State Street Equity 500 Index Fund |
State Street Equity 500 Index II Portfolio |
State Street Aggregate Bond Index Fund |
State Street Aggregate Bond Index Portfolio |
State Street Global All Cap Equity ex- U.S. Index Fund |
State Street Global All Cap Equity ex- U.S. Index Portfolio |
State Street Small/Mid Cap Equity Index Fund |
State Street Small/Mid Cap Equity Index Portfolio |
State Street Emerging Markets Equity Index Fund |
State Street Hedged International Developed Equity Index Fund |
State Street Target Retirement Fund |
State Street Target Retirement 2020 Fund |
State Street Target Retirement 2025 Fund |
State Street Target Retirement 2030 Fund |
State Street Target Retirement 2035 Fund |
State Street Target Retirement 2040 Fund |
State Street Target Retirement 2045 Fund |
State Street Target Retirement 2050 Fund |
State Street Target Retirement 2055 Fund |
State Street Target Retirement 2060 Fund |
State Street Target Retirement 2065 Fund |
Schedules of Investments (Unaudited) | |
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244 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini S&P 500 Index (long) | 1,131 | 12/15/2023 | $255,144,212 | $244,607,025 | $(10,537,187) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $8,645,662,687 | $— | $— | $8,645,662,687 | ||||
Short-Term Investments | 279,038,126 | — | — | 279,038,126 | ||||
TOTAL INVESTMENTS | $8,924,700,813 | $— | $— | $8,924,700,813 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(10,537,187) | $— | $— | $(10,537,187) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(10,537,187) | $— | $— | $(10,537,187) |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Corp. | 82,878 | $6,428,846 | $— | $459,820 | $(158,312) | $(689,747) | 76,478 | $5,120,967 | $157,196 | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 142,265,860 | 142,265,860 | 1,067,379,804 | 931,932,788 | — | — | 277,712,876 | 277,712,876 | 8,832,358 | ||||||||
State Street Navigator Securities Lending Portfolio II | 8,413,305 | 8,413,305 | 103,267,053 | 110,355,108 | — | — | 1,325,250 | 1,325,250 | 22,742 | ||||||||
Total | $157,108,011 | $1,170,646,857 | $1,042,747,716 | $(158,312) | $(689,747) | $284,159,093 | $9,012,296 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Corporate Bonds & Notes | $— | $622,686,543 | $— | $622,686,543 | ||||
Asset-Backed Securities | — | 11,178,821 | — | 11,178,821 | ||||
Foreign Government Obligations | — | 74,852,436 | — | 74,852,436 | ||||
U.S. Government Agency Obligations | — | 704,187,537 | — | 704,187,537 | ||||
U.S. Treasury Obligations | — | 1,027,276,765 | — | 1,027,276,765 | ||||
Municipal Bonds & Notes | — | 9,879,465 | — | 9,879,465 | ||||
Mortgage-Backed Securities | — | 21,193,686 | — | 21,193,686 | ||||
Commercial Mortgage Backed Securities | — | 3,383,844 | — | 3,383,844 | ||||
Short-Term Investments | 137,794,183 | — | — | 137,794,183 | ||||
TOTAL INVESTMENTS | $137,794,183 | $2,474,639,097 | $— | $2,612,433,280 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 54,313,817 | $54,324,679 | $449,405,228 | $454,221,116 | $8,100 | $(4,078) | 49,502,912 | $49,512,813 | $2,464,144 | ||||||||
State Street Navigator Securities Lending Portfolio II | 82,618,698 | 82,618,698 | 925,622,761 | 919,960,089 | — | — | 88,281,370 | 88,281,370 | 274,739 | ||||||||
Total | $136,943,377 | $1,375,027,989 | $1,374,181,205 | $8,100 | $(4,078) | $137,794,183 | $2,738,883 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
S&P/TSX 60 Index (long) | 79 | 12/14/2023 | $14,109,948 | $13,746,701 | $(363,247) | |||||
MSCI EAFE Index (long) | 1,004 | 12/15/2023 | 105,162,963 | 102,483,300 | (2,679,663) | |||||
E-mini MSCI Emerging Markets (long) | 1,704 | 12/15/2023 | 83,843,781 | 81,408,600 | (2,435,181) | |||||
$(5,478,091) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $5,549,803,310 | $33,862,335 | $156,587 | $5,583,822,232 | ||||
Preferred Stocks | 2,248,430 | — | 0(a) | 2,248,430 | ||||
Rights | 15,236 | 54,257 | 0(a) | 69,493 | ||||
Warrants | 11,968 | — | 0(a) | 11,968 | ||||
Short-Term Investments | 374,024,343 | — | — | 374,024,343 | ||||
TOTAL INVESTMENTS | $5,926,103,287 | $33,916,592 | $156,587 | $5,960,176,466 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(5,478,091) | $— | $— | $(5,478,091) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(5,478,091) | $— | $— | $(5,478,091) |
(a) | The Fund held Level 3 securities that were valued at $0 at September 30, 2023. |
Description | % of Net Assets | |
Banks | 13.2% | |
Pharmaceuticals | 6.1 | |
Oil & Gas | 5.3 | |
Semiconductors | 5.1 | |
Insurance | 4.7 | |
TOTAL | 34.4% |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 198,057,869 | $198,057,869 | $717,406,908 | $731,281,181 | $— | $— | 184,183,596 | $184,183,596 | $6,714,502 | ||||||||
State Street Navigator Securities Lending Portfolio II | 198,045,220 | 198,045,220 | 600,712,255 | 608,916,728 | — | — | 189,840,747 | 189,840,747 | 1,078,487 | ||||||||
Total | $396,103,089 | $1,318,119,163 | $1,340,197,909 | $— | $— | $374,024,343 | $7,792,989 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini Russell 2000 Index (long) | 89 | 12/15/2023 | $8,351,534 | $8,003,770 | $(347,764) | |||||
E-mini S&P MidCap 400 Index (long) | 34 | 12/15/2023 | 8,927,734 | 8,569,360 | (358,374) |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
$(706,138) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $1,950,956,792 | $1,450,817 | $0(a) | $1,952,407,609 | ||||
Short-Term Investments | 134,793,235 | — | — | 134,793,235 | ||||
TOTAL INVESTMENTS | $2,085,750,027 | $1,450,817 | $0 | $2,087,200,844 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(706,138) | $— | $— | $(706,138) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(706,138) | $— | $— | $(706,138) |
(a) | Fund held Level 3 securities that were valued at $0 at September 30, 2023. |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 15,355,219 | $15,358,290 | $283,331,676 | $279,506,520 | $247 | $1,710 | 19,181,567 | $19,185,403 | $790,967 | ||||||||
State Street Navigator Securities Lending Portfolio II | 81,374,120 | 81,374,120 | 550,542,183 | 516,308,471 | — | — | 115,607,832 | 115,607,832 | 1,877,788 | ||||||||
Total | $96,732,410 | $833,873,859 | $795,814,991 | $247 | $1,710 | $134,793,235 | $2,668,755 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini MSCI Emerging Markets (long) | 459 | 12/15/2023 | $22,383,715 | $21,928,725 | $(454,990) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $542,421,774 | $10,622,229 | $0(a) | $553,044,003 | ||||
Preferred Stocks | 11,552 | — | 0(a) | 11,552 | ||||
Rights | 2,574 | 10,156 | — | 12,730 | ||||
Warrants | — | 15,480,465 | — | 15,480,465 | ||||
Short-Term Investments | 23,259,975 | — | — | 23,259,975 | ||||
TOTAL INVESTMENTS | $565,695,875 | $26,112,850 | $0 | $591,808,725 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(454,990) | $— | $— | $(454,990) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(454,990) | $— | $— | $(454,990) |
(a) | The Fund held Level 3 securities that were valued at $0 at September 30, 2023. |
Description | % of Net Assets | |
Financials | 23.7% | |
Information Technology | 19.2 | |
Consumer Discretionary | 13.1 | |
Communication Services | 9.2 | |
Materials | 7.4 | |
TOTAL | 72.6% |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 3,947,839 | $3,948,629 | $106,076,931 | $90,421,529 | $(1,514) | $(627) | 19,597,970 | $19,601,890 | $439,139 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,286,913 | 4,286,913 | 31,883,628 | 32,512,456 | — | — | 3,658,085 | 3,658,085 | 17,767 | ||||||||
Total | $8,235,542 | $137,960,559 | $122,933,985 | $(1,514) | $(627) | $23,259,975 | $456,906 |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
Bank of America N.A. | USD817,939 | ILS3,103,000 | 10/03/2023 | $(2,861) | ||||
Bank of Montreal | USD22,189,657 | EUR20,932,000 | 11/02/2023 | (561) | ||||
Barclays Capital PLC | USD3,188,344 | DKK22,212,000 | 10/03/2023 | (34,664) | ||||
Barclays Capital PLC | USD433,741,418 | GBP355,365,547 | 10/03/2023 | (120) | ||||
Barclays Capital PLC | USD2,263,464 | HKD17,696,000 | 10/03/2023 | (3,972) | ||||
Barclays Capital PLC | USD377,140 | ILS1,439,000 | 10/03/2023 | 848 | ||||
Barclays Capital PLC | USD707,641 | NOK7,607,000 | 10/03/2023 | 7,246 | ||||
Barclays Capital PLC | USD647,226 | NOK6,989,000 | 10/03/2023 | 9,583 | ||||
Barclays Capital PLC | USD3,739,738 | SEK40,893,000 | 10/03/2023 | 24,276 | ||||
Barclays Capital PLC | GBP381,597,547 | USD483,599,334 | 10/03/2023 | 17,840,577 | ||||
Barclays Capital PLC | CHF805,000 | USD912,126 | 10/03/2023 | 32,152 | ||||
Barclays Capital PLC | GBP355,365,547 | USD433,819,243 | 11/02/2023 | (2,130) | ||||
BNP Paribas S.A. | USD7,892,268 | AUD12,247,000 | 10/03/2023 | 11,944 | ||||
BNP Paribas S.A. | USD7,250,622 | AUD11,253,000 | 10/03/2023 | 12,063 | ||||
BNP Paribas S.A. | USD223,949,717 | AUD346,999,050 | 10/03/2023 | 3,428 | ||||
BNP Paribas S.A. | USD10,750,924 | CHF9,621,000 | 10/03/2023 | (233,871) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
BNP Paribas S.A. | USD3,461,587 | DKK24,175,000 | 10/03/2023 | $(29,198) | ||||
BNP Paribas S.A. | USD97,270,923 | DKK685,098,566 | 10/03/2023 | — | ||||
BNP Paribas S.A. | USD15,552,621 | GBP12,543,000 | 10/03/2023 | (243,267) | ||||
BNP Paribas S.A. | USD4,632,523 | HKD36,276,000 | 10/03/2023 | (667) | ||||
BNP Paribas S.A. | USD69,699,021 | HKD545,813,035 | 10/03/2023 | (7,565) | ||||
BNP Paribas S.A. | USD11,665,924 | ILS44,412,174 | 10/03/2023 | — | ||||
BNP Paribas S.A. | USD20,260,836 | NOK215,592,520 | 10/03/2023 | — | ||||
BNP Paribas S.A. | USD6,545,408 | NZD10,893,581 | 10/03/2023 | — | ||||
BNP Paribas S.A. | USD3,212,854 | SEK35,823,000 | 10/03/2023 | 84,489 | ||||
BNP Paribas S.A. | USD93,443,377 | SEK1,015,187,531 | 10/03/2023 | — | ||||
BNP Paribas S.A. | USD38,635,284 | SGD52,733,299 | 10/03/2023 | — | ||||
BNP Paribas S.A. | NOK8,982,000 | USD845,179 | 10/03/2023 | 1,073 | ||||
BNP Paribas S.A. | JPY104,053,809,610 | USD717,929,359 | 10/03/2023 | 20,634,606 | ||||
BNP Paribas S.A. | SEK6,768,000 | USD623,722 | 11/02/2023 | 1 | ||||
BNP Paribas S.A. | NOK19,391,000 | USD1,823,737 | 11/02/2023 | (85) | ||||
BNP Paribas S.A. | GBP25,668,000 | USD31,334,108 | 11/02/2023 | (744) | ||||
BNP Paribas S.A. | NOK215,592,520 | USD20,276,938 | 11/02/2023 | (635) | ||||
BNP Paribas S.A. | NZD10,893,581 | USD6,545,299 | 11/02/2023 | (212) | ||||
BNP Paribas S.A. | SEK1,015,187,531 | USD93,555,324 | 11/02/2023 | (1,727) | ||||
BNP Paribas S.A. | DKK685,098,566 | USD97,418,229 | 11/02/2023 | (3,991) | ||||
BNP Paribas S.A. | SGD52,733,299 | USD38,683,749 | 11/02/2023 | (2,551) | ||||
BNP Paribas S.A. | ILS44,412,174 | USD11,681,266 | 11/02/2023 | (714) | ||||
BNP Paribas S.A. | HKD545,813,035 | USD69,734,463 | 11/02/2023 | 1,675 | ||||
BNP Paribas S.A. | AUD346,999,050 | USD224,170,061 | 11/02/2023 | (10,584) | ||||
Citibank N.A. | USD297,973,952 | CHF272,586,571 | 10/03/2023 | — | ||||
Citibank N.A. | NOK221,206,520 | USD20,813,978 | 10/03/2023 | 25,552 | ||||
Citibank N.A. | HKD619,045,035 | USD79,043,003 | 10/03/2023 | 1,009 | ||||
Citibank N.A. | DKK663,117,566 | USD96,722,176 | 10/03/2023 | 2,572,135 | ||||
Citibank N.A. | SEK1,124,817,531 | USD102,863,972 | 10/03/2023 | (670,346) | ||||
Citibank N.A. | NZD10,893,581 | USD6,484,654 | 10/03/2023 | (60,753) | ||||
Citibank N.A. | SGD56,294,299 | USD41,734,878 | 10/03/2023 | 490,612 | ||||
Citibank N.A. | AUD371,363,050 | USD240,753,923 | 10/03/2023 | 1,076,255 | ||||
Citibank N.A. | ILS50,521,174 | USD13,315,106 | 10/03/2023 | 44,506 | ||||
Citibank N.A. | CHF272,586,571 | USD298,908,777 | 11/02/2023 | (12,142) | ||||
Goldman Sachs Bank USA | USD412,115 | ILS1,567,000 | 10/03/2023 | (505) | ||||
HSBC Bank USA | EUR505,360,157 | USD549,226,935 | 10/03/2023 | 14,176,848 | ||||
JP Morgan Chase Bank, N.A. | USD715,785 | AUD1,114,000 | 10/03/2023 | 3,190 | ||||
JP Morgan Chase Bank, N.A. | USD2,148,686 | CHF1,892,000 | 10/03/2023 | (80,475) | ||||
JP Morgan Chase Bank, N.A. | USD9,868,818 | CHF8,839,000 | 10/03/2023 | (206,597) | ||||
JP Morgan Chase Bank, N.A. | USD3,260,626 | EUR3,037,000 | 10/03/2023 | (45,202) | ||||
JP Morgan Chase Bank, N.A. | USD35,638,108 | EUR33,378,000 | 10/03/2023 | (299,149) | ||||
JP Morgan Chase Bank, N.A. | USD32,811,994 | EUR30,668,000 | 10/03/2023 | (342,248) | ||||
JP Morgan Chase Bank, N.A. | USD2,628,372 | GBP2,074,000 | 10/03/2023 | (96,952) | ||||
JP Morgan Chase Bank, N.A. | USD1,423,720 | GBP1,141,000 | 10/03/2023 | (31,073) | ||||
JP Morgan Chase Bank, N.A. | USD14,282,475 | GBP11,524,000 | 10/03/2023 | (216,860) |
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||
JP Morgan Chase Bank, N.A. | USD2,205,935 | JPY323,563,000 | 10/03/2023 | $(37,646) | ||||
JP Morgan Chase Bank, N.A. | USD24,103,579 | JPY3,555,686,000 | 10/03/2023 | (275,896) | ||||
JP Morgan Chase Bank, N.A. | USD22,173,642 | JPY3,266,942,000 | 10/03/2023 | (280,916) | ||||
JP Morgan Chase Bank, N.A. | USD675,077,169 | JPY100,738,390,610 | 10/03/2023 | — | ||||
JP Morgan Chase Bank, N.A. | USD2,952,308 | SEK32,914,000 | 10/03/2023 | 77,276 | ||||
JP Morgan Chase Bank, N.A. | JPY297,691,000 | USD2,046,100 | 10/03/2023 | 51,186 | ||||
JP Morgan Chase Bank, N.A. | USD775,283 | AUD1,200,000 | 11/02/2023 | (16) | ||||
JP Morgan Chase Bank, N.A. | USD626,115 | NZD1,042,000 | 11/02/2023 | (19) | ||||
JP Morgan Chase Bank, N.A. | JPY6,240,508,000 | USD42,018,671 | 11/02/2023 | (1,634) | ||||
JP Morgan Chase Bank, N.A. | JPY100,738,390,610 | USD678,306,769 | 11/02/2023 | (12,670) | ||||
Morgan Stanley Bank, N.A. | USD502,438 | AUD775,000 | 10/03/2023 | (2,253) | ||||
Royal Bank of Canada | USD983,189 | CHF875,000 | 10/03/2023 | (26,696) | ||||
Royal Bank of Canada | USD815,124 | EUR750,000 | 10/03/2023 | (21,061) | ||||
Royal Bank of Canada | CHF2,302,000 | USD2,524,430 | 11/02/2023 | 36 | ||||
Royal Bank of Canada | ILS1,745,000 | USD458,947 | 11/02/2023 | (51) | ||||
Royal Bank of Canada | DKK14,771,000 | USD2,100,571 | 11/02/2023 | 109 | ||||
Societe Generale | USD2,796,528 | HKD21,887,000 | 11/02/2023 | (257) | ||||
Societe Generale | SGD1,310,000 | USD961,059 | 11/02/2023 | 14 | ||||
Standard Chartered Bank | USD2,460,246 | HKD19,260,000 | 10/03/2023 | (1,057) | ||||
Standard Chartered Bank | USD1,251,558 | SGD1,705,000 | 10/03/2023 | (2,382) | ||||
Standard Chartered Bank | CHF293,008,571 | USD332,737,419 | 10/03/2023 | 12,439,462 | ||||
Toronto-Dominion Bank | USD500,620,046 | EUR472,840,657 | 10/03/2023 | 19 | ||||
Toronto-Dominion Bank | EUR472,840,657 | USD501,228,592 | 11/02/2023 | (9,081) | ||||
UBS AG | USD1,362,806 | SGD1,856,000 | 10/03/2023 | (2,999) | ||||
UBS AG | DKK68,368,000 | USD9,972,296 | 10/03/2023 | 265,345 | ||||
UBS AG | EUR2,794,000 | USD3,020,473 | 10/03/2023 | 62,326 | ||||
UBS AG | AUD1,025,000 | USD661,521 | 10/03/2023 | (14) | ||||
UBS AG | GBP1,050,000 | USD1,323,532 | 10/03/2023 | 41,955 | ||||
Westpac Banking Corp. | USD500,620,046 | EUR472,840,657 | 10/03/2023 | 19 | ||||
Westpac Banking Corp. | JPY3,533,081,000 | USD24,377,659 | 10/03/2023 | 701,459 | ||||
Westpac Banking Corp. | EUR505,360,157 | USD549,228,956 | 10/03/2023 | 14,178,870 | ||||
Westpac Banking Corp. | EUR472,840,657 | USD501,234,739 | 11/02/2023 | (2,934) | ||||
Total | $81,552,141 | |||||||
AUD | Australian Dollar |
CHF | Swiss Franc |
DKK | Danish Krone |
GBP | British Pound |
HKD | Hong Kong Dollar |
ILS | Israeli New Shekel |
JPY | Japanese Yen |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SEK | Swedish Krona |
SGD | Singapore Dollar |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 2,005 | 12/15/2023 | $210,888,091 | $204,660,375 | $(6,227,716) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $2,785,903,101 | $— | $— | $2,785,903,101 | ||||
Short-Term Investment | 119,645,588 | — | — | 119,645,588 | ||||
TOTAL INVESTMENTS | $2,905,548,689 | $— | $— | $2,905,548,689 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Forward Foreign Currency Exchange Contracts - Unrealized Appreciation | $— | $84,872,144 | $— | $84,872,144 | ||||
Forward Foreign Currency Exchange Contracts - Unrealized Depreciation | — | (3,320,003) | — | (3,320,003) | ||||
Futures Contracts - Unrealized Depreciation | (6,227,716) | — | — | (6,227,716) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(6,227,716) | $81,552,141 | $— | $75,324,425 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 140,920,876 | $140,949,060 | $1,409,960,771 | $1,431,169,647 | $(87,041) | $(7,555) | 119,621,664 | $119,645,588 | $4,512,729 |
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 630 | 12/15/2023 | $66,614,286 | $64,307,250 | $(2,307,036) |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $2,720,212,633 | $— | $— | $2,720,212,633 | ||||
Preferred Stocks | 2,042,597 | — | — | 2,042,597 | ||||
Short-Term Investments | 78,876,541 | — | — | 78,876,541 | ||||
TOTAL INVESTMENTS | $2,801,131,771 | $— | $— | $2,801,131,771 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts - Unrealized Depreciation | $(2,307,036) | $— | $— | $(2,307,036) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(2,307,036) | $— | $— | $(2,307,036) |
% of Net Assets | ||
Financials | 18.6% | |
Industrials | 15.5 | |
Health Care | 13.1 | |
Consumer Discretionary | 11.8 | |
Consumer Staples | 9.5 | |
Information Technology | 7.5 | |
Materials | 7.3 | |
Energy | 4.7 | |
Communication Services | 4.1 | |
Utilities | 3.3 | |
Real Estate | 2.3 | |
Short-Term Investments | 2.8 | |
Liabilities in Excess of Other Assets | (0.5) | |
TOTAL | 100.0% |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 150,126,647 | $150,156,673 | $879,790,958 | $991,418,368 | $(9,708) | $3,831 | 38,515,683 | $38,523,386 | $2,878,406 | ||||||||
State Street Navigator Securities Lending Portfolio II | 36,982,799 | 36,982,799 | 241,754,476 | 238,384,120 | — | — | 40,353,155 | 40,353,155 | 366,385 | ||||||||
Total | $187,139,472 | $1,121,545,434 | $1,229,802,488 | $(9,708) | $3,831 | $78,876,541 | $3,244,791 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $635,454,739 | $— | $— | $635,454,739 | ||||
Short-Term Investments | 145,523,588 | — | — | 145,523,588 | ||||
TOTAL INVESTMENTS | $780,978,327 | $— | $— | $780,978,327 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 5,817,678 | $107,336,159 | $15,769,010 | $6,165,821 | $(379,773) | $(2,102,887) | 6,330,569 | $114,456,688 | $3,044,978 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 470,311 | 42,327,990 | 5,097,031 | 2,977,670 | (591,656) | 745,405 | 493,375 | 44,601,100 | 1,961,485 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 739,733 | 30,255,080 | 6,192,418 | 2,174,575 | 411,557 | (2,558,395) | 840,997 | 32,126,085 | 832,615 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 811,155 | 23,831,734 | 4,049,467 | 2,380,394 | 100,170 | (166,405) | 867,482 | 25,434,572 | 649,638 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 3,258,176 | 94,128,705 | 17,139,262 | 10,127,253 | (635,963) | (26,022) | 3,498,563 | 100,478,729 | 2,269,590 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,360,309 | 119,108,667 | 18,268,434 | 6,080,755 | (959,157) | (3,113,848) | 1,498,331 | 127,223,341 | 2,614,841 | ||||||||
State Street Equity 500 Index II Portfolio | 270,595 | 94,183,377 | 8,150,000 | 16,060,396 | 7,190,089 | 5,401,126 | 251,192 | 98,864,196 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 686,917 | 68,932,082 | 7,566,567 | 6,781,353 | 1,738,728 | 2,040,889 | 694,941 | 73,496,913 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,262,531 | 2,262,531 | 83,801,002 | 85,100,444 | — | — | 963,089 | 963,089 | 64,081 | ||||||||
State Street Navigator Securities Lending Portfolio II | 5,800,100 | 5,800,100 | 992,275,418 | 853,515,019 | — | — | 144,560,499 | 144,560,499 | 129,896 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 77,564 | 17,875,313 | 1,260,000 | 2,019,893 | 753,492 | 904,203 | 74,746 | 18,773,115 | — | ||||||||
Total | $606,041,738 | $1,159,568,609 | $993,383,573 | $7,627,487 | $1,124,066 | $780,978,327 | $11,567,124 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $871,066,821 | $— | $— | $871,066,821 | ||||
Short-Term Investments | 67,498,896 | — | — | 67,498,896 | ||||
TOTAL INVESTMENTS | $938,565,717 | $— | $— | $938,565,717 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 8,273,632 | $152,648,510 | $16,903,627 | $9,409,709 | $(239,455) | $(3,094,356) | 8,673,043 | $156,808,617 | $4,243,858 | ||||||||
SPDR Bloomberg High Yield Bond ETF | 668,138 | 60,132,420 | 5,944,009 | 5,213,509 | (425,045) | 668,095 | 675,951 | 61,105,970 | 2,736,250 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 1,050,807 | 42,978,006 | 7,345,677 | 3,341,308 | (683,154) | (2,281,628) | 1,152,293 | 44,017,593 | 1,152,119 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 791,506 | 23,254,446 | 5,332,673 | 810,327 | (13,585) | (59,912) | 944,860 | 27,703,295 | 661,318 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 3,157,513 | 91,220,551 | 31,240,872 | 12,684,431 | (769,808) | 65,259 | 3,797,787 | 109,072,443 | 2,299,966 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,055,317 | 179,963,571 | 18,480,555 | 9,879,339 | (1,100,731) | (4,689,388) | 2,152,569 | 182,774,668 | 3,862,806 | ||||||||
State Street Equity 500 Index II Portfolio | 443,382 | 154,323,478 | 6,390,000 | 32,196,260 | 9,644,357 | 10,728,056 | 378,296 | 148,889,631 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,145,581 | 114,958,995 | 7,527,509 | 17,378,794 | 4,779,106 | 1,763,677 | 1,055,697 | 111,650,493 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,100,349 | 3,100,349 | 118,826,586 | 120,484,692 | — | — | 1,442,243 | 1,442,243 | 74,330 | ||||||||
State Street Navigator Securities Lending Portfolio II | 16,506,800 | 16,506,800 | 1,108,187,528 | 1,058,637,675 | — | — | 66,056,653 | 66,056,653 | 176,830 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 133,335 | 30,728,464 | 690,000 | 5,173,473 | 480,390 | 2,318,730 | 115,640 | 29,044,111 | — | ||||||||
Total | $869,815,590 | $1,326,869,036 | $1,275,209,517 | $11,672,075 | $5,418,533 | $938,565,717 | $15,207,477 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,743,445,962 | $— | $— | $1,743,445,962 | ||||
Short-Term Investments | 160,679,807 | — | — | 160,679,807 | ||||
TOTAL INVESTMENTS | $1,904,125,769 | $— | $— | $1,904,125,769 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 12,920,261 | $238,378,816 | $53,800,917 | $7,886,706 | $(648,200) | $(5,457,775) | 15,386,452 | $278,187,052 | $— | ||||||||
SPDR Bloomberg High Yield Bond ETF | 1,230,174 | 110,715,660 | 16,941,321 | 8,486,438 | (616,273) | 988,068 | 1,322,371 | 119,542,338 | 5,237,689 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 1,607,015 | 65,726,914 | 20,981,441 | 4,602,410 | (950,171) | (4,142,244) | 2,016,061 | 77,013,530 | — | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 343,119 | 9,689,681 | 500,415 | 10,396,255 | (418,152) | 624,311 | — | — | 40,908 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 779,970 | 22,642,529 | 7,734,016 | 5,759,821 | (3,256,629) | 396,522 | 831,993 | 21,756,617 | 565,133 | ||||||||
SPDR Portfolio Short Term Corporate Bond ETF | 396,337 | 11,644,381 | 5,104,176 | 200,311 | (13,242) | (37,314) | 562,677 | 16,497,690 | 363,185 | ||||||||
SPDR Portfolio Short Term Treasury ETF | 1,500,728 | 43,356,032 | 29,819,132 | 10,110,092 | (588,562) | 166,520 | 2,181,164 | 62,643,030 | 1,207,501 | ||||||||
State Street Aggregate Bond Index Portfolio | 3,782,953 | 331,235,396 | 53,387,047 | 14,177,529 | (1,863,549) | (9,769,702) | 4,225,788 | 358,811,663 | — | ||||||||
State Street Equity 500 Index II Portfolio | 1,128,439 | 392,764,383 | 25,902,049 | 70,312,219 | 20,649,929 | 32,289,857 | 1,019,599 | 401,293,999 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 3,126,177 | 313,711,813 | 29,002,669 | 41,095,311 | 6,038,424 | 11,604,850 | 3,018,745 | 319,262,445 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,745,254 | 5,745,254 | 226,694,372 | 228,003,910 | — | — | 4,435,716 | 4,435,716 | 161,688 | ||||||||
State Street Navigator Securities Lending Portfolio II | 28,517,300 | 28,517,300 | 1,464,986,614 | 1,337,259,823 | — | — | 156,244,091 | 156,244,091 | 315,216 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 383,709 | 88,429,576 | 3,600,000 | 11,750,000 | 638,861 | 7,519,161 | 352,117 | 88,437,598 | — | ||||||||
Total | $1,662,557,735 | $1,938,454,169 | $1,750,040,825 | $18,972,436 | $34,182,254 | $1,904,125,769 | $7,891,320 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $2,388,573,206 | $— | $— | $2,388,573,206 | ||||
Short-Term Investments | 104,835,896 | — | — | 104,835,896 | ||||
TOTAL INVESTMENTS | $2,493,409,102 | $— | $— | $2,493,409,102 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg 1-10 Year TIPS ETF | 6,335,035 | $116,881,396 | $65,144,330 | $5,797,537 | $(706,312) | $(3,234,827) | 9,529,151 | $172,287,050 | $— | ||||||||
SPDR Bloomberg High Yield Bond ETF | 1,292,315 | 116,308,350 | 30,525,676 | 5,629,093 | (856,536) | 992,184 | 1,563,502 | 141,340,581 | 5,886,438 | ||||||||
SPDR Dow Jones Global Real Estate ETF | 748,664 | 30,620,357 | 18,817,845 | 1,198,647 | 56,487 | (3,024,534) | 1,185,118 | 45,271,508 | — | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,492,852 | 42,158,141 | 3,505,061 | 46,545,019 | (3,052,066) | 3,933,883 | — | — | 182,325 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 3,251,670 | 94,395,980 | 82,893,288 | 15,360,109 | (7,655,146) | (9,760,379) | 5,526,334 | 144,513,634 | 2,856,414 | ||||||||
State Street Aggregate Bond Index Portfolio | 3,786,628 | 331,557,133 | 105,482,472 | 5,194,366 | (497,274) | (13,548,601) | 4,920,496 | 417,799,364 | — | ||||||||
State Street Equity 500 Index II Portfolio | 1,732,308 | 602,947,252 | 84,828,394 | 82,668,631 | 28,032,634 | 55,100,439 | 1,748,666 | 688,240,088 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,309,254 | 532,783,617 | 85,241,308 | 39,421,746 | 2,996,437 | 25,401,191 | 5,739,418 | 607,000,807 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 6,696,145 | 6,696,145 | 264,594,580 | 265,424,086 | — | — | 5,866,639 | 5,866,639 | 257,324 | ||||||||
State Street Navigator Securities Lending Portfolio II | 2,733,800 | 2,733,800 | 1,149,994,627 | 1,053,759,170 | — | — | 98,969,257 | 98,969,257 | 322,419 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 668,792 | 154,129,682 | 18,524,725 | 14,700,001 | 672,774 | 13,492,994 | 685,301 | 172,120,174 | — | ||||||||
Total | $2,031,211,853 | $1,909,552,306 | $1,535,698,405 | $18,990,998 | $69,352,350 | $2,493,409,102 | $9,504,920 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $2,235,818,592 | $— | $— | $2,235,818,592 | ||||
Short-Term Investments | 79,513,532 | — | — | 79,513,532 | ||||
TOTAL INVESTMENTS | $2,315,332,124 | $— | $— | $2,315,332,124 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg High Yield Bond ETF | 792,819 | $71,353,710 | $24,511,316 | $3,484,543 | $(58,978) | $65,939 | 1,021,985 | $92,387,444 | $3,740,476 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,993,889 | 56,307,425 | 4,604,290 | 62,096,794 | (5,004,368) | 6,189,447 | — | — | 242,736 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 4,399,864 | 127,728,052 | 129,786,993 | 12,318,259 | (6,591,884) | (19,508,356) | 8,378,453 | 219,096,546 | 4,085,728 | ||||||||
State Street Aggregate Bond Index Portfolio | 2,974,986 | 260,489,780 | 81,399,212 | 6,900,000 | (854,662) | (10,199,537) | 3,815,037 | 323,934,793 | 6,303,186 | ||||||||
State Street Equity 500 Index II Portfolio | 1,771,060 | 616,435,237 | 87,195,978 | 74,228,801 | 30,044,971 | 55,847,083 | 1,817,406 | 715,294,468 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,802,214 | 582,252,234 | 105,007,032 | 37,356,442 | 4,879,410 | 26,338,634 | 6,440,250 | 681,120,868 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 6,723,726 | 6,723,726 | 241,361,627 | 242,651,371 | — | — | 5,433,982 | 5,433,982 | 241,973 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 869,702,129 | 795,622,579 | — | — | 74,079,550 | 74,079,550 | 208,336 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 780,015 | 179,762,155 | 23,114,378 | 15,700,000 | 1,942,178 | 14,865,762 | 812,169 | 203,984,473 | — | ||||||||
Total | $1,901,052,319 | $1,566,682,955 | $1,250,358,789 | $24,356,667 | $73,598,972 | $2,315,332,124 | $14,822,435 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $2,052,820,297 | $— | $— | $2,052,820,297 | ||||
Short-Term Investments | 15,223,616 | — | — | 15,223,616 | ||||
TOTAL INVESTMENTS | $2,068,043,913 | $— | $— | $2,068,043,913 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Bloomberg High Yield Bond ETF | — | $— | $15,201,433 | $100,170 | $192 | $(210,225) | 164,726 | $14,891,230 | $251,391 | ||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,774,889 | 50,122,865 | 4,603,528 | 55,773,543 | (4,142,196) | 5,189,346 | — | — | 217,996 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 3,917,461 | 113,723,893 | 131,157,731 | 19,900,581 | (8,776,891) | (15,086,672) | 7,690,917 | 201,117,480 | 3,686,761 | ||||||||
State Street Aggregate Bond Index Portfolio | 1,924,772 | 168,533,020 | 55,109,444 | 3,100,001 | (444,826) | (6,857,504) | 2,511,366 | 213,240,133 | 4,108,641 | ||||||||
State Street Equity 500 Index II Portfolio | 1,684,296 | 586,236,239 | 101,777,263 | 66,541,943 | 25,990,022 | 55,463,588 | 1,785,978 | 702,925,169 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,704,461 | 572,442,667 | 120,391,418 | 31,610,467 | 4,059,855 | 25,617,831 | 6,532,728 | 690,901,304 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,519,088 | 5,519,088 | 221,044,696 | 220,986,715 | — | — | 5,577,069 | 5,577,069 | 217,904 | ||||||||
State Street Navigator Securities Lending Portfolio II | 8,617,679 | 8,617,679 | 400,891,102 | 399,862,234 | — | — | 9,646,547 | 9,646,547 | 27,632 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 850,939 | 196,107,409 | 31,930,807 | 16,342,391 | 1,506,053 | 16,543,103 | 914,736 | 229,744,981 | — | ||||||||
Total | $1,701,302,860 | $1,082,107,422 | $814,218,045 | $18,192,209 | $80,659,467 | $2,068,043,913 | $8,510,325 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,816,423,434 | $— | $— | $1,816,423,434 | ||||
Short-Term Investments | 5,029,356 | — | — | 5,029,356 | ||||
TOTAL INVESTMENTS | $1,821,452,790 | $— | $— | $1,821,452,790 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,550,409 | $43,783,550 | $4,344,315 | $49,053,469 | $(3,331,771) | $4,257,375 | — | $— | $190,353 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 3,411,025 | 99,022,056 | 107,156,855 | 7,036,776 | (3,558,457) | (17,730,206) | 6,801,280 | 177,853,472 | 3,261,028 | ||||||||
State Street Aggregate Bond Index Portfolio | 834,968 | 73,109,809 | 36,795,980 | 2,000,000 | (356,123) | (3,233,034) | 1,228,555 | 104,316,632 | 1,895,980 | ||||||||
State Street Equity 500 Index II Portfolio | 1,497,510 | 521,223,330 | 98,905,620 | 53,573,200 | 20,511,144 | 53,057,593 | 1,626,415 | 640,124,487 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 5,274,484 | 529,294,411 | 124,673,192 | 28,655,018 | 3,706,042 | 23,854,668 | 6,173,159 | 652,873,295 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 5,992,307 | 5,992,307 | 187,075,613 | 188,039,982 | — | — | 5,027,938 | 5,027,938 | 211,661 | ||||||||
State Street Navigator Securities Lending Portfolio II | 4,208,306 | 4,208,306 | 305,403,634 | 309,610,522 | — | — | 1,418 | 1,418 | 6,285 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 873,245 | 201,248,112 | 36,824,404 | 15,700,000 | 1,446,443 | 17,436,589 | 960,565 | 241,255,548 | — | ||||||||
Total | $1,477,881,881 | $901,179,613 | $653,668,967 | $18,417,278 | $77,642,985 | $1,821,452,790 | $5,565,307 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,485,601,540 | $— | $— | $1,485,601,540 | ||||
Short-Term Investments | 18,192,587 | — | — | 18,192,587 | ||||
TOTAL INVESTMENTS | $1,503,794,127 | $— | $— | $1,503,794,127 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 1,195,512 | $33,761,259 | $4,179,634 | $38,655,137 | $(2,561,790) | $3,276,034 | — | $— | $149,535 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 2,634,340 | 76,474,891 | 96,060,743 | 9,788,451 | (4,316,136) | (13,016,781) | 5,560,775 | 145,414,266 | 2,598,187 | ||||||||
State Street Aggregate Bond Index Portfolio | — | — | 11,485,921 | — | — | (359,105) | 131,042 | 11,126,816 | 85,921 | ||||||||
State Street Equity 500 Index II Portfolio | 1,171,429 | 407,727,733 | 101,698,638 | 36,656,232 | 11,593,942 | 46,461,040 | 1,348,710 | 530,825,121 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 4,317,162 | 433,227,206 | 130,795,150 | 19,820,947 | 1,646,150 | 20,039,703 | 5,350,674 | 565,887,262 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 4,200,301 | 4,200,301 | 185,626,299 | 184,112,888 | — | — | 5,713,712 | 5,713,712 | 180,262 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 161,863,535 | 149,384,660 | — | — | 12,478,875 | 12,478,875 | 2,754 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 794,123 | 183,013,633 | 43,900,000 | 11,600,000 | 593,605 | 16,440,837 | 925,100 | 232,348,075 | — | ||||||||
Total | $1,138,405,023 | $735,609,920 | $450,018,315 | $6,955,771 | $72,841,728 | $1,503,794,127 | $3,016,659 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $1,049,391,872 | $— | $— | $1,049,391,872 | ||||
Short-Term Investment | 3,356,455 | — | — | 3,356,455 | ||||
TOTAL INVESTMENTS | $1,052,748,327 | $— | $— | $1,052,748,327 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 822,475 | $23,226,694 | $3,401,937 | $27,125,935 | $(1,474,139) | $1,971,443 | — | $— | $103,122 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,807,688 | 52,477,182 | 66,009,683 | 3,488,682 | (1,676,089) | (10,681,017) | 3,925,089 | 102,641,077 | 1,826,830 | ||||||||
State Street Equity 500 Index II Portfolio | 801,715 | 279,044,897 | 82,628,343 | 26,923,838 | 7,450,944 | 33,143,606 | 953,666 | 375,343,952 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 2,956,344 | 296,669,141 | 106,335,449 | 14,442,349 | 1,232,659 | 13,542,193 | 3,813,702 | 403,337,093 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 3,350,884 | 3,350,884 | 134,128,679 | 134,123,108 | — | — | 3,356,455 | 3,356,455 | 130,749 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 86,606,652 | 86,606,652 | — | — | — | — | 2,039 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 543,319 | 125,213,342 | 37,880,672 | 6,870,000 | 348,029 | 11,497,707 | 669,174 | 168,069,750 | — | ||||||||
Total | $779,982,140 | $516,991,415 | $299,580,564 | $5,881,404 | $49,473,932 | $1,052,748,327 | $2,062,740 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $646,888,323 | $— | $— | $646,888,323 | ||||
Short-Term Investment | 2,173,978 | — | — | 2,173,978 | ||||
TOTAL INVESTMENTS | $649,062,301 | $— | $— | $649,062,301 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 460,560 | $13,006,215 | $2,069,492 | $15,353,800 | $(711,167) | $989,260 | — | $— | $57,521 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,011,237 | 29,356,210 | 45,299,295 | 3,871,725 | (1,783,557) | (5,731,318) | 2,419,461 | 63,268,905 | 1,061,971 | ||||||||
State Street Equity 500 Index II Portfolio | 448,144 | 155,980,834 | 65,147,009 | 12,298,147 | 3,683,955 | 18,815,613 | 587,756 | 231,329,264 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 1,652,550 | 165,833,406 | 80,634,471 | 5,293,225 | 84,666 | 7,427,876 | 2,351,430 | 248,687,194 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 2,404,245 | 2,404,245 | 102,661,587 | 102,891,854 | — | — | 2,173,978 | 2,173,978 | 89,503 | ||||||||
State Street Navigator Securities Lending Portfolio II | — | — | 93,531,072 | 93,531,072 | — | — | — | — | 4,499 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 303,292 | 69,896,645 | 29,960,000 | 2,680,000 | (66,854) | 6,493,169 | 412,498 | 103,602,960 | — | ||||||||
Total | $436,477,555 | $419,302,926 | $235,919,823 | $1,207,043 | $27,994,600 | $649,062,301 | $1,213,494 |
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Mutual Funds and Exchange Traded Products | $161,373,191 | $— | $— | $161,373,191 | ||||
Short-Term Investments | 718,956 | — | — | 718,956 | ||||
TOTAL INVESTMENTS | $162,092,147 | $— | $— | $162,092,147 |
Number of Shares Held at 12/31/22 | Value at 12/31/22 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/23 | Value at 9/30/23 | Dividend Income | |||||||||
SPDR Portfolio Intermediate Term Treasury ETF | 98,768 | $2,789,209 | $674,472 | $3,523,483 | $(83,758) | $143,560 | — | $— | $12,673 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 217,010 | 6,299,800 | 12,467,672 | 1,099,482 | (380,115) | (1,470,629) | 604,866 | 15,817,246 | 247,022 | ||||||||
State Street Equity 500 Index II Portfolio | 96,221 | 33,490,537 | 22,246,555 | 3,003,345 | 86,149 | 4,839,941 | 146,501 | 57,659,837 | — | ||||||||
State Street Global All Cap Equity ex-U.S. Index Portfolio | 354,823 | 35,606,453 | 25,990,419 | 939,755 | (151,307) | 1,564,494 | 586,898 | 62,070,305 | — | ||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 466,771 | 466,771 | 27,384,985 | 27,132,800 | — | — | 718,956 | 718,956 | 23,554 | ||||||||
State Street Navigator Securities Lending Portfolio II | 2,361,615 | 2,361,615 | 25,638,206 | 27,999,821 | — | — | — | — | 1,065 | ||||||||
State Street Small/Mid Cap Equity Index Portfolio | 65,163 | 15,017,488 | 10,056,000 | 619,999 | (258,780) | 1,631,095 | 102,826 | 25,825,803 | — | ||||||||
Total | $96,031,873 | $124,458,309 | $64,318,685 | $(787,811) | $6,708,461 | $162,092,147 | $284,314 |