
|
3.90%, 06/01/50 (a)
|
20,000
|
14,808
|
|
Intel Corp.
|
|
|
|
2.00%, 08/12/31 (a)
|
61,000
|
52,819
|
|
2.45%, 11/15/29 (a)
|
75,000
|
69,603
|
|
2.80%, 08/12/41 (a)
|
70,000
|
48,016
|
|
3.10%, 02/15/60 (a)
|
36,000
|
19,805
|
|
5.63%, 02/10/43 (a)
|
31,000
|
29,328
|
|
5.70%, 02/10/53 (a)
|
28,000
|
25,761
|
|
Intercontinental Exchange,
Inc.
|
|
|
|
1.85%, 09/15/32 (a)
|
17,000
|
14,323
|
|
2.65%, 09/15/40 (a)
|
13,000
|
9,413
|
|
Intuit, Inc.
|
|
|
|
5.50%, 09/15/53 (a)
|
77,000
|
70,821
|
|
ITC Holdings Corp.
|
|
|
|
2.95%, 05/14/30 (a)(g)
|
107,000
|
100,029
|
|
J.M. Smucker Co.
|
|
|
|
6.50%, 11/15/43 -
11/15/53 (a)
|
169,000
|
175,826
|
|
JBS NV/JBS USA Foods
Group Holdings, Inc./JBS
USA Food Co. Holdings
|
|
|
|
5.75%, 04/01/33 (a)
|
33,000
|
34,064
|
|
5.95%, 04/20/35 (a)
|
159,000
|
164,974
|
|
|
Principal
Amount
|
Fair
Value
|
|
6.75%, 03/15/34 (a)
|
$119,000
|
$130,674
|
|
Jefferies Financial Group, Inc.
|
|
|
|
5.88%, 07/21/28 (a)
|
131,000
|
133,789
|
|
Johnson & Johnson
|
|
|
|
3.63%, 03/03/37 (a)
|
18,000
|
16,161
|
|
Johnson Controls International
PLC
|
|
|
|
4.50%, 02/15/47 (a)
|
17,000
|
14,329
|
|
JPMorgan Chase & Co.
(1.58% fixed rate until
04/22/26; 0.89% + SOFR
thereafter)
|
|
|
|
1.58%, 04/22/27 (b)
|
140,000
|
139,772
|
|
JPMorgan Chase & Co.
(2.96% fixed rate until
01/25/32; 1.26% + SOFR
thereafter)
|
|
|
|
2.96%, 01/25/33 (b)
|
451,000
|
408,926
|
|
JPMorgan Chase & Co.
(2.96% fixed rate until
05/13/30; 2.52% + 3 mo.
Term SOFR thereafter)
|
|
|
|
2.96%, 05/13/31 (a)(b)
|
75,000
|
69,890
|
|
JPMorgan Chase & Co.
(3.16% fixed rate until
04/22/41; 1.46% + 3 mo.
Term SOFR thereafter)
|
|
|
|
3.16%, 04/22/42 (b)
|
63,000
|
47,285
|
|
JPMorgan Chase & Co.
(3.88% fixed rate until
07/24/37; 1.62% + 3 mo.
Term SOFR thereafter)
|
|
|
|
3.88%, 07/24/38 (b)
|
49,000
|
43,005
|
|
JPMorgan Chase & Co.
(3.90% fixed rate until
01/23/48; 1.48% + 3 mo.
Term SOFR thereafter)
|
|
|
|
3.90%, 01/23/49 (b)
|
148,000
|
113,596
|
|
JPMorgan Chase & Co.
(4.01% fixed rate until
04/23/28; 1.38% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.01%, 04/23/29 (a)(b)
|
34,000
|
33,711
|
|
JPMorgan Chase & Co.
(4.03% fixed rate until
07/24/47; 1.72% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.03%, 07/24/48 (b)
|
33,000
|
26,037
|
|
JPMorgan Chase & Co.
(4.49% fixed rate until
03/24/30; 3.79% + 3 mo.
Term SOFR thereafter)
|
|
|
|
4.49%, 03/24/31 (b)
|
114,000
|
113,423
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
15
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
JPMorgan Chase & Co.
(5.34% fixed rate until
01/23/34; 1.62% + SOFR
thereafter)
|
|
|
|
5.34%, 01/23/35 (b)
|
$79,000
|
$80,194
|
|
JPMorgan Chase & Co.
(5.50% fixed rate until
01/24/35; 1.32% + SOFR
thereafter)
|
|
|
|
5.50%, 01/24/36 (b)
|
204,000
|
208,763
|
|
Kaiser Foundation Hospitals
|
|
|
|
3.27%, 11/01/49 (a)
|
94,000
|
64,535
|
|
Kenvue, Inc.
|
|
|
|
4.90%, 03/22/33 (a)
|
63,000
|
63,478
|
|
5.05%, 03/22/53 (a)
|
49,000
|
44,247
|
|
5.20%, 03/22/63 (a)
|
30,000
|
26,877
|
|
Keybank National Association
|
|
|
|
4.90%, 08/08/32 (a)
|
500,000
|
490,860
|
|
Kinder Morgan Energy
Partners LP
|
|
|
|
4.70%, 11/01/42 (a)
|
8,000
|
7,012
|
|
5.00%, 03/01/43 (a)
|
15,000
|
13,455
|
|
6.38%, 03/01/41 (a)
|
13,000
|
13,679
|
|
Kinder Morgan, Inc.
|
|
|
|
1.75%, 11/15/26 (a)
|
179,000
|
176,200
|
|
5.05%, 02/15/46 (a)
|
13,000
|
11,596
|
|
5.20%, 06/01/33 (a)
|
38,000
|
38,655
|
|
KLA Corp.
|
|
|
|
3.30%, 03/01/50 (a)
|
39,000
|
26,550
|
|
Kraft Heinz Foods Co.
|
|
|
|
5.20%, 07/15/45 (a)
|
72,000
|
62,868
|
|
Kroger Co.
|
|
|
|
2.20%, 05/01/30 (a)
|
31,000
|
28,314
|
|
4.65%, 01/15/48 (a)
|
15,000
|
12,544
|
|
5.00%, 09/15/34 (a)
|
60,000
|
59,270
|
|
5.50%, 09/15/54 (a)
|
31,000
|
28,801
|
|
Kyndryl Holdings, Inc.
|
|
|
|
2.05%, 10/15/26 (a)
|
82,000
|
80,557
|
|
L3Harris Technologies, Inc.
|
|
|
|
3.85%, 12/15/26 (a)
|
30,000
|
29,882
|
|
Las Vegas Sands Corp.
|
|
|
|
5.90%, 06/01/27 (a)
|
155,000
|
157,046
|
|
6.20%, 08/15/34 (a)
|
88,000
|
90,323
|
|
Leidos, Inc.
|
|
|
|
4.38%, 05/15/30 (a)
|
153,000
|
150,619
|
|
5.40%, 03/15/32 (a)
|
91,000
|
92,676
|
|
5.50%, 03/15/35 (a)
|
116,000
|
117,801
|
|
5.75%, 03/15/33 (a)
|
84,000
|
87,110
|
|
Liberty Mutual Group, Inc.
|
|
|
|
3.95%, 05/15/60 (a)(g)
|
17,000
|
11,531
|
|
|
Principal
Amount
|
Fair
Value
|
|
Lloyds Banking Group PLC
|
|
|
|
3.75%, 01/11/27 (a)
|
$372,000
|
$370,553
|
|
Lockheed Martin Corp.
|
|
|
|
3.80%, 03/01/45 (a)
|
12,000
|
9,463
|
|
4.50%, 05/15/36 (a)
|
32,000
|
31,080
|
|
Lowe's Cos., Inc.
|
|
|
|
1.30%, 04/15/28 (a)
|
23,000
|
21,675
|
|
1.70%, 09/15/28 -
10/15/30 (a)
|
71,000
|
65,743
|
|
3.00%, 10/15/50 (a)
|
40,000
|
24,670
|
|
3.70%, 04/15/46 (a)
|
14,000
|
10,321
|
|
4.05%, 05/03/47 (a)
|
33,000
|
25,323
|
|
5.63%, 04/15/53 (a)
|
62,000
|
58,548
|
|
LYB International Finance
III LLC
|
|
|
|
3.63%, 04/01/51 (a)
|
19,000
|
12,241
|
|
3.80%, 10/01/60 (a)
|
17,000
|
10,412
|
|
M&T Bank Corp. (5.05% fixed
rate until 01/27/33; 1.85% +
SOFR thereafter)
|
|
|
|
5.05%, 01/27/34 (a)(b)
|
299,000
|
294,966
|
|
Mars, Inc.
|
|
|
|
4.80%, 03/01/30 (a)(g)
|
130,000
|
131,357
|
|
5.20%, 03/01/35 (a)(g)
|
140,000
|
141,273
|
|
5.70%, 05/01/55 (a)(g)
|
130,000
|
126,725
|
|
Marsh & McLennan Cos., Inc.
|
|
|
|
2.90%, 12/15/51 (a)
|
39,000
|
23,987
|
|
Marvell Technology, Inc.
|
|
|
|
5.95%, 09/15/33 (a)
|
94,000
|
99,028
|
|
Masco Corp.
|
|
|
|
3.50%, 11/15/27 (a)
|
10,000
|
9,855
|
|
McCormick & Co., Inc.
|
|
|
|
1.85%, 02/15/31 (a)
|
25,000
|
21,748
|
|
McDonald's Corp.
|
|
|
|
3.60%, 07/01/30 (a)
|
51,000
|
49,537
|
|
3.63%, 09/01/49 (a)
|
24,000
|
17,278
|
|
Medtronic Global Holdings
SCA
|
|
|
|
4.50%, 03/30/33 (a)
|
189,000
|
186,675
|
|
Medtronic, Inc.
|
|
|
|
4.63%, 03/15/45 (a)
|
5,000
|
4,464
|
|
Memorial Sloan-Kettering
Cancer Center
|
|
|
|
4.13%, 07/01/52 (a)
|
68,000
|
54,393
|
|
Merck & Co., Inc.
|
|
|
|
1.90%, 12/10/28 (a)
|
99,000
|
93,694
|
|
2.45%, 06/24/50 (a)
|
54,000
|
31,248
|
|
2.75%, 12/10/51 (a)
|
38,000
|
23,114
|
|
2.90%, 12/10/61 (a)
|
18,000
|
10,284
|
|
4.00%, 03/07/49 (a)
|
14,000
|
10,951
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
16
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
5.00%, 05/17/53 (a)
|
$18,000
|
$16,218
|
|
Meritage Homes Corp.
|
|
|
|
3.88%, 04/15/29 (a)(g)
|
271,000
|
263,734
|
|
Meta Platforms, Inc.
|
|
|
|
3.85%, 08/15/32 (a)
|
157,000
|
149,753
|
|
4.20%, 11/15/30 (a)
|
53,000
|
52,454
|
|
4.45%, 08/15/52 (a)
|
90,000
|
70,724
|
|
4.60%, 11/15/32 (a)
|
57,000
|
56,408
|
|
MetLife, Inc.
|
|
|
|
4.72%, 12/15/44 (a)
|
22,000
|
19,147
|
|
Micron Technology, Inc.
|
|
|
|
3.37%, 11/01/41 (a)
|
55,000
|
42,678
|
|
3.48%, 11/01/51 (a)
|
76,000
|
53,540
|
|
5.30%, 01/15/31 (a)
|
176,000
|
184,144
|
|
5.65%, 11/01/32 (a)
|
230,000
|
242,107
|
|
5.80%, 01/15/35 (a)
|
880,000
|
936,962
|
|
Microsoft Corp.
|
|
|
|
2.40%, 08/08/26 (a)
|
30,000
|
29,827
|
|
2.68%, 06/01/60 (a)
|
15,000
|
8,369
|
|
2.92%, 03/17/52 (a)
|
120,000
|
77,068
|
|
3.45%, 08/08/36 (a)
|
11,000
|
9,916
|
|
3.50%, 02/12/35 (a)
|
28,000
|
26,079
|
|
Mid-America Apartments LP
|
|
|
|
2.88%, 09/15/51 (a)
|
61,000
|
37,655
|
|
Mizuho Financial Group, Inc.
|
|
|
|
2.84%, 09/13/26 (a)
|
417,000
|
414,335
|
|
Molson Coors Beverage Co.
|
|
|
|
4.20%, 07/15/46 (a)
|
13,000
|
10,142
|
|
Morgan Stanley
|
|
|
|
3.63%, 01/20/27 (a)
|
30,000
|
29,872
|
|
3.97%, 07/22/38 (a)(b)
|
27,000
|
23,560
|
|
4.35%, 09/08/26 (a)
|
85,000
|
84,987
|
|
4.38%, 01/22/47 (a)
|
30,000
|
24,615
|
|
Morgan Stanley (1.51% fixed
rate until 07/20/26; 0.86% +
SOFR thereafter)
|
|
|
|
1.51%, 07/20/27 (a)(b)
|
66,000
|
65,393
|
|
Morgan Stanley (2.80% fixed
rate until 01/25/51; 1.43% +
SOFR thereafter)
|
|
|
|
2.80%, 01/25/52 (a)(b)
|
136,000
|
82,791
|
|
Morgan Stanley (2.94% fixed
rate until 01/21/32; 1.29% +
SOFR thereafter)
|
|
|
|
2.94%, 01/21/33 (a)(b)
|
193,000
|
173,468
|
|
Morgan Stanley (5.47% fixed
rate until 01/18/34; 1.73% +
SOFR thereafter)
|
|
|
|
5.47%, 01/18/35 (a)(b)
|
70,000
|
71,079
|
|
|
Principal
Amount
|
Fair
Value
|
|
MPLX LP
|
|
|
|
2.65%, 08/15/30 (a)
|
$40,000
|
$36,854
|
|
5.20%, 12/01/47 (a)
|
14,000
|
12,293
|
|
MSCI, Inc.
|
|
|
|
5.25%, 09/01/35 (a)
|
81,000
|
79,352
|
|
Mylan, Inc.
|
|
|
|
5.20%, 04/15/48 (a)
|
19,000
|
15,047
|
|
Nasdaq, Inc.
|
|
|
|
5.95%, 08/15/53 (a)
|
26,000
|
25,988
|
|
6.10%, 06/28/63 (a)
|
36,000
|
36,028
|
|
NetApp, Inc.
|
|
|
|
5.50%, 03/17/32 (a)
|
180,000
|
183,969
|
|
Netflix, Inc.
|
|
|
|
4.90%, 08/15/34 (a)
|
68,000
|
68,523
|
|
5.40%, 08/15/54 (a)
|
41,000
|
39,668
|
|
Nevada Power Co.
|
|
|
|
6.00%, 03/15/54 (a)
|
46,000
|
46,129
|
|
NextEra Energy Capital
Holdings, Inc. (5.65% fixed
rate until 05/01/29; 3.16% +
3 mo. Term SOFR
thereafter)
|
|
|
|
5.65%, 05/01/79 (a)(b)
|
39,000
|
38,906
|
|
NGPL PipeCo LLC
|
|
|
|
3.25%, 07/15/31 (a)(g)
|
71,000
|
65,304
|
|
Niagara Mohawk Power Corp.
|
|
|
|
5.66%, 01/17/54 (a)(g)
|
69,000
|
64,880
|
|
NIKE, Inc.
|
|
|
|
3.38%, 03/27/50 (a)
|
19,000
|
13,225
|
|
NiSource, Inc. (5.75% fixed
rate until 04/15/31; 2.04% +
5 yr. CMT thereafter)
|
|
|
|
5.75%, 07/15/56 (a)(b)
|
284,000
|
279,226
|
|
Norfolk Southern Corp.
|
|
|
|
3.95%, 10/01/42 (a)
|
31,000
|
25,212
|
|
Northern Trust Corp.
|
|
|
|
6.13%, 11/02/32 (a)
|
84,000
|
89,758
|
|
Northwestern Mutual Life
Insurance Co.
|
|
|
|
3.45%, 03/30/51 (a)(g)
|
105,000
|
72,470
|
|
NOV, Inc.
|
|
|
|
3.60%, 12/01/29 (a)
|
51,000
|
49,294
|
|
Novant Health, Inc.
|
|
|
|
3.32%, 11/01/61 (a)
|
37,000
|
23,283
|
|
Novartis Capital Corp.
|
|
|
|
2.20%, 08/14/30 (a)
|
56,000
|
51,292
|
|
NRG Energy, Inc.
|
|
|
|
4.73%, 10/15/30 (a)(g)
|
158,000
|
156,128
|
|
5.41%, 10/15/35 (a)(g)
|
177,000
|
173,352
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
17
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Nutrien Ltd.
|
|
|
|
4.90%, 03/27/28 -
06/01/43 (a)
|
$210,000
|
$208,973
|
|
5.40%, 06/21/34 (a)
|
270,000
|
274,504
|
|
NVIDIA Corp.
|
|
|
|
2.85%, 04/01/30 (a)
|
19,000
|
18,030
|
|
3.50%, 04/01/50 (a)
|
26,000
|
19,152
|
|
Oklahoma Gas & Electric Co.
|
|
|
|
3.25%, 04/01/30 (a)
|
36,000
|
34,347
|
|
Oncor Electric Delivery Co.
LLC
|
|
|
|
3.80%, 09/30/47 (a)
|
14,000
|
10,544
|
|
ONEOK, Inc.
|
|
|
|
4.35%, 03/15/29 (a)
|
34,000
|
33,789
|
|
5.80%, 11/01/30 (a)
|
126,000
|
131,073
|
|
6.10%, 11/15/32 (a)
|
56,000
|
59,029
|
|
6.63%, 09/01/53 (a)
|
99,000
|
101,673
|
|
Oracle Corp.
|
|
|
|
2.30%, 03/25/28 (a)
|
27,000
|
25,731
|
|
2.65%, 07/15/26 (a)
|
43,000
|
42,821
|
|
2.95%, 04/01/30 (a)
|
59,000
|
53,825
|
|
3.60%, 04/01/50 (a)
|
39,000
|
23,528
|
|
3.95%, 03/25/51 (a)
|
43,000
|
27,261
|
|
4.00%, 07/15/46 -
11/15/47 (a)
|
59,000
|
39,208
|
|
4.10%, 03/25/61 (a)
|
51,000
|
31,474
|
|
4.55%, 02/04/29 (a)
|
313,000
|
308,978
|
|
5.35%, 05/04/33 (a)
|
63,000
|
61,297
|
|
5.55%, 02/06/53 (a)
|
38,000
|
30,311
|
|
5.70%, 02/04/36 (a)
|
207,000
|
199,014
|
|
6.15%, 11/09/29 (a)
|
59,000
|
60,838
|
|
6.90%, 11/09/52 (a)
|
40,000
|
37,798
|
|
Otis Worldwide Corp.
|
|
|
|
2.57%, 02/15/30 (a)
|
21,000
|
19,493
|
|
3.36%, 02/15/50 (a)
|
23,000
|
15,711
|
|
Owens Corning
|
|
|
|
3.88%, 06/01/30 (a)
|
153,000
|
148,107
|
|
4.40%, 01/30/48 (a)
|
16,000
|
12,857
|
|
5.70%, 06/15/34 (a)
|
118,000
|
122,093
|
|
5.95%, 06/15/54 (a)
|
32,000
|
31,702
|
|
Pacific Gas & Electric Co.
|
|
|
|
2.10%, 08/01/27 (a)
|
45,000
|
43,604
|
|
2.50%, 02/01/31 (a)
|
81,000
|
72,653
|
|
3.00%, 06/15/28 (a)
|
76,000
|
73,481
|
|
3.30%, 08/01/40 (a)
|
81,000
|
60,601
|
|
3.50%, 08/01/50 (a)
|
36,000
|
23,746
|
|
4.30%, 03/15/45 (a)
|
54,000
|
42,148
|
|
PacifiCorp
|
|
|
|
2.70%, 09/15/30 (a)
|
39,000
|
35,495
|
|
|
Principal
Amount
|
Fair
Value
|
|
2.90%, 06/15/52 (a)
|
$97,000
|
$55,137
|
|
5.80%, 01/15/55 (a)
|
69,000
|
63,049
|
|
6.25%, 10/15/37 (a)
|
61,000
|
63,013
|
|
Packaging Corp. of America
|
|
|
|
3.05%, 10/01/51 (a)
|
53,000
|
33,331
|
|
Paramount Global
|
|
|
|
2.90%, 01/15/27 (a)
|
11,000
|
10,813
|
|
3.70%, 06/01/28 (a)
|
17,000
|
16,450
|
|
Parker-Hannifin Corp.
|
|
|
|
3.25%, 06/14/29 (a)
|
31,000
|
30,048
|
|
4.50%, 09/15/29 (a)
|
55,000
|
55,301
|
|
Patterson-UTI Energy, Inc.
|
|
|
|
7.15%, 10/01/33 (a)
|
68,000
|
73,044
|
|
Paychex, Inc.
|
|
|
|
5.10%, 04/15/30 (a)
|
141,000
|
142,321
|
|
5.60%, 04/15/35 (a)
|
112,000
|
112,511
|
|
PayPal Holdings, Inc.
|
|
|
|
2.65%, 10/01/26 (a)
|
56,000
|
55,562
|
|
3.25%, 06/01/50 (a)
|
30,000
|
19,337
|
|
PepsiCo, Inc.
|
|
|
|
1.63%, 05/01/30 (a)
|
33,000
|
29,743
|
|
2.63%, 07/29/29 (a)
|
44,000
|
41,871
|
|
2.75%, 10/21/51 (a)
|
94,000
|
57,706
|
|
Pfizer Investment Enterprises
Pte. Ltd.
|
|
|
|
4.75%, 05/19/33 (a)
|
7,000
|
6,974
|
|
5.30%, 05/19/53 (a)
|
29,000
|
26,933
|
|
5.34%, 05/19/63 (a)
|
49,000
|
44,468
|
|
Pfizer, Inc.
|
|
|
|
2.70%, 05/28/50 (a)
|
76,000
|
46,585
|
|
3.90%, 03/15/39 (a)
|
24,000
|
20,874
|
|
4.13%, 12/15/46 (a)
|
16,000
|
12,882
|
|
4.40%, 05/15/44 (a)
|
10,000
|
8,675
|
|
Philip Morris International, Inc.
|
|
|
|
2.10%, 05/01/30 (a)
|
17,000
|
15,485
|
|
3.38%, 08/15/29 (a)
|
25,000
|
24,217
|
|
4.13%, 03/04/43 (a)
|
12,000
|
9,930
|
|
5.13%, 02/15/30 (a)
|
116,000
|
118,414
|
|
5.63%, 11/17/29 (a)
|
56,000
|
58,234
|
|
Phillips 66 Co.
|
|
|
|
2.15%, 12/15/30 (a)
|
190,000
|
170,314
|
|
3.15%, 12/15/29 (a)
|
97,000
|
92,472
|
|
3.30%, 03/15/52 (a)
|
65,000
|
41,988
|
|
3.75%, 03/01/28 (a)
|
13,000
|
12,863
|
|
4.68%, 02/15/45 (a)
|
25,000
|
21,040
|
|
Pilgrim's Pride Corp.
|
|
|
|
6.25%, 07/01/33 (a)
|
56,000
|
58,466
|
|
6.88%, 05/15/34 (a)
|
75,000
|
80,959
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
18
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Pioneer Natural Resources
Co.
|
|
|
|
2.15%, 01/15/31 (a)
|
$140,000
|
$126,207
|
|
PPL Capital Funding, Inc.
|
|
|
|
3.10%, 05/15/26 (a)
|
51,000
|
50,926
|
|
Precision Castparts Corp.
|
|
|
|
4.38%, 06/15/45 (a)
|
23,000
|
19,605
|
|
Progressive Corp.
|
|
|
|
3.00%, 03/15/32 (a)
|
72,000
|
65,737
|
|
3.70%, 03/15/52 (a)
|
14,000
|
10,165
|
|
Prologis LP
|
|
|
|
3.05%, 03/01/50 (a)
|
18,000
|
11,729
|
|
5.00%, 03/15/34 (a)
|
45,000
|
45,052
|
|
5.25%, 03/15/54 (a)
|
29,000
|
27,016
|
|
Prudential Financial, Inc.
|
|
|
|
3.94%, 12/07/49 (a)
|
40,000
|
29,790
|
|
Prudential Financial, Inc.
(5.70% fixed rate until
09/15/28; 2.67% + 3 mo.
Term SOFR thereafter)
|
|
|
|
5.70%, 09/15/48 (a)(b)
|
41,000
|
40,553
|
|
Public Service Co. of Colorado
|
|
|
|
3.70%, 06/15/28 (a)
|
46,000
|
45,427
|
|
Public Storage Operating Co.
|
|
|
|
5.35%, 08/01/53 (a)
|
39,000
|
36,718
|
|
QUALCOMM, Inc.
|
|
|
|
4.30%, 05/20/47 (a)
|
7,000
|
5,678
|
|
4.50%, 05/20/52 (a)
|
83,000
|
67,680
|
|
Quest Diagnostics, Inc.
|
|
|
|
2.95%, 06/30/30 (a)
|
14,000
|
13,117
|
|
Regeneron Pharmaceuticals,
Inc.
|
|
|
|
1.75%, 09/15/30 (a)
|
67,000
|
59,406
|
|
Regions Financial Corp.
|
|
|
|
1.80%, 08/12/28 (a)
|
165,000
|
154,927
|
|
Regions Financial Corp.
(5.72% fixed rate until
06/06/29; 1.49% + SOFR
thereafter)
|
|
|
|
5.72%, 06/06/30 (a)(b)
|
519,000
|
532,567
|
|
RenaissanceRe Holdings Ltd.
|
|
|
|
5.75%, 06/05/33 (a)
|
87,000
|
89,355
|
|
Reynolds American, Inc.
|
|
|
|
5.70%, 08/15/35 (a)
|
162,000
|
166,486
|
|
Rio Tinto Finance USA Ltd.
|
|
|
|
2.75%, 11/02/51 (a)
|
58,000
|
34,886
|
|
Rio Tinto Finance USA PLC
|
|
|
|
5.25%, 03/14/35 (a)
|
41,000
|
41,618
|
|
5.75%, 03/14/55 (a)
|
66,000
|
65,720
|
|
5.88%, 03/14/65 (a)
|
62,000
|
61,689
|
|
|
Principal
Amount
|
Fair
Value
|
|
ROBLOX Corp.
|
|
|
|
3.88%, 05/01/30 (a)(g)
|
$321,000
|
$301,387
|
|
Rockwell Automation, Inc.
|
|
|
|
2.80%, 08/15/61 (a)
|
18,000
|
10,050
|
|
4.20%, 03/01/49 (a)
|
27,000
|
21,915
|
|
Ross Stores, Inc.
|
|
|
|
4.70%, 04/15/27 (a)
|
13,000
|
13,012
|
|
Royal Caribbean Cruises Ltd.
|
|
|
|
5.38%, 01/15/36 (a)
|
92,000
|
90,419
|
|
5.63%, 09/30/31 (a)(g)
|
357,000
|
360,820
|
|
Royalty Pharma PLC
|
|
|
|
1.75%, 09/02/27 (a)
|
31,000
|
29,879
|
|
2.20%, 09/02/30 (a)
|
13,000
|
11,702
|
|
3.30%, 09/02/40 (a)
|
9,000
|
6,821
|
|
5.40%, 09/02/34 (a)
|
47,000
|
47,389
|
|
RTX Corp.
|
|
|
|
1.90%, 09/01/31 (a)
|
85,000
|
74,024
|
|
2.82%, 09/01/51 (a)
|
80,000
|
48,916
|
|
3.13%, 05/04/27 (a)
|
52,000
|
51,345
|
|
3.50%, 03/15/27 (a)
|
34,000
|
33,755
|
|
4.15%, 05/15/45 (a)
|
24,000
|
19,627
|
|
4.45%, 11/16/38 (a)
|
20,000
|
18,453
|
|
6.10%, 03/15/34 (a)
|
94,000
|
101,221
|
|
6.40%, 03/15/54 (a)
|
71,000
|
76,526
|
|
Ryder System, Inc.
|
|
|
|
2.90%, 12/01/26 (a)
|
94,000
|
92,993
|
|
Salesforce, Inc.
|
|
|
|
1.95%, 07/15/31 (a)
|
68,000
|
59,312
|
|
2.70%, 07/15/41 (a)
|
66,000
|
44,999
|
|
SBA Communications Corp.
|
|
|
|
3.88%, 02/15/27 (a)
|
647,000
|
640,504
|
|
Schlumberger Holdings Corp.
|
|
|
|
3.90%, 05/17/28 (a)(g)
|
41,000
|
40,673
|
|
5.00%, 06/01/34 (a)(g)
|
290,000
|
289,983
|
|
Sealed Air Corp.
|
|
|
|
1.57%, 10/15/26 (a)(g)
|
545,000
|
543,997
|
|
Selective Insurance Group,
Inc.
|
|
|
|
5.38%, 03/01/49 (a)
|
17,000
|
15,301
|
|
Sempra (4.13% fixed rate until
01/01/27; 2.87% + 5 yr.
CMT thereafter)
|
|
|
|
4.13%, 04/01/52 (a)(b)
|
115,000
|
111,680
|
|
Shell Finance U.S., Inc.
|
|
|
|
2.38%, 11/07/29 (a)
|
120,000
|
112,591
|
|
3.13%, 11/07/49 (a)(g)
|
87,000
|
57,641
|
|
3.25%, 04/06/50 (a)
|
34,000
|
23,120
|
|
3.75%, 09/12/46 (a)
|
13,000
|
9,935
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
19
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Simon Property Group LP
|
|
|
|
3.38%, 06/15/27 (a)
|
$23,000
|
$22,767
|
|
SK Hynix, Inc.
|
|
|
|
5.50%, 01/16/29 (a)(g)
|
391,000
|
401,346
|
|
Smith & Nephew PLC
|
|
|
|
5.40%, 03/20/34 (a)
|
48,000
|
48,691
|
|
Smurfit Kappa Treasury ULC
|
|
|
|
5.20%, 01/15/30 (a)
|
345,000
|
351,441
|
|
5.78%, 04/03/54 (a)
|
300,000
|
289,854
|
|
Sonoco Products Co.
|
|
|
|
4.60%, 09/01/29 (a)
|
176,000
|
175,564
|
|
5.00%, 09/01/34 (a)
|
153,000
|
149,758
|
|
South Bow USA Infrastructure
Holdings LLC
|
|
|
|
5.58%, 10/01/34 (a)
|
261,000
|
259,301
|
|
Southern California Edison
Co.
|
|
|
|
4.00%, 04/01/47 (a)
|
77,000
|
57,284
|
|
4.20%, 03/01/29 (a)
|
59,000
|
58,342
|
|
5.65%, 10/01/28 (a)
|
407,000
|
416,963
|
|
Southern Co.
|
|
|
|
3.25%, 07/01/26 (a)
|
19,000
|
18,956
|
|
3.70%, 04/30/30 (a)
|
114,000
|
110,418
|
|
Southwest Airlines Co.
|
|
|
|
2.63%, 02/10/30 (a)
|
51,000
|
46,732
|
|
Southwestern Electric Power
Co.
|
|
|
|
2.75%, 10/01/26 (a)
|
36,000
|
35,712
|
|
Spectra Energy Partners LP
|
|
|
|
3.38%, 10/15/26 (a)
|
8,000
|
7,956
|
|
4.50%, 03/15/45 (a)
|
7,000
|
5,863
|
|
Standard Chartered PLC
(2.68% fixed rate until
06/29/31; 1.20% + 1 yr.
CMT thereafter)
|
|
|
|
2.68%, 06/29/32 (a)(b)(g)
|
290,000
|
258,074
|
|
Starbucks Corp.
|
|
|
|
4.00%, 11/15/28 (a)
|
20,000
|
19,840
|
|
Stellantis Finance U.S., Inc.
|
|
|
|
6.45%, 03/18/35 (a)(g)
|
209,000
|
206,009
|
|
Store Capital LLC
|
|
|
|
4.95%, 02/11/31 (a)(g)
|
52,000
|
51,577
|
|
Stryker Corp.
|
|
|
|
1.95%, 06/15/30 (a)
|
79,000
|
71,371
|
|
Sumitomo Mitsui Financial
Group, Inc.
|
|
|
|
6.18%, 07/13/43 (a)
|
150,000
|
157,706
|
|
Sumitomo Mitsui Trust Bank
Ltd.
|
|
|
|
1.35%, 09/16/26 (a)(g)
|
365,000
|
360,062
|
|
|
Principal
Amount
|
Fair
Value
|
|
Suncor Energy, Inc.
|
|
|
|
4.00%, 11/15/47 (a)
|
$9,000
|
$6,787
|
|
Synopsys, Inc.
|
|
|
|
4.85%, 04/01/30 (a)
|
168,000
|
169,252
|
|
5.15%, 04/01/35 (a)
|
102,000
|
102,185
|
|
5.70%, 04/01/55 (a)
|
97,000
|
92,644
|
|
Sysco Corp.
|
|
|
|
5.95%, 04/01/30 (a)
|
7,000
|
7,265
|
|
6.60%, 04/01/50 (a)
|
9,000
|
9,292
|
|
Takeda Pharmaceutical Co.
Ltd.
|
|
|
|
3.18%, 07/09/50 (a)
|
300,000
|
196,863
|
|
Takeoff Merger Sub, Inc.
|
|
|
|
4.85%, 03/24/31 (a)(g)
|
102,000
|
100,779
|
|
Take-Two Interactive
Software, Inc.
|
|
|
|
3.70%, 04/14/27 (a)
|
188,000
|
186,186
|
|
4.00%, 04/14/32 (a)
|
41,000
|
39,102
|
|
Tampa Electric Co.
|
|
|
|
2.40%, 03/15/31 (a)
|
81,000
|
73,146
|
|
3.45%, 03/15/51 (a)
|
64,000
|
44,266
|
|
4.35%, 05/15/44 (a)
|
51,000
|
42,593
|
|
Tanger Properties LP
|
|
|
|
2.75%, 09/01/31 (a)
|
172,000
|
153,706
|
|
Tapestry, Inc.
|
|
|
|
3.05%, 03/15/32 (a)
|
75,000
|
67,959
|
|
4.13%, 07/15/27 (a)
|
7,000
|
6,967
|
|
5.10%, 03/11/30 (a)
|
272,000
|
275,014
|
|
5.50%, 03/11/35 (a)
|
167,000
|
167,519
|
|
Targa Resources Corp.
|
|
|
|
6.50%, 03/30/34 (a)
|
205,000
|
221,648
|
|
Targa Resources
Partners LP/Targa
Resources Partners
Finance Corp.
|
|
|
|
5.00%, 01/15/28 (a)
|
164,000
|
163,792
|
|
Target Corp.
|
|
|
|
1.95%, 01/15/27 (a)
|
26,000
|
25,583
|
|
Texas Instruments, Inc.
|
|
|
|
3.88%, 03/15/39 (a)
|
31,000
|
27,055
|
|
Thermo Fisher Scientific, Inc.
|
|
|
|
2.80%, 10/15/41 (a)
|
47,000
|
34,324
|
|
Time Warner Cable LLC
|
|
|
|
6.55%, 05/01/37 (a)
|
17,000
|
17,138
|
|
T-Mobile USA, Inc.
|
|
|
|
3.50%, 04/15/31 (a)
|
291,000
|
275,469
|
|
3.75%, 04/15/27 (a)
|
103,000
|
102,377
|
|
4.50%, 04/15/50 (a)
|
13,000
|
10,494
|
|
4.80%, 07/15/28 (a)
|
267,000
|
269,504
|
|
5.50%, 01/15/55 (a)
|
48,000
|
44,182
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
20
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Toronto-Dominion Bank
|
|
|
|
3.20%, 03/10/32 (a)
|
$165,000
|
$151,831
|
|
4.46%, 06/08/32 (a)
|
87,000
|
85,677
|
|
Toronto-Dominion Bank
(7.25% fixed rate until
07/31/29; 2.98% + 5 yr.
CMT thereafter)
|
|
|
|
7.25%, 07/31/84 (a)(b)
|
387,000
|
393,068
|
|
TotalEnergies Capital
International SA
|
|
|
|
2.83%, 01/10/30 (a)
|
339,000
|
321,511
|
|
Tractor Supply Co.
|
|
|
|
5.25%, 05/15/33 (a)
|
70,000
|
71,014
|
|
Trane Technologies Financing
Ltd.
|
|
|
|
3.80%, 03/21/29 (a)
|
47,000
|
46,409
|
|
TransCanada PipeLines Ltd.
|
|
|
|
4.25%, 05/15/28 (a)
|
48,000
|
47,787
|
|
Transcontinental Gas Pipe
Line Co. LLC
|
|
|
|
4.00%, 03/15/28 (a)
|
24,000
|
23,845
|
|
5.10%, 03/15/36 (a)(g)
|
309,000
|
306,621
|
|
Travelers Cos., Inc.
|
|
|
|
2.55%, 04/27/50 (a)
|
98,000
|
57,849
|
|
Truist Financial Corp. (6.67%
fixed rate until 09/01/26;
3.00% + 5 yr. CMT
thereafter)
|
|
|
|
6.67%, 09/01/26 (a)(b)
|
227,000
|
226,628
|
|
TWDC Enterprises 18 Corp.
|
|
|
|
4.13%, 06/01/44 (a)
|
13,000
|
10,670
|
|
Tyson Foods, Inc.
|
|
|
|
5.40%, 03/15/29 (a)
|
68,000
|
69,731
|
|
5.70%, 03/15/34 (a)
|
74,000
|
76,604
|
|
U.S. Bancorp (4.97% fixed
rate until 07/22/32; 2.11% +
SOFR thereafter)
|
|
|
|
4.97%, 07/22/33 (a)(b)
|
101,000
|
99,993
|
|
U.S. Bancorp (5.68% fixed
rate until 01/23/34; 1.86% +
SOFR thereafter)
|
|
|
|
5.68%, 01/23/35 (a)(b)
|
150,000
|
154,886
|
|
Uber Technologies, Inc.
|
|
|
|
4.15%, 01/15/31 (a)
|
153,000
|
149,605
|
|
4.80%, 09/15/35 (a)
|
135,000
|
131,109
|
|
UBS Group AG (9.25% fixed
rate until 11/13/33; 4.76% +
5 yr. CMT thereafter)
|
|
|
|
9.25%, 11/13/33 (a)(b)(g)
|
205,000
|
230,982
|
|
UDR, Inc.
|
|
|
|
2.10%, 08/01/32 (a)
|
43,000
|
36,379
|
|
|
Principal
Amount
|
Fair
Value
|
|
3.00%, 08/15/31 (a)
|
$28,000
|
$25,650
|
|
Union Pacific Corp.
|
|
|
|
3.55%, 05/20/61 (a)
|
46,000
|
30,339
|
|
3.60%, 09/15/37 (a)
|
9,000
|
7,875
|
|
3.80%, 04/06/71 (a)
|
21,000
|
14,141
|
|
4.10%, 09/15/67 (a)
|
14,000
|
10,141
|
|
United Parcel Service, Inc.
|
|
|
|
5.50%, 05/22/54 (a)
|
55,000
|
52,406
|
|
UnitedHealth Group, Inc.
|
|
|
|
2.00%, 05/15/30 (a)
|
54,000
|
48,916
|
|
4.20%, 05/15/32 (a)
|
57,000
|
55,547
|
|
4.45%, 12/15/48 (a)
|
42,000
|
34,264
|
|
4.75%, 07/15/45 -
05/15/52 (a)
|
99,000
|
84,412
|
|
5.05%, 04/15/53 (a)
|
49,000
|
43,103
|
|
5.20%, 04/15/63 (a)
|
80,000
|
69,693
|
|
6.05%, 02/15/63 (a)
|
24,000
|
23,972
|
|
Utah Acquisition Sub, Inc.
|
|
|
|
3.95%, 06/15/26 (a)
|
191,000
|
190,490
|
|
Vale Overseas Ltd.
|
|
|
|
6.13%, 06/12/33 (a)
|
163,000
|
169,404
|
|
6.40%, 06/28/54 (a)
|
99,000
|
99,809
|
|
Ventas Realty LP
|
|
|
|
3.25%, 10/15/26 (a)
|
28,000
|
27,844
|
|
5.63%, 07/01/34 (a)
|
65,000
|
66,620
|
|
Verisk Analytics, Inc.
|
|
|
|
5.25%, 06/05/34 (a)
|
145,000
|
144,281
|
|
Verizon Communications, Inc.
|
|
|
|
2.36%, 03/15/32 (a)
|
107,000
|
93,402
|
|
2.55%, 03/21/31 (a)
|
49,000
|
44,486
|
|
3.40%, 03/22/41 (a)
|
54,000
|
41,524
|
|
3.55%, 03/22/51 (a)
|
41,000
|
28,600
|
|
3.70%, 03/22/61 (a)
|
24,000
|
15,970
|
|
4.40%, 11/01/34 (a)
|
137,000
|
130,362
|
|
4.86%, 08/21/46 (a)
|
80,000
|
69,727
|
|
5.40%, 07/02/37 (a)
|
135,000
|
134,491
|
|
Viatris, Inc.
|
|
|
|
4.00%, 06/22/50 (a)
|
38,000
|
24,881
|
|
Virginia Electric & Power Co.
|
|
|
|
4.00%, 11/15/46 (a)
|
43,000
|
32,963
|
|
Vistra Operations Co. LLC
|
|
|
|
6.00%, 04/15/34 (a)(g)
|
72,000
|
74,225
|
|
Vontier Corp.
|
|
|
|
2.40%, 04/01/28 (a)
|
54,000
|
51,757
|
|
2.95%, 04/01/31 (a)
|
70,000
|
63,611
|
|
Vornado Realty LP
|
|
|
|
2.15%, 06/01/26
|
1,107,000
|
1,101,764
|
|
Vulcan Materials Co.
|
|
|
|
3.90%, 04/01/27 (a)
|
11,000
|
10,962
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
21
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Walmart, Inc.
|
|
|
|
1.80%, 09/22/31 (a)
|
$44,000
|
$39,014
|
|
2.50%, 09/22/41 (a)
|
51,000
|
36,511
|
|
2.65%, 09/22/51 (a)
|
24,000
|
14,779
|
|
Walt Disney Co.
|
|
|
|
2.65%, 01/13/31 (a)
|
58,000
|
53,827
|
|
3.38%, 11/15/26 (a)
|
10,000
|
9,956
|
|
3.60%, 01/13/51 (a)
|
38,000
|
27,496
|
|
4.75%, 11/15/46 (a)
|
6,000
|
5,295
|
|
6.65%, 11/15/37 (a)
|
38,000
|
42,758
|
|
Wells Fargo & Co.
|
|
|
|
4.15%, 01/24/29
|
73,000
|
72,580
|
|
4.75%, 12/07/46
|
82,000
|
68,756
|
|
Wells Fargo & Co. (2.39%
fixed rate until 06/02/27;
2.10% + SOFR thereafter)
|
|
|
|
2.39%, 06/02/28 (b)
|
165,000
|
161,052
|
|
Wells Fargo & Co. (3.07%
fixed rate until 04/30/40;
2.53% + SOFR thereafter)
|
|
|
|
3.07%, 04/30/41 (b)
|
82,000
|
61,569
|
|
Wells Fargo & Co. (3.20%
fixed rate until 06/17/26;
1.43% + 3 mo. Term SOFR
thereafter)
|
|
|
|
3.20%, 06/17/27 (b)
|
193,000
|
192,446
|
|
Wells Fargo & Co. (3.35%
fixed rate until 03/02/32;
1.50% + SOFR thereafter)
|
|
|
|
3.35%, 03/02/33 (b)
|
97,000
|
88,994
|
|
Wells Fargo & Co. (5.24%
fixed rate until 01/24/30;
1.11% + SOFR thereafter)
|
|
|
|
5.24%, 01/24/31 (b)
|
133,000
|
135,546
|
|
Wells Fargo & Co. (5.50%
fixed rate until 01/23/34;
1.78% + SOFR thereafter)
|
|
|
|
5.50%, 01/23/35 (b)
|
97,000
|
98,699
|
|
Wells Fargo & Co. (6.49%
fixed rate until 10/23/33;
2.06% + SOFR thereafter)
|
|
|
|
6.49%, 10/23/34 (b)
|
117,000
|
126,524
|
|
Westpac Banking Corp.
(4.11% fixed rate until
07/24/29; 2.00% + 5 yr.
CMT thereafter)
|
|
|
|
4.11%, 07/24/34 (a)(b)
|
43,000
|
41,922
|
|
Williams Cos., Inc.
|
|
|
|
3.75%, 06/15/27 (a)
|
10,000
|
9,925
|
|
4.85%, 03/01/48 (a)
|
21,000
|
17,959
|
|
4.90%, 01/15/45 (a)
|
49,000
|
42,931
|
|
|
Principal
Amount
|
Fair
Value
|
|
5.30%, 08/15/52 (a)
|
$36,000
|
$32,427
|
|
5.40%, 03/04/44 (a)
|
7,000
|
6,518
|
|
Willis North America, Inc.
|
|
|
|
3.88%, 09/15/49 (a)
|
40,000
|
28,922
|
|
Workday, Inc.
|
|
|
|
3.50%, 04/01/27 (a)
|
69,000
|
68,385
|
|
3.70%, 04/01/29 (a)
|
138,000
|
134,493
|
|
Zoetis, Inc.
|
|
|
|
3.90%, 08/20/28 (a)
|
25,000
|
24,768
|
|
5.60%, 11/16/32 (a)
|
128,000
|
134,001
|
|
|
|
70,180,926
|
|
Non-Agency Collateralized Mortgage Obligations -
11.1%
|
||
|
A&D Mortgage Trust
|
|
|
|
5.23%, 10/25/70 (a)(f)(g)
|
1,181,981
|
1,179,385
|
|
Angel Oak Mortgage Trust
|
|
|
|
4.96%, 09/25/70 (a)(b)(g)
|
1,196,928
|
1,190,164
|
|
Bank
|
|
|
|
3.18%, 09/15/60 (a)
|
4,843,325
|
4,762,866
|
|
4.41%, 11/15/61 (a)(b)
|
2,058,150
|
2,052,424
|
|
Cantor Commercial Real
Estate Lending
|
|
|
|
3.01%, 01/15/53 (a)
|
968,173
|
911,404
|
|
CD Mortgage Trust
|
|
|
|
2.91%, 08/15/57 (a)
|
1,762,788
|
1,659,609
|
|
Citigroup Commercial
Mortgage Trust
|
|
|
|
4.03%, 12/10/49 (a)(b)
|
708,419
|
680,375
|
|
COMM Mortgage Trust
|
|
|
|
3.92%, 10/15/45 (a)(g)
|
364,687
|
350,654
|
|
Cross Mortgage Trust
|
|
|
|
4.93%, 09/25/70 (a)(b)(g)
|
1,731,181
|
1,719,415
|
|
GS Mortgage Securities Trust
|
|
|
|
2.75%, 09/10/52 (a)
|
3,155,831
|
2,979,986
|
|
3.05%, 11/10/52 (a)
|
1,539,882
|
1,460,047
|
|
4.14%, 03/10/51 (a)(b)
|
628,037
|
602,100
|
|
4.29%, 11/10/48 (a)(b)
|
787,152
|
690,180
|
|
JPMBB Commercial Mortgage
Securities Trust
|
|
|
|
4.49%, 11/15/48 (a)(b)
|
523,324
|
110,567
|
|
MASTR Alternative Loan Trust
|
|
|
|
5.00%, 08/25/18 (a)(c)(h)
|
9,233
|
22
|
|
OBX Trust
|
|
|
|
4.87%, 10/25/65 (a)(b)(g)
|
2,556,946
|
2,538,282
|
|
5.02%, 10/25/65 (a)(b)(g)
|
1,699,741
|
1,692,483
|
|
5.06%, 09/25/65 (a)(b)(g)
|
666,067
|
664,007
|
|
PRKCM Trust
|
|
|
|
5.10%, 10/25/60 (a)(b)(g)
|
1,254,053
|
1,248,333
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
22
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
|
Principal
Amount
|
Fair
Value
|
|
Verus Securitization Trust
|
|
|
|
4.87%, 09/25/70 (a)(b)(g)
|
$686,085
|
$682,019
|
|
4.91%, 11/25/70 (a)(b)(g)
|
2,577,086
|
2,560,820
|
|
4.94%, 10/27/70 (a)(b)(g)
|
1,242,416
|
1,235,121
|
|
|
|
30,970,263
|
|
Municipal Bonds and Notes - 0.2%
|
||
|
State of California, CA
|
|
|
|
4.60%, 04/01/38 (a)(i)
|
445,000
|
450,183
|
|
Total Bonds and Notes
(Cost $282,929,606)
|
|
270,788,508
|
|
Total Investments in
Securities
(Cost $282,929,606)
|
|
270,788,508
|
|
|
Number
of Shares
|
Fair
Value
|
|
Short-Term Investment - 41.2%
|
||
|
State Street Institutional
U.S. Government Money
Market Fund - Class G
Shares 3.64% (j)(k)
(Cost $114,547,990)
|
114,547,990
|
$114,547,990
|
|
Total Investments
(Cost $397,477,596)
|
|
385,336,498
|
|
Liabilities in Excess of
Other Assets, net -
(38.5)%
|
|
(107,138,616)
|
|
NET ASSETS - 100.0%
|
|
$278,197,882
|
Other Information:
|
Centrally Cleared Credit Default Swaps:
|
|
Reference Entity
|
Counterparty
|
Notional
Amount
(000s
omitted)
|
Contract
Annual
Fixed Rate/
Payment
Frequency
|
Termination
Date
|
Market
Value
|
Unamortized
Upfront
Payments
Received (Paid)
|
Unrealized
Appreciation
(Depreciation)
|
|
Buy Protection
|
|
|
|
||||
|
Markit CDX North
America High Yield
Index
|
Intercontinental Exchange
|
$51,534
|
1.00%/
Quarterly
|
06/20/30
|
$(922,746
)
|
$(893,811
)
|
$(28,935
)
|
|
The Fund had the following long futures contracts open at March 31, 2026:
|
|
Description
|
Expiration
Date
|
Number of
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Ultra Long-Term U.S. Treasury Bond Futures
|
June 2026
|
64
|
$7,360,328
|
$7,460,000
|
$99,672
|
|
U.S. Long Bond Futures
|
June 2026
|
4
|
470,625
|
455,500
|
(15,125
)
|
|
5 Yr. U.S. Treasury Notes Futures
|
June 2026
|
173
|
18,996,424
|
18,635,573
|
(360,851
)
|
|
10 Yr. U.S. Treasury Ultra Futures
|
June 2026
|
75
|
8,694,141
|
8,513,672
|
(180,469
)
|
|
10 Yr. U.S. Treasury Notes Futures
|
June 2026
|
60
|
6,769,047
|
6,662,813
|
(106,234
)
|
|
|
|
$(563,007
)
|
|
The Fund had the following short futures contracts open at March 31, 2026:
|
|
Description
|
Expiration
Date
|
Number of
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
2 Yr. U.S. Treasury Notes Futures
|
June 2026
|
111
|
(23,197,266
)
|
(23,026,430
)
|
$170,836
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
23
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
|
During the year ended March 31, 2026, the average notional values related to derivative contracts were as follows:
|
|||
|
|
Long
Futures
Contracts
|
Short
Futures
Contracts
|
Credit
Default
Swap
Contracts
|
|
Average Notional Value
|
$150,973,209
|
$50,429,643
|
$98,779,167
|
|
(a)
|
At March 31, 2026, all or a portion of this security was pledged to cover collateral requirements for futures
contracts, swaps and/or TBAs.
|
|
(b)
|
Variable Rate Security - Interest rate shown is rate in effect at March 31, 2026. For securities based on a published
reference rate and spread, the reference rate and spread are indicated in the description above.
|
|
(c)
|
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.
|
|
(d)
|
Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future.
|
|
(e)
|
Principal only security. These securities represent the right to receive the monthly principal payments on an
underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder.
|
|
(f)
|
Step coupon bond.
|
|
(g)
|
Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At March 31, 2026, these securities amounted to
$28,759,216 or 10.34% of the net assets of the State Street Income Fund.
|
|
(h)
|
Security is in default.
|
|
(i)
|
Pre-refunded bonds are collateralized by U.S. Treasury securities, which are held in escrow by a trustee and are
used to pay principal and interest on the tax-exempt issue to retire the bonds at the earliest refunding date.
|
|
(j)
|
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.
|
|
(k)
|
Coupon amount represents effective yield.
|
|
†
|
Percentages are based on net assets as of March 31, 2026.
|
|
Abbreviations:
|
|
CMT - Constant Maturity Treasury
|
|
REMICS - Real Estate Mortgage Investment Conduits
|
|
RFUCCT - Refinitiv USD IBOR Consumer Cash Fallbacks Term
|
|
SOFR - Secured Overnight Financing Rate
|
|
STRIPS - Separate Trading of Registered Interest and Principal of Security
|
|
TBA - To Be Announced
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
24
|
|
State Street Income Fund
Schedule of Investments, continued - March 31, 2026 (Unaudited)
The following table presents the Fund's investments measured at fair value on a recurring basis at March 31, 2026:
|
Investments
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
||||
|
U.S. Treasuries
|
$-
|
$95,495,479
|
$-
|
$95,495,479
|
|
Agency Mortgage Backed
|
-
|
67,151,649
|
-
|
67,151,649
|
|
Agency Collateralized Mortgage Obligations
|
-
|
2,174,651
|
-
|
2,174,651
|
|
Asset Backed
|
-
|
4,365,357
|
-
|
4,365,357
|
|
Corporate Notes
|
-
|
70,180,926
|
-
|
70,180,926
|
|
Non-Agency Collateralized Mortgage Obligations
|
-
|
30,970,263
|
-
|
30,970,263
|
|
Municipal Bonds and Notes
|
-
|
450,183
|
-
|
450,183
|
|
Short-Term Investment
|
114,547,990
|
-
|
-
|
114,547,990
|
|
Total Investments in Securities
|
$114,547,990
|
$270,788,508
|
$-
|
$385,336,498
|
|
Other Financial Instruments
|
||||
|
Credit Default Swap Contracts - Unrealized Depreciation
|
$-
|
$(28,935
)
|
$-
|
$(28,935
)
|
|
Long Futures Contracts - Unrealized Appreciation
|
99,672
|
-
|
-
|
99,672
|
|
Long Futures Contracts - Unrealized Depreciation
|
(662,679
)
|
-
|
-
|
(662,679
)
|
|
Short Futures Contracts - Unrealized Appreciation
|
170,836
|
-
|
-
|
170,836
|
|
Total Other Financial Instruments
|
$(392,171
)
|
$(28,935
)
|
$-
|
$(421,106
)
|
|
Affiliate Table
|
|
|
Number
of Shares
Held at
9/30/25
|
Value at
9/30/25
|
Cost of
Purchases
|
Proceeds
from
Shares
Sold
|
Realized
Gain
(Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Number of
Shares
Held at
3/31/26
|
Value at
3/31/26
|
Dividend
Income
|
|
State Street Institutional
U.S. Government
Money Market Fund -
Class G Shares
|
158,750,807
|
$158,750,807
|
$95,204,752
|
$139,407,569
|
$-
|
$-
|
114,547,990
|
$114,547,990
|
$2,546,943
|
See Notes to Schedules of Investments and Notes to Financial Statements.
|
|
25
|
State Street U.S. Core Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
|
|
Six Months
Ended
3/31/26
|
Year Ended
9/30/25
|
Year Ended
9/30/24
|
Year Ended
9/30/23
|
Year Ended
9/30/22
|
Period Ended
9/30/21(a)(b)(c)
|
Year Ended
12/31/20(a)(b)
|
|
Net asset value,
beginning of
period
|
$81.89
|
$84.61
|
$63.05
|
$56.53
|
$76.83
|
$66.39
|
$57.30
|
|
Income/(loss) from
investment
operations:
|
|||||||
|
Net investment
income
|
0.35
(d)
|
0.78
(d)
|
0.82
(d)
|
0.75
(d)
|
0.77
(d)
|
0.54
(d)
|
0.77
(d)
|
|
Net realized and
unrealized
gains/(losses) on
investments
|
(2.74
)
|
10.62
|
23.36
|
11.20
|
(11.27
)
|
9.90
|
12.86
|
|
Total income/(loss) from
investment operations
|
(2.39
)
|
11.40
|
24.18
|
11.95
|
(10.50
)
|
10.44
|
13.63
|
|
Less distributions
from:
|
|||||||
|
Net investment
income
|
(0.83
)
|
(1.00
)
|
(0.85
)
|
(0.81
)
|
(0.77
)
|
-
|
(0.81
)
|
|
Net realized gains
|
(8.19
)
|
(13.12
)
|
(1.77
)
|
(4.62
)
|
(9.03
)
|
-
|
(3.73
)
|
|
Total distributions
|
(9.02
)
|
(14.12
)
|
(2.62
)
|
(5.43
)
|
(9.80
)
|
-
|
(4.54
)
|
|
Net asset value, end of
period
|
$70.48
|
$81.89
|
$84.61
|
$63.05
|
$56.53
|
$76.83
|
$66.39
|
|
Total Return(e)
|
(3.25
)%(f)
|
15.51
%
|
39.34
%
|
22.53
%
|
(16.76
)%
|
15.73
%(f)
|
23.82
%
|
|
Ratios/
Supplemental
Data:
|
|||||||
|
Net assets, end of
period (in
thousands)
|
$3,745,676
|
$4,858,724
|
$5,761,823
|
$5,869,302
|
$5,198,625
|
$6,795,684
|
$6,229,783
|
|
Ratios to average
net assets:
|
|||||||
|
Gross expenses
|
0.14
%(g)
|
0.13
%
|
0.14
%
|
0.14
%
|
0.16
%
|
0.15
%(g)
|
0.14
%
|
|
Net investment
income
|
0.90
%(g)
|
1.02
%
|
1.11
%
|
1.23
%
|
1.11
%
|
0.99
%(g)
|
1.29
%
|
|
Portfolio turnover
rate
|
21
%(f)
|
40
%
|
50
%
|
38
%
|
30
%
|
27
%(f)
|
37
%
|
|
Notes to Financial Highlights
|
|
|
(a)
|
Beginning with the year ended September 30, 2022, the Fund was audited by Ernst & Young LLP. The previous periods were audited by
another independent registered public accounting firm.
|
|
(b)
|
Financial information from January 1, 2020 until May 24, 2021 is for the GE RSP U.S. Equity Fund, which was reorganized into the State Street
U.S. Core Equity Fund effective May 24, 2021.
|
|
(c)
|
Effective April 13, 2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30.
|
|
(d)
|
Per share values have been calculated using the average shares method.
|
|
(e)
|
Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance
does not guarantee future results.
|
|
(f)
|
Not annualized.
|
|
(g)
|
Annualized for periods less than one year.
|
The accompanying Notes are an integral part of these financial statements.
|
26
|
Financial Highlights
|
State Street Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
|
|
Six Months
Ended
3/31/26
|
Year Ended
9/30/25
|
Year Ended
9/30/24
|
Year Ended
9/30/23
|
Year Ended
9/30/22
|
Period Ended
9/30/21(a)(b)(c)
|
Year Ended
12/31/20(a)(b)
|
|
Net asset value,
beginning of
period
|
$9.96
|
$10.14
|
$9.39
|
$9.69
|
$12.08
|
$12.42
|
$11.85
|
|
Income/(loss) from
investment
operations:
|
|||||||
|
Net investment
income
|
0.19
(d)
|
0.38
(d)
|
0.39
(d)
|
0.33
(d)
|
0.23
(d)
|
0.17
(d)
|
0.26
(d)
|
|
Net realized and
unrealized
gains/(losses) on
investments
|
(0.11
)
|
(0.16
)
|
0.76
|
(0.26
)
|
(2.02
)
|
(0.29
)
|
0.69
|
|
Total income/(loss) from
investment operations
|
0.08
|
0.22
|
1.15
|
0.07
|
(1.79
)
|
(0.12
)
|
0.95
|
|
Less distributions
from:
|
|||||||
|
Net investment
income
|
(0.19
)
|
(0.40
)
|
(0.40
)
|
(0.37
)
|
(0.27
)
|
(0.22
)
|
(0.34
)
|
|
Net realized gains
|
-
|
-
|
-
|
-
|
(0.33
)
|
-
|
(0.04
)
|
|
Total distributions
|
(0.19
)
|
(0.40
)
|
(0.40
)
|
(0.37
)
|
(0.60
)
|
(0.22
)
|
(0.38
)
|
|
Net asset value, end of
period
|
$9.85
|
$9.96
|
$10.14
|
$9.39
|
$9.69
|
$12.08
|
$12.42
|
|
Total Return(e)
|
0.91
%(f)
|
2.31
%
|
12.55
%
|
0.57
%
|
(15.48
)%
|
(0.93
)%(f)
|
8.20
%
|
|
Ratios/
Supplemental
Data:
|
|||||||
|
Net assets, end of
period (in
thousands)
|
$278,198
|
$687,149
|
$980,079
|
$1,312,814
|
$1,432,739
|
$1,908,411
|
$2,084,815
|
|
Ratios to average
net assets:
|
|||||||
|
Net expenses
|
0.22
%(g)
|
0.20
%
|
0.19
%
|
0.19
%
|
0.20
%
|
0.19
%(g)
|
0.17
%
|
|
Gross expenses
|
0.22
%(g)
|
0.20
%
|
0.19
%
|
0.19
%
|
0.20
%
|
0.19
%(g)
|
0.17
%
|
|
Net investment
income
|
3.83
%(g)
|
3.92
%
|
4.02
%
|
3.34
%
|
2.07
%
|
1.85
%(g)
|
2.16
%
|
|
Portfolio turnover
rate
|
24
%(f)(h)
|
28
%(h)
|
52
%(h)
|
32
%(h)
|
48
%(h)
|
59
%(f)(h)
|
110
%(h)
|
|
Notes to Financial Highlights
|
|
|
(a)
|
Beginning with the year ended September 30, 2022, the Fund was audited by Ernst & Young LLP. The previous periods were audited by
another independent registered public accounting firm.
|
|
(b)
|
Financial information from January 1, 2020 until May 24, 2021 is for the GE RSP Income Fund, which was reorganized into the State Street
Income Fund effective May 24, 2021.
|
|
(c)
|
Effective April 13, 2021, the Board of Trustees approved a change in fiscal year end for the Fund from December 31 to September 30.
|
|
(d)
|
Per share values have been calculated using the average shares method.
|
|
(e)
|
Total returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions. Past performance
does not guarantee future results.
|
|
(f)
|
Not annualized.
|
|
(g)
|
Annualized for periods less than one year.
|
|
(h)
|
The portfolio turnover calculated for the periods ended March 31, 2025, September 30, 2025, September 30, 2024, September 30, 2023,
September 30, 2022 , September 30, 2021, and December 31, 2020 did not include To-Be-Announced transactions and, if it had, the portfolio
turnover would have been 164%, 247%, 257%, 262%, 163%, 134%, and 304%, respectively.
|
The accompanying Notes are an integral part of these financial statements.
|
Financial Highlights
|
27
|
State Street Institutional Investment Trust
Statements of Assets and Liabilities - March 31, 2026 (Unaudited)
|
|
State Street
U.S. Core
Equity Fund
|
State Street
Income Fund
|
|
Assets
|
||
|
Investments in unaffiliated securities, at fair value (cost $2,255,457,876 and $282,929,606,
respectively)
|
$3,702,686,405
|
$270,788,508
|
|
Investments in affiliated securities, at fair value (cost $36,659,471 and $114,547,990, respectively)
|
36,659,471
|
114,547,990
|
|
Cash
|
66
|
-
|
|
Net cash collateral on deposit with broker for future contracts
|
3,906,372
|
1,918,392
|
|
Net cash collateral on deposit with broker for swap contracts and TBAs
|
-
|
2,030,409
|
|
Receivable for investments sold
|
38,512,407
|
409,243,923
|
|
Income receivables
|
1,385,173
|
2,227,754
|
|
Income receivable from affiliated investments
|
168,743
|
349,050
|
|
Total assets
|
3,783,318,637
|
801,106,026
|
|
Liabilities
|
||
|
Distribution payable to shareholders
|
-
|
1,410,344
|
|
Due to custodian
|
-
|
548,799
|
|
Payable for investments purchased
|
35,341,008
|
131,118,651
|
|
Payable for fund shares redeemed
|
681,588
|
386,839,504
|
|
Payable for accumulated variation margin on swap contracts
|
-
|
2,239,464
|
|
Payable for accumulated variation margin on futures contracts
|
613,654
|
312,658
|
|
Payable to the Adviser
|
392,321
|
73,910
|
|
Payable for custody, fund accounting and sub-administration fees
|
233,012
|
83,959
|
|
Accrued other expenses
|
380,558
|
280,855
|
|
Total liabilities
|
37,642,141
|
522,908,144
|
|
|
||
|
Net Assets
|
$3,745,676,496
|
$278,197,882
|
|
Net Assets Consist of:
|
||
|
Capital paid in
|
$1,802,973,812
|
$504,724,389
|
|
Total distributable earnings (loss)
|
1,942,702,684
|
(226,526,507
)
|
|
Net Assets
|
$3,745,676,496
|
$278,197,882
|
|
Shares outstanding ($25.00 and $10.00 par value, respectively; unlimited shares authorized)
|
53,145,087
|
28,244,603
|
|
Net asset value per share
|
$70.48
|
$9.85
|
The accompanying Notes are an integral part of these financial statements.
|
28
|
Statements of Assets and Liabilities
|
State Street Institutional Investment Trust
Statements of Operations - For the period ended March 31, 2026 (Unaudited)
|
|
State Street
U.S. Core
Equity Fund
|
State Street
Income Fund
|
|
Investment Income
|
||
|
Income
|
||
|
Dividend
|
$20,008,150
|
$-
|
|
Interest
|
94,143
|
11,161,546
|
|
Income from affiliated investments
|
2,294,986
|
2,546,943
|
|
Total income
|
22,397,279
|
13,708,489
|
|
Expenses
|
||
|
Advisory and administration fees
|
2,579,289
|
440,109
|
|
Transfer agent fees
|
203,357
|
154,662
|
|
Trustees' fees
|
18,573
|
12,467
|
|
Custody, fund accounting and sub-administration fees
|
189,000
|
76,227
|
|
Professional fees
|
22,497
|
17,276
|
|
Other expenses
|
88,210
|
41,248
|
|
Total expenses
|
3,100,926
|
741,989
|
|
Net investment income (loss)
|
$19,296,353
|
$12,966,500
|
|
Net Realized and Unrealized Gain (Loss) on Investments
|
||
|
Realized gain (loss) on:
|
||
|
Unaffiliated investments
|
$563,033,841
(a)
|
$(17,789,796
)(a)
|
|
Futures
|
(380,360
)
|
(842,129
)
|
|
Swap contracts
|
-
|
(484,308
)
|
|
Increase (decrease) in unrealized appreciation/depreciation on:
|
||
|
Unaffiliated investments
|
(677,171,895
)
|
12,272,558
|
|
Futures
|
(2,236,795
)
|
(536,787
)
|
|
Swap contracts
|
-
|
458,776
|
|
Net realized and unrealized gain (loss) on investments
|
(116,755,209
)
|
(6,921,686
)
|
|
Net Increase (Decrease) in Net Assets Resulting from Operations
|
$(97,458,856
)
|
$6,044,814
|
|
(a)
|
Includes $349,102,522 of net realized gains and ($17,331,546) of net realized losses from redemptions in-kind for the State Street U.S. Core
Equity Fund and State Street Income Fund, respectively. (See Note 8)
|
The accompanying Notes are an integral part of these financial statements.
|
Statements of Operations
|
29
|
State Street Institutional Investment Trust
Statements of Changes in Net Assets
|
|
State Street U.S. Core Equity Fund
|
|
|
|
Six Months
Ended
March 31,
2026
|
Year Ended
September 30,
2025
|
|
Increase (Decrease) in Net Assets
|
||
|
Operations:
|
||
|
Net investment income (loss)
|
$19,296,353
|
$52,805,367
|
|
Net realized gain (loss) on investments and futures
|
562,653,481
(a)
|
692,671,283
(b)
|
|
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures
|
(679,408,690
)
|
(125,701,785
)
|
|
Net increase (decrease) from operations
|
(97,458,856
)
|
619,774,865
|
|
Distributions to shareholders:
|
||
|
Total distributions
|
(527,293,319
)
|
(943,156,805
)
|
|
Increase (decrease) in assets from operations and distributions
|
(624,752,175
)
|
(323,381,940
)
|
|
Share transactions:
|
||
|
Proceeds from sale of shares
|
6,994,201
|
36,083,901
|
|
Value of distributions reinvested
|
479,539,242
|
877,540,926
|
|
Cost of shares redeemed
|
(974,829,082
)
|
(1,493,341,419
)
|
|
Net increase (decrease) from share transactions
|
(488,295,639
)
|
(579,716,592
)
|
|
Total increase (decrease) in net assets
|
(1,113,047,814
)
|
(903,098,532
)
|
|
Net Assets
|
||
|
Beginning of period
|
4,858,724,310
|
5,761,822,842
|
|
End of period
|
$3,745,676,496
|
$4,858,724,310
|
|
Changes in Fund Shares
|
||
|
Shares sold
|
92,359
|
489,209
|
|
Issued for distributions reinvested
|
6,597,953
|
12,022,756
|
|
Shares redeemed
|
(12,879,498
)
|
(21,276,356
)
|
|
Net increase (decrease) in fund shares
|
(6,189,186
)
|
(8,764,391
)
|
|
(a)
|
Includes $349,102,522 of net realized gains from redemptions in-kind.
|
|
(b)
|
Includes $243,942,349 of net realized gains from redemptions in-kind. (See Note 8)
|
The accompanying Notes are an integral part of these financial statements.
|
30
|
Statements of Changes in Net Assets
|
State Street Institutional Investment Trust
Statements of Changes in Net Assets
|
|
State Street Income Fund
|
|
|
|
Six Months
Ended
March 31,
2026
|
Year Ended
September 30,
2025
|
|
Increase (Decrease) in Net Assets
|
||
|
Operations:
|
||
|
Net investment income (loss)
|
$12,966,500
|
$32,386,164
|
|
Net realized gain (loss) on investments, futures and swap contracts
|
(19,116,233
)(a)
|
(32,535,182
)(b)
|
|
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and
swap contracts
|
12,194,547
|
12,264,614
|
|
Net increase (decrease) from operations
|
6,044,814
|
12,115,596
|
|
Distributions to shareholders:
|
||
|
Total distributions
|
(12,997,135
)
|
(33,714,503
)
|
|
Increase (decrease) in assets from operations and distributions
|
(6,952,321
)
|
(21,598,907
)
|
|
Share transactions:
|
||
|
Proceeds from sale of shares
|
11,395,183
|
30,804,059
|
|
Value of distributions reinvested
|
11,049,738
|
32,241,886
|
|
Cost of shares redeemed
|
(424,443,983
)
|
(334,376,364
)
|
|
Net increase (decrease) from share transactions
|
(401,999,062
)
|
(271,330,419
)
|
|
Total increase (decrease) in net assets
|
(408,951,383
)
|
(292,929,326
)
|
|
Net Assets
|
||
|
Beginning of period
|
687,149,265
|
980,078,591
|
|
End of period
|
$278,197,882
|
$687,149,265
|
|
Changes in Fund Shares
|
||
|
Shares sold
|
1,144,080
|
3,151,286
|
|
Issued for distributions reinvested
|
1,106,041
|
3,286,949
|
|
Shares redeemed
|
(43,001,229
)
|
(34,134,041
)
|
|
Net increase (decrease) in fund shares
|
(40,751,108
)
|
(27,695,806
)
|
|
(a)
|
Includes ($17,331,546) of net realized losses from redemptions in-kind.
|
|
(b)
|
Includes ($10,682,553) of net realized losses from redemptions in-kind. (See Note 8)
|
The accompanying Notes are an integral part of these financial statements.
|
Statements of Changes in Net Assets
|
31
|
State Street Institutional Investment Trust
Notes to Financial Statements - March 31, 2026 (Unaudited)
1.Organization of the Funds
State Street Institutional Investment Trust (the "Trust"), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended ("1940 Act"), is an open-end management investment company.
As of March 31, 2026, the Trust consists of thirty-four (34) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the "Board" and each member thereof, a "Trustee") to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the State Street U.S. Core Equity Fund and the State Street Income Fund (each, a "Fund" and collectively, the "Funds"). Shares of the Funds may be purchased only by Eligible Investors, as defined in the Funds' prospectus, through General Electric Company's defined contribution plan arrangement in a Fund.
Under the Trust's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2.Segment Reporting
Each Fund has one reportable segment. Business activities are managed on a consolidated basis and revenues are derived primarily through each Fund's investments in accordance with its investment objective. Each Fund's chief operating decision maker ("CODM") is the President of the Trust. The CODM assesses performance based on a Fund's Total Return as reported in the Financial Highlights, and the same accounting policies are applied as described in the summary of significant accounting policies. Each Fund's Total Return is utilized by the CODM to compare results, including the impact of the Fund's costs, to a Fund's competitors and to a Fund's benchmark index.
3.Summary of Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation Each Fund's investments are valued at fair value each day that the New York Stock Exchange ("NYSE") is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the "Committee") and approved by the Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund's investments by major category are as follows:
•
Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued
|
32
|
Notes to Financial Statements
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
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.
•
Fixed income assets are generally valued at the mean of the bid and ask prices for bank loans and inflation protected securities, and at the bid price for all other fixed income assets as provided by independent pricing services or brokers.
•
Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
•
Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the "Adviser" or "SSGA FM") is unable to obtain an independent, third-party valuation the agreements will be fair valued.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
•
Level 1 - Unadjusted quoted prices in active markets for an identical asset or liability;
•
Level 2 - Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
•
Level 3 - Unobservable inputs for the asset or liability, including the Committee's assumptions used in determining the fair value of investments.
The value of each Fund's investments according to the fair value hierarchy as of March 31, 2026 is disclosed in each Fund's respective Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
|
Notes to Financial Statements
|
33
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
The State Street U.S. Core Equity Fund invests in real estate investments trusts ("REITs"). REITs determine the tax character of their distributions as a return of capital or capital gain. The Fund's policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year's to return of capital gains distributions at year end based on information provided by the REIT and/or SSGA FM estimates of such redesignations for which actual information has not yet been reported.
Expenses Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund that incurs such expenses. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund.
Distributions The State Street Income Fund declares investment income dividends daily and pays them monthly. The State Street U.S. Core Equity Fund declares and pays dividends from investment income annually.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
4.Securities and Other Investments
Delayed Delivery Transactions and When-Issued Securities During the period ended March 31, 2026, the State Street Income Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the State Street Income Fund's Schedule of Investments. The State Street Income Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, the State Street Income Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions The State Street Income Fund may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of "to-be-announced" or "TBA transactions." "TBA" refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
The State Street Income Fund may use TBA transactions to "roll over" such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a "TBA roll." In a TBA roll, the State Street Income Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. The State Street Income Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Default by or bankruptcy of a counterparty to a TBA transaction would expose the State Street Income Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, the State Street Income Fund will enter into TBA transactions only with established counterparties. The State Street Income Fund's use of "TBA rolls" may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
|
34
|
Notes to Financial Statements
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
5.Derivative Financial Instruments
Futures Contracts Each Fund may enter into futures contracts to meet a Fund's objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Funds' Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts and TBAs on the Statements of Assets and Liabilities. Subsequent payments are made or received by a Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended March 31, 2026, the State Street U.S. Core Equity Fund and the State Street Income Fund entered into futures contracts in order to equitize cash and manage exposure to interest rates, respectively.
Credit Default Swaps During the period ended March 31, 2026, the State Street Income Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party ("CCP") in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund loses its investment and recovers nothing. However, if a credit event occurs, the Fund receives full notional value for a referenced debt obligation that may have little or no value. When the Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, the Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve
|
Notes to Financial Statements
|
35
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
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.
The following tables summarize the value of the Funds' derivative instruments as of March 31, 2026 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
|
Liability Derivatives
|
||||||
|
|
Interest
Rate
Risk
|
Foreign
Exchange
Risk
|
Credit
Risk
|
Equity
Risk
|
Commodity
Risk
|
Total
|
|
State Street U.S. Core Equity Fund
|
||||||
|
Futures Contracts
|
$-
|
$-
|
$-
|
$613,654
|
$-
|
$613,654
|
|
State Street Income Fund
|
||||||
|
Futures Contracts
|
$312,658
|
$-
|
$-
|
$-
|
$-
|
$312,658
|
|
Swap Contracts
|
-
|
-
|
2,239,464
|
-
|
-
|
2,239,464
|
|
Realized Gain (Loss)
|
||||||
|
|
Interest
Rate
Risk
|
Foreign
Exchange
Risk
|
Credit
Risk
|
Equity
Risk
|
Commodity
Risk
|
Total
|
|
State Street U.S. Core Equity Fund
|
||||||
|
Futures Contracts
|
$-
|
$-
|
$-
|
(380,360
)
|
$-
|
$(380,360
)
|
|
State Street Income Fund
|
||||||
|
Futures Contracts
|
$(842,129
)
|
$-
|
$-
|
$-
|
$-
|
$(842,129
)
|
|
Swap Contracts
|
-
|
-
|
(484,308
)
|
-
|
-
|
(484,308
)
|
|
Net Change in Unrealized Appreciation/Depreciation
|
||||||
|
|
Interest
Rate
Risk
|
Foreign
Exchange
Risk
|
Credit
Risk
|
Equity
Risk
|
Commodity
Risk
|
Total
|
|
State Street U.S. Core Equity Fund
|
||||||
|
Futures Contracts
|
$-
|
$-
|
$-
|
(2,236,795
)
|
$-
|
$(2,236,795
)
|
|
State Street Income Fund
|
||||||
|
Futures Contracts
|
$(536,787
)
|
$-
|
$-
|
$-
|
$-
|
$(536,787
)
|
|
Swap Contracts
|
-
|
-
|
458,776
|
-
|
-
|
458,776
|
6.Fees and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM's compensation for investment advisory and administrative services ("Management Fee") is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
|
Fund
|
Management Fee
|
|
State Street U.S. Core Equity Fund
|
0.12%
|
|
State Street Income Fund
|
0.13%
|
Custody, Fund Accounting and Sub-Administration Fees State Street Bank and Trust Company ("State Street") serves as the custodian, fund accountant and sub-administrator to the Funds. Amounts paid by the Funds to State Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statements of Operations.
|
36
|
Notes to Financial Statements
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
Due to Custodian In certain circumstances, the Funds may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian, who is an affiliate of the Funds.
Other Transactions with Affiliates Each 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 Funds owning more than five percent of the entity's voting securities or outstanding shares. Amounts relating to these transactions during the period ended March 31, 2026 are disclosed in each Fund's Schedule of Investments.
7.Trustees' Fees
The fees and expenses of the Trustees who are not "interested persons" of the Trust, as defined in the 1940 Act, ("Independent Trustees") are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
8.Investment Transactions
Purchases and sales of investments (excluding in-kind transactions, TBA transactions, short term investments and derivative contracts) for the period ended March 31, 2026 were as follows:
|
|
U.S. Government
Obligations
|
Other
Securities
|
||
|
Fund
|
Purchases
|
Sales
|
Purchases
|
Sales
|
|
State Street U.S. Core Equity Fund
|
$-
|
$-
|
$887,979,032
|
$1,034,132,240
|
|
State Street Income Fund
|
92,279,712
|
80,050,686
|
49,203,993
|
36,770,921
|
Redemption In-Kind In accordance with guidelines described in the Funds' prospectus, a Fund may distribute portfolio securities rather than cash as payment for a redemption of Fund shares (in-kind redemption). For financial reporting purposes, a Fund recognizes a gain or loss on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds or is less than, respectively, the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. These reclassifications have no effect on net assets or NAV per share. The net realized in-kind gains or losses are disclosed in the Statements of Operations and the Statements of Changes in Net Assets.
During the period ended March 31, 2026, the State Street U.S. Core Equity Fund and the State Street Income Fund had redemptions in-kind that resulted in redemptions of $718,957,702 and $316,553,225 that were paid in securities, respectively.
During the year ended September 30, 2025, the State Street U.S. Core Equity Fund and the State Street Income Fund had redemptions in-kind that resulted in redemptions of $823,835,661 and $153,937,992 that were paid in securities, respectively.
9.Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to the federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of September 30, 2025, SSGA FM analyzed the Funds' tax positions and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
|
Notes to Financial Statements
|
37
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
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.
As of March 31, 2026, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
|
Fund
|
Tax
Cost
|
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
State Street U.S. Core Equity Fund
|
$2,322,595,172
|
$1,512,315,389
|
$96,178,564
|
$1,416,136,825
|
|
State Street Income Fund
|
400,416,466
|
1,943,320
|
17,444,394
|
(15,501,074
)
|
10.Line of Credit
The State Street Income Fund and other affiliated funds (each, a "Participant" and collectively, the "Participants") have access to $210 million of a $1.425 billion ($194.29 million of $1.36 billion prior to October 2, 2025) revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2026 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operation expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The State Street Income Fund had no outstanding loans during the period ended March 31, 2026.
11.Risks
Concentration Risk As a result of a Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund's investments more than if a Fund was more broadly diversified.
Interest Rate Risk The risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund's investments.
Credit Risk Each Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk Each Fund's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Funds are subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional, or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on a Fund and its investments.
New or escalation of hostilities in the Middle East region could disrupt energy production or transportation, including through key shipping routes, which may lead to increased volatility in energy and other commodity
|
38
|
Notes to Financial Statements
|
State Street Institutional Investment Trust
Notes to Financial Statements, continued - March 31, 2026 (Unaudited)
prices. The extent and duration of these conflicts, and others around the world, are impossible to predict but could continue to be significant. Market disruption caused by these conflicts, and any countermeasures or responses thereto (including international sanctions, a downgrade in a country's credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could continue to have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
12.Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
|
Notes to Financial Statements
|
39
|
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
Renumeration Paid to Directors, Officers, and Others of Open-End Investment Companies is included as part of the Financial Statements filed under Item 7(a) of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 15. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board.
Item 16. Controls and Procedures.
| (a) |
The Trust's principal executive officer and principal financial officer have concluded that the Trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| (b) |
There were no changes in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust's internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
| (a) |
Not applicable to the Registrant. |
| (b) |
Not applicable to the Registrant. |
Item 18. Recovery of Erroneously Awarded Compensation
Not applicable.
Item 19. Exhibits.
| (a)(1) |
Not applicable to this filing; this Form N-CSR is a Semi-Annual Report. |
| (a)(2) |
Not applicable to the Registrant. |
| (a)(3) |
Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto. |
| (a)(4) |
Not applicable to the Registrant. |
| (a)(5) |
Not applicable. |
| (b) |
Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| (101) |
Inline Interactive Data File - the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document. |
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.
| STATE STREET INSTITUTIONAL INVESTMENT TRUST | ||
|
By: |
/s/ Ann M. Carpenter |
|
|
Ann M. Carpenter |
||
|
President (Principal Executive Officer) |
||
| Date: | June 4, 2026 | |
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/ Ann M. Carpenter |
|
|
Ann M. Carpenter |
||
|
President (Principal Executive Officer) |
||
| Date: | June 4, 2026 | |
|
By: |
/s/ Bruce S. Rosenberg |
|
|
Bruce S. Rosenberg |
||
|
Treasurer (Principal Financial and Accounting Officer) |
||
| Date: |
June 4, 2026 |
|
State Street Institutional Investment Trust published this content on June 04, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on June 04, 2026 at 16:15 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]