Page | |
Schedules of Investments (Unaudited) | |
1 | |
4 | |
12 | |
14 | |
20 | |
34 | |
118 | |
120 |
State Street U.S. Equity V.I.S. Fund | 1 |
2 | State Street U.S. Equity V.I.S. Fund |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $19,475,352 | $— | $— | $19,475,352 | ||||
Short-Term Investments | 180,163 | — | — | 180,163 | ||||
Total Investments in Securities | $19,655,515 | $— | $— | $19,655,515 |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 742,013 | $742,013 | $4,172,010 | $4,733,860 | $— | $— | 180,163 | $180,163 | $3,931 |
State Street U.S. Equity V.I.S. Fund | 3 |
4 | State Street S&P 500 Index V.I.S. Fund |
State Street S&P 500 Index V.I.S. Fund | 5 |
6 | State Street S&P 500 Index V.I.S. Fund |
State Street S&P 500 Index V.I.S. Fund | 7 |
8 | State Street S&P 500 Index V.I.S. Fund |
State Street S&P 500 Index V.I.S. Fund | 9 |
10 | State Street S&P 500 Index V.I.S. Fund |
The Fund had the following long futures contracts open at September 30, 2022: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
S&P 500 E-mini Index Futures | December 2022 | 3 | $601,502 | $540,225 | $(61,277) |
(a) | Non-income producing security. |
(b) | State Street Corp. is the parent company of SSGA Funds Management, Inc., the Fund's investment adviser and administrator, and State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(c) | At September 30, 2022, all or a portion of this security was pledged to cover collateral requirements for futures . |
(d) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(e) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2022. |
* | Less than 0.05%. |
Abbreviations: |
REIT - Real Estate Investment Trust |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $141,734,898 | $60,736 | $— | $141,795,634 | ||||
Short-Term Investments | 433,998 | — | — | 433,998 | ||||
Total Investments in Securities | $142,168,896 | $60,736 | $— | $142,229,632 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Depreciation | (61,277) | — | — | (61,277) | ||||
Total Other Financial Instruments | $(61,277) | $— | $— | $(61,277) |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Corp. | 1,906 | $177,258 | $11,428 | $31,068 | $3,795 | $(61,989) | 1,635 | $99,424 | $3,122 | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 741,439 | 741,513 | 20,438,623 | 20,746,487 | 306 | 43 | 433,911 | 433,998 | 6,955 | ||||||||
TOTAL | $918,771 | $20,450,051 | $20,777,555 | $4,101 | $(61,946) | $533,422 | $10,077 |
State Street S&P 500 Index V.I.S. Fund | 11 |
12 | State Street Premier Growth Equity V.I.S. Fund |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2022. |
Abbreviations: |
ADR - American Depositary Receipt |
REIT - Real Estate Investment Trust |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $24,810,936 | $— | $— | $24,810,936 | ||||
Short-Term Investments | 599,823 | — | — | 599,823 | ||||
Total Investments in Securities | $25,410,759 | $— | $— | $25,410,759 |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 820,187 | $820,187 | $5,263,170 | $5,483,534 | $— | $— | 599,823 | $599,823 | $7,606 |
State Street Premier Growth Equity V.I.S. Fund | 13 |
14 | State Street Small-Cap Equity V.I.S. Fund |
State Street Small-Cap Equity V.I.S. Fund | 15 |
16 | State Street Small-Cap Equity V.I.S. Fund |
State Street Small-Cap Equity V.I.S. Fund | 17 |
The Fund had the following long futures contracts open at September 30, 2022: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini Russell 2000 Index Futures | December 2022 | 3 | $272,832 | $250,470 | $(22,362) |
(a) | Non-income producing security. |
(b) | At September 30, 2022, all or a portion of this security was pledged to cover collateral requirements for futures . |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2022. |
* | Less than 0.05%. |
18 | State Street Small-Cap Equity V.I.S. Fund |
Abbreviations: |
REIT - Real Estate Investment Trust |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $23,481,874 | $— | $— | $23,481,874 | ||||
Short-Term Investments | 1,234,423 | — | — | 1,234,423 | ||||
Total Investments in Securities | $24,716,297 | $— | $— | $24,716,297 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Depreciation | (22,362) | — | — | (22,362) | ||||
Total Other Financial Instruments | $(22,362) | $— | $— | $(22,362) |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 1,150,765 | $1,150,765 | $9,495,839 | $9,412,181 | $— | $— | 1,234,423 | $1,234,423 | $11,250 |
State Street Small-Cap Equity V.I.S. Fund | 19 |
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 | $739 | 5.00%/ Quarterly | 12/20/27 | $(30,403) | $(30,402) | $(1) |
The Fund had the following long futures contracts open at September 30, 2022: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
5 Yr. U.S. Treasury Notes Futures | December 2022 | 3 | $326,474 | $322,524 | $(3,950) | |||||
2 Yr. U.S. Treasury Notes Futures | December 2022 | 6 | 1,253,183 | 1,232,343 | (20,840) | |||||
$(24,790) |
The Fund had the following short futures contracts open at September 30, 2022: |
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
U.S. Long Bond Futures | December 2022 | 2 | $(271,294) | $(252,813) | $18,481 | |||||
10 Yr. U.S. Treasury Notes Futures | December 2022 | 3 | (351,788) | (336,188) | 15,600 | |||||
10 Yr. U.S. Treasury Ultra Futures | December 2022 | 4 | (501,705) | (473,937) | 27,768 | |||||
$61,849 | ||||||||||
(a) | At September 30, 2022, all or a portion of this security was pledged to cover collateral requirements for futures swaps and/or TBAs. |
(b) | Step coupon bond. |
(c) | Variable Rate Security - Interest rate shown is rate in effect at September 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(d) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
(e) | 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. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the "principal only" holder. |
32 |
(g) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, these securities amounted to $266,590 or 2.43% of the net assets of the State Street Income V.I.S. Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Directors. |
(h) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(i) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2022. |
** | Amount is less than $0.50. |
Abbreviations: |
CMT - Constant Maturity Treasury |
LIBOR - London Interbank Offered Rate |
REMIC - Real Estate Mortgage Investment Conduit |
SOFR - Secured Overnight Financing Rate |
STRIPS - Separate Trading of Registered Interest and Principal of Security |
TBA - To Be Announced |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
U.S. Treasuries | $— | $3,763,859 | $— | $3,763,859 | ||||
Agency Mortgage Backed | — | 2,733,129 | — | 2,733,129 | ||||
Agency Collateralized Mortgage Obligations | — | 106,792 | — | 106,792 | ||||
Asset Backed | — | 26,069 | — | 26,069 | ||||
Corporate Notes | — | 2,934,573 | — | 2,934,573 | ||||
Non-Agency Collateralized Mortgage Obligations | — | 688,619 | — | 688,619 | ||||
Sovereign Bonds | — | 53,681 | — | 53,681 | ||||
Municipal Bonds and Notes | — | 68,937 | — | 68,937 | ||||
Preferred Stock | 20,924 | — | — | 20,924 | ||||
Short-Term Investments | 1,516,189 | — | — | 1,516,189 | ||||
Total Investments in Securities | $1,537,113 | $10,375,659 | $— | $11,912,772 | ||||
Other Financial Instruments | ||||||||
Credit Default Swap Contracts - Unrealized Depreciation | — | (1) | — | (1) | ||||
Long Futures Contracts - Unrealized Depreciation | (24,790) | — | — | (24,790) | ||||
Short Futures Contracts - Unrealized Appreciation | 61,849 | — | — | 61,849 | ||||
Total Other Financial Instruments | $37,059 | $(1) | $— | $37,058 |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 1,652,318 | $1,652,318 | $4,646,615 | $4,782,744 | $— | $— | 1,516,189 | $1,516,189 | $6,473 |
33 |
34 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 35 |
36 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 37 |
38 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 39 |
40 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 41 |
42 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 43 |
44 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 45 |
46 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 47 |
48 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 49 |
50 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 51 |
52 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 53 |
54 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 55 |
56 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 57 |
58 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 59 |
60 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 61 |
62 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 63 |
64 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 65 |
66 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 67 |
68 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 69 |
70 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 71 |
72 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 73 |
74 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 75 |
76 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 77 |
78 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 79 |
80 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 81 |
82 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 83 |
84 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 85 |
86 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 87 |
88 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 89 |
90 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 91 |
92 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 93 |
94 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 95 |
96 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 97 |
98 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 99 |
100 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 101 |
102 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 103 |
104 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 105 |
106 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 107 |
108 | State Street Total Return V.I.S. Fund |
State Street Total Return V.I.S. Fund | 109 |
Number of Shares | Fair Value | ||
Short-Term Investments - 12.3% | |||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.98% (i)(j) (Cost $158,407,212) | 158,407,212 | $158,407,212 | |
Total Investments (Cost $1,494,747,014) | 1,299,603,383 | ||
Liabilities in Excess of Other Assets, net - (0.8)% | (10,259,495) | ||
NET ASSETS - 100.0% | $1,289,343,888 |
The Fund had the following long futures contracts open at September 30, 2022: |
Description | Expiration Date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
E-mini Russell 2000 Index Futures | December 2022 | 14 | $1,276,215 | $1,168,860 | $(107,355) | |||||
MSCI Emerging Markets Index Futures | December 2022 | 75 | 3,661,369 | 3,268,125 | (393,243) | |||||
MSCI EAFE Mini Index Futures | December 2022 | 98 | 9,170,072 | 8,136,940 | (1,033,132) | |||||
S&P/Toronto Stock Exchange 60 Index | December 2022 | 6 | 1,043,599 | 974,637 | (68,962) | |||||
E-Mini Russell 1000 Index Futures | December 2022 | 17 | 1,909,009 | 1,680,875 | (228,134) | |||||
$(1,830,826) |
(a) | Non-income producing security. |
(b) | At September 30, 2022, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBAs. |
(c) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund's Board of Directors. Security value is determined based on level 3 inputs. |
(d) | State Street Corp. is the parent company of SSGA Funds Management, Inc., the Fund's investment adviser and administrator, and State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(e) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, these securities amounted to $8,018,285 or 0.62% of the net assets of the State Street Total Return V.I.S. Fund. These securities have been determined to be liquid using procedures established by the Fund's Board of Directors. |
(f) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
(g) | Variable Rate Security - Interest rate shown is rate in effect at September 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(h) | Step coupon bond. |
110 | State Street Total Return V.I.S. Fund |
(i) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(j) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2022. |
* | Less than 0.05%. |
** | Amount is less than $0.50. |
Abbreviations: |
ADR - American Depositary Receipt |
CMT - Constant Maturity Treasury |
GDR - Global Depositary Receipt |
LIBOR - London Interbank Offered Rate |
NVDR - Non-Voting Depositary Receipt |
REIT - Real Estate Investment Trust |
SOFR - Secured Overnight Financing Rate |
TBA - To Be Announced |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Domestic Equity | $329,724,375 | $696,450 | $—(a) | $330,420,825 | ||||
Foreign Equity | 48,598,830 | 281,174,191 | 26,317 | 329,799,338 | ||||
U.S. Treasuries | — | 169,590,988 | — | 169,590,988 | ||||
Agency Mortgage Backed | — | 74,537,427 | — | 74,537,427 | ||||
Agency Collateralized Mortgage Obligations | — | 2,365,157 | — | 2,365,157 | ||||
Asset Backed | — | 868,450 | — | 868,450 | ||||
Corporate Notes | — | 65,459,468 | — | 65,459,468 | ||||
Non-Agency Collateralized Mortgage Obligations | — | 2,812,082 | — | 2,812,082 | ||||
Sovereign Bonds | — | 4,052,745 | — | 4,052,745 | ||||
Municipal Bonds and Notes | — | 1,642,935 | — | 1,642,935 | ||||
Exchange Traded & Mutual Funds | 159,646,756 | — | — | 159,646,756 | ||||
Short-Term Investments | 158,407,212 | — | — | 158,407,212 | ||||
Total Investments in Securities | $696,377,173 | $603,199,893 | $26,317 | $1,299,603,383 | ||||
Other Financial Instruments | ||||||||
Long Futures Contracts - Unrealized Depreciation | (1,830,826) | — | — | (1,830,826) |
(a) | The Fund held Level 3 securities that were valued at $0 at September 30, 2022. |
State Street Total Return V.I.S. Fund | 111 |
Country/Territory | Percentage (based on Fair Value) | |
United States | 73.74% | |
Japan | 4.19% | |
United Kingdom | 2.91% | |
Canada | 2.66% | |
France | 1.87% | |
Switzerland | 1.65% | |
Australia | 1.48% | |
Germany | 1.40% | |
China | 1.36% | |
Netherlands | 0.86% | |
India | 0.71% | |
Hong Kong | 0.66% | |
Taiwan | 0.63% | |
Sweden | 0.57% | |
South Korea | 0.52% | |
Denmark | 0.48% | |
Spain | 0.44% | |
Ireland | 0.43% | |
Italy | 0.36% | |
Singapore | 0.29% | |
Brazil | 0.27% | |
Supranational | 0.26% | |
Finland | 0.23% | |
Saudi Arabia | 0.21% | |
Israel | 0.16% | |
Mexico | 0.16% | |
Norway | 0.16% | |
South Africa | 0.15% | |
Belgium | 0.15% | |
Indonesia | 0.12% | |
Thailand | 0.10% | |
Malaysia | 0.07% | |
UAE | 0.07% | |
Bermuda | 0.06% | |
Philippines | 0.06% | |
Luxembourg | 0.06% | |
Chile | 0.06% | |
Qatar | 0.05% | |
Kuwait | 0.05% | |
New Zealand | 0.04% | |
Austria | 0.04% | |
Peru | 0.03% | |
Portugal | 0.03% | |
Poland | 0.03% | |
Uruguay | 0.02% | |
Puerto Rico | 0.02% | |
Panama | 0.02% | |
Turkey | 0.01% | |
Cayman Islands | 0.01% | |
Greece | 0.01% | |
Mult | 0.01% | |
Isle Of Man | 0.01% | |
Macau | 0.01% | |
Czech | 0.01% | |
Hungary | 0.01% | |
Monaco | 0.01% | |
Colombia | 0.01% | |
Jersey | 0.01% | |
Brunei | 0.00%*** | |
Jordan | 0.00%*** | |
Guernsey | 0.00%*** | |
Egypt | 0.00%*** | |
Bahamas | 0.00%*** | |
Russian Federation | 0.00%*** | |
Cyprus | 0.00%*** | |
100.00% |
*** | Less than 0.005%. |
Industry | Domestic | Foreign | Total | |||
Exchange Traded Funds | 12.28% | 0.00% | 12.28% | |||
Diversified Banks | 0.49% | 2.98% | 3.47% | |||
Pharmaceuticals | 0.97% | 1.79% | 2.76% |
112 | State Street Total Return V.I.S. Fund |
Industry | Domestic | Foreign | Total | |||
Technology Hardware, Storage & Peripherals | 1.35% | 0.30% | 1.65% | |||
Systems Software | 1.35% | 0.05% | 1.40% | |||
Integrated Oil & Gas | 0.42% | 0.90% | 1.32% | |||
Semiconductors | 0.85% | 0.47% | 1.32% | |||
Interactive Media & Services | 0.94% | 0.28% | 1.22% | |||
Biotechnology | 0.94% | 0.24% | 1.18% | |||
Automobile Manufacturers | 0.49% | 0.67% | 1.16% | |||
Application Software | 0.76% | 0.30% | 1.06% | |||
Internet & Direct Marketing Retail | 0.66% | 0.39% | 1.05% | |||
Packaged Foods & Meats | 0.70% | 0.30% | 1.00% | |||
Healthcare Equipment | 0.59% | 0.29% | 0.88% | |||
Electric Utilities | 0.43% | 0.46% | 0.89% | |||
Regional Banks | 0.82% | 0.04% | 0.86% | |||
Data Processing & Outsourced Services | 0.70% | 0.14% | 0.84% | |||
Industrial Machinery | 0.33% | 0.34% | 0.67% | |||
Oil & Gas Exploration & Production | 0.44% | 0.23% | 0.67% | |||
Life & Health Insurance | 0.12% | 0.54% | 0.66% | |||
Aerospace & Defense | 0.38% | 0.25% | 0.63% | |||
Integrated Telecommunication Services | 0.17% | 0.45% | 0.62% | |||
Apparel, Accessories & Luxury Goods | 0.03% | 0.56% | 0.59% | |||
Diversified Metals & Mining | 0.02% | 0.55% | 0.57% | |||
Life Sciences Tools & Services | 0.41% | 0.15% | 0.56% | |||
Semiconductor Equipment | 0.18% | 0.38% | 0.56% | |||
Specialty Chemicals | 0.23% | 0.33% | 0.56% | |||
IT Consulting & Other Services | 0.13% | 0.37% | 0.50% | |||
Property & Casualty Insurance | 0.22% | 0.27% | 0.49% | |||
Personal Products | 0.07% | 0.41% | 0.48% | |||
Industrial Conglomerates | 0.15% | 0.33% | 0.48% | |||
Trading Companies & Distributors | 0.14% | 0.33% | 0.47% | |||
Electrical Components & Equipment | 0.28% | 0.18% | 0.46% | |||
Managed Healthcare | 0.45% | 0.01% | 0.46% | |||
Railroads | 0.14% | 0.32% | 0.46% | |||
Asset Management & Custody Banks | 0.24% | 0.19% | 0.43% | |||
Financial Exchanges & Data | 0.23% | 0.21% | 0.44% | |||
Restaurants | 0.31% | 0.11% | 0.42% | |||
Household Products | 0.28% | 0.14% | 0.42% | |||
Multi-Sector Holdings | 0.30% | 0.10% | 0.40% | |||
Multi-Line Insurance | 0.04% | 0.35% | 0.39% | |||
Food Retail | 0.04% | 0.35% | 0.39% | |||
Soft Drinks | 0.33% | 0.05% | 0.38% | |||
Wireless Telecommunication Services | 0.06% | 0.33% | 0.39% | |||
Building Products | 0.16% | 0.22% | 0.38% |
State Street Total Return V.I.S. Fund | 113 |
Industry | Domestic | Foreign | Total | |||
Research & Consulting Services | 0.14% | 0.24% | 0.38% | |||
Oil & Gas Storage & Transportation | 0.11% | 0.23% | 0.34% | |||
Multi-Utilities | 0.19% | 0.15% | 0.34% | |||
Tobacco | 0.13% | 0.21% | 0.34% | |||
Investment Banking & Brokerage | 0.26% | 0.06% | 0.32% | |||
Healthcare Services | 0.27% | 0.04% | 0.31% | |||
Specialized REITs | 0.30% | 0.00% | 0.30% | |||
Hypermarkets & Super Centers | 0.25% | 0.05% | 0.30% | |||
Construction & Engineering | 0.11% | 0.18% | 0.29% | |||
Distillers & Vintners | 0.04% | 0.25% | 0.29% | |||
Oil & Gas Refining & Marketing | 0.12% | 0.16% | 0.28% | |||
Construction Machinery & Heavy Trucks | 0.14% | 0.14% | 0.28% | |||
Communications Equipment | 0.21% | 0.07% | 0.28% | |||
Healthcare Supplies | 0.10% | 0.18% | 0.28% | |||
Movies & Entertainment | 0.22% | 0.05% | 0.27% | |||
Electronic Components | 0.07% | 0.20% | 0.27% | |||
Home Improvement Retail | 0.25% | 0.01% | 0.26% | |||
Interactive Home Entertainment | 0.08% | 0.18% | 0.26% | |||
Electronic Equipment & Instruments | 0.10% | 0.15% | 0.25% | |||
Steel | 0.08% | 0.16% | 0.24% | |||
Air Freight & Logistics | 0.14% | 0.11% | 0.25% | |||
Retail REITs | 0.15% | 0.08% | 0.23% | |||
Gold | 0.03% | 0.18% | 0.21% | |||
Commodity Chemicals | 0.06% | 0.14% | 0.20% | |||
Apparel Retail | 0.11% | 0.10% | 0.21% | |||
Industrial Gases | 0.03% | 0.17% | 0.20% | |||
Hotels, Resorts & Cruise Lines | 0.16% | 0.05% | 0.21% | |||
Brewers | 0.01% | 0.19% | 0.20% | |||
Casinos & Gaming | 0.06% | 0.13% | 0.19% | |||
Gas Utilities | 0.08% | 0.12% | 0.20% | |||
Auto Parts & Equipment | 0.08% | 0.11% | 0.19% | |||
General Merchandise Stores | 0.10% | 0.09% | 0.19% | |||
Industrial REITs | 0.11% | 0.07% | 0.18% | |||
Consumer Finance | 0.15% | 0.03% | 0.18% | |||
Fertilizers & Agricultural Chemicals | 0.06% | 0.11% | 0.17% | |||
Construction Materials | 0.04% | 0.13% | 0.17% | |||
Diversified Capital Markets | 0.00% | 0.17% | 0.17% | |||
Consumer Electronics | 0.01% | 0.16% | 0.17% | |||
Diversified Real Estate Activities | 0.00% | 0.16% | 0.16% | |||
Internet Services & Infrastructure | 0.10% | 0.05% | 0.15% | |||
Home Building | 0.10% | 0.05% | 0.15% | |||
Cable & Satellite | 0.12% | 0.03% | 0.15% | |||
Human Resource & Employment Services | 0.07% | 0.08% | 0.15% |
114 | State Street Total Return V.I.S. Fund |
Industry | Domestic | Foreign | Total | |||
Automotive Retail | 0.12% | 0.02% | 0.14% | |||
Residential REITs | 0.13% | 0.00% | 0.13% | |||
Insurance Brokers | 0.12% | 0.01% | 0.13% | |||
Trucking | 0.11% | 0.02% | 0.13% | |||
Oil & Gas Equipment & Services | 0.12% | 0.01% | 0.13% | |||
Other Diversified Financial Services | 0.03% | 0.10% | 0.13% | |||
Reinsurance | 0.01% | 0.11% | 0.12% | |||
Environmental & Facilities Services | 0.10% | 0.02% | 0.12% | |||
Real Estate Operating Companies | 0.01% | 0.11% | 0.12% | |||
Agricultural & Farm Machinery | 0.07% | 0.04% | 0.11% | |||
Healthcare Facilities | 0.07% | 0.04% | 0.11% | |||
Diversified Chemicals | 0.01% | 0.10% | 0.11% | |||
Office REITs | 0.07% | 0.03% | 0.10% | |||
Marine | 0.01% | 0.09% | 0.10% | |||
Footwear | 0.09% | 0.01% | 0.10% | |||
Specialty Stores | 0.08% | 0.02% | 0.10% | |||
Diversified REITs | 0.05% | 0.05% | 0.10% | |||
Leisure Products | 0.04% | 0.05% | 0.09% | |||
Airlines | 0.06% | 0.04% | 0.10% | |||
Advertising | 0.03% | 0.06% | 0.09% | |||
Healthcare Distributors | 0.08% | 0.01% | 0.09% | |||
Thrifts & Mortgage Finance | 0.09% | 0.00% | 0.09% | |||
Heavy Electrical Equipment | 0.01% | 0.07% | 0.08% | |||
Health Care REITs | 0.09% | 0.00% | 0.09% | |||
Renewable Electricity | 0.04% | 0.04% | 0.08% | |||
Electronic Manufacturing Services | 0.03% | 0.05% | 0.08% | |||
Diversified Support Services | 0.06% | 0.03% | 0.09% | |||
Real Estate Development | 0.00% | 0.08% | 0.08% | |||
Mortgage REITs | 0.08% | 0.00% | 0.08% | |||
Coal & Consumable Fuels | 0.02% | 0.05% | 0.07% | |||
Healthcare Technology | 0.06% | 0.02% | 0.08% | |||
Independent Power Producers & Energy Traders | 0.02% | 0.06% | 0.08% | |||
Water Utilities | 0.05% | 0.03% | 0.08% | |||
Paper Products | 0.01% | 0.07% | 0.08% | |||
Paper Packaging | 0.04% | 0.03% | 0.07% | |||
Highways & Railtracks | 0.00% | 0.07% | 0.07% | |||
Agricultural Products | 0.05% | 0.02% | 0.07% | |||
Tires & Rubber | 0.01% | 0.06% | 0.07% | |||
Real Estate Services | 0.04% | 0.02% | 0.06% | |||
Leisure Facilities | 0.02% | 0.04% | 0.06% | |||
Copper | 0.02% | 0.03% | 0.05% | |||
Education Services | 0.05% | 0.01% | 0.06% | |||
Hotel & Resort REITs | 0.06% | 0.00% | 0.06% | |||
Broadcasting | 0.04% | 0.01% | 0.05% | |||
Metal & Glass Containers | 0.04% | 0.01% | 0.05% | |||
Food Distributors | 0.04% | 0.01% | 0.05% | |||
Technology Distributors | 0.03% | 0.01% | 0.04% | |||
Airport Services | 0.00% | 0.04% | 0.04% | |||
Aluminum | 0.01% | 0.03% | 0.04% |
State Street Total Return V.I.S. Fund | 115 |
Industry | Domestic | Foreign | Total | |||
Oil & Gas Drilling | 0.03% | 0.01% | 0.04% | |||
Security & Alarm Services | 0.01% | 0.02% | 0.03% | |||
Alternative Carriers | 0.03% | 0.00% | 0.03% | |||
Distributors | 0.03% | 0.00% | 0.03% | |||
Household Appliances | 0.01% | 0.01% | 0.02% | |||
Department Stores | 0.01% | 0.02% | 0.03% | |||
Specialized Consumer Services | 0.02% | 0.00% | 0.02% | |||
Drug Retail | 0.01% | 0.01% | 0.02% | |||
Publishing | 0.01% | 0.01% | 0.02% | |||
Motorcycle Manufacturers | 0.00% | 0.02% | 0.02% | |||
Home Furnishing Retail | 0.01% | 0.01% | 0.02% | |||
Commercial Printing | 0.01% | 0.01% | 0.02% | |||
Forest Products | 0.00% | 0.02% | 0.02% | |||
Computer & Electronics Retail | 0.01% | 0.00% | 0.01% | |||
Precious Metals & Minerals | 0.00% | 0.02% | 0.02% | |||
Home Furnishings | 0.01% | 0.00% | 0.01% | |||
Office Services & Supplies | 0.01% | 0.00% | 0.01% | |||
Specialized Finance | 0.00% | 0.01% | 0.01% | |||
Silver | 0.01% | 0.00% | 0.01% | |||
Marine Ports & Services | 0.00% | 0.01% | 0.01% | |||
Housewares & Specialties | 0.00% | 0.00% | 0.00%(a) | |||
Textiles | 0.00% | 0.00% | 0.00%(a) | |||
63.08% |
Sector | Percentage (based on Fair Value) | ||
U.S. Treasuries | 13.05% | ||
Agency Mortgage Backed | 5.73% | ||
Corporate Notes | 5.04% | ||
Sovereign Bonds | 0.31% | ||
Non-Agency Collateralized Mortgage Obligations | 0.22% | ||
Agency Collateralized Mortgage Obligations | 0.18% | ||
Municipal Bonds and Notes | 0.13% | ||
Asset Backed | 0.07% | ||
24.73% |
Short-Term Investments | Percentage (based on Fair Value) | ||
Short-Term Investments | 12.19% | ||
100.00% |
(a) | Security is fair valued by the Valuation Committee, in accordance with the procedures approved by the Fund's Board of Directors. Security value is determined based on level 3 inputs. |
116 | State Street Total Return V.I.S. Fund |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
SPDR Bloomberg High Yield Bond ETF | 162,526 | $17,645,448 | $148,020,553 | $146,117,242 | $(5,176,580) | $(1,127,386) | 150,766 | $13,244,793 | $745,054 | ||||||||
SPDR Bloomberg International Treasury Bond ETF | — | — | 76,748,740 | 29,838,554 | (2,635,832) | (4,281,087) | 1,919,984 | 39,993,267 | 127,488 | ||||||||
SPDR Gold Shares | — | — | 42,509,507 | 39,739,142 | (2,770,365) | — | — | — | — | ||||||||
SPDR Portfolio Long Term Corporate Bond ETF | 2,247,586 | 70,754,007 | 13,077,550 | 70,924,271 | (13,606,645) | 699,359 | — | — | 641,369 | ||||||||
SPDR Portfolio Long Term Treasury ETF | 1,659,803 | 69,960,696 | 72,788,613 | 43,367,902 | (8,279,656) | (24,500,968) | 2,246,990 | 66,600,783 | 1,480,742 | ||||||||
State Street Corp. | 4,200 | 390,600 | 133,117 | 209,838 | (16,997) | (116,824) | 2,961 | 180,058 | 6,495 | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 81,590,671 | 81,590,671 | 1,081,826,143 | 1,005,009,602 | — | — | 158,407,212 | 158,407,212 | 948,564 | ||||||||
TOTAL | $240,341,422 | $1,435,104,223 | $1,335,206,551 | $(32,486,075) | $(29,326,906) | $278,426,113 | $3,949,712 |
State Street Total Return V.I.S. Fund | 117 |
118 | State Street Real Estate Securities V.I.S. Fund |
Investments | Level 1 | Level 2 | Level 3 | Total | ||||
Investments in Securities | ||||||||
Common Stock | $39,269,819 | $— | $— | $39,269,819 | ||||
Short-Term Investments | 395,383 | — | — | 395,383 | ||||
Total Investments in Securities | $39,665,202 | $— | $— | $39,665,202 |
Affiliate Table |
Number of Shares Held at 12/31/21 | Value at 12/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Number of Shares Held at 9/30/22 | Value at 9/30/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 312,731 | $312,731 | $26,157,934 | $26,075,282 | $— | $— | 395,383 | $395,383 | $2,908 |
State Street Real Estate Securities V.I.S. Fund | 119 |
Fund | Strategies | |
State Street S&P 500 Index V.I.S. Fund | Equitization of cash | |
State Street Small-Cap Equity V.I.S. Fund | Equitization of cash | |
State Street Income V.I.S. Fund | Management of Interest Rate Risk | |
State Street Total Return V.I.S. Fund | Equitization of cash | |