STATE STREET VARIABLE INSURANCE SERIES FUNDS, INC.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED
SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04041
STATE STREET VARIABLE INSURANCE SERIES FUNDS, INC.
(Exact name of registrant as specified in charter)
One Iron
Street
Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
|
|
|
(Name and Address of Agent for Service) |
|
Copy to: |
|
|
Sean OMalley, Esq.
Senior Vice President and General Counsel
c/o SSGA Funds Management, Inc.
One Iron Street Boston,
Massachusetts 02210 |
|
Timothy W. Diggins, Esq.
Ropes & Gray LLP
Prudential Tower 800
Boylston Street Boston, Massachusetts 02199-3600 |
Registrants telephone number, including area code:
800-242-0134
Date of fiscal year end:
December 31
Date of reporting period: June 30, 2023
Item 1. Shareholder Reports.
(a) |
The Report to Shareholders is attached herewith. |
Semi-Annual Report
June 30, 2023
State Street S&P 500 Index
V.I.S. Fund |
State Street S&P 500 Index V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
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Page
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1
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4
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Financial
Statements |
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15
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16
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17
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18
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19
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24
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This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street S&P 500 Index
V.I.S. Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street S&P 500 Index V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its
affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street S&P 500 Index V.I.S. Fund |
1
|
State Street S&P 500 Index
V.I.S. Fund
Fund Information, continued — June 30,
2023 (Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $166,905 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
Apple,
Inc. |
7.48%
|
Microsoft
Corp. |
6.59%
|
Amazon.com,
Inc. |
3.02%
|
NVIDIA
Corp. |
2.72%
|
Alphabet,
Inc., Class A |
1.85%
|
Tesla,
Inc. |
1.83%
|
Meta
Platforms, Inc., Class A |
1.66%
|
Alphabet,
Inc., Class C |
1.60%
|
Berkshire
Hathaway, Inc., Class B |
1.58%
|
UnitedHealth
Group, Inc. |
1.17%
|
|
(a)
|
Fair Value
basis is inclusive of a short-term investment in the State Street Institutional Liquid Reserve Fund, Premier Class. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Understanding Your Fund’s Expenses
— June 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,167.00
|
|
$1,023.20
|
Expenses
Paid During Period* |
$
1.72 |
|
$
1.61 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 0.32% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street S&P 500 Index V.I.S. Fund |
3
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments — June 30, 2023
(Unaudited)
|
Number
of Shares |
Fair
Value |
Common
Stock - 96.7% † |
Advertising
- 0.1% |
Interpublic
Group of Cos., Inc. |
1,662
|
$
64,120 |
Omnicom
Group, Inc. |
814
|
77,452
|
|
|
141,572
|
Aerospace
& Defense - 1.6% |
Axon
Enterprise, Inc. (a) |
300
|
58,536
|
Boeing
Co. (a) |
2,418
|
510,585
|
General
Dynamics Corp. |
999
|
214,935
|
Howmet
Aerospace, Inc. |
1,436
|
71,168
|
Huntington
Ingalls Industries, Inc. |
200
|
45,520
|
L3Harris
Technologies, Inc. |
842
|
164,838
|
Lockheed
Martin Corp. |
984
|
453,014
|
Northrop
Grumman Corp. |
595
|
271,201
|
Raytheon
Technologies Corp. |
6,357
|
622,732
|
Textron,
Inc. |
1,023
|
69,185
|
TransDigm
Group, Inc. |
217
|
194,035
|
|
|
2,675,749
|
Agricultural
& Farm Machinery - 0.3% |
Deere
& Co. |
1,171
|
474,478
|
Agricultural
Products & Services - 0.1% |
Archer-Daniels-Midland
Co. (b) |
2,287
|
172,806
|
Bunge
Ltd. |
700
|
66,045
|
|
|
238,851
|
Air
Freight & Logistics - 0.6% |
CH
Robinson Worldwide, Inc. |
552
|
52,081
|
Expeditors
International of Washington, Inc. |
713
|
86,366
|
FedEx
Corp. |
1,036
|
256,824
|
United
Parcel Service, Inc., Class B |
3,156
|
565,713
|
|
|
960,984
|
Apparel
Retail - 0.4% |
Ross
Stores, Inc. |
1,479
|
165,840
|
TJX
Cos., Inc. |
5,014
|
425,137
|
|
|
590,977
|
Apparel,
Accessories & Luxury Goods - 0.1% |
Ralph
Lauren Corp. |
170
|
20,961
|
Tapestry,
Inc. |
1,189
|
50,889
|
VF
Corp. |
1,441
|
27,509
|
|
|
99,359
|
|
Number
of Shares |
Fair
Value |
Application
Software - 2.3% |
Adobe,
Inc. (a)(b) |
1,989
|
$
972,601 |
ANSYS,
Inc. (a) |
358
|
118,237
|
Autodesk,
Inc. (a) |
963
|
197,039
|
Cadence
Design Systems, Inc. (a) |
1,224
|
287,052
|
Fair
Isaac Corp. (a) |
100
|
80,921
|
Intuit,
Inc. |
1,216
|
557,159
|
PTC,
Inc. (a) |
500
|
71,150
|
Roper
Technologies, Inc. |
430
|
206,744
|
Salesforce,
Inc. (a) |
4,289
|
906,094
|
Synopsys,
Inc. (a) |
682
|
296,950
|
Tyler
Technologies, Inc. (a) |
200
|
83,294
|
|
|
3,777,241
|
Asset
Management & Custody Banks - 0.7% |
Ameriprise
Financial, Inc. |
475
|
157,776
|
Bank
of New York Mellon Corp. |
3,217
|
143,221
|
BlackRock,
Inc. |
657
|
454,079
|
Franklin
Resources, Inc. |
1,491
|
39,825
|
Invesco
Ltd. |
1,674
|
28,140
|
Northern
Trust Corp. |
920
|
68,209
|
State
Street Corp. (c) |
1,468
|
107,428
|
T
Rowe Price Group, Inc. |
928
|
103,954
|
|
|
1,102,632
|
Automobile
Manufacturers - 2.1% |
Ford
Motor Co. |
17,533
|
265,274
|
General
Motors Co. |
6,122
|
236,065
|
Tesla,
Inc. (a) |
11,683
|
3,058,259
|
|
|
3,559,598
|
Automotive
Parts & Equipment - 0.1% |
Aptiv
PLC (a) |
1,165
|
118,935
|
BorgWarner,
Inc. |
863
|
42,209
|
|
|
161,144
|
Automotive
Retail - 0.3% |
Advance
Auto Parts, Inc. (b) |
304
|
21,371
|
AutoZone,
Inc. (a) |
81
|
201,962
|
CarMax,
Inc. (a) |
678
|
56,749
|
O'Reilly
Automotive, Inc. (a) |
279
|
266,529
|
|
|
546,611
|
Biotechnology
- 1.8% |
AbbVie,
Inc. |
7,645
|
1,030,011
|
Amgen,
Inc. |
2,306
|
511,978
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Biogen,
Inc. (a) |
625
|
$
178,031 |
Gilead
Sciences, Inc. |
5,394
|
415,716
|
Incyte
Corp. (a) |
768
|
47,808
|
Moderna,
Inc. (a) |
1,415
|
171,922
|
Regeneron
Pharmaceuticals, Inc. (a) |
466
|
334,840
|
Vertex
Pharmaceuticals, Inc. (a) |
1,117
|
393,083
|
|
|
3,083,389
|
Brewers
- 0.0%* |
Molson
Coors Beverage Co., Class B |
810
|
53,330
|
Broadcasting
- 0.1% |
Fox
Corp., Class A |
1,167
|
39,678
|
Fox
Corp., Class B |
740
|
23,598
|
Paramount
Global, Class B |
2,036
|
32,393
|
|
|
95,669
|
Broadline
Retail - 3.1% |
Amazon.com,
Inc. (a)(b) |
38,714
|
5,046,757
|
eBay,
Inc. |
2,497
|
111,591
|
Etsy,
Inc. (a) |
600
|
50,766
|
|
|
5,209,114
|
Building
Products - 0.4% |
A
O Smith Corp. (b) |
607
|
44,177
|
Allegion
PLC |
398
|
47,768
|
Carrier
Global Corp. |
3,467
|
172,345
|
Johnson
Controls International PLC |
3,122
|
212,733
|
Masco
Corp. |
1,006
|
57,724
|
Trane
Technologies PLC |
977
|
186,861
|
|
|
721,608
|
Cable
& Satellite - 0.6% |
Charter
Communications, Inc., Class A (a) |
454
|
166,786
|
Comcast
Corp., Class A |
18,264
|
758,869
|
DISH
Network Corp., Class A (a) |
1,098
|
7,236
|
|
|
932,891
|
Cargo
Ground Transportation - 0.1% |
JB
Hunt Transport Services, Inc. |
354
|
64,085
|
|
Number
of Shares |
Fair
Value |
Old
Dominion Freight Line, Inc. |
378
|
$
139,765 |
|
|
203,850
|
Casinos
& Gaming - 0.1% |
Caesars
Entertainment, Inc. (a) |
1,071
|
54,589
|
Las
Vegas Sands Corp. (a) |
1,425
|
82,650
|
MGM
Resorts International |
1,217
|
53,451
|
Wynn
Resorts Ltd. |
481
|
50,798
|
|
|
241,488
|
Commodity
Chemicals - 0.2% |
Dow,
Inc. |
3,126
|
166,491
|
LyondellBasell
Industries NV, Class A |
1,039
|
95,411
|
|
|
261,902
|
Communications
Equipment - 0.8% |
Arista
Networks, Inc. (a)(b) |
1,036
|
167,894
|
Cisco
Systems, Inc. |
17,960
|
929,250
|
F5,
Inc. (a) |
311
|
45,487
|
Juniper
Networks, Inc. |
1,508
|
47,246
|
Motorola
Solutions, Inc. |
715
|
209,695
|
|
|
1,399,572
|
Computer
& Electronics Retail - 0.0%* |
Best
Buy Co., Inc. |
860
|
70,477
|
Construction
& Engineering - 0.1% |
Quanta
Services, Inc. |
633
|
124,353
|
Construction
Machinery & Heavy Transportation Equipment - 0.6% |
Caterpillar,
Inc. |
2,282
|
561,486
|
Cummins,
Inc. |
642
|
157,393
|
PACCAR,
Inc. |
2,217
|
185,452
|
Westinghouse
Air Brake Technologies Corp. |
736
|
80,717
|
|
|
985,048
|
Construction
Materials - 0.2% |
Martin
Marietta Materials, Inc. |
288
|
132,967
|
Vulcan
Materials Co. |
613
|
138,194
|
|
|
271,161
|
Consumer
Electronics - 0.0%* |
Garmin
Ltd. |
700
|
73,003
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street S&P 500 Index V.I.S. Fund |
5
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Consumer
Finance - 0.5% |
American
Express Co. |
2,575
|
$
448,565 |
Capital
One Financial Corp. |
1,670
|
182,648
|
Discover
Financial Services |
1,236
|
144,426
|
Synchrony
Financial |
2,066
|
70,079
|
|
|
845,718
|
Consumer
Staples Merchandise Retail - 1.5% |
Costco
Wholesale Corp. |
1,938
|
1,043,380
|
Dollar
General Corp. |
988
|
167,743
|
Dollar
Tree, Inc. (a) |
861
|
123,554
|
Target
Corp. |
2,036
|
268,548
|
Walmart,
Inc. |
6,128
|
963,199
|
|
|
2,566,424
|
Copper
- 0.1% |
Freeport-McMoRan,
Inc. |
6,129
|
245,160
|
Data
Center REITs - 0.3% |
Digital
Realty Trust, Inc. |
1,208
|
137,555
|
Equinix,
Inc. |
405
|
317,496
|
|
|
455,051
|
Data
Processing & Outsourced Services - 0.1% |
Broadridge
Financial Solutions, Inc. |
562
|
93,084
|
Distillers
& Vintners - 0.1% |
Brown-Forman
Corp., Class B |
755
|
50,419
|
Constellation
Brands, Inc., Class A |
740
|
182,136
|
|
|
232,555
|
Distributors
- 0.1% |
Genuine
Parts Co. |
586
|
99,169
|
LKQ
Corp. |
1,238
|
72,138
|
Pool
Corp. |
151
|
56,571
|
|
|
227,878
|
Diversified
Banks - 2.6% |
Bank
of America Corp. |
30,588
|
877,570
|
Citigroup,
Inc. |
8,446
|
388,854
|
JPMorgan
Chase & Co. |
12,784
|
1,859,305
|
KeyCorp
|
3,987
|
36,840
|
PNC
Financial Services Group, Inc. |
1,799
|
226,584
|
U.S.
Bancorp |
6,014
|
198,702
|
|
Number
of Shares |
Fair
Value |
Wells
Fargo & Co. |
16,360
|
$
698,245 |
|
|
4,286,100
|
Diversified
Support Services - 0.2% |
Cintas
Corp. |
377
|
187,399
|
Copart,
Inc. (a) |
1,888
|
172,205
|
|
|
359,604
|
Drug
Retail - 0.1% |
Walgreens
Boots Alliance, Inc. |
3,007
|
85,669
|
Electric
Utilities - 1.6% |
Alliant
Energy Corp. (b) |
1,156
|
60,667
|
American
Electric Power Company, Inc. |
2,196
|
184,903
|
Constellation
Energy Corp. |
1,411
|
129,177
|
Duke
Energy Corp. |
3,352
|
300,809
|
Edison
International |
1,623
|
112,717
|
Entergy
Corp. |
900
|
87,633
|
Evergy,
Inc. |
1,088
|
63,561
|
Eversource
Energy |
1,562
|
110,777
|
Exelon
Corp. |
4,180
|
170,293
|
FirstEnergy
Corp. |
2,559
|
99,494
|
NextEra
Energy, Inc. |
8,656
|
642,275
|
NRG
Energy, Inc. |
991
|
37,054
|
PG&E
Corp. (a) |
6,600
|
114,048
|
Pinnacle
West Capital Corp. |
489
|
39,834
|
PPL
Corp. |
3,455
|
91,419
|
Southern
Co. |
4,750
|
333,688
|
Xcel
Energy, Inc. |
2,301
|
143,053
|
|
|
2,721,402
|
Electrical
Components & Equipment - 0.6% |
AMETEK,
Inc. |
968
|
156,700
|
Eaton
Corp. PLC |
1,721
|
346,093
|
Emerson
Electric Co. |
2,503
|
226,246
|
Generac
Holdings, Inc. (a) |
324
|
48,318
|
Rockwell
Automation, Inc. |
514
|
169,338
|
|
|
946,695
|
Electronic
Components - 0.2% |
Amphenol
Corp., Class A |
2,565
|
217,897
|
Corning,
Inc. |
3,162
|
110,796
|
|
|
328,693
|
Electronic
Equipment & Instruments - 0.2% |
Keysight
Technologies, Inc. (a) |
798
|
133,625
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
6
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Teledyne
Technologies, Inc. (a) |
194
|
$
79,755 |
Trimble,
Inc. (a) |
941
|
49,817
|
Zebra
Technologies Corp., Class A (a) |
250
|
73,957
|
|
|
337,154
|
Electronic
Manufacturing Services - 0.1% |
TE
Connectivity Ltd. |
1,336
|
187,254
|
Environmental
& Facilities Services - 0.3% |
Republic
Services, Inc. |
892
|
136,627
|
Rollins,
Inc. |
1,200
|
51,396
|
Waste
Management, Inc. |
1,566
|
271,576
|
|
|
459,599
|
Fertilizers
& Agricultural Chemicals - 0.2% |
CF
Industries Holdings, Inc. |
949
|
65,879
|
Corteva,
Inc. |
3,036
|
173,963
|
FMC
Corp. |
553
|
57,700
|
Mosaic
Co. |
1,427
|
49,945
|
|
|
347,487
|
Financial
Exchanges & Data - 1.1% |
Cboe
Global Markets, Inc. |
438
|
60,449
|
CME
Group, Inc. |
1,602
|
296,835
|
FactSet
Research Systems, Inc. |
180
|
72,117
|
Intercontinental
Exchange, Inc. |
2,491
|
281,682
|
MarketAxess
Holdings, Inc. |
180
|
47,056
|
Moody's
Corp. |
674
|
234,363
|
MSCI,
Inc. |
353
|
165,659
|
Nasdaq,
Inc. |
1,512
|
75,373
|
S&P
Global, Inc. |
1,438
|
576,480
|
|
|
1,810,014
|
Food
Distributors - 0.1% |
Sysco
Corp. |
2,160
|
160,272
|
Food
Retail - 0.1% |
Kroger
Co. |
2,948
|
138,556
|
Footwear
- 0.4% |
NIKE,
Inc., Class B |
5,397
|
595,667
|
Gas
Utilities - 0.0%* |
Atmos
Energy Corp. |
560
|
65,150
|
|
Number
of Shares |
Fair
Value |
Gold
- 0.1% |
Newmont
Corp. |
3,499
|
$
149,267 |
Health
Care REITs - 0.2% |
Healthpeak
Properties, Inc. |
2,669
|
53,647
|
Ventas,
Inc. |
1,522
|
71,945
|
Welltower,
Inc. |
2,144
|
173,428
|
|
|
299,020
|
Healthcare
Distributors - 0.3% |
AmerisourceBergen
Corp. |
655
|
126,042
|
Cardinal
Health, Inc. |
1,169
|
110,552
|
Henry
Schein, Inc. (a) |
663
|
53,769
|
McKesson
Corp. |
586
|
250,404
|
|
|
540,767
|
Healthcare
Equipment - 2.6% |
Abbott
Laboratories (b) |
7,624
|
831,168
|
Baxter
International, Inc. |
2,181
|
99,366
|
Becton
Dickinson & Co. |
1,252
|
330,541
|
Boston
Scientific Corp. (a) |
6,209
|
335,845
|
Dexcom,
Inc. (a) |
1,654
|
212,556
|
Edwards
Lifesciences Corp. (a) |
2,731
|
257,615
|
GE
HealthCare Technologies, Inc. |
1,621
|
131,690
|
Hologic,
Inc. (a) |
1,062
|
85,990
|
IDEXX
Laboratories, Inc. (a) |
363
|
182,309
|
Insulet
Corp. (a) |
300
|
86,502
|
Intuitive
Surgical, Inc. (a) |
1,537
|
525,562
|
Medtronic
PLC |
5,729
|
504,725
|
ResMed,
Inc. |
617
|
134,815
|
STERIS
PLC |
400
|
89,992
|
Stryker
Corp. |
1,448
|
441,770
|
Teleflex,
Inc. |
222
|
53,731
|
Zimmer
Biomet Holdings, Inc. |
862
|
125,507
|
|
|
4,429,684
|
Healthcare
Facilities - 0.2% |
HCA
Healthcare, Inc. |
945
|
286,789
|
Universal
Health Services, Inc., Class B |
241
|
38,022
|
|
|
324,811
|
Healthcare
Services - 0.6% |
Cigna
Group |
1,289
|
361,693
|
CVS
Health Corp. |
5,553
|
383,879
|
DaVita,
Inc. (a) |
158
|
15,874
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street S&P 500 Index V.I.S. Fund |
7
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Laboratory
Corp. of America Holdings |
393
|
$
94,843 |
Quest
Diagnostics, Inc. |
458
|
64,377
|
|
|
920,666
|
Healthcare
Supplies - 0.1% |
Align
Technology, Inc. (a)(b) |
287
|
101,495
|
Cooper
Cos., Inc. |
235
|
90,106
|
Dentsply
Sirona, Inc. |
977
|
39,099
|
|
|
230,700
|
Home
Building - 0.3% |
DR
Horton, Inc. |
1,311
|
159,536
|
Lennar
Corp., Class A |
1,136
|
142,352
|
NVR,
Inc. (a) |
12
|
76,207
|
PulteGroup,
Inc. |
907
|
70,456
|
|
|
448,551
|
Home
Furnishings - 0.0%* |
Mohawk
Industries, Inc. (a) |
275
|
28,369
|
Home
Improvement Retail - 1.2% |
Lowe's
Cos., Inc. |
2,650
|
598,105
|
The
Home Depot, Inc. |
4,425
|
1,374,582
|
|
|
1,972,687
|
Hotel
& Resort REITs - 0.0%* |
Host
Hotels & Resorts, Inc. |
2,755
|
46,367
|
Hotels,
Resorts & Cruise Lines - 0.7% |
Booking
Holdings, Inc. (a) |
158
|
426,652
|
Carnival
Corp. (a) |
4,167
|
78,464
|
Expedia
Group, Inc. (a) |
589
|
64,431
|
Hilton
Worldwide Holdings, Inc. |
1,200
|
174,660
|
Marriott
International, Inc., Class A |
1,197
|
219,877
|
Norwegian
Cruise Line Holdings Ltd. (a) |
2,096
|
45,630
|
Royal
Caribbean Cruises Ltd. (a) |
936
|
97,101
|
|
|
1,106,815
|
Household
Appliances - 0.0%* |
Whirlpool
Corp. |
267
|
39,727
|
Household
Products - 1.3% |
Church
& Dwight Co., Inc. |
1,069
|
107,146
|
Clorox
Co. |
513
|
81,588
|
Colgate-Palmolive
Co. |
3,719
|
286,512
|
|
Number
of Shares |
Fair
Value |
Kimberly-Clark
Corp. |
1,455
|
$
200,877 |
The
Procter & Gamble Co. |
10,279
|
1,559,735
|
|
|
2,235,858
|
Housewares
& Specialties - 0.0%* |
Newell
Brands, Inc. |
1,635
|
14,225
|
Human
Resource & Employment Services - 0.4% |
Automatic
Data Processing, Inc. |
1,797
|
394,962
|
Ceridian
HCM Holding, Inc. (a) |
666
|
44,602
|
Paychex,
Inc. |
1,364
|
152,591
|
Paycom
Software, Inc. |
203
|
65,212
|
Robert
Half International, Inc. |
390
|
29,336
|
|
|
686,703
|
Independent
Power Producers & Energy Traders - 0.0%* |
AES
Corp. (b) |
2,716
|
56,303
|
Industrial
Conglomerates - 0.8% |
3M
Co. (b) |
2,466
|
246,822
|
General
Electric Co. |
4,712
|
517,613
|
Honeywell
International, Inc. |
2,929
|
607,768
|
|
|
1,372,203
|
Industrial
Gases - 0.7% |
Air
Products & Chemicals, Inc. (b) |
963
|
288,448
|
Linde
PLC |
2,139
|
815,130
|
|
|
1,103,578
|
Industrial
Machinery & Supplies & Components - 0.8% |
Dover
Corp. |
626
|
92,429
|
Fortive
Corp. |
1,584
|
118,436
|
IDEX
Corp. |
340
|
73,188
|
Illinois
Tool Works, Inc. |
1,194
|
298,691
|
Ingersoll
Rand, Inc. |
1,662
|
108,628
|
Nordson
Corp. |
237
|
58,819
|
Otis
Worldwide Corp. |
1,858
|
165,380
|
Parker-Hannifin
Corp. |
541
|
211,012
|
Pentair
PLC |
696
|
44,962
|
Snap-on,
Inc. |
182
|
52,451
|
Stanley
Black & Decker, Inc. |
649
|
60,818
|
Xylem,
Inc. |
1,057
|
119,039
|
|
|
1,403,853
|
Industrial
REITs - 0.3% |
Prologis,
Inc. |
4,041
|
495,548
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
8
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Insurance
Brokers - 0.7% |
Aon
PLC, Class A |
883
|
$
304,812 |
Arthur
J Gallagher & Co. (b) |
927
|
203,541
|
Brown
& Brown, Inc. |
1,145
|
78,822
|
Marsh
& McLennan Cos., Inc. |
2,107
|
396,284
|
Willis
Towers Watson PLC |
494
|
116,337
|
|
|
1,099,796
|
Integrated
Oil & Gas - 1.9% |
Chevron
Corp. |
7,545
|
1,187,206
|
Exxon
Mobil Corp. |
17,535
|
1,880,629
|
Occidental
Petroleum Corp. |
3,243
|
190,688
|
|
|
3,258,523
|
Integrated
Telecommunication Services - 0.7% |
AT&T,
Inc. (b) |
31,283
|
498,964
|
Verizon
Communications, Inc. |
18,220
|
677,602
|
|
|
1,176,566
|
Interactive
Home Entertainment - 0.3% |
Activision
Blizzard, Inc. (a)(b) |
3,028
|
255,260
|
Electronic
Arts, Inc. |
1,150
|
149,155
|
Take-Two
Interactive Software, Inc. (a) |
736
|
108,310
|
|
|
512,725
|
Interactive
Media & Services - 5.1% |
Alphabet,
Inc., Class C (a) |
22,148
|
2,679,244
|
Alphabet,
Inc., Class A (a) |
25,775
|
3,085,267
|
Match
Group, Inc. (a) |
1,240
|
51,894
|
Meta
Platforms, Inc., Class A (a) |
9,632
|
2,764,191
|
|
|
8,580,596
|
Internet
Services & Infrastructure - 0.1% |
Akamai
Technologies, Inc. (a)(b) |
614
|
55,180
|
VeriSign,
Inc. (a) |
374
|
84,513
|
|
|
139,693
|
Investment
Banking & Brokerage - 0.8% |
Goldman
Sachs Group, Inc. |
1,474
|
475,424
|
Morgan
Stanley |
5,680
|
485,072
|
Raymond
James Financial, Inc. |
793
|
82,290
|
The
Charles Schwab Corp. |
6,592
|
373,634
|
|
|
1,416,420
|
|
Number
of Shares |
Fair
Value |
IT
Consulting & Other Services - 1.0% |
Accenture
PLC, Class A (b) |
2,734
|
$
843,658 |
Cognizant
Technology Solutions Corp., Class A |
2,337
|
152,559
|
DXC
Technology Co. (a) |
1,002
|
26,773
|
EPAM
Systems, Inc. (a) |
273
|
61,357
|
Gartner,
Inc. (a) |
328
|
114,902
|
International
Business Machines Corp. |
3,967
|
530,824
|
|
|
1,730,073
|
Leisure
Products - 0.0%* |
Hasbro,
Inc. |
692
|
44,821
|
Life
& Health Insurance - 0.4% |
Aflac,
Inc. (b) |
2,389
|
166,752
|
Globe
Life, Inc. |
457
|
50,096
|
Lincoln
National Corp. |
863
|
22,231
|
MetLife,
Inc. |
2,995
|
169,308
|
Principal
Financial Group, Inc. |
1,011
|
76,674
|
Prudential
Financial, Inc. |
1,691
|
149,180
|
|
|
634,241
|
Life
Sciences Tools & Services - 1.5% |
Agilent
Technologies, Inc. (b) |
1,244
|
149,591
|
Bio-Rad
Laboratories, Inc., Class A (a) |
100
|
37,912
|
Bio-Techne
Corp. |
612
|
49,958
|
Charles
River Laboratories International, Inc. (a) |
226
|
47,516
|
Danaher
Corp. |
2,862
|
686,880
|
Illumina,
Inc. (a) |
664
|
124,493
|
IQVIA
Holdings, Inc. (a) |
844
|
189,706
|
Mettler-Toledo
International, Inc. (a) |
95
|
124,606
|
Revvity,
Inc. |
600
|
71,274
|
Thermo
Fisher Scientific, Inc. |
1,668
|
870,279
|
Waters
Corp. (a) |
268
|
71,433
|
West
Pharmaceutical Services, Inc. |
310
|
118,566
|
|
|
2,542,214
|
Managed
Healthcare - 1.7% |
Centene
Corp. (a) |
2,324
|
156,754
|
Elevance
Health, Inc. |
1,047
|
465,172
|
Humana,
Inc. |
548
|
245,027
|
Molina
Healthcare, Inc. (a) |
252
|
75,912
|
UnitedHealth
Group, Inc. |
4,076
|
1,959,089
|
|
|
2,901,954
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street S&P 500 Index V.I.S. Fund |
9
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Metal,
Glass & Plastic Containers - 0.1% |
Ball
Corp. |
1,464
|
$
85,219 |
Movies
& Entertainment - 1.0% |
Live
Nation Entertainment, Inc. (a) |
639
|
58,219
|
Netflix,
Inc. (a) |
1,924
|
847,503
|
The
Walt Disney Co. (a) |
7,910
|
706,205
|
Warner
Bros Discovery, Inc. (a) |
9,394
|
117,801
|
|
|
1,729,728
|
Multi-Family
Residential REITs - 0.3% |
AvalonBay
Communities, Inc. |
620
|
117,347
|
Camden
Property Trust |
500
|
54,435
|
Equity
Residential |
1,384
|
91,303
|
Essex
Property Trust, Inc. |
286
|
67,010
|
Mid-America
Apartment Communities, Inc. |
534
|
81,093
|
UDR,
Inc. |
1,498
|
64,354
|
|
|
475,542
|
Multi-Line
Insurance - 0.2% |
American
International Group, Inc. |
3,186
|
183,323
|
Assurant,
Inc. (b) |
252
|
31,681
|
Hartford
Financial Services Group, Inc. |
1,419
|
102,196
|
|
|
317,200
|
Multi-Sector
Holdings - 1.6% |
Berkshire
Hathaway, Inc., Class B (a) |
7,723
|
2,633,543
|
Multi-Utilities
- 0.7% |
Ameren
Corp. (b) |
1,067
|
87,142
|
CenterPoint
Energy, Inc. |
2,964
|
86,401
|
CMS
Energy Corp. |
1,149
|
67,504
|
Consolidated
Edison, Inc. |
1,542
|
139,397
|
Dominion
Energy, Inc. |
3,580
|
185,408
|
DTE
Energy Co. |
902
|
99,238
|
NiSource,
Inc. |
2,025
|
55,384
|
Public
Service Enterprise Group, Inc. |
2,007
|
125,658
|
Sempra
Energy |
1,321
|
192,324
|
WEC
Energy Group, Inc. |
1,435
|
126,624
|
|
|
1,165,080
|
|
Number
of Shares |
Fair
Value |
Office
REITs - 0.1% |
Alexandria
Real Estate Equities, Inc. (b) |
700
|
$
79,443 |
Boston
Properties, Inc. |
678
|
39,046
|
|
|
118,489
|
Oil
& Gas Equipment & Services - 0.3% |
Baker
Hughes Co. (b) |
4,506
|
142,435
|
Halliburton
Co. |
3,815
|
125,857
|
Schlumberger
NV |
6,304
|
309,652
|
|
|
577,944
|
Oil
& Gas Exploration & Production - 1.0% |
APA
Corp. (b) |
1,268
|
43,327
|
ConocoPhillips
|
5,367
|
556,075
|
Coterra
Energy, Inc. |
3,158
|
79,897
|
Devon
Energy Corp. |
2,946
|
142,410
|
Diamondback
Energy, Inc. |
794
|
104,300
|
EOG
Resources, Inc. |
2,534
|
289,991
|
EQT
Corp. |
1,700
|
69,921
|
Hess
Corp. |
1,179
|
160,285
|
Marathon
Oil Corp. |
2,562
|
58,977
|
Pioneer
Natural Resources Co. |
1,004
|
208,009
|
|
|
1,713,192
|
Oil
& Gas Refining & Marketing - 0.4% |
Marathon
Petroleum Corp. |
1,757
|
204,866
|
Phillips
66 Co. |
1,960
|
186,945
|
Valero
Energy Corp. |
1,653
|
193,897
|
|
|
585,708
|
Oil
& Gas Storage & Transportation - 0.3% |
Kinder
Morgan, Inc. |
8,660
|
149,125
|
ONEOK,
Inc. |
1,965
|
121,280
|
Targa
Resources Corp. |
893
|
67,957
|
Williams
Cos., Inc. |
5,197
|
169,578
|
|
|
507,940
|
Other
Specialized REITs - 0.1% |
Iron
Mountain, Inc. |
1,186
|
67,388
|
VICI
Properties, Inc. |
4,067
|
127,826
|
|
|
195,214
|
Other
Specialty Retail - 0.1% |
Bath
& Body Works, Inc. |
892
|
33,450
|
Tractor
Supply Co. |
457
|
101,043
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
10
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Ulta
Beauty, Inc. (a) |
212
|
$
99,766 |
|
|
234,259
|
Packaged
Foods & Meats - 0.8% |
Campbell
Soup Co. |
776
|
35,471
|
Conagra
Brands, Inc. |
1,941
|
65,451
|
General
Mills, Inc. |
2,465
|
189,065
|
Hershey
Co. |
663
|
165,551
|
Hormel
Foods Corp. |
1,297
|
52,165
|
J
M Smucker Co. |
459
|
67,781
|
Kellogg
Co. |
1,186
|
79,936
|
Kraft
Heinz Co. |
3,317
|
117,754
|
Lamb
Weston Holdings, Inc. |
568
|
65,292
|
McCormick
& Co., Inc. |
1,028
|
89,672
|
Mondelez
International, Inc., Class A |
5,911
|
431,148
|
Tyson
Foods, Inc., Class A |
1,173
|
59,870
|
|
|
1,419,156
|
Paper
& Plastic Packaging Products & Materials - 0.2% |
Amcor
PLC |
6,636
|
66,227
|
Avery
Dennison Corp. |
351
|
60,302
|
International
Paper Co. |
1,599
|
50,864
|
Packaging
Corp. of America |
446
|
58,944
|
Sealed
Air Corp. |
764
|
30,560
|
Westrock
Co. |
928
|
26,977
|
|
|
293,874
|
Passenger
Airlines - 0.2% |
Alaska
Air Group, Inc. (a)(b) |
700
|
37,226
|
American
Airlines Group, Inc. (a)(b) |
2,697
|
48,384
|
Delta
Air Lines, Inc. (a) |
2,886
|
137,200
|
Southwest
Airlines Co. |
2,670
|
96,681
|
United
Airlines Holdings, Inc. (a) |
1,288
|
70,673
|
|
|
390,164
|
Personal
Care Products - 0.1% |
Estee
Lauder Cos., Inc., Class A |
1,010
|
198,344
|
Pharmaceuticals
- 4.0% |
Bristol-Myers
Squibb Co. |
9,284
|
593,712
|
Catalent,
Inc. (a) |
721
|
31,263
|
Eli
Lilly & Co. |
3,431
|
1,609,070
|
Johnson
& Johnson |
11,246
|
1,861,438
|
Merck
& Company, Inc. |
10,919
|
1,259,943
|
Organon
& Co. |
1,206
|
25,097
|
|
Number
of Shares |
Fair
Value |
Pfizer,
Inc. |
24,599
|
$
902,291 |
Viatris,
Inc. |
4,835
|
48,253
|
Zoetis,
Inc. |
2,055
|
353,892
|
|
|
6,684,959
|
Property
& Casualty Insurance - 0.8% |
Allstate
Corp. (b) |
1,181
|
128,776
|
Arch
Capital Group Ltd. (a)(b) |
1,700
|
127,245
|
Chubb
Ltd. |
1,751
|
337,173
|
Cincinnati
Financial Corp. |
723
|
70,362
|
Loews
Corp. |
746
|
44,297
|
Progressive
Corp. |
2,534
|
335,426
|
Travelers
Cos., Inc. |
1,045
|
181,475
|
W
R Berkley Corp. |
808
|
48,124
|
|
|
1,272,878
|
Publishing
- 0.0%* |
News
Corp., Class A |
2,096
|
40,872
|
News
Corp., Class B |
748
|
14,751
|
|
|
55,623
|
Rail
Transportation - 0.6% |
CSX
Corp. |
8,778
|
299,330
|
Norfolk
Southern Corp. |
974
|
220,864
|
Union
Pacific Corp. |
2,698
|
552,065
|
|
|
1,072,259
|
Real
Estate Services - 0.1% |
CBRE
Group, Inc., Class A (a) |
1,320
|
106,537
|
Regional
Banks - 0.3% |
Citizens
Financial Group, Inc. |
2,100
|
54,768
|
Comerica,
Inc. |
648
|
27,449
|
Fifth
Third Bancorp |
3,184
|
83,452
|
Huntington
Bancshares, Inc. |
6,287
|
67,774
|
M&T
Bank Corp. |
705
|
87,251
|
Regions
Financial Corp. |
3,805
|
67,805
|
Truist
Financial Corp. |
5,722
|
173,663
|
Zions
Bancorp NA |
700
|
18,802
|
|
|
580,964
|
Reinsurance
- 0.0%* |
Everest
Re Group Ltd. |
152
|
51,963
|
Research
& Consulting Services - 0.3% |
CoStar
Group, Inc. (a) |
1,800
|
160,200
|
Equifax,
Inc. |
508
|
119,532
|
Jacobs
Solutions, Inc. |
548
|
65,152
|
Leidos
Holdings, Inc. |
645
|
57,069
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street S&P 500 Index V.I.S. Fund |
11
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Verisk
Analytics, Inc. |
654
|
$
147,824 |
|
|
549,777
|
Restaurants
- 1.2% |
Chipotle
Mexican Grill, Inc. (a) |
122
|
260,958
|
Darden
Restaurants, Inc. |
493
|
82,370
|
Domino's
Pizza, Inc. |
137
|
46,168
|
McDonald's
Corp. |
3,180
|
948,944
|
Starbucks
Corp. |
4,955
|
490,842
|
Yum!
Brands, Inc. |
1,210
|
167,646
|
|
|
1,996,928
|
Retail
REITs - 0.3% |
Federal
Realty Investment Trust |
394
|
38,127
|
Kimco
Realty Corp. |
2,766
|
54,546
|
Realty
Income Corp. |
2,675
|
159,938
|
Regency
Centers Corp. |
620
|
38,297
|
Simon
Property Group, Inc. |
1,397
|
161,326
|
|
|
452,234
|
Self
Storage REITs - 0.2% |
Extra
Space Storage, Inc. |
565
|
84,100
|
Public
Storage |
672
|
196,144
|
|
|
280,244
|
Semiconductor
Materials & Equipment - 0.9% |
Applied
Materials, Inc. |
3,648
|
527,282
|
Enphase
Energy, Inc. (a) |
600
|
100,488
|
KLA
Corp. |
617
|
299,257
|
Lam
Research Corp. |
590
|
379,287
|
SolarEdge
Technologies, Inc. (a) |
226
|
60,805
|
Teradyne,
Inc. |
677
|
75,371
|
|
|
1,442,490
|
Semiconductors
- 6.3% |
Advanced
Micro Devices, Inc. (a)(b) |
6,992
|
796,459
|
Analog
Devices, Inc. |
2,242
|
436,764
|
Broadcom,
Inc. |
1,814
|
1,573,518
|
First
Solar, Inc. (a) |
400
|
76,036
|
Intel
Corp. |
17,808
|
595,499
|
Microchip
Technology, Inc. |
2,345
|
210,089
|
Micron
Technology, Inc. |
4,849
|
306,020
|
Monolithic
Power Systems, Inc. |
206
|
111,287
|
NVIDIA
Corp. |
10,733
|
4,540,274
|
NXP
Semiconductors NV |
1,156
|
236,610
|
|
Number
of Shares |
Fair
Value |
ON
Semiconductor Corp. (a) |
1,939
|
$
183,391 |
Qorvo,
Inc. (a) |
376
|
38,363
|
QUALCOMM,
Inc. |
4,908
|
584,248
|
Skyworks
Solutions, Inc. |
636
|
70,399
|
Texas
Instruments, Inc. |
3,938
|
708,919
|
|
|
10,467,876
|
Single-Family
Residential REITs - 0.1% |
Invitation
Homes, Inc. |
2,500
|
86,000
|
Soft
Drinks & Non-alcoholic Beverages - 1.5% |
Coca-Cola
Co. |
16,849
|
1,014,647
|
Keurig
Dr Pepper, Inc. |
3,813
|
119,232
|
Monster
Beverage Corp. (a) |
3,174
|
182,315
|
PepsiCo,
Inc. |
5,992
|
1,109,838
|
|
|
2,426,032
|
Specialty
Chemicals - 0.6% |
Albemarle
Corp. (b) |
541
|
120,692
|
Celanese
Corp. |
373
|
43,193
|
DuPont
de Nemours, Inc. |
2,059
|
147,095
|
Eastman
Chemical Co. |
541
|
45,293
|
Ecolab,
Inc. |
1,047
|
195,464
|
International
Flavors & Fragrances, Inc. |
1,159
|
92,245
|
PPG
Industries, Inc. |
988
|
146,520
|
Sherwin-Williams
Co. |
1,010
|
268,175
|
|
|
1,058,677
|
Steel
- 0.2% |
Nucor
Corp. |
1,147
|
188,085
|
Steel
Dynamics, Inc. |
700
|
76,251
|
|
|
264,336
|
Systems
Software - 7.7% |
Fortinet,
Inc. (a) |
2,735
|
206,739
|
Gen
Digital, Inc. |
2,772
|
51,421
|
Microsoft
Corp. |
32,312
|
11,003,528
|
Oracle
Corp. |
6,658
|
792,901
|
Palo
Alto Networks, Inc. (a) |
1,200
|
306,612
|
ServiceNow,
Inc. (a) |
890
|
500,153
|
|
|
12,861,354
|
Technology
Distributors - 0.1% |
CDW
Corp. |
600
|
110,100
|
Technology
Hardware, Storage & Peripherals - 7.7% |
Apple,
Inc. |
64,344
|
12,480,806
|
Contra
Abiomed, Inc. (a)(b) |
199
|
203
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
12
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Hewlett
Packard Enterprise Co. |
5,833
|
$
97,994 |
HP,
Inc. |
3,529
|
108,376
|
NetApp,
Inc. |
938
|
71,663
|
Seagate
Technology Holdings PLC |
715
|
44,237
|
Western
Digital Corp. (a) |
1,358
|
51,509
|
|
|
12,854,788
|
Telecom
Tower REITs - 0.4% |
American
Tower Corp. |
2,020
|
391,759
|
Crown
Castle, Inc. |
1,858
|
211,700
|
SBA
Communications Corp. |
455
|
105,451
|
|
|
708,910
|
Timber
REITs - 0.1% |
Weyerhaeuser
Co. |
3,043
|
101,971
|
Tobacco
- 0.6% |
Altria
Group, Inc. |
7,696
|
348,629
|
Philip
Morris International, Inc. |
6,715
|
655,518
|
|
|
1,004,147
|
Trading
Companies & Distributors - 0.3% |
Fastenal
Co. |
2,371
|
139,865
|
United
Rentals, Inc. |
312
|
138,956
|
WW
Grainger, Inc. |
207
|
163,238
|
|
|
442,059
|
Transaction
& Payment Processing Services - 2.5% |
Fidelity
National Information Services, Inc. |
2,647
|
144,791
|
|
Number
of Shares |
Fair
Value |
Fiserv,
Inc. (a) |
2,733
|
$
344,768 |
FleetCor
Technologies, Inc. (a) |
323
|
81,099
|
Global
Payments, Inc. |
1,129
|
111,229
|
Jack
Henry & Associates, Inc. |
349
|
58,398
|
Mastercard,
Inc., Class A |
3,675
|
1,445,377
|
PayPal
Holdings, Inc. (a) |
4,894
|
326,577
|
Visa,
Inc., Class A |
7,081
|
1,681,596
|
|
|
4,193,835
|
Water
Utilities - 0.1% |
American
Water Works Co., Inc. |
817
|
116,627
|
Wireless
Telecommunication Services - 0.2% |
T-Mobile
US Inc. (a) |
2,583
|
358,779
|
Total
Common Stock (Cost $45,647,997) |
|
161,737,504
|
Short-Term
Investments - 3.1% |
State
Street Institutional Liquid Reserves Fund - Premier Class 5.19% (b)(d)(e) (Cost $5,167,813) |
5,166,793
|
5,167,827
|
Total
Investments (Cost $50,815,810) |
|
166,905,331
|
Other
Assets and Liabilities, net - 0.2% |
|
302,095
|
NET
ASSETS - 100.0% |
|
$
167,207,426 |
Other Information:
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
S&P
500 E-mini Index Futures |
September
2023 |
25
|
$
5,425,748 |
$
5,610,252 |
$
184,504 |
During the period ended June 30, 2023, the average
notional value related to long futures contracts was $2,835,007.
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street S&P 500 Index V.I.S. Fund |
13
|
State Street S&P 500 Index
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
Non-income
producing security. |
(b)
|
At
June 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c)
|
State
Street Corporation 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. |
(d)
|
Sponsored
by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(e)
|
Coupon
amount represents effective yield. |
†
|
Percentages
are based on net assets as of June 30, 2023. |
*
|
Less
than 0.05%. |
Abbreviations:
|
REIT
- Real Estate Investment Trust |
The following table presents the Fund’s
investments measured at fair value on a recurring basis at June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Common
Stock |
$
161,737,301 |
|
$
203 |
|
$
— |
|
$
161,737,504 |
Short-Term
Investments |
5,167,827
|
|
—
|
|
—
|
|
5,167,827
|
Total
Investments in Securities |
$
166,905,128 |
|
$
203 |
|
$
— |
|
$
166,905,331 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Long
Futures Contracts - Unrealized Appreciation |
$
184,504 |
|
$
— |
|
$
— |
|
$
184,504 |
Total
Other Financial Instruments |
$
184,504 |
|
$
— |
|
$
— |
|
$
184,504 |
|
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 6/30/23 |
Value
at 6/30/23 |
|
Dividend
Income |
State
Street Corp. |
1,635
|
$
126,827 |
|
$
— |
|
$
12,368 |
|
$(1,415)
|
|
$(5,616)
|
1,468
|
$
107,428 |
|
$
1,850 |
State
Street Institutional Liquid Reserves Fund, Premier Class |
3,444,537
|
3,445,226
|
|
10,535,833
|
|
8,813,576
|
|
(9)
|
|
353
|
5,166,793
|
5,167,827
|
|
64,421
|
TOTAL
|
|
$3,572,053
|
|
$10,535,833
|
|
$8,825,944
|
|
$(1,424)
|
|
$(5,263)
|
|
$5,275,255
|
|
$66,271
|
See Notes to Schedule of Investments and Notes to Financial Statements.
14
|
State Street S&P
500 Index V.I.S. Fund |
State Street S&P 500 Index
V.I.S. Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
4/15/85
|
Net
asset value, beginning of period |
$
40.12 |
|
$
57.58 |
|
$
49.96 |
|
$
46.61 |
|
$
38.13 |
|
$
44.09 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
0.31
|
|
0.65
|
|
0.60
|
|
0.72
|
|
0.75
|
|
0.74
|
Net
realized and unrealized gains/(losses) on investments |
6.39
|
|
(11.22)
|
|
13.56
|
|
7.61
|
|
11.09
|
|
(2.86)
|
Total
income/(loss) from investment operations |
6.70
|
|
(10.57)
|
|
14.16
|
|
8.33
|
|
11.84
|
|
(2.12)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
—
|
|
(0.68)
|
|
(0.66)
|
|
(0.88)
|
|
(0.62)
|
|
(0.80)
|
Net
realized gains |
—
|
|
(6.21)
|
|
(5.88)
|
|
(4.10)
|
|
(2.74)
|
|
(3.04)
|
Total
distributions |
—
|
|
(6.89)
|
|
(6.54)
|
|
(4.98)
|
|
(3.36)
|
|
(3.84)
|
Net
asset value, end of period |
$
46.82 |
|
$
40.12 |
|
$
57.58 |
|
$
49.96 |
|
$
46.61 |
|
$
38.13 |
Total
Return(c) |
16.70%
|
|
(18.31)%
|
|
28.27%
|
|
17.92%
|
|
31.05%
|
|
(4.73)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$167,207
|
|
$146,235
|
|
$208,535
|
|
$184,164
|
|
$186,771
|
|
$160,902
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
0.32%
(d) |
|
0.32%
|
|
0.31%
|
|
0.31%
|
|
0.34%
|
|
0.33%
|
Gross
expenses |
0.32%
(d) |
|
0.32%
|
|
0.31%
|
|
0.31%
|
|
0.34%
|
|
0.33%
|
Net
investment income |
1.44%
(d) |
|
1.29%
|
|
1.06%
|
|
1.54%
|
|
1.67%
|
|
1.62%
|
Portfolio
turnover rate |
0%
(e) |
|
5%
|
|
2%
|
|
3%
|
|
2%
|
|
2%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(d)
|
Annualized
for periods less than one year. |
(e)
|
Rounds
to less than 0.50% |
The accompanying Notes are an integral part of these financial
statements.
State Street S&P 500 Index
V.I.S. Fund
Statement of Assets and Liabilities —
June 30, 2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $45,579,865) |
$
161,630,076 |
Investments
in affiliated securities, at fair value (cost $68,132) |
107,428
|
Short-term
affiliated investments, at fair value (cost $5,167,813) |
5,167,827
|
Cash
|
912
|
Net
cash collateral on deposit with broker for future contracts |
189,063
|
Income
receivables |
127,026
|
Receivable
for fund shares sold |
3,344
|
Receivable
for accumulated variation margin on futures contracts |
184,564
|
Total
assets |
167,410,240
|
Liabilities
|
|
Payable
for investments purchased |
27,616
|
Payable
for fund shares redeemed |
64,078
|
Payable
to the Adviser |
33,776
|
Payable
for custody, fund accounting and sub-administration fees |
15,664
|
Accrued
other expenses |
61,680
|
Total
liabilities |
202,814
|
|
Net
Assets |
$
167,207,426 |
Net
Assets Consist of: |
|
Capital
paid in |
$
46,821,174 |
Total
distributable earnings (loss) |
120,386,252
|
Net
Assets |
$
167,207,426 |
Shares
outstanding ($0.01 par value; unlimited shares authorized) |
3,571,057
|
Net
asset value per share |
$
46.82 |
The accompanying Notes are an integral part of these
financial statements.
16
|
Statement of Assets and
Liabilities |
State Street S&P 500 Index
V.I.S. Fund
Statement of Operations — For the period
ended June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
1,272,187 |
Income
from affiliated investments |
66,271
|
Less:
Foreign taxes withheld |
(352)
|
Total
income |
1,338,106
|
Expenses
|
|
Advisory
and administration fees |
189,604
|
Directors'
fees |
11,670
|
Custody,
fund accounting and sub-administration fees |
17,534
|
Professional
fees |
13,309
|
Printing
and shareholder reports |
8,809
|
Other
expenses |
5,108
|
Total
expenses |
246,034
|
Net
investment income |
$
1,092,072 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
74,735 |
Affiliated
investments |
(1,424)
|
Futures
|
397,701
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
22,245,483
|
Affiliated
investments |
(5,263)
|
Futures
|
221,114
|
Net
realized and unrealized gain (loss) on investments |
22,932,346
|
Net
Increase in Net Assets Resulting from Operations |
$
24,024,418 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Operations |
17
|
State Street S&P 500 Index
V.I.S. Fund
Statements of Changes in Net Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$
1,092,072 |
|
$
2,178,121 |
Net
realized gain (loss) on investments and futures |
471,012
|
|
22,703,164
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments and futures |
22,461,334
|
|
(61,761,294)
|
Net
increase (decrease) from operations |
24,024,418
|
|
(36,880,009)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(21,459,700)
|
Increase
(decrease) in assets from operations and distributions |
24,024,418
|
|
(58,339,709)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
7,450,584
|
|
8,996,904
|
Value
of distributions reinvested |
—
|
|
21,459,700
|
Cost
of shares redeemed |
(10,502,649)
|
|
(34,416,637)
|
Net
increase (decrease) from share transactions |
(3,052,065)
|
|
(3,960,033)
|
Total
increase (decrease) in net assets |
20,972,353
|
|
(62,299,742)
|
Net
Assets |
|
|
|
Beginning
of period |
146,235,073
|
|
208,534,815
|
End
of period |
$
167,207,426 |
|
$
146,235,073 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
173,305
|
|
167,535
|
Issued
for distributions reinvested |
—
|
|
536,358
|
Shares
redeemed |
(246,930)
|
|
(680,840)
|
Net
increase (decrease) in fund shares |
(73,625)
|
|
23,053
|
The accompanying Notes are an integral part of these financial
statements.
18
|
Statements of Changes
in Net Assets |
State Street S&P 500 Index
V.I.S. Fund
Notes to Financial Statements — June 30,
2023 (Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund (the "Fund"), State
Street Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment
company within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
Rights
and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant
to the valuation policy and procedures approved by the Board. |
Notes
to Financial Statements |
19
|
State Street S&P 500 Index
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
•
|
Investments in registered
investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
•
|
Exchange-traded
futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at
the last reported sale price obtained from independent pricing services or brokers or at fair value. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
20
|
Notes to Financial
Statements |
State Street S&P 500 Index
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Derivative
Financial Instruments
Futures
Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a
future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated
on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the
daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts for cash equitization.
The following tables summarize the value
of the Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street S&P 500 Index V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
184,564 |
$
— |
$
184,564 |
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street S&P 500 Index V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
397,701 |
$
— |
$
397,701 |
Notes
to Financial Statements |
21
|
State Street S&P 500 Index
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street S&P 500 Index V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
221,114 |
$
— |
$
221,114 |
4.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.25%.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
5.Directors’
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
6.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
737,673 |
$
3,873,060 |
7.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions
that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
22
|
Notes to Financial
Statements |
State Street S&P 500 Index
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
53,741,131 |
$
118,293,699 |
$
4,944,995 |
$
113,348,704 |
8.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
9.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness,
such as COVID-19, or other public health issues, or other events could have a significant impact on the Fund and its investments.
10.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
Notes
to Financial Statements |
23
|
State Street S&P 500 Index
V.I.S. Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Fund's Program. The Program's principal objectives include assessing, managing and periodically
reviewing the Fund's liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors' interests in
the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program's implementation for the period December 31, 2021 through December
31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund's prospectus for more information regarding the Fund's exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street S&P 500 Index
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Director Considerations in Approving Continuation of the
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street S&P 500 Index V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA
FM” or the “Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent
Directors were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5, 2023 meeting, the
Independent Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other
things, the following:
__________________________________
1 The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory agreement, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual review process").
The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent Directors with respect to
the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate in-person meeting that is
dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in light of the latest available
information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent
Directors before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street S&P 500 Index
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Information about
Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons of the
Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);
|
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Code of Ethics adopted by the Adviser; |
•
|
Information about the
Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
•
|
A description of the
adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser; and |
•
|
Information regarding the
Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
State Street S&P 500 Index
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, and the Distributor with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and
|
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things, presentations by
the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the
weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed
varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023 the Board, including a majority of the Independent Directors, voted to approve the continuation of
the Advisory Agreement effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the
substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the
State Street S&P 500 Index
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
extensive experience and resources committed by the Adviser to risk
management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. The
Directors also considered the significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and
retain investment personnel, and the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the
Fund:
State Street S&P 500 Index V.I.S. Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe for the 1-year period, was below the medians of its Performance Group and Performance
Universe for the 3- and 5-year periods, and was equal to the medians of its Performance Group and Performance Universe for the 10-year period. The Board also considered that the Fund’s performance was below the Benchmark for the 1-, 3-, 5- and
10-year periods. The Board took into account management’s discussion of the Fund’s performance, including the fact that the Fund is designed to track a designated index.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Fund is satisfactory.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services
provided by SSGA FM, as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to
the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. Among other information, the Board considered the following expense information in its evaluation of
the Fund:
State Street S&P 500 Index V.I.S. Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were above the medians of
its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the services provided.
State Street S&P 500 Index
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service Providers in
connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers with respect to
their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser
with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of
the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time.
Conclusions
In reaching its decision to approve the Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the materials
reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser possesses the capability and resources to perform the duties
required of it under the Advisory Agreement.
Further,
based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the
best interests of the Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
[This page
intentionally left blank]
[This page
intentionally left blank]
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street Small-Cap Equity
V.I.S. Fund |
State Street Small-Cap Equity V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
|
|
4
|
Financial
Statements |
|
|
11
|
|
12
|
|
13
|
|
14
|
|
15
|
|
21
|
This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street Small-Cap Equity
V.I.S. Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street Small-Cap Equity V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its
affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street Small-Cap Equity V.I.S. Fund |
1
|
State Street Small-Cap Equity
V.I.S. Fund
Fund Information, continued — June 30,
2023 (Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $26,041 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
MGP
Ingredients, Inc. |
1.51%
|
Darling
Ingredients, Inc. |
1.49%
|
Dycom
Industries, Inc. |
1.45%
|
RB
Global, Inc. |
1.45%
|
Ingevity
Corp. |
1.41%
|
Murphy
USA, Inc. |
1.20%
|
U.S.
Physical Therapy, Inc. |
1.18%
|
MSA
Safety, Inc. |
1.12%
|
Enerpac
Tool Group Corp. |
1.09%
|
Pure
Storage, Inc., Class A |
1.08%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street Small-Cap
Equity V.I.S. Fund |
State Street Small-Cap Equity
V.I.S. Fund
Understanding Your Fund’s Expenses
— June 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,079.00
|
|
$1,018.20
|
Expenses
Paid During Period* |
$
6.80 |
|
$
6.61 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 1.32% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street Small-Cap Equity V.I.S. Fund |
3
|
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments — June 30, 2023
(Unaudited)
|
Number
of Shares |
Fair
Value |
Common
Stock - 94.8% † |
Aerospace
& Defense - 0.3% |
Woodward,
Inc. |
617
|
$
73,368 |
Agricultural
& Farm Machinery - 0.9% |
AGCO
Corp. |
1,801
|
236,687
|
Agricultural
Products & Services - 1.5% |
Darling
Ingredients, Inc. (a) |
6,093
|
388,673
|
Apparel
Retail - 1.3% |
American
Eagle Outfitters, Inc. (b) |
2,768
|
32,662
|
Boot
Barn Holdings, Inc. (a) |
2,498
|
211,556
|
Buckle,
Inc. |
2,137
|
73,940
|
Revolve
Group, Inc. (a) |
1,489
|
24,420
|
|
|
342,578
|
Application
Software - 5.7% |
ACI
Worldwide, Inc. (a)(b) |
4,000
|
92,680
|
Altair
Engineering, Inc., Class A (a) |
1,258
|
95,407
|
Asana,
Inc., Class A (a) |
3,620
|
79,785
|
Blackbaud,
Inc. (a) |
2,120
|
150,902
|
Blackline,
Inc. (a) |
664
|
35,736
|
Box,
Inc., Class A (a) |
4,690
|
137,792
|
CCC
Intelligent Solutions Holdings, Inc. (a) |
5,987
|
67,114
|
Freshworks,
Inc., Class A Revenue (a) |
7,390
|
129,916
|
New
Relic, Inc. (a) |
2,600
|
170,144
|
Nutanix,
Inc., Class A (a) |
3,780
|
106,029
|
Q2
Holdings, Inc. (a) |
2,300
|
71,070
|
Smartsheet,
Inc., Class A (a) |
2,800
|
107,128
|
Vertex,
Inc., Class A (a) |
3,687
|
71,897
|
Workiva,
Inc. (a) |
1,500
|
152,490
|
|
|
1,468,090
|
Automobile
Manufacturers - 0.7% |
Thor
Industries, Inc. |
1,855
|
191,993
|
Automotive
Parts & Equipment - 1.3% |
Dana,
Inc. |
3,273
|
55,641
|
Dorman
Products, Inc. (a) |
2,645
|
208,505
|
LCI
Industries |
167
|
21,102
|
Modine
Manufacturing Co. (a) |
1,432
|
47,285
|
|
|
332,533
|
Automotive
Retail - 1.9% |
America's
Car-Mart, Inc. (a)(b) |
375
|
37,418
|
|
Number
of Shares |
Fair
Value |
Group
1 Automotive, Inc. |
394
|
$
101,691 |
Monro,
Inc. |
1,012
|
41,118
|
Murphy
USA, Inc. |
1,003
|
312,043
|
|
|
492,270
|
Biotechnology
- 0.9% |
Abcam
PLC ADR (a) |
830
|
20,310
|
Avid
Bioservices, Inc. (a) |
3,696
|
51,633
|
Catalyst
Pharmaceuticals, Inc. (a) |
1,707
|
22,942
|
Emergent
BioSolutions, Inc. (a) |
1,731
|
12,723
|
Halozyme
Therapeutics, Inc. (a) |
1,029
|
37,116
|
Heron
Therapeutics, Inc. (a) |
14,259
|
16,541
|
Veracyte,
Inc. (a) |
2,510
|
63,930
|
|
|
225,195
|
Brewers
- 0.8% |
Boston
Beer Co., Inc., Class A (a) |
696
|
214,674
|
Broadline
Retail - 0.2% |
Ollie's
Bargain Outlet Holdings, Inc. (a) |
950
|
55,034
|
Building
Products - 2.9% |
Armstrong
World Industries, Inc. |
2,769
|
203,411
|
AZZ,
Inc. |
525
|
22,817
|
CSW
Industrials, Inc. |
860
|
142,923
|
Gibraltar
Industries, Inc. (a) |
2,816
|
177,183
|
Hayward
Holdings, Inc. (a) |
4,600
|
59,110
|
Insteel
Industries, Inc. |
1,639
|
51,006
|
Simpson
Manufacturing Co., Inc. |
391
|
54,153
|
UFP
Industries, Inc. |
466
|
45,225
|
|
|
755,828
|
Cargo
Ground Transportation - 0.7% |
Saia,
Inc. (a) |
559
|
191,407
|
Commodity
Chemicals - 0.2% |
Hawkins,
Inc. |
1,039
|
49,550
|
Communications
Equipment - 0.1% |
Cambium
Networks Corp. (a) |
1,221
|
18,584
|
Computer
& Electronics Retail - 0.1% |
Upbound
Group, Inc. |
707
|
22,009
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street Small-Cap
Equity V.I.S. Fund |
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Construction
& Engineering - 1.8% |
Dycom
Industries, Inc. (a) |
3,326
|
$
378,000 |
IES
Holdings, Inc. (a) |
467
|
26,563
|
Valmont
Industries, Inc. |
189
|
55,008
|
|
|
459,571
|
Construction
Machinery & Heavy Transportation Equipment - 0.6% |
Alamo
Group, Inc. |
459
|
84,415
|
Astec
Industries, Inc. |
455
|
20,675
|
Wabash
National Corp. |
2,408
|
61,741
|
|
|
166,831
|
Construction
Materials - 0.2% |
Eagle
Materials, Inc. |
238
|
44,368
|
Consumer
Finance - 0.3% |
PROG
Holdings, Inc. (a) |
2,516
|
80,814
|
Data
Processing & Outsourced Services - 0.8% |
CSG
Systems International, Inc. |
1,932
|
101,894
|
Verra
Mobility Corp. (a) |
5,995
|
118,221
|
|
|
220,115
|
Distillers
& Vintners - 1.5% |
MGP
Ingredients, Inc. |
3,695
|
392,705
|
Distributors
- 0.8% |
LKQ
Corp. |
3,377
|
196,778
|
Diversified
Metals & Mining - 0.3% |
Compass
Minerals International, Inc. |
1,110
|
37,740
|
Materion
Corp. |
269
|
30,720
|
|
|
68,460
|
Diversified
REITs - 0.3% |
Alpine
Income Property Trust, Inc. (b) |
1,721
|
27,966
|
American
Assets Trust, Inc. (b) |
1,209
|
23,213
|
Essential
Properties Realty Trust, Inc. |
799
|
18,809
|
|
|
69,988
|
Diversified
Support Services - 2.2% |
Healthcare
Services Group, Inc. |
4,017
|
59,974
|
|
Number
of Shares |
Fair
Value |
Matthews
International Corp., Class A |
2,392
|
$
101,947 |
RB
Global, Inc. |
6,277
|
376,620
|
UniFirst
Corp. |
160
|
24,801
|
|
|
563,342
|
Education
Services - 0.5% |
Bright
Horizons Family Solutions, Inc. (a) |
447
|
41,325
|
Stride,
Inc. (a) |
2,381
|
88,645
|
|
|
129,970
|
Electric
Utilities - 1.0% |
ALLETE,
Inc. (b) |
559
|
32,405
|
IDACORP,
Inc. |
2,157
|
221,308
|
|
|
253,713
|
Electrical
Components & Equipment - 0.8% |
Acuity
Brands, Inc. (b) |
144
|
23,484
|
Atkore,
Inc. (a) |
359
|
55,982
|
Generac
Holdings, Inc. (a) |
920
|
137,200
|
|
|
216,666
|
Electronic
Components - 1.7% |
Belden,
Inc. |
2,436
|
233,003
|
Coherent
Corp. (a) |
523
|
26,663
|
Littelfuse,
Inc. |
585
|
170,416
|
|
|
430,082
|
Electronic
Equipment & Instruments - 0.9% |
Novanta,
Inc. (a) |
680
|
125,188
|
Vontier
Corp. |
3,459
|
111,414
|
|
|
236,602
|
Electronic
Manufacturing Services - 0.1% |
Plexus
Corp. (a) |
308
|
30,258
|
Environmental
& Facilities Services - 0.3% |
Montrose
Environmental Group, Inc. (a) |
1,880
|
79,186
|
Food
Distributors - 0.5% |
Performance
Food Group Co. (a) |
2,179
|
131,263
|
Footwear
- 0.2% |
Deckers
Outdoor Corp. (a) |
84
|
44,323
|
Steven
Madden Ltd. |
627
|
20,497
|
|
|
64,820
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Small-Cap Equity V.I.S. Fund |
5
|
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Forest
Products - 0.3% |
Louisiana-Pacific
Corp. |
1,029
|
$
77,154 |
Gas
Utilities - 0.1% |
UGI
Corp. |
516
|
13,917
|
Health
Care REITs - 0.4% |
Community
Healthcare Trust, Inc. |
2,784
|
91,928
|
Healthcare
Distributors - 0.3% |
AdaptHealth
Corp. (a)(b) |
6,367
|
77,486
|
Healthcare
Equipment - 5.6% |
AtriCure,
Inc. (a) |
2,350
|
115,996
|
Axonics,
Inc. (a) |
2,250
|
113,558
|
CONMED
Corp. |
1,220
|
165,786
|
Envista
Holdings Corp. (a) |
1,460
|
49,406
|
Globus
Medical, Inc., Class A (a) |
2,190
|
130,393
|
Inspire
Medical Systems, Inc. (a) |
740
|
240,234
|
Integra
LifeSciences Holdings Corp. (a) |
3,170
|
130,382
|
LeMaitre
Vascular, Inc. |
697
|
46,894
|
Omnicell,
Inc. (a) |
1,310
|
96,508
|
Outset
Medical, Inc. (a) |
2,520
|
55,112
|
Penumbra,
Inc. (a) |
690
|
237,401
|
SI-BONE,
Inc. (a) |
1,135
|
30,622
|
Tandem
Diabetes Care, Inc. (a) |
2,110
|
51,779
|
|
|
1,464,071
|
Healthcare
Facilities - 1.9% |
Acadia
Healthcare Co., Inc. (a) |
2,263
|
180,225
|
U.S.
Physical Therapy, Inc. |
2,523
|
306,267
|
|
|
486,492
|
Healthcare
Services - 0.5% |
Addus
HomeCare Corp. (a)(b) |
471
|
43,662
|
AMN
Healthcare Services, Inc. (a) |
224
|
24,443
|
Castle
Biosciences, Inc. (a) |
2,052
|
28,153
|
Pediatrix
Medical Group, Inc. (a) |
2,722
|
38,680
|
|
|
134,938
|
Healthcare
Supplies - 0.5% |
ICU
Medical, Inc. (a) |
120
|
21,383
|
|
Number
of Shares |
Fair
Value |
Neogen
Corp. (a) |
5,260
|
$
114,405 |
|
|
135,788
|
Healthcare
Technology - 0.4% |
Definitive
Healthcare Corp. (a) |
2,180
|
23,980
|
NextGen
Healthcare, Inc. (a) |
2,375
|
38,522
|
Simulations
Plus, Inc. |
742
|
32,151
|
|
|
94,653
|
Home
Building - 0.9% |
Cavco
Industries, Inc. (a) |
108
|
31,860
|
Green
Brick Partners, Inc. (a) |
326
|
18,517
|
Taylor
Morrison Home Corp. (a) |
2,451
|
119,535
|
TopBuild
Corp. (a) |
219
|
58,258
|
|
|
228,170
|
Home
Furnishing Retail - 0.3% |
Aaron's
Co., Inc. (b) |
4,256
|
60,180
|
Overstock.com,
Inc. (a) |
776
|
25,274
|
|
|
85,454
|
Hotel
& Resort REITs - 0.5% |
RLJ
Lodging Trust |
9,634
|
98,941
|
Sunstone
Hotel Investors, Inc. |
4,235
|
42,858
|
|
|
141,799
|
Household
Products - 0.3% |
Central
Garden & Pet Co., Class A (a) |
2,250
|
82,035
|
Industrial
Machinery & Supplies & Components - 7.0% |
Albany
International Corp., Class A (b) |
870
|
81,154
|
Barnes
Group, Inc. |
4,105
|
173,190
|
Chart
Industries, Inc. (a) |
319
|
50,973
|
Enerpac
Tool Group Corp. |
10,463
|
282,501
|
ESCO
Technologies, Inc. |
1,540
|
159,590
|
Helios
Technologies, Inc. |
679
|
44,875
|
Hillenbrand,
Inc. |
729
|
37,383
|
John
Bean Technologies Corp. |
1,980
|
240,174
|
Mueller
Industries, Inc. |
1,873
|
163,475
|
RBC
Bearings, Inc. (a) |
670
|
145,705
|
Standex
International Corp. |
740
|
104,688
|
Timken
Co. |
2,928
|
268,000
|
Xylem,
Inc. |
696
|
78,384
|
|
|
1,830,092
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
6
|
State Street Small-Cap
Equity V.I.S. Fund |
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Industrial
REITs - 0.8% |
EastGroup
Properties, Inc. |
1,164
|
$
202,070 |
Insurance
Brokers - 0.4% |
BRP
Group, Inc., Class A (a) |
4,500
|
111,510
|
Investment
Banking & Brokerage - 1.1% |
Piper
Sandler Cos., |
404
|
52,221
|
Raymond
James Financial, Inc. |
1,575
|
163,438
|
Stifel
Financial Corp. |
1,105
|
65,935
|
|
|
281,594
|
IT
Consulting & Other Services - 0.2% |
Perficient,
Inc. (a) |
267
|
22,249
|
Unisys
Corp. (a) |
6,339
|
25,229
|
|
|
47,478
|
Leisure
Facilities - 0.3% |
Planet
Fitness, Inc., Class A (a) |
1,260
|
84,974
|
Leisure
Products - 1.7% |
Johnson
Outdoors, Inc., Class A |
301
|
18,496
|
Malibu
Boats, Inc., Class A (a) |
2,974
|
174,455
|
Polaris,
Inc. |
2,113
|
255,525
|
|
|
448,476
|
Life
& Health Insurance - 0.1% |
American
Equity Investment Life Holding Co. (b) |
472
|
24,596
|
Life
Sciences Tools & Services - 2.4% |
Azenta,
Inc. (a) |
1,970
|
91,960
|
BioLife
Solutions, Inc. (a) |
3,818
|
84,378
|
Bruker
Corp. |
2,095
|
154,862
|
ICON
PLC ADR (a) |
359
|
89,822
|
Mesa
Laboratories, Inc. |
309
|
39,706
|
Repligen
Corp. (a) |
921
|
130,285
|
Syneos
Health, Inc. (a) |
510
|
21,491
|
|
|
612,504
|
Marine
Transportation - 0.2% |
Kirby
Corp. (a) |
627
|
48,248
|
Metal,
Glass & Plastic Containers - 0.3% |
TriMas
Corp. |
3,035
|
83,432
|
|
Number
of Shares |
Fair
Value |
Multi-Family
Residential REITs - 0.2% |
NexPoint
Residential Trust, Inc. |
999
|
$
45,435 |
Multi-Line
Insurance - 0.2% |
Horace
Mann Educators Corp. |
1,781
|
52,824
|
Multi-Utilities
- 0.1% |
Avista
Corp. |
833
|
32,712
|
Office
REITs - 0.7% |
Corporate
Office Properties Trust |
1,043
|
24,771
|
Cousins
Properties, Inc. |
3,692
|
84,178
|
Easterly
Government Properties, Inc. |
5,520
|
80,040
|
|
|
188,989
|
Office
Services & Supplies - 1.1% |
MSA
Safety, Inc. |
1,676
|
291,557
|
Oil
& Gas Drilling - 0.0%* |
Helmerich
& Payne, Inc. |
260
|
9,217
|
Oil
& Gas Equipment & Services - 0.6% |
ChampionX
Corp. |
1,691
|
52,488
|
Oil
States International, Inc. (a) |
15,476
|
115,606
|
|
|
168,094
|
Oil
& Gas Exploration & Production - 1.9% |
Civitas
Resources, Inc. |
770
|
53,415
|
Northern
Oil & Gas, Inc. |
2,366
|
81,201
|
PDC
Energy, Inc. |
2,259
|
160,706
|
SM
Energy Co. |
4,546
|
143,790
|
Southwestern
Energy Co. (a) |
8,221
|
49,408
|
|
|
488,520
|
Other
Specialty Retail - 0.5% |
Leslie's,
Inc. (a) |
6,590
|
61,880
|
Sally
Beauty Holdings, Inc. (a) |
5,400
|
66,690
|
|
|
128,570
|
Packaged
Foods & Meats - 3.3% |
Calavo
Growers, Inc. |
1,380
|
40,048
|
Fresh
Market, Inc. (a)(c) |
10,000
|
—
|
Freshpet,
Inc. (a) |
1,450
|
95,425
|
Hostess
Brands, Inc. (a) |
5,140
|
130,145
|
J
& J Snack Foods Corp. |
650
|
102,934
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Small-Cap Equity V.I.S. Fund |
7
|
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Lancaster
Colony Corp. |
850
|
$
170,926 |
Simply
Good Foods Co. (a) |
3,260
|
119,283
|
Sovos
Brands, Inc. (a) |
4,100
|
80,196
|
Utz
Brands, Inc. |
7,690
|
125,808
|
|
|
864,765
|
Paper
& Plastic Packaging Products & Materials - 0.1% |
Ranpak
Holdings Corp. (a) |
3,908
|
17,664
|
Personal
Care Products - 0.2% |
BellRing
Brands, Inc. (a) |
1,224
|
44,798
|
Pharmaceuticals
- 0.3% |
ANI
Pharmaceuticals, Inc. (a) |
1,149
|
61,851
|
Organon
& Co. |
435
|
9,052
|
Phathom
Pharmaceuticals, Inc. (a) |
590
|
8,449
|
|
|
79,352
|
Property
& Casualty Insurance - 2.0% |
AMERISAFE,
Inc. |
1,748
|
93,203
|
Argo
Group International Holdings Ltd. (b) |
1,762
|
52,173
|
James
River Group Holdings Ltd. |
2,480
|
45,285
|
Palomar
Holdings, Inc. (a) |
1,230
|
71,389
|
RLI
Corp. |
801
|
109,312
|
Selective
Insurance Group, Inc. |
1,470
|
141,047
|
Trupanion,
Inc. (a) |
650
|
12,792
|
|
|
525,201
|
Publishing
- 0.8% |
John
Wiley & Sons, Inc., Class A |
5,913
|
201,219
|
Regional
Banks - 7.6% |
1st
Source Corp. (b) |
1,202
|
50,400
|
Banc
of California, Inc. |
2,770
|
32,077
|
BancFirst
Corp. |
710
|
65,320
|
Bank
OZK |
1,738
|
69,798
|
BankUnited,
Inc. |
1,019
|
21,959
|
Banner
Corp. |
369
|
16,114
|
Cadence
Bank (b) |
968
|
19,012
|
Community
Bank System, Inc. |
1,320
|
61,882
|
Cullen/Frost
Bankers, Inc. |
925
|
99,465
|
Enterprise
Financial Services Corp. |
864
|
33,782
|
|
Number
of Shares |
Fair
Value |
First
Financial Bankshares, Inc. |
2,630
|
$
74,929 |
Fulton
Financial Corp. |
5,219
|
62,211
|
German
American Bancorp, Inc. |
1,940
|
52,729
|
Heritage
Commerce Corp. |
5,455
|
45,167
|
Home
BancShares, Inc. |
2,928
|
66,758
|
HomeStreet,
Inc. |
1,310
|
7,755
|
Independent
Bank Corp. |
2,433
|
108,293
|
Lakeland
Financial Corp. |
452
|
21,931
|
Live
Oak Bancshares, Inc. |
7,077
|
186,196
|
National
Bank Holdings Corp., Class A |
1,461
|
42,427
|
New
York Community Bancorp, Inc. |
1,850
|
20,794
|
Origin
Bancorp, Inc. |
1,209
|
35,424
|
Peapack-Gladstone
Financial Corp. |
952
|
25,780
|
Pinnacle
Financial Partners, Inc. |
734
|
41,581
|
Prosperity
Bancshares, Inc. |
1,682
|
94,999
|
Renasant
Corp. |
3,642
|
95,165
|
ServisFirst
Bancshares, Inc. |
1,170
|
47,876
|
SouthState
Corp. |
403
|
26,517
|
Stock
Yards Bancorp, Inc. |
1,110
|
50,361
|
Texas
Capital Bancshares, Inc. (a) |
833
|
42,900
|
United
Community Banks, Inc. |
1,001
|
25,015
|
Washington
Federal, Inc. |
986
|
26,149
|
Westamerica
BanCorp |
1,581
|
60,552
|
Wintrust
Financial Corp. |
925
|
67,174
|
WSFS
Financial Corp. |
4,358
|
164,384
|
|
|
1,962,876
|
Research
& Consulting Services - 0.3% |
Resources
Connection, Inc. |
4,864
|
76,413
|
Restaurants
- 1.7% |
Bloomin'
Brands, Inc. |
2,461
|
66,176
|
Cheesecake
Factory, Inc. |
1,763
|
60,965
|
Dave
& Buster's Entertainment, Inc. (a) |
175
|
7,798
|
Shake
Shack, Inc., Class A (a) |
1,680
|
130,570
|
Texas
Roadhouse, Inc. |
969
|
108,799
|
Wingstop,
Inc. |
320
|
64,051
|
|
|
438,359
|
Retail
REITs - 0.4% |
Kite
Realty Group Trust |
2,485
|
55,515
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
8
|
State Street Small-Cap
Equity V.I.S. Fund |
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Macerich
Co. |
3,239
|
$
36,503 |
|
|
92,018
|
Security
& Alarm Services - 1.0% |
Brink's
Co. |
3,747
|
254,159
|
Self
Storage REITs - 0.1% |
National
Storage Affiliates Trust |
810
|
28,212
|
Semiconductor
Materials & Equipment - 0.7% |
Ichor
Holdings Ltd. (a) |
1,511
|
56,663
|
Onto
Innovation, Inc. (a) |
1,079
|
125,671
|
|
|
182,334
|
Semiconductors
- 0.4% |
Diodes,
Inc. (a) |
286
|
26,452
|
MaxLinear,
Inc. (a) |
585
|
18,463
|
Semtech
Corp. (a) |
2,778
|
70,728
|
|
|
115,643
|
Soft
Drinks & Non-alcoholic Beverages - 0.4% |
Primo
Water Corp. |
8,120
|
101,825
|
Zevia
PBC, Class A (a) |
1,640
|
7,068
|
|
|
108,893
|
Specialized
Consumer Services - 0.5% |
European
Wax Center, Inc., Class A (a) |
3,940
|
73,402
|
OneSpaWorld
Holdings Ltd. (a) |
3,945
|
47,735
|
|
|
121,137
|
Specialty
Chemicals - 4.4% |
Avient
Corp. |
4,129
|
168,876
|
HB
Fuller Co. |
388
|
27,746
|
Ingevity
Corp. (a) |
6,335
|
368,444
|
Innospec,
Inc. |
1,080
|
108,475
|
Quaker
Chemical Corp. |
740
|
144,226
|
Sensient
Technologies Corp. |
1,470
|
104,561
|
Stepan
Co. |
2,405
|
229,822
|
|
|
1,152,150
|
Steel
- 0.7% |
Carpenter
Technology Corp. |
723
|
40,582
|
Commercial
Metals Co. |
1,788
|
94,156
|
Ryerson
Holding Corp. |
812
|
35,225
|
|
|
169,963
|
|
Number
of Shares |
Fair
Value |
Systems
Software - 0.5% |
Progress
Software Corp. |
776
|
$
45,086 |
Tenable
Holdings, Inc. (a) |
1,760
|
76,648
|
|
|
121,734
|
Technology
Distributors - 0.1% |
Insight
Enterprises, Inc. (a) |
215
|
31,463
|
Technology
Hardware, Storage & Peripherals - 1.3% |
Corsair
Gaming, Inc. (a) |
3,341
|
59,269
|
Pure
Storage, Inc., Class A (a) |
7,670
|
282,410
|
|
|
341,679
|
Timber
REITs - 0.2% |
PotlatchDeltic
Corp. |
898
|
47,459
|
Trading
Companies & Distributors - 1.4% |
Applied
Industrial Technologies, Inc. |
1,938
|
280,680
|
Transcat,
Inc. (a) |
490
|
41,802
|
WESCO
International, Inc. |
245
|
43,870
|
|
|
366,352
|
Transaction
& Payment Processing Services - 0.2% |
Shift4
Payments, Inc., Class A (a) |
890
|
60,440
|
Water
Utilities - 0.1% |
American
States Water Co. (b) |
354
|
30,797
|
Total
Common Stock (Cost $18,543,083) |
|
24,623,862
|
Short-Term
Investments - 5.5% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (d)(e) (Cost $1,417,477) |
1,417,477
|
1,417,477
|
Total
Investments (Cost $19,960,560) |
|
26,041,339
|
Liabilities
in Excess of Other Assets, net - (0.3)% |
|
(77,954)
|
NET
ASSETS - 100.0% |
|
$
25,963,385 |
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Small-Cap Equity V.I.S. Fund |
9
|
State Street Small-Cap Equity
V.I.S. Fund
Schedule of Investments, continued —
June 30, 2023 (Unaudited)
Other Information:
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
E-mini
Russell 2000 Index Futures |
September
2023 |
4
|
$
379,384 |
$
380,740 |
$
1,356 |
During the period ended June 30, 2023, the average notional
value related to long futures contracts was $381,364.
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
Non-income
producing security. |
(b)
|
At
June 30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures. |
(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)
|
Sponsored
by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(e)
|
Coupon
amount represents effective yield. |
†
|
Percentages
are based on net assets as of June 30, 2023. |
*
|
Less
than 0.05%. |
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 June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Common
Stock |
$
24,623,862 |
|
$
— |
|
$
—(a) |
|
$
24,623,862 |
Short-Term
Investments |
1,417,477
|
|
—
|
|
—
|
|
1,417,477
|
Total
Investments in Securities |
$
26,041,339 |
|
$
— |
|
$
— |
|
$
26,041,339 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Long
Futures Contracts - Unrealized Appreciation |
$
1,356 |
|
$
— |
|
$
— |
|
$
1,356 |
Total
Other Financial Instruments |
$
1,356 |
|
$
— |
|
$
— |
|
$
1,356 |
(a)
|
The
Fund held a Level 3 security that was valued at $0 at June 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 6/30/23 |
Value
at 6/30/23 |
Dividend
Income |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
1,061,790
|
$1,061,790
|
$5,279,931
|
$4,924,244
|
$—
|
$—
|
1,417,477
|
$1,417,477
|
$30,133
|
See Notes to Schedule of Investments and Notes to Financial Statements.
10
|
State Street Small-Cap
Equity V.I.S. Fund |
State Street Small-Cap Equity
V.I.S. Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
4/28/00
|
Net
asset value, beginning of period |
$
11.90 |
|
$
14.93 |
|
$
14.66 |
|
$
13.16 |
|
$
11.24 |
|
$
14.73 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income (loss)(b) |
0.01
|
|
(0.03)
|
|
(0.04)
|
|
(0.01)
|
|
(0.00)
(c) |
|
(0.02)
|
Net
realized and unrealized gains/(losses) on investments |
0.93
|
|
(2.27)
|
|
3.06
|
|
1.92
|
|
2.94
|
|
(1.43)
|
Total
income/(loss) from investment operations |
0.94
|
|
(2.30)
|
|
3.02
|
|
1.91
|
|
2.94
|
|
(1.45)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
realized gains |
—
|
|
(0.73)
|
|
(2.75)
|
|
(0.41)
|
|
(1.02)
|
|
(2.04)
|
Net
asset value, end of period |
$
12.84 |
|
$
11.90 |
|
$
14.93 |
|
$
14.66 |
|
$
13.16 |
|
$
11.24 |
Total
Return(d) |
7.90%
|
|
(15.40)%
|
|
20.53%
|
|
14.53%
|
|
26.12%
|
|
(9.70)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$25,963
|
|
$26,066
|
|
$36,890
|
|
$34,621
|
|
$33,600
|
|
$30,781
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
1.32%
(e) |
|
1.31%
|
|
1.21%
|
|
1.27%
|
|
1.240%
|
|
1.20%
|
Gross
expenses |
1.32%
(e) |
|
1.31%
|
|
1.21%
|
|
1.27%
|
|
1.24%
|
|
1.20%
|
Net
investment income (loss) |
0.09%
(e) |
|
(0.21)%
|
|
(0.22)%
|
|
(0.06)%
|
|
(0.02)%
|
|
(0.13)%
|
Portfolio
turnover rate |
16%
|
|
29%
|
|
39%
|
|
37%
|
|
29%
|
|
33%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Rounds to
less than $0.01. |
(d)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(e)
|
Annualized
for periods less than one year. |
The accompanying Notes are an integral part of these financial
statements.
State Street Small-Cap Equity
V.I.S. Fund
Statement of Assets and Liabilities —
June 30, 2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $18,543,083) |
$
24,623,862 |
Short-term
affiliated investments, at fair value (cost $1,417,477) |
1,417,477
|
Cash
|
420
|
Net
cash collateral on deposit with broker for future contracts |
27,000
|
Receivable
for investments sold |
35,496
|
Income
receivables |
13,855
|
Receivable
for fund shares sold |
242
|
Income
receivable from affiliated investments |
5,712
|
Receivable
for accumulated variation margin on futures contracts |
1,365
|
Total
assets |
26,125,429
|
Liabilities
|
|
Payable
for investments purchased |
94,508
|
Payable
for fund shares redeemed |
4,091
|
Payable
to the Adviser |
19,829
|
Payable
for custody, fund accounting and sub-administration fees |
12,206
|
Accrued
other expenses |
31,410
|
Total
liabilities |
162,044
|
|
Net
Assets |
$
25,963,385 |
Net
Assets Consist of: |
|
Capital
paid in |
$
18,962,303 |
Total
distributable earnings (loss) |
7,001,082
|
Net
Assets |
$
25,963,385 |
Shares
outstanding ($0.01 par value; unlimited shares authorized) |
2,022,511
|
Net
asset value per share |
$
12.84 |
The accompanying Notes are an integral part of these
financial statements.
12
|
Statement of Assets and
Liabilities |
State Street Small-Cap Equity
V.I.S. Fund
Statement of Operations — For the period
ended June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
152,490 |
Income
from affiliated investments |
30,133
|
Less:
Foreign taxes withheld |
(1,454)
|
Total
income |
181,169
|
Expenses
|
|
Advisory
and administration fees |
122,116
|
Directors'
fees |
11,221
|
Custody,
fund accounting and sub-administration fees |
14,281
|
Professional
fees |
16,950
|
Other
expenses |
4,956
|
Total
expenses |
169,524
|
Net
investment income |
$
11,645 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
1,098,394 |
Futures
|
38,157
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
829,250
|
Futures
|
1,307
|
Net
realized and unrealized gain (loss) on investments |
1,967,108
|
Net
Increase in Net Assets Resulting from Operations |
$
1,978,753 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Operations |
13
|
State Street Small-Cap Equity
V.I.S. Fund
Statements of Changes in Net Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income (loss) |
$
11,645 |
|
$
(61,338) |
Net
realized gain (loss) on investments and futures |
1,136,551
|
|
794,429
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments and futures |
830,557
|
|
(6,235,886)
|
Net
increase (decrease) from operations |
1,978,753
|
|
(5,502,795)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(1,506,672)
|
Increase
(decrease) in assets from operations and distributions |
1,978,753
|
|
(7,009,467)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
76,005
|
|
209,130
|
Value
of distributions reinvested |
—
|
|
1,506,672
|
Cost
of shares redeemed |
(2,156,930)
|
|
(5,530,725)
|
Net
increase (decrease) from share transactions |
(2,080,925)
|
|
(3,814,923)
|
Total
increase (decrease) in net assets |
(102,172)
|
|
(10,824,390)
|
Net
Assets |
|
|
|
Beginning
of period |
26,065,557
|
|
36,889,947
|
End
of period |
$
25,963,385 |
|
$
26,065,557 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
6,088
|
|
16,120
|
Issued
for distributions reinvested |
—
|
|
126,931
|
Shares
redeemed |
(173,504)
|
|
(423,590)
|
Net
decrease in fund shares |
(167,416)
|
|
(280,539)
|
The accompanying Notes are an integral part of these financial
statements.
14
|
Statements of Changes
in Net Assets |
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements — June 30,
2023 (Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth
Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund ("the Fund") , State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company
within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
|
Notes
to Financial Statements |
15
|
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
•
|
Exchange-traded futures
contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last
reported sale price obtained from independent pricing services or brokers or at fair value. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
16
|
Notes to Financial
Statements |
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM's understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the
Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Derivative
Financial Instruments
Futures
Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a
future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated
on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the
daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts for cash equitization.
The following tables summarize the value
of the Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Small-Cap Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
1,365 |
$
— |
$
1,365 |
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Small-Cap Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
38,157 |
$
— |
$
38,157 |
Notes
to Financial Statements |
17
|
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Small-Cap Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
1,307 |
$
— |
$
1,307 |
4.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.95%.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Due to Custodian In certain circumstances, the Fund may have a 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 Fund.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
5.Sub-Advisory
Fees
Pursuant to investment
sub-advisory agreements with SSGA FM, the assets of the Fund are allocated to and managed by each of the following sub-advisers: (i) Palisade Capital Management, L.L.C.; (ii) Champlain Investment Partners, LLC; (iii) Kennedy Capital Management,
Inc.; and (iv) SouthernSun Asset Management, LLC. SSGA FM is responsible for allocating the Fund’s assets among the sub-advisers in its discretion (“Allocated Assets”), and for managing the Fund’s cash position, while each
sub-adviser is responsible for the day-to-day management of their portion of the Allocated Assets, under the general supervision and oversight of SSGA FM and the Board. For their services, SSGA FM pays each sub-adviser an investment sub-advisory
fee, which is calculated as a percentage of the average daily net assets of the respective Allocated Assets that it manages.
6.Directors'
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
3,952,188 |
$
6,282,918 |
18
|
Notes to Financial
Statements |
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
8.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions
that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
20,464,521 |
$
7,438,186 |
$
1,860,012 |
$
5,578,174 |
9.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
10.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the
Notes
to Financial Statements |
19
|
State Street Small-Cap Equity
V.I.S. Fund
Notes to Financial Statements, continued
— June 30, 2023 (Unaudited)
spread of infectious illness, such as COVID-19, or other
public health issues, or other events could have a significant impact on the Fund and its investments.
11.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
20
|
Notes to Financial
Statements |
State Street Small-Cap Equity
V.I.S. Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and
periodically reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining
investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period
December 31, 2021 through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Director Considerations in Approving Continuation of Investment
Advisory and Sub-Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street Small-Cap Equity V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA
FM” or the “Adviser”), and the sub-advisory agreements (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Agreements”) by and among SSGA FM, and the Company on behalf of the Fund,
and each of Champlain Investment Partners, LLC, Palisade Capital Management, LLC and SouthernSun Asset Management, LLC (collectively, the “Sub-Advisers”)2. Prior to
voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and Sub-Advisers and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Directors were separately
represented by counsel who are independent of the Adviser and Sub-Advisers (“Independent Counsel”) in connection with their consideration of approval of the Agreements. Following the April 5, 2023 meeting, the Independent Directors
submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other things, the
following:
_______________________________
1 The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual
review process"). The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent
Directors with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate
in-person meeting that is dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in
light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of
the Independent Directors before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
2The Board approved the Sub-Advisory Agreement between the Adviser and Kennedy Capital Management, Inc. (“Kennedy”) with
respect to the Fund at an in-person meeting held on February 6-7, 2023, for an initial two-year term. As a result, the Sub-Advisory Agreement with Kennedy was not required to be considered for renewed at the May 10-11, 2023 Board
meeting.
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Directors were separately represented by counsel who are
independent of the Adviser and Sub-Advisers (“Independent Counsel”) in connection with their consideration of approval of the Agreements. Following the April 5, 2023 meeting, the Independent Directors submitted questions and requests for
additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other things, the following:
Information about
Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons of the
Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);
|
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser and Sub-Advisers for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser and Sub-Advisers with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser and Sub-Advisers, including their investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser and Sub-Advisers
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates, as well as of the Sub-Advisers; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Codes of Ethics adopted by the Adviser and Sub-Advisers; |
•
|
Information about the
Adviser’s and each Sub-Adviser’s proxy voting policies and procedures and information regarding the Adviser’s and each Sub-Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser and Sub-Advisers to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund;
|
•
|
A description of the
adequacy and sophistication of the Adviser’s and Sub-Advisers’ technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past
year; |
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
•
|
A description of the business
continuity and disaster recovery plans of the Adviser and Sub-Advisers; and |
•
|
Information regarding the
Adviser’s and Sub-Advisers’ risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and Sub-Advisory Agreements and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
The Sub-Advisers, with
respect to their operations relating to the Fund and their approximate profitability from such operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, the Distributor and the Sub-Advisers with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May
10-11, 2023; and |
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and Sub-Advisers and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things,
presentations by the portfolio managers and other investment professionals of the Adviser and Sub-Advisers relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Agreements, and the weight
to be given to each such factor. The conclusions reached with respect to the Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed varying emphasis on
particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023 the Board, including a majority of the Independent Directors, voted to approve the continuation of
the Agreements effective June 1, 2023, for an additional year with respect to the Fund.
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Nature, Extent and
Quality of Services
In considering whether to
approve the Agreements, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser and Sub-Advisers.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board
also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the Adviser’s process used for overseeing sub-advisers. The Board considered the
extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made
to the risk management processes and systems over the past year. The Directors also considered the significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The
Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
In connection with their consideration of the services
provided by each of the Sub-Advisers, the Board considered each Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access
to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory
services provided by each Sub-Adviser to the Fund. The Board also considered the Fund’s multi-manager structure and how each Sub-Adviser’s approach to small-cap investing fits within the Fund’s overall strategy.
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser and each Sub-Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the
Fund:
State Street Small-Cap Equity V.I.S. Fund. The Board considered that the Fund’s performance was below the median of its Performance Group for the 1- and 3-year periods and was above the median of its Performance Group for the 5- and 10-year periods. The
Board also considered that the Fund’s performance was above the median of its Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s performance was above the Benchmark for the 1-, 3-, 5-
and 10-year periods. The Board took into account management’s discussion of the Fund’s performance, including certain differences between the Fund and the Performance Group.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Fund is satisfactory.
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Management Fees and
Expenses
•
|
The Board reviewed the
contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers, if any, as well as the fees paid to each of the Sub-Advisers by the Adviser, which reduced the net management fees retained by the
Adviser. The Board also reviewed (i) the allocation of the total advisory fees between SSGA FM and each Sub-Adviser, and (ii) the services required of SSGA FM to oversee the Sub-Advisers for those services. As part of its review, the Board
considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and
Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser and Sub-Advisers to the fees
charged and services provided to other clients of the Adviser and Sub-Advisers, including institutional accounts, as applicable. The Board also considered that the sub-advisory fees are paid by the Adviser out of its advisory fees it receives from
the Fund and are not paid by the Fund. Among other information, the Board considered the following expense information in its evaluation of the Fund: |
•
|
State Street Small-Cap
Equity V.I.S. Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses
were above the medians of its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses. |
•
|
On the basis of the
foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser and Sub-Advisers, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the
services provided. |
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates and the Sub-Advisers in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated
Service Providers and the Sub-Advisers in connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the
Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including
reputational and entrepreneurial risks.
The Board
concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
The Board also considered that the sub-advisory fee rate
under each Sub-Advisory Agreement was negotiated with each Sub-Adviser at arm’s length. In considering the profitability to each Sub-Adviser in connection with its relationship to the Fund, the Directors noted that the fees under the
Sub-Advisory Agreement are paid by the Adviser out of the advisory fees that the Adviser receives from the Fund. For these reasons, the Board concluded that the profitability of each Sub-Adviser from its relationship with the Fund was not material
to their deliberations with respect to the consideration of approval of the applicable Sub-Advisory Agreement.
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
various time periods, and the comparative management fee and expense ratio
of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time. The Board noted that the fees under the Sub-Advisory Agreements are paid by the Adviser out of the advisory fees that the Adviser receives under the Advisory Agreement.
Therefore, the Board concluded that the potential for economies of scale in each Sub-Adviser’s management of the Fund is not a material factor to the approval of the Sub-Advisory Agreements.
Conclusions
In reaching its decision to approve the Agreements, the
Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the materials reviewed, the
representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser and Sub-Advisers possess the capability and resources to perform the duties
required of them under the respective Agreements.
Further, based upon its review of the Agreements, the
materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement and Sub-Advisory Agreements are reasonable, fair, and in the best interests of the
Fund and its shareholders, and (2) the rates payable under the Advisory Agreement and Sub-Advisory Agreements are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Board Considerations related to Approval of New Sub-Advisory
Agreement
Kennedy Capital Management, Inc.
(“Kennedy” or the “Sub-Adviser”) currently serves as sub-adviser to State Street Small-Cap Equity V.I.S. Fund (the “Fund”), a series of State Street Variable Insurance Series Funds, Inc. Kennedy and Azimut US
Holdings Inc. (“Azimut”) signed an agreement to form a strategic relationship under which Azimut purchased 35% of Kennedy’s equity capital, which resulted in a “change of control” of Kennedy (the “Change of
Control”). Under applicable law, the Change of Control of Kennedy would result in the automatic termination of the Sub-Advisory Agreement between SSGA Funds Management, Inc. (“SSGA FM”) and Kennedy with respect to the Fund (the
“Prior Sub-Advisory Agreement”). In anticipation of the automatic termination of the Prior Sub-Advisory Agreement, at the in-person meeting held on February 7, 2023, the Board of Directors of State Street Variable Insurance Series Funds,
Inc. (the “Board”), approved the new sub-advisory agreement (the “New Sub-Advisory Agreement”) between SSGA Funds Management, Inc. (the “Adviser”) and Kennedy with respect to the Fund.
Overview of the Contract Review Process
The Board met in-person on February 7, 2023, including in
executive sessions attended by the members of the Board who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act) of the Fund, the Adviser or the Sub-Adviser (the “Independent Board Members”), to
consider a proposal to approve the New Sub-Advisory Agreement. Prior to voting on the proposal, the Independent Board Members, as well as the Board Member who is an “interested person” of the Adviser, reviewed information furnished by
the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. In considering the New Sub-Advisory Agreement, the Board Members considered the information relating to the Fund and the Sub-Adviser
provided to them in connection with the meeting on February 7, 2023, as well as information provided over the past year and information provided to them in connection with their meeting on May 11-12, 2022, which was the meeting in which the Board
considered and approved the renewal of the Prior Sub-Advisory Agreement for the one-year period ending May 31, 2023 (the “Annual Renewal Meeting”). At the February 7, 2023 Meeting, the Sub-Adviser affirmed and updated prior information
and representations provided to the Board, including information and representations provided in connection with the Annual Renewal Meeting. The Independent Board Members were separately represented by counsel who is independent of the Adviser and
Sub-Adviser (“Independent Legal Counsel”) in connection with their consideration of approval of the New Sub-Advisory Agreement. The Independent Board Members also received a memorandum from their Independent Legal Counsel discussing the
legal standards for their consideration of the New Sub-Advisory Agreement and discussed the New Sub-Advisory Agreement in a private session with their Independent Legal Counsel at which no representatives of the Adviser or Sub-Adviser were
present.
The Independent Board Members considered, among
other things, the following:
Information about Performance, Expenses and Fees
•
|
In connection with the
Annual Renewal Meeting, a report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2021, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Lipper Index”) and/or a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
○
|
Comparisons of the
Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);
|
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
•
|
In connection with the
February 7, 2023 meeting, a report prepared by the Sub-Adviser, which includes updated Fund performance information as of December 31, 2022. |
•
|
Comparative information
concerning fees charged by the Sub-Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
the Sub-Adviser. |
Information about Portfolio Management
•
|
Descriptions of the
investment management services provided by the Sub-Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Sub-Adviser
•
|
Reports detailing the
financial results and condition of the Sub-Adviser; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Fund and for Fund operations;Information relating to compliance with and the administration of the Code of
Ethics adopted by the Sub-Adviser; |
•
|
Information about the
Sub-Adviser’s proxy voting policies and procedures and information regarding the Sub-Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Sub-Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund;
|
•
|
A description of the
adequacy and sophistication of the Sub-Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year;
|
•
|
A description of the business
continuity and disaster recovery plans of the Sub-Adviser; and |
•
|
Information regarding the
Sub-Adviser’s risk management processes. |
Other Relevant
Information
•
|
Copies of the New
Sub-Advisory Agreement; |
•
|
Responses to a request
for information in connection with the Annual Renewal Meeting, as updated at the February 7, 2023 meeting, requesting specific information from the Sub-Adviser, with respect to its operations relating to the Fund and its approximate profitability
from such operations for the calendar years ended December 31, 2021 and December 31, 2022. |
•
|
Materials provided by
Broadridge, circulated to the Independent Board Members and to Independent Legal Counsel in connection with the Annual Renewal Meeting. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and Sub-Adviser throughout the year at meetings of the Board and its committees. At such meetings, the Board Members received, among other things, presentations by the portfolio
managers and other investment professionals of the Sub-Adviser relating to the performance of the Fund, and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Board Members were assisted throughout the
contract review process by their Independent Legal Counsel. The Independent Board Members relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the New Sub-Advisory
Agreement, and the weight to be
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
given to each such factor. The conclusions reached with respect to the New
Sub-Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Board Member may have placed varying emphasis on particular factors in reaching conclusions with respect to the
Fund. Representatives from the Sub-Adviser attended the February 7, 2023 meeting and informed the Board Members that there would not be any changes to the Fund’s portfolio management teams or investment processes as a result of the Change in
Control and also responded to questions from the Independent Board Members regarding Kennedy and the Change in Control.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, on February 7, 2023, the Board, including a majority of the Independent Board Members, voted to approve the New Sub-Advisory Agreement
effective upon the Change in Control for an initial two-year period.
Nature, Extent and
Quality of Services
In considering whether to
approve the New Sub-Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Sub-Adviser.
The Board considered the Sub-Adviser’s attributes
relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also
considered the review process undertaken by the Adviser and the Adviser’s favorable assessment of the nature and quality of the investment sub-advisory services provided by the Sub-Adviser. The Board also considered the Fund’s
multi-manager structure and how the Sub-Adviser’s approach to small-cap investing fits within the Fund’s overall strategy.
The Board noted that because there would not be any changes
to the Fund’s portfolio management teams or investment processes as a result of the Change of Control, there is not expected to be any changes to the nature, extent and quality of services provided to the Fund by the Sub-Adviser.
On the basis of the foregoing and other relevant information,
the Board concluded that the Sub-Adviser can reasonably be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
At the Annual Renewal Meeting, the
Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2021. The Board also reviews the Fund’s performance at
each quarterly Board meeting thereafter. The Board also considered updated performance information provided by Kennedy for the portion of the Fund it manages (the “Fund Sleeve”) for various time periods ended December 31, 2022, and
considered that the Fund Sleeve outperformed the benchmark index for the 1-, 3-, 5- and 10-year periods ended December 31, 2022.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Sub-Adviser in its management the Fund Sleeve is satisfactory.
Management Fees and
Expenses
At the Annual Renewal Meeting, the
Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, as well as the fees paid to the Sub-Adviser by the Adviser, which reduced the net management fees retained by the Adviser. The Board
also reviewed allocation of the total advisory fees between the Adviser and the Sub-Adviser. The Board considered that the sub-advisory fees payable by the Adviser to the Sub-Adviser under the Prior Sub-Advisory Agreement and the New Sub-Advisory
Agreement are identical. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Sub-Adviser to the fees charged and services provided to other clients of the Sub-Adviser, including institutional
accounts. The Board also considered that the sub-advisory fees are paid by the Adviser out of its advisory fees it receives from the Fund and are not paid by the Fund.
State Street Small-Cap Equity
V.I.S. Fund
Other Information, continued — June 30,
2023 (Unaudited)
Profitability
The Board reviewed the level of profits realized by the
Sub-Adviser in providing investment sub-advisory services to the Fund. The Board considered other direct and indirect benefits received by the Sub-Adviser in connection with its relationship with the Fund. The Board also noted that because the
sub-advisory fee payable by the Adviser to the Sub-Adviser under the Prior Sub-Advisory Agreement and the New Sub-Advisory Agreement are identical, approval of the New Sub-Advisory Agreement is not expected to result in any change to the
profitability of the Sub-Adviser.
The Board concluded
that the profitability of the Sub-Adviser with respect to the Fund was reasonable in relation to the services provided.
Economies of
Scale
The Board noted that the fees under the
New Sub-Advisory Agreement are paid by the Adviser out of the advisory fees that the Adviser receives under the Advisory Agreement. Therefore, the Board concluded that the potential for economies of scale in the Sub-Adviser’s management of the
Fund is not a material factor to the approval of the New Sub-Advisory Agreement.
Conclusions
In reaching its decision to approve the New Sub-Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Board Member may have contributed different weight to the various factors. Based upon the materials
reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Board Members, concluded that the Sub-Adviser possesses the capability and resources to perform the
duties required of it under the New Sub-Advisory Agreement.
Further, based upon its review of the New Sub-Advisory
Agreement, the materials provided, and the considerations described above, the Board, including the Independent Board Members, concluded that (1) the terms of the New Sub-Advisory Agreement are reasonable, fair, and in the best interests of the Fund
and its shareholders, and (2) the rates payable under the New Sub-Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street U.S. Equity V.I.S.
Fund |
State Street U.S. Equity V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
|
|
4
|
Financial
Statements |
|
|
8
|
|
9
|
|
10
|
|
11
|
|
12
|
|
17
|
This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street U.S. Equity V.I.S.
Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street U.S. Equity V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its
affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street U.S. Equity V.I.S. Fund |
1
|
State Street U.S. Equity V.I.S.
Fund
Fund Information, continued — June 30, 2023
(Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $20,822 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
Microsoft
Corp. |
7.13%
|
Apple,
Inc. |
6.25%
|
Amazon.com,
Inc. |
4.22%
|
Alphabet,
Inc., Class A |
4.01%
|
NVIDIA
Corp. |
3.86%
|
Meta
Platforms, Inc., Class A |
2.60%
|
Visa,
Inc., Class A |
2.13%
|
Johnson
& Johnson |
2.11%
|
UnitedHealth
Group, Inc. |
2.09%
|
S&P
Global, Inc. |
1.99%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street U.S.
Equity V.I.S. Fund |
State Street U.S. Equity V.I.S.
Fund
Understanding Your Fund’s Expenses — June
30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,171.20
|
|
$1,020.10
|
Expenses
Paid During Period* |
$
5.11 |
|
$
4.76 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 0.95% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street U.S. Equity V.I.S. Fund |
3
|
State Street U.S. Equity V.I.S.
Fund
Schedule of Investments — June 30, 2023
(Unaudited)
|
Number
of Shares |
Fair
Value |
Common
Stock - 96.2% † |
Aerospace
& Defense - 0.6% |
Raytheon
Technologies Corp. |
1,313
|
$
128,621 |
Apparel
Retail - 0.7% |
Ross
Stores, Inc. |
1,238
|
138,817
|
Application
Software - 2.6% |
Adobe,
Inc. (a) |
298
|
145,719
|
Intuit,
Inc. |
126
|
57,732
|
Salesforce,
Inc. (a) |
1,449
|
306,116
|
Splunk,
Inc. (a) |
379
|
40,208
|
|
|
549,775
|
Automobile
Manufacturers - 1.1% |
General
Motors Co. |
2,611
|
100,680
|
Tesla,
Inc. (a) |
481
|
125,912
|
|
|
226,592
|
Automotive
Retail - 1.2% |
O'Reilly
Automotive, Inc. (a) |
255
|
243,601
|
Biotechnology
- 1.7% |
BioMarin
Pharmaceutical, Inc. (a) |
1,563
|
135,481
|
Vertex
Pharmaceuticals, Inc. (a) |
644
|
226,630
|
|
|
362,111
|
Broadline
Retail - 4.2% |
Amazon.com,
Inc. (a) |
6,745
|
879,278
|
Building
Products - 0.5% |
Trane
Technologies PLC |
597
|
114,182
|
Cable
& Satellite - 0.2% |
Charter
Communications, Inc., Class A (a) |
92
|
33,798
|
Communications
Equipment - 0.1% |
Cisco
Systems, Inc. |
566
|
29,285
|
Construction
Materials - 0.6% |
Martin
Marietta Materials, Inc. |
293
|
135,275
|
Consumer
Staples Merchandise Retail - 2.0% |
Costco
Wholesale Corp. |
524
|
282,111
|
Walmart,
Inc. |
913
|
143,505
|
|
|
425,616
|
|
Number
of Shares |
Fair
Value |
Diversified
Banks - 1.4% |
JPMorgan
Chase & Co. |
1,991
|
$
289,571 |
Diversified
Support Services - 0.9% |
Cintas
Corp. |
204
|
101,404
|
Copart,
Inc. (a) |
946
|
86,285
|
|
|
187,689
|
Electric
Utilities - 1.5% |
American
Electric Power Company, Inc. |
706
|
59,445
|
NextEra
Energy, Inc. |
3,360
|
249,312
|
|
|
308,757
|
Electrical
Components & Equipment - 1.3% |
Eaton
Corp. PLC |
1,382
|
277,920
|
Electronic
Components - 1.1% |
Amphenol
Corp., Class A |
2,770
|
235,312
|
Environmental
& Facilities Services - 1.2% |
Waste
Management, Inc. |
1,396
|
242,094
|
Financial
Exchanges & Data - 3.7% |
CME
Group, Inc. |
1,448
|
268,300
|
MSCI,
Inc. |
170
|
79,779
|
S&P
Global, Inc. |
1,033
|
414,120
|
|
|
762,199
|
Footwear
- 0.5% |
NIKE,
Inc., Class B |
857
|
94,587
|
Healthcare
Equipment - 3.0% |
Becton
Dickinson & Co. |
326
|
86,067
|
Boston
Scientific Corp. (a) |
2,676
|
144,745
|
Edwards
Lifesciences Corp. (a) |
970
|
91,500
|
Medtronic
PLC |
1,043
|
91,889
|
Teleflex,
Inc. |
869
|
210,324
|
|
|
624,525
|
Home
Improvement Retail - 0.8% |
Lowe's
Cos., Inc. |
452
|
102,016
|
The
Home Depot, Inc. |
193
|
59,954
|
|
|
161,970
|
Hotels,
Resorts & Cruise Lines - 0.4% |
Marriott
International, Inc., Class A |
403
|
74,027
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street U.S.
Equity V.I.S. Fund |
State Street U.S. Equity V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Household
Products - 1.3% |
Colgate-Palmolive
Co. |
880
|
$
67,795 |
The
Procter & Gamble Co. |
1,350
|
204,849
|
|
|
272,644
|
Industrial
Conglomerates - 0.6% |
Honeywell
International, Inc. |
625
|
129,688
|
Industrial
Gases - 1.5% |
Linde
PLC |
847
|
322,775
|
Industrial
Machinery & Supplies & Components - 1.5% |
Parker-Hannifin
Corp. |
792
|
308,912
|
Insurance
Brokers - 0.3% |
Marsh
& McLennan Cos., Inc. |
357
|
67,145
|
Integrated
Oil & Gas - 1.0% |
Chevron
Corp. |
1,266
|
199,205
|
Interactive
Home Entertainment - 0.2% |
Activision
Blizzard, Inc. (a) |
446
|
37,598
|
Interactive
Media & Services - 7.1% |
Alphabet,
Inc., Class C (a)(b) |
926
|
112,018
|
Alphabet,
Inc., Class A (a) |
6,969
|
834,190
|
Meta
Platforms, Inc., Class A (a) |
1,888
|
541,818
|
|
|
1,488,026
|
Investment
Banking & Brokerage - 0.3% |
The
Charles Schwab Corp. |
1,236
|
70,056
|
IT
Consulting & Other Services - 0.4% |
Accenture
PLC, Class A |
268
|
82,699
|
Life
Sciences Tools & Services - 1.7% |
Danaher
Corp. |
514
|
123,360
|
IQVIA
Holdings, Inc. (a) |
1,003
|
225,444
|
|
|
348,804
|
Managed
Healthcare - 2.7% |
Humana,
Inc. |
278
|
124,302
|
UnitedHealth
Group, Inc. |
908
|
436,421
|
|
|
560,723
|
Movies
& Entertainment - 0.4% |
The
Walt Disney Co. (a) |
956
|
85,352
|
|
Number
of Shares |
Fair
Value |
Multi-Line
Insurance - 0.2% |
American
International Group, Inc. |
673
|
$
38,724 |
Multi-Sector
Holdings - 1.3% |
Berkshire
Hathaway, Inc., Class B (a) |
810
|
276,210
|
Multi-Utilities
- 0.7% |
Sempra
Energy |
957
|
139,330
|
Oil
& Gas Equipment & Services - 0.7% |
Schlumberger
NV |
3,025
|
148,588
|
Oil
& Gas Exploration & Production - 2.1% |
ConocoPhillips
|
2,378
|
246,385
|
Pioneer
Natural Resources Co. |
958
|
198,478
|
|
|
444,863
|
Packaged
Foods & Meats - 0.7% |
Mondelez
International, Inc., Class A |
1,952
|
142,379
|
Personal
Care Products - 0.2% |
Estee
Lauder Cos., Inc., Class A |
229
|
44,971
|
Pharmaceuticals
- 5.0% |
AstraZeneca
PLC ADR |
924
|
66,131
|
Bristol-Myers
Squibb Co. |
1,642
|
105,006
|
Elanco
Animal Health, Inc. (a) |
2,702
|
27,182
|
Johnson
& Johnson |
2,659
|
440,118
|
Merck
& Company, Inc. |
3,465
|
399,826
|
|
|
1,038,263
|
Property
& Casualty Insurance - 1.0% |
Chubb
Ltd. |
1,136
|
218,748
|
Rail
Transportation - 0.3% |
Union
Pacific Corp. |
333
|
68,138
|
Regional
Banks - 0.2% |
Regions
Financial Corp. |
1,755
|
31,274
|
Reinsurance
- 0.1% |
RenaissanceRe
Holdings Ltd. |
88
|
16,414
|
Restaurants
- 0.6% |
McDonald's
Corp. |
401
|
119,662
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street U.S. Equity V.I.S. Fund |
5
|
State Street U.S. Equity V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Semiconductor
Materials & Equipment - 1.7% |
Applied
Materials, Inc. |
1,997
|
$
288,646 |
ASML
Holding N.V. |
98
|
71,026
|
|
|
359,672
|
Semiconductors
- 7.1% |
Advanced
Micro Devices, Inc. (a)(b) |
2,179
|
248,210
|
NVIDIA
Corp. |
1,897
|
802,469
|
QUALCOMM,
Inc. |
2,733
|
325,336
|
Texas
Instruments, Inc. |
635
|
114,313
|
|
|
1,490,328
|
Soft
Drinks & Non-alcoholic Beverages - 1.1% |
Monster
Beverage Corp. (a) |
1,509
|
86,677
|
PepsiCo,
Inc. |
737
|
136,507
|
|
|
223,184
|
Specialty
Chemicals - 1.0% |
DuPont
de Nemours, Inc. |
559
|
39,935
|
Ecolab,
Inc. |
219
|
40,885
|
International
Flavors & Fragrances, Inc. |
1,695
|
134,905
|
|
|
215,725
|
Systems
Software - 8.4% |
Microsoft
Corp. |
4,358
|
1,484,073
|
Oracle
Corp. |
1,198
|
142,670
|
ServiceNow,
Inc. (a) |
221
|
124,196
|
|
|
1,750,939
|
Technology
Hardware, Storage & Peripherals - 6.2% |
Apple,
Inc. |
6,708
|
1,301,151
|
|
Number
of Shares |
Fair
Value |
Telecom
Tower REITs - 1.3% |
American
Tower Corp. (b) |
1,421
|
$
275,589 |
Trading
Companies & Distributors - 1.7% |
United
Rentals, Inc. |
708
|
315,322
|
WW
Grainger, Inc. |
48
|
37,852
|
|
|
353,174
|
Transaction
& Payment Processing Services - 4.0% |
Fidelity
National Information Services, Inc. |
499
|
27,295
|
Mastercard,
Inc., Class A |
908
|
357,116
|
Visa,
Inc., Class A |
1,872
|
444,563
|
|
|
828,974
|
Wireless
Telecommunication Services - 0.3% |
T-Mobile
US Inc. (a) |
383
|
53,199
|
Total
Common Stock (Cost $12,143,965) |
|
20,078,728
|
Short-Term
Investments - 3.6% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (b)(c)(d) (Cost $742,793) |
742,793
|
742,793
|
Total
Investments (Cost $12,886,758) |
|
20,821,521
|
Other
Assets and Liabilities, net - 0.2% |
|
39,892
|
NET
ASSETS - 100.0% |
|
$
20,861,413 |
Other Information:
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
S&P
500 E-mini Index Futures |
September
2023 |
2
|
$
438,254 |
$
448,825 |
$
10,571 |
During the period ended June 30, 2023, the average
notional value related to long futures contracts was $180,746.
See Notes to Schedule of Investments and Notes to Financial Statements.
6
|
State Street U.S.
Equity V.I.S. Fund |
State Street U.S. Equity V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
Non-income
producing security. |
(b)
|
At June
30, 2023, 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 June 30, 2023. |
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 June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Common
Stock |
$
20,078,728 |
|
$
— |
|
$
— |
|
$
20,078,728 |
Short-Term
Investments |
742,793
|
|
—
|
|
—
|
|
742,793
|
Total
Investments in Securities |
$
20,821,521 |
|
$
— |
|
$
— |
|
$
20,821,521 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Long
Futures Contracts - Unrealized Appreciation |
$
10,571 |
|
$
— |
|
$
— |
|
$
10,571 |
Total
Other Financial Instruments |
$
10,571 |
|
$
— |
|
$
— |
|
$
10,571 |
|
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 6/30/23 |
Value
at 6/30/23 |
Dividend
Income |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
374,873
|
$374,873
|
$3,379,312
|
$3,011,392
|
$—
|
$—
|
742,793
|
$742,793
|
$12,463
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street U.S. Equity V.I.S. Fund |
7
|
State Street U.S. Equity V.I.S.
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
1/3/95
|
Net
asset value, beginning of period |
$
40.76 |
|
$
56.55 |
|
$
53.28 |
|
$
46.97 |
|
$
38.07 |
|
$
44.20 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
0.10
|
|
0.22
|
|
0.18
|
|
0.27
|
|
0.33
|
|
0.37
|
Net
realized and unrealized gains/(losses) on investments |
6.88
|
|
(10.93)
|
|
13.47
|
|
10.34
|
|
11.78
|
|
(1.90)
|
Total
income/(loss) from investment operations |
6.98
|
|
(10.71)
|
|
13.65
|
|
10.61
|
|
12.11
|
|
(1.53)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
—
|
|
(0.24)
|
|
(0.22)
|
|
(0.27)
|
|
(0.32)
|
|
(0.41)
|
Net
realized gains |
—
|
|
(4.84)
|
|
(10.16)
|
|
(4.03)
|
|
(2.89)
|
|
(4.19)
|
Total
distributions |
—
|
|
(5.08)
|
|
(10.38)
|
|
(4.30)
|
|
(3.21)
|
|
(4.60)
|
Net
asset value, end of period |
$
47.74 |
|
$
40.76 |
|
$
56.55 |
|
$
53.28 |
|
$
46.97 |
|
$
38.07 |
Total
Return(c) |
17.12%
|
|
(18.91)%
|
|
25.49%
|
|
22.64%
|
|
31.77%
|
|
(3.40)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$20,861
|
|
$20,449
|
|
$29,595
|
|
$27,729
|
|
$25,951
|
|
$23,473
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
0.95%
(d) |
|
0.88%
|
|
0.82%
|
|
0.86%
|
|
0.88%
|
|
0.80%
|
Gross
expenses |
0.95%
(d) |
|
0.88%
|
|
0.82%
|
|
0.86%
|
|
0.88%
|
|
0.80%
|
Net
investment income |
0.46%
(d) |
|
0.46%
|
|
0.30%
|
|
0.56%
|
|
0.74%
|
|
0.81%
|
Portfolio
turnover rate |
20%
|
|
33%
|
|
32%
|
|
38%
|
|
31%
|
|
41%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(d)
|
Annualized
for periods less than one year. |
The accompanying Notes are an integral part of these financial
statements.
State Street U.S. Equity V.I.S.
Fund
Statement of Assets and Liabilities — June 30,
2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $12,143,965) |
$
20,078,728 |
Short-term
affiliated investments, at fair value (cost $742,793) |
742,793
|
Cash
|
472
|
Net
cash collateral on deposit with broker for future contracts |
19,328
|
Receivable
for investments sold |
174,550
|
Income
receivables |
12,221
|
Receivable
for fund shares sold |
502
|
Income
receivable from affiliated investments |
1,540
|
Receivable
for accumulated variation margin on futures contracts |
10,575
|
Total
assets |
21,040,709
|
Liabilities
|
|
Payable
for investments purchased |
129,238
|
Payable
for fund shares redeemed |
2,337
|
Payable
to the Adviser |
9,281
|
Payable
for custody, fund accounting and sub-administration fees |
8,044
|
Accrued
other expenses |
30,396
|
Total
liabilities |
179,296
|
|
Net
Assets |
$
20,861,413 |
Net
Assets Consist of: |
|
Capital
paid in |
$
12,113,457 |
Total
distributable earnings (loss) |
8,747,956
|
Net
Assets |
$
20,861,413 |
Shares
outstanding ($0.01 par value; unlimited shares authorized) |
436,984
|
Net
asset value per share |
$
47.74 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Assets and Liabilities |
9
|
State Street U.S. Equity V.I.S.
Fund
Statement of Operations — For the period ended
June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
127,597 |
Income
from affiliated investments |
12,463
|
Less:
Foreign taxes withheld |
(150)
|
Total
income |
139,910
|
Expenses
|
|
Advisory
and administration fees |
54,777
|
Directors'
fees |
11,201
|
Custody,
fund accounting and sub-administration fees |
9,862
|
Professional
fees |
14,914
|
Printing
and shareholder reports |
2,512
|
Other
expenses |
879
|
Total
expenses |
94,145
|
Net
investment income |
$
45,765 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
757,007 |
Futures
|
(7,335)
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
2,404,692
|
Futures
|
10,571
|
Net
realized and unrealized gain (loss) on investments |
3,164,935
|
Net
Increase in Net Assets Resulting from Operations |
$
3,210,700 |
The accompanying Notes are an integral part of these
financial statements.
10
|
Statement of Operations
|
State Street U.S. Equity V.I.S.
Fund
Statements of Changes in Net Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$
45,765 |
|
$
108,119 |
Net
realized gain (loss) on investments and futures |
749,672
|
|
1,487,131
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments and futures |
2,415,263
|
|
(6,913,702)
|
Net
increase (decrease) from operations |
3,210,700
|
|
(5,318,452)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(2,265,516)
|
Increase
(decrease) in assets from operations and distributions |
3,210,700
|
|
(7,583,968)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
178,810
|
|
231,552
|
Value
of distributions reinvested |
—
|
|
2,265,516
|
Cost
of shares redeemed |
(2,976,936)
|
|
(4,059,426)
|
Net
increase (decrease) from share transactions |
(2,798,126)
|
|
(1,562,358)
|
Total
increase (decrease) in net assets |
412,574
|
|
(9,146,326)
|
Net
Assets |
|
|
|
Beginning
of period |
20,448,839
|
|
29,595,165
|
End
of period |
$
20,861,413 |
|
$
20,448,839 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
4,064
|
|
4,930
|
Issued
for distributions reinvested |
—
|
|
55,787
|
Shares
redeemed |
(68,747)
|
|
(82,353)
|
Net
decrease in fund shares |
(64,683)
|
|
(21,636)
|
The accompanying Notes are an integral part of these financial
statements.
Statements
of Changes in Net Assets |
11
|
State Street U.S. Equity V.I.S.
Fund
Notes to Financial Statements — June 30, 2023
(Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund (the "Fund"), State Street S&P 500 Index V.I.S. Fund, State Street
Premier Growth Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment company
within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
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. |
12
|
Notes to Financial
Statements |
State Street U.S. Equity V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
•
|
Investments in registered
investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
In the event prices or quotations
are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the
Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Notes
to Financial Statements |
13
|
State Street U.S. Equity V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars
using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the
transactions.
The effects
of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM's understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the
Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Derivative
Financial Instruments
Futures
Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a
future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated
on the Schedule of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the
daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts for cash equitization.
The following tables summarize the value
of the Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street U.S. Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
10,575 |
$
— |
$
10,575 |
14
|
Notes to Financial
Statements |
State Street U.S. Equity V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street U.S. Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
(7,335) |
$
— |
$
(7,335) |
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street U.S. Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
10,571 |
$
— |
$
10,571 |
4.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.55%.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
5.Directors’
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
6.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
3,906,762 |
$
7,142,794 |
7.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending
Notes
to Financial Statements |
15
|
State Street U.S. Equity V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
upon jurisdiction. As of December 31, 2022, SSGA FM has
analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
13,078,200 |
$
8,098,734 |
$
344,842 |
$
7,753,892 |
8.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
9.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness,
such as COVID-19, or other public health issues, or other events could have a significant impact on the Fund and its investments.
10.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
16
|
Notes to Financial
Statements |
State Street U.S. Equity V.I.S.
Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and
periodically reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining
investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period
December 31, 2021 through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street U.S. Equity V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
Director Considerations in Approving Continuation of the
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street U.S. Equity V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA
FM” or the “Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent
Directors were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5, 2023 meeting, the
Independent Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other
things, the following:
Information about Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons of the
Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);
|
○
|
A chart
showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
_________________________________________
1The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory agreement, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual review
process"). The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent Directors
with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate in-person
meeting that is dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in light of the
latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the
Independent Directors before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street U.S. Equity V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
○
|
Comparisons of the
Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Code of Ethics adopted by the Adviser; |
•
|
Information about the
Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
•
|
A description of the
adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser; and |
•
|
Information regarding the
Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
State Street U.S. Equity V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, and the Distributor with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and
|
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things, presentations by
the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the
weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed
varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023, the Board, including a majority of the Independent Directors, voted to approve the continuation
of the Advisory Agreement effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the
substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to
investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. The Directors also considered the
significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and
the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
State Street U.S. Equity V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the
Fund:
State Street U.S. Equity V.I.S. Fund. The Board considered that the Fund’s performance was below the median of its Performance Group for the 1-, 3- and 10-year periods and was above the median of its Performance Group for the 5-year period. The Board
also considered that the Fund’s performance was below the median of its Performance Universe for the 1-year period and was above the median of its Performance Universe for the 3-, 5- and 10-year periods. The Board also considered that the
Fund’s performance was below the Benchmark for the 1- and 10-year periods, was equal to the Benchmark for the 3-year period, and was above the Benchmark for the 5-year period.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Fund is satisfactory.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services
provided by SSGA FM, as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to
the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. Among other information, the Board considered the following expense information in its evaluation of
the Fund:
State Street U.S. Equity V.I.S. Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were above the medians of
its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the services provided.
State Street U.S. Equity V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service Providers in
connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers with respect to
their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser
with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of
the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time.
Conclusions
In reaching its decision to approve the Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the materials
reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser possesses the capability and resources to perform the duties
required of it under the Advisory Agreement.
Further,
based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the
best interests of the Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
[This page
intentionally left blank]
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street Premier Growth
Equity V.I.S. Fund |
State Street Premier Growth Equity V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
|
|
4
|
Financial
Statements |
|
|
7
|
|
8
|
|
9
|
|
10
|
|
11
|
|
16
|
This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street Premier Growth
Equity V.I.S. Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street Premier Growth Equity V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and
its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street Premier Growth Equity V.I.S. Fund |
1
|
State Street Premier Growth
Equity V.I.S. Fund
Fund Information, continued —
June 30, 2023 (Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $30,210 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
Microsoft
Corp. |
12.76%
|
Apple,
Inc. |
11.31%
|
Amazon.com,
Inc. |
7.16%
|
NVIDIA
Corp. |
5.40%
|
Alphabet,
Inc., Class C |
4.50%
|
Meta
Platforms, Inc., Class A |
3.93%
|
UnitedHealth
Group, Inc. |
3.86%
|
Visa,
Inc., Class A |
3.51%
|
Mastercard,
Inc., Class A |
3.02%
|
Alphabet,
Inc., Class A |
2.77%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street Premier
Growth Equity V.I.S. Fund |
State Street Premier Growth
Equity V.I.S. Fund
Understanding Your Fund’s
Expenses — June 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,306.40
|
|
$1,020.10
|
Expenses
Paid During Period* |
$
5.43 |
|
$
4.76 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 0.95% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street Premier Growth Equity V.I.S. Fund |
3
|
State Street Premier Growth
Equity V.I.S. Fund
Schedule of Investments — June
30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Common
Stock - 96.7% † |
Apparel
Retail - 1.1% |
Ross
Stores, Inc. |
3,143
|
$
352,425 |
Application
Software - 3.7% |
Adobe,
Inc. (a) |
1,197
|
585,321
|
Salesforce,
Inc. (a) |
2,692
|
568,712
|
|
|
1,154,033
|
Automobile
Manufacturers - 1.0% |
Tesla,
Inc. (a)(b) |
1,129
|
295,538
|
Biotechnology
- 2.7% |
BioMarin
Pharmaceutical, Inc. (a)(b) |
4,050
|
351,054
|
Vertex
Pharmaceuticals, Inc. (a) |
1,341
|
471,911
|
|
|
822,965
|
Broadline
Retail - 7.0% |
Amazon.com,
Inc. (a) |
16,590
|
2,162,672
|
Cable
& Satellite - 1.1% |
Charter
Communications, Inc., Class A (a) |
969
|
355,982
|
Consumer
Staples Merchandise Retail - 2.2% |
Costco
Wholesale Corp. |
1,245
|
670,283
|
Electrical
Components & Equipment - 1.9% |
Eaton
Corp. PLC |
2,874
|
577,961
|
Electronic
Components - 1.5% |
Amphenol
Corp., Class A (b) |
5,297
|
449,980
|
Financial
Exchanges & Data - 1.5% |
S&P
Global, Inc. |
1,194
|
478,663
|
Healthcare
Equipment - 2.2% |
Boston
Scientific Corp. (a) |
6,613
|
357,697
|
IDEXX
Laboratories, Inc. (a) |
659
|
330,970
|
|
|
688,667
|
Home
Improvement Retail - 1.5% |
Lowe's
Cos., Inc. |
2,091
|
471,939
|
Industrial
Machinery & Supplies & Components - 2.0% |
Parker-Hannifin
Corp. |
1,587
|
618,993
|
Interactive
Media & Services - 10.9% |
Alphabet,
Inc., Class C (a) |
11,233
|
1,358,856
|
Alphabet,
Inc., Class A (a) |
6,985
|
836,105
|
Meta
Platforms, Inc., Class A (a) |
4,140
|
1,188,097
|
|
|
3,383,058
|
|
Number
of Shares |
Fair
Value |
Life
Sciences Tools & Services - 1.3% |
IQVIA
Holdings, Inc. (a) |
1,762
|
$
396,045 |
Managed
Healthcare - 3.8% |
UnitedHealth
Group, Inc. |
2,426
|
1,166,033
|
Other
Specialty Retail - 1.0% |
Chewy,
Inc., Class A (a) |
7,888
|
311,339
|
Pharmaceuticals
- 1.6% |
AstraZeneca
PLC ADR |
6,849
|
490,183
|
Semiconductor
Materials & Equipment - 2.0% |
Applied
Materials, Inc. |
4,374
|
632,218
|
Semiconductors
- 9.5% |
Advanced
Micro Devices, Inc. (a) |
4,985
|
567,841
|
NVIDIA
Corp. |
3,860
|
1,632,857
|
QUALCOMM,
Inc. |
6,135
|
730,311
|
|
|
2,931,009
|
Soft
Drinks & Non-alcoholic Beverages - 1.7% |
Monster
Beverage Corp. (a) |
9,226
|
529,941
|
Systems
Software - 14.5% |
Microsoft
Corp. |
11,318
|
3,854,232
|
ServiceNow,
Inc. (a) |
1,151
|
646,827
|
|
|
4,501,059
|
Technology
Hardware, Storage & Peripherals - 11.0% |
Apple,
Inc. |
17,617
|
3,417,170
|
Telecom
Tower REITs - 1.6% |
American
Tower Corp. (b) |
2,484
|
481,747
|
Trading
Companies & Distributors - 2.0% |
United
Rentals, Inc. |
1,423
|
633,762
|
Transaction
& Payment Processing Services - 6.4% |
Mastercard,
Inc., Class A |
2,316
|
910,883
|
Visa,
Inc., Class A |
4,468
|
1,061,060
|
|
|
1,971,943
|
Total
Common Stock (Cost $13,808,378) |
|
29,945,608
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street Premier
Growth Equity V.I.S. Fund |
State Street Premier Growth
Equity V.I.S. Fund
Schedule of Investments, continued
— June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Short-Term
Investments - 0.9% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (b)(c)(d) (Cost $264,687) |
264,687
|
$
264,687 |
Total
Investments (Cost $14,073,065) |
|
30,210,295
|
Other
Assets and Liabilities, net - 2.4% |
|
747,844
|
NET
ASSETS - 100.0% |
|
$
30,958,139 |
Other Information:
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
S&P
500 E-mini Index Futures |
September
2023 |
4
|
$
896,909 |
$
897,650 |
$
741 |
During the period ended June 30, 2023, the average notional
value related to long futures contracts was $332,407.
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
Non-income
producing security. |
(b)
|
At June
30, 2023, 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 June 30, 2023. |
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 June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Common
Stock |
$
29,945,608 |
|
$
— |
|
$
— |
|
$
29,945,608 |
Short-Term
Investments |
264,687
|
|
—
|
|
—
|
|
264,687
|
Total
Investments in Securities |
$
30,210,295 |
|
$
— |
|
$
— |
|
$
30,210,295 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Long
Futures Contracts - Unrealized Appreciation |
$
741 |
|
$
— |
|
$
— |
|
$
741 |
Total
Other Financial Instruments |
$
741 |
|
$
— |
|
$
— |
|
$
741 |
See
Notes to Schedule of Investments and Notes to Financial Statements.
State
Street Premier Growth Equity V.I.S. Fund |
5
|
State Street Premier Growth
Equity V.I.S. Fund
Schedule of Investments, continued
— June 30, 2023 (Unaudited)
|
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 6/30/23 |
Value
at 6/30/23 |
Dividend
Income |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
500,571
|
$500,571
|
$3,294,343
|
$3,530,227
|
$—
|
$—
|
264,687
|
$264,687
|
$15,794
|
See Notes to Schedule of Investments and Notes to Financial Statements.
6
|
State Street Premier
Growth Equity V.I.S. Fund |
State Street Premier Growth
Equity V.I.S. Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
12/12/97
|
Net
asset value, beginning of period |
$
77.05 |
|
$126.76
|
|
$122.96
|
|
$100.89
|
|
$
82.51 |
|
$
99.23 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income (loss)(b) |
(0.06)
|
|
(0.32)
|
|
(0.44)
|
|
(0.22)
|
|
0.03
|
|
0.12
|
Net
realized and unrealized gains/(losses) on investments |
23.67
|
|
(38.35)
|
|
31.51
|
|
34.12
|
|
30.84
|
|
(2.88)
|
Total
income/(loss) from investment operations |
23.61
|
|
(38.67)
|
|
31.07
|
|
33.90
|
|
30.87
|
|
(2.76)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
—
|
|
—
|
|
—
|
|
(0.04)
|
|
—
|
|
(0.15)
|
Net
realized gains |
—
|
|
(11.04)
|
|
(27.27)
|
|
(11.79)
|
|
(12.49)
|
|
(13.81)
|
Total
distributions |
—
|
|
(11.04)
|
|
(27.27)
|
|
(11.83)
|
|
(12.49)
|
|
(13.96)
|
Net
asset value, end of period |
$100.66
|
|
$
77.05 |
|
$126.76
|
|
$122.96
|
|
$100.89
|
|
$
82.51 |
Total
Return(c) |
30.64%
|
|
(30.43)%
|
|
24.97%
|
|
33.61%
|
|
37.33%
|
|
(2.66)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$30,958
|
|
$25,498
|
|
$41,961
|
|
$39,144
|
|
$35,502
|
|
$30,369
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
0.95%
(d) |
|
0.93%
|
|
0.88%
|
|
0.89%
|
|
0.91%
|
|
0.87%
|
Gross
expenses |
0.95%
(d) |
|
0.93%
|
|
0.88%
|
|
0.89%
|
|
0.91%
|
|
0.87%
|
Net
investment income (loss) |
(0.13)%
(d) |
|
(0.31)%
|
|
(0.32)%
|
|
(0.19)%
|
|
0.03%
|
|
0.11%
|
Portfolio
turnover rate |
13%
|
|
23%
|
|
30%
|
|
22%
|
|
22%
|
|
27%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(d)
|
Annualized
for periods less than one year. |
The accompanying Notes are an integral part of these financial
statements.
State Street Premier Growth
Equity V.I.S. Fund
Statement of Assets and Liabilities
— June 30, 2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $13,808,378) |
$
29,945,608 |
Short-term
affiliated investments, at fair value (cost $264,687) |
264,687
|
Receivable
for investments sold |
957,932
|
Income
receivables |
4,874
|
Receivable
for fund shares sold |
103
|
Income
receivable from affiliated investments |
2,486
|
Receivable
for accumulated variation margin on futures contracts |
750
|
Total
assets |
31,176,440
|
Liabilities
|
|
Net
cash collateral on futures contracts due to broker |
44
|
Payable
for investments purchased |
152,296
|
Payable
for fund shares redeemed |
7,149
|
Payable
to the Adviser |
16,155
|
Payable
for custody, fund accounting and sub-administration fees |
8,702
|
Accrued
other expenses |
33,955
|
Total
liabilities |
218,301
|
|
Net
Assets |
$
30,958,139 |
Net
Assets Consist of: |
|
Capital
paid in |
$
15,180,317 |
Total
distributable earnings (loss) |
15,777,822
|
Net
Assets |
$
30,958,139 |
Shares
outstanding ($0.01 par value; unlimited shares authorized) |
307,540
|
Net
asset value per share |
$
100.66 |
The accompanying Notes are an integral part of these
financial statements.
8
|
Statement of Assets and
Liabilities |
State Street Premier Growth
Equity V.I.S. Fund
Statement of Operations — For the
period ended June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
97,431 |
Income
from affiliated investments |
15,794
|
Total
income |
113,225
|
Expenses
|
|
Advisory
and administration fees |
89,880
|
Directors'
fees |
11,223
|
Custody,
fund accounting and sub-administration fees |
10,337
|
Professional
fees |
14,942
|
Printing
and shareholder reports |
3,643
|
Other
expenses |
1,744
|
Total
expenses |
131,769
|
Net
investment income |
$
(18,544) |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
(416,675) |
Futures
|
26,692
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
7,878,658
|
Futures
|
8,957
|
Net
realized and unrealized gain (loss) on investments |
7,497,632
|
Net
Increase in Net Assets Resulting from Operations |
$
7,479,088 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Operations |
9
|
State Street Premier Growth
Equity V.I.S. Fund
Statements of Changes in Net
Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment loss |
$
(18,544) |
|
$
(98,064) |
Net
realized gain (loss) on investments and futures |
(389,983)
|
|
1,629,901
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments and futures |
7,887,615
|
|
(13,722,753)
|
Net
increase (decrease) from operations |
7,479,088
|
|
(12,190,916)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(3,197,147)
|
Increase
(decrease) in assets from operations and distributions |
7,479,088
|
|
(15,388,063)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
193,830
|
|
256,572
|
Value
of distributions reinvested |
—
|
|
3,197,147
|
Cost
of shares redeemed |
(2,212,527)
|
|
(4,528,893)
|
Net
increase (decrease) from share transactions |
(2,018,697)
|
|
(1,075,174)
|
Total
increase (decrease) in net assets |
5,460,391
|
|
(16,463,237)
|
Net
Assets |
|
|
|
Beginning
of period |
25,497,748
|
|
41,960,985
|
End
of period |
$
30,958,139 |
|
$
25,497,748 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
2,100
|
|
2,585
|
Issued
for distributions reinvested |
—
|
|
41,853
|
Shares
redeemed |
(25,474)
|
|
(44,556)
|
Net
decrease in fund shares |
(23,374)
|
|
(118)
|
The accompanying Notes are an integral part of these financial
statements.
10
|
Statement of Operations
|
State Street Premier Growth
Equity V.I.S. Fund
Notes to Financial Statements —
June 30, 2023 (Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth
Equity V.I.S. Fund (the "Fund"), State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment
company within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
|
Notes
to Financial Statements |
11
|
State Street Premier Growth
Equity V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
•
|
Exchange-traded futures
contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last
reported sale price obtained from independent pricing services or brokers or at fair value. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
12
|
Notes to Financial
Statements |
State Street Premier Growth
Equity V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Derivative
Financial Instruments
Futures
Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a
future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated
on the Schedule of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the
daily change in the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts for cash equitization.
The following tables summarize the value
of the Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Premier Growth Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
750 |
$
— |
$
750 |
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Premier Growth Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
26,692 |
$
— |
$
26,692 |
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Premier Growth Equity V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
8,957 |
$
— |
$
8,957 |
Notes
to Financial Statements |
13
|
State Street Premier Growth
Equity V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
4.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.65%.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
5.Directors'
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
6.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
3,411,200 |
$
5,972,564 |
7.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax
positions that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
14
|
Notes to Financial
Statements |
State Street Premier Growth
Equity V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
14,320,908 |
$
16,313,998 |
$
423,870 |
$
15,890,128 |
8.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
9.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness,
such as COVID-19, or other public health issues, or other events could have a significant impact on the Fund and its investments.
10.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
Notes
to Financial Statements |
15
|
State Street Premier Growth
Equity V.I.S. Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and
periodically reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining
investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period
December 31, 2021 through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Premier Growth
Equity V.I.S. Fund
Other Information, continued —
June 30, 2023 (Unaudited)
Director Considerations in Approving Continuation of the
Investment Advisory Agreement1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street Premier Growth Equity V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc.
(“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully.
The Independent Directors were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5,
2023 meeting, the Independent Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered,
among other things, the following:
Information about Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. for the Fund (the “Benchmark”) and a
universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons
of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense
Universe”); |
__________________________________
1The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and
concerns") that they consider each year in connection with the proposed continuation of the advisory agreement, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the
"annual review process"). The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the
Independent Directors with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule
annually a separate in-person meeting that is dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues,
factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and
questions to the satisfaction of the Independent Directors before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street Premier Growth
Equity V.I.S. Fund
Other Information, continued —
June 30, 2023 (Unaudited)
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Code of Ethics adopted by the Adviser; |
•
|
Information about the
Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
•
|
A description of the
adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser; and |
•
|
Information regarding the
Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings, by Independent Counsel requesting specific information from each of: |
State Street Premier Growth
Equity V.I.S. Fund
Other Information, continued —
June 30, 2023 (Unaudited)
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, and the Distributor with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and
|
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things,
presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement,
and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director
may have placed varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023 the Board, including a majority of the Independent Directors, voted to approve the continuation of
the Advisory Agreement effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also
considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the extensive experience and resources committed by the Adviser to risk management,
including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. The
Directors also considered the significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and
retain investment personnel, and the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
State Street Premier Growth
Equity V.I.S. Fund
Other Information, continued —
June 30, 2023 (Unaudited)
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of
the Fund:
State Street Premier Growth Equity V.I.S.
Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the
Fund’s performance was below the Benchmark for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Fund is satisfactory.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative
services provided by SSGA FM, as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the
services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. Among other information, the Board considered the following expense
information in its evaluation of the Fund:
State
Street Premier Growth Equity V.I.S. Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the
Fund’s total expenses were above the medians of its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service
Providers in connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers
with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including reputational and entrepreneurial
risks.
The Board concluded that the profitability of
the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
State Street Premier Growth
Equity V.I.S. Fund
Other Information, continued —
June 30, 2023 (Unaudited)
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded
that, in light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense
ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced
or that breakpoints in such fees should be implemented for the Fund at this time.
Conclusions
In reaching its decision to approve the Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the
materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser possesses the capability and resources to perform the
duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement,
the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the Fund and its shareholders,
and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
[This page
intentionally left blank]
[This page
intentionally left blank]
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street Income V.I.S. Fund
|
State Street Income V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
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4
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Financial
Statements |
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23
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24
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25
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26
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27
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35
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This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street Income V.I.S.
Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street Income V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates.
The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street Income V.I.S. Fund |
1
|
State Street Income V.I.S.
Fund
Fund Information, continued — June 30, 2023
(Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $11,842 (in thousands) as of June 30, 2023 (a)(b) |
Quality
Ratings |
as
of June 30, 2023 as a % of Fair Value (a)(b) |
Moody’s
/ S&P / Rating* |
|
Percentage
of Fair Value |
Aaa
/ AAA |
|
4.92%
|
Aa
/ AA |
|
52.61%
|
A
/ A |
|
7.33%
|
Baa
/ BBB |
|
16.24%
|
Ba
/ BB and lower |
|
1.74%
|
NR
/ Other |
|
17.16%
|
|
|
100.00%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
*
|
Moody’s
Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit
ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and
principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA
FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
2
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Understanding Your Fund’s Expenses — June
30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,016.40
|
|
$1,018.10
|
Expenses
Paid During Period* |
$
6.75 |
|
$
6.76 |
*
|
Expenses
are equal to the Fund's annualized net expense ratio of 1.35% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street Income V.I.S. Fund |
3
|
State Street Income V.I.S.
Fund
Schedule of Investments — June 30, 2023
(Unaudited)
|
Principal
Amount |
Fair
Value |
Bonds
and Notes - 96.9% † |
U.S.
Treasuries - 27.4% |
U.S.
Treasury Bonds |
|
|
2.25%,
08/15/46 (a) |
$
137,000 |
$
100,096 |
3.00%,
08/15/48 (a) |
303,000
|
255,704
|
3.63%,
05/15/53 (a) |
88,000
|
84,617
|
3.88%,
05/15/43 (a) |
16,000
|
15,615
|
4.75%,
02/15/37 (a) |
146,900
|
162,439
|
U.S.
Treasury Notes |
|
|
0.25%,
07/31/25 (a) |
166,900
|
151,840
|
0.75%,
12/31/23 - 01/31/28 (a) |
590,000
|
542,901
|
1.25%,
11/30/26 (a) |
135,000
|
121,637
|
1.63%,
05/15/31 (a) |
253,000
|
215,050
|
2.75%,
08/15/32 (a) |
499,000
|
457,521
|
3.50%,
04/30/28 (a) |
206,000
|
200,158
|
3.88%,
12/31/27 - 11/30/29 (a) |
201,200
|
198,963
|
4.25%,
10/15/25 (a) |
299,600
|
296,253
|
|
|
2,802,794
|
Agency
Mortgage Backed - 30.6% |
Federal
Home Loan Mortgage Corp. |
|
|
3.00%,
04/01/43 - 10/01/49 |
305,541
|
273,955
|
4.50%,
06/01/33 - 02/01/35 |
1,158
|
1,141
|
5.00%,
07/01/35 |
14,394
|
14,429
|
5.50%,
01/01/38 |
14,146
|
14,528
|
6.00%,
04/01/29 - 11/01/37 |
46,098
|
48,055
|
6.50%,
02/01/29 |
17
|
18
|
6.93%,
06/01/26 (a)(b) |
60,000
|
63,443
|
7.00%,
12/01/29 - 08/01/36 |
11,775
|
12,303
|
7.50%,
01/01/30 - 09/01/33 |
1,400
|
1,442
|
8.00%,
11/01/30 |
2,349
|
2,442
|
8.50%,
04/01/30 |
2,352
|
2,578
|
Federal
National Mortgage Association |
|
|
2.50%,
03/01/51 |
233,285
|
197,816
|
3.00%,
03/01/50 |
54,114
|
48,055
|
3.50%,
08/01/45 - 01/01/48 |
108,467
|
100,576
|
4.00%,
01/01/41 - 01/01/50 |
158,840
|
151,891
|
4.50%,
07/01/33 - 12/01/48 |
67,532
|
66,222
|
5.00%,
03/01/34 - 08/01/35 |
16,111
|
16,127
|
5.50%,
12/01/32 - 01/01/39 |
59,456
|
60,659
|
6.00%,
02/01/33 - 07/01/35 |
68,620
|
71,494
|
6.50%,
01/01/29 - 08/01/34 |
10,336
|
10,811
|
7.00%,
10/01/32 - 02/01/34 |
4,117
|
4,249
|
7.50%,
12/01/26 - 03/01/33 |
4,526
|
4,668
|
8.00%,
08/01/25 - 10/01/31 |
2,039
|
2,073
|
|
Principal
Amount |
Fair
Value |
Federal
National Mortgage Association 1.60% + 12 month USD LIBOR |
|
|
4.97%,
04/01/37 (c) |
$
604 |
$
594 |
Government
National Mortgage Association |
|
|
3.00%,
12/20/42 - 05/20/45 |
251,917
|
229,826
|
3.50%,
08/20/48 |
45,397
|
42,417
|
4.00%,
01/20/41 - 04/20/43 |
44,472
|
43,218
|
4.50%,
08/15/33 - 03/20/41 |
34,870
|
34,284
|
6.00%,
04/15/27 - 04/15/34 |
39,318
|
40,523
|
6.50%,
03/15/24 - 08/15/34 |
14,916
|
15,454
|
7.00%,
01/15/28 - 10/15/36 |
11,429
|
11,608
|
Government
National Mortgage Association 1.50% + 1 year CMT Rate |
|
|
2.75%,
12/20/24 (c) |
100
|
98
|
3.63%,
02/20/26 (c) |
60
|
58
|
Government
National Mortgage Association, TBA |
|
|
2.50%,
07/20/53 (d) |
211,781
|
183,240
|
4.00%,
07/20/53 (d) |
41,845
|
39,549
|
Uniform
Mortgage-Backed Security, TBA |
|
|
2.00%,
07/13/53 (d) |
365,226
|
297,593
|
2.50%,
07/13/53 (d) |
496,279
|
420,551
|
3.00%,
07/13/53 (d) |
137,325
|
120,820
|
3.50%,
07/13/53 (d) |
68,183
|
62,105
|
4.00%,
07/13/53 (d) |
240,420
|
225,550
|
4.50%,
07/13/53 (d) |
202,997
|
195,121
|
|
|
3,131,584
|
Agency
Collateralized Mortgage Obligations - 1.0% |
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
|
|
2.51%,
07/25/29 (a) |
55,000
|
49,059
|
4.05%,
09/25/28 (a)(c) |
31,000
|
30,236
|
Federal
Home Loan Mortgage Corp. REMIC |
|
|
3.50%,
11/15/30 (a)(e) |
314
|
1
|
5.50%,
06/15/33 (a)(e) |
7,161
|
1,131
|
7.50%,
07/15/27 (a)(e) |
503
|
40
|
Federal
Home Loan Mortgage Corp. STRIPS |
|
|
0.00%,
08/01/27 (a)(f) |
72
|
66
|
8.00%,
07/01/24 (a)(e) |
41
|
1
|
Federal
Home Loan Mortgage Corp. Structured Pass-Through Certificates |
|
|
0.08%,
09/25/43 (a)(c)(e) |
253,613
|
1,951
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Federal
National Mortgage Association Interest STRIPS |
|
|
7.50%,
11/25/23 (a)(e)** |
$
26 |
$
— |
Federal
National Mortgage Association REMIC |
|
|
1.16%,
12/25/42 (a)(c)(e) |
13,002
|
444
|
5.00%,
09/25/40 (a)(e) |
3,278
|
346
|
Federal
National Mortgage Association REMIC 6.00% - 1 month USD LIBOR |
|
|
0.85%,
07/25/38 (a)(c)(e) |
2,554
|
203
|
Federal
National Mortgage Association REMIC 6.55% - 1 month USD LIBOR |
|
|
1.40%,
11/25/41 (a)(c)(e) |
117,921
|
13,682
|
Federal
National Mortgage Association STRIPS |
|
|
0.00%,
12/25/34 (a)(f) |
6,231
|
5,060
|
4.50%,
08/25/35 - 01/25/36 (a)(e) |
6,608
|
829
|
5.00%,
03/25/38 - 05/25/38 (a)(e) |
4,322
|
653
|
5.50%,
12/25/33 (a)(e) |
1,969
|
339
|
6.00%,
01/25/35 (a)(e) |
3,551
|
605
|
8.00%,
07/25/24 (a)(e) |
74
|
2
|
|
|
104,648
|
Asset
Backed - 0.0%* |
Ford
Credit Auto Owner Trust |
|
|
0.56%,
10/15/24 (a) |
2,815
|
2,808
|
|
|
2,808
|
Corporate
Notes - 30.1% |
3M
Co. |
|
|
3.13%,
09/19/46 (a) |
2,000
|
1,407
|
7-Eleven,
Inc. |
|
|
0.95%,
02/10/26 (a)(g) |
5,000
|
4,467
|
Abbott
Laboratories |
|
|
3.75%,
11/30/26 (a) |
6,000
|
5,853
|
4.90%,
11/30/46 (a) |
8,000
|
8,064
|
AbbVie,
Inc. |
|
|
2.60%,
11/21/24 (a) |
7,000
|
6,717
|
2.95%,
11/21/26 (a) |
5,000
|
4,673
|
3.20%,
05/14/26 - 11/21/29 (a) |
12,000
|
11,021
|
4.05%,
11/21/39 (a) |
3,000
|
2,611
|
4.25%,
11/21/49 (a) |
4,000
|
3,447
|
4.30%,
05/14/36 (a) |
3,000
|
2,759
|
4.40%,
11/06/42 (a) |
2,000
|
1,791
|
4.63%,
10/01/42 (a) |
2,000
|
1,807
|
|
Principal
Amount |
Fair
Value |
4.88%,
11/14/48 (a) |
$
3,000 |
$
2,830 |
Advance
Auto Parts, Inc. |
|
|
3.90%,
04/15/30 (a) |
5,000
|
4,293
|
5.95%,
03/09/28 (a) |
10,000
|
9,862
|
Advanced
Micro Devices, Inc. |
|
|
4.39%,
06/01/52 (a) |
3,000
|
2,732
|
AEP
Texas, Inc. |
|
|
3.45%,
05/15/51 (a) |
8,000
|
5,712
|
AEP
Transmission Co. LLC |
|
|
5.40%,
03/15/53 (a) |
5,000
|
5,143
|
Aetna,
Inc. |
|
|
3.50%,
11/15/24 (a) |
4,000
|
3,881
|
Aircastle
Ltd. |
|
|
4.25%,
06/15/26 (a) |
3,000
|
2,827
|
Alexandria
Real Estate Equities, Inc. |
|
|
1.88%,
02/01/33 (a) |
3,000
|
2,195
|
2.95%,
03/15/34 (a) |
3,000
|
2,370
|
3.55%,
03/15/52 (a) |
3,000
|
2,052
|
4.70%,
07/01/30 (a) |
3,000
|
2,851
|
Allstate
Corp. |
|
|
4.20%,
12/15/46 (a) |
4,000
|
3,275
|
Allstate
Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) |
|
|
5.75%,
08/15/53 (a)(c) |
9,000
|
8,888
|
Ally
Financial, Inc. |
|
|
2.20%,
11/02/28 (a) |
3,000
|
2,401
|
Altria
Group, Inc. |
|
|
3.40%,
02/04/41 (a) |
6,000
|
4,197
|
4.00%,
02/04/61 (a) |
2,000
|
1,379
|
4.25%,
08/09/42 (a) |
2,000
|
1,563
|
4.45%,
05/06/50 (a) |
3,000
|
2,214
|
4.50%,
05/02/43 (a) |
3,000
|
2,390
|
Amazon.com,
Inc. |
|
|
1.50%,
06/03/30 (a) |
2,000
|
1,645
|
2.50%,
06/03/50 (a) |
3,000
|
1,992
|
2.70%,
06/03/60 (a) |
3,000
|
1,926
|
2.88%,
05/12/41 (a) |
4,000
|
3,087
|
3.15%,
08/22/27 (a) |
2,000
|
1,882
|
3.25%,
05/12/61 (a) |
3,000
|
2,173
|
4.05%,
08/22/47 (a) |
3,000
|
2,688
|
Ameren
Corp. |
|
|
3.65%,
02/15/26 (a) |
5,000
|
4,764
|
American
Electric Power Co., Inc. |
|
|
2.30%,
03/01/30 (a) |
3,000
|
2,492
|
3.25%,
03/01/50 (a) |
3,000
|
2,051
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
5
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
American
Tower Corp. |
|
|
1.50%,
01/31/28 (a) |
$
4,000 |
$
3,361 |
2.90%,
01/15/30 (a) |
4,000
|
3,455
|
3.70%,
10/15/49 (a) |
3,000
|
2,154
|
3.80%,
08/15/29 (a) |
4,000
|
3,657
|
American
Water Capital Corp. |
|
|
2.95%,
09/01/27 (a) |
8,000
|
7,393
|
Amgen,
Inc. |
|
|
2.45%,
02/21/30 (a) |
2,000
|
1,712
|
3.00%,
01/15/52 (a) |
4,000
|
2,670
|
3.15%,
02/21/40 (a) |
5,000
|
3,825
|
5.51%,
03/02/26 (a) |
5,000
|
4,988
|
5.60%,
03/02/43 (a) |
5,000
|
5,012
|
5.65%,
03/02/53 (a) |
5,000
|
5,069
|
5.75%,
03/02/63 (a) |
5,000
|
5,082
|
Anheuser-Busch
Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
|
|
4.70%,
02/01/36 (a) |
7,000
|
6,816
|
4.90%,
02/01/46 (a) |
8,000
|
7,641
|
Anheuser-Busch
InBev Worldwide, Inc. |
|
|
3.50%,
06/01/30 (a) |
5,000
|
4,654
|
4.35%,
06/01/40 (a) |
5,000
|
4,597
|
4.38%,
04/15/38 (a) |
8,000
|
7,425
|
4.50%,
06/01/50 (a) |
3,000
|
2,773
|
4.75%,
04/15/58 (a) |
6,000
|
5,562
|
5.55%,
01/23/49 (a) |
2,000
|
2,106
|
Aon
Corp./Aon Global Holdings PLC |
|
|
2.90%,
08/23/51 (a) |
4,000
|
2,618
|
Apollo
Management Holdings LP |
|
|
2.65%,
06/05/30 (a)(g) |
4,000
|
3,268
|
Apollo
Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) |
|
|
4.95%,
01/14/50 (a)(c)(g) |
5,000
|
4,193
|
Apple,
Inc. |
|
|
2.20%,
09/11/29 (a) |
3,000
|
2,633
|
2.65%,
02/08/51 (a) |
6,000
|
4,143
|
2.80%,
02/08/61 (a) |
2,000
|
1,351
|
2.95%,
09/11/49 (a) |
3,000
|
2,233
|
3.45%,
02/09/45 (a) |
4,000
|
3,366
|
3.95%,
08/08/52 (a) |
3,000
|
2,643
|
4.85%,
05/10/53 (a) |
9,000
|
9,220
|
Applied
Materials, Inc. |
|
|
4.35%,
04/01/47 (a) |
4,000
|
3,744
|
|
Principal
Amount |
Fair
Value |
Aptiv
PLC |
|
|
4.40%,
10/01/46 (a) |
$
3,000 |
$
2,336 |
ArcelorMittal
SA |
|
|
4.55%,
03/11/26 (a) |
15,000
|
14,643
|
6.80%,
11/29/32 (a) |
4,000
|
4,109
|
Archer-Daniels-Midland
Co. |
|
|
2.50%,
08/11/26 (a) |
4,000
|
3,751
|
Ares
Capital Corp. |
|
|
2.88%,
06/15/28 (a) |
3,000
|
2,482
|
Arthur
J Gallagher & Co. |
|
|
3.50%,
05/20/51 (a) |
3,000
|
2,149
|
Ascension
Health |
|
|
4.85%,
11/15/53 (a) |
7,000
|
6,868
|
Astrazeneca
Finance LLC |
|
|
1.75%,
05/28/28 (a) |
8,000
|
6,933
|
AstraZeneca
PLC |
|
|
3.00%,
05/28/51 (a) |
5,000
|
3,711
|
4.00%,
01/17/29 (a) |
3,000
|
2,901
|
4.38%,
08/17/48 (a) |
2,000
|
1,871
|
AT&T,
Inc. |
|
|
2.75%,
06/01/31 (a) |
10,000
|
8,439
|
3.65%,
06/01/51 (a) |
9,000
|
6,603
|
3.85%,
06/01/60 (a) |
7,000
|
5,078
|
4.35%,
03/01/29 (a) |
2,000
|
1,920
|
4.50%,
05/15/35 (a) |
3,000
|
2,756
|
4.55%,
03/09/49 (a) |
2,000
|
1,696
|
4.75%,
05/15/46 (a) |
2,000
|
1,766
|
Athene
Holding Ltd. |
|
|
4.13%,
01/12/28 (a) |
4,000
|
3,647
|
6.15%,
04/03/30 (a) |
5,000
|
5,014
|
Avangrid,
Inc. |
|
|
3.15%,
12/01/24 (a) |
6,000
|
5,764
|
Bain
Capital Specialty Finance, Inc. |
|
|
2.95%,
03/10/26 (a) |
6,000
|
5,327
|
Bank
of America Corp. |
|
|
3.25%,
10/21/27 (a) |
3,000
|
2,795
|
4.18%,
11/25/27 (a) |
4,000
|
3,801
|
4.25%,
10/22/26 (a) |
4,000
|
3,861
|
Bank
of America Corp. (2.09% fixed rate until 06/14/28; 1.06% + SOFR thereafter) |
|
|
2.09%,
06/14/29 (a)(c) |
3,000
|
2,563
|
Bank
of America Corp. (2.97% fixed rate until 07/21/51; 1.56% + SOFR thereafter) |
|
|
2.97%,
07/21/52 (a)(c) |
7,000
|
4,751
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
6
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Bank
of America Corp. (3.37% fixed rate until 01/23/25; 1.07% + 3 month Term SOFR) |
|
|
3.37%,
01/23/26 (a)(c) |
$
2,000 |
$
1,920 |
Bank
of America Corp. (3.71% fixed rate until 04/24/27; 1.77% + 3 month Term SOFR) |
|
|
3.71%,
04/24/28 (a)(c) |
4,000
|
3,753
|
Bank
of America Corp. (3.85% fixed rate until 03/08/32; 2.00% + 5 year CMT Rate thereafter) |
|
|
3.85%,
03/08/37 (a)(c) |
4,000
|
3,416
|
Bank
of America Corp. (3.95% fixed rate until 01/23/48; 1.45% + 3 month Term SOFR) |
|
|
3.95%,
01/23/49 (a)(c) |
4,000
|
3,234
|
Bank
of America Corp. (4.30% fixed rate until 01/28/25; 2.93% + 3 month Term SOFR) |
|
|
4.30%,
01/28/25 (a)(c) |
7,000
|
6,255
|
Bank
of America Corp. (5.29% fixed rate until 04/25/33; 1.91% + SOFR thereafter) |
|
|
5.29%,
04/25/34 (a)(c) |
10,000
|
9,908
|
Bank
of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.39% + 3 month Term SOFR) |
|
|
4.63%,
09/20/26 (a)(c) |
5,000
|
4,419
|
Bank
of Nova Scotia (7.85% fixed rate until 10/12/23; 2.65% + 3 month USD LIBOR thereafter) |
|
|
7.85%,
10/12/30 (a)(c) |
8,000
|
6,637
|
Barrick
North America Finance LLC |
|
|
5.70%,
05/30/41 (a) |
3,000
|
3,032
|
BAT
Capital Corp. |
|
|
2.73%,
03/25/31 (a) |
4,000
|
3,185
|
4.39%,
08/15/37 (a) |
3,000
|
2,397
|
4.54%,
08/15/47 (a) |
2,000
|
1,476
|
4.91%,
04/02/30 (a) |
4,000
|
3,783
|
Baxter
International, Inc. |
|
|
1.92%,
02/01/27 (a) |
11,000
|
9,774
|
3.13%,
12/01/51 (a) |
3,000
|
1,985
|
Becton
Dickinson & Co. |
|
|
3.70%,
06/06/27 (a) |
7,000
|
6,654
|
|
Principal
Amount |
Fair
Value |
4.67%,
06/06/47 (a) |
$
3,000 |
$
2,750 |
4.69%,
12/15/44 (a) |
2,000
|
1,820
|
Berkshire
Hathaway Energy Co. |
|
|
3.25%,
04/15/28 (a) |
2,000
|
1,840
|
3.70%,
07/15/30 (a) |
3,000
|
2,753
|
3.80%,
07/15/48 (a) |
3,000
|
2,316
|
4.25%,
10/15/50 (a) |
2,000
|
1,618
|
6.13%,
04/01/36 (a) |
3,000
|
3,130
|
Berkshire
Hathaway Finance Corp. |
|
|
2.85%,
10/15/50 (a) |
6,000
|
4,179
|
4.25%,
01/15/49 (a) |
4,000
|
3,641
|
Berry
Global, Inc. |
|
|
4.88%,
07/15/26 (a)(g) |
6,000
|
5,785
|
BHP
Billiton Finance USA Ltd. |
|
|
4.90%,
02/28/33 (a) |
3,000
|
2,987
|
Biogen,
Inc. |
|
|
2.25%,
05/01/30 (a) |
3,000
|
2,507
|
Block
Financial LLC |
|
|
2.50%,
07/15/28 (a) |
3,000
|
2,555
|
3.88%,
08/15/30 (a) |
3,000
|
2,647
|
Boardwalk
Pipelines LP |
|
|
4.80%,
05/03/29 (a) |
4,000
|
3,838
|
Boeing
Co. |
|
|
2.70%,
02/01/27 (a) |
4,000
|
3,656
|
2.95%,
02/01/30 (a) |
4,000
|
3,480
|
3.25%,
03/01/28 (a) |
3,000
|
2,733
|
3.75%,
02/01/50 (a) |
2,000
|
1,502
|
5.04%,
05/01/27 (a) |
5,000
|
4,943
|
5.15%,
05/01/30 (a) |
5,000
|
4,952
|
5.81%,
05/01/50 (a) |
3,000
|
2,984
|
Boston
Properties LP |
|
|
3.40%,
06/21/29 (a) |
6,000
|
5,053
|
BP
Capital Markets America, Inc. |
|
|
3.00%,
02/24/50 (a) |
4,000
|
2,792
|
3.38%,
02/08/61 (a) |
5,000
|
3,560
|
4.81%,
02/13/33 (a) |
5,000
|
4,932
|
BP
Capital Markets PLC (4.88% fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) |
|
|
4.88%,
03/22/30 (a)(c) |
7,000
|
6,367
|
Bristol-Myers
Squibb Co. |
|
|
1.45%,
11/13/30 (a) |
2,000
|
1,607
|
2.35%,
11/13/40 (a) |
2,000
|
1,405
|
2.95%,
03/15/32 (a) |
5,000
|
4,416
|
3.20%,
06/15/26 (a) |
2,000
|
1,915
|
3.40%,
07/26/29 (a) |
2,000
|
1,856
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
7
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
4.13%,
06/15/39 (a) |
$
3,000 |
$
2,737 |
4.25%,
10/26/49 (a) |
3,000
|
2,663
|
4.55%,
02/20/48 (a) |
2,000
|
1,865
|
Brixmor
Operating Partnership LP |
|
|
2.25%,
04/01/28 (a) |
6,000
|
5,058
|
Broadcom,
Inc. |
|
|
3.14%,
11/15/35 (a)(g) |
3,000
|
2,299
|
3.42%,
04/15/33 (a)(g) |
10,000
|
8,372
|
3.47%,
04/15/34 (a)(g) |
2,000
|
1,639
|
4.15%,
11/15/30 (a) |
4,000
|
3,676
|
4.30%,
11/15/32 (a) |
4,000
|
3,665
|
Brooklyn
Union Gas Co. |
|
|
4.87%,
08/05/32 (a)(g) |
11,000
|
10,331
|
Brown-Forman
Corp. |
|
|
4.00%,
04/15/38 (a) |
2,000
|
1,766
|
Bunge
Ltd. Finance Corp. |
|
|
3.75%,
09/25/27 (a) |
3,000
|
2,835
|
Burlington
Northern Santa Fe LLC |
|
|
4.15%,
12/15/48 (a) |
4,000
|
3,485
|
4.55%,
09/01/44 (a) |
5,000
|
4,597
|
Canadian
Natural Resources Ltd. |
|
|
3.85%,
06/01/27 (a) |
3,000
|
2,834
|
4.95%,
06/01/47 (a) |
4,000
|
3,577
|
Canadian
Pacific Railway Co. |
|
|
1.75%,
12/02/26 (a) |
3,000
|
2,697
|
3.50%,
05/01/50 (a) |
3,000
|
2,313
|
Cantor
Fitzgerald LP |
|
|
4.88%,
05/01/24 (a)(g) |
5,000
|
4,890
|
Capital
One Financial Corp. |
|
|
3.75%,
07/28/26 (a) |
5,000
|
4,657
|
Cardinal
Health, Inc. |
|
|
3.08%,
06/15/24 (a) |
4,000
|
3,899
|
Carlisle
Cos., Inc. |
|
|
2.20%,
03/01/32 (a) |
5,000
|
3,947
|
Carrier
Global Corp. |
|
|
2.72%,
02/15/30 (a) |
3,000
|
2,585
|
Caterpillar,
Inc. |
|
|
3.25%,
09/19/49 - 04/09/50 (a) |
6,000
|
4,723
|
Cenovus
Energy, Inc. |
|
|
2.65%,
01/15/32 (a) |
3,000
|
2,422
|
3.75%,
02/15/52 (a) |
3,000
|
2,130
|
Centene
Corp. |
|
|
3.00%,
10/15/30 (a) |
3,000
|
2,502
|
3.38%,
02/15/30 (a) |
14,000
|
12,038
|
4.25%,
12/15/27 (a) |
18,000
|
16,843
|
|
Principal
Amount |
Fair
Value |
CenterPoint
Energy, Inc. |
|
|
2.65%,
06/01/31 (a) |
$
5,000 |
$
4,178 |
Charles
Schwab Corp. |
|
|
2.45%,
03/03/27 (a) |
29,000
|
26,045
|
Charles
Schwab Corp. (4.00% fixed rate until 12/01/30; 3.08% + 10 year CMT rate thereafter) |
|
|
4.00%,
12/01/30 (a)(c) |
8,000
|
5,862
|
Charles
Schwab Corp. (5.64% fixed rate until 05/19/28; 2.21% + SOFR thereafter) |
|
|
5.64%,
05/19/29 (a)(c) |
26,000
|
26,111
|
Charter
Communications Operating LLC/Charter Communications Operating Capital |
|
|
3.50%,
06/01/41 (a) |
4,000
|
2,702
|
3.70%,
04/01/51 (a) |
15,000
|
9,519
|
4.80%,
03/01/50 (a) |
5,000
|
3,763
|
5.05%,
03/30/29 (a) |
6,000
|
5,721
|
5.75%,
04/01/48 (a) |
3,000
|
2,566
|
Cheniere
Corpus Christi Holdings LLC |
|
|
5.88%,
03/31/25 (a) |
5,000
|
4,980
|
Cheniere
Energy Partners LP |
|
|
4.50%,
10/01/29 (a) |
9,000
|
8,265
|
Chevron
USA, Inc. |
|
|
3.85%,
01/15/28 (a) |
4,000
|
3,904
|
3.90%,
11/15/24 (a) |
4,000
|
3,931
|
Chubb
INA Holdings, Inc. |
|
|
4.35%,
11/03/45 (a) |
4,000
|
3,622
|
Church
& Dwight Co., Inc. |
|
|
2.30%,
12/15/31 (a) |
3,000
|
2,479
|
Cigna
Group |
|
|
2.40%,
03/15/30 (a) |
3,000
|
2,549
|
3.25%,
04/15/25 (a) |
7,000
|
6,712
|
3.40%,
03/01/27 (a) |
5,000
|
4,711
|
3.88%,
10/15/47 (a) |
2,000
|
1,586
|
4.13%,
11/15/25 (a) |
5,000
|
4,869
|
4.38%,
10/15/28 (a) |
3,000
|
2,902
|
4.80%,
08/15/38 (a) |
3,000
|
2,832
|
Cisco
Systems, Inc. |
|
|
5.90%,
02/15/39 (a) |
3,000
|
3,320
|
Citigroup,
Inc. |
|
|
4.45%,
09/29/27 (a) |
4,000
|
3,820
|
4.65%,
07/23/48 (a) |
9,000
|
8,156
|
6.17%,
05/25/34 (a)(c) |
5,000
|
5,035
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
8
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Citigroup,
Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) |
|
|
2.98%,
11/05/30 (a)(c) |
$
6,000 |
$
5,210 |
Citigroup,
Inc. (3.88% fixed rate until 01/24/38; 1.43% + 3 month Term SOFR) |
|
|
3.88%,
01/24/39 (a)(c) |
6,000
|
5,023
|
Citigroup,
Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) |
|
|
4.70%,
01/30/25 (a)(c) |
6,000
|
5,162
|
Cleveland
Electric Illuminating Co. |
|
|
4.55%,
11/15/30 (a)(g) |
6,000
|
5,661
|
Clorox
Co. |
|
|
1.80%,
05/15/30 (a) |
4,000
|
3,276
|
CME
Group, Inc. |
|
|
3.75%,
06/15/28 (a) |
2,000
|
1,914
|
CMS
Energy Corp. |
|
|
4.88%,
03/01/44 (a) |
7,000
|
6,368
|
CNH
Industrial Capital LLC |
|
|
1.95%,
07/02/23 (a) |
5,000
|
5,000
|
Coca-Cola
Co. |
|
|
2.60%,
06/01/50 (a) |
3,000
|
2,103
|
2.75%,
06/01/60 (a) |
3,000
|
2,069
|
Comcast
Corp. |
|
|
2.80%,
01/15/51 (a) |
3,000
|
1,984
|
2.94%,
11/01/56 (a) |
5,000
|
3,257
|
2.99%,
11/01/63 (a) |
3,000
|
1,901
|
3.20%,
07/15/36 (a) |
3,000
|
2,465
|
3.25%,
11/01/39 (a) |
3,000
|
2,380
|
3.97%,
11/01/47 (a) |
3,000
|
2,492
|
4.15%,
10/15/28 (a) |
3,000
|
2,907
|
CommonSpirit
Health |
|
|
4.35%,
11/01/42 (a) |
16,000
|
13,713
|
Conagra
Brands, Inc. |
|
|
5.30%,
11/01/38 (a) |
3,000
|
2,883
|
5.40%,
11/01/48 (a) |
2,000
|
1,906
|
ConocoPhillips
Co. |
|
|
4.30%,
11/15/44 (a) |
4,000
|
3,529
|
Consolidated
Edison Co. of New York, Inc. |
|
|
3.35%,
04/01/30 (a) |
3,000
|
2,731
|
3.88%,
06/15/47 (a) |
2,000
|
1,571
|
3.95%,
04/01/50 (a) |
3,000
|
2,446
|
Constellation
Brands, Inc. |
|
|
3.15%,
08/01/29 (a) |
4,000
|
3,611
|
3.70%,
12/06/26 (a) |
4,000
|
3,811
|
4.50%,
05/09/47 (a) |
4,000
|
3,454
|
|
Principal
Amount |
Fair
Value |
Continental
Resources, Inc. |
|
|
2.88%,
04/01/32 (a)(g) |
$
3,000 |
$
2,309 |
3.80%,
06/01/24 (a) |
10,000
|
9,800
|
Corebridge
Financial, Inc. |
|
|
3.90%,
04/05/32 (a) |
15,000
|
13,063
|
Corning,
Inc. |
|
|
4.38%,
11/15/57 (a) |
2,000
|
1,626
|
Corporate
Office Properties LP |
|
|
2.00%,
01/15/29 (a) |
5,000
|
3,820
|
2.25%,
03/15/26 (a) |
3,000
|
2,648
|
2.75%,
04/15/31 (a) |
3,000
|
2,281
|
Crown
Castle, Inc. |
|
|
2.90%,
03/15/27 (a) |
8,000
|
7,323
|
4.15%,
07/01/50 (a) |
3,000
|
2,380
|
5.20%,
02/15/49 (a) |
4,000
|
3,698
|
CSL
Finance PLC |
|
|
4.25%,
04/27/32 (a)(g) |
6,000
|
5,692
|
CSX
Corp. |
|
|
4.50%,
03/15/49 - 08/01/54 (a) |
10,000
|
8,903
|
CubeSmart
LP |
|
|
2.50%,
02/15/32 (a) |
3,000
|
2,383
|
4.38%,
02/15/29 (a) |
3,000
|
2,817
|
CVS
Health Corp. |
|
|
3.00%,
08/15/26 (a) |
4,000
|
3,750
|
3.25%,
08/15/29 (a) |
3,000
|
2,692
|
3.63%,
04/01/27 (a) |
3,000
|
2,847
|
3.75%,
04/01/30 (a) |
3,000
|
2,751
|
4.25%,
04/01/50 (a) |
3,000
|
2,481
|
4.78%,
03/25/38 (a) |
3,000
|
2,765
|
5.00%,
12/01/24 (a) |
6,000
|
5,924
|
5.13%,
07/20/45 (a) |
2,000
|
1,848
|
5.30%,
06/01/33 - 12/05/43 (a) |
9,000
|
8,816
|
Dell
International LLC/EMC Corp. |
|
|
4.00%,
07/15/24 (a) |
4,000
|
3,933
|
6.02%,
06/15/26 (a) |
3,000
|
3,043
|
DH
Europe Finance II Sarl |
|
|
2.60%,
11/15/29 (a) |
2,000
|
1,761
|
3.25%,
11/15/39 (a) |
3,000
|
2,444
|
3.40%,
11/15/49 (a) |
3,000
|
2,350
|
Diamondback
Energy, Inc. |
|
|
3.13%,
03/24/31 (a) |
4,000
|
3,425
|
3.50%,
12/01/29 (a) |
3,000
|
2,704
|
4.40%,
03/24/51 (a) |
3,000
|
2,379
|
Digital
Realty Trust LP |
|
|
3.60%,
07/01/29 (a) |
6,000
|
5,340
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
9
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Discovery
Communications LLC |
|
|
3.95%,
03/20/28 (a) |
$
4,000 |
$
3,724 |
4.95%,
05/15/42 (a) |
2,000
|
1,578
|
5.00%,
09/20/37 (a) |
3,000
|
2,564
|
Dollar
General Corp. |
|
|
3.50%,
04/03/30 (a) |
4,000
|
3,583
|
4.13%,
04/03/50 (a) |
4,000
|
3,134
|
Dollar
Tree, Inc. |
|
|
4.00%,
05/15/25 (a) |
5,000
|
4,844
|
Dominion
Energy, Inc. |
|
|
3.07%,
08/15/24 (a)(b) |
5,000
|
4,831
|
3.38%,
04/01/30 (a) |
6,000
|
5,371
|
Dover
Corp. |
|
|
2.95%,
11/04/29 (a) |
3,000
|
2,637
|
Dow
Chemical Co. |
|
|
2.10%,
11/15/30 (a) |
5,000
|
4,131
|
3.60%,
11/15/50 (a) |
3,000
|
2,234
|
4.25%,
10/01/34 (a) |
3,000
|
2,732
|
6.30%,
03/15/33 (a) |
3,000
|
3,224
|
DTE
Energy Co. |
|
|
2.85%,
10/01/26 (a) |
7,000
|
6,448
|
Duke
Energy Carolinas LLC |
|
|
3.95%,
03/15/48 (a) |
3,000
|
2,447
|
Duke
Energy Corp. |
|
|
2.55%,
06/15/31 (a) |
6,000
|
4,967
|
3.30%,
06/15/41 (a) |
7,000
|
5,167
|
3.50%,
06/15/51 (a) |
7,000
|
5,076
|
3.75%,
09/01/46 (a) |
5,000
|
3,798
|
Duke
Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) |
|
|
4.88%,
09/16/24 (a)(c) |
9,000
|
8,654
|
Duke
Energy Progress LLC |
|
|
4.15%,
12/01/44 (a) |
9,000
|
7,486
|
Duquesne
Light Holdings, Inc. |
|
|
3.62%,
08/01/27 (a)(g) |
7,000
|
6,279
|
Eastman
Chemical Co. |
|
|
4.65%,
10/15/44 (a) |
4,000
|
3,368
|
Eaton
Corp. |
|
|
3.10%,
09/15/27 (a) |
2,000
|
1,876
|
Edison
International |
|
|
4.95%,
04/15/25 (a) |
8,000
|
7,855
|
EIDP,
Inc. |
|
|
2.30%,
07/15/30 (a) |
4,000
|
3,345
|
Electronic
Arts, Inc. |
|
|
1.85%,
02/15/31 (a) |
3,000
|
2,426
|
Elevance
Health, Inc. |
|
|
2.88%,
09/15/29 (a) |
3,000
|
2,646
|
|
Principal
Amount |
Fair
Value |
3.60%,
03/15/51 (a) |
$
3,000 |
$
2,296 |
3.70%,
09/15/49 (a) |
3,000
|
2,325
|
Emera
U.S. Finance LP |
|
|
2.64%,
06/15/31 (a) |
8,000
|
6,406
|
Emerson
Electric Co. |
|
|
1.80%,
10/15/27 (a) |
2,000
|
1,773
|
2.75%,
10/15/50 (a) |
2,000
|
1,332
|
Enbridge
Energy Partners LP |
|
|
5.50%,
09/15/40 (a) |
2,000
|
1,887
|
Enbridge,
Inc. |
|
|
1.60%,
10/04/26 (a) |
5,000
|
4,456
|
Enbridge,
Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) |
|
|
5.75%,
07/15/80 (a)(c) |
9,000
|
8,146
|
Energy
Transfer LP |
|
|
4.50%,
04/15/24 (a) |
2,000
|
1,976
|
4.95%,
06/15/28 (a) |
4,000
|
3,889
|
5.30%,
04/01/44 - 04/15/47 (a) |
7,000
|
6,070
|
5.35%,
05/15/45 (a) |
4,000
|
3,494
|
5.75%,
02/15/33 (a) |
3,000
|
3,019
|
6.50%,
02/01/42 (a) |
4,000
|
4,044
|
Energy
Transfer LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) |
|
|
6.75%,
05/15/25 (a)(c) |
19,000
|
17,080
|
Energy
Transfer LP/Regency Energy Finance Corp. |
|
|
4.50%,
11/01/23 (a) |
4,000
|
3,982
|
Enterprise
Products Operating LLC |
|
|
4.25%,
02/15/48 (a) |
6,000
|
5,087
|
Enterprise
Products Operating LLC (5.25% fixed rate until 08/16/27; 3.29% + 3 month Term SOFR) |
|
|
5.25%,
08/16/77 (a)(c) |
3,000
|
2,624
|
EOG
Resources, Inc. |
|
|
4.95%,
04/15/50 (a) |
3,000
|
2,963
|
5.10%,
01/15/36 (a) |
2,000
|
1,926
|
Equinix,
Inc. |
|
|
1.25%,
07/15/25 (a) |
5,000
|
4,566
|
2.15%,
07/15/30 (a) |
4,000
|
3,237
|
Equinor
ASA |
|
|
3.25%,
11/18/49 (a) |
4,000
|
3,004
|
ERP
Operating LP |
|
|
4.50%,
07/01/44 (a) |
8,000
|
7,002
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
10
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Estee
Lauder Cos., Inc. |
|
|
2.38%,
12/01/29 (a) |
$
3,000 |
$
2,593 |
Everest
Reinsurance Holdings, Inc. |
|
|
3.13%,
10/15/52 (a) |
3,000
|
1,986
|
Eversource
Energy |
|
|
3.45%,
01/15/50 (a) |
5,000
|
3,673
|
Exelon
Corp. |
|
|
4.05%,
04/15/30 (a) |
5,000
|
4,687
|
4.45%,
04/15/46 (a) |
5,000
|
4,259
|
4.70%,
04/15/50 (a) |
4,000
|
3,542
|
Exxon
Mobil Corp. |
|
|
2.61%,
10/15/30 (a) |
4,000
|
3,513
|
3.45%,
04/15/51 (a) |
4,000
|
3,122
|
FedEx
Corp. |
|
|
4.10%,
02/01/45 (a) |
6,000
|
4,847
|
Fidelity
National Information Services, Inc. |
|
|
1.15%,
03/01/26 (a) |
4,000
|
3,570
|
1.65%,
03/01/28 (a) |
3,000
|
2,536
|
FirstEnergy
Transmission LLC |
|
|
4.55%,
04/01/49 (a)(g) |
7,000
|
5,816
|
Fiserv,
Inc. |
|
|
3.50%,
07/01/29 (a) |
3,000
|
2,745
|
4.40%,
07/01/49 (a) |
3,000
|
2,524
|
Florida
Power & Light Co. |
|
|
2.85%,
04/01/25 (a) |
7,000
|
6,731
|
4.13%,
02/01/42 (a) |
6,000
|
5,265
|
Flowers
Foods, Inc. |
|
|
2.40%,
03/15/31 (a) |
3,000
|
2,453
|
Flowserve
Corp. |
|
|
2.80%,
01/15/32 (a) |
5,000
|
3,983
|
Freeport-McMoRan,
Inc. |
|
|
4.25%,
03/01/30 (a) |
3,000
|
2,765
|
GA
Global Funding Trust |
|
|
1.63%,
01/15/26 (a)(g) |
3,000
|
2,661
|
General
Dynamics Corp. |
|
|
4.25%,
04/01/50 (a) |
3,000
|
2,751
|
General
Mills, Inc. |
|
|
3.00%,
02/01/51 (a) |
3,000
|
2,123
|
General
Motors Co. |
|
|
5.20%,
04/01/45 (a) |
3,000
|
2,558
|
5.40%,
04/01/48 (a) |
2,000
|
1,725
|
6.13%,
10/01/25 (a) |
4,000
|
4,026
|
6.80%,
10/01/27 (a) |
3,000
|
3,116
|
General
Motors Financial Co., Inc. |
|
|
1.25%,
01/08/26 (a) |
2,000
|
1,787
|
2.35%,
01/08/31 (a) |
4,000
|
3,140
|
|
Principal
Amount |
Fair
Value |
5.25%,
03/01/26 (a) |
$
8,000 |
$
7,876 |
5.85%,
04/06/30 (a) |
15,000
|
14,870
|
Genuine
Parts Co. |
|
|
2.75%,
02/01/32 (a) |
3,000
|
2,464
|
George
Washington University |
|
|
4.13%,
09/15/48 (a) |
8,000
|
6,900
|
Georgia-Pacific
LLC |
|
|
1.75%,
09/30/25 (a)(g) |
4,000
|
3,672
|
3.60%,
03/01/25 (a)(g) |
9,000
|
8,687
|
Gilead
Sciences, Inc. |
|
|
2.60%,
10/01/40 (a) |
2,000
|
1,449
|
3.50%,
02/01/25 (a) |
4,000
|
3,879
|
3.65%,
03/01/26 (a) |
2,000
|
1,925
|
4.15%,
03/01/47 (a) |
5,000
|
4,342
|
4.60%,
09/01/35 (a) |
3,000
|
2,896
|
GlaxoSmithKline
Capital PLC |
|
|
3.38%,
06/01/29 (a) |
5,000
|
4,643
|
GlaxoSmithKline
Capital, Inc. |
|
|
3.63%,
05/15/25 (a) |
6,000
|
5,835
|
Glencore
Funding LLC |
|
|
3.88%,
04/27/51 (a)(g) |
4,000
|
2,968
|
Goldman
Sachs Group, Inc. |
|
|
3.85%,
01/26/27 (a) |
4,000
|
3,808
|
4.25%,
10/21/25 (a) |
2,000
|
1,928
|
5.15%,
05/22/45 (a) |
3,000
|
2,795
|
Goldman
Sachs Group, Inc. (2.38% fixed rate until 07/21/31; 1.25% + SOFR thereafter) |
|
|
2.38%,
07/21/32 (a)(c) |
5,000
|
3,999
|
Goldman
Sachs Group, Inc. (2.91% fixed rate until 07/21/41; 1.47% + SOFR thereafter) |
|
|
2.91%,
07/21/42 (a)(c) |
5,000
|
3,527
|
Goldman
Sachs Group, Inc. (3.21% fixed rate until 04/22/41; 1.51% + SOFR thereafter) |
|
|
3.21%,
04/22/42 (a)(c) |
5,000
|
3,694
|
Goldman
Sachs Group, Inc. (3.44% fixed rate until 02/24/42; 1.63% + SOFR thereafter) |
|
|
3.44%,
02/24/43 (a)(c) |
6,000
|
4,557
|
Goldman
Sachs Group, Inc. (3.81% fixed rate until 04/23/28; 1.42% + 3 month Term SOFR) |
|
|
3.81%,
04/23/29 (a)(c) |
4,000
|
3,717
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
11
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Goldman
Sachs Group, Inc. (4.02% fixed rate until 10/31/37; 1.63% + 3 month Term SOFR) |
|
|
4.02%,
10/31/38 (a)(c) |
$
2,000 |
$
1,693 |
Goldman
Sachs Group, Inc. (4.22% fixed rate until 05/01/28; 1.56% + 3 month Term SOFR) |
|
|
4.22%,
05/01/29 (a)(c) |
4,000
|
3,779
|
Graphic
Packaging International LLC |
|
|
1.51%,
04/15/26 (a)(g) |
6,000
|
5,355
|
Gray
Oak Pipeline LLC |
|
|
2.00%,
09/15/23 (a)(g) |
5,000
|
4,960
|
2.60%,
10/15/25 (a)(g) |
6,000
|
5,509
|
Halliburton
Co. |
|
|
5.00%,
11/15/45 (a) |
4,000
|
3,620
|
Hartford
Financial Services Group, Inc. (7.45% fixed rate until 07/31/23; 2.13% + 3 month USD LIBOR thereafter) |
|
|
7.45%,
02/12/67 (a)(c)(g) |
4,000
|
3,344
|
HCA,
Inc. |
|
|
3.13%,
03/15/27 (a)(g) |
10,000
|
9,183
|
3.50%,
09/01/30 (a) |
5,000
|
4,380
|
3.63%,
03/15/32 (a)(g) |
3,000
|
2,605
|
4.63%,
03/15/52 (a)(g) |
2,000
|
1,642
|
5.38%,
02/01/25 (a) |
21,000
|
20,820
|
Health
Care Service Corp. A Mutual Legal Reserve Co. |
|
|
2.20%,
06/01/30 (a)(g) |
3,000
|
2,478
|
3.20%,
06/01/50 (a)(g) |
4,000
|
2,831
|
Healthcare
Realty Holdings LP |
|
|
2.00%,
03/15/31 (a) |
3,000
|
2,303
|
Helmerich
& Payne, Inc. |
|
|
2.90%,
09/29/31 (a) |
3,000
|
2,420
|
Hess
Corp. |
|
|
5.60%,
02/15/41 (a) |
2,000
|
1,913
|
5.80%,
04/01/47 (a) |
2,000
|
1,945
|
Hewlett
Packard Enterprise Co. |
|
|
6.35%,
10/15/45 (a) |
3,000
|
3,123
|
Highwoods
Realty LP |
|
|
4.13%,
03/15/28 (a) |
3,000
|
2,628
|
4.20%,
04/15/29 (a) |
4,000
|
3,396
|
Home
Depot, Inc. |
|
|
2.70%,
04/15/30 (a) |
2,000
|
1,777
|
3.35%,
04/15/50 (a) |
3,000
|
2,290
|
3.50%,
09/15/56 (a) |
3,000
|
2,311
|
|
Principal
Amount |
Fair
Value |
3.90%,
12/06/28 (a) |
$
4,000 |
$
3,871 |
4.50%,
12/06/48 (a) |
2,000
|
1,855
|
Honeywell
International, Inc. |
|
|
1.75%,
09/01/31 (a) |
5,000
|
4,012
|
2.70%,
08/15/29 (a) |
2,000
|
1,781
|
Hormel
Foods Corp. |
|
|
1.80%,
06/11/30 (a) |
5,000
|
4,177
|
Humana,
Inc. |
|
|
1.35%,
02/03/27 (a) |
3,000
|
2,611
|
2.15%,
02/03/32 (a) |
3,000
|
2,367
|
Huntington
Bancshares, Inc. |
|
|
2.55%,
02/04/30 (a) |
5,000
|
4,008
|
Huntsman
International LLC |
|
|
4.50%,
05/01/29 (a) |
4,000
|
3,662
|
Hyundai
Capital America |
|
|
1.30%,
01/08/26 (a)(g) |
6,000
|
5,367
|
Indiana
Michigan Power Co. |
|
|
3.25%,
05/01/51 (a) |
5,000
|
3,497
|
Ingredion,
Inc. |
|
|
3.90%,
06/01/50 (a) |
2,000
|
1,486
|
Intel
Corp. |
|
|
2.00%,
08/12/31 (a) |
4,000
|
3,262
|
2.45%,
11/15/29 (a) |
6,000
|
5,201
|
2.80%,
08/12/41 (a) |
3,000
|
2,139
|
3.10%,
02/15/60 (a) |
3,000
|
1,920
|
5.63%,
02/10/43 (a) |
3,000
|
3,049
|
5.70%,
02/10/53 (a) |
3,000
|
3,056
|
5.90%,
02/10/63 (a) |
3,000
|
3,094
|
Intercontinental
Exchange, Inc. |
|
|
1.85%,
09/15/32 (a) |
2,000
|
1,540
|
2.65%,
09/15/40 (a) |
2,000
|
1,422
|
Interstate
Power & Light Co. |
|
|
3.40%,
08/15/25 (a) |
8,000
|
7,576
|
ITC
Holdings Corp. |
|
|
2.95%,
05/14/30 (a)(g) |
6,000
|
5,160
|
Jabil,
Inc. |
|
|
3.95%,
01/12/28 (a) |
2,000
|
1,868
|
4.25%,
05/15/27 (a) |
8,000
|
7,627
|
Jacobs
Engineering Group, Inc. |
|
|
5.90%,
03/01/33 (a) |
15,000
|
14,720
|
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
|
|
5.13%,
02/01/28 (a)(g) |
6,000
|
5,757
|
5.75%,
04/01/33 (a)(g) |
3,000
|
2,825
|
John
Deere Capital Corp. |
|
|
2.45%,
01/09/30 (a) |
9,000
|
7,902
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
12
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Johnson
& Johnson |
|
|
3.63%,
03/03/37 (a) |
$
3,000 |
$
2,700 |
Johnson
Controls International PLC |
|
|
4.50%,
02/15/47 (a) |
3,000
|
2,620
|
JPMorgan
Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + 3 month Term SOFR) |
|
|
2.96%,
05/13/31 (a)(c) |
3,000
|
2,567
|
JPMorgan
Chase & Co. (3.16% fixed rate until 04/22/41; 1.46% + SOFR thereafter) |
|
|
3.16%,
04/22/42 (a)(c) |
4,000
|
3,019
|
JPMorgan
Chase & Co. (3.88% fixed rate until 07/24/37; 1.62% + 3 month Term SOFR) |
|
|
3.88%,
07/24/38 (a)(c) |
2,000
|
1,726
|
JPMorgan
Chase & Co. (3.90% fixed rate until 01/23/48; 1.48% + 3 month Term SOFR) |
|
|
3.90%,
01/23/49 (a)(c) |
10,000
|
8,081
|
JPMorgan
Chase & Co. (4.01% fixed rate until 04/23/28; 1.38% + 3 month Term SOFR) |
|
|
4.01%,
04/23/29 (a)(c) |
4,000
|
3,771
|
JPMorgan
Chase & Co. (4.03% fixed rate until 07/24/47; 1.72% + 3 month Term SOFR) |
|
|
4.03%,
07/24/48 (a)(c) |
3,000
|
2,494
|
JPMorgan
Chase & Co. (4.49% fixed rate until 03/24/30; 3.79% + 3 month Term SOFR) |
|
|
4.49%,
03/24/31 (a)(c) |
4,000
|
3,842
|
JPMorgan
Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + 3 month Term SOFR) |
|
|
4.60%,
02/01/25 (a)(c) |
6,000
|
5,600
|
Kaiser
Foundation Hospitals |
|
|
3.00%,
06/01/51 (a) |
5,000
|
3,506
|
Kenvue,
Inc. |
|
|
4.90%,
03/22/33 (a)(g) |
26,000
|
26,290
|
5.05%,
03/22/53 (a)(g) |
5,000
|
5,097
|
Keurig
Dr Pepper, Inc. |
|
|
3.20%,
05/01/30 (a) |
3,000
|
2,691
|
|
Principal
Amount |
Fair
Value |
3.80%,
05/01/50 (a) |
$
2,000 |
$
1,579 |
Kinder
Morgan Energy Partners LP |
|
|
4.70%,
11/01/42 (a) |
2,000
|
1,661
|
5.00%,
03/01/43 (a) |
2,000
|
1,724
|
6.38%,
03/01/41 (a) |
4,000
|
4,016
|
Kinder
Morgan, Inc. |
|
|
1.75%,
11/15/26 (a) |
8,000
|
7,087
|
5.05%,
02/15/46 (a) |
8,000
|
6,846
|
5.20%,
06/01/33 (a) |
3,000
|
2,906
|
KLA
Corp. |
|
|
3.30%,
03/01/50 (a) |
3,000
|
2,259
|
Kraft
Heinz Foods Co. |
|
|
5.20%,
07/15/45 (a) |
4,000
|
3,795
|
L3Harris
Technologies, Inc. |
|
|
3.85%,
12/15/26 (a) |
4,000
|
3,814
|
Lear
Corp. |
|
|
4.25%,
05/15/29 (a) |
3,000
|
2,816
|
Leidos,
Inc. |
|
|
3.63%,
05/15/25 (a) |
3,000
|
2,877
|
4.38%,
05/15/30 (a) |
5,000
|
4,606
|
5.75%,
03/15/33 (a) |
3,000
|
2,985
|
Liberty
Mutual Group, Inc. |
|
|
3.95%,
05/15/60 (a)(g) |
3,000
|
2,119
|
Life
Storage LP |
|
|
2.20%,
10/15/30 (a) |
6,000
|
4,790
|
Lincoln
National Corp. |
|
|
4.35%,
03/01/48 (a) |
6,000
|
4,332
|
Lincoln
National Corp. (9.25% fixed rate until 12/01/27; 5.32% + 5 year CMT Rate thereafter) |
|
|
9.25%,
12/01/27 (a)(c) |
5,000
|
5,286
|
Lockheed
Martin Corp. |
|
|
4.50%,
05/15/36 (a) |
3,000
|
2,896
|
Lowe's
Cos., Inc. |
|
|
1.30%,
04/15/28 (a) |
3,000
|
2,538
|
1.70%,
09/15/28 - 10/15/30 (a) |
6,000
|
4,956
|
3.00%,
10/15/50 (a) |
3,000
|
1,965
|
4.05%,
05/03/47 (a) |
4,000
|
3,216
|
5.63%,
04/15/53 (a) |
4,000
|
3,994
|
LYB
International Finance III LLC |
|
|
3.63%,
04/01/51 (a) |
3,000
|
2,082
|
Masco
Corp. |
|
|
3.50%,
11/15/27 (a) |
2,000
|
1,872
|
McCormick
& Co., Inc. |
|
|
1.85%,
02/15/31 (a) |
3,000
|
2,377
|
3.25%,
11/15/25 (a) |
7,000
|
6,617
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
13
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
McDonald's
Corp. |
|
|
3.60%,
07/01/30 (a) |
$
7,000 |
$
6,513 |
3.63%,
09/01/49 (a) |
3,000
|
2,367
|
4.88%,
12/09/45 (a) |
7,000
|
6,691
|
Medtronic
Global Holdings SCA |
|
|
4.50%,
03/30/33 (a) |
16,000
|
15,682
|
Medtronic,
Inc. |
|
|
4.63%,
03/15/45 (a) |
2,000
|
1,943
|
Memorial
Sloan-Kettering Cancer Center |
|
|
4.13%,
07/01/52 (a) |
7,000
|
5,937
|
Merck
& Co., Inc. |
|
|
1.90%,
12/10/28 (a) |
10,000
|
8,735
|
2.45%,
06/24/50 (a) |
3,000
|
1,965
|
2.75%,
12/10/51 (a) |
3,000
|
2,070
|
4.00%,
03/07/49 (a) |
2,000
|
1,768
|
4.50%,
05/17/33 (a) |
10,000
|
9,925
|
5.00%,
05/17/53 (a) |
3,000
|
3,038
|
Meta
Platforms, Inc. |
|
|
3.85%,
08/15/32 (a) |
6,000
|
5,573
|
4.45%,
08/15/52 (a) |
4,000
|
3,483
|
MetLife,
Inc. |
|
|
4.72%,
12/15/44 (a) |
5,000
|
4,445
|
Microchip
Technology, Inc. |
|
|
2.67%,
09/01/23 (a) |
6,000
|
5,968
|
Micron
Technology, Inc. |
|
|
3.37%,
11/01/41 (a) |
3,000
|
2,093
|
3.48%,
11/01/51 (a) |
3,000
|
1,999
|
Microsoft
Corp. |
|
|
2.40%,
08/08/26 (a) |
4,000
|
3,754
|
2.68%,
06/01/60 (a) |
3,000
|
2,009
|
2.92%,
03/17/52 (a) |
5,000
|
3,716
|
3.45%,
08/08/36 (a) |
3,000
|
2,735
|
3.50%,
02/12/35 (a) |
3,000
|
2,807
|
Mid-America
Apartments LP |
|
|
2.88%,
09/15/51 (a) |
5,000
|
3,244
|
Molson
Coors Beverage Co. |
|
|
4.20%,
07/15/46 (a) |
4,000
|
3,296
|
Morgan
Stanley |
|
|
3.97%,
07/22/38 (a)(c) |
7,000
|
5,938
|
Morgan
Stanley (1.51% fixed rate until 07/20/26; 0.86% + SOFR thereafter) |
|
|
1.51%,
07/20/27 (a)(c) |
6,000
|
5,317
|
Morgan
Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) |
|
|
2.48%,
09/16/36 (a)(c) |
10,000
|
7,569
|
|
Principal
Amount |
Fair
Value |
Morgan
Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) |
|
|
2.80%,
01/25/52 (a)(c) |
$
11,000 |
$
7,225 |
MPLX
LP |
|
|
2.65%,
08/15/30 (a) |
3,000
|
2,513
|
Mylan,
Inc. |
|
|
5.20%,
04/15/48 (a) |
3,000
|
2,334
|
Newmont
Corp. |
|
|
4.88%,
03/15/42 (a) |
3,000
|
2,788
|
NextEra
Energy Capital Holdings, Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) |
|
|
5.65%,
05/01/79 (a)(c) |
5,000
|
4,651
|
NGPL
PipeCo LLC |
|
|
3.25%,
07/15/31 (a)(g) |
6,000
|
4,950
|
NIKE,
Inc. |
|
|
3.38%,
03/27/50 (a) |
2,000
|
1,620
|
NiSource,
Inc. |
|
|
3.60%,
05/01/30 (a) |
5,000
|
4,504
|
3.95%,
03/30/48 (a) |
2,000
|
1,605
|
5.25%,
03/30/28 (a) |
20,000
|
20,020
|
NNN
REIT, Inc. |
|
|
4.00%,
11/15/25 (a) |
4,000
|
3,808
|
Norfolk
Southern Corp. |
|
|
3.95%,
10/01/42 (a) |
4,000
|
3,279
|
Northern
Trust Corp. |
|
|
6.13%,
11/02/32 (a) |
3,000
|
3,109
|
Northwestern
Mutual Life Insurance Co. |
|
|
3.45%,
03/30/51 (a)(g) |
10,000
|
7,153
|
NOV,
Inc. |
|
|
3.60%,
12/01/29 (a) |
3,000
|
2,675
|
Novant
Health, Inc. |
|
|
3.32%,
11/01/61 (a) |
5,000
|
3,458
|
Novartis
Capital Corp. |
|
|
2.20%,
08/14/30 (a) |
4,000
|
3,462
|
3.00%,
11/20/25 (a) |
3,000
|
2,871
|
Nutrien
Ltd. |
|
|
4.90%,
03/27/28 - 06/01/43 (a) |
14,000
|
13,413
|
NVIDIA
Corp. |
|
|
2.85%,
04/01/30 (a) |
4,000
|
3,628
|
3.50%,
04/01/50 (a) |
2,000
|
1,625
|
NXP
BV/NXP Funding LLC/NXP USA, Inc. |
|
|
3.25%,
11/30/51 (a) |
5,000
|
3,347
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
14
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Occidental
Petroleum Corp. |
|
|
6.13%,
01/01/31 (a) |
$
8,000 |
$
8,122 |
Oklahoma
Gas & Electric Co. |
|
|
3.25%,
04/01/30 (a) |
3,000
|
2,670
|
Oncor
Electric Delivery Co. LLC |
|
|
3.80%,
09/30/47 (a) |
2,000
|
1,608
|
ONEOK,
Inc. |
|
|
4.35%,
03/15/29 (a) |
4,000
|
3,722
|
6.10%,
11/15/32 (a) |
3,000
|
3,052
|
Oracle
Corp. |
|
|
2.95%,
04/01/30 (a) |
7,000
|
6,111
|
3.60%,
04/01/50 (a) |
4,000
|
2,856
|
3.65%,
03/25/41 (a) |
3,000
|
2,311
|
3.80%,
11/15/37 (a) |
3,000
|
2,453
|
3.95%,
03/25/51 (a) |
3,000
|
2,265
|
4.00%,
07/15/46 - 11/15/47 (a) |
7,000
|
5,388
|
4.10%,
03/25/61 (a) |
3,000
|
2,208
|
5.55%,
02/06/53 (a) |
3,000
|
2,907
|
6.15%,
11/09/29 (a) |
8,000
|
8,334
|
6.90%,
11/09/52 (a) |
3,000
|
3,362
|
Otis
Worldwide Corp. |
|
|
2.06%,
04/05/25 (a) |
3,000
|
2,829
|
2.57%,
02/15/30 (a) |
3,000
|
2,587
|
3.36%,
02/15/50 (a) |
3,000
|
2,196
|
Owens
Corning |
|
|
4.40%,
01/30/48 (a) |
3,000
|
2,483
|
Pacific
Gas & Electric Co. |
|
|
2.10%,
08/01/27 (a) |
3,000
|
2,573
|
2.50%,
02/01/31 (a) |
4,000
|
3,138
|
3.00%,
06/15/28 (a) |
5,000
|
4,331
|
3.30%,
08/01/40 (a) |
4,000
|
2,700
|
3.50%,
08/01/50 (a) |
3,000
|
1,913
|
4.30%,
03/15/45 (a) |
5,000
|
3,564
|
PacifiCorp
|
|
|
2.70%,
09/15/30 (a) |
3,000
|
2,499
|
2.90%,
06/15/52 (a) |
8,000
|
4,993
|
6.25%,
10/15/37 (a) |
2,000
|
1,999
|
Paramount
Global |
|
|
2.90%,
01/15/27 (a) |
3,000
|
2,699
|
3.70%,
06/01/28 (a) |
2,000
|
1,780
|
5.25%,
04/01/44 (a) |
3,000
|
2,279
|
Parker-Hannifin
Corp. |
|
|
3.25%,
06/14/29 (a) |
3,000
|
2,730
|
4.50%,
09/15/29 (a) |
3,000
|
2,917
|
PayPal
Holdings, Inc. |
|
|
2.65%,
10/01/26 (a) |
4,000
|
3,720
|
3.25%,
06/01/50 (a) |
2,000
|
1,447
|
|
Principal
Amount |
Fair
Value |
PepsiCo,
Inc. |
|
|
1.63%,
05/01/30 (a) |
$
3,000 |
$
2,498 |
2.75%,
10/21/51 (a) |
5,000
|
3,592
|
Petroleos
Mexicanos |
|
|
5.35%,
02/12/28 (a) |
10,000
|
8,202
|
6.70%,
02/16/32 (a) |
10,000
|
7,618
|
7.69%,
01/23/50 (a) |
10,000
|
6,771
|
Pfizer
Investment Enterprises Pte. Ltd. |
|
|
4.45%,
05/19/28 (a) |
14,000
|
13,770
|
4.75%,
05/19/33 (a) |
10,000
|
9,966
|
5.34%,
05/19/63 (a) |
5,000
|
5,060
|
Pfizer,
Inc. |
|
|
2.70%,
05/28/50 (a) |
6,000
|
4,225
|
3.90%,
03/15/39 (a) |
3,000
|
2,686
|
4.40%,
05/15/44 (a) |
2,000
|
1,898
|
Philip
Morris International, Inc. |
|
|
1.50%,
05/01/25 (a) |
4,000
|
3,741
|
2.10%,
05/01/30 (a) |
3,000
|
2,483
|
4.13%,
03/04/43 (a) |
2,000
|
1,633
|
5.13%,
02/15/30 (a) |
16,000
|
15,825
|
5.38%,
02/15/33 (a) |
5,000
|
4,991
|
5.63%,
11/17/29 (a) |
7,000
|
7,132
|
Phillips
66 Co. |
|
|
2.15%,
12/15/30 (a) |
6,000
|
4,897
|
3.15%,
12/15/29 (a) |
6,000
|
5,237
|
3.30%,
03/15/52 (a) |
3,000
|
2,063
|
3.75%,
03/01/28 (a) |
3,000
|
2,813
|
4.68%,
02/15/45 (a) |
4,000
|
3,417
|
Pilgrim's
Pride Corp. |
|
|
6.25%,
07/01/33 (a) |
5,000
|
4,864
|
Pioneer
Natural Resources Co. |
|
|
1.13%,
01/15/26 (a) |
9,000
|
8,114
|
2.15%,
01/15/31 (a) |
5,000
|
4,094
|
Plains
All American Pipeline LP/PAA Finance Corp. |
|
|
3.55%,
12/15/29 (a) |
3,000
|
2,642
|
Precision
Castparts Corp. |
|
|
4.38%,
06/15/45 (a) |
4,000
|
3,576
|
Progressive
Corp. |
|
|
3.00%,
03/15/32 (a) |
8,000
|
6,991
|
Prologis
LP |
|
|
3.05%,
03/01/50 (a) |
5,000
|
3,450
|
3.25%,
06/30/26 (a) |
4,000
|
3,791
|
Prospect
Capital Corp. |
|
|
3.36%,
11/15/26 (a) |
7,000
|
5,896
|
Prudential
Financial, Inc. |
|
|
3.94%,
12/07/49 (a) |
5,000
|
3,983
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
15
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Prudential
Financial, Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) |
|
|
5.70%,
09/15/48 (a)(c) |
$
5,000 |
$
4,804 |
Public
Service Co. of Colorado |
|
|
3.70%,
06/15/28 (a) |
5,000
|
4,743
|
PVH
Corp. |
|
|
4.63%,
07/10/25 (a) |
5,000
|
4,831
|
QUALCOMM,
Inc. |
|
|
4.30%,
05/20/47 (a) |
3,000
|
2,716
|
4.50%,
05/20/52 (a) |
4,000
|
3,640
|
Quanta
Services, Inc. |
|
|
2.35%,
01/15/32 (a) |
3,000
|
2,361
|
3.05%,
10/01/41 (a) |
3,000
|
2,082
|
Raytheon
Technologies Corp. |
|
|
1.90%,
09/01/31 (a) |
5,000
|
3,996
|
2.82%,
09/01/51 (a) |
3,000
|
2,015
|
3.95%,
08/16/25 (a) |
2,000
|
1,959
|
4.15%,
05/15/45 (a) |
3,000
|
2,558
|
4.45%,
11/16/38 (a) |
2,000
|
1,844
|
Realty
Income Corp. |
|
|
2.85%,
12/15/32 (a) |
3,000
|
2,445
|
3.00%,
01/15/27 (a) |
3,000
|
2,772
|
3.25%,
01/15/31 (a) |
3,000
|
2,623
|
Regeneron
Pharmaceuticals, Inc. |
|
|
1.75%,
09/15/30 (a) |
6,000
|
4,782
|
RenaissanceRe
Holdings Ltd. |
|
|
5.75%,
06/05/33 (a) |
8,000
|
7,835
|
Republic
Services, Inc. |
|
|
5.00%,
04/01/34 (a) |
5,000
|
4,984
|
Reynolds
American, Inc. |
|
|
4.45%,
06/12/25 (a) |
4,000
|
3,889
|
Rio
Tinto Finance USA PLC |
|
|
4.13%,
08/21/42 (a) |
4,000
|
3,514
|
Rockwell
Automation, Inc. |
|
|
4.20%,
03/01/49 (a) |
2,000
|
1,789
|
Rogers
Communications, Inc. |
|
|
5.00%,
03/15/44 (a) |
2,000
|
1,771
|
Roper
Technologies, Inc. |
|
|
2.95%,
09/15/29 (a) |
2,000
|
1,770
|
Ross
Stores, Inc. |
|
|
4.70%,
04/15/27 (a) |
3,000
|
2,924
|
Royalty
Pharma PLC |
|
|
0.75%,
09/02/23 (a) |
5,000
|
4,952
|
1.20%,
09/02/25 (a) |
5,000
|
4,515
|
1.75%,
09/02/27 (a) |
3,000
|
2,583
|
2.20%,
09/02/30 (a) |
3,000
|
2,413
|
|
Principal
Amount |
Fair
Value |
RPM
International, Inc. |
|
|
3.75%,
03/15/27 (a) |
$
2,000 |
$
1,877 |
Ryder
System, Inc. |
|
|
2.90%,
12/01/26 (a) |
5,000
|
4,576
|
Salesforce,
Inc. |
|
|
1.95%,
07/15/31 (a) |
6,000
|
4,953
|
2.70%,
07/15/41 (a) |
3,000
|
2,198
|
Schlumberger
Holdings Corp. |
|
|
3.90%,
05/17/28 (a)(g) |
4,000
|
3,768
|
Schlumberger
Investment SA |
|
|
4.85%,
05/15/33 (a) |
10,000
|
9,857
|
Sealed
Air Corp. |
|
|
1.57%,
10/15/26 (a)(g) |
10,000
|
8,705
|
Selective
Insurance Group, Inc. |
|
|
5.38%,
03/01/49 (a) |
3,000
|
2,767
|
Sempra
Energy |
|
|
3.80%,
02/01/38 (a) |
2,000
|
1,657
|
4.00%,
02/01/48 (a) |
4,000
|
3,111
|
Sempra
Energy (4.13% fixed rate until 01/01/27; 2.87% + 5 year CMT Rate thereafter) |
|
|
4.13%,
04/01/52 (a)(c) |
7,000
|
5,667
|
Shell
International Finance BV |
|
|
3.75%,
09/12/46 (a) |
6,000
|
4,898
|
Shire
Acquisitions Investments Ireland DAC |
|
|
2.88%,
09/23/23 (a) |
2,000
|
1,986
|
3.20%,
09/23/26 (a) |
3,000
|
2,816
|
Simon
Property Group LP |
|
|
3.38%,
06/15/27 (a) |
4,000
|
3,718
|
Sonoco
Products Co. |
|
|
2.85%,
02/01/32 (a) |
3,000
|
2,499
|
Southern
California Edison Co. |
|
|
4.00%,
04/01/47 (a) |
9,000
|
7,173
|
4.20%,
03/01/29 (a) |
8,000
|
7,606
|
Southern
Co. |
|
|
3.70%,
04/30/30 (a) |
6,000
|
5,510
|
Southern
Co. Gas Capital Corp. |
|
|
3.95%,
10/01/46 (a) |
4,000
|
3,087
|
4.40%,
05/30/47 (a) |
2,000
|
1,661
|
Southwest
Airlines Co. |
|
|
2.63%,
02/10/30 (a) |
7,000
|
5,962
|
Southwestern
Electric Power Co. |
|
|
2.75%,
10/01/26 (a) |
5,000
|
4,601
|
Spectra
Energy Partners LP |
|
|
3.38%,
10/15/26 (a) |
2,000
|
1,879
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
16
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
4.50%,
03/15/45 (a) |
$
3,000 |
$
2,470 |
Stanley
Black & Decker, Inc. |
|
|
3.00%,
05/15/32 (a) |
3,000
|
2,550
|
Starbucks
Corp. |
|
|
4.00%,
11/15/28 (a) |
4,000
|
3,839
|
Stryker
Corp. |
|
|
1.95%,
06/15/30 (a) |
7,000
|
5,851
|
Suncor
Energy, Inc. |
|
|
4.00%,
11/15/47 (a) |
3,000
|
2,321
|
Sysco
Corp. |
|
|
3.25%,
07/15/27 (a) |
2,000
|
1,869
|
Take-Two
Interactive Software, Inc. |
|
|
3.70%,
04/14/27 (a) |
15,000
|
14,210
|
4.00%,
04/14/32 (a) |
3,000
|
2,749
|
Tampa
Electric Co. |
|
|
2.40%,
03/15/31 (a) |
8,000
|
6,557
|
3.45%,
03/15/51 (a) |
5,000
|
3,588
|
4.35%,
05/15/44 (a) |
6,000
|
5,059
|
Targa
Resources Partners LP/Targa Resources Partners Finance Corp. |
|
|
5.00%,
01/15/28 (a) |
8,000
|
7,661
|
Target
Corp. |
|
|
1.95%,
01/15/27 (a) |
2,000
|
1,831
|
Teck
Resources Ltd. |
|
|
5.40%,
02/01/43 (a) |
2,000
|
1,818
|
Texas
Instruments, Inc. |
|
|
3.88%,
03/15/39 (a) |
4,000
|
3,587
|
Thermo
Fisher Scientific, Inc. |
|
|
2.80%,
10/15/41 (a) |
5,000
|
3,722
|
Time
Warner Cable LLC |
|
|
6.55%,
05/01/37 (a) |
3,000
|
2,885
|
T-Mobile
USA, Inc. |
|
|
3.50%,
04/15/31 (a) |
17,000
|
14,994
|
3.75%,
04/15/27 (a) |
4,000
|
3,789
|
4.50%,
04/15/50 (a) |
3,000
|
2,578
|
4.80%,
07/15/28 (a) |
15,000
|
14,723
|
Toronto-Dominion
Bank |
|
|
3.20%,
03/10/32 (a) |
11,000
|
9,510
|
4.46%,
06/08/32 (a) |
3,000
|
2,850
|
Toronto-Dominion
Bank (3.63% fixed rate until 09/15/26; 2.21% + 5 year Swap Rate thereafter) |
|
|
3.63%,
09/15/31 (a)(c) |
6,000
|
5,527
|
TotalEnergies
Capital International SA |
|
|
3.46%,
02/19/29 (a) |
3,000
|
2,801
|
|
Principal
Amount |
Fair
Value |
Tractor
Supply Co. |
|
|
5.25%,
05/15/33 (a) |
$
5,000 |
$
4,957 |
Trane
Technologies Luxembourg Finance SA |
|
|
3.55%,
11/01/24 (a) |
5,000
|
4,851
|
3.80%,
03/21/29 (a) |
4,000
|
3,768
|
TransCanada
PipeLines Ltd. |
|
|
4.25%,
05/15/28 (a) |
7,000
|
6,681
|
Transcanada
Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) |
|
|
5.63%,
05/20/75 (a)(c) |
9,000
|
8,611
|
Transcontinental
Gas Pipe Line Co. LLC |
|
|
4.00%,
03/15/28 (a) |
4,000
|
3,766
|
Travelers
Cos., Inc. |
|
|
2.55%,
04/27/50 (a) |
4,000
|
2,577
|
Truist
Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) |
|
|
4.80%,
09/01/24 (a)(c) |
9,000
|
7,627
|
TWDC
Enterprises 18 Corp. |
|
|
4.13%,
06/01/44 (a) |
4,000
|
3,512
|
Tyco
Electronics Group SA |
|
|
3.13%,
08/15/27 (a) |
3,000
|
2,806
|
Tyson
Foods, Inc. |
|
|
4.00%,
03/01/26 (a) |
3,000
|
2,898
|
U.S.
Bancorp (4.97% fixed rate until 07/22/32; 2.11% + SOFR thereafter) |
|
|
4.97%,
07/22/33 (a)(c) |
11,000
|
9,974
|
UDR,
Inc. |
|
|
2.10%,
08/01/32 (a) |
3,000
|
2,281
|
3.00%,
08/15/31 (a) |
3,000
|
2,549
|
Union
Pacific Corp. |
|
|
3.55%,
05/20/61 (a) |
4,000
|
2,960
|
3.80%,
04/06/71 (a) |
5,000
|
3,832
|
4.10%,
09/15/67 (a) |
5,000
|
4,143
|
UnitedHealth
Group, Inc. |
|
|
2.00%,
05/15/30 (a) |
6,000
|
5,053
|
4.20%,
05/15/32 (a) |
3,000
|
2,863
|
4.45%,
12/15/48 (a) |
4,000
|
3,646
|
4.75%,
07/15/45 - 05/15/52 (a) |
8,000
|
7,623
|
5.05%,
04/15/53 (a) |
5,000
|
4,964
|
5.20%,
04/15/63 (a) |
5,000
|
4,988
|
Utah
Acquisition Sub, Inc. |
|
|
3.95%,
06/15/26 (a) |
21,000
|
19,942
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
17
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Vale
Overseas Ltd. |
|
|
6.13%,
06/12/33 (a) |
$
5,000 |
$
5,012 |
Ventas
Realty LP |
|
|
3.25%,
10/15/26 (a) |
7,000
|
6,417
|
Verizon
Communications, Inc. |
|
|
2.36%,
03/15/32 (a) |
6,000
|
4,826
|
3.00%,
03/22/27 (a) |
4,000
|
3,737
|
3.40%,
03/22/41 (a) |
4,000
|
3,085
|
3.55%,
03/22/51 (a) |
3,000
|
2,240
|
3.70%,
03/22/61 (a) |
6,000
|
4,364
|
4.40%,
11/01/34 (a) |
3,000
|
2,767
|
Viatris,
Inc. |
|
|
1.65%,
06/22/25 (a) |
16,000
|
14,729
|
4.00%,
06/22/50 (a) |
4,000
|
2,646
|
Virginia
Electric & Power Co. |
|
|
4.00%,
11/15/46 (a) |
5,000
|
3,975
|
Visa,
Inc. |
|
|
2.70%,
04/15/40 (a) |
4,000
|
3,069
|
Vistra
Operations Co. LLC |
|
|
3.55%,
07/15/24 (a)(g) |
6,000
|
5,795
|
Vontier
Corp. |
|
|
2.40%,
04/01/28 (a) |
6,000
|
5,009
|
2.95%,
04/01/31 (a) |
4,000
|
3,199
|
Vornado
Realty LP |
|
|
2.15%,
06/01/26 (a) |
4,000
|
3,388
|
Vulcan
Materials Co. |
|
|
3.90%,
04/01/27 (a) |
2,000
|
1,923
|
Walmart,
Inc. |
|
|
1.80%,
09/22/31 (a) |
3,000
|
2,491
|
2.50%,
09/22/41 (a) |
3,000
|
2,235
|
Walt
Disney Co. |
|
|
2.65%,
01/13/31 (a) |
4,000
|
3,481
|
3.38%,
11/15/26 (a) |
3,000
|
2,855
|
3.60%,
01/13/51 (a) |
2,000
|
1,592
|
4.75%,
11/15/46 (a) |
2,000
|
1,885
|
6.65%,
11/15/37 (a) |
4,000
|
4,632
|
Warnermedia
Holdings, Inc. |
|
|
4.28%,
03/15/32 (a) |
17,000
|
15,063
|
Waste
Connections, Inc. |
|
|
2.20%,
01/15/32 (a) |
3,000
|
2,426
|
2.95%,
01/15/52 (a) |
3,000
|
2,057
|
WEC
Energy Group, Inc. |
|
|
3.55%,
06/15/25 (a) |
2,000
|
1,913
|
Wells
Fargo & Co. |
|
|
4.15%,
01/24/29 (a) |
7,000
|
6,633
|
4.75%,
12/07/46 (a) |
2,000
|
1,701
|
5.88%,
06/15/25 (a)(c) |
13,000
|
12,757
|
|
Principal
Amount |
Fair
Value |
Wells
Fargo & Co. (2.19% fixed rate until 04/30/25; 2.00% + SOFR thereafter) |
|
|
2.19%,
04/30/26 (a)(c) |
$
8,000 |
$
7,498 |
Wells
Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) |
|
|
2.39%,
06/02/28 (a)(c) |
2,000
|
1,784
|
Wells
Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) |
|
|
3.07%,
04/30/41 (a)(c) |
7,000
|
5,136
|
Westlake
Corp. |
|
|
2.88%,
08/15/41 (a) |
3,000
|
2,001
|
3.13%,
08/15/51 (a) |
3,000
|
1,881
|
3.38%,
08/15/61 (a) |
2,000
|
1,219
|
Westpac
Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) |
|
|
2.89%,
02/04/30 (a)(c) |
7,000
|
6,543
|
Westpac
Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) |
|
|
4.11%,
07/24/34 (a)(c) |
3,000
|
2,617
|
Weyerhaeuser
Co. |
|
|
4.00%,
03/09/52 (a) |
3,000
|
2,395
|
Williams
Cos., Inc. |
|
|
3.75%,
06/15/27 (a) |
3,000
|
2,833
|
4.85%,
03/01/48 (a) |
3,000
|
2,611
|
4.90%,
01/15/45 (a) |
4,000
|
3,499
|
5.40%,
03/04/44 (a) |
2,000
|
1,847
|
Willis
North America, Inc. |
|
|
3.88%,
09/15/49 (a) |
4,000
|
2,910
|
Workday,
Inc. |
|
|
3.50%,
04/01/27 (a) |
3,000
|
2,844
|
3.70%,
04/01/29 (a) |
8,000
|
7,422
|
WPP
Finance 2010 |
|
|
3.75%,
09/19/24 (a) |
8,000
|
7,760
|
Xcel
Energy, Inc. |
|
|
3.40%,
06/01/30 (a) |
3,000
|
2,673
|
Yamana
Gold, Inc. |
|
|
2.63%,
08/15/31 (a) |
4,000
|
3,118
|
Zoetis,
Inc. |
|
|
3.00%,
09/12/27 (a) |
3,000
|
2,795
|
3.90%,
08/20/28 (a) |
4,000
|
3,839
|
5.60%,
11/16/32 (a) |
10,000
|
10,453
|
|
|
3,079,411
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
18
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Non-Agency
Collateralized Mortgage Obligations - 6.5% |
Bank
|
|
|
3.18%,
09/15/60 (a) |
$
158,000 |
$
142,494 |
4.41%,
11/15/61 (a)(c) |
66,000
|
62,607
|
BPR
Trust 1.90% + 1 month Term SOFR |
|
|
7.05%,
04/15/37 (a)(c)(g) |
24,770
|
24,116
|
Cantor
Commercial Real Estate Lending |
|
|
3.01%,
01/15/53 (a) |
34,000
|
29,164
|
CD
Mortgage Trust |
|
|
2.91%,
08/15/57 (a) |
63,000
|
53,826
|
Citigroup
Commercial Mortgage Trust |
|
|
4.03%,
12/10/49 (a)(c) |
31,273
|
28,490
|
COMM
Mortgage Trust |
|
|
4.53%,
02/10/47 (a)(c) |
25,000
|
24,390
|
GS
Mortgage Securities Trust |
|
|
2.75%,
09/10/52 (a) |
105,000
|
89,292
|
3.05%,
11/10/52 (a) |
56,000
|
48,343
|
4.14%,
03/10/51 (a)(c) |
25,000
|
22,471
|
4.56%,
11/10/48 (a)(c) |
25,000
|
18,794
|
JPMBB
Commercial Mortgage Securities Trust |
|
|
4.81%,
11/15/48 (a)(c) |
20,000
|
15,175
|
MASTR
Alternative Loan Trust |
|
|
5.00%,
08/25/18 (a)(e) |
718
|
39
|
Morgan
Stanley Bank of America Merrill Lynch Trust |
|
|
0.98%,
03/15/48 (a)(c)(e) |
310,143
|
2,801
|
Wells
Fargo Commercial Mortgage Trust |
|
|
4.32%,
08/15/50 (a) |
28,250
|
21,499
|
WFRBS
Commercial Mortgage Trust |
|
|
4.26%,
12/15/46 (a) |
25,000
|
24,757
|
4.35%,
03/15/47 (a)(c) |
58,000
|
56,819
|
|
|
665,077
|
Sovereign
Bonds - 0.6% |
Mexico
Government International Bonds |
|
|
4.75%,
03/08/44 (a) |
20,000
|
17,167
|
Peruvian
Government International Bonds |
|
|
1.86%,
12/01/32 (a) |
10,000
|
7,704
|
2.78%,
12/01/60 (a) |
15,000
|
9,137
|
5.63%,
11/18/50 (a) |
11,000
|
11,280
|
|
Principal
Amount |
Fair
Value |
Uruguay
Government International Bonds |
|
|
5.10%,
06/18/50 (a) |
$
14,040 |
$
14,023 |
|
|
59,311
|
Municipal
Bonds and Notes - 0.7% |
American
Municipal Power, Inc., OH |
|
|
6.27%,
02/15/50 (a) |
15,000
|
16,453
|
Board
of Regents of the University of Texas System, TX |
|
|
3.35%,
08/15/47 (a) |
10,000
|
8,048
|
Port
Authority of New York & New Jersey, NY |
|
|
4.46%,
10/01/62 (a) |
25,000
|
22,836
|
State
of California, CA |
|
|
4.60%,
04/01/38 (a) |
15,000
|
14,379
|
State
of Illinois, IL |
|
|
5.10%,
06/01/33 (a) |
10,000
|
9,827
|
|
|
71,543
|
Total
Bonds and Notes (Cost $10,838,164) |
|
9,917,176
|
|
Number
of Shares |
|
Domestic
Equity - 0.2% |
Preferred
Stock - 0.2% |
Wells
Fargo & Co. 5.85%, (5.85% fixed rate until 09/15/23; 3.09% + 3 month USD LIBOR thereafter) (Cost $23,300) (a)(c) |
932
|
23,309
|
Total
Investments in Securities (Cost $10,861,464) |
|
9,940,485
|
Short-Term
Investments - 18.6% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (h)(i) (Cost $1,901,878) |
1,901,878
|
1,901,878
|
Total
Investments (Cost $12,763,342) |
|
11,842,363
|
Liabilities
in Excess of Other Assets, net - (15.7)% |
|
(1,607,669)
|
NET
ASSETS - 100.0% |
|
$
10,234,694 |
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Income V.I.S. Fund |
19
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
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 |
$404
|
5.00%/
Quarterly |
12/20/27
|
$13,142
|
$(14,443)
|
$27,585
|
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
2
Yr. U.S. Treasury Notes Futures |
September
2023 |
4
|
$
825,164 |
$
813,409 |
$
(11,755) |
5
Yr. U.S. Treasury Notes Futures |
September
2023 |
11
|
1,198,639
|
1,178,031
|
(20,608)
|
10
Yr. U.S. Treasury Ultra Futures |
September
2023 |
6
|
716,746
|
710,625
|
(6,121)
|
|
|
|
|
|
$
(38,484) |
The
Fund had the following short futures contracts open at June 30, 2023: |
Description
|
Expiration
date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
10
Yr. U.S. Treasury Notes Futures |
September
2023 |
4
|
$
(457,498) |
$
(449,062) |
$
8,436 |
U.S.
Ultra Bond Futures |
September
2023 |
1
|
(134,467)
|
(136,219)
|
(1,752)
|
|
|
|
|
|
$
6,684 |
During
the period ended June 30, 2023, average notional values related to derivative contracts were as follows: |
|
Long
Futures Contracts |
Short
Futures Contracts |
Credit
Default Swap Contracts |
Average
Notional Value |
$1,920,233
|
$612,942
|
$407,355
|
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
At June
30, 2023, 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 June 30, 2023. 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. |
See Notes to Schedule of Investments and Notes to Financial
Statements.
20
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
(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. |
(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 June 30, 2023, these securities amounted to $233,998 or 2.29% 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 June 30, 2023. |
**
|
Amount is
less than $0.50. |
*
|
Less
than 0.05%. |
Abbreviations:
|
CMT -
Constant Maturity Treasury |
LIBOR -
London Interbank Offered Rate |
REIT - Real
Estate Investment Trust |
REMIC -
Real Estate Mortgage Investment Conduit |
SOFR -
Secured Overnight Financing Rate |
STRIPS -
Separate Trading of Registered Interest and Principal of Security |
TBA
- To Be Announced |
The following table presents the Fund’s
investments measured at fair value on a recurring basis at June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
U.S.
Treasuries |
$
— |
|
$
2,802,794 |
|
$
— |
|
$
2,802,794 |
Agency
Mortgage Backed |
—
|
|
3,131,584
|
|
—
|
|
3,131,584
|
Agency
Collateralized Mortgage Obligations |
—
|
|
104,648
|
|
—
|
|
104,648
|
Asset
Backed |
—
|
|
2,808
|
|
—
|
|
2,808
|
Corporate
Notes |
—
|
|
3,079,411
|
|
—
|
|
3,079,411
|
Non-Agency
Collateralized Mortgage Obligations |
—
|
|
665,077
|
|
—
|
|
665,077
|
Sovereign
Bonds |
—
|
|
59,311
|
|
—
|
|
59,311
|
Municipal
Bonds and Notes |
—
|
|
71,543
|
|
—
|
|
71,543
|
Preferred
Stock |
23,309
|
|
—
|
|
—
|
|
23,309
|
Short-Term
Investments |
1,901,878
|
|
—
|
|
—
|
|
1,901,878
|
Total
Investments in Securities |
$
1,925,187 |
|
$
9,917,176 |
|
$
— |
|
$
11,842,363 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Credit
Default Swap Contracts - Unrealized Appreciation |
$
— |
|
$
27,585 |
|
$
— |
|
$
27,585 |
Long
Futures Contracts - Unrealized Depreciation |
(38,484)
|
|
—
|
|
—
|
|
(38,484)
|
Short
Futures Contracts - Unrealized Appreciation |
8,436
|
|
—
|
|
—
|
|
8,436
|
Short
Futures Contracts - Unrealized Depreciation |
(1,752)
|
|
—
|
|
—
|
|
(1,752)
|
Total
Other Financial Instruments |
$
(31,800) |
|
$
27,585 |
|
$
— |
|
$
(4,215) |
See
Notes to Schedule of Investments and Notes to Financial Statements.
State
Street Income V.I.S. Fund |
21
|
State Street Income V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
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 6/30/23 |
Value
at 6/30/23 |
Dividend
Income |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
2,022,424
|
$2,022,424
|
$2,387,401
|
$2,507,947
|
$—
|
$—
|
1,901,878
|
$1,901,878
|
$46,908
|
See Notes to Schedule of Investments and Notes to Financial Statements.
22
|
State Street Income
V.I.S. Fund |
State Street Income V.I.S.
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
1/3/95
|
Net
asset value, beginning of period |
$
9.73 |
|
$
11.86 |
|
$
12.48 |
|
$
12.00 |
|
$
11.07 |
|
$
11.49 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
0.12
|
|
0.17
|
|
0.12
|
|
0.19
|
|
0.24
|
|
0.25
|
Net
realized and unrealized gains/(losses) on investments |
0.04
|
|
(1.87)
|
|
(0.35)
|
|
0.65
|
|
0.71
|
|
(0.41)
|
Total
income/(loss) from investment operations |
0.16
|
|
(1.70)
|
|
(0.23)
|
|
0.84
|
|
0.95
|
|
(0.16)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
—
|
|
(0.29)
|
|
(0.28)
|
|
(0.32)
|
|
(0.02)
|
|
(0.26)
|
Net
realized gains |
—
|
|
(0.14)
|
|
(0.11)
|
|
(0.04)
|
|
—
|
|
—
|
Total
distributions |
—
|
|
(0.43)
|
|
(0.39)
|
|
(0.36)
|
|
(0.02)
|
|
(0.26)
|
Net
asset value, end of period |
$
9.89 |
|
$
9.73 |
|
$
11.86 |
|
$
12.48 |
|
$
12.00 |
|
$
11.07 |
Total
Return(c) |
1.64%
|
|
(14.38)%
|
|
(1.81)%
|
|
7.03%
|
|
8.62%
|
|
(1.42)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$10,235
|
|
$10,616
|
|
$14,766
|
|
$17,435
|
|
$17,112
|
|
$18,685
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
1.35%
(d) |
|
1.24%
|
|
1.06%
|
|
1.06%
|
|
1.06%
|
|
1.00%
|
Gross
expenses |
1.35%
(d) |
|
1.24%
|
|
1.06%
|
|
1.06%
|
|
1.06%
|
|
1.00%
|
Net
investment income |
2.51%
(d) |
|
1.62%
|
|
1.01%
|
|
1.50%
|
|
2.05%
|
|
2.25%
|
Portfolio
turnover rate |
30%
(e) |
|
51%
(e) |
|
81%
(e) |
|
120%
(e) |
|
90%
|
|
182%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(d)
|
Annualized
for periods less than one year. |
(e)
|
The
portfolio turnover calculated for the period ended 6/30/23 and fiscal years ended 12/31/22 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 133%, 178%, 183% and 277%,
respectively. |
The accompanying Notes are an integral part of these financial
statements.
State Street Income V.I.S.
Fund
Statement of Assets and Liabilities — June 30,
2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $10,861,464) |
$
9,940,485 |
Short-term
affiliated investments, at fair value (cost $1,901,878) |
1,901,878
|
Cash
|
1,125
|
Net
cash collateral on deposit with broker for future contracts |
31,617
|
Receivable
for investments sold |
343,961
|
Income
receivables |
64,764
|
Receivable
for fund shares sold |
290
|
Income
receivable from affiliated investments |
8,419
|
Receivable
for accumulated variation margin on swap contracts |
13,760
|
Total
assets |
12,306,299
|
Liabilities
|
|
Net
cash collateral on swap contracts due to broker |
10,669
|
Payable
for investments purchased |
1,977,403
|
Payable
for fund shares redeemed |
661
|
Payable
for accumulated variation margin on futures contracts |
31,785
|
Payable
to the Adviser |
4,107
|
Payable
for custody, fund accounting and sub-administration fees |
17,336
|
Accrued
other expenses |
29,644
|
Total
liabilities |
2,071,605
|
|
Net
Assets |
$
10,234,694 |
Net
Assets Consist of: |
|
Capital
paid in |
$
11,815,564 |
Total
distributable earnings (loss) |
(1,580,870)
|
Net
Assets |
$
10,234,694 |
Shares
outstanding ($0.01 par value; unlimited shares authorized) |
1,034,558
|
Net
asset value per share |
$
9.89 |
The accompanying Notes are an integral part of these
financial statements.
24
|
Statement of Assets and
Liabilities |
State Street Income V.I.S.
Fund
Statement of Operations — For the period ended
June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
1,042 |
Interest
|
155,235
|
Income
from affiliated investments |
46,908
|
Total
income |
203,185
|
Expenses
|
|
Advisory
and administration fees |
26,308
|
Directors'
fees |
11,165
|
Custody,
fund accounting and sub-administration fees |
14,958
|
Professional
fees |
16,878
|
Printing
and shareholder reports |
1,766
|
Other
expenses |
652
|
Total
expenses before waivers |
71,727
|
Less:
Fees waived by the adviser |
(684)
|
Net
expenses |
71,043
|
Net
investment income |
$
132,142 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
(188,312) |
Futures
|
(6,985)
|
Swap
contracts |
7,527
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
266,372
|
Futures
|
(39,485)
|
Swap
contracts |
8,993
|
Net
realized and unrealized gain (loss) on investments |
48,110
|
Net
Increase in Net Assets Resulting from Operations |
$
180,252 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Operations |
25
|
State Street Income V.I.S.
Fund
Statements of Changes in Net Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$
132,142 |
|
$
195,470 |
Net
realized gain (loss) on investments, futures and swap contracts |
(187,770)
|
|
(627,344)
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts |
235,880
|
|
(1,538,893)
|
Net
increase (decrease) from operations |
180,252
|
|
(1,970,767)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(446,838)
|
Increase
(decrease) in assets from operations and distributions |
180,252
|
|
(2,417,605)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
314,260
|
|
654,513
|
Value
of distributions reinvested |
—
|
|
446,838
|
Cost
of shares redeemed |
(875,944)
|
|
(2,833,564)
|
Net
increase (decrease) from share transactions |
(561,684)
|
|
(1,732,213)
|
Total
increase (decrease) in net assets |
(381,432)
|
|
(4,149,818)
|
Net
Assets |
|
|
|
Beginning
of period |
10,616,126
|
|
14,765,944
|
End
of period |
$
10,234,694 |
|
$
10,616,126 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
31,608
|
|
58,331
|
Issued
for distributions reinvested |
—
|
|
45,783
|
Shares
redeemed |
(87,624)
|
|
(259,005)
|
Net
decrease in fund shares |
(56,016)
|
|
(154,891)
|
The accompanying Notes are an integral part of these financial
statements.
26
|
Statements of Changes
in Net Assets |
State Street Income V.I.S.
Fund
Notes to Financial Statements — June 30, 2023
(Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth
Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund (the "Fund") and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment
company within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
Government
and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair |
Notes
to Financial Statements |
27
|
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
|
valuation as the
cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published
inflation factors in order to ensure proper accrual of income. |
•
|
Debt obligations (including
short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
•
|
Exchange-traded futures
contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last
reported sale price obtained from independent pricing services or brokers or at fair value. |
•
|
Swap
agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including
valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or
“SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
28
|
Notes to Financial
Statements |
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars
using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the
transactions.
The effects
of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM's understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the
Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Securities
and Other Investments
Delayed
Delivery Transactions and When-Issued Securities During the period ended June 30, 2023, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the
customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery
or when-issued basis are identified as such in the Fund’s Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments,
the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the
contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions The Fund may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used
mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
The Fund may use TBA transactions to
“roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a TBA roll, the Fund generally will sell the obligation to purchase the pools stipulated in the TBA
agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. The Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement
date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Notes
to Financial Statements |
29
|
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
Default by or bankruptcy of a
counterparty to a TBA transaction would expose the Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction.
To minimize this risk, the Fund will enter into TBA transactions only with established counterparties. The Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to
shareholders.
4.Derivative Financial Instruments
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon
entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule
of Investments and cash deposited, if any, is included in Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in
the contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund
recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts to manage interest rate risk.
Credit Default Swaps During the period ended June 30, 2023, the Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is entitled to receive the par (or other
agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event
by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on 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
30
|
Notes to Financial
Statements |
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
financial reporting purposes, unamortized upfront
payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit
default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis.
Credit default swaps involve greater risks than if the Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not earn any return on its investment. If
the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the Fund to the risk that the counterparty to the transaction may not fulfill its 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 Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Income V.I.S. Fund |
|
|
|
|
|
|
Swap
Contracts |
$
— |
$
— |
$
13,760 |
$
— |
$
— |
$
13,760 |
Liability
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Income V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
(31,785) |
$
— |
$
— |
$
— |
$
— |
$
(31,785) |
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Income V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
(6,985) |
$
— |
$
— |
$
— |
$
— |
$
(6,985) |
Swap
Contracts |
—
|
—
|
7,527
|
—
|
—
|
7,527
|
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Income V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
(39,485) |
$
— |
$
— |
$
— |
$
— |
$
(39,485) |
Swap
Contracts |
—
|
—
|
8,993
|
—
|
—
|
8,993
|
5.Fees and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.50%. SSGA FM is contractually obligated until April 30, 2024 to waive its management fee and/or reimburse certain expenses
for the Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”), excluding
Notes
to Financial Statements |
31
|
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
AFFEs derived from the Fund’s holdings in
acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to April 30, 2024 except with approval of the Board.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
6.Directors’
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
U.S.
Government Securities |
Purchases
|
Sales
|
$
13,235,629 |
$
13,752,811 |
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
565,929 |
$
635,898 |
8.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax
positions that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
32
|
Notes to Financial
Statements |
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
12,867,042 |
$
51,291 |
$
1,080,185 |
$
(1,028,894) |
9.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
10.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in
governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and
liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of the Fund’s investments. The U.S. Federal Reserve has been engaged in an aggressive campaign to raise interest rates in an
effort to combat historically high levels of inflation. Interest rate increases may continue. High levels of inflation and/or a significantly changing interest rate environment can lead to heightened levels of volatility and reduced
liquidity.
Foreign and
Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government
regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund
invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the
Notes
to Financial Statements |
33
|
State Street Income V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
spread of infectious illness, such as COVID-19, or other
public health issues, or other events could have a significant impact on the Fund and its investments.
11.Recent
Accounting Pronouncement
In
December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2206 Reference Rate Reform (Topic 848). ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with
respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective
immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.
12.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
34
|
Notes to Financial
Statements |
State Street Income V.I.S.
Fund
Other Information — June 30, 2023
(Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the “Program”). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and
periodically reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining
investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period
December 31, 2021 through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Income V.I.S.
Fund
Other Information, continued — June 30, 2023
(Unaudited)
Director Considerations in Approving Continuation of the
Investment Advisory Agreement 1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street Income V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM”
or the “Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Directors
were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5, 2023 meeting, the Independent
Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other things, the
following:
__________________________________
1The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory agreement, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual review process").
The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent Directors with respect to
the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate in-person meeting that is
dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in light of the latest available
information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Directors
before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street Income V.I.S.
Fund
Other Information, continued — June 30, 2023
(Unaudited)
Information about
Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons of the
Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);
|
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Code of Ethics adopted by the Adviser; |
•
|
Information about the
Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
•
|
A description of the
adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser; and |
•
|
Information regarding the
Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
State Street Income V.I.S.
Fund
Other Information, continued — June 30, 2023
(Unaudited)
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, and the Distributor with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and
|
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things, presentations by
the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the
weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed
varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023 the Board, including a majority of the Independent Directors, voted to approve the continuation of
the Advisory Agreement effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board considered the
extensive experience and resources committed by the Adviser to the evaluation of the portfolio’s quality distribution and sector and interest rate
State Street Income V.I.S.
Fund
Other Information, continued — June 30, 2023
(Unaudited)
exposure. The Board considered the extensive experience and resources
committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and
systems over the past year. The Directors also considered the significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The Board also took into account the
compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of
the Fund:
State Street Income V.I.S. Fund. The Board considered that the Fund’s performance was below the medians of its Performance Group and Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s
performance was below the Benchmark for the 1-, 3-, 5- and 10-year periods. The Board took into account management’s discussion of the Fund’s performance, including the relatively small size of the Fund.
On the basis of the foregoing and other relevant information,
the Board concluded that the performance of the Fund is being appropriately monitored and/or addressed by management.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative
services provided by SSGA FM, as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services
provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. Among other information, the Board considered the following expense information in its
evaluation of the Fund:
State Street Income V.I.S.
Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were above the
medians of its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service Providers in
connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered
State Street Income V.I.S.
Fund
Other Information, continued — June 30, 2023
(Unaudited)
the profitability of each of the Affiliated Service Providers with respect
to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser
with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of
the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time.
Conclusions
In reaching its decision to approve the Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the
materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser possesses the capability and resources to perform the
duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement,
the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the Fund and its shareholders,
and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
[This page
intentionally left blank]
[This page
intentionally left blank]
[This page
intentionally left blank]
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street Real Estate
Securities V.I.S. Fund |
State Street Real Estate Securities V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
|
|
4
|
Financial
Statements |
|
|
6
|
|
7
|
|
8
|
|
9
|
|
10
|
|
15
|
This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street Real Estate
Securities V.I.S. Fund
Fund Information — June 30,
2023 (Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street Real Estate Securities V.I.S Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and
its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street Real Estate Securities V.I.S. Fund |
1
|
State Street Real Estate
Securities V.I.S. Fund
Fund Information, continued —
June 30, 2023 (Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $40,908 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
Prologis,
Inc. |
9.82%
|
Equinix,
Inc. |
6.46%
|
Digital
Realty Trust, Inc. |
5.62%
|
Public
Storage |
4.63%
|
Realty
Income Corp. |
4.54%
|
Welltower,
Inc. |
4.48%
|
Equity
Residential |
4.16%
|
Invitation
Homes, Inc. |
3.98%
|
AvalonBay
Communities, Inc. |
3.89%
|
Ventas,
Inc. |
3.28%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street Real
Estate Securities V.I.S. Fund |
State Street Real Estate
Securities V.I.S. Fund
Understanding Your Fund’s
Expenses — June 30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Beginning
Account Value January 1, 2023 |
$1,000.00
|
|
$1,000.00
|
Ending
Account value June 30, 2023 |
$1,057.00
|
|
$1,019.60
|
Expenses
Paid During Period* |
$
5.36 |
|
$
5.26 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 1.05% (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
|
State
Street Real Estate Securities V.I.S. Fund |
3
|
State Street Real Estate
Securities V.I.S. Fund
Schedule of Investments —
June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Common
Stock (REITs) - 99.3% † |
Alternate
Housing - 8.4% |
American
Homes 4 Rent, Class A |
5,500
|
$
194,975 |
Invitation
Homes, Inc. |
47,350
|
1,628,840
|
Sun
Communities, Inc. |
9,139
|
1,192,274
|
Tricon
Residential, Inc. |
47,496
|
418,440
|
|
|
3,434,529
|
Data
Center - 12.0% |
Digital
Realty Trust, Inc. |
20,210
|
2,301,312
|
Equinix,
Inc. |
3,370
|
2,641,878
|
|
|
4,943,190
|
Healthcare
- 14.8% |
Alexandria
Real Estate Equities, Inc. |
7,060
|
801,239
|
Healthpeak
Properties, Inc. |
48,230
|
969,423
|
Medical
Properties Trust, Inc. |
52,749
|
488,456
|
Omega
Healthcare Investors, Inc. |
14,960
|
459,122
|
Sabra
Health Care REIT, Inc. |
13,783
|
162,226
|
Ventas,
Inc. |
28,380
|
1,341,523
|
Welltower,
Inc. |
22,665
|
1,833,372
|
|
|
6,055,361
|
Hotel
- 3.0% |
DiamondRock
Hospitality Co. |
38,000
|
304,380
|
Host
Hotels & Resorts, Inc. |
36,196
|
609,179
|
Xenia
Hotels & Resorts, Inc. |
25,100
|
308,981
|
|
|
1,222,540
|
Industrial
- 15.0% |
Americold
Realty Trust, Inc. |
6,640
|
214,472
|
First
Industrial Realty Trust, Inc. |
16,620
|
874,877
|
Prologis,
Inc. |
32,750
|
4,016,132
|
Rexford
Industrial Realty, Inc. |
17,980
|
938,916
|
STAG
Industrial, Inc. |
3,560
|
127,733
|
|
|
6,172,130
|
Multifamily
- 11.5% |
AvalonBay
Communities, Inc. |
8,410
|
1,591,761
|
Camden
Property Trust |
2,289
|
249,204
|
Elme
Communities |
2,512
|
41,297
|
Equity
Residential |
25,820
|
1,703,345
|
Mid-America
Apartment Communities, Inc. |
2,442
|
370,842
|
UDR,
Inc. |
18,270
|
784,879
|
|
|
4,741,328
|
|
Number
of Shares |
Fair
Value |
Net
Lease - 8.2% |
Agree
Realty Corp. |
15,556
|
$
1,017,207 |
Broadstone
Net Lease, Inc. |
31,230
|
482,191
|
Realty
Income Corp. |
31,085
|
1,858,572
|
|
|
3,357,970
|
Office
- 3.9% |
Boston
Properties, Inc. |
4,840
|
278,735
|
Cousins
Properties, Inc. |
16,330
|
372,324
|
Douglas
Emmett, Inc. |
28,144
|
353,770
|
Highwoods
Properties, Inc. |
7,100
|
169,761
|
Kilroy
Realty Corp. |
14,230
|
428,181
|
|
|
1,602,771
|
Regional
Malls - 2.9% |
Simon
Property Group, Inc. |
10,230
|
1,181,360
|
Self
Storage - 8.7% |
Extra
Space Storage, Inc. |
7,820
|
1,164,007
|
Life
Storage, Inc. |
3,410
|
453,394
|
National
Storage Affiliates Trust |
1,290
|
44,931
|
Public
Storage |
6,488
|
1,893,717
|
|
|
3,556,049
|
Shopping
Centers - 6.7% |
Acadia
Realty Trust |
20,567
|
295,959
|
Brixmor
Property Group, Inc. |
32,360
|
711,920
|
Kimco
Realty Corp. |
26,954
|
531,533
|
Regency
Centers Corp. |
3,830
|
236,579
|
Retail
Opportunity Investments Corp. |
29,784
|
402,382
|
RPT
Realty |
26,500
|
276,925
|
Urban
Edge Properties |
19,086
|
294,497
|
|
|
2,749,795
|
Specialty
- 4.2% |
Outfront
Media, Inc. |
4,309
|
67,737
|
SBA
Communications Corp. |
1,980
|
458,885
|
VICI
Properties, Inc. |
37,740
|
1,186,168
|
|
|
1,712,790
|
Total
Common Stock (REITs) (Cost $41,646,388) |
|
40,729,813
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street Real
Estate Securities V.I.S. Fund |
State Street Real Estate
Securities V.I.S. Fund
Schedule of Investments, continued
— June 30, 2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Short-Term
Investments - 0.4% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (a)(b) (Cost $177,758) |
177,758
|
$
177,758 |
Total
Investments (Cost $41,824,146) |
|
40,907,571
|
Other
Assets and Liabilities, net - 0.3% |
|
127,853
|
NET
ASSETS - 100.0% |
|
$
41,035,424 |
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited
may not be representative of the Fund’s future investments and
should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible
investments.
(a)
|
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. |
(b)
|
Coupon
amount represents effective yield. |
†
|
Percentages
are based on net assets as of June 30, 2023. |
Abbreviations:
|
REIT
- Real Estate Investment Trust |
The following table presents the Fund’s
investments measured at fair value on a recurring basis at June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Common
Stock |
$
40,729,813 |
|
$
— |
|
$
— |
|
$
40,729,813 |
Short-Term
Investments |
177,758
|
|
—
|
|
—
|
|
177,758
|
Total
Investments in Securities |
$
40,907,571 |
|
$
— |
|
$
— |
|
$
40,907,571 |
|
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 6/30/23 |
Value
at 6/30/23 |
Dividend
Income |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
300,858
|
$300,858
|
$2,720,768
|
$2,843,868
|
$—
|
$—
|
177,758
|
$177,758
|
$3,955
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Real Estate Securities V.I.S. Fund |
5
|
State Street Real Estate
Securities V.I.S. Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
5/1/95
|
Net
asset value, beginning of period |
$
8.77 |
|
$
13.89 |
|
$
12.02 |
|
$
12.92 |
|
$
11.14 |
|
$
12.32 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
0.14
|
|
0.20
|
|
0.13
|
|
0.17
|
|
0.25
|
|
0.25
|
Net
realized and unrealized gains/(losses) on investments |
0.36
|
|
(3.66)
|
|
4.85
|
|
(0.85)
|
|
2.65
|
|
(0.95)
|
Total
income/(loss) from investment operations |
0.50
|
|
(3.46)
|
|
4.98
|
|
(0.68)
|
|
2.90
|
|
(0.70)
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
—
|
|
(0.17)
|
|
(0.34)
|
|
(0.06)
|
|
(0.19)
|
|
(0.28)
|
Net
realized gains |
—
|
|
(1.49)
|
|
(2.77)
|
|
(0.16)
|
|
(0.93)
|
|
(0.16)
|
Return
of capital |
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
0.04
|
Total
distributions |
—
|
|
(1.66)
|
|
(3.11)
|
|
(0.22)
|
|
(1.12)
|
|
(0.48)
|
Net
asset value, end of period |
$
9.27 |
|
$
8.77 |
|
$
13.89 |
|
$
12.02 |
|
$
12.92 |
|
$
11.14 |
Total
Return(c) |
5.70%
|
|
(24.93)%
|
|
41.80%
|
|
(5.23)%
|
|
26.15%
|
|
(5.71)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
$41,035
|
|
$40,669
|
|
$45,748
|
|
$47,588
|
|
$55,266
|
|
$50,360
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
1.05%
(d) |
|
1.05%
|
|
1.04%
|
|
1.04%
|
|
1.04%
|
|
1.05%
|
Gross
expenses |
1.05%
(d) |
|
1.05%
|
|
1.04%
|
|
1.04%
|
|
1.04%
|
|
1.05%
|
Net
investment income |
3.08%
(d) |
|
1.72%
|
|
0.93%
|
|
1.49%
|
|
1.91%
|
|
2.11%
|
Portfolio
turnover rate |
22%
|
|
86%
|
|
85%
|
|
108%
|
|
72%
|
|
59%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(d)
|
Annualized
for periods less than one year. |
The accompanying Notes are an integral part of these financial
statements.
State Street Real Estate
Securities V.I.S. Fund
Statement of Assets and Liabilities
— June 30, 2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $41,646,388) |
$
40,729,813 |
Short-term
affiliated investments, at fair value (cost $177,758) |
177,758
|
Receivable
for investments sold |
18,327
|
Income
receivables |
172,133
|
Receivable
for fund shares sold |
43,747
|
Income
receivable from affiliated investments |
515
|
Total
assets |
41,142,293
|
Liabilities
|
|
Payable
for investments purchased |
36,202
|
Payable
for fund shares redeemed |
2,156
|
Payable
to the Adviser |
28,350
|
Payable
for custody, fund accounting and sub-administration fees |
9,339
|
Accrued
other expenses |
30,822
|
Total
liabilities |
106,869
|
|
Net
Assets |
$
41,035,424 |
Net
Assets Consist of: |
|
Capital
paid in |
$
43,490,458 |
Total
distributable earnings (loss) |
(2,455,034)
|
Net
Assets |
$
41,035,424 |
Shares
outstanding ($0.01 par value, unlimited shares authorized) |
4,425,734
|
Net
asset value per share |
$
9.27 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Assets and Liabilities |
7
|
State Street Real Estate
Securities V.I.S. Fund
Statement of Operations — For
the period ended June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
836,970 |
Income
from affiliated investments |
3,955
|
Less:
Foreign taxes withheld |
(413)
|
Total
income |
840,512
|
Expenses
|
|
Advisory
and administration fees |
172,814
|
Directors'
fees |
11,267
|
Custody,
fund accounting and sub-administration fees |
10,740
|
Professional
fees |
15,010
|
Printing
and shareholder reports |
2,871
|
Other
expenses |
837
|
Total
expenses |
213,539
|
Net
investment income |
$
626,973 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on investments |
$
(1,314,570) |
Increase
(decrease) in unrealized appreciation/(depreciation) on investments |
3,088,538
|
Net
realized and unrealized gain (loss) on investments |
1,773,968
|
Net
Increase in Net Assets Resulting from Operations |
$
2,400,941 |
The accompanying Notes are an integral part of these
financial statements.
8
|
Statement of Operations
|
State Street Real Estate
Securities V.I.S. Fund
Statements of Changes in Net
Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$
626,973 |
|
$
631,786 |
Net
realized gain (loss) on investments |
(1,314,570)
|
|
3,664,669
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments |
3,088,538
|
|
(15,093,357)
|
Net
increase (decrease) from operations |
2,400,941
|
|
(10,796,902)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
—
|
|
(6,496,308)
|
Increase
(decrease) in assets from operations and distributions |
2,400,941
|
|
(17,293,210)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
1,233,162
|
|
22,268,925
|
Value
of distributions reinvested |
—
|
|
6,496,308
|
Cost
of shares redeemed |
(3,267,231)
|
|
(16,551,322)
|
Net
increase (decrease) from share transactions |
(2,034,069)
|
|
12,213,911
|
Total
increase (decrease) in net assets |
366,872
|
|
(5,079,299)
|
Net
Assets |
|
|
|
Beginning
of period |
40,668,552
|
|
45,747,851
|
End
of period |
$
41,035,424 |
|
$
40,668,552 |
Changes
in Fund Shares |
|
|
|
Shares
sold |
140,967
|
|
1,927,883
|
Issued
for distributions reinvested |
—
|
|
738,217
|
Shares
redeemed |
(351,435)
|
|
(1,323,809)
|
Net
increase (decrease) in fund shares |
(210,468)
|
|
1,342,291
|
The accompanying Notes are an integral part of these financial
statements.
Statements
of Changes in Net Assets |
9
|
State Street Real Estate
Securities V.I.S. Fund
Notes to Financial Statements
— June 30, 2023 (Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth
Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund, State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund (the "Fund'). Each Fund is a diversified investment
company within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers one share
class (Class 1) of the Fund as an investment option for variable life insurance and variable annuity contracts.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments traded
on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a
recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
•
|
Investments
in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
|
10
|
Notes to Financial
Statements |
State Street Real Estate
Securities V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars
using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the
transactions.
Notes
to Financial Statements |
11
|
State Street Real Estate
Securities V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
The effects of exchange rate
fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM's understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the
Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund. The Management Fee is stated in the following schedule:
Average
Daily Net Assets of the Fund |
Management
Fee |
First
$100 million |
0.85%
|
Next
$100 million |
0.80%
|
Over
$200 million |
0.75%
|
Custody, Fund
Accounting and Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State
Street for performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
4.Sub-Advisory
Fees
Pursuant to an investment
sub-advisory agreement with SSGA FM, CenterSquare Investment Management LLC (“CenterSquare”) is the sub-adviser to the Fund. CenterSquare is responsible for the day-to-day portfolio management of the assets of the Fund, including the
responsibility for making decisions to buy, sell or hold a particular security, under the general supervision of SSGA FM and the Board. For its services, SSGA FM pays CenterSquare monthly sub-advisory fees which are calculated as a percentage of the
average daily net assets of the Fund.
5.Directors’
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
12
|
Notes to Financial
Statements |
State Street Real Estate
Securities V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
6.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
9,163,395 |
$
10,510,544 |
7.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax
positions that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
42,358,449 |
$
2,390,071 |
$
3,840,949 |
$
(1,450,878) |
8.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
9.Risks
Concentration Risk As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or
political development may affect the value of the Fund’s investments more than if the Fund was more broadly diversified.
Notes
to Financial Statements |
13
|
State Street Real Estate
Securities V.I.S. Fund
Notes to Financial Statements,
continued — June 30, 2023 (Unaudited)
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness,
such as COVID-19, or other public health issues, or other events could have a significant impact on the Fund and its investments.
10.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
14
|
Notes to Financial
Statements |
State Street Real Estate
Securities V.I.S. Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the "Program"). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and periodically
reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’
interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period December 31, 2021
through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
Director Considerations in Approving Continuation of Investment
Advisory and Sub-Advisory Agreements1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to State Street Real Estate Securities V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA
FM” or the “Adviser”), and the sub-advisory agreement (the “Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Agreements”) by and among SSGA FM, and the Company on behalf of the Fund,
and CenterSquare Investment Management LLC (the “Sub-Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the
Board to evaluate the proposal fully. The Independent Directors were separately represented by counsel who are independent of the Adviser and Sub-Adviser (“Independent Counsel”) in connection with their consideration of approval of
the Agreements. Following the April 5, 2023 meeting, the Independent Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023
meeting. The Independent Directors considered, among other things, the following:
Information about
Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons
of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense
Universe”); |
__________________________________
1The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual
review process"). The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent
Directors with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate
in-person meeting that is dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in
light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of
the Independent Directors before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser and Sub-Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser and Sub-Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser and Sub-Adviser, including their investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser and Sub-Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates, as well as of the Sub-Adviser; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Codes of Ethics adopted by the Adviser and Sub-Adviser; |
•
|
Information about the
Adviser’s and the Sub-Adviser’s proxy voting policies and procedures and information regarding the Adviser’s and the Sub-Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser and Sub-Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund
|
•
|
A description of the
adequacy and sophistication of the Adviser’s and Sub-Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past
year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser and Sub-Adviser; and |
•
|
Information regarding the
Adviser’s and Sub-Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and Sub-Advisory Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
The Sub-Adviser, with
respect to its operations relating to the Fund and its approximate profitability from such operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act; |
•
|
Information from SSGA FM,
State Street, the Distributor and the Sub-Adviser with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May
10-11, 2023; and |
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser and Sub-Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things,
presentations by the portfolio managers and other investment professionals of the Adviser and Sub-Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Agreements, and the weight
to be given to each such factor. The conclusions reached with respect to the Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed varying emphasis on
particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023, the Board, including a majority of the Independent Directors, voted to approve the continuation
of the Agreements effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Agreements, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser and Sub-Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board
considered the Adviser’s process used for overseeing sub-advisers. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the
extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made
to the risk management processes and systems over the past year. The Directors also considered the significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
entrepreneurial risks. The Board also took into account the compensation
paid to recruit and retain investment personnel, and the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
In connection with their consideration of the services
provided by the Sub-Adviser, the Board considered the Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to
significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory services
provided by the Sub-Adviser to the Fund.
On the basis of
the foregoing and other relevant information, the Board concluded that the Adviser and the Sub-Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the
Fund:
State Street Real Estate Securities V.I.S.
Fund. The Board considered that the Fund’s performance was above the median of its Performance Group for the 1- and 10-year periods and was below the median of its Performance Group for the 3- and 5-year
periods. The Board also considered that the Fund’s performance was above the median of its Performance Universe for the 1-, 3- and 10-year periods and was below the median of its Performance Universe for the 5-year period. The Board also
considered that the Fund’s performance was below the Benchmark for the 1-year period and was above the Benchmark for the 3-, 5- and 10-year periods. The Board took into account management’s discussion of the Fund’s
performance.
On the basis of the foregoing and
other relevant information, the Board concluded that the performance of the Fund is satisfactory.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund, net of waivers, if any, as well as the fees paid to the Sub-Adviser by the Adviser, which reduced the net management fees retained by the Adviser. The Board also
reviewed (i) the allocation of the total advisory fees between SSGA FM and the Sub-Adviser, and (ii) the services required of SSGA FM to oversee the Sub-Adviser for those services. As part of its review, the Board considered the Fund’s
management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as
constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser and Sub-Adviser to the fees charged and services
provided to other clients of the Adviser and Sub-Adviser, including institutional accounts, as applicable. The Board also considered that the sub-advisory fees are paid by the Adviser out of its advisory fees it receives from the Fund and are not
paid by the Fund. Among other information, the Board considered the following expense information in its evaluation of the Fund:
State Street Real Estate Securities V.I.S. Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
expenses were above the medians of its Expense Group and Expense Universe.
The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser and Sub-Adviser, the Board concluded that the fees and the expense ratio of the Fund are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates and the Sub-Adviser in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated
Service Providers and the Sub-Adviser in connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the
Affiliated Service Providers with respect to their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including
reputational and entrepreneurial risks.
The Board
concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
The Board also considered that the sub-advisory fee rate
under the Sub-Advisory Agreement was negotiated with the Sub-Adviser at arm’s length. In considering the profitability to the Sub-Adviser in connection with its relationship to the Fund, the Directors noted that the fees under the Sub-Advisory
Agreement are paid by the Adviser out of the advisory fees that the Adviser receives from the Fund. For these reasons, the Board concluded that the profitability of the Sub-Adviser from its relationship with the Fund was not material to their
deliberations with respect to the consideration of approval of the Sub-Advisory Agreement.
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of
the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time. The Board noted that the fees under the Sub-Advisory Agreement are paid by the Adviser out of the advisory fees that the Adviser receives under the Advisory Agreement.
Therefore, the Board concluded that the potential for economies of scale in the Sub-Adviser’s management of the Fund is not a material factor to the approval of the Sub-Advisory Agreement.
Conclusions
In reaching its decision to approve the Agreements, the
Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the materials reviewed,
the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser and Sub-Adviser possess the capability and resources to perform the duties
required of them under the Agreements.
Further, based
upon its review of the Agreements, the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement and Sub-Advisory Agreement are reasonable,
fair, and in the best interests of the Fund and its shareholders, and (2) the rates payable
State Street Real Estate
Securities V.I.S. Fund
Other Information, continued
— June 30, 2023 (Unaudited)
under the Advisory Agreement and Sub-Advisory Agreement are fair and
reasonable in light of the usual and customary charges made for services of the same nature and quality.
[This page
intentionally left blank]
[This page
intentionally left blank]
Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Semi-Annual Report
June 30, 2023
State Street Total Return V.I.S.
Fund |
State Street Total Return V.I.S. Fund
Semi-Annual Report
June 30, 2023 (Unaudited)
|
Page
|
|
1
|
|
4
|
Financial
Statements |
|
|
95
|
|
97
|
|
98
|
|
99
|
|
100
|
|
108
|
This report is prepared for
Policyholders of certain variable contracts and may be distributed to others only if preceded or accompanied by the variable contract’s current prospectus and the current summary prospectus of the Fund available for investments
thereunder.
[This page
intentionally left blank]
State Street Total Return V.I.S.
Fund
Fund Information — June 30, 2023
(Unaudited)
Total return performance shown in this report for the Fund
takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund fees and expenses but do not reflect fees and charges associated with the variable contracts
such as administrative fees, account charges and surrender charges, which, if reflected, would reduce the Fund’s total returns for all periods shown.
The performance data quoted represents past performance;
past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the
performance data quoted. Periods less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Fund’s website at www.ssga.com for the most recent month-end performance
data.
An investment in the Fund is not a deposit of
any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in the Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA
& SIPC is the principal underwriter and distributor of the State Street Total Return V.I.S. Fund and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its
affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. ("SSGA FM" or the "Adviser") for investment advisory and administrative services.
State
Street Total Return V.I.S. Fund |
1
|
State Street Total Return V.I.S.
Fund
Fund Information, continued — June 30, 2023
(Unaudited)
Sector
Allocation |
Portfolio
composition as a % of Fair Value of $1,368,723 (in thousands) as of June 30, 2023 (a)(b) |
Top
Ten Largest Holdings |
as
of June 30, 2023 (as a % of Fair Value) (a)(b) |
SPDR
Bloomberg High Yield Bond ETF |
4.01%
|
SPDR
Bloomberg International Treasury Bond ETF |
4.00%
|
Apple,
Inc. |
2.52%
|
Microsoft
Corp. |
2.21%
|
SPDR
Portfolio Long Term Treasury ETF |
2.01%
|
SPDR
Gold Shares |
1.47%
|
Amazon.com,
Inc. |
1.02%
|
NVIDIA
Corp. |
0.87%
|
Tesla,
Inc. |
0.63%
|
Alphabet,
Inc., Class A |
0.62%
|
|
(a)
|
Fair
Value basis is inclusive of a short-term investment in the State Street Institutional U.S. Government Money Market Fund - Class G Shares. |
(b)
|
The
securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not
be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Understanding Your Fund’s Expenses — June
30, 2023 (Unaudited)
As a shareholder of the Fund, you incur ongoing costs. Ongoing costs
include portfolio management fees, professional fees, administrative fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
To
illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning
of the period and held for the entire six-month period ended June 30, 2023.
Actual Expenses
The first section of the table provides information about
actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about
hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant
to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. Additionally, the expenses shown do not reflect the fees or charges associated with variable contracts through which shares of the Fund are offered.
Class
1 |
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Begining
Account Value January 1, 2023 |
|
$1,000.00
|
|
$1,000.00
|
Ending
Account Value June 30, 2023 |
|
$1,090.40
|
|
$1,021.70
|
Expenses
Paid During Period* |
|
$
3.27 |
|
$
3.16 |
Class
3 |
|
Actual
Fund Return |
|
Hypothetical
5% Return (2.5% for the period) |
Begining
Account Value January 1, 2023 |
|
$1,000.00
|
|
$1,000.00
|
Ending
Account Value June 30, 2023 |
|
$1,088.90
|
|
$1,020.40
|
Expenses
Paid During Period* |
|
$
4.56 |
|
$
4.41 |
*
|
Expenses
are equal to the Fund's annualized expense ratio of 0.63% for Class 1 and 0.88% for Class 3 (for the period January 1, 2023 - June 30, 2023), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half
year period). |
State
Street Total Return V.I.S. Fund |
3
|
State Street Total Return V.I.S.
Fund
Schedule of Investments — June 30, 2023
(Unaudited)
|
Number
of Shares |
Fair
Value |
Domestic
Equity - 42.8% † |
Common
Stock - 42.8% |
Advertising
- 0.1% |
Advantage
Solutions, Inc. (a) |
2,685
|
$
6,283 |
Boston
Omaha Corp., Class A (a) |
703
|
13,231
|
Cardlytics,
Inc. (a) |
1,112
|
7,028
|
Clear
Channel Outdoor Holdings, Inc. (a) |
11,776
|
16,133
|
Emerald
Holding, Inc. (a) |
546
|
2,239
|
Integral
Ad Science Holding Corp. (a) |
1,237
|
22,241
|
Interpublic
Group of Cos., Inc. |
4,842
|
186,804
|
Magnite,
Inc. (a) |
4,646
|
63,418
|
Omnicom
Group, Inc. |
2,527
|
240,444
|
PubMatic,
Inc., Class A (a) |
1,513
|
27,658
|
Quotient
Technology, Inc. (a) |
3,154
|
12,111
|
Stagwell,
Inc. (a) |
3,773
|
27,203
|
TechTarget,
Inc. (a) |
889
|
27,675
|
Thryv
Holdings, Inc. (a) |
1,080
|
26,568
|
Trade
Desk, Inc., Class A (a) |
5,111
|
394,671
|
|
|
1,073,707
|
Aerospace
& Defense - 0.6% |
AAR
Corp. (a) |
1,203
|
69,485
|
Aerojet
Rocketdyne Holdings, Inc. (a) |
2,792
|
153,197
|
AeroVironment,
Inc. (a) |
874
|
89,393
|
AerSale
Corp. (a) |
790
|
11,613
|
Archer
Aviation, Inc., Class A (a) |
6,305
|
25,977
|
Astronics
Corp. (a) |
813
|
16,146
|
Axon
Enterprise, Inc. (a) |
800
|
156,096
|
Boeing
Co. (a) |
6,646
|
1,403,369
|
BWX
Technologies, Inc. |
1,000
|
71,570
|
Cadre
Holdings, Inc. |
608
|
13,254
|
Curtiss-Wright
Corp. |
500
|
91,830
|
Ducommun,
Inc. (a) |
358
|
15,598
|
Eve
Holding, Inc. (a) |
631
|
6,613
|
General
Dynamics Corp. |
2,815
|
605,647
|
HEICO
Corp. |
500
|
88,470
|
HEICO
Corp., Class A |
800
|
112,480
|
Hexcel
Corp. |
1,000
|
76,020
|
Howmet
Aerospace, Inc. |
4,697
|
232,783
|
Huntington
Ingalls Industries, Inc. |
500
|
113,800
|
Kaman
Corp. |
910
|
22,140
|
Kratos
Defense & Security Solutions, Inc. (a) |
4,317
|
61,906
|
L3Harris
Technologies, Inc. |
2,180
|
426,779
|
Leonardo
DRS, Inc. (a) |
1,760
|
30,518
|
Lockheed
Martin Corp. |
2,702
|
1,243,947
|
Mercury
Systems, Inc. (a) |
600
|
20,754
|
Moog,
Inc., Class A |
982
|
106,478
|
National
Presto Industries, Inc. |
162
|
11,858
|
|
Number
of Shares |
Fair
Value |
Northrop
Grumman Corp. |
1,698
|
$
773,948 |
Park
Aerospace Corp. |
964
|
13,303
|
Parsons
Corp. (a) |
1,439
|
69,274
|
Raytheon
Technologies Corp. |
17,486
|
1,712,929
|
Redwire
Corp. (a) |
1,127
|
2,874
|
Rocket
Lab USA, Inc. (a) |
9,719
|
58,314
|
Spirit
AeroSystems Holdings, Inc., Class A |
1,100
|
32,109
|
Terran
Orbital Corp. (a) |
2,969
|
4,454
|
Textron,
Inc. |
2,571
|
173,877
|
TransDigm
Group, Inc. |
594
|
531,137
|
Triumph
Group, Inc. (a) |
2,090
|
25,853
|
V2X,
Inc. (a) |
387
|
19,180
|
Virgin
Galactic Holdings, Inc. (a) |
8,554
|
33,190
|
Woodward,
Inc. |
800
|
95,128
|
|
|
8,823,291
|
Agricultural
& Farm Machinery - 0.1% |
AGCO
Corp. |
723
|
95,017
|
Deere
& Co. |
3,209
|
1,300,255
|
Lindsay
Corp. |
389
|
46,423
|
Titan
International, Inc. (a) |
1,834
|
21,054
|
Toro
Co. |
1,268
|
128,892
|
|
|
1,591,641
|
Agricultural
Products & Services - 0.1% |
Alico,
Inc. |
357
|
9,089
|
Archer-Daniels-Midland
Co. |
6,372
|
481,468
|
Benson
Hill, Inc. (a) |
7,944
|
10,327
|
Bunge
Ltd. |
1,737
|
163,886
|
Darling
Ingredients, Inc. (a) |
2,000
|
127,580
|
Fresh
Del Monte Produce, Inc. |
1,187
|
30,518
|
Ingredion,
Inc. |
744
|
78,827
|
Limoneira
Co. |
610
|
9,492
|
|
|
911,187
|
Air
Freight & Logistics - 0.2% |
Air
Transport Services Group, Inc. (a) |
1,911
|
36,060
|
CH
Robinson Worldwide, Inc. |
1,369
|
129,165
|
Expeditors
International of Washington, Inc. |
2,001
|
242,381
|
FedEx
Corp. |
2,772
|
687,179
|
Forward
Air Corp. |
924
|
98,046
|
GXO
Logistics, Inc. (a) |
1,173
|
73,688
|
Hub
Group, Inc., Class A (a) |
1,160
|
93,171
|
Radiant
Logistics, Inc. (a) |
1,858
|
12,486
|
United
Parcel Service, Inc., Class B |
8,592
|
1,540,116
|
|
|
2,912,292
|
Alternative
Carriers - 0.0%* |
Anterix,
Inc. (a) |
597
|
18,919
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
4
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
AST
SpaceMobile, Inc. (a) |
2,112
|
$
9,926 |
Bandwidth,
Inc., Class A (a) |
1,078
|
14,747
|
Charge
Enterprises, Inc. (a) |
6,770
|
6,635
|
Cogent
Communications Holdings, Inc. |
1,515
|
101,944
|
EchoStar
Corp., Class A (a) |
1,090
|
18,901
|
Globalstar,
Inc. (a) |
22,349
|
24,137
|
Iridium
Communications, Inc. |
1,100
|
68,332
|
Lumen
Technologies, Inc. |
35,140
|
79,416
|
|
|
342,957
|
Aluminum
- 0.0%* |
Alcoa
Corp. |
2,058
|
69,828
|
Arconic
Corp. (a) |
3,481
|
102,968
|
Century
Aluminum Co. (a) |
1,669
|
14,554
|
Constellium
SE (a) |
4,406
|
75,783
|
Kaiser
Aluminum Corp. |
566
|
40,548
|
Tredegar
Corp. |
1,338
|
8,925
|
|
|
312,606
|
Apparel
Retail - 0.2% |
Abercrombie
& Fitch Co., Class A (a) |
1,715
|
64,621
|
American
Eagle Outfitters, Inc. |
6,372
|
75,190
|
Boot
Barn Holdings, Inc. (a) |
1,028
|
87,061
|
Buckle,
Inc. |
1,069
|
36,987
|
Burlington
Stores, Inc. (a) |
835
|
131,421
|
Caleres,
Inc. |
1,214
|
29,051
|
Cato
Corp., Class A |
921
|
7,396
|
Chico's
FAS, Inc. (a) |
3,982
|
21,304
|
Children's
Place, Inc. (a) |
517
|
12,000
|
Designer
Brands, Inc., Class A |
1,599
|
16,150
|
Destination
XL Group, Inc. (a) |
2,678
|
13,122
|
Duluth
Holdings, Inc., Class B (a) |
355
|
2,229
|
Foot
Locker, Inc. |
2,863
|
77,616
|
Genesco,
Inc. (a) |
387
|
9,690
|
Guess?,
Inc. |
1,005
|
19,547
|
J
Jill, Inc. (a) |
159
|
3,407
|
Lands'
End, Inc. (a) |
462
|
3,585
|
Revolve
Group, Inc. (a) |
1,343
|
22,025
|
Ross
Stores, Inc. |
3,885
|
435,625
|
Shoe
Carnival, Inc. |
543
|
12,750
|
Stitch
Fix, Inc., Class A (a) |
2,636
|
10,149
|
ThredUp,
Inc., Class A (a) |
3,057
|
7,459
|
Tilly's,
Inc., Class A (a) |
1,159
|
8,125
|
TJX
Cos., Inc. |
13,953
|
1,183,075
|
Torrid
Holdings, Inc. (a) |
662
|
1,860
|
Urban
Outfitters, Inc. (a) |
2,228
|
73,814
|
Victoria's
Secret & Co. (a) |
739
|
12,881
|
Zumiez,
Inc. (a) |
728
|
12,128
|
|
|
2,390,268
|
|
Number
of Shares |
Fair
Value |
Apparel,
Accessories & Luxury Goods - 0.1% |
Capri
Holdings Ltd. (a) |
1,405
|
$
50,425 |
Carter's,
Inc. |
400
|
29,040
|
Columbia
Sportswear Co. |
400
|
30,896
|
Fossil
Group, Inc. (a) |
1,488
|
3,824
|
G-III
Apparel Group Ltd. (a) |
1,400
|
26,978
|
Hanesbrands,
Inc. |
12,272
|
55,715
|
Kontoor
Brands, Inc. |
1,905
|
80,201
|
Lululemon
Athletica, Inc. (a) |
1,327
|
502,270
|
Movado
Group, Inc. |
480
|
12,878
|
Oxford
Industries, Inc. |
523
|
51,474
|
PVH
Corp. |
800
|
67,976
|
Ralph
Lauren Corp. |
500
|
61,650
|
Tapestry,
Inc. |
3,074
|
131,567
|
Under
Armour, Inc., Class A (a) |
2,700
|
19,494
|
Vera
Bradley, Inc. (a) |
914
|
5,840
|
VF
Corp. |
4,600
|
87,814
|
|
|
1,218,042
|
Application
Software - 1.3% |
8x8,
Inc. (a) |
3,593
|
15,198
|
ACI
Worldwide, Inc. (a) |
3,852
|
89,251
|
Adobe,
Inc. (a) |
5,427
|
2,653,749
|
Agilysys,
Inc. (a) |
694
|
47,636
|
Alarm.com
Holdings, Inc. (a) |
1,674
|
86,512
|
Alkami
Technology, Inc. (a) |
1,377
|
22,569
|
Altair
Engineering, Inc., Class A (a) |
1,873
|
142,048
|
Alteryx,
Inc., Class A (a) |
600
|
27,240
|
American
Software, Inc., Class A |
998
|
10,489
|
Amplitude,
Inc., Class A (a) |
2,360
|
25,960
|
ANSYS,
Inc. (a) |
1,071
|
353,719
|
Appfolio,
Inc., Class A (a) |
674
|
116,022
|
Applied
Digital Corp. (a) |
2,378
|
22,234
|
AppLovin
Corp., Class A (a) |
2,300
|
59,179
|
Asana,
Inc., Class A (a) |
2,770
|
61,051
|
Aspen
Technology, Inc. (a) |
320
|
53,635
|
Atlassian
Corp., Class A (a) |
1,796
|
301,387
|
Autodesk,
Inc. (a) |
2,674
|
547,127
|
AvePoint,
Inc. (a) |
5,345
|
30,787
|
Bentley
Systems, Inc., Class B |
2,000
|
108,460
|
Bills
Holdings, Inc. (a) |
1,192
|
139,285
|
Black
Knight, Inc. (a) |
2,024
|
120,894
|
Blackbaud,
Inc. (a) |
1,519
|
108,122
|
Blackline,
Inc. (a) |
1,965
|
105,756
|
Box,
Inc., Class A (a) |
4,934
|
144,961
|
Braze,
Inc., Class A (a) |
1,203
|
52,679
|
C3.ai,
Inc., Class A (a) |
2,091
|
76,175
|
Cadence
Design Systems, Inc. (a) |
3,251
|
762,425
|
CCC
Intelligent Solutions Holdings, Inc. (a) |
900
|
10,089
|
Cerence,
Inc. (a) |
1,428
|
41,740
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
5
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Cipher
Mining, Inc. (a) |
887
|
$
2,537 |
Cleanspark,
Inc. (a) |
2,667
|
11,441
|
Clear
Secure, Inc., Class A |
2,906
|
67,332
|
Confluent,
Inc., Class A (a) |
1,800
|
63,558
|
Consensus
Cloud Solutions, Inc. (a) |
694
|
21,514
|
CoreCard
Corp. (a) |
252
|
6,391
|
Couchbase,
Inc. (a) |
1,185
|
18,747
|
CS
Disco, Inc. (a) |
746
|
6,132
|
Datadog,
Inc., Class A (a) |
3,296
|
324,261
|
Digimarc
Corp. (a) |
495
|
14,573
|
Digital
Turbine, Inc. (a) |
3,307
|
30,689
|
DocuSign,
Inc. (a) |
2,489
|
127,163
|
Domo,
Inc., Class B (a) |
987
|
14,469
|
DoubleVerify
Holdings, Inc. (a) |
1,300
|
50,596
|
Dropbox,
Inc., Class A (a) |
3,200
|
85,344
|
Dynatrace,
Inc. (a) |
2,700
|
138,969
|
E2open
Parent Holdings, Inc. (a) |
6,980
|
39,088
|
Ebix,
Inc. |
956
|
24,091
|
eGain
Corp. (a) |
737
|
5,520
|
Elastic
NV (a) |
900
|
57,708
|
Enfusion,
Inc., Class A (a) |
1,305
|
14,642
|
EngageSmart,
Inc. (a) |
1,694
|
32,339
|
Envestnet,
Inc. (a) |
1,747
|
103,685
|
Everbridge,
Inc. (a) |
1,418
|
38,144
|
EverCommerce,
Inc. (a) |
1,177
|
13,936
|
Expensify,
Inc., Class A (a) |
1,925
|
15,362
|
Fair
Isaac Corp. (a) |
266
|
215,250
|
Five9,
Inc. (a) |
800
|
65,960
|
ForgeRock,
Inc., Class A (a) |
1,647
|
33,829
|
Freshworks,
Inc., Class A Revenue (a) |
5,649
|
99,309
|
Guidewire
Software, Inc. (a) |
1,200
|
91,296
|
HashiCorp,
Inc., Class A (a) |
500
|
13,090
|
HubSpot,
Inc. (a) |
508
|
270,302
|
Instructure
Holdings, Inc. (a) |
680
|
17,109
|
Intapp,
Inc. (a) |
545
|
22,841
|
InterDigital,
Inc. |
945
|
91,240
|
Intuit,
Inc. |
3,304
|
1,513,860
|
Jamf
Holding Corp. (a) |
2,436
|
47,551
|
Kaltura,
Inc. (a) |
2,893
|
6,133
|
LivePerson,
Inc. (a) |
3,169
|
14,324
|
LiveRamp
Holdings, Inc. (a) |
2,227
|
63,603
|
LiveVox
Holdings, Inc. (a) |
397
|
1,092
|
Manhattan
Associates, Inc. (a) |
731
|
146,112
|
Marathon
Digital Holdings, Inc. (a) |
5,869
|
81,344
|
Matterport,
Inc. (a) |
8,744
|
27,544
|
MeridianLink,
Inc. (a) |
915
|
19,032
|
MicroStrategy,
Inc., Class A (a) |
385
|
131,832
|
Mitek
Systems, Inc. (a) |
1,339
|
14,515
|
Model
N, Inc. (a) |
1,328
|
46,958
|
nCino,
Inc. (a) |
300
|
9,036
|
|
Number
of Shares |
Fair
Value |
NCR
Corp. (a) |
1,300
|
$
32,760 |
New
Relic, Inc. (a) |
800
|
52,352
|
NextNav,
Inc. (a) |
1,886
|
5,545
|
Nutanix,
Inc., Class A (a) |
3,100
|
86,955
|
Olo,
Inc., Class A (a) |
3,605
|
23,288
|
ON24,
Inc. |
1,139
|
9,249
|
PagerDuty,
Inc. (a) |
2,965
|
66,653
|
Palantir
Technologies, Inc., Class A (a) |
21,229
|
325,441
|
Pegasystems,
Inc. |
200
|
9,860
|
PowerSchool
Holdings, Inc., Class A (a) |
1,954
|
37,400
|
Procore
Technologies, Inc. (a) |
1,100
|
71,577
|
PROS
Holdings, Inc. (a) |
1,558
|
47,986
|
PTC,
Inc. (a) |
1,348
|
191,820
|
Q2
Holdings, Inc. (a) |
1,961
|
60,595
|
Rimini
Street, Inc. (a) |
2,472
|
11,841
|
RingCentral,
Inc., Class A (a) |
900
|
29,457
|
Riot
Platforms, Inc. (a) |
5,537
|
65,447
|
Roper
Technologies, Inc. |
1,275
|
613,020
|
Salesforce,
Inc. (a) |
11,421
|
2,412,801
|
SEMrush
Holdings, Inc., Class A (a) |
1,092
|
10,450
|
Smartsheet,
Inc., Class A (a) |
1,400
|
53,564
|
SoundHound
AI, Inc., Class A (a) |
4,879
|
22,200
|
SoundThinking,
Inc. (a) |
429
|
9,378
|
Splunk,
Inc. (a) |
2,010
|
213,241
|
Sprinklr,
Inc., Class A (a) |
3,033
|
41,946
|
Sprout
Social, Inc., Class A (a) |
1,631
|
75,287
|
SPS
Commerce, Inc. (a) |
1,285
|
246,797
|
Synopsys,
Inc. (a) |
1,772
|
771,547
|
Terawulf,
Inc. (a) |
1,755
|
3,071
|
Tyler
Technologies, Inc. (a) |
450
|
187,412
|
Unity
Software, Inc. (a) |
3,198
|
138,857
|
Verint
Systems, Inc. (a) |
2,256
|
79,095
|
Veritone,
Inc. (a) |
1,607
|
6,299
|
Viant
Technology, Inc., Class A (a) |
600
|
2,766
|
Weave
Communications, Inc. (a) |
1,144
|
12,710
|
Workday,
Inc., Class A (a) |
2,310
|
521,806
|
Workiva,
Inc. (a) |
1,705
|
173,330
|
Yext,
Inc. (a) |
3,984
|
45,059
|
Zeta
Global Holdings Corp., Class A (a) |
4,679
|
39,959
|
Zoom
Video Communications, Inc., Class A (a) |
3,074
|
208,663
|
|
|
17,725,256
|
Asset
Management & Custody Banks - 0.4% |
Affiliated
Managers Group, Inc. |
400
|
59,956
|
AlTi
Global, Inc. (a) |
733
|
5,615
|
Ameriprise
Financial, Inc. |
1,267
|
420,847
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
6
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Ares
Management Corp., Class A |
1,922
|
$
185,185 |
Artisan
Partners Asset Management, Inc., Class A |
2,151
|
84,556
|
AssetMark
Financial Holdings, Inc. (a) |
701
|
20,792
|
Avantax,
Inc. (a) |
1,372
|
30,705
|
Bank
of New York Mellon Corp. |
9,106
|
405,399
|
BlackRock,
Inc. |
1,746
|
1,206,730
|
Blackstone,
Inc. |
8,312
|
772,767
|
Blue
Owl Capital, Inc. |
5,700
|
66,405
|
Brightsphere
Investment Group, Inc. |
1,057
|
22,144
|
Carlyle
Group, Inc. |
2,651
|
84,699
|
Cohen
& Steers, Inc. |
894
|
51,843
|
Diamond
Hill Investment Group, Inc. |
92
|
15,760
|
Focus
Financial Partners, Inc., Class A (a) |
2,049
|
107,593
|
Franklin
Resources, Inc. |
3,300
|
88,143
|
GCM
Grosvenor, Inc., Class A |
1,919
|
14,469
|
Hamilton
Lane, Inc., Class A |
1,274
|
101,894
|
Invesco
Ltd. |
4,300
|
72,283
|
Janus
Henderson Group PLC |
1,800
|
49,050
|
KKR
& Co., Inc. |
7,305
|
409,080
|
Northern
Trust Corp. |
2,532
|
187,722
|
P10,
Inc., Class A |
1,499
|
16,939
|
Sculptor
Capital Management, Inc. |
1,236
|
10,914
|
SEI
Investments Co. |
1,400
|
83,468
|
Silvercrest
Asset Management Group, Inc., Class A |
496
|
10,044
|
State
Street Corp. (b) |
4,261
|
311,820
|
StepStone
Group, Inc., Class A |
1,952
|
48,429
|
T
Rowe Price Group, Inc. |
2,757
|
308,839
|
Victory
Capital Holdings, Inc., Class A |
966
|
30,468
|
Virtus
Investment Partners, Inc. |
245
|
48,380
|
WisdomTree,
Inc. |
4,866
|
33,381
|
|
|
5,366,319
|
Automobile
Manufacturers - 0.8% |
Fisker,
Inc. (a) |
6,838
|
38,567
|
Ford
Motor Co. |
46,091
|
697,357
|
General
Motors Co. |
16,227
|
625,713
|
Lucid
Group, Inc. (a) |
7,700
|
53,053
|
Rivian
Automotive, Inc., Class A (a) |
6,000
|
99,960
|
Stellantis
NV |
34,129
|
599,905
|
Tesla,
Inc. (a) |
32,777
|
8,580,035
|
Thor
Industries, Inc. |
634
|
65,619
|
Winnebago
Industries, Inc. |
1,040
|
69,358
|
|
Number
of Shares |
Fair
Value |
Workhorse
Group, Inc. (a) |
7,669
|
$
6,684 |
|
|
10,836,251
|
Automotive
Parts & Equipment - 0.1% |
Adient
PLC (a) |
3,344
|
128,142
|
American
Axle & Manufacturing Holdings, Inc. (a) |
3,995
|
33,039
|
Aptiv
PLC (a) |
3,391
|
346,187
|
BorgWarner,
Inc. |
2,886
|
141,154
|
Cooper-Standard
Holdings, Inc. (a) |
589
|
8,399
|
Dana,
Inc. |
4,504
|
76,568
|
Dorman
Products, Inc. (a) |
917
|
72,287
|
Fox
Factory Holding Corp. (a) |
1,493
|
162,006
|
Gentex
Corp. |
2,758
|
80,699
|
Gentherm,
Inc. (a) |
1,155
|
65,269
|
Holley,
Inc. (a) |
1,728
|
7,068
|
LCI
Industries |
876
|
110,691
|
Lear
Corp. |
700
|
100,485
|
Luminar
Technologies, Inc. (a) |
9,494
|
65,319
|
Modine
Manufacturing Co. (a) |
1,755
|
57,950
|
Patrick
Industries, Inc. |
761
|
60,880
|
QuantumScape
Corp. (a) |
2,200
|
17,578
|
Solid
Power, Inc. (a) |
5,401
|
13,719
|
Standard
Motor Products, Inc. |
738
|
27,690
|
Stoneridge,
Inc. (a) |
846
|
15,947
|
Visteon
Corp. (a) |
981
|
140,881
|
XPEL,
Inc. (a) |
788
|
66,365
|
|
|
1,798,323
|
Automotive
Retail - 0.2% |
Advance
Auto Parts, Inc. |
698
|
49,069
|
America's
Car-Mart, Inc. (a) |
189
|
18,858
|
Arko
Corp. |
2,724
|
21,656
|
Asbury
Automotive Group, Inc. (a) |
756
|
181,758
|
AutoNation,
Inc. (a) |
382
|
62,881
|
AutoZone,
Inc. (a) |
210
|
523,606
|
Camping
World Holdings, Inc., Class A |
1,463
|
44,036
|
CarMax,
Inc. (a) |
2,100
|
175,770
|
CarParts.com,
Inc. (a) |
2,475
|
10,519
|
Carvana
Co. (a) |
3,345
|
86,702
|
EVgo,
Inc. (a) |
2,168
|
8,672
|
Group
1 Automotive, Inc. |
497
|
128,276
|
Lazydays
Holdings, Inc. (a) |
441
|
5,098
|
Lithia
Motors, Inc. |
300
|
91,233
|
Monro,
Inc. |
1,091
|
44,327
|
Murphy
USA, Inc. |
200
|
62,222
|
OneWater
Marine, Inc., Class A (a) |
358
|
12,974
|
O'Reilly
Automotive, Inc. (a) |
700
|
668,710
|
Penske
Automotive Group, Inc. |
270
|
44,990
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
7
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Sonic
Automotive, Inc., Class A |
591
|
$
28,173 |
Valvoline,
Inc. |
2,000
|
75,020
|
|
|
2,344,550
|
Biotechnology
- 1.3% |
2seventy
bio, Inc. (a) |
1,729
|
17,497
|
4D
Molecular Therapeutics, Inc. (a) |
1,100
|
19,877
|
89bio,
Inc. (a) |
2,154
|
40,818
|
Aadi
Bioscience, Inc. (a) |
431
|
2,948
|
AbbVie,
Inc. |
21,072
|
2,839,031
|
ACADIA
Pharmaceuticals, Inc. (a) |
4,238
|
101,500
|
Acrivon
Therapeutics, Inc. (a) |
376
|
4,873
|
Actinium
Pharmaceuticals, Inc. (a) |
906
|
6,723
|
Adicet
Bio, Inc. (a) |
1,535
|
3,730
|
ADMA
Biologics, Inc. (a) |
7,368
|
27,188
|
Aduro
Biotech, Inc. (a) |
4,580
|
595
|
Aerovate
Therapeutics, Inc. (a) |
461
|
7,906
|
Agenus,
Inc. (a) |
11,953
|
19,125
|
Agios
Pharmaceuticals, Inc. (a) |
1,911
|
54,119
|
Akero
Therapeutics, Inc. (a) |
1,565
|
73,070
|
Aldeyra
Therapeutics, Inc. (a) |
1,623
|
13,617
|
Alector,
Inc. (a) |
1,974
|
11,864
|
Alkermes
PLC (a) |
5,804
|
181,665
|
Allakos,
Inc. (a) |
2,316
|
10,098
|
Allogene
Therapeutics, Inc. (a) |
2,519
|
12,519
|
Allovir,
Inc. (a) |
1,641
|
5,579
|
Alnylam
Pharmaceuticals, Inc. (a) |
1,381
|
262,307
|
Alpine
Immune Sciences, Inc. (a) |
1,193
|
12,264
|
Altimmune,
Inc. (a) |
1,722
|
6,079
|
ALX
Oncology Holdings, Inc. (a) |
654
|
4,912
|
Amgen,
Inc. |
6,329
|
1,405,165
|
Amicus
Therapeutics, Inc. (a) |
9,771
|
122,724
|
AnaptysBio,
Inc. (a) |
647
|
13,160
|
Anavex
Life Sciences Corp. (a) |
2,231
|
18,138
|
Anika
Therapeutics, Inc. (a) |
463
|
12,029
|
Annexon,
Inc. (a) |
1,590
|
5,597
|
Apellis
Pharmaceuticals, Inc. (a) |
1,000
|
91,100
|
Arbutus
Biopharma Corp. (a) |
4,941
|
11,364
|
Arcellx,
Inc. (a) |
1,323
|
41,833
|
Arcturus
Therapeutics Holdings, Inc. (a) |
750
|
21,510
|
Arcus
Biosciences, Inc. (a) |
1,829
|
37,147
|
Arcutis
Biotherapeutics, Inc. (a) |
1,792
|
17,078
|
Ardelyx,
Inc. (a) |
7,422
|
25,161
|
|
Number
of Shares |
Fair
Value |
Arrowhead
Pharmaceuticals, Inc. (a) |
3,566
|
$
127,164 |
ARS
Pharmaceuticals, Inc. (a) |
845
|
5,661
|
Astria
Therapeutics, Inc. (a) |
890
|
7,414
|
Atara
Biotherapeutics, Inc. (a) |
4,598
|
7,403
|
Aura
Biosciences, Inc. (a) |
1,166
|
14,400
|
Avid
Bioservices, Inc. (a) |
2,020
|
28,219
|
Avidity
Biosciences, Inc. (a) |
2,463
|
27,315
|
Avita
Medical, Inc. (a) |
876
|
14,901
|
Beam
Therapeutics, Inc. (a) |
2,381
|
76,025
|
BioAtla,
Inc. (a) |
1,541
|
4,623
|
BioCryst
Pharmaceuticals, Inc. (a) |
6,482
|
45,633
|
Biogen,
Inc. (a) |
1,692
|
481,966
|
Biohaven
Ltd. (a) |
2,031
|
48,582
|
BioMarin
Pharmaceutical, Inc. (a) |
2,289
|
198,410
|
Biomea
Fusion, Inc. (a) |
692
|
15,189
|
Bioxcel
Therapeutics, Inc. (a) |
871
|
5,801
|
Bluebird
Bio, Inc. (a) |
4,482
|
14,746
|
Blueprint
Medicines Corp. (a) |
2,104
|
132,973
|
Bridgebio
Pharma, Inc. (a) |
3,991
|
68,645
|
Cabaletta
Bio, Inc. (a) |
891
|
11,503
|
CareDx,
Inc. (a) |
1,627
|
13,829
|
Caribou
Biosciences, Inc. (a) |
2,759
|
11,726
|
Carisma
Therapeutics, Inc. |
929
|
8,147
|
Catalyst
Pharmaceuticals, Inc. (a) |
3,387
|
45,521
|
Celcuity,
Inc. (a) |
600
|
6,588
|
Celldex
Therapeutics, Inc. (a) |
1,602
|
54,356
|
Century
Therapeutics, Inc. (a) |
612
|
1,934
|
Cerevel
Therapeutics Holdings, Inc. (a) |
2,156
|
68,539
|
Chinook
Therapeutics, Inc. (a) |
2,021
|
77,647
|
Cogent
Biosciences, Inc. (a) |
2,403
|
28,452
|
Coherus
Biosciences, Inc. (a) |
2,383
|
10,175
|
Compass
Therapeutics, Inc. (a) |
3,180
|
10,112
|
Crinetics
Pharmaceuticals, Inc. (a) |
1,848
|
33,301
|
CSL
Ltd. |
7,307
|
1,352,086
|
Cue
Biopharma, Inc. (a) |
1,204
|
4,395
|
Cullinan
Oncology, Inc. (a) |
1,139
|
12,256
|
Cytokinetics,
Inc. (a) |
3,245
|
105,852
|
Day
One Biopharmaceuticals, Inc. (a) |
1,716
|
20,489
|
Deciphera
Pharmaceuticals, Inc. (a) |
1,832
|
25,795
|
Denali
Therapeutics, Inc. (a) |
4,117
|
121,493
|
Design
Therapeutics, Inc. (a) |
1,688
|
10,634
|
Disc
Medicine, Inc. (a) |
270
|
11,988
|
Dynavax
Technologies Corp. (a) |
4,516
|
58,347
|
Dyne
Therapeutics, Inc. (a) |
1,455
|
16,369
|
Eagle
Pharmaceuticals, Inc. (a) |
320
|
6,221
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
8
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Editas
Medicine, Inc. (a) |
2,491
|
$
20,501 |
Emergent
BioSolutions, Inc. (a) |
1,635
|
12,017
|
Enanta
Pharmaceuticals, Inc. (a) |
651
|
13,931
|
Entrada
Therapeutics, Inc. (a) |
746
|
11,294
|
EQRx,
Inc. (a) |
11,119
|
20,681
|
Erasca,
Inc. (a) |
3,602
|
9,942
|
Exact
Sciences Corp. (a) |
2,000
|
187,800
|
Exelixis,
Inc. (a) |
4,500
|
85,995
|
Fate
Therapeutics, Inc. (a) |
2,665
|
12,685
|
FibroGen,
Inc. (a) |
3,057
|
8,254
|
Foghorn
Therapeutics, Inc. (a) |
650
|
4,576
|
Genelux
Corp. (a) |
96
|
3,141
|
Generation
Bio Co. (a) |
1,578
|
8,679
|
Geron
Corp. (a) |
17,353
|
55,703
|
Gilead
Sciences, Inc. |
14,955
|
1,152,582
|
Graphite
Bio, Inc. (a) |
976
|
2,538
|
Gritstone
bio, Inc. (a) |
3,058
|
5,963
|
Halozyme
Therapeutics, Inc. (a) |
4,684
|
168,952
|
Heron
Therapeutics, Inc. (a) |
5,147
|
5,971
|
HilleVax,
Inc. (a) |
759
|
13,047
|
Horizon
Therapeutics PLC (a) |
2,709
|
278,621
|
Humacyte,
Inc. (a) |
2,556
|
7,310
|
Icosavax,
Inc. (a) |
1,163
|
11,549
|
Ideaya
Biosciences, Inc. (a) |
1,892
|
44,462
|
IGM
Biosciences, Inc. (a) |
539
|
4,975
|
Immuneering
Corp., Class A (a) |
707
|
7,169
|
ImmunityBio,
Inc. (a) |
4,306
|
11,971
|
ImmunoGen,
Inc. (a) |
8,422
|
158,923
|
Immunovant,
Inc. (a) |
1,880
|
35,664
|
Incyte
Corp. (a) |
2,246
|
139,813
|
Inhibrx,
Inc. (a) |
1,170
|
30,373
|
Inozyme
Pharma, Inc. (a) |
1,179
|
6,567
|
Insmed,
Inc. (a) |
4,646
|
98,031
|
Intellia
Therapeutics, Inc. (a) |
3,074
|
125,358
|
Intercept
Pharmaceuticals, Inc. (a) |
777
|
8,594
|
Ionis
Pharmaceuticals, Inc. (a) |
2,000
|
82,060
|
Iovance
Biotherapeutics, Inc. (a) |
7,249
|
51,033
|
Ironwood
Pharmaceuticals, Inc. (a) |
4,796
|
51,029
|
iTeos
Therapeutics, Inc. (a) |
734
|
9,718
|
IVERIC
bio, Inc. (a) |
4,798
|
188,753
|
Janux
Therapeutics, Inc. (a) |
862
|
10,232
|
KalVista
Pharmaceuticals, Inc. (a) |
772
|
6,948
|
Karuna
Therapeutics, Inc. (a) |
300
|
65,055
|
Karyopharm
Therapeutics, Inc. (a) |
3,946
|
7,063
|
Keros
Therapeutics, Inc. (a) |
784
|
31,501
|
Kezar
Life Sciences, Inc. (a) |
2,657
|
6,510
|
|
Number
of Shares |
Fair
Value |
Kiniksa
Pharmaceuticals Ltd., Class A (a) |
1,093
|
$
15,389 |
Kodiak
Sciences, Inc. (a) |
1,076
|
7,424
|
Krystal
Biotech, Inc. (a) |
744
|
87,346
|
Kura
Oncology, Inc. (a) |
2,125
|
22,482
|
Kymera
Therapeutics, Inc. (a) |
1,250
|
28,737
|
Larimar
Therapeutics, Inc. (a) |
894
|
2,798
|
Legend
Biotech Corp. ADR (a) |
800
|
55,224
|
Lexicon
Pharmaceuticals, Inc. (a) |
4,215
|
9,652
|
Lineage
Cell Therapeutics, Inc. (a) |
4,497
|
6,341
|
Lyell
Immunopharma, Inc. (a) |
5,533
|
17,595
|
MacroGenics,
Inc. (a) |
1,911
|
10,224
|
Madrigal
Pharmaceuticals, Inc. (a) |
475
|
109,725
|
MannKind
Corp. (a) |
8,980
|
36,549
|
MeiraGTx
Holdings PLC (a) |
1,671
|
11,229
|
Merrimack
Pharmaceuticals, Inc. (a) |
365
|
4,489
|
Mersana
Therapeutics, Inc. (a) |
3,293
|
10,834
|
MiMedx
Group, Inc. (a) |
3,969
|
26,235
|
Mineralys
Therapeutics, Inc. (a) |
526
|
8,968
|
Mirati
Therapeutics, Inc. (a) |
500
|
18,065
|
Mirum
Pharmaceuticals, Inc. (a) |
932
|
24,111
|
Moderna,
Inc. (a) |
4,108
|
499,122
|
Monte
Rosa Therapeutics, Inc. (a) |
1,484
|
10,165
|
Morphic
Holding, Inc. (a) |
1,060
|
60,770
|
Myriad
Genetics, Inc. (a) |
2,793
|
64,742
|
Natera,
Inc. (a) |
1,100
|
53,526
|
Neurocrine
Biosciences, Inc. (a) |
1,200
|
113,160
|
Nkarta,
Inc. (a) |
1,076
|
2,356
|
Novavax,
Inc. (a) |
3,034
|
22,543
|
Nurix
Therapeutics, Inc. (a) |
1,479
|
14,775
|
Nuvalent,
Inc., Class A (a) |
836
|
35,254
|
Nuvectis
Pharma, Inc. (a) |
239
|
3,817
|
Ocean
Biomedical, Inc. (a) |
304
|
1,827
|
Olema
Pharmaceuticals, Inc. (a) |
935
|
8,443
|
Omega
Therapeutics, Inc. (a) |
849
|
4,754
|
Organogenesis
Holdings, Inc. (a) |
2,288
|
7,596
|
ORIC
Pharmaceuticals, Inc. (a) |
1,360
|
10,554
|
Outlook
Therapeutics, Inc. (a) |
5,405
|
9,405
|
Ovid
therapeutics, Inc. (a) |
2,078
|
6,816
|
PDS
Biotechnology Corp. (a) |
974
|
4,899
|
PepGen,
Inc. (a) |
719
|
6,428
|
PMV
Pharmaceuticals, Inc. (a) |
1,238
|
7,750
|
Point
Biopharma Global, Inc. (a) |
3,084
|
27,941
|
Poseida
Therapeutics, Inc. (a) |
2,368
|
4,168
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
9
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Precigen,
Inc. (a) |
6,491
|
$
7,465 |
Prime
Medicine, Inc. (a) |
1,378
|
20,188
|
ProKidney
Corp. (a) |
2,150
|
24,058
|
Protagonist
Therapeutics, Inc. (a) |
1,889
|
52,174
|
Protalix
BioTherapeutics, Inc. (a) |
1,957
|
3,914
|
PTC
Therapeutics, Inc. (a) |
2,430
|
98,828
|
Rallybio
Corp. (a) |
1,065
|
6,028
|
RAPT
Therapeutics, Inc. (a) |
958
|
17,915
|
Recursion
Pharmaceuticals, Inc., Class A (a) |
4,830
|
36,080
|
Regeneron
Pharmaceuticals, Inc. (a) |
1,241
|
891,708
|
REGENXBIO,
Inc. (a) |
1,421
|
28,406
|
Relay
Therapeutics, Inc. (a) |
3,146
|
39,514
|
Reneo
Pharmaceuticals, Inc. (a) |
337
|
2,211
|
Replimune
Group, Inc. (a) |
1,419
|
32,949
|
REVOLUTION
Medicines, Inc. (a) |
3,534
|
94,534
|
Rhythm
Pharmaceuticals, Inc. (a) |
1,790
|
29,517
|
Rigel
Pharmaceuticals, Inc. (a) |
5,963
|
7,692
|
Rocket
Pharmaceuticals, Inc. (a) |
1,969
|
39,124
|
Roivant
Sciences Ltd. (a) |
2,100
|
21,168
|
Sage
Therapeutics, Inc. (a) |
1,842
|
86,611
|
Sana
Biotechnology, Inc. (a) |
3,187
|
18,995
|
Sangamo
Therapeutics, Inc. (a) |
6,601
|
8,581
|
Sarepta
Therapeutics, Inc. (a) |
1,000
|
114,520
|
Savara,
Inc. (a) |
2,657
|
8,489
|
Scholar
Rock Holding Corp. (a) |
988
|
7,450
|
Seagen,
Inc. (a) |
1,700
|
327,182
|
Selecta
Biosciences, Inc. (a) |
4,047
|
4,533
|
Seres
Therapeutics, Inc. (a) |
3,390
|
16,238
|
SpringWorks
Therapeutics, Inc. (a) |
2,030
|
53,227
|
Stoke
Therapeutics, Inc. (a) |
1,137
|
12,086
|
Summit
Therapeutics, Inc. (a) |
4,038
|
10,135
|
Sutro
Biopharma, Inc. (a) |
2,642
|
12,285
|
Syndax
Pharmaceuticals, Inc. (a) |
2,296
|
48,055
|
Tango
Therapeutics, Inc. (a) |
2,348
|
7,795
|
Tenaya
Therapeutics, Inc. (a) |
1,595
|
9,363
|
TG
Therapeutics, Inc. (a) |
4,781
|
118,760
|
Travere
Therapeutics, Inc. (a) |
2,538
|
38,984
|
Twist
Bioscience Corp. (a) |
2,027
|
41,472
|
Tyra
Biosciences, Inc. (a) |
664
|
11,308
|
Ultragenyx
Pharmaceutical, Inc. (a) |
700
|
32,291
|
United
Therapeutics Corp. (a) |
611
|
134,878
|
UroGen
Pharma Ltd. (a) |
682
|
7,059
|
Vanda
Pharmaceuticals, Inc. (a) |
1,758
|
11,585
|
|
Number
of Shares |
Fair
Value |
Vaxcyte,
Inc. (a) |
3,204
|
$
160,008 |
Vaxxinity,
Inc., Class A (a) |
1,485
|
3,742
|
Vera
Therapeutics, Inc. (a) |
1,114
|
17,880
|
Veracyte,
Inc. (a) |
2,503
|
63,751
|
Vericel
Corp. (a) |
1,649
|
61,953
|
Vertex
Pharmaceuticals, Inc. (a) |
3,081
|
1,084,235
|
Verve
Therapeutics, Inc. (a) |
1,768
|
33,150
|
Vigil
Neuroscience, Inc. (a) |
560
|
5,264
|
Viking
Therapeutics, Inc. (a) |
3,350
|
54,303
|
Vir
Biotechnology, Inc. (a) |
2,918
|
71,579
|
Viridian
Therapeutics, Inc. (a) |
1,470
|
34,971
|
Vor
BioPharma, Inc. (a) |
1,313
|
4,057
|
Voyager
Therapeutics, Inc. (a) |
1,107
|
12,675
|
X4
Pharmaceuticals, Inc. (a) |
4,290
|
8,323
|
Xencor,
Inc. (a) |
2,006
|
50,090
|
XOMA
Corp. (a) |
255
|
4,817
|
Y-mAbs
Therapeutics, Inc. (a) |
1,239
|
8,413
|
Zentalis
Pharmaceuticals, Inc. (a) |
1,654
|
46,659
|
Zymeworks,
Inc. (a) |
1,860
|
16,070
|
|
|
18,129,792
|
Brewers
- 0.0%* |
Boston
Beer Co., Inc., Class A (a) |
114
|
35,162
|
Molson
Coors Beverage Co., Class B |
2,200
|
144,848
|
|
|
180,010
|
Broadcasting
- 0.0%* |
AMC
Networks, Inc., Class A (a) |
977
|
11,675
|
Entravision
Communications Corp., Class A |
1,876
|
8,236
|
EW
Scripps Co., Class A (a) |
1,887
|
17,266
|
Fox
Corp., Class A |
3,800
|
129,200
|
Fox
Corp., Class B |
1,200
|
38,268
|
Gray
Television, Inc. |
2,672
|
21,055
|
iHeartMedia,
Inc., Class A (a) |
3,860
|
14,050
|
Nexstar
Media Group, Inc. |
424
|
70,617
|
Paramount
Global, Class B |
6,904
|
109,843
|
Sinclair,
Inc. |
1,311
|
18,118
|
TEGNA,
Inc. |
7,844
|
127,387
|
Townsquare
Media, Inc., Class A |
407
|
4,847
|
Urban
One, Inc. (a) |
814
|
4,883
|
|
|
575,445
|
Broadline
Retail - 1.1% |
Amazon.com,
Inc. (a) |
107,020
|
13,951,127
|
Big
Lots, Inc. |
1,310
|
11,567
|
ContextLogic,
Inc., Class A (a) |
956
|
6,291
|
Dillard's,
Inc., Class A |
126
|
41,111
|
eBay,
Inc. |
6,848
|
306,037
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
10
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Etsy,
Inc. (a) |
1,591
|
$
134,615 |
Kohl's
Corp. |
1,200
|
27,660
|
Macy's,
Inc. |
3,000
|
48,150
|
Nordstrom,
Inc. |
500
|
10,235
|
Ollie's
Bargain Outlet Holdings, Inc. (a) |
800
|
46,344
|
|
|
14,583,137
|
Building
Products - 0.3% |
A
O Smith Corp. |
1,406
|
102,329
|
AAON,
Inc. |
1,575
|
149,326
|
Advanced
Drainage Systems, Inc. |
700
|
79,646
|
Allegion
PLC |
1,156
|
138,743
|
American
Woodmark Corp. (a) |
588
|
44,906
|
Apogee
Enterprises, Inc. |
731
|
34,701
|
Armstrong
World Industries, Inc. |
500
|
36,730
|
AZEK
Co., Inc. (a) |
1,400
|
42,406
|
AZZ,
Inc. |
868
|
37,723
|
Builders
FirstSource, Inc. (a) |
1,700
|
231,200
|
Carlisle
Cos., Inc. |
580
|
148,787
|
Carrier
Global Corp. |
9,692
|
481,789
|
CSW
Industrials, Inc. |
537
|
89,244
|
Fortune
Brands Innovations, Inc. |
1,435
|
103,248
|
Gibraltar
Industries, Inc. (a) |
1,086
|
68,331
|
Griffon
Corp. |
1,534
|
61,820
|
Insteel
Industries, Inc. |
603
|
18,765
|
Janus
International Group, Inc. (a) |
2,961
|
31,564
|
JELD-WEN
Holding, Inc. (a) |
2,943
|
51,620
|
Johnson
Controls International PLC |
7,895
|
537,965
|
Lennox
International, Inc. |
400
|
130,428
|
Masco
Corp. |
2,800
|
160,664
|
Masonite
International Corp. (a) |
775
|
79,391
|
Masterbrand,
Inc. (a) |
4,523
|
52,603
|
Owens
Corning |
1,199
|
156,470
|
PGT
Innovations, Inc. (a) |
2,020
|
58,883
|
Quanex
Building Products Corp. |
1,185
|
31,817
|
Resideo
Technologies, Inc. (a) |
5,107
|
90,190
|
Simpson
Manufacturing Co., Inc. |
1,499
|
207,612
|
Trane
Technologies PLC |
2,813
|
538,014
|
Trex
Co., Inc. (a) |
1,396
|
91,522
|
UFP
Industries, Inc. |
2,095
|
203,320
|
Zurn
Elkay Water Solutions Corp., Class C |
5,160
|
138,752
|
|
|
4,430,509
|
Cable
& Satellite - 0.2% |
Cable
One, Inc. |
64
|
42,053
|
|
Number
of Shares |
Fair
Value |
Charter
Communications, Inc., Class A (a) |
1,223
|
$
449,293 |
Comcast
Corp., Class A |
49,189
|
2,043,803
|
Liberty
Broadband Corp., Class C (a) |
1,500
|
120,165
|
Liberty
Media Corp.-Liberty SiriusXM, Class A (a) |
1,200
|
39,372
|
Liberty
Media Corp.-Liberty SiriusXM, Class C (a) |
1,497
|
48,997
|
Sirius
XM Holdings, Inc. |
7,300
|
33,069
|
WideOpenWest,
Inc. (a) |
1,734
|
14,635
|
|
|
2,791,387
|
Cargo
Ground Transportation - 0.1% |
ArcBest
Corp. |
843
|
83,288
|
Covenant
Logistics Group, Inc. |
292
|
12,798
|
Daseke,
Inc. (a) |
1,887
|
13,454
|
Heartland
Express, Inc. |
1,526
|
25,042
|
JB
Hunt Transport Services, Inc. |
1,054
|
190,806
|
Knight-Swift
Transportation Holdings, Inc. |
2,022
|
112,342
|
Landstar
System, Inc. |
444
|
85,488
|
Marten
Transport Ltd. |
2,056
|
44,204
|
Old
Dominion Freight Line, Inc. |
1,184
|
437,784
|
PAM
Transportation Services, Inc. (a) |
233
|
6,237
|
RXO,
Inc. (a) |
4,052
|
91,859
|
Ryder
System, Inc. |
594
|
50,365
|
Saia,
Inc. (a) |
237
|
81,151
|
TuSimple
Holdings, Inc., Class A (a) |
7,095
|
11,778
|
U.S.
Xpress Enterprises, Inc., Class A (a) |
1,078
|
6,619
|
U-Haul
Holding Co. |
747
|
37,851
|
Universal
Logistics Holdings, Inc. |
360
|
10,372
|
Werner
Enterprises, Inc. |
2,172
|
95,959
|
XPO,
Inc. (a) |
1,200
|
70,800
|
|
|
1,468,197
|
Casinos
& Gaming - 0.1% |
Accel
Entertainment, Inc. (a) |
1,798
|
18,987
|
Bally's
Corp. (a) |
1,166
|
18,143
|
Boyd
Gaming Corp. |
900
|
62,433
|
Caesars
Entertainment, Inc. (a) |
2,359
|
120,238
|
Century
Casinos, Inc. (a) |
1,371
|
9,734
|
Churchill
Downs, Inc. |
800
|
111,336
|
DraftKings,
Inc., Class A (a) |
4,500
|
119,565
|
Everi
Holdings, Inc. (a) |
3,061
|
44,262
|
Full
House Resorts, Inc. (a) |
1,622
|
10,867
|
Golden
Entertainment, Inc. (a) |
660
|
27,588
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
11
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Inspired
Entertainment, Inc. (a) |
756
|
$
11,121 |
International
Game Technology PLC |
3,786
|
120,735
|
Las
Vegas Sands Corp. (a) |
4,159
|
241,222
|
Light
& Wonder, Inc. (a) |
3,185
|
219,001
|
MGM
Resorts International |
3,900
|
171,288
|
Monarch
Casino & Resort, Inc. |
471
|
33,182
|
Penn
Entertainment, Inc. (a) |
1,700
|
40,851
|
PlayAGS,
Inc. (a) |
1,287
|
7,272
|
Red
Rock Resorts, Inc., Class A |
1,740
|
81,397
|
Rush
Street Interactive, Inc. (a) |
3,062
|
9,553
|
Wynn
Resorts Ltd. |
1,370
|
144,686
|
|
|
1,623,461
|
Coal
& Consumable Fuels - 0.0%* |
Arch
Resources, Inc. |
638
|
71,941
|
Centrus
Energy Corp., Class A (a) |
490
|
15,954
|
CONSOL
Energy, Inc. |
1,195
|
81,033
|
Energy
Fuels, Inc. (a) |
5,571
|
34,763
|
Enviva,
Inc. |
1,091
|
11,837
|
Hallador
Energy Co. (a) |
796
|
6,822
|
NACCO
Industries, Inc., Class A |
210
|
7,279
|
Peabody
Energy Corp. |
4,345
|
94,113
|
Uranium
Energy Corp. (a) |
12,731
|
43,285
|
|
|
367,027
|
Commercial
& Residential Mortgage Finance - 0.1% |
Enact
Holdings, Inc. |
981
|
24,652
|
Essent
Group Ltd. |
3,705
|
173,394
|
Federal
Agricultural Mortgage Corp., Class C |
321
|
46,141
|
Finance
of America Cos., Inc., Class A (a) |
887
|
1,694
|
Merchants
Bancorp |
501
|
12,816
|
MGIC
Investment Corp. |
3,500
|
55,265
|
Mr
Cooper Group, Inc. (a) |
2,324
|
117,687
|
NMI
Holdings, Inc., Class A (a) |
2,862
|
73,897
|
Ocwen
Financial Corp. (a) |
224
|
6,713
|
PennyMac
Financial Services, Inc. |
936
|
65,810
|
Radian
Group, Inc. |
5,442
|
137,574
|
Security
National Financial Corp., Class A (a) |
415
|
3,681
|
Velocity
Financial, Inc. (a) |
218
|
2,514
|
Walker
& Dunlop, Inc. |
1,109
|
87,711
|
Waterstone
Financial, Inc. |
919
|
13,316
|
|
|
822,865
|
Commercial
Printing - 0.0%* |
Deluxe
Corp. |
1,410
|
24,647
|
|
Number
of Shares |
Fair
Value |
Ennis,
Inc. |
820
|
$
16,711 |
Quad/Graphics,
Inc. (a) |
943
|
3,546
|
|
|
44,904
|
Commodity
Chemicals - 0.1% |
AdvanSix,
Inc. |
881
|
30,817
|
Cabot
Corp. |
1,918
|
128,295
|
Core
Molding Technologies, Inc. (a) |
270
|
6,143
|
Dow,
Inc. |
7,986
|
425,334
|
Hawkins,
Inc. |
692
|
33,002
|
Koppers
Holdings, Inc. |
662
|
22,574
|
Kronos
Worldwide, Inc. |
1,114
|
9,725
|
LyondellBasell
Industries NV, Class A |
3,134
|
287,795
|
Mativ
Holdings, Inc. |
1,798
|
27,186
|
Olin
Corp. |
1,390
|
71,432
|
Origin
Materials, Inc. (a) |
3,346
|
14,254
|
PureCycle
Technologies, Inc. (a) |
4,049
|
43,284
|
Trinseo
PLC |
1,143
|
14,482
|
Tronox
Holdings PLC |
4,117
|
52,327
|
Westlake
Corp. |
500
|
59,735
|
|
|
1,226,385
|
Communications
Equipment - 0.3% |
ADTRAN
Holdings, Inc. |
2,730
|
28,747
|
Arista
Networks, Inc. (a) |
3,053
|
494,769
|
Aviat
Networks, Inc. (a) |
355
|
11,846
|
Calix,
Inc. (a) |
2,056
|
102,615
|
Cambium
Networks Corp. (a) |
575
|
8,751
|
Ciena
Corp. (a) |
1,879
|
79,839
|
Cisco
Systems, Inc. |
48,956
|
2,532,983
|
Clearfield,
Inc. (a) |
476
|
22,539
|
CommScope
Holding Co., Inc. (a) |
7,252
|
40,829
|
Comtech
Telecommunications Corp. |
1,246
|
11,388
|
Digi
International, Inc. (a) |
1,230
|
48,450
|
DZS,
Inc. (a) |
1,034
|
4,105
|
Extreme
Networks, Inc. (a) |
4,395
|
114,490
|
F5,
Inc. (a) |
700
|
102,382
|
Harmonic,
Inc. (a) |
3,839
|
62,077
|
Infinera
Corp. (a) |
6,953
|
33,583
|
Juniper
Networks, Inc. |
4,155
|
130,176
|
KVH
Industries, Inc. (a) |
654
|
5,977
|
Lumentum
Holdings, Inc. (a) |
800
|
45,384
|
Motorola
Solutions, Inc. |
2,029
|
595,065
|
NETGEAR,
Inc. (a) |
912
|
12,914
|
NetScout
Systems, Inc. (a) |
2,364
|
73,166
|
Ribbon
Communications, Inc. (a) |
3,535
|
9,863
|
Viasat,
Inc. (a) |
700
|
28,882
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
12
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Viavi
Solutions, Inc. (a) |
7,823
|
$
88,635 |
|
|
4,689,455
|
Computer
& Electronics Retail - 0.0%* |
Best
Buy Co., Inc. |
2,538
|
207,989
|
GameStop
Corp., Class A (a) |
3,700
|
89,725
|
Upbound
Group, Inc. |
1,922
|
59,832
|
|
|
357,546
|
Construction
& Engineering - 0.2% |
AECOM
|
1,600
|
135,504
|
Ameresco,
Inc., Class A (a) |
1,119
|
54,417
|
API
Group Corp. (a) |
7,358
|
200,579
|
Arcosa,
Inc. |
1,706
|
129,264
|
Argan,
Inc. |
412
|
16,237
|
Bowman
Consulting Group Ltd. (a) |
350
|
11,158
|
Comfort
Systems USA, Inc. |
1,241
|
203,772
|
Concrete
Pumping Holdings, Inc. (a) |
1,296
|
10,407
|
Construction
Partners, Inc., Class A (a) |
1,408
|
44,197
|
Dycom
Industries, Inc. (a) |
1,018
|
115,696
|
EMCOR
Group, Inc. |
400
|
73,912
|
Fluor
Corp. (a) |
4,992
|
147,763
|
Granite
Construction, Inc. |
1,546
|
61,500
|
Great
Lakes Dredge & Dock Corp. (a) |
2,065
|
16,850
|
IES
Holdings, Inc. (a) |
269
|
15,301
|
INNOVATE
Corp. (a) |
1,600
|
2,800
|
Limbach
Holdings, Inc. (a) |
321
|
7,938
|
MasTec,
Inc. (a) |
800
|
94,376
|
MDU
Resources Group, Inc. |
2,200
|
46,068
|
MYR
Group, Inc. (a) |
571
|
78,992
|
Northwest
Pipe Co. (a) |
453
|
13,699
|
Primoris
Services Corp. |
1,866
|
56,857
|
Quanta
Services, Inc. |
1,738
|
341,430
|
Sterling
Infrastructure, Inc. (a) |
1,030
|
57,474
|
Tutor
Perini Corp. (a) |
2,057
|
14,708
|
Valmont
Industries, Inc. |
239
|
69,561
|
WillScot
Mobile Mini Holdings Corp. (a) |
2,500
|
119,475
|
|
|
2,139,935
|
Construction
Machinery & Heavy Transportation Equipment - 0.3% |
Alamo
Group, Inc. |
351
|
64,552
|
Allison
Transmission Holdings, Inc. |
1,100
|
62,106
|
Astec
Industries, Inc. |
817
|
37,124
|
Blue
Bird Corp. (a) |
548
|
12,319
|
Caterpillar,
Inc. |
6,115
|
1,504,596
|
Commercial
Vehicle Group, Inc. (a) |
1,119
|
12,421
|
Cummins,
Inc. |
1,758
|
430,991
|
|
Number
of Shares |
Fair
Value |
Douglas
Dynamics, Inc. |
732
|
$
21,872 |
Federal
Signal Corp. |
2,103
|
134,655
|
Greenbrier
Cos., Inc. |
1,125
|
48,487
|
Hyliion
Holdings Corp. (a) |
5,974
|
9,977
|
Manitowoc
Co., Inc. (a) |
1,119
|
21,071
|
Microvast
Holdings, Inc. (a) |
3,663
|
5,861
|
Miller
Industries, Inc. |
352
|
12,485
|
Nikola
Corp. (a) |
20,690
|
28,552
|
Oshkosh
Corp. |
900
|
77,931
|
PACCAR,
Inc. |
6,305
|
527,413
|
Proterra,
Inc. (a) |
10,104
|
12,125
|
REV
Group, Inc. |
1,041
|
13,804
|
Shyft
Group, Inc. |
1,129
|
24,906
|
Terex
Corp. |
2,347
|
140,421
|
Trinity
Industries, Inc. |
2,867
|
73,711
|
Wabash
National Corp. |
1,690
|
43,332
|
Westinghouse
Air Brake Technologies Corp. |
2,241
|
245,770
|
|
|
3,566,482
|
Construction
Materials - 0.1% |
Eagle
Materials, Inc. |
400
|
74,568
|
Holcim
AG (a) |
8,412
|
567,283
|
James
Hardie Industries PLC (a) |
6,608
|
176,142
|
Knife
River Corp. (a) |
1,776
|
77,256
|
Martin
Marietta Materials, Inc. |
767
|
354,116
|
Summit
Materials, Inc., Class A (a) |
4,181
|
158,251
|
U.S.
Lime & Minerals, Inc. |
63
|
13,160
|
Vulcan
Materials Co. |
1,631
|
367,693
|
|
|
1,788,469
|
Consumer
Electronics - 0.0%* |
Garmin
Ltd. |
1,848
|
192,728
|
GoPro,
Inc., Class A (a) |
4,189
|
17,343
|
Snap
One Holdings Corp. (a) |
920
|
10,718
|
Sonos,
Inc. (a) |
4,386
|
71,623
|
Vizio
Holding Corp., Class A (a) |
2,643
|
17,840
|
VOXX
International Corp. (a) |
484
|
6,040
|
|
|
316,292
|
Consumer
Finance - 0.2% |
Ally
Financial, Inc. |
3,427
|
92,563
|
American
Express Co. |
7,057
|
1,229,329
|
Atlanticus
Holdings Corp. (a) |
130
|
5,461
|
Bread
Financial Holdings, Inc. |
1,760
|
55,246
|
Capital
One Financial Corp. |
4,310
|
471,385
|
Consumer
Portfolio Services, Inc. (a) |
417
|
4,866
|
Credit
Acceptance Corp. (a) |
81
|
41,142
|
Discover
Financial Services |
3,075
|
359,314
|
Encore
Capital Group, Inc. (a) |
825
|
40,111
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
13
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Enova
International, Inc. (a) |
1,083
|
$
57,529 |
FirstCash
Holdings, Inc. |
1,302
|
121,516
|
Green
Dot Corp., Class A (a) |
1,539
|
28,841
|
LendingClub
Corp. (a) |
3,770
|
36,758
|
LendingTree,
Inc. (a) |
490
|
10,834
|
Navient
Corp. |
3,227
|
59,958
|
Nelnet,
Inc., Class A |
512
|
49,398
|
NerdWallet,
Inc., Class A (a) |
1,193
|
11,226
|
OneMain
Holdings, Inc. |
1,500
|
65,535
|
PRA
Group, Inc. (a) |
1,279
|
29,225
|
PROG
Holdings, Inc. (a) |
1,615
|
51,874
|
Regional
Management Corp. |
380
|
11,590
|
SLM
Corp. |
3,000
|
48,960
|
SoFi
Technologies, Inc. (a) |
11,400
|
95,076
|
Synchrony
Financial |
5,442
|
184,593
|
Upstart
Holdings, Inc. (a) |
2,513
|
89,991
|
World
Acceptance Corp. (a) |
130
|
17,421
|
|
|
3,269,742
|
Consumer
Staples Merchandise Retail - 0.5% |
BJ's
Wholesale Club Holdings, Inc. (a) |
1,700
|
107,117
|
Costco
Wholesale Corp. |
5,275
|
2,839,954
|
Dollar
General Corp. |
2,637
|
447,710
|
Dollar
Tree, Inc. (a) |
2,326
|
333,781
|
PriceSmart,
Inc. |
896
|
66,358
|
Target
Corp. |
5,374
|
708,831
|
Walmart,
Inc. |
16,908
|
2,657,599
|
|
|
7,161,350
|
Copper
- 0.0%* |
Freeport-McMoRan,
Inc. |
16,498
|
659,920
|
Data
Center REITs - 0.1% |
Digital
Realty Trust, Inc. |
3,321
|
378,162
|
Equinix,
Inc. |
1,118
|
876,445
|
|
|
1,254,607
|
Data
Processing & Outsourced Services - 0.1% |
Broadridge
Financial Solutions, Inc. |
1,447
|
239,667
|
Concentrix
Corp. |
452
|
36,499
|
Conduent,
Inc. (a) |
5,498
|
18,693
|
CSG
Systems International, Inc. |
1,090
|
57,487
|
ExlService
Holdings, Inc. (a) |
1,135
|
171,453
|
Genpact
Ltd. |
2,200
|
82,654
|
IBEX
Holdings Ltd. (a) |
428
|
9,086
|
Maximus,
Inc. |
2,122
|
179,330
|
SS&C
Technologies Holdings, Inc. |
2,800
|
169,680
|
TTEC
Holdings, Inc. |
680
|
23,011
|
Verra
Mobility Corp. (a) |
4,875
|
96,135
|
|
|
1,083,695
|
|
Number
of Shares |
Fair
Value |
Distillers
& Vintners - 0.1% |
Brown-Forman
Corp., Class B |
2,335
|
$
155,931 |
Brown-Forman
Corp., Class A |
600
|
40,842
|
Constellation
Brands, Inc., Class A |
1,708
|
420,390
|
Duckhorn
Portfolio, Inc. (a) |
1,536
|
19,922
|
MGP
Ingredients, Inc. |
553
|
58,773
|
|
|
695,858
|
Distributors
- 0.0%* |
Genuine
Parts Co. |
1,700
|
287,691
|
LKQ
Corp. |
3,146
|
183,317
|
Pool
Corp. |
423
|
158,473
|
Weyco
Group, Inc. |
307
|
8,194
|
|
|
637,675
|
Diversified
Banks - 0.9% |
Bank
of America Corp. |
82,551
|
2,368,388
|
Citigroup,
Inc. |
22,752
|
1,047,502
|
JPMorgan
Chase & Co. |
34,741
|
5,052,731
|
KeyCorp
|
11,751
|
108,579
|
PNC
Financial Services Group, Inc. |
4,615
|
581,260
|
U.S.
Bancorp |
17,500
|
578,200
|
Wells
Fargo & Co. |
45,159
|
1,927,386
|
|
|
11,664,046
|
Diversified
Capital Markets - 0.0%* |
Forge
Global Holdings, Inc. (a) |
3,829
|
9,304
|
Diversified
Chemicals - 0.0%* |
Chemours
Co. |
2,100
|
77,469
|
Huntsman
Corp. |
1,911
|
51,635
|
LSB
Industries, Inc. (a) |
1,916
|
18,873
|
|
|
147,977
|
Diversified
Financial Services - 0.1% |
Alerus
Financial Corp. |
744
|
13,377
|
Apollo
Global Management, Inc. |
5,854
|
449,646
|
Equitable
Holdings, Inc. |
4,700
|
127,652
|
Jackson
Financial, Inc., Class A |
2,838
|
86,871
|
NewtekOne,
Inc. |
812
|
12,911
|
Voya
Financial, Inc. |
1,100
|
78,881
|
|
|
769,338
|
Diversified
Metals & Mining - 0.0%* |
5E
Advanced Materials, Inc. (a) |
1,943
|
6,373
|
Compass
Minerals International, Inc. |
1,220
|
41,480
|
Contango
ORE, Inc. (a) |
130
|
3,312
|
Ferroglobe
PLC (a)(c)** |
1,316
|
—
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
14
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Ivanhoe
Electric, Inc. (a) |
1,945
|
$
25,363 |
Materion
Corp. |
711
|
81,196
|
MP
Materials Corp. (a) |
800
|
18,304
|
Piedmont
Lithium, Inc. (a) |
619
|
35,723
|
|
|
211,751
|
Diversified
Real Estate Activities - 0.0%* |
RMR
Group, Inc., Class A |
485
|
11,238
|
St.
Joe Co. |
1,209
|
58,443
|
Tejon
Ranch Co. (a) |
658
|
11,324
|
|
|
81,005
|
Diversified
REITs - 0.0%* |
Alexander
& Baldwin, Inc. |
2,551
|
47,398
|
Alpine
Income Property Trust, Inc. |
454
|
7,378
|
American
Assets Trust, Inc. |
1,621
|
31,123
|
Armada
Hoffler Properties, Inc. |
2,197
|
25,661
|
Broadstone
Net Lease, Inc. |
6,556
|
101,225
|
CTO
Realty Growth, Inc. |
959
|
16,437
|
Empire
State Realty Trust, Inc., Class A |
4,359
|
32,649
|
Essential
Properties Realty Trust, Inc. |
5,189
|
122,149
|
Gladstone
Commercial Corp. |
1,258
|
15,562
|
Global
Net Lease, Inc. |
3,723
|
38,272
|
NexPoint
Diversified Real Estate Trust |
1,070
|
13,396
|
One
Liberty Properties, Inc. |
516
|
10,485
|
Star
Holdings (a) |
599
|
8,787
|
WP
Carey, Inc. |
2,531
|
170,994
|
|
|
641,516
|
Diversified
Support Services - 0.1% |
ACV
Auctions, Inc., Class A (a) |
4,430
|
76,506
|
Aurora
Innovation, Inc. (a) |
10,599
|
31,161
|
Cintas
Corp. |
1,043
|
518,454
|
Copart,
Inc. (a) |
5,248
|
478,670
|
Healthcare
Services Group, Inc. |
2,650
|
39,565
|
Liquidity
Services, Inc. (a) |
1,062
|
17,523
|
Matthews
International Corp., Class A |
1,057
|
45,049
|
OPENLANE,
Inc. (a) |
3,775
|
57,455
|
Performant
Financial Corp. (a) |
2,345
|
6,332
|
UniFirst
Corp. |
513
|
79,520
|
Viad
Corp. (a) |
644
|
17,311
|
VSE
Corp. |
340
|
18,595
|
|
|
1,386,141
|
Drug
Retail - 0.0%* |
Walgreens
Boots Alliance, Inc. |
8,976
|
255,726
|
|
Number
of Shares |
Fair
Value |
Education
Services - 0.1% |
2U,
Inc. (a) |
2,439
|
$
9,829 |
Adtalem
Global Education, Inc. (a) |
1,565
|
53,742
|
Bright
Horizons Family Solutions, Inc. (a) |
491
|
45,393
|
Chegg,
Inc. (a) |
4,147
|
36,825
|
Coursera,
Inc. (a) |
4,539
|
59,098
|
Duolingo,
Inc. (a) |
1,000
|
142,940
|
Graham
Holdings Co., Class B |
128
|
73,149
|
Grand
Canyon Education, Inc. (a) |
300
|
30,963
|
Laureate
Education, Inc. |
4,698
|
56,799
|
Lincoln
Educational Services Corp. (a) |
825
|
5,561
|
Nerdy,
Inc. (a) |
2,782
|
11,601
|
Perdoceo
Education Corp. (a) |
2,210
|
27,117
|
Strategic
Education, Inc. |
792
|
53,729
|
Stride,
Inc. (a) |
1,467
|
54,616
|
Udemy,
Inc. (a) |
2,990
|
32,083
|
Universal
Technical Institute, Inc. (a) |
1,648
|
11,388
|
|
|
704,833
|
Electric
Utilities - 0.6% |
ALLETE,
Inc. |
2,023
|
117,273
|
Alliant
Energy Corp. |
3,156
|
165,627
|
American
Electric Power Company, Inc. |
5,888
|
495,770
|
Avangrid,
Inc. |
898
|
33,837
|
Constellation
Energy Corp. |
3,807
|
348,531
|
Duke
Energy Corp. |
8,988
|
806,583
|
Edison
International |
4,711
|
327,179
|
Entergy
Corp. |
2,584
|
251,604
|
Evergy,
Inc. |
2,787
|
162,817
|
Eversource
Energy |
4,314
|
305,949
|
Exelon
Corp. |
11,388
|
463,947
|
FirstEnergy
Corp. |
6,828
|
265,473
|
Genie
Energy Ltd., Class B |
689
|
9,742
|
Hawaiian
Electric Industries, Inc. |
1,100
|
39,820
|
IDACORP,
Inc. |
700
|
71,820
|
MGE
Energy, Inc. |
1,289
|
101,973
|
NextEra
Energy, Inc. |
23,757
|
1,762,769
|
NRG
Energy, Inc. |
2,461
|
92,017
|
OGE
Energy Corp. |
2,650
|
95,161
|
Otter
Tail Corp. |
1,445
|
114,097
|
PG&E
Corp. (a) |
20,500
|
354,240
|
Pinnacle
West Capital Corp. |
1,484
|
120,887
|
PNM
Resources, Inc. |
3,001
|
135,345
|
Portland
General Electric Co. |
3,387
|
158,613
|
PPL
Corp. |
9,200
|
243,432
|
Southern
Co. |
12,785
|
898,146
|
Xcel
Energy, Inc. |
6,773
|
421,077
|
|
|
8,363,729
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
15
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Electrical
Components & Equipment - 0.4% |
Acuity
Brands, Inc. |
400
|
$
65,232 |
Allied
Motion Technologies, Inc. |
485
|
19,371
|
AMETEK,
Inc. |
2,827
|
457,635
|
Array
Technologies, Inc. (a) |
5,220
|
117,972
|
Atkore,
Inc. (a) |
1,380
|
215,197
|
Blink
Charging Co. (a) |
1,834
|
10,986
|
ChargePoint
Holdings, Inc. (a) |
2,400
|
21,096
|
Eaton
Corp. PLC |
4,618
|
928,680
|
Emerson
Electric Co. |
6,529
|
590,156
|
Encore
Wire Corp. |
584
|
108,583
|
EnerSys
|
1,439
|
156,160
|
Enovix
Corp. (a) |
4,773
|
86,105
|
Eos
Energy Enterprises, Inc. (a) |
3,750
|
16,275
|
ESS
Tech, Inc. (a) |
2,528
|
3,716
|
Fluence
Energy, Inc. (a) |
1,314
|
35,005
|
FTC
Solar, Inc. (a) |
2,225
|
7,165
|
FuelCell
Energy, Inc. (a) |
14,617
|
31,573
|
Generac
Holdings, Inc. (a) |
798
|
119,006
|
GrafTech
International Ltd. |
6,383
|
32,170
|
Hubbell,
Inc. |
600
|
198,936
|
LSI
Industries, Inc. |
912
|
11,455
|
NEXTracker,
Inc., Class A (a) |
1,088
|
43,313
|
nVent
Electric PLC |
2,100
|
108,507
|
Plug
Power, Inc. (a) |
7,200
|
74,808
|
Powell
Industries, Inc. |
289
|
17,511
|
Preformed
Line Products Co. |
78
|
12,176
|
Regal
Rexnord Corp. |
867
|
133,431
|
Rockwell
Automation, Inc. |
1,422
|
468,478
|
Schneider
Electric SE |
8,218
|
1,492,745
|
Sensata
Technologies Holding PLC |
1,800
|
80,982
|
SES
AI Corp. (a) |
4,351
|
10,616
|
Shoals
Technologies Group, Inc., Class A (a) |
5,979
|
152,823
|
SKYX
Platforms Corp. (a) |
1,981
|
5,269
|
Stem,
Inc. (a) |
4,705
|
26,913
|
SunPower
Corp. (a) |
3,044
|
29,831
|
Sunrun,
Inc. (a) |
2,300
|
41,078
|
Thermon
Group Holdings, Inc. (a) |
1,170
|
31,122
|
Vertiv
Holdings Co. |
3,500
|
86,695
|
Vicor
Corp. (a) |
777
|
41,958
|
|
|
6,090,730
|
Electronic
Components - 0.1% |
Akoustis
Technologies, Inc. (a) |
3,351
|
10,656
|
Amphenol
Corp., Class A |
6,699
|
569,080
|
Bel
Fuse, Inc., Class B |
365
|
20,955
|
Belden,
Inc. |
1,469
|
140,510
|
Coherent
Corp. (a) |
1,373
|
69,995
|
Corning,
Inc. |
9,217
|
322,964
|
|
Number
of Shares |
Fair
Value |
Knowles
Corp. (a) |
3,143
|
$
56,763 |
Lightwave
Logic, Inc. (a) |
4,024
|
28,047
|
Littelfuse,
Inc. |
300
|
87,393
|
Rogers
Corp. (a) |
604
|
97,806
|
Vishay
Intertechnology, Inc. |
4,560
|
134,064
|
|
|
1,538,233
|
Electronic
Equipment & Instruments - 0.2% |
908
Devices, Inc. (a) |
724
|
4,967
|
Advanced
Energy Industries, Inc. |
1,300
|
144,885
|
Aeva
Technologies, Inc. (a) |
3,153
|
3,941
|
Arlo
Technologies, Inc. (a) |
3,094
|
33,755
|
Badger
Meter, Inc. |
1,030
|
151,987
|
Cognex
Corp. |
2,200
|
123,244
|
Daktronics,
Inc. (a) |
1,361
|
8,710
|
Evolv
Technologies Holdings, Inc. (a) |
4,131
|
24,786
|
FARO
Technologies, Inc. (a) |
603
|
9,769
|
Iteris,
Inc. (a) |
1,489
|
5,896
|
Itron,
Inc. (a) |
1,590
|
114,639
|
Keysight
Technologies, Inc. (a) |
1,973
|
330,379
|
Luna
Innovations, Inc. (a) |
1,119
|
10,205
|
MicroVision,
Inc. (a) |
5,922
|
27,123
|
Mirion
Technologies, Inc. (a) |
6,985
|
59,023
|
Napco
Security Technologies, Inc. |
1,111
|
38,496
|
National
Instruments Corp. |
1,700
|
97,580
|
nLight,
Inc. (a) |
1,414
|
21,804
|
Novanta,
Inc. (a) |
1,253
|
230,677
|
OSI
Systems, Inc. (a) |
558
|
65,749
|
PAR
Technology Corp. (a) |
949
|
31,251
|
SmartRent,
Inc. (a) |
6,423
|
24,600
|
Teledyne
Technologies, Inc. (a) |
505
|
207,611
|
Tingo
Group, Inc. (a) |
4,255
|
5,149
|
Trimble,
Inc. (a) |
3,132
|
165,808
|
Vishay
Precision Group, Inc. (a) |
400
|
14,860
|
Vontier
Corp. |
1,699
|
54,725
|
Vuzix
Corp. (a) |
2,057
|
10,491
|
Zebra
Technologies Corp., Class A (a) |
659
|
194,952
|
|
|
2,217,062
|
Electronic
Manufacturing Services - 0.0%* |
Benchmark
Electronics, Inc. |
1,238
|
31,978
|
CTS
Corp. |
1,116
|
47,575
|
IPG
Photonics Corp. (a) |
500
|
67,910
|
Jabil,
Inc. |
1,614
|
174,199
|
Kimball
Electronics, Inc. (a) |
774
|
21,386
|
Methode
Electronics, Inc. |
1,243
|
41,665
|
Plexus
Corp. (a) |
955
|
93,819
|
Sanmina
Corp. (a) |
2,018
|
121,625
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
16
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
TTM
Technologies, Inc. (a) |
3,569
|
$
49,609 |
|
|
649,766
|
Environmental
& Facilities Services - 0.2% |
ABM
Industries, Inc. |
2,279
|
97,199
|
Aris
Water Solutions, Inc., Class A |
1,117
|
11,527
|
BrightView
Holdings, Inc. (a) |
2,021
|
14,511
|
Casella
Waste Systems, Inc., Class A (a) |
1,932
|
174,749
|
CECO
Environmental Corp. (a) |
1,035
|
13,828
|
Clean
Harbors, Inc. (a) |
600
|
98,658
|
Enviri
Corp. (a) |
2,761
|
27,251
|
Heritage-Crystal
Clean, Inc. (a) |
507
|
19,160
|
LanzaTech
Global, Inc. (a) |
719
|
4,911
|
Montrose
Environmental Group, Inc. (a) |
977
|
41,151
|
Republic
Services, Inc. |
2,490
|
381,393
|
Rollins,
Inc. |
2,978
|
127,548
|
SP
Plus Corp. (a) |
655
|
25,617
|
Stericycle,
Inc. (a) |
1,400
|
65,016
|
Tetra
Tech, Inc. |
700
|
114,618
|
Waste
Management, Inc. |
4,809
|
833,977
|
|
|
2,051,114
|
Fertilizers
& Agricultural Chemicals - 0.1% |
American
Vanguard Corp. |
909
|
16,244
|
CF
Industries Holdings, Inc. |
2,382
|
165,358
|
Corteva,
Inc. |
8,202
|
469,975
|
FMC
Corp. |
1,464
|
152,754
|
Intrepid
Potash, Inc. (a) |
518
|
11,753
|
Mosaic
Co. |
3,947
|
138,145
|
Scotts
Miracle-Gro Co. |
462
|
28,963
|
|
|
983,192
|
Financial
Exchanges & Data - 0.4% |
Bakkt
Holdings, Inc. (a) |
1,663
|
2,045
|
Cboe
Global Markets, Inc. |
1,252
|
172,789
|
CME
Group, Inc. |
4,222
|
782,294
|
Coinbase
Global, Inc., Class A (a) |
2,000
|
143,100
|
Donnelley
Financial Solutions, Inc. (a) |
902
|
41,068
|
FactSet
Research Systems, Inc. |
415
|
166,270
|
Intercontinental
Exchange, Inc. |
6,420
|
725,974
|
MarketAxess
Holdings, Inc. |
422
|
110,319
|
MarketWise,
Inc. |
991
|
1,982
|
Moody's
Corp. |
1,938
|
673,881
|
Morningstar,
Inc. |
300
|
58,821
|
MSCI,
Inc. |
957
|
449,111
|
Nasdaq,
Inc. |
4,238
|
211,264
|
|
Number
of Shares |
Fair
Value |
Open
Lending Corp., Class A (a) |
3,733
|
$
39,234 |
S&P
Global, Inc. |
3,836
|
1,537,814
|
Tradeweb
Markets, Inc., Class A |
1,273
|
87,175
|
Value
Line, Inc. |
20
|
918
|
|
|
5,204,059
|
Food
Distributors - 0.1% |
Andersons,
Inc. |
1,129
|
52,103
|
Chefs'
Warehouse, Inc. (a) |
1,218
|
43,556
|
HF
Foods Group, Inc. (a) |
1,972
|
9,249
|
Performance
Food Group Co. (a) |
1,900
|
114,456
|
SpartanNash
Co. |
1,144
|
25,751
|
Sysco
Corp. |
6,218
|
461,376
|
U.S.
Foods Holding Corp. (a) |
2,700
|
118,800
|
United
Natural Foods, Inc. (a) |
2,085
|
40,762
|
|
|
866,053
|
Food
Retail - 0.1% |
Albertsons
Cos., Inc., Class A |
3,800
|
82,916
|
Casey's
General Stores, Inc. |
478
|
116,575
|
Grocery
Outlet Holding Corp. (a) |
900
|
27,549
|
Ingles
Markets, Inc., Class A |
506
|
41,821
|
Kroger
Co. |
7,939
|
373,133
|
Natural
Grocers by Vitamin Cottage, Inc., Class C |
425
|
5,211
|
Sprouts
Farmers Market, Inc. (a) |
3,663
|
134,542
|
Village
Super Market, Inc., Class A |
426
|
9,721
|
Weis
Markets, Inc. |
577
|
37,049
|
|
|
828,517
|
Footwear
- 0.2% |
Allbirds,
Inc., Class A (a) |
3,139
|
3,955
|
Crocs,
Inc. (a) |
500
|
56,220
|
Deckers
Outdoor Corp. (a) |
300
|
158,298
|
NIKE,
Inc., Class B |
14,371
|
1,586,127
|
Rocky
Brands, Inc. |
354
|
7,434
|
Skechers
USA, Inc., Class A (a) |
1,800
|
94,788
|
Steven
Madden Ltd. |
2,639
|
86,269
|
Wolverine
World Wide, Inc. |
2,764
|
40,603
|
|
|
2,033,694
|
Forest
Products - 0.0%* |
Louisiana-Pacific
Corp. |
1,100
|
82,478
|
Gas
Utilities - 0.1% |
Atmos
Energy Corp. |
1,734
|
201,734
|
Chesapeake
Utilities Corp. |
606
|
72,114
|
National
Fuel Gas Co. |
900
|
46,224
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
17
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
New
Jersey Resources Corp. |
3,374
|
$
159,253 |
Northwest
Natural Holding Co. |
1,211
|
52,133
|
ONE
Gas, Inc. |
1,925
|
147,859
|
RGC
Resources, Inc. |
279
|
5,588
|
Southwest
Gas Holdings, Inc. |
2,154
|
137,102
|
Spire,
Inc. |
1,804
|
114,446
|
UGI
Corp. |
2,800
|
75,516
|
|
|
1,011,969
|
Gold
- 0.0%* |
Coeur
Mining, Inc. (a) |
11,141
|
31,641
|
Dakota
Gold Corp. (a) |
2,650
|
7,738
|
Newmont
Corp. |
9,117
|
388,931
|
Perpetua
Resources Corp. (a) |
1,316
|
4,830
|
Royal
Gold, Inc. |
763
|
87,577
|
|
|
520,717
|
Health
Care REITs - 0.1% |
CareTrust
REIT, Inc. |
3,452
|
68,557
|
Community
Healthcare Trust, Inc. |
890
|
29,388
|
Diversified
Healthcare Trust |
8,330
|
18,742
|
Global
Medical REIT, Inc. |
1,975
|
18,032
|
Healthcare
Realty Trust, Inc. |
4,800
|
90,528
|
Healthpeak
Properties, Inc. |
7,136
|
143,434
|
LTC
Properties, Inc. |
1,418
|
46,822
|
Medical
Properties Trust, Inc. |
7,100
|
65,746
|
National
Health Investors, Inc. |
1,455
|
76,271
|
Omega
Healthcare Investors, Inc. |
3,100
|
95,139
|
Physicians
Realty Trust |
8,300
|
116,117
|
Sabra
Health Care REIT, Inc. |
8,102
|
95,361
|
Universal
Health Realty Income Trust |
416
|
19,793
|
Ventas,
Inc. |
4,738
|
223,965
|
Welltower,
Inc. |
5,614
|
454,116
|
|
|
1,562,011
|
Healthcare
Distributors - 0.1% |
AdaptHealth
Corp. (a) |
2,576
|
31,350
|
AmerisourceBergen
Corp. |
1,908
|
367,156
|
Cardinal
Health, Inc. |
3,245
|
306,880
|
Henry
Schein, Inc. (a) |
1,672
|
135,599
|
McKesson
Corp. |
1,621
|
692,670
|
Owens
& Minor, Inc. (a) |
2,586
|
49,237
|
Patterson
Cos., Inc. |
3,071
|
102,142
|
PetIQ,
Inc. (a) |
1,179
|
17,885
|
|
|
1,702,919
|
Healthcare
Equipment - 1.1% |
Abbott
Laboratories |
20,532
|
2,238,399
|
Accuray,
Inc. (a) |
3,250
|
12,578
|
Alphatec
Holdings, Inc. (a) |
2,582
|
46,424
|
AngioDynamics,
Inc. (a) |
1,618
|
16,876
|
|
Number
of Shares |
Fair
Value |
Artivion,
Inc. (a) |
1,427
|
$
24,530 |
AtriCure,
Inc. (a) |
1,629
|
80,407
|
Axogen,
Inc. (a) |
1,763
|
16,096
|
Axonics,
Inc. (a) |
1,684
|
84,991
|
Baxter
International, Inc. |
6,317
|
287,803
|
Becton
Dickinson & Co. |
3,345
|
883,113
|
Beyond
Air, Inc. (a) |
893
|
3,804
|
Boston
Scientific Corp. (a) |
16,867
|
912,336
|
Butterfly
Network, Inc. (a) |
4,184
|
9,623
|
ClearPoint
Neuro, Inc. (a) |
799
|
5,785
|
CONMED
Corp. |
1,069
|
145,266
|
Cutera,
Inc. (a) |
758
|
11,469
|
CVRx,
Inc. (a) |
388
|
5,991
|
Dexcom,
Inc. (a) |
4,500
|
578,295
|
Edwards
Lifesciences Corp. (a) |
7,271
|
685,873
|
Enovis
Corp. (a) |
633
|
40,588
|
Envista
Holdings Corp. (a) |
1,900
|
64,296
|
GE
HealthCare Technologies, Inc. |
4,549
|
369,561
|
Glaukos
Corp. (a) |
1,634
|
116,357
|
Globus
Medical, Inc., Class A (a) |
800
|
47,632
|
Hologic,
Inc. (a) |
3,000
|
242,910
|
IDEXX
Laboratories, Inc. (a) |
1,004
|
504,239
|
Inari
Medical, Inc. (a) |
1,806
|
105,001
|
Inmode
Ltd. (a) |
2,700
|
100,845
|
Inogen,
Inc. (a) |
716
|
8,270
|
Inspire
Medical Systems, Inc. (a) |
265
|
86,030
|
Insulet
Corp. (a) |
868
|
250,279
|
Integer
Holdings Corp. (a) |
1,162
|
102,965
|
Integra
LifeSciences Holdings Corp. (a) |
900
|
37,017
|
Intuitive
Surgical, Inc. (a) |
4,156
|
1,421,103
|
iRadimed
Corp. |
221
|
10,551
|
iRhythm
Technologies, Inc. (a) |
1,069
|
111,518
|
KORU
Medical Systems, Inc. (a) |
1,218
|
4,202
|
LeMaitre
Vascular, Inc. |
683
|
45,952
|
LivaNova
PLC (a) |
1,898
|
97,614
|
Masimo
Corp. (a) |
576
|
94,781
|
Medtronic
PLC |
15,932
|
1,403,609
|
Nevro
Corp. (a) |
1,242
|
31,572
|
Novocure
Ltd. (a) |
1,400
|
58,100
|
NuVasive,
Inc. (a) |
1,822
|
75,777
|
Omnicell,
Inc. (a) |
1,567
|
115,441
|
Orthofix
Medical, Inc. (a) |
1,230
|
22,214
|
Outset
Medical, Inc. (a) |
1,726
|
37,748
|
Paragon
28, Inc. (a) |
1,600
|
28,384
|
Penumbra,
Inc. (a) |
400
|
137,624
|
PROCEPT
BioRobotics Corp. (a) |
1,258
|
44,470
|
Pulmonx
Corp. (a) |
1,278
|
16,755
|
Pulse
Biosciences, Inc. (a) |
563
|
4,048
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
18
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
QuidelOrtho
Corp. (a) |
600
|
$
49,716 |
ResMed,
Inc. |
1,759
|
384,341
|
Semler
Scientific, Inc. (a) |
174
|
4,566
|
Shockwave
Medical, Inc. (a) |
300
|
85,623
|
SI-BONE,
Inc. (a) |
1,215
|
32,781
|
Sight
Sciences, Inc. (a) |
1,094
|
9,058
|
Silk
Road Medical, Inc. (a) |
1,311
|
42,594
|
STERIS
PLC |
1,260
|
283,475
|
Stryker
Corp. |
4,203
|
1,282,293
|
Surmodics,
Inc. (a) |
426
|
13,338
|
Tactile
Systems Technology, Inc. (a) |
811
|
20,218
|
Tandem
Diabetes Care, Inc. (a) |
700
|
17,178
|
Teleflex,
Inc. |
610
|
147,638
|
TransMedics
Group, Inc. (a) |
1,106
|
92,882
|
Treace
Medical Concepts, Inc. (a) |
1,576
|
40,314
|
Varex
Imaging Corp. (a) |
1,387
|
32,692
|
Vicarious
Surgical, Inc. (a) |
1,656
|
3,030
|
ViewRay,
Inc. (a) |
4,735
|
1,668
|
Zimmer
Biomet Holdings, Inc. |
2,370
|
345,072
|
Zimvie,
Inc. (a) |
900
|
10,107
|
Zynex,
Inc. (a) |
1,065
|
10,213
|
|
|
14,795,909
|
Healthcare
Facilities - 0.1% |
Acadia
Healthcare Co., Inc. (a) |
1,200
|
95,568
|
Brookdale
Senior Living, Inc. (a) |
6,085
|
25,679
|
Cano
Health, Inc. (a) |
8,217
|
11,422
|
Community
Health Systems, Inc. (a) |
4,070
|
17,908
|
Encompass
Health Corp. |
1,100
|
74,481
|
Ensign
Group, Inc. |
1,919
|
183,188
|
HCA
Healthcare, Inc. |
2,563
|
777,819
|
Joint
Corp. (a) |
694
|
9,369
|
National
HealthCare Corp. |
411
|
25,408
|
Pennant
Group, Inc. (a) |
1,009
|
12,391
|
Select
Medical Holdings Corp. |
3,666
|
116,799
|
Surgery
Partners, Inc. (a) |
2,353
|
105,861
|
Tenet
Healthcare Corp. (a) |
1,400
|
113,932
|
U.S.
Physical Therapy, Inc. |
450
|
54,625
|
Universal
Health Services, Inc., Class B |
720
|
113,594
|
|
|
1,738,044
|
Healthcare
Services - 0.3% |
23andMe
Holding Co., Class A (a) |
8,357
|
14,625
|
Accolade,
Inc. (a) |
2,188
|
29,472
|
Addus
HomeCare Corp. (a) |
548
|
50,800
|
Agiliti,
Inc. (a) |
1,037
|
17,111
|
agilon
health, Inc. (a) |
2,000
|
34,680
|
|
Number
of Shares |
Fair
Value |
AirSculpt
Technologies, Inc. |
383
|
$
3,301 |
Amedisys,
Inc. (a) |
300
|
27,432
|
AMN
Healthcare Services, Inc. (a) |
1,415
|
154,405
|
Apollo
Medical Holdings, Inc. (a) |
1,493
|
47,179
|
Aveanna
Healthcare Holdings, Inc. (a) |
2,000
|
3,380
|
CareMax,
Inc. (a) |
2,959
|
9,202
|
Castle
Biosciences, Inc. (a) |
792
|
10,866
|
Chemed
Corp. |
159
|
86,126
|
Cigna
Group |
3,530
|
990,518
|
CorVel
Corp. (a) |
305
|
59,017
|
Cross
Country Healthcare, Inc. (a) |
1,276
|
35,830
|
CVS
Health Corp. |
15,318
|
1,058,933
|
DaVita,
Inc. (a) |
587
|
58,976
|
DocGo,
Inc. (a) |
2,687
|
25,177
|
Enhabit,
Inc. (a) |
1,755
|
20,182
|
Figs,
Inc., Class A (a) |
4,517
|
37,356
|
Fulgent
Genetics, Inc. (a) |
680
|
25,180
|
Guardant
Health, Inc. (a) |
3,875
|
138,725
|
Hims
& Hers Health, Inc. (a) |
4,247
|
39,922
|
InfuSystem
Holdings, Inc. (a) |
633
|
6,096
|
Innovage
Holding Corp. (a) |
1,017
|
7,628
|
Invitae
Corp. (a) |
11,293
|
12,761
|
Laboratory
Corp. of America Holdings |
1,087
|
262,326
|
LifeStance
Health Group, Inc. (a) |
3,698
|
33,763
|
ModivCare,
Inc. (a) |
417
|
18,853
|
National
Research Corp. |
504
|
21,929
|
NeoGenomics,
Inc. (a) |
4,387
|
70,499
|
OPKO
Health, Inc. (a) |
13,086
|
28,397
|
Option
Care Health, Inc. (a) |
5,953
|
193,413
|
P3
Health Partners, Inc. (a) |
1,389
|
4,153
|
Pediatrix
Medical Group, Inc. (a) |
2,911
|
41,365
|
Premier,
Inc., Class A |
1,400
|
38,724
|
Privia
Health Group, Inc. (a) |
2,358
|
61,567
|
Quest
Diagnostics, Inc. |
1,329
|
186,804
|
Quipt
Home Medical Corp. (a) |
1,406
|
7,508
|
R1
RCM, Inc. (a) |
600
|
11,070
|
RadNet,
Inc. (a) |
1,747
|
56,987
|
Viemed
Healthcare, Inc. (a) |
1,190
|
11,638
|
|
|
4,053,876
|
Healthcare
Supplies - 0.1% |
Align
Technology, Inc. (a) |
959
|
339,141
|
Atrion
Corp. |
45
|
25,456
|
Avanos
Medical, Inc. (a) |
1,652
|
42,225
|
Cerus
Corp. (a) |
5,542
|
13,633
|
Cooper
Cos., Inc. |
530
|
203,218
|
Dentsply
Sirona, Inc. |
2,467
|
98,729
|
Embecta
Corp. |
2,012
|
43,459
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
19
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Haemonetics
Corp. (a) |
1,763
|
$
150,102 |
ICU
Medical, Inc. (a) |
200
|
35,638
|
Lantheus
Holdings, Inc. (a) |
2,381
|
199,814
|
Merit
Medical Systems, Inc. (a) |
2,001
|
167,364
|
Neogen
Corp. (a) |
7,624
|
165,822
|
OraSure
Technologies, Inc. (a) |
2,307
|
11,558
|
OrthoPediatrics
Corp. (a) |
553
|
24,249
|
RxSight,
Inc. (a) |
1,033
|
29,750
|
Sanara
Medtech, Inc. (a) |
132
|
5,293
|
STAAR
Surgical Co. (a) |
1,718
|
90,315
|
Tela
Bio, Inc. (a) |
553
|
5,602
|
UFP
Technologies, Inc. (a) |
242
|
46,912
|
Utah
Medical Products, Inc. |
108
|
10,066
|
|
|
1,708,346
|
Healthcare
Technology - 0.1% |
American
Well Corp., Class A (a) |
8,546
|
17,947
|
Certara,
Inc. (a) |
1,400
|
25,494
|
Computer
Programs & Systems, Inc. (a) |
447
|
11,036
|
Definitive
Healthcare Corp. (a) |
1,573
|
17,303
|
Doximity,
Inc., Class A (a) |
1,500
|
51,030
|
Evolent
Health, Inc., Class A (a) |
3,839
|
116,322
|
Health
Catalyst, Inc. (a) |
1,788
|
22,350
|
HealthStream,
Inc. |
786
|
19,304
|
Multiplan
Corp. (a) |
13,247
|
27,951
|
NextGen
Healthcare, Inc. (a) |
1,808
|
29,326
|
OptimizeRx
Corp. (a) |
825
|
11,789
|
Phreesia,
Inc. (a) |
1,741
|
53,988
|
Schrodinger,
Inc. (a) |
1,887
|
94,199
|
Sharecare,
Inc. (a) |
10,786
|
18,876
|
Simulations
Plus, Inc. |
555
|
24,048
|
Teladoc
Health, Inc. (a) |
2,351
|
59,527
|
Veeva
Systems, Inc., Class A (a) |
1,579
|
312,216
|
Veradigm,
Inc. (a) |
3,796
|
47,830
|
|
|
960,536
|
Heavy
Electrical Equipment - 0.0%* |
374Water,
Inc. (a) |
2,064
|
4,933
|
Babcock
& Wilcox Enterprises, Inc. (a) |
1,917
|
11,310
|
Bloom
Energy Corp., Class A (a) |
6,717
|
109,823
|
Energy
Vault Holdings, Inc. (a) |
4,171
|
11,387
|
NuScale
Power Corp. (a) |
1,868
|
12,703
|
TPI
Composites, Inc. (a) |
1,460
|
15,140
|
|
|
165,296
|
Home
Building - 0.2% |
Beazer
Homes USA, Inc. (a) |
1,062
|
30,044
|
|
Number
of Shares |
Fair
Value |
Cavco
Industries, Inc. (a) |
306
|
$
90,270 |
Century
Communities, Inc. |
984
|
75,394
|
DR
Horton, Inc. |
3,640
|
442,952
|
Dream
Finders Homes, Inc., Class A (a) |
844
|
20,754
|
Green
Brick Partners, Inc. (a) |
951
|
54,017
|
Hovnanian
Enterprises, Inc., Class A (a) |
151
|
14,981
|
Installed
Building Products, Inc. |
818
|
114,651
|
KB
Home |
2,584
|
133,619
|
Landsea
Homes Corp. (a) |
566
|
5,286
|
Legacy
Housing Corp. (a) |
442
|
10,250
|
Lennar
Corp., Class A |
3,005
|
376,557
|
LGI
Homes, Inc. (a) |
726
|
97,930
|
M/I
Homes, Inc. (a) |
929
|
80,999
|
MDC
Holdings, Inc. |
2,055
|
96,112
|
Meritage
Homes Corp. |
1,277
|
181,679
|
NVR,
Inc. (a) |
32
|
203,220
|
PulteGroup,
Inc. |
2,818
|
218,902
|
Skyline
Champion Corp. (a) |
1,876
|
122,784
|
Taylor
Morrison Home Corp. (a) |
3,678
|
179,376
|
Toll
Brothers, Inc. |
1,415
|
111,884
|
TopBuild
Corp. (a) |
400
|
106,408
|
Tri
Pointe Homes, Inc. (a) |
3,465
|
113,860
|
United
Homes Group, Inc. (a) |
215
|
2,399
|
|
|
2,884,328
|
Home
Furnishing Retail - 0.0%* |
Aaron's
Co., Inc. |
1,408
|
19,909
|
Haverty
Furniture Cos., Inc. |
467
|
14,113
|
Overstock.com,
Inc. (a) |
1,527
|
49,734
|
RH
(a) |
270
|
88,989
|
Sleep
Number Corp. (a) |
690
|
18,823
|
Wayfair,
Inc., Class A (a) |
1,000
|
65,010
|
Williams-Sonoma,
Inc. |
755
|
94,481
|
|
|
351,059
|
Home
Furnishings - 0.0%* |
Ethan
Allen Interiors, Inc. |
734
|
20,757
|
Hooker
Furnishings Corp. |
383
|
7,147
|
La-Z-Boy,
Inc. |
1,528
|
43,762
|
Leggett
& Platt, Inc. |
1,600
|
47,392
|
Lovesac
Co. (a) |
442
|
11,912
|
Mohawk
Industries, Inc. (a) |
600
|
61,896
|
Purple
Innovation, Inc. |
3,199
|
8,893
|
Tempur
Sealy International, Inc. |
1,800
|
72,126
|
|
|
273,885
|
Home
Improvement Retail - 0.4% |
Floor
& Decor Holdings, Inc., Class A (a) |
1,300
|
135,148
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
20
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
GrowGeneration
Corp. (a) |
2,890
|
$
9,826 |
Lowe's
Cos., Inc. |
7,223
|
1,630,231
|
The
Home Depot, Inc. |
12,044
|
3,741,348
|
Tile
Shop Holdings, Inc. (a) |
1,007
|
5,579
|
|
|
5,522,132
|
Hotel
& Resort REITs - 0.1% |
Apple
Hospitality REIT, Inc. |
7,446
|
112,509
|
Braemar
Hotels & Resorts, Inc. |
3,160
|
12,703
|
Chatham
Lodging Trust |
1,542
|
14,433
|
DiamondRock
Hospitality Co. |
7,320
|
58,633
|
Hersha
Hospitality Trust, Class A |
1,586
|
9,659
|
Host
Hotels & Resorts, Inc. |
8,754
|
147,330
|
Park
Hotels & Resorts, Inc. |
2,200
|
28,204
|
Pebblebrook
Hotel Trust |
4,529
|
63,134
|
RLJ
Lodging Trust |
5,600
|
57,512
|
Ryman
Hospitality Properties, Inc. |
2,022
|
187,884
|
Service
Properties Trust |
5,795
|
50,359
|
Summit
Hotel Properties, Inc. |
3,417
|
22,245
|
Sunstone
Hotel Investors, Inc. |
7,385
|
74,736
|
Xenia
Hotels & Resorts, Inc. |
4,003
|
49,277
|
|
|
888,618
|
Hotels,
Resorts & Cruise Lines - 0.3% |
Airbnb,
Inc., Class A (a) |
4,600
|
589,536
|
Bluegreen
Vacations Holding Corp. |
470
|
16,755
|
Booking
Holdings, Inc. (a) |
451
|
1,217,849
|
Carnival
Corp. (a) |
12,300
|
231,609
|
Choice
Hotels International, Inc. |
500
|
58,760
|
Expedia
Group, Inc. (a) |
1,878
|
205,434
|
Global
Business Travel Group I (a) |
1,124
|
8,126
|
Hilton
Grand Vacations, Inc. (a) |
2,838
|
128,959
|
Hilton
Worldwide Holdings, Inc. |
3,136
|
456,445
|
Hyatt
Hotels Corp., Class A |
500
|
57,290
|
Lindblad
Expeditions Holdings, Inc. (a) |
1,044
|
11,359
|
Marriott
International, Inc., Class A |
3,103
|
569,990
|
Marriott
Vacations Worldwide Corp. |
555
|
68,110
|
Mondee
Holdings, Inc. (a) |
1,582
|
14,096
|
Norwegian
Cruise Line Holdings Ltd. (a) |
5,800
|
126,266
|
Royal
Caribbean Cruises Ltd. (a) |
2,800
|
290,472
|
Sabre
Corp. (a) |
11,469
|
36,586
|
Target
Hospitality Corp. (a) |
1,094
|
14,681
|
Travel
& Leisure Co. |
900
|
36,306
|
|
Number
of Shares |
Fair
Value |
Wyndham
Hotels & Resorts, Inc. |
1,200
|
$
82,284 |
|
|
4,220,913
|
Household
Appliances - 0.0%* |
Cricut,
Inc., Class A |
1,667
|
20,337
|
Helen
of Troy Ltd. (a) |
843
|
91,061
|
iRobot
Corp. (a) |
959
|
43,395
|
Traeger,
Inc. (a) |
1,754
|
7,454
|
Whirlpool
Corp. |
758
|
112,783
|
|
|
275,030
|
Household
Products - 0.5% |
Central
Garden & Pet Co., Class A (a) |
1,408
|
51,336
|
Central
Garden & Pet Co. (a) |
313
|
12,135
|
Church
& Dwight Co., Inc. |
3,028
|
303,496
|
Clorox
Co. |
1,547
|
246,035
|
Colgate-Palmolive
Co. |
9,495
|
731,495
|
Energizer
Holdings, Inc. |
2,535
|
85,125
|
Kimberly-Clark
Corp. |
3,898
|
538,158
|
Oil-Dri
Corp. of America |
171
|
10,087
|
Spectrum
Brands Holdings, Inc. |
400
|
31,220
|
The
Procter & Gamble Co. |
28,112
|
4,265,715
|
WD-40
Co. |
470
|
88,666
|
|
|
6,363,468
|
Housewares
& Specialties - 0.0%* |
Newell
Brands, Inc. |
5,300
|
46,110
|
Human
Resource & Employment Services - 0.2% |
Alight,
Inc., Class A (a) |
13,882
|
128,270
|
ASGN,
Inc. (a) |
1,694
|
128,117
|
Asure
Software, Inc. (a) |
659
|
8,013
|
Automatic
Data Processing, Inc. |
4,929
|
1,083,345
|
Barrett
Business Services, Inc. |
222
|
19,358
|
Ceridian
HCM Holding, Inc. (a) |
1,705
|
114,184
|
First
Advantage Corp. (a) |
1,919
|
29,572
|
Heidrick
& Struggles International, Inc. |
632
|
16,729
|
HireQuest,
Inc. |
187
|
4,868
|
HireRight
Holdings Corp. (a) |
523
|
5,915
|
Insperity,
Inc. |
1,261
|
150,009
|
Kelly
Services, Inc., Class A |
1,091
|
19,213
|
Kforce,
Inc. |
703
|
44,050
|
Korn
Ferry |
1,822
|
90,262
|
ManpowerGroup,
Inc. |
679
|
53,913
|
Paychex,
Inc. |
3,728
|
417,051
|
Paycom
Software, Inc. |
635
|
203,987
|
Paylocity
Holding Corp. (a) |
500
|
92,265
|
Robert
Half International, Inc. |
1,275
|
95,905
|
Skillsoft
Corp. (a) |
2,868
|
3,556
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
21
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Sterling
Check Corp. (a) |
826
|
$
10,127 |
TriNet
Group, Inc. (a) |
1,328
|
126,120
|
TrueBlue,
Inc. (a) |
1,042
|
18,454
|
Upwork,
Inc. (a) |
4,339
|
40,526
|
|
|
2,903,809
|
Independent
Power Producers & Energy Traders - 0.0%* |
AES
Corp. |
8,400
|
174,132
|
Vistra
Corp. |
5,000
|
131,250
|
|
|
305,382
|
Industrial
Conglomerates - 0.3% |
3M
Co. |
6,392
|
639,775
|
General
Electric Co. |
12,848
|
1,411,353
|
Honeywell
International, Inc. |
7,954
|
1,650,455
|
|
|
3,701,583
|
Industrial
Gases - 0.2% |
Air
Products & Chemicals, Inc. |
2,581
|
773,087
|
Linde
PLC |
5,833
|
2,222,840
|
|
|
2,995,927
|
Industrial
Machinery & Supplies & Components - 0.5% |
3D
Systems Corp. (a) |
4,503
|
44,715
|
Albany
International Corp., Class A |
1,095
|
102,142
|
Barnes
Group, Inc. |
1,706
|
71,976
|
Berkshire
Grey, Inc. (a) |
1,296
|
1,827
|
Chart
Industries, Inc. (a) |
1,495
|
238,886
|
CIRCOR
International, Inc. (a) |
662
|
37,370
|
Columbus
McKinnon Corp. |
997
|
40,528
|
Crane
Co. |
600
|
53,472
|
Crane
NXT Co. |
600
|
33,864
|
Desktop
Metal, Inc., Class A (a) |
9,812
|
17,367
|
Donaldson
Co., Inc. |
1,400
|
87,514
|
Dover
Corp. |
1,774
|
261,931
|
Energy
Recovery, Inc. (a) |
1,937
|
54,139
|
Enerpac
Tool Group Corp. |
2,011
|
54,297
|
EnPro
Industries, Inc. |
725
|
96,809
|
Esab
Corp. |
733
|
48,774
|
ESCO
Technologies, Inc. |
896
|
92,853
|
Flowserve
Corp. |
1,900
|
70,585
|
Fortive
Corp. |
4,350
|
325,250
|
Franklin
Electric Co., Inc. |
1,621
|
166,801
|
Gencor
Industries, Inc. (a) |
367
|
5,718
|
Gorman-Rupp
Co. |
735
|
21,190
|
Graco,
Inc. |
2,039
|
176,068
|
Helios
Technologies, Inc. |
1,134
|
74,946
|
Hillenbrand,
Inc. |
2,439
|
125,072
|
Hillman
Solutions Corp. (a) |
6,017
|
54,213
|
Hyster-Yale
Materials Handling, Inc. |
349
|
19,488
|
IDEX
Corp. |
957
|
206,004
|
|
Number
of Shares |
Fair
Value |
Illinois
Tool Works, Inc. |
3,602
|
$
901,076 |
Ingersoll
Rand, Inc. |
5,021
|
328,173
|
ITT,
Inc. |
1,100
|
102,531
|
John
Bean Technologies Corp. |
1,115
|
135,250
|
Kadant,
Inc. |
404
|
89,729
|
Kennametal,
Inc. |
2,833
|
80,429
|
Lincoln
Electric Holdings, Inc. |
700
|
139,041
|
Mayville
Engineering Co., Inc. (a) |
385
|
4,797
|
Middleby
Corp. (a) |
710
|
104,959
|
Mueller
Industries, Inc. |
1,962
|
171,243
|
Mueller
Water Products, Inc., Class A |
5,426
|
88,064
|
Nordson
Corp. |
735
|
182,412
|
Omega
Flex, Inc. |
103
|
10,689
|
Otis
Worldwide Corp. |
5,104
|
454,307
|
Parker-Hannifin
Corp. |
1,505
|
587,010
|
Park-Ohio
Holdings Corp. |
293
|
5,567
|
Pentair
PLC |
2,200
|
142,120
|
Proto
Labs, Inc. (a) |
890
|
31,114
|
RBC
Bearings, Inc. (a) |
200
|
43,494
|
Snap-on,
Inc. |
625
|
180,119
|
SPX
Technologies, Inc. (a) |
1,537
|
130,599
|
Standex
International Corp. |
413
|
58,427
|
Stanley
Black & Decker, Inc. |
1,887
|
176,831
|
Tennant
Co. |
648
|
52,559
|
Timken
Co. |
900
|
82,377
|
Velo3D,
Inc. (a) |
3,102
|
6,700
|
Watts
Water Technologies, Inc., Class A |
962
|
176,748
|
Xylem,
Inc. |
2,643
|
297,655
|
|
|
7,347,819
|
Industrial
REITs - 0.2% |
Americold
Realty Trust, Inc. |
3,500
|
113,050
|
EastGroup
Properties, Inc. |
500
|
86,800
|
First
Industrial Realty Trust, Inc. |
1,500
|
78,960
|
Innovative
Industrial Properties, Inc. |
968
|
70,674
|
LXP
Industrial Trust |
10,104
|
98,514
|
Plymouth
Industrial REIT, Inc. |
1,497
|
34,461
|
Prologis,
Inc. |
10,853
|
1,330,903
|
Rexford
Industrial Realty, Inc. |
2,548
|
133,056
|
STAG
Industrial, Inc. |
1,500
|
53,820
|
Terreno
Realty Corp. |
2,878
|
172,968
|
|
|
2,173,206
|
Insurance
Brokers - 0.2% |
Aon
PLC, Class A |
2,343
|
808,804
|
Arthur
J Gallagher & Co. |
2,407
|
528,505
|
Brown
& Brown, Inc. |
2,900
|
199,636
|
BRP
Group, Inc., Class A (a) |
2,157
|
53,451
|
Crawford
& Co., Class A |
448
|
4,968
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
22
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
eHealth,
Inc. (a) |
1,238
|
$
9,954 |
GoHealth,
Inc., Class A (a) |
137
|
2,700
|
Goosehead
Insurance, Inc., Class A (a) |
751
|
47,230
|
Hippo
Holdings, Inc. (a) |
365
|
6,033
|
Marsh
& McLennan Cos., Inc. |
5,832
|
1,096,883
|
Ryan
Specialty Holdings, Inc. (a) |
800
|
35,912
|
Selectquote,
Inc. (a) |
6,659
|
12,985
|
Willis
Towers Watson PLC |
1,324
|
311,802
|
|
|
3,118,863
|
Integrated
Oil & Gas - 0.7% |
Chevron
Corp. |
20,584
|
3,238,892
|
Exxon
Mobil Corp. |
48,518
|
5,203,556
|
Occidental
Petroleum Corp. |
8,439
|
496,213
|
|
|
8,938,661
|
Integrated
Telecommunication Services - 0.2% |
AT&T,
Inc. |
85,640
|
1,365,958
|
ATN
International, Inc. |
350
|
12,810
|
Consolidated
Communications Holdings, Inc. (a) |
2,587
|
9,908
|
Frontier
Communications Parent, Inc. (a) |
3,200
|
59,648
|
IDT
Corp., Class B (a) |
500
|
12,925
|
Ooma,
Inc. (a) |
831
|
12,440
|
Radius
Global Infrastructure, Inc., Class A (a) |
2,960
|
44,104
|
Verizon
Communications, Inc. |
49,484
|
1,840,310
|
|
|
3,358,103
|
Interactive
Home Entertainment - 0.1% |
Activision
Blizzard, Inc. (a) |
9,142
|
770,670
|
Electronic
Arts, Inc. |
3,361
|
435,922
|
Playstudios,
Inc. (a) |
2,993
|
14,696
|
Roblox
Corp., Class A (a) |
5,600
|
225,680
|
Take-Two
Interactive Software, Inc. (a) |
2,083
|
306,534
|
|
|
1,753,502
|
Interactive
Media & Services - 1.8% |
Alphabet,
Inc., Class C (a) |
61,520
|
7,442,074
|
Alphabet,
Inc., Class A (a) |
70,920
|
8,489,124
|
Bumble,
Inc., Class A (a) |
3,495
|
58,646
|
Cargurus,
Inc. (a) |
3,564
|
80,653
|
Cars.com,
Inc. (a) |
2,352
|
46,617
|
DHI
Group, Inc. (a) |
2,195
|
8,407
|
Eventbrite,
Inc., Class A (a) |
2,537
|
24,228
|
EverQuote,
Inc., Class A (a) |
977
|
6,351
|
fuboTV,
Inc. (a) |
7,093
|
14,753
|
IAC,
Inc. (a) |
900
|
56,520
|
Match
Group, Inc. (a) |
3,563
|
149,112
|
MediaAlpha,
Inc., Class A (a) |
773
|
7,970
|
|
Number
of Shares |
Fair
Value |
Meta
Platforms, Inc., Class A (a) |
26,384
|
$
7,571,680 |
Nextdoor
Holdings, Inc. (a) |
5,072
|
16,535
|
Outbrain,
Inc. (a) |
1,221
|
6,007
|
Pinterest,
Inc., Class A (a) |
7,397
|
202,234
|
QuinStreet,
Inc. (a) |
1,655
|
14,614
|
Shutterstock,
Inc. |
860
|
41,856
|
System1,
Inc. (a) |
863
|
3,884
|
TrueCar,
Inc. (a) |
4,387
|
9,915
|
Vimeo,
Inc. (a) |
5,306
|
21,861
|
Yelp,
Inc. (a) |
2,359
|
85,891
|
Ziff
Davis, Inc. (a) |
1,641
|
114,968
|
ZipRecruiter,
Inc., Class A (a) |
2,594
|
46,069
|
ZoomInfo
Technologies, Inc. (a) |
3,000
|
76,170
|
|
|
24,596,139
|
Internet
Services & Infrastructure - 0.2% |
Akamai
Technologies, Inc. (a) |
1,914
|
172,011
|
BigCommerce
Holdings, Inc. Series 1 (a) |
2,351
|
23,392
|
Brightcove,
Inc. (a) |
2,099
|
8,417
|
Cloudflare,
Inc., Class A (a) |
3,585
|
234,351
|
DigitalOcean
Holdings, Inc. (a) |
2,211
|
88,750
|
Fastly,
Inc., Class A (a) |
4,149
|
65,430
|
GoDaddy,
Inc., Class A (a) |
2,100
|
157,773
|
MongoDB,
Inc. (a) |
737
|
302,900
|
Okta,
Inc. (a) |
1,961
|
135,995
|
Rackspace
Technology, Inc. (a) |
1,832
|
4,983
|
Snowflake,
Inc., Class A (a) |
3,710
|
652,886
|
Squarespace,
Inc., Class A (a) |
1,558
|
49,139
|
Tucows,
Inc., Class A (a) |
490
|
13,593
|
Twilio,
Inc., Class A (a) |
2,147
|
136,592
|
VeriSign,
Inc. (a) |
1,007
|
227,552
|
|
|
2,273,764
|
Investment
Banking & Brokerage - 0.4% |
B
Riley Financial, Inc. |
652
|
29,979
|
BGC
Partners, Inc., Class A |
11,085
|
49,107
|
Evercore,
Inc., Class A |
566
|
69,952
|
Goldman
Sachs Group, Inc. |
3,908
|
1,260,486
|
Houlihan
Lokey, Inc. |
300
|
29,493
|
Interactive
Brokers Group, Inc., Class A |
1,100
|
91,377
|
Jefferies
Financial Group, Inc. |
2,609
|
86,541
|
Lazard
Ltd., Class A |
1,000
|
32,000
|
LPL
Financial Holdings, Inc. |
1,003
|
218,082
|
Moelis
& Co., Class A |
2,330
|
105,642
|
Morgan
Stanley |
14,597
|
1,246,584
|
Perella
Weinberg Partners |
1,486
|
12,378
|
Piper
Sandler Cos., |
605
|
78,202
|
PJT
Partners, Inc., Class A |
828
|
57,662
|
Raymond
James Financial, Inc. |
2,392
|
248,218
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
23
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Robinhood
Markets, Inc., Class A (a) |
8,100
|
$
80,838 |
Stifel
Financial Corp. |
1,300
|
77,571
|
StoneX
Group, Inc. (a) |
619
|
51,427
|
The
Charles Schwab Corp. |
17,981
|
1,019,163
|
|
|
4,844,702
|
IT
Consulting & Other Services - 0.4% |
Accenture
PLC, Class A |
7,557
|
2,331,939
|
Amdocs
Ltd. |
1,367
|
135,128
|
BigBear.ai
Holdings, Inc. (a) |
939
|
2,207
|
Cognizant
Technology Solutions Corp., Class A |
6,202
|
404,867
|
DXC
Technology Co. (a) |
2,800
|
74,816
|
EPAM
Systems, Inc. (a) |
665
|
149,459
|
Gartner,
Inc. (a) |
938
|
328,591
|
Globant
SA (a) |
500
|
89,860
|
Grid
Dynamics Holdings, Inc. (a) |
1,743
|
16,123
|
Hackett
Group, Inc. |
995
|
22,238
|
Information
Services Group, Inc. |
1,794
|
9,616
|
International
Business Machines Corp. |
10,653
|
1,425,478
|
Kyndryl
Holdings, Inc. (a) |
2,959
|
39,295
|
Perficient,
Inc. (a) |
1,188
|
98,996
|
Thoughtworks
Holding, Inc. (a) |
3,226
|
24,356
|
Unisys
Corp. (a) |
3,276
|
13,038
|
|
|
5,166,007
|
Leisure
Facilities - 0.0%* |
Bowlero
Corp. (a) |
944
|
10,988
|
Life
Time Group Holdings, Inc. (a) |
1,557
|
30,626
|
Planet
Fitness, Inc., Class A (a) |
1,200
|
80,928
|
RCI
Hospitality Holdings, Inc. |
280
|
21,277
|
SeaWorld
Entertainment, Inc. (a) |
1,383
|
77,462
|
Six
Flags Entertainment Corp. (a) |
2,519
|
65,444
|
Vail
Resorts, Inc. |
500
|
125,880
|
Xponential
Fitness, Inc., Class A (a) |
861
|
14,852
|
|
|
427,457
|
Leisure
Products - 0.1% |
Acushnet
Holdings Corp. |
1,162
|
63,538
|
AMMO,
Inc. (a) |
3,087
|
6,575
|
BRP,
Inc. |
500
|
42,316
|
Brunswick
Corp. |
800
|
69,312
|
Clarus
Corp. |
895
|
8,180
|
Escalade,
Inc. |
347
|
4,632
|
Funko,
Inc., Class A (a) |
1,212
|
13,114
|
Hasbro,
Inc. |
1,800
|
116,586
|
|
Number
of Shares |
Fair
Value |
JAKKS
Pacific, Inc. (a) |
252
|
$
5,032 |
Johnson
Outdoors, Inc., Class A |
249
|
15,301
|
Latham
Group, Inc. (a) |
1,359
|
5,042
|
Malibu
Boats, Inc., Class A (a) |
724
|
42,470
|
Marine
Products Corp. |
208
|
3,507
|
MasterCraft
Boat Holdings, Inc. (a) |
567
|
17,379
|
Mattel,
Inc. (a) |
4,459
|
87,129
|
Peloton
Interactive, Inc., Class A (a) |
3,572
|
27,469
|
Polaris,
Inc. |
700
|
84,651
|
Smith
& Wesson Brands, Inc. |
1,468
|
19,143
|
Solo
Brands, Inc., Class A (a) |
1,145
|
6,481
|
Sturm
Ruger & Co., Inc. |
612
|
32,412
|
Topgolf
Callaway Brands Corp. (a) |
5,018
|
99,607
|
Vista
Outdoor, Inc. (a) |
1,953
|
54,039
|
YETI
Holdings, Inc. (a) |
900
|
34,956
|
|
|
858,871
|
Life
& Health Insurance - 0.2% |
Aflac,
Inc. |
7,155
|
499,419
|
American
Equity Investment Life Holding Co. |
2,711
|
141,270
|
Brighthouse
Financial, Inc. (a) |
670
|
31,725
|
CNO
Financial Group, Inc. |
4,022
|
95,201
|
F&G
Annuities & Life, Inc. |
653
|
16,181
|
Genworth
Financial, Inc., Class A (a) |
17,002
|
85,010
|
Globe
Life, Inc. |
1,200
|
131,544
|
Lincoln
National Corp. |
1,886
|
48,583
|
MetLife,
Inc. |
7,642
|
432,002
|
National
Western Life Group, Inc., Class A |
81
|
33,660
|
Oscar
Health, Inc., Class A (a) |
5,390
|
43,444
|
Primerica,
Inc. |
400
|
79,104
|
Principal
Financial Group, Inc. |
3,000
|
227,520
|
Prudential
Financial, Inc. |
4,602
|
405,989
|
Unum
Group |
2,700
|
128,790
|
|
|
2,399,442
|
Life
Sciences Tools & Services - 0.6% |
10X
Genomics, Inc., Class A (a) |
1,300
|
72,592
|
Adaptive
Biotechnologies Corp. (a) |
3,973
|
26,659
|
Agilent
Technologies, Inc. |
3,406
|
409,572
|
Akoya
Biosciences, Inc. (a) |
453
|
3,348
|
Avantor,
Inc. (a) |
7,600
|
156,104
|
Azenta,
Inc. (a) |
700
|
32,676
|
BioLife
Solutions, Inc. (a) |
1,213
|
26,807
|
Bio-Rad
Laboratories, Inc., Class A (a) |
261
|
98,950
|
Bio-Techne
Corp. |
1,940
|
158,362
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
24
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Bruker
Corp. |
1,361
|
$
100,605 |
Charles
River Laboratories International, Inc. (a) |
628
|
132,037
|
Codexis,
Inc. (a) |
3,022
|
8,462
|
CryoPort,
Inc. (a) |
1,452
|
25,047
|
Cytek
Biosciences, Inc. (a) |
4,001
|
34,169
|
Danaher
Corp. |
7,711
|
1,850,640
|
Harvard
Bioscience, Inc. (a) |
1,363
|
7,483
|
ICON
PLC ADR (a) |
900
|
225,180
|
Illumina,
Inc. (a) |
1,772
|
332,232
|
IQVIA
Holdings, Inc. (a) |
2,119
|
476,288
|
Maravai
LifeSciences Holdings, Inc., Class A (a) |
1,300
|
16,159
|
MaxCyte,
Inc. (a) |
2,822
|
12,953
|
Medpace
Holdings, Inc. (a) |
200
|
48,034
|
Mesa
Laboratories, Inc. |
168
|
21,588
|
Mettler-Toledo
International, Inc. (a) |
248
|
325,287
|
NanoString
Technologies, Inc. (a) |
1,489
|
6,030
|
Nautilus
Biotechnology, Inc. (a) |
1,320
|
5,108
|
OmniAb,
Inc. (a) |
3,249
|
16,342
|
OmniAb,
Inc. (a)(c)** |
394
|
—
|
Pacific
Biosciences of California, Inc. (a) |
8,697
|
115,670
|
QIAGEN
NV (a) |
6,398
|
287,802
|
Quanterix
Corp. (a) |
1,220
|
27,511
|
Quantum-Si,
Inc. (a) |
2,881
|
5,157
|
Repligen
Corp. (a) |
706
|
99,871
|
Revvity,
Inc. |
1,560
|
185,312
|
Seer,
Inc. (a) |
2,601
|
11,106
|
SomaLogic,
Inc. (a) |
4,948
|
11,430
|
Sotera
Health Co. (a) |
1,300
|
24,492
|
Syneos
Health, Inc. (a) |
1,200
|
50,568
|
Thermo
Fisher Scientific, Inc. |
4,637
|
2,419,355
|
Waters
Corp. (a) |
752
|
200,438
|
West
Pharmaceutical Services, Inc. |
912
|
348,813
|
|
|
8,416,239
|
Managed
Healthcare - 0.6% |
Alignment
Healthcare, Inc. (a) |
3,204
|
18,423
|
Centene
Corp. (a) |
6,226
|
419,944
|
Elevance
Health, Inc. |
2,849
|
1,265,782
|
HealthEquity,
Inc. (a) |
2,957
|
186,705
|
Humana,
Inc. |
1,487
|
664,882
|
Molina
Healthcare, Inc. (a) |
739
|
222,616
|
Progyny,
Inc. (a) |
2,738
|
107,713
|
UnitedHealth
Group, Inc. |
11,100
|
5,335,104
|
|
|
8,221,169
|
Marine
Transportation - 0.0%* |
Eagle
Bulk Shipping, Inc. |
436
|
20,946
|
Eneti,
Inc. |
1,101
|
13,333
|
|
Number
of Shares |
Fair
Value |
Genco
Shipping & Trading Ltd. |
1,467
|
$
20,582 |
Kirby
Corp. (a) |
900
|
69,255
|
Matson,
Inc. |
1,282
|
99,650
|
Pangaea
Logistics Solutions Ltd. |
1,269
|
8,591
|
|
|
232,357
|
Metal,
Glass & Plastic Containers - 0.1% |
AptarGroup,
Inc. |
764
|
88,517
|
Ball
Corp. |
3,892
|
226,553
|
Berry
Global Group, Inc. |
1,518
|
97,668
|
Crown
Holdings, Inc. |
1,247
|
108,327
|
Greif,
Inc., Class A |
869
|
59,865
|
Greif,
Inc., Class B |
169
|
13,055
|
Myers
Industries, Inc. |
1,186
|
23,044
|
O-I
Glass, Inc. (a) |
5,438
|
115,993
|
Silgan
Holdings, Inc. |
923
|
43,280
|
TriMas
Corp. |
1,490
|
40,960
|
|
|
817,262
|
Mortgage
REITs - 0.1% |
AFC
Gamma, Inc. |
818
|
10,184
|
AGNC
Investment Corp. |
6,689
|
67,760
|
Angel
Oak Mortgage REIT, Inc. |
346
|
2,851
|
Annaly
Capital Management, Inc. |
5,875
|
117,559
|
Apollo
Commercial Real Estate Finance, Inc. |
4,950
|
56,034
|
Arbor
Realty Trust, Inc. |
6,260
|
92,773
|
Ares
Commercial Real Estate Corp. |
1,642
|
16,666
|
ARMOUR
Residential REIT, Inc. |
6,840
|
36,457
|
Blackstone
Mortgage Trust, Inc., Class A |
6,068
|
126,275
|
BrightSpire
Capital, Inc. |
4,492
|
30,231
|
Chicago
Atlantic Real Estate Finance, Inc. |
571
|
8,651
|
Chimera
Investment Corp. |
8,268
|
47,706
|
Claros
Mortgage Trust, Inc. |
3,035
|
34,417
|
Dynex
Capital, Inc. |
1,890
|
23,795
|
Ellington
Financial, Inc. |
2,277
|
31,423
|
Franklin
BSP Realty Trust, Inc. |
2,937
|
41,588
|
Granite
Point Mortgage Trust, Inc. |
2,546
|
13,494
|
Hannon
Armstrong Sustainable Infrastructure Capital, Inc. |
3,608
|
90,200
|
Invesco
Mortgage Capital, Inc. |
1,463
|
16,781
|
KKR
Real Estate Finance Trust, Inc. |
2,061
|
25,082
|
Ladder
Capital Corp. |
4,041
|
43,845
|
MFA
Financial, Inc. |
3,653
|
41,060
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
25
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
New
York Mortgage Trust, Inc. |
3,043
|
$
30,186 |
Nexpoint
Real Estate Finance, Inc. |
224
|
3,492
|
Orchid
Island Capital, Inc. |
1,626
|
16,829
|
PennyMac
Mortgage Investment Trust |
3,167
|
42,691
|
Ready
Capital Corp. |
5,585
|
62,999
|
Redwood
Trust, Inc. |
3,702
|
23,582
|
Rithm
Capital Corp. |
4,700
|
43,945
|
Starwood
Property Trust, Inc. |
4,300
|
83,420
|
TPG
RE Finance Trust, Inc. |
2,216
|
16,420
|
Two
Harbors Investment Corp. |
3,441
|
47,761
|
|
|
1,346,157
|
Motorcycle
Manufacturers - 0.0%* |
Harley-Davidson,
Inc. |
1,500
|
52,815
|
Movies
& Entertainment - 0.4% |
AMC
Entertainment Holdings, Inc., Class A (a) |
8,200
|
36,080
|
Cinemark
Holdings, Inc. (a) |
3,803
|
62,749
|
IMAX
Corp. (a) |
1,549
|
26,317
|
Liberty
Media Corp.-Liberty Braves, Class A (a) |
316
|
12,931
|
Liberty
Media Corp.-Liberty Braves, Class C (a) |
1,318
|
52,219
|
Liberty
Media Corp.-Liberty Formula One, Class C (a) |
2,321
|
174,725
|
Lions
Gate Entertainment Corp., Class A (a) |
1,896
|
16,742
|
Lions
Gate Entertainment Corp., Class B (a) |
4,083
|
34,093
|
Live
Nation Entertainment, Inc. (a) |
1,928
|
175,660
|
Loop
Media, Inc. (a) |
1,270
|
3,035
|
Madison
Square Garden Entertainment Corp. (a) |
1,507
|
50,665
|
Madison
Square Garden Sports Corp. |
200
|
37,610
|
Marcus
Corp. |
759
|
11,256
|
Netflix,
Inc. (a) |
5,225
|
2,301,560
|
Reservoir
Media, Inc. (a) |
578
|
3,480
|
Roku,
Inc. (a) |
1,584
|
101,313
|
Sphere
Entertainment Co. (a) |
866
|
23,720
|
Spotify
Technology SA (a) |
1,595
|
256,077
|
The
Walt Disney Co. (a) |
21,656
|
1,933,448
|
Vivid
Seats, Inc., Class A (a) |
1,298
|
10,280
|
Warner
Bros Discovery, Inc. (a) |
27,746
|
347,935
|
World
Wrestling Entertainment, Inc., Class A |
500
|
54,235
|
|
|
5,726,130
|
Multi-Family
Residential REITs - 0.1% |
Apartment
Income REIT Corp. |
1,951
|
70,412
|
|
Number
of Shares |
Fair
Value |
Apartment
Investment & Management Co., Class A |
5,265
|
$
44,858 |
AvalonBay
Communities, Inc. |
1,705
|
322,705
|
BRT
Apartments Corp. |
596
|
11,801
|
Camden
Property Trust |
1,338
|
145,668
|
Centerspace
|
529
|
32,459
|
Clipper
Realty, Inc. |
311
|
1,763
|
Elme
Communities |
3,067
|
50,421
|
Equity
Residential |
4,612
|
304,254
|
Essex
Property Trust, Inc. |
804
|
188,377
|
Independence
Realty Trust, Inc. |
7,898
|
143,902
|
Mid-America
Apartment Communities, Inc. |
1,424
|
216,249
|
NexPoint
Residential Trust, Inc. |
810
|
36,839
|
UDR,
Inc. |
4,047
|
173,859
|
Veris
Residential, Inc. (a) |
2,759
|
44,282
|
|
|
1,787,849
|
Multi-Line
Insurance - 0.1% |
American
International Group, Inc. |
8,475
|
487,651
|
Assurant,
Inc. |
736
|
92,530
|
Hartford
Financial Services Group, Inc. |
3,894
|
280,446
|
Horace
Mann Educators Corp. |
1,448
|
42,948
|
|
|
903,575
|
Multi-Sector
Holdings - 0.5% |
Berkshire
Hathaway, Inc., Class B (a) |
21,724
|
7,407,884
|
Cannae
Holdings, Inc. (a) |
2,444
|
49,393
|
Compass
Diversified Holdings |
2,184
|
47,371
|
|
|
7,504,648
|
Multi-Utilities
- 0.3% |
Ameren
Corp. |
3,251
|
265,509
|
Avista
Corp. |
2,631
|
103,319
|
Black
Hills Corp. |
2,324
|
140,044
|
CenterPoint
Energy, Inc. |
7,837
|
228,449
|
CMS
Energy Corp. |
3,600
|
211,500
|
Consolidated
Edison, Inc. |
4,339
|
392,246
|
Dominion
Energy, Inc. |
9,542
|
494,180
|
DTE
Energy Co. |
2,384
|
262,288
|
NiSource,
Inc. |
5,313
|
145,311
|
NorthWestern
Corp. |
2,099
|
119,139
|
Public
Service Enterprise Group, Inc. |
6,169
|
386,241
|
Sempra
Energy |
3,589
|
522,522
|
Unitil
Corp. |
523
|
26,521
|
WEC
Energy Group, Inc. |
3,874
|
341,842
|
|
|
3,639,111
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
26
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Office
REITs - 0.1% |
Alexandria
Real Estate Equities, Inc. |
2,192
|
$
248,770 |
Boston
Properties, Inc. |
2,000
|
115,180
|
Brandywine
Realty Trust |
5,537
|
25,747
|
City
Office REIT, Inc. |
1,911
|
10,644
|
Corporate
Office Properties Trust |
3,863
|
91,746
|
Cousins
Properties, Inc. |
1,600
|
36,480
|
Douglas
Emmett, Inc. |
5,929
|
74,528
|
Easterly
Government Properties, Inc. |
3,221
|
46,704
|
Equity
Commonwealth |
3,649
|
73,929
|
Highwoods
Properties, Inc. |
1,300
|
31,083
|
Hudson
Pacific Properties, Inc. |
4,816
|
20,324
|
JBG
SMITH Properties |
3,899
|
58,641
|
Kilroy
Realty Corp. |
1,322
|
39,779
|
Office
Properties Income Trust |
1,523
|
11,727
|
Orion
Office REIT, Inc. |
1,805
|
11,931
|
Paramount
Group, Inc. |
6,142
|
27,209
|
Peakstone
Realty Trust |
970
|
27,082
|
Piedmont
Office Realty Trust, Inc., Class A |
4,322
|
31,421
|
Postal
Realty Trust, Inc., Class A |
879
|
12,930
|
SL
Green Realty Corp. |
2,297
|
69,025
|
Vornado
Realty Trust |
2,100
|
38,094
|
|
|
1,102,974
|
Office
Services & Supplies - 0.0%* |
ACCO
Brands Corp. |
2,952
|
15,380
|
CompX
International, Inc. |
19
|
414
|
HNI
Corp. |
1,591
|
44,834
|
Interface,
Inc. |
1,835
|
16,130
|
MillerKnoll,
Inc. |
2,520
|
37,246
|
MSA
Safety, Inc. |
400
|
69,584
|
NL
Industries, Inc. |
196
|
1,084
|
Pitney
Bowes, Inc. |
5,628
|
19,923
|
Steelcase,
Inc., Class A |
2,836
|
21,865
|
|
|
226,460
|
Oil
& Gas Drilling - 0.0%* |
Diamond
Offshore Drilling, Inc. (a) |
3,569
|
50,822
|
Helmerich
& Payne, Inc. |
3,551
|
125,883
|
Nabors
Industries Ltd. (a) |
321
|
29,863
|
Noble
Corp. PLC (a) |
3,754
|
155,078
|
Patterson-UTI
Energy, Inc. |
7,466
|
89,368
|
Valaris
Ltd. (a) |
2,149
|
135,236
|
|
|
586,250
|
Oil
& Gas Equipment & Services - 0.2% |
Archrock,
Inc. |
4,802
|
49,220
|
|
Number
of Shares |
Fair
Value |
Atlas
Energy Solutions, Inc., Class A |
567
|
$
9,843 |
Baker
Hughes Co. |
11,733
|
370,880
|
Bristow
Group, Inc. (a) |
857
|
24,622
|
Cactus,
Inc., Class A |
2,254
|
95,389
|
ChampionX
Corp. |
7,014
|
217,715
|
Core
Laboratories, Inc. |
1,635
|
38,014
|
DMC
Global, Inc. (a) |
594
|
10,549
|
Dril-Quip,
Inc. (a) |
1,103
|
25,667
|
Expro
Group Holdings NV (a) |
3,035
|
53,780
|
Forum
Energy Technologies, Inc. (a) |
342
|
8,752
|
Halliburton
Co. |
11,182
|
368,894
|
Helix
Energy Solutions Group, Inc. (a) |
5,036
|
37,166
|
KLX
Energy Services Holdings, Inc. (a) |
441
|
4,291
|
Liberty
Energy, Inc. |
5,961
|
79,699
|
Mammoth
Energy Services, Inc. (a) |
812
|
3,922
|
Newpark
Resources, Inc. (a) |
2,720
|
14,226
|
NexTier
Oilfield Solutions, Inc. (a) |
6,783
|
60,640
|
NOV,
Inc. |
5,300
|
85,012
|
Oceaneering
International, Inc. (a) |
3,492
|
65,300
|
Oil
States International, Inc. (a) |
2,028
|
15,149
|
ProFrac
Holding Corp., Class A (a) |
1,072
|
11,963
|
ProPetro
Holding Corp. (a) |
3,438
|
28,329
|
Ranger
Energy Services, Inc. (a) |
541
|
5,540
|
RPC,
Inc. |
2,965
|
21,200
|
Schlumberger
NV |
16,550
|
812,936
|
SEACOR
Marine Holdings, Inc. (a) |
839
|
9,590
|
Select
Water Solutions, Inc. |
2,969
|
24,049
|
Solaris
Oilfield Infrastructure, Inc., Class A |
1,548
|
12,895
|
Tenaris
SA |
7,527
|
112,576
|
TETRA
Technologies, Inc. (a) |
3,945
|
13,334
|
Tidewater,
Inc. (a) |
1,623
|
89,979
|
U.S.
Silica Holdings, Inc. (a) |
2,638
|
31,999
|
Weatherford
International PLC (a) |
2,486
|
165,120
|
|
|
2,978,240
|
Oil
& Gas Exploration & Production - 0.5% |
Amplify
Energy Corp. (a) |
1,763
|
11,936
|
Antero
Resources Corp. (a) |
3,500
|
80,605
|
APA
Corp. |
4,000
|
136,680
|
Berry
Corp. |
2,475
|
17,028
|
California
Resources Corp. |
2,543
|
115,172
|
Callon
Petroleum Co. (a) |
2,136
|
74,910
|
Chesapeake
Energy Corp. |
1,200
|
100,416
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
27
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Chord
Energy Corp. |
1,465
|
$
225,317 |
Civitas
Resources, Inc. |
2,415
|
167,529
|
CNX
Resources Corp. (a) |
5,766
|
102,174
|
Comstock
Resources, Inc. |
3,217
|
37,317
|
ConocoPhillips
|
14,472
|
1,499,444
|
Coterra
Energy, Inc. |
9,827
|
248,623
|
Crescent
Energy Co., Class A |
1,260
|
13,129
|
Denbury,
Inc. (a) |
1,763
|
152,076
|
Devon
Energy Corp. |
7,929
|
383,288
|
Diamondback
Energy, Inc. |
2,231
|
293,064
|
Earthstone
Energy, Inc., Class A (a) |
1,991
|
28,451
|
Empire
Petroleum Corp. (a) |
548
|
4,987
|
EOG
Resources, Inc. |
6,853
|
784,257
|
EQT
Corp. |
4,302
|
176,941
|
Evolution
Petroleum Corp. |
1,099
|
8,869
|
Granite
Ridge Resources, Inc. |
905
|
6,000
|
Gulfport
Energy Corp. (a) |
387
|
40,662
|
Hess
Corp. |
3,213
|
436,807
|
HighPeak
Energy, Inc. |
362
|
3,939
|
Magnolia
Oil & Gas Corp., Class A |
6,394
|
133,635
|
Marathon
Oil Corp. |
7,887
|
181,559
|
Matador
Resources Co. |
3,942
|
206,245
|
Murphy
Oil Corp. |
5,162
|
197,705
|
Northern
Oil & Gas, Inc. |
2,620
|
89,918
|
Ovintiv,
Inc. |
2,800
|
106,596
|
PDC
Energy, Inc. |
1,100
|
78,254
|
Permian
Resources Corp. |
8,864
|
97,149
|
Pioneer
Natural Resources Co. |
2,819
|
584,040
|
PrimeEnergy
Resources Corp. (a) |
26
|
2,393
|
Range
Resources Corp. |
2,600
|
76,440
|
Riley
Exploration Permian, Inc. |
345
|
12,323
|
Ring
Energy, Inc. (a) |
4,794
|
8,198
|
SandRidge
Energy, Inc. |
1,022
|
15,585
|
SilverBow
Resources, Inc. (a) |
616
|
17,938
|
Sitio
Royalties Corp., Class A |
2,814
|
73,924
|
SM
Energy Co. |
4,185
|
132,372
|
Southwestern
Energy Co. (a) |
12,300
|
73,923
|
Talos
Energy, Inc. (a) |
3,899
|
54,079
|
Tellurian,
Inc. (a) |
18,654
|
26,302
|
Texas
Pacific Land Corp. |
65
|
85,572
|
VAALCO
Energy, Inc. |
3,402
|
12,792
|
Vital
Energy, Inc. (a) |
611
|
27,587
|
Vitesse
Energy, Inc. |
874
|
19,578
|
W&T
Offshore, Inc. (a) |
3,037
|
11,753
|
|
|
7,475,481
|
Oil
& Gas Refining & Marketing - 0.2% |
Clean
Energy Fuels Corp. (a) |
5,543
|
27,493
|
CVR
Energy, Inc. |
972
|
29,121
|
Delek
U.S. Holdings, Inc. |
2,434
|
58,294
|
|
Number
of Shares |
Fair
Value |
Gevo,
Inc. (a) |
8,561
|
$
13,013 |
Green
Plains, Inc. (a) |
2,028
|
65,383
|
HF
Sinclair Corp. |
1,600
|
71,376
|
Marathon
Petroleum Corp. |
5,268
|
614,249
|
Par
Pacific Holdings, Inc. (a) |
1,927
|
51,277
|
PBF
Energy, Inc., Class A |
4,149
|
169,860
|
Phillips
66 Co. |
5,441
|
518,963
|
REX
American Resources Corp. (a) |
497
|
17,300
|
Valero
Energy Corp. |
4,286
|
502,748
|
Vertex
Energy, Inc. (a) |
2,353
|
14,706
|
World
Kinect Corp. |
2,157
|
44,607
|
|
|
2,198,390
|
Oil
& Gas Storage & Transportation - 0.2% |
Antero
Midstream Corp. |
4,100
|
47,560
|
Cheniere
Energy, Inc. |
2,979
|
453,880
|
DHT
Holdings, Inc. |
4,885
|
41,669
|
Dorian
LPG Ltd. |
1,117
|
28,651
|
DT
Midstream, Inc. |
1,150
|
57,006
|
Equitrans
Midstream Corp. |
15,232
|
145,618
|
Excelerate
Energy, Inc., Class A |
592
|
12,035
|
International
Seaways, Inc. |
1,416
|
54,148
|
Kinder
Morgan, Inc. |
22,017
|
379,133
|
Kinetik
Holdings, Inc. |
601
|
21,119
|
NextDecade
Corp. (a) |
1,068
|
8,768
|
Nordic
American Tankers Ltd. |
6,699
|
24,585
|
ONEOK,
Inc. |
5,555
|
342,855
|
Overseas
Shipholding Group, Inc., Class A (a) |
2,011
|
8,386
|
Targa
Resources Corp. |
2,747
|
209,047
|
Williams
Cos., Inc. |
14,637
|
477,605
|
|
|
2,312,065
|
Other
Specialized REITs - 0.1% |
EPR
Properties |
700
|
32,760
|
Farmland
Partners, Inc. |
1,612
|
19,682
|
Four
Corners Property Trust, Inc. |
3,022
|
76,759
|
Gaming
& Leisure Properties, Inc. |
2,911
|
141,067
|
Gladstone
Land Corp. |
1,173
|
19,085
|
Iron
Mountain, Inc. |
3,600
|
204,552
|
Lamar
Advertising Co., Class A |
1,100
|
109,175
|
Outfront
Media, Inc. |
5,165
|
81,194
|
Safehold,
Inc. |
1,038
|
24,632
|
Uniti
Group, Inc. |
8,469
|
39,127
|
VICI
Properties, Inc. |
12,459
|
391,586
|
|
|
1,139,619
|
Other
Specialty Retail - 0.1% |
1-800-Flowers.com,
Inc., Class A (a) |
809
|
6,310
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
28
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Academy
Sports & Outdoors, Inc. |
2,674
|
$
144,530 |
BARK,
Inc. (a) |
5,659
|
7,526
|
Bath
& Body Works, Inc. |
2,998
|
112,425
|
Big
5 Sporting Goods Corp. |
683
|
6,256
|
Build-A-Bear
Workshop, Inc. |
419
|
8,975
|
Dick's
Sporting Goods, Inc. |
687
|
90,815
|
Envela
Corp. (a) |
265
|
1,950
|
Five
Below, Inc. (a) |
700
|
137,578
|
Franchise
Group, Inc. |
851
|
24,373
|
Hibbett,
Inc. |
415
|
15,060
|
Leslie's,
Inc. (a) |
6,193
|
58,152
|
MarineMax,
Inc. (a) |
695
|
23,741
|
National
Vision Holdings, Inc. (a) |
2,738
|
66,506
|
ODP
Corp. (a) |
1,195
|
55,950
|
PetMed
Express, Inc. |
940
|
12,963
|
Rent
the Runway, Inc., Class A (a) |
1,423
|
2,818
|
Sally
Beauty Holdings, Inc. (a) |
3,804
|
46,979
|
Signet
Jewelers Ltd. |
1,548
|
101,023
|
Sportsman's
Warehouse Holdings, Inc. (a) |
1,167
|
6,652
|
Tractor
Supply Co. |
1,203
|
265,983
|
Ulta
Beauty, Inc. (a) |
582
|
273,886
|
Warby
Parker, Inc., Class A (a) |
2,966
|
34,673
|
Winmark
Corp. |
100
|
33,247
|
|
|
1,538,371
|
Packaged
Foods & Meats - 0.7% |
B&G
Foods, Inc. |
2,488
|
34,633
|
Beyond
Meat, Inc. (a) |
2,017
|
26,181
|
BRC,
Inc., Class A (a) |
1,418
|
7,317
|
Calavo
Growers, Inc. |
555
|
16,106
|
Cal-Maine
Foods, Inc. |
1,322
|
59,490
|
Campbell
Soup Co. |
2,400
|
109,704
|
Conagra
Brands, Inc. |
5,900
|
198,948
|
Dole
PLC |
2,494
|
33,719
|
Flowers
Foods, Inc. |
2,100
|
52,248
|
Fresh
Market, Inc. (a)(c)** |
1,243
|
—
|
Freshpet,
Inc. (a) |
600
|
39,486
|
General
Mills, Inc. |
6,930
|
531,531
|
Hain
Celestial Group, Inc. (a) |
3,131
|
39,169
|
Hershey
Co. |
1,794
|
447,962
|
Hormel
Foods Corp. |
3,578
|
143,907
|
Hostess
Brands, Inc. (a) |
4,621
|
117,004
|
J
& J Snack Foods Corp. |
522
|
82,664
|
J
M Smucker Co. |
1,321
|
195,072
|
JBS
SA |
12,000
|
43,433
|
John
B Sanfilippo & Son, Inc. |
318
|
37,292
|
Kellogg
Co. |
3,050
|
205,570
|
Kraft
Heinz Co. |
8,929
|
316,979
|
Lamb
Weston Holdings, Inc. |
1,786
|
205,301
|
Lancaster
Colony Corp. |
684
|
137,545
|
|
Number
of Shares |
Fair
Value |
McCormick
& Co., Inc. |
3,177
|
$
277,130 |
Mission
Produce, Inc. (a) |
1,689
|
20,471
|
Mondelez
International, Inc., Class A |
16,302
|
1,189,068
|
Nestle
SA |
41,709
|
5,019,482
|
Post
Holdings, Inc. (a) |
600
|
51,990
|
Seneca
Foods Corp., Class A (a) |
250
|
8,170
|
Simply
Good Foods Co. (a) |
3,166
|
115,844
|
Sovos
Brands, Inc. (a) |
1,384
|
27,071
|
TreeHouse
Foods, Inc. (a) |
1,796
|
90,482
|
Tyson
Foods, Inc., Class A |
3,332
|
170,065
|
Utz
Brands, Inc. |
2,511
|
41,080
|
Vital
Farms, Inc. (a) |
951
|
11,402
|
Westrock
Coffee Co. (a) |
990
|
10,761
|
|
|
10,114,277
|
Paper
& Plastic Packaging Products & Materials - 0.1% |
Amcor
PLC |
16,500
|
164,670
|
Avery
Dennison Corp. |
1,042
|
179,015
|
Graphic
Packaging Holding Co. |
3,800
|
91,314
|
International
Paper Co. |
3,523
|
112,067
|
Packaging
Corp. of America |
983
|
129,913
|
Pactiv
Evergreen, Inc. |
1,396
|
10,568
|
Ranpak
Holdings Corp. (a) |
2,152
|
9,727
|
Sealed
Air Corp. |
1,505
|
60,200
|
Sonoco
Products Co. |
1,100
|
64,922
|
Westrock
Co. |
3,400
|
98,838
|
|
|
921,234
|
Paper
Products - 0.0%* |
Clearwater
Paper Corp. (a) |
540
|
16,913
|
Glatfelter
Corp. |
1,418
|
4,282
|
Sylvamo
Corp. |
1,269
|
51,331
|
|
|
72,526
|
Passenger
Airlines - 0.1% |
Alaska
Air Group, Inc. (a) |
1,521
|
80,887
|
Allegiant
Travel Co. (a) |
550
|
69,454
|
American
Airlines Group, Inc. (a) |
7,500
|
134,550
|
Blade
Air Mobility, Inc. (a) |
2,879
|
11,343
|
Delta
Air Lines, Inc. (a) |
7,357
|
349,752
|
Frontier
Group Holdings, Inc. (a) |
1,177
|
11,382
|
Hawaiian
Holdings, Inc. (a) |
1,619
|
17,437
|
JetBlue
Airways Corp. (a) |
11,531
|
102,165
|
Joby
Aviation, Inc. (a) |
9,717
|
99,696
|
SkyWest,
Inc. (a) |
1,748
|
71,178
|
Southwest
Airlines Co. |
7,262
|
262,957
|
Spirit
Airlines, Inc. |
3,806
|
65,311
|
Sun
Country Airlines Holdings, Inc. (a) |
1,314
|
29,539
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
29
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
United
Airlines Holdings, Inc. (a) |
4,166
|
$
228,588 |
|
|
1,534,239
|
Passenger
Ground Transportation - 0.1% |
Avis
Budget Group, Inc. (a) |
300
|
68,601
|
Hertz
Global Holdings, Inc. (a) |
1,800
|
33,102
|
Lyft,
Inc., Class A (a) |
3,215
|
30,832
|
Uber
Technologies, Inc. (a) |
22,959
|
991,140
|
|
|
1,123,675
|
Personal
Care Products - 0.1% |
Beauty
Health Co. (a) |
2,892
|
24,206
|
BellRing
Brands, Inc. (a) |
4,701
|
172,057
|
Coty,
Inc., Class A (a) |
4,300
|
52,847
|
Edgewell
Personal Care Co. |
1,794
|
74,110
|
elf
Beauty, Inc. (a) |
1,751
|
200,017
|
Estee
Lauder Cos., Inc., Class A |
2,666
|
523,549
|
Haleon
PLC |
76,814
|
315,616
|
Herbalife
Ltd. (a) |
3,483
|
46,115
|
Inter
Parfums, Inc. |
640
|
86,547
|
Medifast,
Inc. |
359
|
33,085
|
Nature's
Sunshine Products, Inc. (a) |
546
|
7,453
|
Nu
Skin Enterprises, Inc., Class A |
1,714
|
56,905
|
Thorne
HealthTech, Inc. (a) |
801
|
3,765
|
USANA
Health Sciences, Inc. (a) |
367
|
23,136
|
Waldencast
PLC, Class A (a) |
698
|
5,395
|
|
|
1,624,803
|
Pharmaceuticals
- 2.0% |
Aclaris
Therapeutics, Inc. (a) |
2,420
|
25,095
|
Amneal
Pharmaceuticals, Inc. (a) |
4,248
|
13,169
|
Amphastar
Pharmaceuticals, Inc. (a) |
1,342
|
77,125
|
Amylyx
Pharmaceuticals, Inc. (a) |
1,763
|
38,028
|
ANI
Pharmaceuticals, Inc. (a) |
451
|
24,277
|
Arvinas,
Inc. (a) |
1,731
|
42,963
|
Assertio
Holdings, Inc. (a) |
1,924
|
10,428
|
Atea
Pharmaceuticals, Inc. (a) |
2,671
|
9,990
|
Axsome
Therapeutics, Inc. (a) |
1,146
|
82,352
|
Biote
Corp., Class A (a) |
488
|
3,299
|
Bright
Green Corp. (a) |
2,110
|
2,131
|
Bristol-Myers
Squibb Co. |
25,029
|
1,600,605
|
Cara
Therapeutics, Inc. (a) |
2,213
|
6,263
|
Cassava
Sciences, Inc. (a) |
1,386
|
33,985
|
Catalent,
Inc. (a) |
2,329
|
100,985
|
Citius
Pharmaceuticals, Inc. (a) |
4,282
|
5,138
|
|
Number
of Shares |
Fair
Value |
Collegium
Pharmaceutical, Inc. (a) |
1,208
|
$
25,960 |
Corcept
Therapeutics, Inc. (a) |
2,797
|
62,233
|
CorMedix,
Inc. (a) |
1,555
|
6,166
|
Cymabay
Therapeutics, Inc. (a) |
3,418
|
37,427
|
DICE
Therapeutics, Inc. (a) |
1,350
|
62,721
|
Edgewise
Therapeutics, Inc. (a) |
1,855
|
14,376
|
Elanco
Animal Health, Inc. (a) |
4,882
|
49,113
|
Eli
Lilly & Co. |
10,068
|
4,721,691
|
Enliven
Therapeutics, Inc. (a) |
813
|
16,593
|
Evolus,
Inc. (a) |
1,540
|
11,196
|
Eyenovia,
Inc. (a) |
973
|
2,306
|
EyePoint
Pharmaceuticals, Inc. (a) |
800
|
6,960
|
GSK
PLC |
61,989
|
1,099,772
|
Harmony
Biosciences Holdings, Inc. (a) |
1,150
|
40,468
|
Harrow
Health, Inc. (a) |
906
|
17,250
|
Ikena
Oncology, Inc. (a) |
741
|
4,861
|
Innoviva,
Inc. (a) |
2,067
|
26,313
|
Intra-Cellular
Therapies, Inc. (a) |
3,265
|
206,740
|
Jazz
Pharmaceuticals PLC (a) |
800
|
99,176
|
Johnson
& Johnson |
30,837
|
5,104,140
|
Ligand
Pharmaceuticals, Inc. (a) |
581
|
41,890
|
Liquidia
Corp. (a) |
1,494
|
11,728
|
Longboard
Pharmaceuticals, Inc. (a) |
543
|
3,986
|
Marinus
Pharmaceuticals, Inc. (a) |
1,736
|
18,853
|
Merck
& Company, Inc. |
30,392
|
3,506,933
|
NGM
Biopharmaceuticals, Inc. (a) |
1,322
|
3,424
|
Nuvation
Bio, Inc. (a) |
5,854
|
10,537
|
Ocular
Therapeutix, Inc. (a) |
2,446
|
12,621
|
Omeros
Corp. (a) |
2,121
|
11,538
|
Optinose,
Inc. (a) |
2,541
|
3,125
|
Organon
& Co. |
2,790
|
58,060
|
Pacira
BioSciences, Inc. (a) |
1,566
|
62,750
|
Perrigo
Co. PLC |
1,600
|
54,320
|
Pfizer,
Inc. |
67,095
|
2,461,045
|
Phathom
Pharmaceuticals, Inc. (a) |
858
|
12,287
|
Phibro
Animal Health Corp., Class A |
956
|
13,097
|
Pliant
Therapeutics, Inc. (a) |
1,969
|
35,678
|
Prestige
Consumer Healthcare, Inc. (a) |
1,710
|
101,625
|
Reata
Pharmaceuticals, Inc., Class A (a) |
996
|
101,552
|
Revance
Therapeutics, Inc. (a) |
2,907
|
73,576
|
Roche
Holding AG |
11,144
|
3,416,932
|
Royalty
Pharma PLC, Class A |
4,300
|
132,182
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
30
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Sanofi
|
17,194
|
$
1,850,694 |
scPharmaceuticals,
Inc. (a) |
1,006
|
10,251
|
SIGA
Technologies, Inc. |
2,314
|
11,686
|
Supernus
Pharmaceuticals, Inc. (a) |
1,730
|
52,004
|
Taro
Pharmaceutical Industries Ltd. (a) |
285
|
10,810
|
Tarsus
Pharmaceuticals, Inc. (a) |
912
|
16,480
|
Terns
Pharmaceuticals, Inc. (a) |
1,493
|
13,064
|
Theravance
Biopharma, Inc. (a) |
2,167
|
22,428
|
Theseus
Pharmaceuticals, Inc. (a) |
898
|
8,378
|
Third
Harmonic Bio, Inc. (a) |
363
|
1,746
|
Trevi
Therapeutics, Inc. (a) |
1,451
|
3,468
|
Ventyx
Biosciences, Inc. (a) |
1,631
|
53,497
|
Verrica
Pharmaceuticals, Inc. (a) |
727
|
4,195
|
Viatris,
Inc. |
13,600
|
135,728
|
WaVe
Life Sciences Ltd. (a) |
2,060
|
7,498
|
Xeris
Biopharma Holdings, Inc. (a) |
4,077
|
10,682
|
Zevra
Therapeutics, Inc. (a) |
1,209
|
6,166
|
Zoetis,
Inc. |
5,522
|
950,944
|
|
|
27,008,753
|
Property
& Casualty Insurance - 0.4% |
Allstate
Corp. |
3,291
|
358,851
|
Ambac
Financial Group, Inc. (a) |
1,442
|
20,534
|
American
Financial Group, Inc. |
881
|
104,619
|
AMERISAFE,
Inc. |
629
|
33,538
|
Arch
Capital Group Ltd. (a) |
4,400
|
329,340
|
Argo
Group International Holdings Ltd. |
1,119
|
33,133
|
Assured
Guaranty Ltd. |
700
|
39,060
|
Axis
Capital Holdings Ltd. |
900
|
48,447
|
Chubb
Ltd. |
4,869
|
937,575
|
Cincinnati
Financial Corp. |
1,965
|
191,234
|
Donegal
Group, Inc., Class A |
770
|
11,111
|
Employers
Holdings, Inc. |
898
|
33,594
|
Fidelity
National Financial, Inc. |
3,400
|
122,400
|
First
American Financial Corp. |
1,100
|
62,722
|
Hanover
Insurance Group, Inc. |
400
|
45,212
|
HCI
Group, Inc. |
292
|
18,040
|
Investors
Title Co. |
65
|
9,490
|
James
River Group Holdings Ltd. |
1,201
|
21,930
|
Kemper
Corp. |
1,000
|
48,260
|
Kinsale
Capital Group, Inc. |
192
|
71,846
|
Lemonade,
Inc. (a) |
1,679
|
28,291
|
Loews
Corp. |
2,600
|
154,388
|
|
Number
of Shares |
Fair
Value |
Markel
Group, Inc. (a) |
170
|
$
235,141 |
MBIA,
Inc. (a) |
1,546
|
13,357
|
Mercury
General Corp. |
878
|
26,577
|
NI
Holdings, Inc. (a) |
227
|
3,371
|
Old
Republic International Corp. |
3,110
|
78,279
|
Palomar
Holdings, Inc. (a) |
856
|
49,682
|
ProAssurance
Corp. |
1,776
|
26,800
|
Progressive
Corp. |
6,867
|
908,985
|
RLI
Corp. |
300
|
40,941
|
Safety
Insurance Group, Inc. |
503
|
36,075
|
Selective
Insurance Group, Inc. |
2,108
|
202,263
|
Skyward
Specialty Insurance Group, Inc. (a) |
451
|
11,455
|
Stewart
Information Services Corp. |
948
|
39,001
|
Tiptree,
Inc. |
781
|
11,723
|
Travelers
Cos., Inc. |
2,791
|
484,685
|
Trupanion,
Inc. (a) |
1,297
|
25,525
|
United
Fire Group, Inc. |
692
|
15,681
|
United
Insurance Holdings Corp. (a) |
683
|
3,046
|
Universal
Insurance Holdings, Inc. |
828
|
12,776
|
W
R Berkley Corp. |
2,531
|
150,746
|
White
Mountains Insurance Group Ltd. |
24
|
33,334
|
|
|
5,133,058
|
Publishing
- 0.0%* |
Daily
Journal Corp. (a) |
47
|
13,596
|
Gannett
Co., Inc. (a) |
6,998
|
15,746
|
John
Wiley & Sons, Inc., Class A |
1,506
|
51,249
|
New
York Times Co., Class A |
1,901
|
74,861
|
News
Corp., Class A |
5,394
|
105,183
|
News
Corp., Class B |
874
|
17,235
|
Scholastic
Corp. |
1,037
|
40,329
|
|
|
318,199
|
Rail
Transportation - 0.2% |
CSX
Corp. |
24,484
|
834,904
|
FTAI
Infrastructure, Inc. |
3,449
|
12,727
|
Norfolk
Southern Corp. |
2,638
|
598,193
|
Union
Pacific Corp. |
7,319
|
1,497,614
|
|
|
2,943,438
|
Real
Estate Development - 0.0%* |
Forestar
Group, Inc. (a) |
639
|
14,410
|
Howard
Hughes Corp. (a) |
400
|
31,568
|
Maui
Land & Pineapple Co., Inc. (a) |
263
|
3,745
|
Stratus
Properties, Inc. |
173
|
4,541
|
|
|
54,264
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
31
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Real
Estate Operating Companies - 0.0%* |
DigitalBridge
Group, Inc. |
5,725
|
$
84,215 |
FRP
Holdings, Inc. (a) |
291
|
16,753
|
Kennedy-Wilson
Holdings, Inc. |
4,123
|
67,329
|
Transcontinental
Realty Investors, Inc. (a) |
80
|
2,930
|
|
|
171,227
|
Real
Estate Services - 0.1% |
Anywhere
Real Estate, Inc. (a) |
3,483
|
23,267
|
CBRE
Group, Inc., Class A (a) |
3,882
|
313,316
|
Compass,
Inc., Class A (a) |
10,451
|
36,579
|
Cushman
& Wakefield PLC (a) |
5,636
|
46,103
|
Douglas
Elliman, Inc. |
3,725
|
8,270
|
eXp
World Holdings, Inc. |
2,469
|
50,071
|
Jones
Lang LaSalle, Inc. (a) |
500
|
77,900
|
Marcus
& Millichap, Inc. |
824
|
25,964
|
Newmark
Group, Inc., Class A |
4,438
|
27,604
|
Opendoor
Technologies, Inc. (a) |
19,027
|
76,489
|
RE/MAX
Holdings, Inc., Class A |
773
|
14,888
|
Redfin
Corp. (a) |
3,741
|
46,463
|
Zillow
Group, Inc., Class A (a) |
400
|
19,680
|
Zillow
Group, Inc., Class C (a) |
1,500
|
75,390
|
|
|
841,984
|
Regional
Banks - 0.7% |
1st
Source Corp. |
583
|
24,445
|
ACNB
Corp. |
404
|
13,401
|
Amalgamated
Financial Corp. |
818
|
13,162
|
Amerant
Bancorp, Inc. |
896
|
15,402
|
American
National Bankshares, Inc. |
324
|
9,389
|
Ameris
Bancorp |
2,307
|
78,922
|
Ames
National Corp. |
300
|
5,409
|
Arrow
Financial Corp. |
654
|
13,172
|
Associated
Banc-Corp. |
5,279
|
85,678
|
Atlantic
Union Bankshares Corp. |
2,612
|
67,781
|
Axos
Financial, Inc. (a) |
1,966
|
77,539
|
Banc
of California, Inc. |
1,903
|
22,037
|
BancFirst
Corp. |
768
|
70,656
|
Bancorp,
Inc. (a) |
1,907
|
62,264
|
Bank
First Corp. |
325
|
27,040
|
Bank
of Hawaii Corp. |
1,368
|
56,403
|
Bank
of Marin Bancorp |
721
|
12,740
|
Bank
OZK |
1,200
|
48,192
|
Bank7
Corp. |
130
|
3,189
|
BankUnited,
Inc. |
2,659
|
57,301
|
Bankwell
Financial Group, Inc. |
294
|
7,168
|
Banner
Corp. |
1,201
|
52,448
|
Bar
Harbor Bankshares |
468
|
11,531
|
BayCom
Corp. |
604
|
10,075
|
|
Number
of Shares |
Fair
Value |
BCB
Bancorp, Inc. |
722
|
$
8,476 |
Berkshire
Hills Bancorp, Inc. |
1,537
|
31,862
|
Blue
Foundry Bancorp (a) |
1,248
|
12,617
|
Blue
Ridge Bankshares, Inc. |
866
|
7,664
|
BOK
Financial Corp. |
300
|
24,234
|
Bridgewater
Bancshares, Inc. (a) |
1,007
|
9,919
|
Brookline
Bancorp, Inc. |
3,056
|
26,709
|
Burke
& Herbert Financial Services Corp. |
224
|
14,381
|
Business
First Bancshares, Inc. |
747
|
11,257
|
Byline
Bancorp, Inc. |
790
|
14,291
|
C&F
Financial Corp. |
114
|
6,122
|
Cadence
Bank |
6,379
|
125,284
|
Cambridge
Bancorp |
265
|
14,392
|
Camden
National Corp. |
463
|
14,339
|
Capital
Bancorp, Inc. |
466
|
8,435
|
Capital
City Bank Group, Inc. |
430
|
13,175
|
Capitol
Federal Financial, Inc. |
4,184
|
25,815
|
Capstar
Financial Holdings, Inc. |
952
|
11,681
|
Carter
Bankshares, Inc. (a) |
746
|
11,033
|
Cathay
General Bancorp |
2,431
|
78,254
|
Central
Pacific Financial Corp. |
855
|
13,432
|
Central
Valley Community Bancorp |
348
|
5,377
|
Chemung
Financial Corp. |
122
|
4,686
|
ChoiceOne
Financial Services, Inc. |
243
|
5,589
|
Citizens
& Northern Corp. |
471
|
9,090
|
Citizens
Financial Group, Inc. |
6,152
|
160,444
|
Citizens
Financial Services, Inc. |
151
|
11,245
|
City
Holding Co. |
518
|
46,615
|
Civista
Bancshares, Inc. |
750
|
13,050
|
CNB
Financial Corp. |
638
|
11,261
|
Coastal
Financial Corp. (a) |
479
|
18,034
|
Codorus
Valley Bancorp, Inc. |
334
|
6,550
|
Colony
Bankcorp, Inc. |
836
|
7,875
|
Columbia
Banking System, Inc. |
2,293
|
46,502
|
Columbia
Financial, Inc. (a) |
1,090
|
18,846
|
Comerica,
Inc. |
1,864
|
78,959
|
Commerce
Bancshares, Inc. |
1,623
|
79,040
|
Community
Bank System, Inc. |
1,831
|
85,837
|
Community
Financial Corp. |
179
|
4,849
|
Community
Trust Bancorp, Inc. |
508
|
18,070
|
ConnectOne
Bancorp, Inc. |
1,205
|
19,991
|
CrossFirst
Bankshares, Inc. (a) |
1,428
|
14,280
|
Cullen/Frost
Bankers, Inc. |
800
|
86,024
|
Customers
Bancorp, Inc. (a) |
1,093
|
33,074
|
CVB
Financial Corp. |
4,683
|
62,190
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
32
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Dime
Community Bancshares, Inc. |
1,219
|
$
21,491 |
Eagle
Bancorp, Inc. |
1,019
|
21,562
|
East
West Bancorp, Inc. |
1,893
|
99,931
|
Eastern
Bankshares, Inc. |
5,380
|
66,013
|
Enterprise
Bancorp, Inc. |
453
|
13,110
|
Enterprise
Financial Services Corp. |
1,241
|
48,523
|
Equity
Bancshares, Inc., Class A |
475
|
10,820
|
Esquire
Financial Holdings, Inc. |
239
|
10,932
|
ESSA
Bancorp, Inc. |
303
|
4,530
|
Evans
Bancorp, Inc. |
183
|
4,562
|
Farmers
& Merchants Bancorp, Inc. |
611
|
13,754
|
Farmers
National Banc Corp. |
1,290
|
15,957
|
FB
Financial Corp. |
1,275
|
35,764
|
Fidelity
D&D Bancorp, Inc. |
162
|
7,872
|
Fifth
Third Bancorp |
8,533
|
223,650
|
Financial
Institutions, Inc. |
732
|
11,522
|
First
Bancorp |
1,362
|
40,519
|
First
Bancorp, Inc. |
476
|
11,586
|
First
Bancshares, Inc. |
1,058
|
27,339
|
First
Bank |
789
|
8,190
|
First
Busey Corp. |
1,839
|
36,964
|
First
Business Financial Services, Inc. |
390
|
11,501
|
First
Citizens BancShares, Inc., Class A |
119
|
152,731
|
First
Commonwealth Financial Corp. |
3,583
|
45,325
|
First
Community Bankshares, Inc. |
615
|
18,284
|
First
Community Corp. |
257
|
4,462
|
First
Financial Bancorp |
3,253
|
66,491
|
First
Financial Bankshares, Inc. |
4,563
|
130,000
|
First
Financial Corp. |
352
|
11,429
|
First
Foundation, Inc. |
2,307
|
9,159
|
First
Hawaiian, Inc. |
1,200
|
21,612
|
First
Horizon Corp. |
5,900
|
66,493
|
First
Interstate BancSystem, Inc., Class A |
2,881
|
68,683
|
First
Merchants Corp. |
2,012
|
56,799
|
First
Mid Bancshares, Inc. |
599
|
14,460
|
First
of Long Island Corp. |
1,047
|
12,585
|
First
Western Financial, Inc. (a) |
408
|
7,589
|
Five
Star Bancorp |
589
|
13,176
|
Flushing
Financial Corp. |
887
|
10,901
|
FNB
Corp. |
4,000
|
45,760
|
FS
Bancorp, Inc. |
231
|
6,946
|
Fulton
Financial Corp. |
5,688
|
67,801
|
FVCBankcorp,
Inc. (a) |
757
|
8,153
|
|
Number
of Shares |
Fair
Value |
German
American Bancorp, Inc. |
909
|
$
24,707 |
Glacier
Bancorp, Inc. |
3,904
|
121,688
|
Great
Southern Bancorp, Inc. |
299
|
15,168
|
Greene
County Bancorp, Inc. |
348
|
10,370
|
Guaranty
Bancshares, Inc. |
403
|
10,913
|
Hancock
Whitney Corp. |
3,061
|
117,481
|
Hanmi
Financial Corp. |
977
|
14,587
|
HarborOne
Bancorp, Inc. |
1,412
|
12,256
|
HBT
Financial, Inc. |
595
|
10,972
|
Heartland
Financial USA, Inc. |
1,459
|
40,662
|
Heritage
Commerce Corp. |
1,885
|
15,608
|
Heritage
Financial Corp. |
1,128
|
18,240
|
Hilltop
Holdings, Inc. |
1,743
|
54,835
|
Hingham
Institution For Savings The |
68
|
14,496
|
Home
Bancorp, Inc. |
358
|
11,889
|
Home
BancShares, Inc. |
6,653
|
151,688
|
HomeStreet,
Inc. |
563
|
3,333
|
HomeTrust
Bancshares, Inc. |
658
|
13,746
|
Hope
Bancorp, Inc. |
3,826
|
32,215
|
Horizon
Bancorp, Inc. |
1,509
|
15,709
|
Huntington
Bancshares, Inc. |
18,046
|
194,536
|
Independent
Bank Corp. |
2,522
|
86,715
|
Independent
Bank Group, Inc. |
1,269
|
43,819
|
International
Bancshares Corp. |
1,866
|
82,477
|
John
Marshall Bancorp, Inc. |
567
|
11,391
|
Kearny
Financial Corp. |
1,909
|
13,458
|
Lakeland
Bancorp, Inc. |
2,046
|
27,396
|
Lakeland
Financial Corp. |
871
|
42,261
|
LCNB
Corp. |
368
|
5,432
|
Live
Oak Bancshares, Inc. |
1,173
|
30,862
|
Luther
Burbank Corp. |
775
|
6,913
|
M&T
Bank Corp. |
2,052
|
253,955
|
Macatawa
Bank Corp. |
1,283
|
11,906
|
MainStreet
Bancshares, Inc. |
243
|
5,506
|
Mercantile
Bank Corp. |
492
|
13,589
|
Metrocity
Bankshares, Inc. |
575
|
10,287
|
Metropolitan
Bank Holding Corp. (a) |
469
|
16,288
|
Mid
Penn Bancorp, Inc. |
452
|
9,980
|
Middlefield
Banc Corp. |
274
|
7,343
|
Midland
States Bancorp, Inc. |
676
|
13,459
|
MidWestOne
Financial Group, Inc. |
654
|
13,976
|
MVB
Financial Corp. |
507
|
10,688
|
National
Bank Holdings Corp., Class A |
1,284
|
37,287
|
National
Bankshares, Inc. |
201
|
5,867
|
NBT
Bancorp, Inc. |
1,471
|
46,851
|
New
York Community Bancorp, Inc. |
8,500
|
95,540
|
Nicolet
Bankshares, Inc. |
441
|
29,948
|
Northeast
Bank |
322
|
13,418
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
33
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Northeast
Community Bancorp, Inc. |
466
|
$
6,934 |
Northfield
Bancorp, Inc. |
1,371
|
15,054
|
Northrim
BanCorp, Inc. |
192
|
7,551
|
Northwest
Bancshares, Inc. |
4,290
|
45,474
|
Norwood
Financial Corp. |
257
|
7,589
|
Oak
Valley Bancorp |
235
|
5,920
|
OceanFirst
Financial Corp. |
1,912
|
29,865
|
Old
National Bancorp |
10,122
|
141,101
|
Old
Second Bancorp, Inc. |
1,370
|
17,892
|
Orange
County Bancorp, Inc. |
178
|
6,586
|
Origin
Bancorp, Inc. |
1,018
|
29,827
|
Orrstown
Financial Services, Inc. |
512
|
9,805
|
Pacific
Premier Bancorp, Inc. |
3,273
|
67,686
|
PacWest
Bancorp |
4,181
|
34,075
|
Park
National Corp. |
505
|
51,672
|
Parke
Bancorp, Inc. |
513
|
8,716
|
Pathward
Financial, Inc. |
960
|
44,506
|
PCB
Bancorp |
582
|
8,561
|
Peapack-Gladstone
Financial Corp. |
549
|
14,867
|
Penns
Woods Bancorp, Inc. |
239
|
5,982
|
Peoples
Bancorp, Inc. |
1,109
|
29,444
|
Peoples
Financial Services Corp. |
218
|
9,546
|
Pinnacle
Financial Partners, Inc. |
886
|
50,192
|
Pioneer
Bancorp, Inc. (a) |
624
|
5,585
|
Plumas
Bancorp |
191
|
6,817
|
Ponce
Financial Group, Inc. (a) |
713
|
6,196
|
Preferred
Bank |
433
|
23,811
|
Premier
Financial Corp. |
1,155
|
18,503
|
Primis
Financial Corp. |
1,102
|
9,279
|
Princeton
Bancorp, Inc. |
177
|
4,836
|
Prosperity
Bancshares, Inc. |
1,200
|
67,776
|
Provident
Financial Services, Inc. |
2,596
|
42,419
|
QCR
Holdings, Inc. |
575
|
23,592
|
RBB
Bancorp |
722
|
8,621
|
Red
River Bancshares, Inc. |
218
|
10,712
|
Regions
Financial Corp. |
11,677
|
208,084
|
Renasant
Corp. |
1,925
|
50,300
|
Republic
Bancorp, Inc., Class A |
274
|
11,645
|
S&T
Bancorp, Inc. |
1,390
|
37,794
|
Sandy
Spring Bancorp, Inc. |
1,557
|
35,313
|
Seacoast
Banking Corp. of Florida |
2,937
|
64,908
|
ServisFirst
Bancshares, Inc. |
1,783
|
72,960
|
Shore
Bancshares, Inc. |
872
|
10,080
|
Sierra
Bancorp |
676
|
11,472
|
Simmons
First National Corp., Class A |
4,403
|
75,952
|
SmartFinancial,
Inc. |
489
|
10,518
|
|
Number
of Shares |
Fair
Value |
South
Plains Financial, Inc. |
486
|
$
10,940 |
Southern
First Bancshares, Inc. (a) |
372
|
9,207
|
Southern
Missouri Bancorp, Inc. |
367
|
14,111
|
Southern
States Bancshares, Inc. |
261
|
5,507
|
Southside
Bancshares, Inc. |
989
|
25,872
|
SouthState
Corp. |
2,665
|
175,357
|
Stellar
Bancorp, Inc. |
1,704
|
39,005
|
Sterling
Bancorp, Inc. (a) |
434
|
2,374
|
Stock
Yards Bancorp, Inc. |
1,016
|
46,096
|
Summit
Financial Group, Inc. |
548
|
11,322
|
Synovus
Financial Corp. |
1,618
|
48,944
|
Texas
Capital Bancshares, Inc. (a) |
1,683
|
86,674
|
Third
Coast Bancshares, Inc. (a) |
638
|
10,125
|
Timberland
Bancorp, Inc. |
263
|
6,728
|
Tompkins
Financial Corp. |
456
|
25,399
|
Towne
Bank |
2,415
|
56,125
|
TriCo
Bancshares |
1,110
|
36,852
|
Triumph
Financial, Inc. (a) |
815
|
49,487
|
Truist
Financial Corp. |
15,198
|
461,259
|
TrustCo
Bank Corp. NY |
607
|
17,366
|
Trustmark
Corp. |
2,157
|
45,556
|
UMB
Financial Corp. |
1,550
|
94,395
|
United
Bankshares, Inc. |
4,594
|
136,304
|
United
Community Banks, Inc. |
4,031
|
100,735
|
Unity
Bancorp, Inc. |
364
|
8,587
|
Univest
Financial Corp. |
937
|
16,941
|
USCB
Financial Holdings, Inc. (a) |
296
|
3,019
|
Valley
National Bancorp |
14,888
|
115,382
|
Veritex
Holdings, Inc. |
1,872
|
33,565
|
Virginia
National Bankshares Corp. |
165
|
5,305
|
Washington
Federal, Inc. |
2,263
|
60,015
|
Washington
Trust Bancorp, Inc. |
553
|
14,826
|
Webster
Financial Corp. |
2,172
|
81,993
|
WesBanco,
Inc. |
2,021
|
51,758
|
West
BanCorp, Inc. |
785
|
14,452
|
Westamerica
BanCorp |
928
|
35,542
|
Western
Alliance Bancorp |
1,100
|
40,117
|
Wintrust
Financial Corp. |
900
|
65,358
|
WSFS
Financial Corp. |
2,136
|
80,570
|
Zions
Bancorp NA |
1,575
|
42,304
|
|
|
9,264,328
|
Reinsurance
- 0.1% |
Enstar
Group Ltd. (a) |
416
|
101,604
|
Everest
Re Group Ltd. |
435
|
148,709
|
Greenlight
Capital Re Ltd., Class A (a) |
1,282
|
13,506
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
34
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Maiden
Holdings Ltd. (a) |
3,163
|
$
6,642 |
Reinsurance
Group of America, Inc. |
800
|
110,952
|
Swiss
Re AG |
4,572
|
460,894
|
|
|
842,307
|
Renewable
Electricity - 0.0%* |
Altus
Power, Inc. (a) |
2,938
|
15,865
|
Brookfield
Renewable Corp., Class A |
3,200
|
100,981
|
Clearway
Energy, Inc., Class C |
300
|
8,568
|
Montauk
Renewables, Inc. (a) |
2,061
|
15,334
|
Ormat
Technologies, Inc. |
1,872
|
150,621
|
Sunnova
Energy International, Inc. (a) |
3,471
|
63,554
|
|
|
354,923
|
Research
& Consulting Services - 0.3% |
Blacksky
Technology, Inc. (a) |
4,119
|
9,144
|
Booz
Allen Hamilton Holding Corp. |
1,624
|
181,239
|
CACI
International, Inc., Class A (a) |
269
|
91,686
|
CBIZ,
Inc. (a) |
1,671
|
89,031
|
Clarivate
PLC (a) |
5,512
|
52,529
|
CoStar
Group, Inc. (a) |
5,028
|
447,492
|
CRA
International, Inc. |
227
|
23,154
|
Dun
& Bradstreet Holdings, Inc. |
3,900
|
45,123
|
Equifax,
Inc. |
1,491
|
350,832
|
Experian
PLC |
13,966
|
536,599
|
Exponent,
Inc. |
1,782
|
166,296
|
FiscalNote
Holdings, Inc. (a) |
2,170
|
7,899
|
Forrester
Research, Inc. (a) |
358
|
10,414
|
Franklin
Covey Co. (a) |
390
|
17,035
|
FTI
Consulting, Inc. (a) |
400
|
76,080
|
Huron
Consulting Group, Inc. (a) |
689
|
58,503
|
ICF
International, Inc. |
643
|
79,983
|
Innodata,
Inc. (a) |
879
|
9,959
|
Jacobs
Solutions, Inc. |
1,600
|
190,224
|
KBR,
Inc. |
1,700
|
110,602
|
Legalzoom.com,
Inc. (a) |
3,630
|
43,851
|
Leidos
Holdings, Inc. |
1,591
|
140,772
|
Mistras
Group, Inc. (a) |
726
|
5,605
|
NV5
Global, Inc. (a) |
478
|
52,948
|
Planet
Labs PBC (a) |
6,369
|
20,508
|
Red
Violet, Inc. (a) |
493
|
10,141
|
Resources
Connection, Inc. |
1,033
|
16,229
|
Science
Applications International Corp. |
600
|
67,488
|
TransUnion
|
2,489
|
194,963
|
Verisk
Analytics, Inc. |
1,746
|
394,648
|
|
Number
of Shares |
Fair
Value |
Willdan
Group, Inc. (a) |
588
|
$
11,266 |
|
|
3,512,243
|
Restaurants
- 0.5% |
Aramark
|
2,900
|
124,845
|
Biglari
Holdings, Inc., Class B (a) |
39
|
7,688
|
BJ's
Restaurants, Inc. (a) |
737
|
23,437
|
Bloomin'
Brands, Inc. |
3,044
|
81,853
|
Brinker
International, Inc. (a) |
1,518
|
55,559
|
Carrols
Restaurant Group, Inc. (a) |
1,281
|
6,456
|
Cheesecake
Factory, Inc. |
1,693
|
58,544
|
Chipotle
Mexican Grill, Inc. (a) |
315
|
673,785
|
Chuy's
Holdings, Inc. (a) |
582
|
23,757
|
Cracker
Barrel Old Country Store, Inc. |
770
|
71,749
|
Darden
Restaurants, Inc. |
1,500
|
250,620
|
Dave
& Buster's Entertainment, Inc. (a) |
1,502
|
66,929
|
Denny's
Corp. (a) |
1,808
|
22,275
|
Dine
Brands Global, Inc. |
545
|
31,626
|
Domino's
Pizza, Inc. |
380
|
128,056
|
DoorDash,
Inc., Class A (a) |
3,300
|
252,186
|
El
Pollo Loco Holdings, Inc. |
971
|
8,516
|
Fiesta
Restaurant Group, Inc. (a) |
617
|
4,899
|
First
Watch Restaurant Group, Inc. (a) |
745
|
12,590
|
Jack
in the Box, Inc. |
723
|
70,514
|
Krispy
Kreme, Inc. |
3,052
|
44,956
|
Kura
Sushi USA, Inc., Class A (a) |
203
|
18,869
|
McDonald's
Corp. |
8,560
|
2,554,390
|
Nathan's
Famous, Inc. |
98
|
7,697
|
Noodles
& Co. (a) |
2,040
|
6,895
|
ONE
Group Hospitality, Inc. (a) |
1,141
|
8,352
|
Papa
John's International, Inc. |
1,217
|
89,851
|
Portillo's,
Inc., Class A (a) |
1,481
|
33,367
|
Potbelly
Corp. (a) |
910
|
7,990
|
Red
Robin Gourmet Burgers, Inc. (a) |
553
|
7,648
|
Shake
Shack, Inc., Class A (a) |
1,304
|
101,347
|
Starbucks
Corp. |
13,580
|
1,345,235
|
Sweetgreen,
Inc., Class A (a) |
3,381
|
43,344
|
Texas
Roadhouse, Inc. |
600
|
67,368
|
Wendy's
Co. |
1,700
|
36,975
|
Wingstop,
Inc. |
200
|
40,032
|
Yum!
Brands, Inc. |
3,181
|
440,728
|
|
|
6,830,928
|
Retail
REITs - 0.2% |
Acadia
Realty Trust |
3,307
|
47,588
|
Agree
Realty Corp. |
700
|
45,773
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
35
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Alexander's,
Inc. |
68
|
$
12,502 |
Brixmor
Property Group, Inc. |
3,500
|
77,000
|
CBL
& Associates Properties, Inc. |
868
|
19,131
|
Federal
Realty Investment Trust |
900
|
87,093
|
Getty
Realty Corp. |
1,563
|
52,861
|
InvenTrust
Properties Corp. |
2,369
|
54,819
|
Kimco
Realty Corp. |
7,534
|
148,570
|
Kite
Realty Group Trust |
7,661
|
171,147
|
Macerich
Co. |
7,501
|
84,536
|
Necessity
Retail REIT, Inc. |
4,793
|
32,401
|
NETSTREIT
Corp. |
2,136
|
38,170
|
NNN
REIT, Inc. |
1,800
|
77,022
|
Phillips
Edison & Co., Inc. |
4,130
|
140,750
|
Realty
Income Corp. |
7,797
|
466,183
|
Regency
Centers Corp. |
2,100
|
129,717
|
Retail
Opportunity Investments Corp. |
4,216
|
56,958
|
RPT
Realty |
3,008
|
31,434
|
Saul
Centers, Inc. |
378
|
13,922
|
Simon
Property Group, Inc. |
3,763
|
434,551
|
SITE
Centers Corp. |
6,589
|
87,107
|
Spirit
Realty Capital, Inc. |
1,600
|
63,008
|
Tanger
Factory Outlet Centers, Inc. |
3,535
|
78,017
|
Urban
Edge Properties |
3,996
|
61,658
|
Urstadt
Biddle Properties, Inc., Class A |
918
|
19,517
|
Whitestone
REIT |
1,490
|
14,453
|
|
|
2,545,888
|
Security
& Alarm Services - 0.0%* |
Brink's
Co. |
1,609
|
109,138
|
CoreCivic,
Inc. (a) |
3,767
|
35,447
|
GEO
Group, Inc. (a) |
3,897
|
27,903
|
|
|
172,488
|
Self
Storage REITs - 0.1% |
CubeSmart
|
2,800
|
125,048
|
Extra
Space Storage, Inc. |
1,617
|
240,691
|
Life
Storage, Inc. |
1,048
|
139,342
|
National
Storage Affiliates Trust |
1,300
|
45,279
|
Public
Storage |
1,908
|
556,907
|
|
|
1,107,267
|
Semiconductor
Materials & Equipment - 0.4% |
ACM
Research, Inc., Class A (a) |
1,543
|
20,182
|
Aehr
Test Systems (a) |
902
|
37,208
|
Amkor
Technology, Inc. |
3,533
|
105,107
|
Applied
Materials, Inc. |
10,034
|
1,450,314
|
Atomera,
Inc. (a) |
634
|
5,560
|
Axcelis
Technologies, Inc. (a) |
1,144
|
209,730
|
|
Number
of Shares |
Fair
Value |
Cohu,
Inc. (a) |
1,644
|
$
68,325 |
Enphase
Energy, Inc. (a) |
1,646
|
275,672
|
Entegris,
Inc. |
1,882
|
208,563
|
FormFactor,
Inc. (a) |
2,685
|
91,881
|
Ichor
Holdings Ltd. (a) |
1,004
|
37,650
|
inTEST
Corp. (a) |
374
|
9,821
|
KLA
Corp. |
1,623
|
787,187
|
Lam
Research Corp. |
1,579
|
1,015,076
|
MKS
Instruments, Inc. |
800
|
86,480
|
Onto
Innovation, Inc. (a) |
1,742
|
202,891
|
PDF
Solutions, Inc. (a) |
1,062
|
47,896
|
Photronics,
Inc. (a) |
2,117
|
54,597
|
Teradyne,
Inc. |
1,929
|
214,756
|
Ultra
Clean Holdings, Inc. (a) |
1,589
|
61,113
|
Veeco
Instruments, Inc. (a) |
1,791
|
45,993
|
|
|
5,036,002
|
Semiconductors
- 2.2% |
Advanced
Micro Devices, Inc. (a) |
19,200
|
2,187,072
|
Alpha
& Omega Semiconductor Ltd. (a) |
808
|
26,502
|
Ambarella,
Inc. (a) |
1,289
|
107,851
|
Analog
Devices, Inc. |
6,069
|
1,182,302
|
Broadcom,
Inc. |
4,830
|
4,189,687
|
CEVA,
Inc. (a) |
743
|
18,984
|
Cirrus
Logic, Inc. (a) |
600
|
48,606
|
Credo
Technology Group Holding Ltd. (a) |
3,448
|
59,788
|
Diodes,
Inc. (a) |
1,575
|
145,672
|
First
Solar, Inc. (a) |
1,311
|
249,208
|
GLOBALFOUNDRIES,
Inc. (a) |
700
|
45,206
|
Impinj,
Inc. (a) |
801
|
71,810
|
Intel
Corp. |
49,603
|
1,658,724
|
Lattice
Semiconductor Corp. (a) |
1,700
|
163,319
|
MACOM
Technology Solutions Holdings, Inc. (a) |
1,876
|
122,934
|
Marvell
Technology, Inc. |
9,821
|
587,099
|
Maxeon
Solar Technologies Ltd. (a) |
879
|
24,753
|
MaxLinear,
Inc. (a) |
2,610
|
82,372
|
Microchip
Technology, Inc. |
6,138
|
549,903
|
Micron
Technology, Inc. |
12,790
|
807,177
|
Monolithic
Power Systems, Inc. |
507
|
273,897
|
Navitas
Semiconductor Corp. (a) |
3,557
|
37,491
|
NVE
Corp. |
166
|
16,175
|
NVIDIA
Corp. |
28,292
|
11,968,082
|
ON
Semiconductor Corp. (a) |
5,017
|
474,508
|
Parade
Technologies Ltd. |
1,000
|
34,665
|
Power
Integrations, Inc. |
1,987
|
188,109
|
Qorvo,
Inc. (a) |
1,297
|
132,333
|
QUALCOMM,
Inc. |
13,434
|
1,599,183
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
36
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Rambus,
Inc. (a) |
3,802
|
$
243,974 |
Semtech
Corp. (a) |
2,228
|
56,725
|
Silicon
Laboratories, Inc. (a) |
1,109
|
174,934
|
SiTime
Corp. (a) |
599
|
70,664
|
SkyWater
Technology, Inc. (a) |
616
|
5,803
|
Skyworks
Solutions, Inc. |
1,973
|
218,391
|
SMART
Global Holdings, Inc. (a) |
1,720
|
49,897
|
Synaptics,
Inc. (a) |
1,370
|
116,970
|
Texas
Instruments, Inc. |
10,792
|
1,942,776
|
Transphorm,
Inc. (a) |
571
|
1,941
|
Universal
Display Corp. |
487
|
70,191
|
Wolfspeed,
Inc. (a) |
1,679
|
93,336
|
|
|
30,099,014
|
Silver
- 0.0%* |
Hecla
Mining Co. |
20,944
|
107,862
|
Single-Family
Residential REITs - 0.1% |
American
Homes 4 Rent, Class A |
4,100
|
145,345
|
Equity
LifeStyle Properties, Inc. |
2,302
|
153,981
|
Invitation
Homes, Inc. |
7,670
|
263,848
|
Sun
Communities, Inc. |
1,520
|
198,299
|
UMH
Properties, Inc. |
1,918
|
30,650
|
|
|
792,123
|
Soft
Drinks & Non-alcoholic Beverages - 0.5% |
Celsius
Holdings, Inc. (a) |
500
|
74,595
|
Coca-Cola
Co. |
46,038
|
2,772,408
|
Coca-Cola
Consolidated, Inc. |
166
|
105,579
|
Keurig
Dr Pepper, Inc. |
10,691
|
334,308
|
Monster
Beverage Corp. (a) |
8,604
|
494,214
|
National
Beverage Corp. (a) |
843
|
40,759
|
PepsiCo,
Inc. |
16,363
|
3,030,755
|
Primo
Water Corp. |
5,405
|
67,779
|
Vita
Coco Co., Inc. (a) |
996
|
26,763
|
Zevia
PBC, Class A (a) |
869
|
3,745
|
|
|
6,950,905
|
Specialized
Consumer Services - 0.0%* |
Carriage
Services, Inc. |
421
|
13,670
|
European
Wax Center, Inc., Class A (a) |
1,190
|
22,170
|
Frontdoor,
Inc. (a) |
2,878
|
91,808
|
H&R
Block, Inc. |
2,000
|
63,740
|
Rover
Group, Inc. (a) |
2,978
|
14,622
|
Service
Corp. International |
1,878
|
121,300
|
WW
International, Inc. (a) |
1,710
|
11,491
|
|
|
338,801
|
Specialized
Finance - 0.0%* |
Acacia
Research Corp. (a) |
1,325
|
5,512
|
|
Number
of Shares |
Fair
Value |
A-Mark
Precious Metals, Inc. |
666
|
$
24,932 |
SWK
Holdings Corp. (a) |
217
|
3,632
|
|
|
34,076
|
Specialty
Chemicals - 0.3% |
Albemarle
Corp. |
1,437
|
320,580
|
Amyris,
Inc. (a) |
9,925
|
10,223
|
Ashland,
Inc. |
700
|
60,837
|
Aspen
Aerogels, Inc. (a) |
2,186
|
17,248
|
Avient
Corp. |
3,146
|
128,671
|
Axalta
Coating Systems Ltd. (a) |
2,500
|
82,025
|
Balchem
Corp. |
1,120
|
150,987
|
Celanese
Corp. |
1,300
|
150,540
|
Chase
Corp. |
270
|
32,729
|
Danimer
Scientific, Inc. (a) |
3,007
|
7,157
|
Diversey
Holdings Ltd. (a) |
2,540
|
21,311
|
DuPont
de Nemours, Inc. |
5,676
|
405,494
|
Eastman
Chemical Co. |
1,377
|
115,282
|
Ecolab,
Inc. |
2,840
|
530,200
|
Ecovyst,
Inc. (a) |
3,320
|
38,047
|
Element
Solutions, Inc. |
2,400
|
46,080
|
FutureFuel
Corp. |
1,304
|
11,540
|
Ginkgo
Bioworks Holdings, Inc. (a) |
14,700
|
27,342
|
HB
Fuller Co. |
1,894
|
135,440
|
Ingevity
Corp. (a) |
1,287
|
74,852
|
Innospec,
Inc. |
873
|
87,684
|
International
Flavors & Fragrances, Inc. |
3,213
|
255,723
|
Livent
Corp. (a) |
6,295
|
172,672
|
Minerals
Technologies, Inc. |
1,130
|
65,190
|
NewMarket
Corp. |
75
|
30,159
|
Perimeter
Solutions SA (a) |
5,462
|
33,591
|
PPG
Industries, Inc. |
2,691
|
399,075
|
Quaker
Chemical Corp. |
484
|
94,332
|
Rayonier
Advanced Materials, Inc. (a) |
1,947
|
8,333
|
RPM
International, Inc. |
1,636
|
146,798
|
Sensient
Technologies Corp. |
1,473
|
104,775
|
Sherwin-Williams
Co. |
2,808
|
745,580
|
Stepan
Co. |
745
|
71,192
|
Valhi,
Inc. |
60
|
771
|
|
|
4,582,460
|
Steel
- 0.1% |
Alpha
Metallurgical Resources, Inc. |
452
|
74,291
|
ATI,
Inc. (a) |
4,498
|
198,946
|
Carpenter
Technology Corp. |
1,686
|
94,635
|
Cleveland-Cliffs,
Inc. (a) |
6,337
|
106,208
|
Commercial
Metals Co. |
4,094
|
215,590
|
Haynes
International, Inc. |
402
|
20,430
|
Nucor
Corp. |
2,993
|
490,792
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
37
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Olympic
Steel, Inc. |
309
|
$
15,141 |
Ramaco
Resources, Inc., Class B (a) |
226
|
2,396
|
Ramaco
Resources, Inc., Class A |
1,129
|
9,529
|
Reliance
Steel & Aluminum Co. |
698
|
189,570
|
Ryerson
Holding Corp. |
785
|
34,053
|
Schnitzer
Steel Industries, Inc., Class A |
841
|
25,222
|
Steel
Dynamics, Inc. |
2,102
|
228,971
|
SunCoke
Energy, Inc. |
2,720
|
21,406
|
TimkenSteel
Corp. (a) |
1,449
|
31,255
|
U.S.
Steel Corp. |
2,600
|
65,026
|
Warrior
Met Coal, Inc. |
1,795
|
69,915
|
Worthington
Industries, Inc. |
1,096
|
76,139
|
|
|
1,969,515
|
Systems
Software - 2.7% |
A10
Networks, Inc. |
2,462
|
35,921
|
Adeia,
Inc. |
3,713
|
40,880
|
Appian
Corp., Class A (a) |
1,404
|
66,830
|
CommVault
Systems, Inc. (a) |
1,569
|
113,941
|
Crowdstrike
Holdings, Inc., Class A (a) |
2,510
|
368,644
|
CyberArk
Software Ltd. (a) |
600
|
93,798
|
Dolby
Laboratories, Inc., Class A |
657
|
54,978
|
Fortinet,
Inc. (a) |
7,555
|
571,082
|
Gen
Digital, Inc. |
6,913
|
128,236
|
Gitlab,
Inc., Class A (a) |
400
|
20,444
|
Microsoft
Corp. |
88,650
|
30,188,871
|
Monday.com
Ltd. (a) |
293
|
50,167
|
N-able,
Inc. (a) |
2,438
|
35,132
|
OneSpan,
Inc. (a) |
1,293
|
19,188
|
Oracle
Corp. |
18,145
|
2,160,888
|
Palo
Alto Networks, Inc. (a) |
3,541
|
904,761
|
Progress
Software Corp. |
1,494
|
86,801
|
Qualys,
Inc. (a) |
1,297
|
167,534
|
Rapid7,
Inc. (a) |
2,092
|
94,726
|
SentinelOne,
Inc., Class A (a) |
2,400
|
36,240
|
ServiceNow,
Inc. (a) |
2,428
|
1,364,463
|
SolarWinds
Corp. (a) |
1,782
|
18,283
|
Tenable
Holdings, Inc. (a) |
3,996
|
174,026
|
Teradata
Corp. (a) |
1,100
|
58,751
|
UiPath,
Inc., Class A (a) |
4,800
|
79,536
|
Varonis
Systems, Inc. (a) |
3,805
|
101,403
|
VMware,
Inc., Class A (a) |
2,639
|
379,198
|
Xperi,
Inc. (a) |
1,328
|
17,463
|
Zscaler,
Inc. (a) |
1,079
|
157,858
|
Zuora,
Inc., Class A (a) |
4,447
|
48,784
|
|
|
37,638,827
|
Technology
Distributors - 0.1% |
Arrow
Electronics, Inc. (a) |
667
|
95,534
|
|
Number
of Shares |
Fair
Value |
Avnet,
Inc. |
1,000
|
$
50,450 |
CDW
Corp. |
1,671
|
306,628
|
Climb
Global Solutions, Inc. |
145
|
6,940
|
ePlus,
Inc. (a) |
936
|
52,697
|
Insight
Enterprises, Inc. (a) |
1,001
|
146,486
|
PC
Connection, Inc. |
362
|
16,326
|
Richardson
Electronics Ltd. |
417
|
6,881
|
ScanSource,
Inc. (a) |
825
|
24,387
|
TD
SYNNEX Corp. |
500
|
47,000
|
|
|
753,329
|
Technology
Hardware, Storage & Peripherals - 2.6% |
Apple,
Inc. |
177,666
|
34,461,681
|
Avid
Technology, Inc. (a) |
1,149
|
29,299
|
CompoSecure,
Inc. (a) |
573
|
3,931
|
Corsair
Gaming, Inc. (a) |
1,317
|
23,364
|
CPI
Card Group, Inc. (a) |
148
|
3,441
|
Eastman
Kodak Co. (a) |
2,847
|
13,153
|
Hewlett
Packard Enterprise Co. |
16,084
|
270,211
|
HP,
Inc. |
10,538
|
323,622
|
Immersion
Corp. |
1,091
|
7,724
|
Intevac,
Inc. (a) |
889
|
3,334
|
IonQ,
Inc. (a) |
5,604
|
75,822
|
NetApp,
Inc. |
2,567
|
196,119
|
Pure
Storage, Inc., Class A (a) |
3,700
|
136,234
|
Super
Micro Computer, Inc. (a) |
1,617
|
403,037
|
Turtle
Beach Corp. (a) |
547
|
6,372
|
Western
Digital Corp. (a) |
4,000
|
151,720
|
Xerox
Holdings Corp. |
3,993
|
59,456
|
|
|
36,168,520
|
Telecom
Tower REITs - 0.1% |
American
Tower Corp. |
5,434
|
1,053,870
|
Crown
Castle, Inc. |
5,005
|
570,270
|
SBA
Communications Corp. |
1,315
|
304,764
|
|
|
1,928,904
|
Timber
REITs - 0.0%* |
PotlatchDeltic
Corp. |
2,748
|
145,232
|
Rayonier,
Inc. |
1,600
|
50,240
|
Weyerhaeuser
Co. |
9,193
|
308,057
|
|
|
503,529
|
Tires
& Rubber - 0.0%* |
Goodyear
Tire & Rubber Co. (a) |
9,878
|
135,131
|
Tobacco
- 0.2% |
Altria
Group, Inc. |
21,007
|
951,617
|
Philip
Morris International, Inc. |
18,391
|
1,795,329
|
Turning
Point Brands, Inc. |
693
|
16,639
|
Universal
Corp. |
852
|
42,549
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
38
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Vector
Group Ltd. |
5,016
|
$
64,255 |
|
|
2,870,389
|
Trading
Companies & Distributors - 0.3% |
Air
Lease Corp. |
1,200
|
50,220
|
Alta
Equipment Group, Inc. |
663
|
11,490
|
Applied
Industrial Technologies, Inc. |
1,341
|
194,217
|
Beacon
Roofing Supply, Inc. (a) |
1,705
|
141,481
|
BlueLinx
Holdings, Inc. (a) |
315
|
29,541
|
Boise
Cascade Co. |
1,390
|
125,586
|
Core
& Main, Inc., Class A (a) |
700
|
21,938
|
Custom
Truck One Source, Inc. (a) |
1,894
|
12,766
|
Distribution
Solutions Group, Inc. (a) |
158
|
8,225
|
DXP
Enterprises, Inc. (a) |
484
|
17,622
|
EVI
Industries, Inc. (a) |
165
|
3,630
|
Fastenal
Co. |
6,537
|
385,618
|
Ferguson
PLC |
2,300
|
361,813
|
FTAI
Aviation Ltd. |
3,471
|
109,892
|
GATX
Corp. |
1,238
|
159,380
|
Global
Industrial Co. |
409
|
11,358
|
GMS,
Inc. (a) |
1,435
|
99,302
|
H&E
Equipment Services, Inc. |
1,132
|
51,789
|
Herc
Holdings, Inc. |
986
|
134,934
|
Hudson
Technologies, Inc. (a) |
1,361
|
13,093
|
Karat
Packaging, Inc. |
334
|
6,096
|
McGrath
RentCorp |
843
|
77,961
|
MRC
Global, Inc. (a) |
2,936
|
29,566
|
MSC
Industrial Direct Co., Inc., Class A |
498
|
47,449
|
NOW,
Inc. (a) |
3,646
|
37,773
|
Rush
Enterprises, Inc., Class A |
1,450
|
88,073
|
Rush
Enterprises, Inc., Class B |
208
|
14,156
|
SiteOne
Landscape Supply, Inc. (a) |
500
|
83,680
|
Titan
Machinery, Inc. (a) |
656
|
19,352
|
Transcat,
Inc. (a) |
258
|
22,010
|
United
Rentals, Inc. |
844
|
375,892
|
Univar
Solutions, Inc. (a) |
2,000
|
71,680
|
Veritiv
Corp. |
460
|
57,781
|
Watsco,
Inc. |
420
|
160,217
|
WESCO
International, Inc. |
500
|
89,530
|
Willis
Lease Finance Corp. (a) |
99
|
3,874
|
WW
Grainger, Inc. |
526
|
414,798
|
Xometry,
Inc., Class A (a) |
1,230
|
26,051
|
|
|
3,569,834
|
Transaction
& Payment Processing Services - 0.9% |
Affirm
Holdings, Inc. (a) |
3,500
|
53,655
|
|
Number
of Shares |
Fair
Value |
AvidXchange
Holdings, Inc. (a) |
5,161
|
$
53,571 |
Block,
Inc. (a) |
6,132
|
408,207
|
Cantaloupe,
Inc. (a) |
1,790
|
14,248
|
Cass
Information Systems, Inc. |
435
|
16,869
|
Euronet
Worldwide, Inc. (a) |
500
|
58,685
|
Fidelity
National Information Services, Inc. |
6,768
|
370,210
|
Fiserv,
Inc. (a) |
7,147
|
901,594
|
FleetCor
Technologies, Inc. (a) |
888
|
222,959
|
Flywire
Corp. (a) |
3,349
|
103,953
|
Global
Payments, Inc. |
2,913
|
286,989
|
I3
Verticals, Inc., Class A (a) |
746
|
17,054
|
International
Money Express, Inc. (a) |
1,026
|
25,168
|
Jack
Henry & Associates, Inc. |
938
|
156,955
|
Marqeta,
Inc., Class A (a) |
17,088
|
83,218
|
Mastercard,
Inc., Class A |
10,050
|
3,952,665
|
Payoneer
Global, Inc. (a) |
9,239
|
44,440
|
PayPal
Holdings, Inc. (a) |
13,431
|
896,251
|
Paysafe
Ltd. (a) |
1,131
|
11,412
|
Paysign,
Inc. (a) |
1,138
|
2,788
|
Priority
Technology Holdings, Inc. (a) |
431
|
1,560
|
Remitly
Global, Inc. (a) |
2,940
|
55,331
|
Repay
Holdings Corp. (a) |
2,837
|
22,214
|
Shift4
Payments, Inc., Class A (a) |
600
|
40,746
|
Toast,
Inc., Class A (a) |
3,800
|
85,766
|
Visa,
Inc., Class A |
19,366
|
4,599,038
|
Western
Union Co. |
4,000
|
46,920
|
WEX,
Inc. (a) |
492
|
89,578
|
|
|
12,622,044
|
Water
Utilities - 0.1% |
American
States Water Co. |
1,277
|
111,099
|
American
Water Works Co., Inc. |
2,232
|
318,618
|
Artesian
Resources Corp., Class A |
264
|
12,466
|
Cadiz,
Inc. (a) |
1,413
|
5,737
|
California
Water Service Group |
1,956
|
100,988
|
Essential
Utilities, Inc. |
2,900
|
115,739
|
Global
Water Resources, Inc. |
695
|
8,812
|
Middlesex
Water Co. |
612
|
49,364
|
Pure
Cycle Corp. (a) |
688
|
7,568
|
SJW
Group |
1,081
|
75,789
|
York
Water Co. |
462
|
19,067
|
|
|
825,247
|
Wireless
Telecommunication Services - 0.1% |
Gogo,
Inc. (a) |
2,311
|
39,310
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
39
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Shenandoah
Telecommunications Co. |
1,744
|
$
33,886 |
Spok
Holdings, Inc. |
619
|
8,227
|
Telephone
& Data Systems, Inc. |
3,331
|
27,414
|
T-Mobile
US Inc. (a) |
6,615
|
918,823
|
|
|
1,027,660
|
Total
Common Stock (Cost $534,900,240) |
|
587,150,885
|
Total
Domestic Equity (Cost $534,900,240) |
|
587,150,885
|
Foreign
Equity - 25.1% |
Common
Stock - 24.9% |
Advertising
- 0.1% |
CyberAgent,
Inc. |
7,400
|
54,006
|
Dentsu
Group, Inc. |
3,200
|
105,064
|
Focus
Media Information Technology Co. Ltd., Class A |
10,900
|
10,207
|
Gambling.com
Group Ltd. (a) |
503
|
5,151
|
Hakuhodo
DY Holdings, Inc. |
3,600
|
37,938
|
Informa
PLC |
21,423
|
198,012
|
Publicis
Groupe SA |
3,449
|
276,753
|
WPP
PLC |
16,089
|
168,821
|
|
|
855,952
|
Aerospace
& Defense - 0.3% |
AECC
Aviation Power Co. Ltd., Class A |
2,100
|
12,222
|
Airbus
SE |
8,976
|
1,297,528
|
Aselsan
Elektronik Sanayi Ve Ticaret AS |
7,417
|
15,519
|
AviChina
Industry & Technology Co. Ltd., Class H |
35,000
|
17,026
|
BAE
Systems PLC |
46,881
|
553,373
|
Bharat
Electronics Ltd. |
52,882
|
81,213
|
CAE,
Inc. (a) |
5,100
|
114,275
|
Dassault
Aviation SA |
368
|
73,716
|
Elbit
Systems Ltd. |
392
|
81,952
|
Hanwha
Aerospace Co. Ltd. |
501
|
48,522
|
Hindustan
Aeronautics Ltd. |
1,227
|
56,829
|
Kongsberg
Gruppen ASA |
1,281
|
58,336
|
Korea
Aerospace Industries Ltd. |
1,232
|
50,035
|
Kuang-Chi
Technologies Co. Ltd., Class A |
3,100
|
6,517
|
MTU
Aero Engines AG |
804
|
208,495
|
Rheinmetall
AG |
655
|
179,406
|
Rolls-Royce
Holdings PLC (a) |
126,170
|
242,883
|
Saab
AB, Class B |
1,229
|
66,435
|
Safran
SA |
5,193
|
813,644
|
Singapore
Technologies Engineering Ltd. |
22,700
|
61,897
|
|
Number
of Shares |
Fair
Value |
Thales
SA |
1,609
|
$
241,031 |
|
|
4,280,854
|
Agricultural
& Farm Machinery - 0.0%* |
CNH
Industrial NV |
25,309
|
364,757
|
Husqvarna
AB, Class B |
7,171
|
64,971
|
Kubota
Corp. |
15,300
|
223,603
|
|
|
653,331
|
Agricultural
Products & Services - 0.0%* |
Beijing
Dabeinong Technology Group Co. Ltd., Class A |
7,600
|
6,898
|
Charoen
Pokphand Indonesia Tbk PT (a) |
89,500
|
31,460
|
IOI
Corp. Bhd |
38,800
|
31,063
|
Kuala
Lumpur Kepong Bhd |
6,800
|
32,060
|
New
Hope Liuhe Co. Ltd., Class A (a) |
3,200
|
5,141
|
Sime
Darby Plantation Bhd |
21,300
|
18,971
|
Wilmar
International Ltd. |
28,406
|
79,969
|
|
|
205,562
|
Air
Freight & Logistics - 0.1% |
Agility
Public Warehousing Co. KSC (a) |
22,511
|
45,991
|
Deutsche
Post AG |
15,215
|
743,303
|
DSV
AS |
2,840
|
596,400
|
Hyundai
Glovis Co. Ltd. |
309
|
46,521
|
JD
Logistics, Inc. (a)(d) |
26,600
|
41,646
|
NIPPON
EXPRESS HOLDINGS, Inc. |
1,200
|
67,577
|
SF
Holding Co. Ltd., Class A |
3,700
|
22,963
|
SG
Holdings Co. Ltd. |
4,500
|
64,083
|
Yamato
Holdings Co. Ltd. |
4,200
|
76,002
|
YTO
Express Group Co. Ltd., Class A |
2,700
|
5,410
|
Yunda
Holding Co. Ltd., Class A |
3,600
|
4,739
|
ZTO
Express Cayman, Inc. ADR |
6,109
|
153,214
|
|
|
1,867,849
|
Airport
Services - 0.1% |
Aena
SME SA (d) |
1,127
|
182,368
|
Aeroports
de Paris |
436
|
62,638
|
Airports
of Thailand PCL NVDR (a) |
60,963
|
123,887
|
Auckland
International Airport Ltd. (a) |
18,601
|
97,590
|
Beijing
Capital International Airport Co. Ltd., Class H (a) |
36,000
|
23,362
|
Grupo
Aeroportuario del Pacifico SAB de CV, Class B |
5,100
|
91,360
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
40
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Grupo
Aeroportuario del Sureste SAB de CV, Class B |
2,740
|
$
76,240 |
Malaysia
Airports Holdings Bhd |
6,743
|
9,948
|
Shanghai
International Airport Co. Ltd., Class A (a) |
1,300
|
8,133
|
|
|
675,526
|
Alternative
Carriers - 0.0%* |
Liberty
Latin America Ltd., Class A (a) |
1,202
|
10,517
|
Liberty
Latin America Ltd., Class C (a) |
5,190
|
44,738
|
|
|
55,255
|
Aluminum
- 0.0%* |
Aluminum
Corp. of China Ltd., Class H |
40,000
|
17,312
|
Aluminum
Corp. of China Ltd., Class A |
21,600
|
16,356
|
China
Hongqiao Group Ltd. |
30,000
|
24,502
|
Hindalco
Industries Ltd. |
19,152
|
98,763
|
Norsk
Hydro ASA |
19,993
|
119,407
|
Press
Metal Aluminium Holdings Bhd |
52,800
|
53,291
|
Shandong
Nanshan Aluminum Co. Ltd., Class A |
14,700
|
6,117
|
United
Co. RUSAL International PJSC (c)** |
55,670
|
—
|
Yunnan
Aluminium Co. Ltd., Class A |
4,900
|
8,614
|
|
|
344,362
|
Apparel
Retail - 0.1% |
Fast
Retailing Co. Ltd. |
2,600
|
665,727
|
Foschini
Group Ltd. |
3,538
|
17,634
|
H
& M Hennes & Mauritz AB, Class B |
10,085
|
173,179
|
Industria
de Diseno Textil SA |
16,554
|
641,976
|
Lojas
Renner SA |
14,632
|
60,663
|
Mr
Price Group Ltd. |
4,107
|
31,212
|
Pepkor
Holdings Ltd. (d) |
31,319
|
27,348
|
Topsports
International Holdings Ltd. (d) |
21,000
|
18,269
|
Trent
Ltd. |
2,629
|
56,632
|
Zalando
SE (a)(d) |
3,340
|
96,305
|
ZOZO,
Inc. |
1,800
|
37,278
|
|
|
1,826,223
|
Apparel,
Accessories & Luxury Goods - 0.7% |
adidas
AG |
2,456
|
476,691
|
ANTA
Sports Products Ltd. |
17,676
|
181,623
|
Bosideng
International Holdings Ltd. |
34,000
|
14,361
|
Burberry
Group PLC |
5,784
|
156,238
|
|
Number
of Shares |
Fair
Value |
Cie
Financiere Richemont SA, Class A |
7,905
|
$
1,343,407 |
F&F
Co. Ltd. |
299
|
27,254
|
FF
Group (a)(c)** |
1,860
|
—
|
Gildan
Activewear, Inc. |
2,800
|
90,374
|
Hermes
International |
482
|
1,047,540
|
Kering
SA |
1,137
|
627,735
|
Li
Ning Co. Ltd. |
33,819
|
182,615
|
LPP
SA (a) |
17
|
58,645
|
LVMH
Moet Hennessy Louis Vuitton SE |
4,187
|
3,947,250
|
Moncler
SpA |
3,093
|
213,959
|
Page
Industries Ltd. |
96
|
44,143
|
Pandora
AS |
1,353
|
120,909
|
Shenzhou
International Group Holdings Ltd. |
12,000
|
115,245
|
Swatch
Group AG |
1,327
|
175,138
|
Titan
Co. Ltd. |
5,054
|
188,183
|
|
|
9,011,310
|
Application
Software - 0.3% |
Beijing
Kingsoft Office Software, Inc., Class A (a) |
441
|
28,692
|
Bit
Digital, Inc. (a) |
2,520
|
10,231
|
Constellation
Software, Inc. |
306
|
634,723
|
Dassault
Systemes SE |
10,095
|
447,237
|
Descartes
Systems Group, Inc. (a) |
1,300
|
104,255
|
Hundsun
Technologies, Inc., Class A |
1,456
|
8,881
|
Iflytek
Co. Ltd., Class A (a) |
1,500
|
14,031
|
Kingdee
International Software Group Co. Ltd. (a) |
38,000
|
51,024
|
NavInfo
Co. Ltd., Class A (a) |
4,600
|
7,340
|
Nemetschek
SE |
844
|
62,999
|
Nice
Ltd. (a) |
955
|
196,320
|
Open
Text Corp. |
4,000
|
166,560
|
Sage
Group PLC |
15,303
|
179,954
|
SAP
SE |
15,826
|
2,161,553
|
Sapiens
International Corp. NV |
1,152
|
30,643
|
Shanghai
Baosight Software Co. Ltd., Class B |
11,520
|
30,454
|
Shanghai
Baosight Software Co. Ltd., Class A |
1,872
|
13,102
|
Temenos
AG |
1,001
|
79,741
|
Thunder
Software Technology Co. Ltd., Class A |
500
|
6,642
|
WiseTech
Global Ltd. |
2,546
|
136,460
|
Xero
Ltd. (a) |
2,202
|
176,292
|
Yonyou
Network Technology Co. Ltd., Class A |
2,600
|
7,335
|
|
|
4,554,469
|
Asset
Management & Custody Banks - 0.2% |
3i
Group PLC |
14,719
|
365,227
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
41
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
abrdn
PLC |
32,051
|
$
89,100 |
Amundi
SA (d) |
956
|
56,469
|
Brookfield
Asset Management Ltd., Class A |
5,325
|
174,006
|
Brookfield
Corp. |
21,505
|
724,824
|
China
Cinda Asset Management Co. Ltd., Class H |
91,556
|
9,151
|
EQT
AB |
5,675
|
109,092
|
Hargreaves
Lansdown PLC |
5,531
|
57,397
|
IGM
Financial, Inc. |
1,177
|
35,872
|
Julius
Baer Group Ltd. |
3,221
|
203,360
|
Onex
Corp. |
1,000
|
55,296
|
Partners
Group Holding AG |
343
|
323,539
|
Patria
Investments Ltd., Class A A Shares |
1,896
|
27,113
|
Reinet
Investments SCA |
2,142
|
47,276
|
Schroders
PLC |
11,780
|
65,609
|
St.
James's Place PLC |
8,109
|
112,263
|
|
|
2,455,594
|
Automobile
Manufacturers - 0.7% |
Bayerische
Motoren Werke AG |
5,025
|
617,997
|
BYD
Co. Ltd., Class H |
14,000
|
448,871
|
BYD
Co. Ltd., Class A |
1,800
|
64,100
|
Chongqing
Changan Automobile Co. Ltd., Class A (a) |
5,014
|
8,952
|
Dongfeng
Motor Group Co. Ltd., Class H |
30,000
|
13,750
|
Ferrari
NV |
1,913
|
625,337
|
Ford
Otomotiv Sanayi AS |
1,067
|
31,147
|
Geely
Automobile Holdings Ltd. |
88,000
|
108,042
|
Great
Wall Motor Co. Ltd., Class H |
46,533
|
53,589
|
Great
Wall Motor Co. Ltd., Class A (a) |
800
|
2,775
|
Guangzhou
Automobile Group Co. Ltd., Class H |
38,000
|
22,716
|
Guangzhou
Automobile Group Co. Ltd., Class A |
10,400
|
14,923
|
Honda
Motor Co. Ltd. |
23,300
|
704,675
|
Hyundai
Motor Co. |
1,983
|
311,915
|
Isuzu
Motors Ltd. |
9,300
|
112,633
|
Kia
Corp. |
3,787
|
255,096
|
Li
Auto, Inc., Class A (a) |
16,200
|
280,465
|
Mahindra
& Mahindra Ltd. |
12,505
|
222,181
|
Maruti
Suzuki India Ltd. |
1,739
|
207,982
|
Mazda
Motor Corp. |
9,000
|
86,833
|
Mercedes-Benz
Group AG |
12,954
|
1,042,493
|
NIO,
Inc. ADR (a) |
19,823
|
192,085
|
Nissan
Motor Co. Ltd. |
34,700
|
142,177
|
Renault
SA |
2,857
|
120,525
|
|
Number
of Shares |
Fair
Value |
SAIC
Motor Corp. Ltd., Class A |
5,000
|
$
9,755 |
Subaru
Corp. |
9,200
|
172,983
|
Suzuki
Motor Corp. |
5,500
|
199,114
|
Tata
Motors Ltd. (a) |
23,723
|
172,901
|
Toyota
Motor Corp. |
160,700
|
2,578,495
|
Volkswagen
AG |
466
|
77,877
|
Volvo
Car AB, Class B (a) |
9,055
|
35,974
|
XPeng,
Inc., Class A (a) |
12,300
|
81,701
|
|
|
9,020,059
|
Automotive
Parts & Equipment - 0.1% |
Aisin
Corp. |
2,100
|
64,742
|
Bharat
Forge Ltd. |
4,459
|
45,578
|
Changzhou
Xingyu Automotive Lighting Systems Co. Ltd., Class A |
300
|
5,103
|
Continental
AG |
1,639
|
123,804
|
Denso
Corp. |
6,600
|
444,445
|
Fuyao
Glass Industry Group Co. Ltd., Class H (d) |
6,156
|
25,533
|
Fuyao
Glass Industry Group Co. Ltd., Class A |
900
|
4,441
|
Hanon
Systems |
2,623
|
18,289
|
Huayu
Automotive Systems Co. Ltd., Class A |
1,768
|
4,494
|
Huizhou
Desay Sv Automotive Co. Ltd., Class A |
200
|
4,292
|
Hyundai
Mobis Co. Ltd. |
872
|
154,385
|
Koito
Manufacturing Co. Ltd. |
3,000
|
54,351
|
Magna
International, Inc. |
4,135
|
233,710
|
Minth
Group Ltd. |
14,000
|
38,491
|
Ningbo
Tuopu Group Co. Ltd., Class A (a) |
800
|
8,890
|
Samvardhana
Motherson International Ltd. |
21,442
|
22,471
|
Sona
Blw Precision Forgings Ltd. (d) |
5,634
|
35,524
|
Sumitomo
Electric Industries Ltd. |
10,666
|
130,465
|
Tube
Investments of India Ltd. |
1,521
|
58,997
|
Valeo
SA |
3,019
|
64,864
|
|
|
1,542,869
|
Automotive
Retail - 0.0%* |
Abu
Dhabi National Oil Co. for Distribution PJSC |
44,183
|
46,913
|
China
Meidong Auto Holdings Ltd. |
6,000
|
6,952
|
Hotai
Motor Co. Ltd. |
3,863
|
101,093
|
PTT
Oil & Retail Business PCL NVDR |
30,408
|
18,198
|
USS
Co. Ltd. |
3,500
|
57,849
|
Vibra
Energia SA |
17,000
|
63,609
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
42
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Zhongsheng
Group Holdings Ltd. |
10,000
|
$
38,386 |
|
|
333,000
|
Biotechnology
- 0.1% |
3SBio,
Inc. (d) |
15,000
|
15,093
|
Akeso,
Inc. (a)(d) |
7,000
|
31,749
|
Argenx
SE (a) |
837
|
326,366
|
Aurinia
Pharmaceuticals, Inc. (a) |
4,691
|
45,409
|
BeiGene
Ltd. (a) |
9,900
|
135,734
|
Beijing
Wantai Biological Pharmacy Enterprise Co. Ltd., Class A |
112
|
1,030
|
BGI
Genomics Co. Ltd., Class A |
800
|
6,604
|
Bloomage
Biotechnology Corp. Ltd., Class A |
1,087
|
13,344
|
Celltrion,
Inc. |
1,460
|
170,412
|
Chongqing
Zhifei Biological Products Co. Ltd., Class A |
3,150
|
19,185
|
Fennec
Pharmaceuticals, Inc. (a) |
632
|
5,581
|
Genmab
AS (a) |
998
|
378,125
|
Grifols
SA (a) |
4,601
|
59,015
|
Hualan
Biological Engineering, Inc., Class A |
2,038
|
6,292
|
Imeik
Technology Development Co. Ltd., Class A |
300
|
18,375
|
Innovent
Biologics, Inc. (a)(d) |
15,500
|
58,870
|
PharmaEssentia
Corp. (a) |
3,000
|
32,725
|
Prothena
Corp. PLC (a) |
1,445
|
98,665
|
Shanghai
RAAS Blood Products Co. Ltd., Class A |
5,500
|
5,683
|
Shenzhen
Kangtai Biological Products Co. Ltd., Class A (a) |
800
|
2,798
|
SK
Bioscience Co. Ltd. (a) |
266
|
16,136
|
Swedish
Orphan Biovitrum AB (a) |
2,675
|
52,206
|
Walvax
Biotechnology Co. Ltd., Class A |
1,400
|
5,093
|
Zai
Lab Ltd. ADR (a) |
1,300
|
36,049
|
Zura
Bio Ltd. (a) |
264
|
2,165
|
|
|
1,542,704
|
Brewers
- 0.2% |
Ambev
SA |
66,500
|
212,430
|
Anheuser-Busch
InBev SA |
13,201
|
748,062
|
Asahi
Group Holdings Ltd. |
7,400
|
286,642
|
Budweiser
Brewing Co. APAC Ltd. (d) |
25,300
|
65,463
|
Carlsberg
AS, Class B |
1,468
|
235,026
|
China
Resources Beer Holdings Co. Ltd. |
24,000
|
158,585
|
|
Number
of Shares |
Fair
Value |
Chongqing
Brewery Co. Ltd., Class A |
100
|
$
1,268 |
Cia
Cervecerias Unidas SA |
1,321
|
10,647
|
Heineken
Holding NV |
1,729
|
150,433
|
Heineken
NV |
3,928
|
403,868
|
Kirin
Holdings Co. Ltd. |
11,600
|
169,110
|
Tsingtao
Brewery Co. Ltd., Class H |
8,924
|
81,470
|
Tsingtao
Brewery Co. Ltd., Class A |
800
|
11,415
|
|
|
2,534,419
|
Broadcasting
- 0.0%* |
Vivendi
SE |
11,505
|
105,602
|
Broadline
Retail - 0.5% |
Alibaba
Group Holding Ltd. (a) |
231,300
|
2,407,609
|
Allegro.eu
SA (a)(d) |
5,667
|
44,687
|
Canadian
Tire Corp. Ltd., Class A |
800
|
109,500
|
Central
Retail Corp. PCL NVDR |
21,416
|
23,620
|
Coupang,
Inc. (a) |
11,600
|
201,840
|
Dollarama,
Inc. |
4,400
|
298,332
|
Falabella
SA |
8,186
|
19,645
|
GoTo
Gojek Tokopedia Tbk PT (a) |
4,768,400
|
35,190
|
JD.com,
Inc., Class A |
32,726
|
558,085
|
Magazine
Luiza SA (a) |
37,124
|
25,934
|
MINISO
Group Holding Ltd. ADR |
1,400
|
23,786
|
momo.com,
Inc. |
1,000
|
22,161
|
Naspers
Ltd., Class N |
2,700
|
485,978
|
Next
PLC |
1,821
|
159,846
|
Ozon
Holdings PLC ADR (a)(c)** |
1,300
|
—
|
Pan
Pacific International Holdings Corp. |
6,100
|
109,068
|
PDD
Holdings, Inc. ADR (a) |
7,257
|
501,749
|
Pepco
Group NV (a) |
2,698
|
24,466
|
Prosus
NV (a) |
12,184
|
892,121
|
Rakuten
Group, Inc. |
22,900
|
79,663
|
Vipshop
Holdings Ltd. ADR (a) |
4,734
|
78,111
|
Wesfarmers
Ltd. |
17,220
|
567,305
|
Woolworths
Holdings Ltd. |
14,667
|
55,395
|
|
|
6,724,091
|
Building
Products - 0.2% |
AGC,
Inc. |
3,100
|
111,340
|
Assa
Abloy AB, Class B |
15,169
|
364,078
|
Beijing
New Building Materials PLC, Class A |
1,600
|
5,393
|
China
Lesso Group Holdings Ltd. |
16,494
|
10,869
|
Cie
de Saint-Gobain |
7,423
|
451,877
|
Daikin
Industries Ltd. |
4,000
|
818,260
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
43
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Geberit
AG |
512
|
$
268,451 |
Guangdong
Kinlong Hardware Products Co. Ltd., Class A |
200
|
1,781
|
Kingspan
Group PLC |
2,308
|
153,601
|
Lixil
Corp. |
4,200
|
53,369
|
Nibe
Industrier AB, Class B |
22,867
|
217,107
|
ROCKWOOL
AS, Class B |
128
|
33,095
|
TOTO
Ltd. |
2,100
|
63,391
|
Xinyi
Glass Holdings Ltd. |
23,000
|
35,954
|
|
|
2,588,566
|
Cable
& Satellite - 0.0%* |
Cyfrowy
Polsat SA |
3,840
|
15,611
|
Grupo
Televisa SAB |
39,600
|
40,661
|
MultiChoice
Group |
1,453
|
7,345
|
Quebecor,
Inc., Class B |
2,200
|
54,283
|
|
|
117,900
|
Cargo
Ground Transportation - 0.0%* |
TFI
International, Inc. |
1,200
|
136,872
|
Casinos
& Gaming - 0.1% |
Aristocrat
Leisure Ltd. |
8,948
|
231,336
|
Entain
PLC |
9,676
|
156,625
|
Evolution
AB (d) |
2,767
|
350,127
|
Flutter
Entertainment PLC (a) |
2,707
|
544,713
|
Galaxy
Entertainment Group Ltd. (a) |
33,000
|
210,217
|
Genting
Bhd |
24,200
|
21,090
|
Genting
Malaysia Bhd |
54,700
|
28,876
|
Genting
Singapore Ltd. |
89,000
|
62,014
|
Kangwon
Land, Inc. |
1,128
|
14,938
|
La
Francaise des Jeux SAEM (d) |
1,651
|
64,969
|
Lottery
Corp. Ltd. |
35,581
|
121,889
|
OPAP
SA |
2,920
|
50,911
|
Sands
China Ltd. (a) |
36,400
|
124,650
|
Super
Group SGHC Ltd. (a) |
4,755
|
13,790
|
|
|
1,996,145
|
Coal
& Consumable Fuels - 0.1% |
Adaro
Energy Indonesia Tbk PT |
172,900
|
25,732
|
Banpu
PCL NVDR |
136,500
|
34,139
|
Cameco
Corp. |
6,500
|
203,805
|
China
Coal Energy Co. Ltd., Class H |
22,000
|
16,380
|
China
Shenhua Energy Co. Ltd., Class H |
46,990
|
143,995
|
China
Shenhua Energy Co. Ltd., Class A |
7,600
|
32,152
|
Coal
India Ltd. |
21,682
|
61,167
|
Encore
Energy Corp. (a) |
4,935
|
11,893
|
Exxaro
Resources Ltd. |
3,907
|
33,974
|
|
Number
of Shares |
Fair
Value |
Inner
Mongolia Yitai Coal Co. Ltd., Class B |
11,400
|
$
15,612 |
Shaanxi
Coal Industry Co. Ltd., Class A |
6,500
|
16,269
|
Shanxi
Coking Coal Energy Group Co. Ltd., Class A |
3,800
|
4,764
|
Shanxi
Lu'an Environmental Energy Development Co. Ltd., Class A |
5,200
|
11,679
|
United
Tractors Tbk PT |
26,700
|
41,409
|
Yankuang
Energy Group Co. Ltd., Class H |
22,000
|
63,160
|
Yankuang
Energy Group Co. Ltd., Class A |
2,300
|
9,468
|
|
|
725,598
|
Commercial
Printing - 0.0%* |
Cimpress
PLC (a) |
632
|
37,591
|
Dai
Nippon Printing Co. Ltd. |
3,500
|
99,255
|
Toppan,
Inc. |
3,900
|
84,145
|
|
|
220,991
|
Commodity
Chemicals - 0.2% |
Advanced
Petrochemical Co. |
1,510
|
17,907
|
Asahi
Kasei Corp. |
18,700
|
126,409
|
Barito
Pacific Tbk PT |
342,922
|
17,089
|
Berger
Paints India Ltd. |
2,928
|
24,242
|
Canmax
Technologies Co. Ltd., Class A |
520
|
2,568
|
Do-Fluoride
New Materials Co. Ltd., Class A |
560
|
1,531
|
Formosa
Chemicals & Fibre Corp. |
50,000
|
107,842
|
Formosa
Plastics Corp. |
45,000
|
123,960
|
Guangzhou
Tinci Materials Technology Co. Ltd., Class A |
1,860
|
10,569
|
Hanwha
Solutions Corp. (a) |
1,597
|
51,500
|
Hengli
Petrochemical Co. Ltd., Class A (a) |
4,300
|
8,489
|
Hengyi
Petrochemical Co. Ltd., Class A |
4,700
|
4,384
|
Huafon
Chemical Co. Ltd., Class A |
4,900
|
4,627
|
Hubei
Xingfa Chemicals Group Co. Ltd., Class A |
600
|
1,837
|
Indorama
Ventures PCL NVDR |
18,695
|
18,098
|
Inner
Mongolia Yuan Xing Energy Co. Ltd., Class A |
2,700
|
2,671
|
Jiangsu
Eastern Shenghong Co. Ltd., Class A |
3,800
|
6,186
|
Kumho
Petrochemical Co. Ltd. |
189
|
19,111
|
LB
Group Co. Ltd., Class A |
2,100
|
4,770
|
LG
Chem Ltd. |
683
|
347,689
|
Lotte
Chemical Corp. |
324
|
38,132
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
44
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Mesaieed
Petrochemical Holding Co. |
65,734
|
$
34,659 |
Mitsui
Chemicals, Inc. |
2,500
|
73,567
|
Nan
Ya Plastics Corp. |
68,000
|
158,619
|
National
Industrialization Co., Class C (a) |
3,399
|
13,605
|
Orbia
Advance Corp. SAB de CV |
16,700
|
35,911
|
Orica
Ltd. |
6,657
|
65,900
|
Orion
SA |
2,126
|
45,114
|
Petronas
Chemicals Group Bhd |
35,200
|
45,316
|
PTT
Global Chemical PCL NVDR |
35,138
|
37,006
|
Rongsheng
Petrochemical Co. Ltd., Class A |
13,350
|
21,406
|
Sahara
International Petrochemical Co. |
5,604
|
55,966
|
Sasa
Polyester Sanayi AS (a) |
14,830
|
32,396
|
Satellite
Chemical Co. Ltd., Class A |
3,525
|
7,260
|
Saudi
Basic Industries Corp. |
12,751
|
301,839
|
Saudi
Industrial Investment Group |
6,465
|
46,092
|
Saudi
Kayan Petrochemical Co. (a) |
11,878
|
43,948
|
Shenzhen
Senior Technology Material Co. Ltd., Class A |
599
|
1,419
|
Sinoma
Science & Technology Co. Ltd., Class A |
2,800
|
7,918
|
SKC
Co. Ltd. |
278
|
20,737
|
Skshu
Paint Co. Ltd., Class A (a) |
560
|
5,042
|
Tongkun
Group Co. Ltd., Class A |
3,400
|
6,197
|
Toray
Industries, Inc. |
20,700
|
115,219
|
Tosoh
Corp. |
4,482
|
52,926
|
Yanbu
National Petrochemical Co. |
4,126
|
52,465
|
Yunnan
Energy New Material Co. Ltd., Class A (a) |
500
|
6,648
|
|
|
2,226,786
|
Communications
Equipment - 0.1% |
Accton
Technology Corp. |
7,000
|
78,737
|
BYD
Electronic International Co. Ltd. |
12,020
|
36,562
|
Nokia
Oyj |
81,857
|
342,906
|
Telefonaktiebolaget
LM Ericsson, Class B |
44,008
|
238,755
|
Tianjin
712 Communication & Broadcasting Co. Ltd., Class A |
500
|
2,078
|
Yealink
Network Technology Corp. Ltd., Class A |
1,540
|
7,432
|
Zhongji
Innolight Co. Ltd., Class A |
1,300
|
26,398
|
ZTE
Corp., Class H |
10,000
|
40,188
|
|
Number
of Shares |
Fair
Value |
ZTE
Corp., Class A |
2,400
|
$
15,046 |
|
|
788,102
|
Construction
& Engineering - 0.2% |
ACS
Actividades de Construccion y Servicios SA |
3,088
|
108,566
|
Bouygues
SA |
3,045
|
102,273
|
China
Communications Services Corp. Ltd., Class H |
45,733
|
22,578
|
China
Conch Venture Holdings Ltd. |
26,500
|
34,621
|
China
Energy Engineering Corp. Ltd. Class A |
34,900
|
11,237
|
China
National Chemical Engineering Co. Ltd., Class A |
10,700
|
12,197
|
China
Railway Group Ltd., Class H |
59,000
|
39,036
|
China
Railway Group Ltd., Class A |
24,800
|
25,891
|
China
State Construction Engineering Corp. Ltd., Class A |
41,900
|
33,081
|
China
State Construction International Holdings Ltd. |
32,000
|
36,574
|
Eiffage
SA |
1,091
|
113,889
|
Ferrovial
SE |
7,813
|
246,940
|
Gamuda
Bhd |
34,800
|
32,842
|
Hyundai
Engineering & Construction Co. Ltd. |
1,136
|
33,022
|
Kajima
Corp. |
6,700
|
100,993
|
Larsen
& Toubro Ltd. |
9,735
|
294,362
|
Metallurgical
Corp. of China Ltd., Class A |
24,100
|
13,171
|
Obayashi
Corp. |
9,600
|
82,886
|
Power
Construction Corp. of China Ltd., Class A |
21,000
|
16,590
|
Samsung
Engineering Co. Ltd. (a) |
2,291
|
49,406
|
Shimizu
Corp. |
9,400
|
59,416
|
Sichuan
Road & Bridge Group Co. Ltd., Class A |
9,800
|
13,222
|
Skanska
AB, Class B |
5,382
|
75,401
|
Taisei
Corp. |
2,700
|
94,177
|
Vinci
SA |
8,042
|
934,272
|
WSP
Global, Inc. |
1,900
|
251,304
|
|
|
2,837,947
|
Construction
Machinery & Heavy Transportation Equipment - 0.2% |
Alstom
SA |
4,771
|
142,392
|
China
CSSC Holdings Ltd., Class A |
2,700
|
12,241
|
CRRC
Corp. Ltd., Class H |
56,000
|
30,694
|
CRRC
Corp. Ltd., Class A |
30,500
|
27,294
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
45
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Daimler
Truck Holding AG |
7,576
|
$
273,005 |
Doosan
Bobcat, Inc. |
635
|
28,385
|
Epiroc
AB, Class A |
9,914
|
187,512
|
Epiroc
AB, Class B |
5,790
|
93,575
|
HD
Hyundai Heavy Industries Co. Ltd. (a) |
176
|
17,688
|
HD
Korea Shipbuilding & Offshore Engineering Co. Ltd. (a) |
670
|
59,560
|
Hitachi
Construction Machinery Co. Ltd. |
1,600
|
44,913
|
Hyundai
Mipo Dockyard Co. Ltd. (a) |
389
|
24,916
|
Knorr-Bremse
AG |
1,143
|
87,359
|
Komatsu
Ltd. |
14,000
|
378,043
|
Metso
Oyj |
10,591
|
127,775
|
Samsung
Heavy Industries Co. Ltd. (a) |
9,948
|
50,616
|
Sany
Heavy Equipment International Holdings Co. Ltd. |
22,000
|
28,891
|
Sany
Heavy Industry Co. Ltd., Class A |
5,300
|
12,133
|
Seatrium
Ltd. (a) |
592,889
|
54,952
|
Toyota
Industries Corp. |
2,200
|
157,355
|
Volvo
AB, Class B |
22,874
|
472,679
|
Volvo
AB, Class A |
3,129
|
66,592
|
Weichai
Power Co. Ltd., Class H |
31,401
|
46,196
|
Weichai
Power Co. Ltd., Class A |
7,800
|
13,388
|
XCMG
Construction Machinery Co. Ltd., Class A |
9,300
|
8,667
|
Zhuzhou
CRRC Times Electric Co. Ltd. |
6,600
|
24,651
|
Zoomlion
Heavy Industry Science & Technology Co. Ltd., Class A |
8,700
|
8,082
|
|
|
2,479,554
|
Construction
Materials - 0.1% |
ACC
Ltd. (a) |
1,209
|
26,789
|
Ambuja
Cements Ltd. (a) |
8,780
|
45,711
|
Anhui
Conch Cement Co. Ltd., Class H |
19,581
|
52,093
|
Anhui
Conch Cement Co. Ltd., Class A |
2,769
|
9,049
|
Asia
Cement Corp. |
35,000
|
49,968
|
Cemex
SAB de CV (a) |
217,200
|
153,239
|
China
Jushi Co. Ltd., Class A |
4,114
|
8,021
|
China
National Building Material Co. Ltd., Class H |
59,243
|
36,606
|
China
Resources Cement Holdings Ltd. |
26,000
|
10,754
|
CRH
PLC |
11,335
|
625,207
|
Grasim
Industries Ltd. |
3,793
|
80,351
|
Heidelberg
Materials AG |
2,173
|
178,672
|
|
Number
of Shares |
Fair
Value |
POSCO
Future M Co. Ltd. |
391
|
$
105,489 |
Semen
Indonesia Persero Tbk PT |
43,992
|
17,916
|
Shree
Cement Ltd. |
157
|
45,784
|
Siam
Cement PCL NVDR |
11,165
|
101,514
|
Taiwan
Cement Corp. |
87,595
|
107,210
|
UltraTech
Cement Ltd. |
1,452
|
147,019
|
|
|
1,801,392
|
Consumer
Electronics - 0.2% |
LG
Electronics, Inc. |
1,526
|
147,699
|
Panasonic
Holdings Corp. |
33,400
|
408,868
|
Sharp
Corp. (a) |
4,300
|
24,072
|
Sony
Group Corp. |
19,100
|
1,721,297
|
TCL
Technology Group Corp., Class A (a) |
14,329
|
7,774
|
|
|
2,309,710
|
Consumer
Finance - 0.0%* |
Bajaj
Finance Ltd. |
3,922
|
343,512
|
Cholamandalam
Investment & Finance Co. Ltd. |
5,973
|
83,333
|
Krungthai
Card PCL NVDR |
9,465
|
13,242
|
Lufax
Holding Ltd. ADR |
5,600
|
8,008
|
Muangthai
Capital PCL NVDR |
7,500
|
8,337
|
Muthoot
Finance Ltd. |
1,370
|
20,738
|
Qifu
Technology, Inc. ADR |
1,100
|
19,008
|
SBI
Cards & Payment Services Ltd. |
3,557
|
36,809
|
Shriram
Finance Ltd. |
3,269
|
69,296
|
Srisawad
Corp. PCL NVDR |
7,200
|
9,634
|
|
|
611,917
|
Consumer
Staples Merchandise Retail - 0.1% |
Aeon
Co. Ltd. |
9,875
|
201,870
|
Atacadao
SA |
6,800
|
15,788
|
Berli
Jucker PCL NVDR |
12,600
|
12,376
|
Carrefour
SA |
8,916
|
168,933
|
Cencosud
SA |
16,738
|
32,424
|
E-MART,
Inc. |
218
|
12,764
|
Sendas
Distribuidora SA |
18,100
|
51,591
|
Wal-Mart
de Mexico SAB de CV |
74,286
|
293,324
|
|
|
789,070
|
Copper
- 0.1% |
Antofagasta
PLC |
6,302
|
117,319
|
First
Quantum Minerals Ltd. |
8,900
|
210,789
|
Jiangxi
Copper Co. Ltd., Class H |
14,782
|
22,848
|
Jiangxi
Copper Co. Ltd., Class A |
300
|
786
|
KGHM
Polska Miedz SA |
1,996
|
55,308
|
Lundin
Mining Corp. |
10,300
|
80,797
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
46
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Southern
Copper Corp. |
2,390
|
$
171,459 |
|
|
659,306
|
Data
Processing & Outsourced Services - 0.0%* |
Computershare
Ltd. |
8,694
|
135,577
|
Teleperformance
|
886
|
148,603
|
|
|
284,180
|
Distillers
& Vintners - 0.2% |
Anhui
Gujing Distillery Co. Ltd., Class B (a) |
1,900
|
32,761
|
Anhui
Gujing Distillery Co. Ltd., Class A (a) |
400
|
13,613
|
Davide
Campari-Milano NV |
8,322
|
115,315
|
Diageo
PLC |
34,153
|
1,469,832
|
Jiangsu
King's Luck Brewery JSC Ltd., Class A |
1,400
|
10,178
|
Jiangsu
Yanghe Brewery Joint-Stock Co. Ltd., Class A |
1,700
|
30,732
|
JiuGui
Liquor Co. Ltd., Class A |
400
|
4,970
|
Kweichow
Moutai Co. Ltd., Class A |
1,100
|
256,035
|
Luzhou
Laojiao Co. Ltd., Class A |
1,500
|
43,273
|
Pernod
Ricard SA |
3,135
|
692,629
|
Remy
Cointreau SA |
365
|
58,579
|
Shanghai
Bairun Investment Holding Group Co. Ltd., Class A (a) |
980
|
4,907
|
Shanxi
Xinghuacun Fen Wine Factory Co. Ltd., Class A |
740
|
18,849
|
Sichuan
Swellfun Co. Ltd., Class A |
600
|
4,875
|
Treasury
Wine Estates Ltd. |
10,716
|
80,301
|
United
Spirits Ltd. (a) |
4,501
|
50,162
|
Wuliangye
Yibin Co. Ltd., Class A |
3,500
|
78,897
|
|
|
2,965,908
|
Distributors
- 0.0%* |
D'ieteren
Group |
316
|
55,917
|
Diversified
Banks - 3.1% |
ABN
AMRO Bank NV GDR (d) |
6,434
|
99,987
|
Absa
Group Ltd. |
12,013
|
106,823
|
Abu
Dhabi Commercial Bank PJSC |
41,094
|
90,734
|
Abu
Dhabi Islamic Bank PJSC |
20,879
|
60,482
|
Agricultural
Bank of China Ltd., Class H |
408,717
|
160,952
|
Agricultural
Bank of China Ltd., Class A |
91,347
|
44,352
|
AIB
Group PLC |
20,509
|
86,298
|
Akbank
TAS |
46,147
|
35,789
|
|
Number
of Shares |
Fair
Value |
Al
Rajhi Bank |
27,918
|
$
546,416 |
Alinma
Bank |
13,907
|
124,995
|
Alpha
Services & Holdings SA (a) |
26,430
|
43,283
|
AMMB
Holdings Bhd |
37,400
|
29,057
|
ANZ
Group Holdings Ltd. |
45,404
|
718,196
|
Arab
National Bank |
8,416
|
59,345
|
Axis
Bank Ltd. |
32,630
|
393,725
|
Banco
Bilbao Vizcaya Argentaria SA |
91,548
|
703,207
|
Banco
Bradesco SA |
15,267
|
46,333
|
Banco
de Chile |
667,199
|
69,610
|
Banco
de Credito e Inversiones SA |
1,102
|
33,656
|
Banco
del Bajio SA (d) |
11,200
|
33,971
|
Banco
do Brasil SA |
12,200
|
124,934
|
Banco
Santander Brasil SA |
5,900
|
37,462
|
Banco
Santander Chile |
774,790
|
36,646
|
Banco
Santander SA |
248,931
|
921,408
|
Bancolombia
SA |
3,348
|
24,855
|
Bank
AlBilad |
6,919
|
71,776
|
Bank
Al-Jazira |
6,739
|
32,995
|
Bank
Central Asia Tbk PT |
757,400
|
464,512
|
Bank
Hapoalim BM |
19,058
|
156,975
|
Bank
Leumi Le-Israel BM |
23,195
|
173,606
|
Bank
Mandiri Persero Tbk PT |
537,900
|
187,193
|
Bank
Negara Indonesia Persero Tbk PT |
110,900
|
68,043
|
Bank
of Baroda |
14,547
|
33,877
|
Bank
of Beijing Co. Ltd., Class A |
31,600
|
20,129
|
Bank
of China Ltd., Class H |
1,132,868
|
454,803
|
Bank
of China Ltd., Class A |
42,794
|
23,006
|
Bank
of Communications Co. Ltd., Class H |
115,127
|
76,380
|
Bank
of Communications Co. Ltd., Class A |
44,600
|
35,595
|
Bank
of Ireland Group PLC |
15,978
|
152,521
|
Bank
of Montreal |
10,704
|
967,789
|
Bank
of Nova Scotia |
18,000
|
901,598
|
Bank
of NT Butterfield & Son Ltd. |
1,753
|
47,962
|
Bank
of Shanghai Co. Ltd., Class A |
6,100
|
4,825
|
Bank
of the Philippine Islands |
27,402
|
54,108
|
Bank
Polska Kasa Opieki SA |
2,641
|
72,091
|
Bank
Rakyat Indonesia Persero Tbk PT |
928,409
|
338,954
|
Banque
Saudi Fransi |
8,332
|
93,077
|
Barclays
PLC |
234,617
|
458,833
|
BDO
Unibank, Inc. |
33,732
|
84,468
|
BNP
Paribas SA |
16,895
|
1,065,980
|
BOC
Hong Kong Holdings Ltd. |
55,500
|
170,002
|
Boubyan
Bank KSCP |
21,343
|
44,614
|
CaixaBank
SA |
61,943
|
256,540
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
47
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Canadian
Imperial Bank of Commerce |
13,748
|
$
587,634 |
Capitec
Bank Holdings Ltd. |
1,233
|
102,330
|
Chang
Hwa Commercial Bank Ltd. |
80,317
|
48,146
|
China
CITIC Bank Corp. Ltd., Class H |
134,881
|
63,410
|
China
Common Rich Renewable Energy Investments Ltd. (a)(c)** |
64,000
|
—
|
China
Construction Bank Corp., Class H (a) |
1,325,000
|
857,770
|
China
Construction Bank Corp., Class A |
7,400
|
6,372
|
China
Everbright Bank Co. Ltd., Class H |
46,883
|
13,483
|
China
Everbright Bank Co. Ltd., Class A (a) |
30,820
|
13,013
|
China
Merchants Bank Co. Ltd., Class H |
54,500
|
248,560
|
China
Merchants Bank Co. Ltd., Class A |
19,600
|
88,478
|
China
Minsheng Banking Corp. Ltd., Class H |
65,200
|
24,137
|
China
Minsheng Banking Corp. Ltd., Class A |
46,100
|
23,783
|
China
Zheshang Bank Co. Ltd., Class A |
23,140
|
8,406
|
CIMB
Group Holdings Bhd |
99,294
|
107,780
|
Commercial
Bank PSQC |
46,106
|
74,011
|
Commercial
International Bank Egypt SAE |
24,801
|
41,133
|
Commerzbank
AG |
15,981
|
177,130
|
Commonwealth
Bank of Australia |
25,581
|
1,711,279
|
Credicorp
Ltd. |
1,000
|
147,640
|
Credit
Agricole SA |
18,335
|
217,667
|
CTBC
Financial Holding Co. Ltd. |
248,000
|
198,318
|
Danske
Bank AS (a) |
10,383
|
252,842
|
DBS
Group Holdings Ltd. |
27,510
|
641,984
|
DNB
Bank ASA |
14,030
|
262,862
|
Dubai
Islamic Bank PJSC |
41,465
|
61,982
|
E.Sun
Financial Holding Co. Ltd. |
191,398
|
160,359
|
Emirates
NBD Bank PJSC |
26,865
|
109,359
|
Erste
Group Bank AG |
5,167
|
181,214
|
Eurobank
Ergasias Services & Holdings SA, Class A (a) |
37,601
|
61,940
|
FinecoBank
Banca Fineco SpA |
9,070
|
122,065
|
First
Abu Dhabi Bank PJSC |
62,902
|
234,432
|
First
Financial Holding Co. Ltd. |
150,603
|
133,945
|
Grupo
Financiero Banorte SAB de CV, Class O |
37,200
|
306,289
|
Grupo
Financiero Inbursa SAB de CV, Class O (a) |
30,000
|
71,123
|
|
Number
of Shares |
Fair
Value |
Gulf
Bank KSCP |
26,188
|
$
22,662 |
Haci
Omer Sabanci Holding AS |
10,484
|
18,515
|
Hana
Financial Group, Inc. |
4,225
|
126,127
|
Hang
Seng Bank Ltd. |
11,500
|
163,927
|
Hong
Leong Bank Bhd |
9,900
|
40,269
|
HSBC
Holdings PLC |
302,836
|
2,400,357
|
Hua
Nan Financial Holdings Co. Ltd., Class C |
123,089
|
87,881
|
Huaxia
Bank Co. Ltd., Class A |
22,200
|
16,527
|
ICICI
Bank Ltd. |
70,980
|
812,649
|
Industrial
& Commercial Bank of China Ltd., Class H |
800,505
|
427,766
|
Industrial
& Commercial Bank of China Ltd., Class A |
67,200
|
44,561
|
Industrial
Bank Co. Ltd., Class A |
21,300
|
45,924
|
Industrial
Bank of Korea |
2,926
|
23,017
|
ING
Groep NV Series N |
54,725
|
737,645
|
Intesa
Sanpaolo SpA |
245,077
|
642,413
|
Israel
Discount Bank Ltd., Class A |
18,323
|
91,429
|
Japan
Post Bank Co. Ltd. |
22,200
|
172,833
|
KakaoBank
Corp. |
2,060
|
37,450
|
Kasikornbank
PCL |
9,700
|
35,429
|
KB
Financial Group, Inc. |
5,551
|
201,472
|
KBC
Group NV |
3,775
|
263,450
|
Komercni
Banka AS |
1,230
|
37,517
|
Kotak
Mahindra Bank Ltd. |
14,794
|
333,656
|
Krung
Thai Bank PCL NVDR |
63,077
|
34,569
|
Kuwait
Finance House KSCP |
116,592
|
284,228
|
Lloyds
Banking Group PLC |
1,000,912
|
555,444
|
Malayan
Banking Bhd |
69,189
|
128,001
|
Masraf
Al Rayan QSC |
80,754
|
57,209
|
mBank
SA (a) |
151
|
15,106
|
Mediobanca
Banca di Credito Finanziario SpA |
8,150
|
97,558
|
Mega
Financial Holding Co. Ltd. |
158,057
|
193,981
|
Metropolitan
Bank & Trust Co. |
32,670
|
33,053
|
Mitsubishi
UFJ Financial Group, Inc. |
172,900
|
1,272,342
|
Mizrahi
Tefahot Bank Ltd. |
2,272
|
75,884
|
Mizuho
Financial Group, Inc. |
36,600
|
558,519
|
Moneta
Money Bank AS (d) |
3,392
|
12,430
|
National
Australia Bank Ltd. |
47,916
|
842,107
|
National
Bank of Canada |
5,100
|
380,404
|
National
Bank of Greece SA (a) |
7,939
|
51,597
|
National
Bank of Kuwait SAKP |
107,764
|
328,652
|
NatWest
Group PLC |
87,982
|
269,202
|
Nedbank
Group Ltd. |
6,536
|
79,084
|
Nordea
Bank Abp |
48,983
|
532,768
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
48
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
NU
Holdings Ltd., Class A A Shares (a) |
25,600
|
$
201,984 |
OTP
Bank Nyrt |
3,211
|
113,986
|
Oversea-Chinese
Banking Corp. Ltd. |
51,330
|
466,621
|
Ping
An Bank Co. Ltd., Class A |
20,300
|
31,419
|
Postal
Savings Bank of China Co. Ltd., Class H (d) |
107,675
|
66,393
|
Postal
Savings Bank of China Co. Ltd., Class A |
34,100
|
22,953
|
Powszechna
Kasa Oszczednosci Bank Polski SA |
12,600
|
112,224
|
Public
Bank Bhd |
209,800
|
173,220
|
Qatar
International Islamic Bank QSC |
14,029
|
38,822
|
Qatar
Islamic Bank SAQ |
23,573
|
115,352
|
Qatar
National Bank QPSC |
65,753
|
279,675
|
RHB
Bank Bhd |
27,214
|
31,692
|
Riyad
Bank |
19,154
|
172,953
|
Royal
Bank of Canada |
21,012
|
2,009,022
|
Santander
Bank Polska SA (a) |
547
|
52,418
|
Saudi
Awwal Bank |
13,082
|
133,198
|
Saudi
Investment Bank |
7,687
|
35,077
|
Saudi
National Bank |
39,758
|
392,122
|
Sberbank
of Russia PJSC (c)** |
192,160
|
—
|
SCB
X PCL NVDR |
13,396
|
40,334
|
Shanghai
Commercial & Savings Bank Ltd. |
54,565
|
79,613
|
Shanghai
Pudong Development Bank Co. Ltd., Class A |
33,600
|
33,480
|
Shanghai
Rural Commercial Bank Co. Ltd., Class A |
18,800
|
14,097
|
Shinhan
Financial Group Co. Ltd. |
5,185
|
134,044
|
SinoPac
Financial Holdings Co. Ltd. |
152,864
|
85,302
|
Skandinaviska
Enskilda Banken AB, Class A |
24,398
|
269,450
|
Societe
Generale SA |
11,160
|
290,177
|
Standard
Bank Group Ltd. |
18,971
|
178,451
|
Standard
Chartered PLC |
37,163
|
323,665
|
State
Bank of India |
25,213
|
176,590
|
Sumitomo
Mitsui Financial Group, Inc. |
19,800
|
847,207
|
Sumitomo
Mitsui Trust Holdings, Inc. |
5,000
|
177,083
|
Svenska
Handelsbanken AB, Class A |
21,927
|
183,307
|
Swedbank
AB, Class A |
12,726
|
214,448
|
Taishin
Financial Holding Co. Ltd. |
149,244
|
90,848
|
Taiwan
Business Bank |
89,000
|
40,794
|
Taiwan
Cooperative Financial Holding Co. Ltd. |
137,207
|
123,805
|
|
Number
of Shares |
Fair
Value |
TCS
Group Holding PLC GDR (a)(c)** |
2,171
|
$
— |
Toronto-Dominion
Bank |
27,588
|
1,711,884
|
Turkiye
Is Bankasi AS, Class C |
41,723
|
22,426
|
UniCredit
SpA |
28,288
|
657,676
|
United
Overseas Bank Ltd. |
19,400
|
402,292
|
VTB
Bank PJSC (a)(c)** |
70,264,000
|
—
|
Westpac
Banking Corp. |
53,192
|
756,812
|
Woori
Financial Group, Inc. |
7,768
|
69,779
|
Yapi
ve Kredi Bankasi AS |
44,416
|
22,147
|
Yes
Bank Ltd. (a) |
116,408
|
23,099
|
|
|
42,509,199
|
Diversified
Capital Markets - 0.2% |
Banco
BTG Pactual SA |
16,708
|
108,927
|
Deutsche
Bank AG |
29,165
|
306,549
|
Macquarie
Group Ltd. |
5,575
|
662,859
|
Mirae
Asset Securities Co. Ltd. |
3,109
|
17,148
|
UBS
Group AG |
49,906
|
1,011,980
|
|
|
2,107,463
|
Diversified
Chemicals - 0.1% |
BASF
SE |
13,512
|
656,336
|
Mitsubishi
Chemical Group Corp. |
20,500
|
123,095
|
Ningxia
Baofeng Energy Group Co. Ltd., Class A |
11,000
|
19,118
|
Nissan
Chemical Corp. |
1,900
|
81,791
|
Pidilite
Industries Ltd. |
2,240
|
71,048
|
Sasol
Ltd. |
8,156
|
100,672
|
Solvay
SA |
1,107
|
123,762
|
SRF
Ltd. |
2,188
|
61,210
|
Sumitomo
Chemical Co. Ltd. |
21,900
|
66,453
|
|
|
1,303,485
|
Diversified
Financial Services - 0.1% |
Bajaj
Finserv Ltd. |
5,443
|
101,665
|
FirstRand
Ltd. |
71,666
|
260,168
|
Housing
Development Finance Corp. Ltd. |
24,758
|
854,157
|
M&G
PLC |
35,302
|
86,005
|
Meritz
Financial Group, Inc. (a) |
1,512
|
47,939
|
ORIX
Corp. |
18,100
|
329,527
|
Yuanta
Financial Holding Co. Ltd. |
142,240
|
105,786
|
|
|
1,785,247
|
Diversified
Metals & Mining - 0.5% |
African
Rainbow Minerals Ltd. |
1,352
|
14,211
|
Anglo
American PLC |
19,286
|
549,724
|
BHP
Group Ltd. |
76,784
|
2,306,544
|
Boliden
AB |
4,072
|
117,825
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
49
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
China
Northern Rare Earth Group High-Tech Co. Ltd., Class A |
2,000
|
$
6,608 |
China
Rare Earth Resources & Technology Co. Ltd., Class A |
500
|
2,038
|
CMOC
Group Ltd., Class H |
57,000
|
30,008
|
CMOC
Group Ltd., Class A |
11,000
|
8,082
|
GEM
Co. Ltd., Class A (a) |
7,800
|
7,429
|
Glencore
PLC |
161,493
|
916,620
|
Grupo
Mexico SAB de CV Series B |
44,342
|
213,068
|
Henan
Shenhuo Coal & Power Co. Ltd., Class A |
4,000
|
7,160
|
IGO
Ltd. |
10,806
|
110,212
|
Ivanhoe
Mines Ltd., Class A (a) |
9,600
|
87,784
|
Korea
Zinc Co. Ltd. |
131
|
48,658
|
Merdeka
Copper Gold Tbk PT (a) |
198,993
|
40,736
|
Mineral
Resources Ltd. |
2,548
|
121,939
|
MMC
Norilsk Nickel PJSC ADR (a)(c)** |
8,131
|
—
|
MMC
Norilsk Nickel PJSC (a)(c)** |
305
|
—
|
Pilbara
Minerals Ltd. |
40,519
|
133,072
|
PolyMet
Mining Corp. (a) |
2,979
|
2,353
|
Rio
Tinto Ltd. |
5,623
|
430,284
|
Rio
Tinto PLC |
17,042
|
1,084,165
|
Saudi
Arabian Mining Co. (a) |
18,423
|
208,129
|
Shenghe
Resources Holding Co. Ltd., Class A (a) |
3,500
|
6,207
|
Sinomine
Resource Group Co. Ltd., Class A |
1,120
|
7,873
|
South32
Ltd. |
68,975
|
173,521
|
Sumitomo
Metal Mining Co. Ltd. |
3,700
|
119,246
|
Teck
Resources Ltd., Class B |
6,900
|
290,653
|
Tibet
Summit Resources Co. Ltd., Class A (a) |
500
|
1,259
|
Vale
Indonesia Tbk PT |
23,800
|
10,044
|
Vedanta
Ltd. |
11,044
|
37,616
|
Western
Mining Co. Ltd., Class A |
1,400
|
2,028
|
Youngy
Co. Ltd., Class A |
200
|
1,842
|
Yunnan
Tin Co. Ltd., Class A |
1,000
|
2,145
|
Zhejiang
Huayou Cobalt Co. Ltd., Class A |
1,530
|
9,682
|
|
|
7,108,765
|
Diversified
Real Estate Activities - 0.1% |
Aldar
Properties PJSC |
55,124
|
77,094
|
Ayala
Land, Inc. |
105,500
|
46,671
|
Barwa
Real Estate Co. |
31,838
|
22,888
|
City
Developments Ltd. |
7,700
|
38,380
|
Daito
Trust Construction Co. Ltd. |
1,000
|
101,137
|
|
Number
of Shares |
Fair
Value |
Daiwa
House Industry Co. Ltd. |
9,000
|
$
237,403 |
DLF
Ltd. |
8,691
|
52,101
|
ESR
Group Ltd. (d) |
34,000
|
58,552
|
Lendlease
Corp. Ltd. |
11,752
|
60,929
|
Mitsubishi
Estate Co. Ltd. |
16,900
|
200,444
|
Mitsui
Fudosan Co. Ltd. |
13,700
|
272,607
|
New
World Development Co. Ltd. |
22,000
|
54,370
|
Nomura
Real Estate Holdings, Inc. |
1,696
|
40,255
|
Shanghai
Lujiazui Finance & Trade Zone Development Co. Ltd., Class B |
10,400
|
6,470
|
Sumitomo
Realty & Development Co. Ltd. |
4,200
|
103,907
|
Sun
Hung Kai Properties Ltd. |
22,000
|
277,940
|
Swire
Pacific Ltd., Class A |
7,500
|
57,616
|
UOL
Group Ltd. |
7,700
|
36,675
|
|
|
1,745,439
|
Diversified
REITs - 0.0%* |
British
Land Co. PLC |
12,774
|
49,313
|
Daiwa
House REIT Investment Corp. |
32
|
61,253
|
Fibra
Uno Administracion SA de CV |
42,900
|
62,535
|
GPT
Group |
28,310
|
78,277
|
Growthpoint
Properties Ltd. |
56,785
|
35,049
|
Land
Securities Group PLC |
11,164
|
81,716
|
Mirvac
Group |
58,479
|
88,243
|
Nomura
Real Estate Master Fund, Inc. |
62
|
71,391
|
Stockland
|
35,518
|
95,411
|
Yuexiu
Real Estate Investment Trust |
1,920
|
410
|
|
|
623,598
|
Diversified
Support Services - 0.0%* |
Brambles
Ltd. |
20,892
|
200,738
|
Indian
Railway Catering & Tourism Corp. Ltd. |
2,733
|
21,210
|
RB
Global, Inc. |
4,435
|
266,314
|
|
|
488,262
|
Drug
Retail - 0.0%* |
Alibaba
Health Information Technology Ltd. (a) |
68,000
|
41,147
|
Clicks
Group Ltd. |
3,565
|
49,308
|
JD
Health International, Inc. (a)(d) |
16,000
|
101,622
|
MatsukiyoCocokara
& Co. |
1,800
|
100,940
|
Nahdi
Medical Co. |
553
|
25,177
|
Ping
An Healthcare & Technology Co. Ltd. (a)(d) |
9,500
|
23,024
|
Raia
Drogasil SA |
16,224
|
99,550
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
50
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Welcia
Holdings Co. Ltd. |
1,344
|
$
27,948 |
|
|
468,716
|
Education
Services - 0.0%* |
East
Buy Holding Ltd. (a)(d) |
4,000
|
13,070
|
IDP
Education Ltd. |
3,579
|
52,961
|
New
Oriental Education & Technology Group, Inc. (a) |
22,000
|
86,712
|
Pearson
PLC |
10,296
|
108,056
|
TAL
Education Group ADR (a) |
7,100
|
42,316
|
|
|
303,115
|
Electric
Utilities - 0.4% |
Acciona
SA |
362
|
61,453
|
BKW
AG |
359
|
63,500
|
Centrais
Eletricas Brasileiras SA |
16,027
|
132,063
|
CEZ
AS |
2,270
|
93,815
|
Chubu
Electric Power Co., Inc. |
9,600
|
116,921
|
CK
Infrastructure Holdings Ltd. |
10,500
|
55,689
|
CLP
Holdings Ltd. |
24,500
|
190,806
|
CPFL
Energia SA |
2,500
|
17,822
|
EDP
- Energias de Portugal SA |
44,154
|
215,770
|
Elia
Group SA |
485
|
61,610
|
Emera,
Inc. |
4,000
|
164,927
|
Endesa
SA |
4,724
|
101,489
|
Enel
Americas SA (a) |
212,573
|
28,353
|
Enel
Chile SA |
508,946
|
33,056
|
Enel
SpA |
123,606
|
833,251
|
Energisa
SA |
3,800
|
39,544
|
Equatorial
Energia SA |
14,643
|
97,590
|
Equatorial
Energia SA (a) |
143
|
948
|
Fortis,
Inc. |
7,329
|
316,201
|
Fortum
Oyj |
7,162
|
95,828
|
Hydro
One Ltd. (d) |
4,898
|
140,101
|
Iberdrola
SA |
88,127
|
1,150,622
|
Inter
RAO UES PJSC (c)** |
467,243
|
—
|
Interconexion
Electrica SA ESP |
4,165
|
16,846
|
Kansai
Electric Power Co., Inc. |
11,200
|
140,286
|
Korea
Electric Power Corp. (a) |
3,589
|
56,170
|
Manila
Electric Co. |
4,930
|
29,953
|
Mercury
NZ Ltd. |
9,907
|
39,530
|
Origin
Energy Ltd. |
25,794
|
144,868
|
Orsted
AS (d) |
2,855
|
270,607
|
PGE
Polska Grupa Energetyczna SA (a) |
10,086
|
18,022
|
Power
Assets Holdings Ltd. |
22,000
|
115,480
|
Power
Grid Corp. of India Ltd. |
44,368
|
138,315
|
Public
Power Corp. SA (a) |
3,866
|
44,083
|
Redeia
Corp. SA |
6,041
|
101,573
|
|
Number
of Shares |
Fair
Value |
Saudi
Electricity Co. |
11,034
|
$
66,763 |
SSE
PLC |
16,365
|
384,169
|
Tata
Power Co. Ltd. |
20,323
|
55,104
|
Tenaga
Nasional Bhd |
35,400
|
68,679
|
Terna
- Rete Elettrica Nazionale |
21,146
|
180,325
|
Tokyo
Electric Power Co. Holdings, Inc. (a) |
24,200
|
88,614
|
Verbund
AG |
1,082
|
86,788
|
|
|
6,057,534
|
Electrical
Components & Equipment - 0.2% |
ABB
Ltd. |
23,889
|
940,233
|
CG
Power & Industrial Solutions Ltd. |
9,101
|
42,080
|
Contemporary
Amperex Technology Co. Ltd., Class A |
4,000
|
126,198
|
Ecopro
BM Co. Ltd. |
705
|
134,111
|
Eve
Energy Co. Ltd., Class A |
2,500
|
20,859
|
Fuji
Electric Co. Ltd. |
1,900
|
83,509
|
Ginlong
Technologies Co. Ltd., Class A (a) |
300
|
4,307
|
Gotion
High-tech Co. Ltd., Class A (a) |
1,800
|
6,853
|
Havells
India Ltd. |
3,826
|
59,944
|
Jiangsu
Zhongtian Technology Co. Ltd., Class A |
4,400
|
9,636
|
Legrand
SA |
4,039
|
400,611
|
LG
Energy Solution Ltd. (a) |
504
|
212,482
|
Nidec
Corp. |
6,400
|
352,089
|
Prysmian
SpA |
3,797
|
158,776
|
Sungrow
Power Supply Co. Ltd., Class A |
1,900
|
30,560
|
Sunwoda
Electronic Co. Ltd., Class A |
800
|
1,801
|
Suzhou
Maxwell Technologies Co. Ltd., Class A |
256
|
5,968
|
TBEA
Co. Ltd., Class A (a) |
4,200
|
12,896
|
Voltronic
Power Technology Corp. |
1,000
|
63,242
|
Walsin
Lihwa Corp. |
39,000
|
51,541
|
WEG
SA |
24,146
|
188,953
|
Zhejiang
Chint Electrics Co. Ltd., Class A |
1,800
|
6,854
|
|
|
2,913,503
|
Electronic
Components - 0.2% |
AUO
Corp. |
98,200
|
58,933
|
Avary
Holding Shenzhen Co. Ltd., Class A |
2,600
|
8,693
|
BOE
Technology Group Co. Ltd., Class A |
22,800
|
12,846
|
Chaozhou
Three-Circle Group Co. Ltd., Class A (a) |
2,200
|
8,890
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
51
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
China
Zhenhua Group Science & Technology Co. Ltd., Class A |
200
|
$
2,640 |
Delta
Electronics Thailand PCL NVDR |
44,500
|
115,842
|
Delta
Electronics, Inc. |
28,000
|
310,305
|
E
Ink Holdings, Inc. |
13,000
|
94,566
|
Guangzhou
Shiyuan Electronic Technology Co. Ltd., Class A |
800
|
7,361
|
Hamamatsu
Photonics KK |
2,100
|
102,925
|
Hirose
Electric Co. Ltd. |
474
|
63,001
|
Ibiden
Co. Ltd. |
1,700
|
96,565
|
Innolux
Corp. |
131,930
|
64,936
|
Kingboard
Holdings Ltd. |
8,000
|
21,880
|
Kingboard
Laminates Holdings Ltd. |
13,549
|
12,773
|
Kyocera
Corp. |
4,800
|
260,505
|
L&F
Co. Ltd. |
339
|
63,093
|
Largan
Precision Co. Ltd. |
1,000
|
68,598
|
Lens
Technology Co. Ltd., Class A |
4,960
|
8,035
|
LG
Display Co. Ltd. (a) |
3,737
|
44,914
|
LG
Innotek Co. Ltd. |
236
|
55,906
|
Lingyi
iTech Guangdong Co., Class A (a) |
8,000
|
7,609
|
Lotte
Energy Materials Corp. |
276
|
10,175
|
Luxshare
Precision Industry Co. Ltd., Class A |
4,700
|
21,064
|
Maxscend
Microelectronics Co. Ltd., Class A |
128
|
1,705
|
Murata
Manufacturing Co. Ltd. |
8,700
|
498,906
|
Nan
Ya Printed Circuit Board Corp. |
4,000
|
34,128
|
Omron
Corp. |
2,597
|
159,196
|
Samsung
Electro-Mechanics Co. Ltd. |
829
|
91,525
|
Samsung
SDI Co. Ltd. |
755
|
385,529
|
Shengyi
Technology Co. Ltd., Class A |
1,400
|
2,736
|
Shennan
Circuits Co. Ltd., Class A |
800
|
8,303
|
Sunny
Optical Technology Group Co. Ltd. |
10,400
|
104,269
|
TDK
Corp. |
5,900
|
229,746
|
Unimicron
Technology Corp. |
18,000
|
102,360
|
Yageo
Corp. |
4,979
|
78,879
|
Zhen
Ding Technology Holding Ltd. |
11,665
|
39,446
|
|
|
3,258,783
|
Electronic
Equipment & Instruments - 0.2% |
Azbil
Corp. |
1,900
|
60,035
|
CETC
Cyberspace Security Technology Co. Ltd., Class A |
400
|
1,536
|
|
Number
of Shares |
Fair
Value |
Halma
PLC |
5,699
|
$
165,135 |
Hexagon
AB, Class B |
31,854
|
391,236
|
Keyence
Corp. |
2,900
|
1,375,665
|
Shimadzu
Corp. |
3,800
|
117,258
|
Wuhan
Guide Infrared Co. Ltd., Class A |
4,550
|
4,868
|
Yokogawa
Electric Corp. |
3,300
|
60,985
|
Zhejiang
Dahua Technology Co. Ltd., Class A |
2,800
|
7,622
|
Zhejiang
Supcon Technology Co. Ltd., Class A |
1,570
|
13,595
|
|
|
2,197,935
|
Electronic
Manufacturing Services - 0.1% |
AAC
Technologies Holdings, Inc. |
8,500
|
20,088
|
Fabrinet
(a) |
1,276
|
165,727
|
Foxconn
Industrial Internet Co. Ltd., Class A |
8,600
|
29,787
|
GoerTek,
Inc., Class A |
2,448
|
5,990
|
Hon
Hai Precision Industry Co. Ltd. |
173,000
|
628,983
|
Venture
Corp. Ltd. |
4,700
|
51,278
|
Wingtech
Technology Co. Ltd., Class A |
1,200
|
8,094
|
|
|
909,947
|
Environmental
& Facilities Services - 0.0%* |
China
Everbright Environment Group Ltd. |
48,000
|
18,971
|
GFL
Environmental, Inc. |
3,600
|
139,946
|
Li-Cycle
Holdings Corp. (a) |
4,470
|
24,809
|
Rentokil
Initial PLC |
38,084
|
298,084
|
|
|
481,810
|
Fertilizers
& Agricultural Chemicals - 0.1% |
Hektas
Ticaret TAS (a) |
16,643
|
19,208
|
ICL
Group Ltd. |
11,141
|
61,077
|
Nutrien
Ltd. |
7,500
|
443,284
|
OCI
NV (a) |
1,795
|
43,106
|
PhosAgro
PJSC (a)(c)** |
13
|
—
|
PhosAgro
PJSC GDR (a)(c)** |
1,956
|
—
|
PI
Industries Ltd. |
1,179
|
56,448
|
Qinghai
Salt Lake Industry Co. Ltd., Class A (a) |
3,300
|
8,711
|
SABIC
Agri-Nutrients Co. |
3,080
|
106,980
|
Shandong
Hualu Hengsheng Chemical Co. Ltd., Class A |
2,470
|
10,413
|
UPL
Ltd. |
7,182
|
60,315
|
Yara
International ASA |
2,642
|
93,522
|
|
|
903,064
|
Financial
Exchanges & Data - 0.2% |
ASX
Ltd. |
2,894
|
121,697
|
B3
SA - Brasil Bolsa Balcao |
77,700
|
235,323
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
52
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Deutsche
Boerse AG |
2,883
|
$
532,146 |
East
Money Information Co. Ltd., Class A |
16,188
|
31,710
|
Euronext
NV (d) |
1,365
|
92,823
|
Hithink
RoyalFlush Information Network Co. Ltd., Class A |
500
|
12,077
|
Hong
Kong Exchanges & Clearing Ltd. |
18,300
|
693,316
|
Japan
Exchange Group, Inc. |
7,500
|
131,021
|
London
Stock Exchange Group PLC |
6,121
|
652,172
|
Moscow
Exchange MICEX-Rates PJSC (a)(c)** |
17,461
|
—
|
Saudi
Tadawul Group Holding Co. |
719
|
36,194
|
Singapore
Exchange Ltd. |
12,736
|
90,632
|
TMX
Group Ltd. |
4,000
|
90,111
|
|
|
2,719,222
|
Food
Distributors - 0.0%* |
Bid
Corp. Ltd. |
4,807
|
105,164
|
Food
Retail - 0.3% |
Alimentation
Couche-Tard, Inc. |
11,900
|
610,895
|
Avenue
Supermarts Ltd. (a)(d) |
2,316
|
110,060
|
BGF
retail Co. Ltd. |
77
|
10,228
|
BIM
Birlesik Magazalar AS |
6,946
|
45,417
|
Coles
Group Ltd. |
20,188
|
247,700
|
CP
ALL PCL NVDR |
84,115
|
148,485
|
Dino
Polska SA (a)(d) |
716
|
83,715
|
Empire
Co. Ltd., Class A |
2,300
|
65,406
|
Endeavour
Group Ltd. |
21,228
|
89,275
|
George
Weston Ltd. |
969
|
114,691
|
HelloFresh
SE (a) |
2,765
|
68,373
|
J
Sainsbury PLC |
26,076
|
89,235
|
Jeronimo
Martins SGPS SA |
4,211
|
115,986
|
Kesko
Oyj, Class B |
4,337
|
81,661
|
Kobe
Bussan Co. Ltd. |
2,200
|
57,007
|
Koninklijke
Ahold Delhaize NV |
14,970
|
510,279
|
Loblaw
Cos. Ltd. |
2,419
|
221,709
|
Magnit
PJSC (a)(c)** |
1,282
|
—
|
Metro,
Inc. |
3,576
|
202,196
|
Ocado
Group PLC (a) |
9,799
|
70,985
|
President
Chain Store Corp. |
8,000
|
72,648
|
Seven
& i Holdings Co. Ltd. |
11,400
|
491,687
|
Shoprite
Holdings Ltd. |
7,237
|
86,483
|
Sumber
Alfaria Trijaya Tbk PT |
242,800
|
41,837
|
Tesco
PLC |
112,100
|
354,001
|
Woolworths
Group Ltd. |
18,445
|
488,356
|
X5
Retail Group NV GDR (a)(c)** |
2,502
|
—
|
|
|
4,478,315
|
|
Number
of Shares |
Fair
Value |
Footwear
- 0.0%* |
Feng
TAY Enterprise Co. Ltd. |
5,000
|
$
31,631 |
Pou
Chen Corp. |
32,000
|
32,435
|
Puma
SE |
1,680
|
101,219
|
Xtep
International Holdings Ltd. |
17,000
|
17,399
|
|
|
182,684
|
Forest
Products - 0.0%* |
Svenska
Cellulosa AB SCA, Class B |
9,051
|
115,365
|
West
Fraser Timber Co. Ltd. |
800
|
68,807
|
|
|
184,172
|
Gas
Utilities - 0.1% |
AltaGas
Ltd. |
4,100
|
73,743
|
APA
Group |
17,608
|
113,837
|
Beijing
Enterprises Holdings Ltd. |
6,500
|
23,581
|
Brookfield
Infrastructure Corp., Class A |
3,444
|
156,978
|
China
Gas Holdings Ltd. |
43,000
|
49,312
|
China
Resources Gas Group Ltd. |
13,600
|
46,636
|
Enagas
SA |
3,662
|
71,958
|
ENN
Energy Holdings Ltd. |
11,400
|
142,581
|
ENN
Natural Gas Co. Ltd., Class A |
5,300
|
13,828
|
GAIL
India Ltd. |
27,546
|
35,332
|
Hong
Kong & China Gas Co. Ltd. |
166,650
|
144,306
|
Indraprastha
Gas Ltd. |
5,170
|
29,874
|
Kunlun
Energy Co. Ltd. |
56,000
|
44,111
|
Naturgy
Energy Group SA |
2,132
|
63,544
|
Osaka
Gas Co. Ltd. |
6,000
|
91,814
|
Petronas
Gas Bhd |
11,049
|
39,533
|
Snam
SpA |
30,265
|
158,146
|
Tokyo
Gas Co. Ltd. |
6,200
|
135,045
|
|
|
1,434,159
|
Gold
- 0.2% |
Agnico
Eagle Mines Ltd. |
7,515
|
375,679
|
Aneka
Tambang Tbk |
103,400
|
13,491
|
AngloGold
Ashanti Ltd. |
5,988
|
126,280
|
Barrick
Gold Corp. |
26,700
|
452,180
|
Caledonia
Mining Corp. PLC |
572
|
6,647
|
Cia
de Minas Buenaventura SAA ADR |
3,900
|
28,665
|
Endeavour
Mining PLC |
2,848
|
68,469
|
Franco-Nevada
Corp. |
2,951
|
421,068
|
Gold
Fields Ltd. |
12,777
|
176,973
|
Harmony
Gold Mining Co. Ltd. |
9,333
|
39,166
|
i-80
Gold Corp. (a) |
6,732
|
15,147
|
Kinross
Gold Corp. |
18,600
|
88,836
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
53
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Koza
Altin Isletmeleri AS |
17,857
|
$
17,095 |
Newcrest
Mining Ltd. |
13,492
|
240,495
|
Northern
Star Resources Ltd. |
17,393
|
141,592
|
Novagold
Resources, Inc. (a) |
8,497
|
33,903
|
Polymetal
International PLC (a)(c)** |
1,670
|
—
|
Polyus
PJSC GDR (a)(c)** |
977
|
—
|
Polyus
PJSC (a)(c)** |
122
|
—
|
Shandong
Gold Mining Co. Ltd., Class A |
3,000
|
9,727
|
Shandong
Gold Mining Co. Ltd., Class H (d) |
14,250
|
26,190
|
SSR
Mining, Inc. |
3,200
|
45,376
|
Wheaton
Precious Metals Corp. |
6,829
|
295,661
|
Zhaojin
Mining Industry Co. Ltd., Class H |
15,500
|
19,556
|
Zijin
Mining Group Co. Ltd., Class H |
79,119
|
117,157
|
Zijin
Mining Group Co. Ltd., Class A |
22,900
|
35,939
|
|
|
2,795,292
|
Healthcare
Distributors - 0.0%* |
Amplifon
SpA |
1,957
|
71,769
|
Celltrion
Healthcare Co. Ltd. |
1,308
|
65,486
|
EBOS
Group Ltd. |
2,550
|
57,518
|
Guangzhou
Baiyunshan Pharmaceutical Holdings Co. Ltd., Class A |
900
|
3,946
|
Huadong
Medicine Co. Ltd., Class A |
1,700
|
10,147
|
Shanghai
Pharmaceuticals Holding Co. Ltd., Class H |
9,000
|
17,865
|
Shanghai
Pharmaceuticals Holding Co. Ltd., Class A |
1,700
|
5,242
|
Sinopharm
Group Co. Ltd., Class H |
20,000
|
62,605
|
|
|
294,578
|
Healthcare
Equipment - 0.2% |
BioMerieux
|
658
|
69,076
|
Carl
Zeiss Meditec AG |
638
|
68,983
|
Cochlear
Ltd. |
987
|
151,103
|
Demant
AS (a) |
1,562
|
66,102
|
DiaSorin
SpA |
386
|
40,202
|
Fisher
& Paykel Healthcare Corp. Ltd., Class C |
8,613
|
129,470
|
Getinge
AB, Class B |
3,380
|
59,210
|
Jafron
Biomedical Co. Ltd., Class A |
600
|
1,915
|
Jiangsu
Yuyue Medical Equipment & Supply Co. Ltd., Class A |
600
|
2,970
|
Koninklijke
Philips NV (a) |
14,031
|
303,963
|
Lepu
Medical Technology Beijing Co. Ltd., Class A |
2,300
|
7,152
|
|
Number
of Shares |
Fair
Value |
Microport
Scientific Corp. (a) |
11,707
|
$
21,293 |
Nano-X
Imaging Ltd. (a) |
1,599
|
24,768
|
Olympus
Corp. |
18,500
|
292,283
|
Shenzhen
Mindray Bio-Medical Electronics Co. Ltd., Class A |
1,100
|
45,453
|
Siemens
Healthineers AG (d) |
4,257
|
241,223
|
Smith
& Nephew PLC |
13,107
|
211,684
|
Sonova
Holding AG |
784
|
209,294
|
Straumann
Holding AG |
1,685
|
274,113
|
Sysmex
Corp. |
2,500
|
170,958
|
Terumo
Corp. |
10,300
|
327,507
|
|
|
2,718,722
|
Healthcare
Facilities - 0.1% |
Aier
Eye Hospital Group Co. Ltd., Class A |
10,282
|
26,276
|
Apollo
Hospitals Enterprise Ltd. |
1,475
|
91,815
|
Bangkok
Dusit Medical Services PCL NVDR |
148,011
|
116,067
|
Bumrungrad
Hospital PCL NVDR |
8,541
|
54,505
|
Dallah
Healthcare Co. |
522
|
23,453
|
Dr
Sulaiman Al Habib Medical Services Group Co. |
1,228
|
93,954
|
Hygeia
Healthcare Holdings Co. Ltd., Class C (d) |
3,200
|
17,380
|
IHH
Healthcare Bhd |
27,300
|
34,479
|
Max
Healthcare Institute Ltd. (a) |
11,141
|
81,521
|
Mouwasat
Medical Services Co. |
722
|
46,810
|
Ramsay
Health Care Ltd. |
2,726
|
102,339
|
Rede
D'Or Sao Luiz SA (d) |
8,200
|
55,958
|
|
|
744,557
|
Healthcare
Services - 0.0%* |
Fresenius
Medical Care AG & Co. KGaA |
3,074
|
146,883
|
Fresenius
SE & Co. KGaA |
6,345
|
175,958
|
Guangzhou
Kingmed Diagnostics Group Co. Ltd., Class A |
500
|
5,197
|
Meinian
Onehealth Healthcare Holdings Co. Ltd., Class A (a) |
4,500
|
4,406
|
Sonic
Healthcare Ltd. |
6,852
|
162,830
|
Topchoice
Medical Corp., Class A (a) |
300
|
4,001
|
|
|
499,275
|
Healthcare
Supplies - 0.2% |
Alcon,
Inc. |
7,582
|
629,302
|
Asahi
Intecc Co. Ltd. |
3,400
|
66,828
|
Coloplast
AS, Class B |
1,793
|
224,325
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
54
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
EssilorLuxottica
SA |
4,509
|
$
850,107 |
HLB,
Inc. (a) |
1,849
|
45,906
|
Hoya
Corp. |
5,400
|
645,124
|
Ovctek
China, Inc., Class A |
600
|
2,495
|
Shandong
Weigao Group Medical Polymer Co. Ltd., Class H |
36,400
|
47,759
|
Top
Glove Corp. Bhd (a) |
54,800
|
9,533
|
|
|
2,521,379
|
Healthcare
Technology - 0.0%* |
M3,
Inc. |
6,600
|
143,671
|
Heavy
Electrical Equipment - 0.1% |
ABB
India Ltd. |
830
|
44,831
|
Dongfang
Electric Corp. Ltd., Class A |
1,000
|
2,568
|
Doosan
Enerbility Co. Ltd. (a) |
6,091
|
84,162
|
Ming
Yang Smart Energy Group Ltd., Class A |
600
|
1,395
|
Mitsubishi
Electric Corp. |
29,300
|
413,522
|
NARI
Technology Co. Ltd., Class A |
5,155
|
16,391
|
Shanghai
Electric Group Co. Ltd., Class A (a) |
15,400
|
9,686
|
Siemens
Energy AG (a) |
7,813
|
138,123
|
Titan
Wind Energy Suzhou Co. Ltd., Class A (a) |
900
|
1,887
|
Vestas
Wind Systems AS (a) |
15,301
|
406,732
|
Xinjiang
Goldwind Science & Technology Co. Ltd., Class A |
2,800
|
4,095
|
|
|
1,123,392
|
Highways
& Railtracks - 0.1% |
Bangkok
Expressway & Metro PCL NVDR |
140,283
|
33,871
|
CCR
SA |
18,300
|
53,299
|
Getlink
SE |
5,485
|
93,326
|
Jiangsu
Expressway Co. Ltd., Class H |
26,000
|
23,975
|
Promotora
y Operadora de Infraestructura SAB de CV |
3,155
|
31,545
|
Shenzhen
International Holdings Ltd. |
17,503
|
15,440
|
Taiwan
High Speed Rail Corp. |
33,000
|
34,086
|
Transurban
Group |
46,611
|
443,467
|
Zhejiang
Expressway Co. Ltd., Class H |
16,000
|
12,174
|
|
|
741,183
|
Home
Building - 0.1% |
Barratt
Developments PLC |
15,884
|
83,571
|
Berkeley
Group Holdings PLC |
1,723
|
85,983
|
Iida
Group Holdings Co. Ltd. |
2,438
|
41,131
|
|
Number
of Shares |
Fair
Value |
Open
House Group Co. Ltd. |
1,300
|
$
46,854 |
Persimmon
PLC |
4,714
|
61,487
|
Sekisui
Chemical Co. Ltd. |
5,800
|
83,655
|
Sekisui
House Ltd. |
9,258
|
186,697
|
Taylor
Wimpey PLC |
55,820
|
73,000
|
|
|
662,378
|
Home
Furnishing Retail - 0.0%* |
Nitori
Holdings Co. Ltd. |
1,200
|
134,529
|
Home
Furnishings - 0.0%* |
Nien
Made Enterprise Co. Ltd. |
2,000
|
22,045
|
Oppein
Home Group, Inc., Class A |
500
|
6,596
|
|
|
28,641
|
Home
Improvement Retail - 0.0%* |
Home
Product Center PCL NVDR |
95,609
|
37,838
|
Kingfisher
PLC |
31,035
|
91,565
|
MR
DIY Group M Bhd (d) |
42,900
|
14,637
|
|
|
144,040
|
Hotels,
Resorts & Cruise Lines - 0.1% |
Accor
SA |
2,825
|
105,103
|
Amadeus
IT Group SA (a) |
6,830
|
520,012
|
Asset
World Corp. PCL NVDR |
34,533
|
4,819
|
H
World Group Ltd. ADR (a) |
2,800
|
108,584
|
Indian
Hotels Co. Ltd. |
12,126
|
58,141
|
InterContinental
Hotels Group PLC |
2,634
|
182,273
|
Minor
International PCL NVDR |
47,349
|
45,850
|
Shanghai
Jinjiang International Hotels Co. Ltd., Class A |
900
|
5,247
|
Tongcheng
Travel Holdings Ltd. (a) |
18,400
|
38,645
|
TravelSky
Technology Ltd., Class H |
10,000
|
17,034
|
Trip.com
Group Ltd. (a) |
7,800
|
272,272
|
Whitbread
PLC |
3,228
|
139,102
|
|
|
1,497,082
|
Household
Appliances - 0.0%* |
Coway
Co. Ltd. |
967
|
32,314
|
Ecovacs
Robotics Co. Ltd., Class A |
400
|
4,286
|
Gree
Electric Appliances, Inc. of Zhuhai, Class A |
4,100
|
20,607
|
Haier
Smart Home Co. Ltd., Class A |
3,900
|
12,603
|
Haier
Smart Home Co. Ltd., Class H |
34,800
|
109,735
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
55
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
SEB
SA |
420
|
$
43,426 |
|
|
222,971
|
Household
Products - 0.1% |
Essity
AB, Class B |
9,197
|
244,570
|
Henkel
AG & Co. KGaA |
1,662
|
116,974
|
Kimberly-Clark
de Mexico SAB de CV, Class A |
24,500
|
54,384
|
Reckitt
Benckiser Group PLC |
10,878
|
818,360
|
Unicharm
Corp. |
6,100
|
226,451
|
Unilever
Indonesia Tbk PT |
125,600
|
35,758
|
Vinda
International Holdings Ltd. |
4,000
|
9,970
|
|
|
1,506,467
|
Human
Resource & Employment Services - 0.1% |
Adecco
Group AG |
2,359
|
77,295
|
Persol
Holdings Co. Ltd. |
2,800
|
50,590
|
Randstad
NV |
1,624
|
85,633
|
Recruit
Holdings Co. Ltd. |
21,900
|
697,785
|
|
|
911,303
|
Independent
Power Producers & Energy Traders - 0.1% |
ACEN
Corp. (a) |
10,680
|
1,047
|
ACWA
Power Co. |
1,144
|
51,138
|
Adani
Power Ltd. (a) |
7,953
|
24,303
|
B
Grimm Power PCL NVDR |
8,800
|
8,645
|
CGN
Power Co. Ltd., Class H (d) |
185,000
|
44,673
|
China
National Nuclear Power Co. Ltd., Class A |
11,500
|
11,159
|
China
Power International Development Ltd. |
65,000
|
23,976
|
China
Resources Power Holdings Co. Ltd. |
28,000
|
63,414
|
Electricity
Generating PCL NVDR |
4,166
|
15,350
|
Eneva
SA (a) |
15,300
|
38,916
|
GD
Power Development Co. Ltd., Class A (a) |
10,800
|
5,690
|
Global
Power Synergy PCL NVDR |
13,498
|
20,707
|
Gulf
Energy Development PCL NVDR |
40,633
|
53,674
|
Huadian
Power International Corp. Ltd., Class A |
16,100
|
14,823
|
Huaneng
Power International, Inc., Class H (a) |
58,000
|
36,361
|
Huaneng
Power International, Inc., Class A (a) |
7,700
|
9,801
|
NTPC
Ltd. |
54,719
|
126,378
|
Ratch
Group PCL NVDR |
11,000
|
11,102
|
RWE
AG |
9,736
|
424,181
|
Shenzhen
Energy Group Co. Ltd., Class A |
5,900
|
5,350
|
|
|
990,688
|
|
Number
of Shares |
Fair
Value |
Industrial
Conglomerates - 0.4% |
Aboitiz
Equity Ventures, Inc. |
28,670
|
$
28,281 |
Alfa
SAB de CV, Class A |
36,800
|
22,852
|
Astra
International Tbk PT |
295,000
|
133,806
|
Ayala
Corp. |
3,810
|
43,330
|
Bidvest
Group Ltd. |
4,198
|
58,139
|
Brookfield
Business Corp., Class A |
837
|
15,803
|
China
Baoan Group Co. Ltd., Class A |
1,200
|
1,994
|
CITIC
Ltd. |
84,000
|
100,569
|
CJ
Corp. |
187
|
9,703
|
CK
Hutchison Holdings Ltd. |
40,500
|
247,166
|
DCC
PLC |
1,566
|
87,698
|
Far
Eastern New Century Corp. |
52,000
|
55,915
|
Fosun
International Ltd. |
31,000
|
21,360
|
Grupo
Carso SAB de CV Series A1 |
5,400
|
39,150
|
Hikari
Tsushin, Inc. |
300
|
42,988
|
Hitachi
Ltd. |
14,200
|
881,440
|
Industries
Qatar QSC |
21,324
|
66,346
|
Investment
AB Latour, Class B |
2,506
|
49,678
|
Jardine
Cycle & Carriage Ltd. |
1,500
|
38,652
|
Jardine
Matheson Holdings Ltd. |
2,500
|
126,775
|
JG
Summit Holdings, Inc. |
46,990
|
37,962
|
Keppel
Corp. Ltd. |
23,200
|
115,379
|
KOC
Holding AS |
11,100
|
44,359
|
LG
Corp. |
1,357
|
91,001
|
Lifco
AB, Class B |
3,440
|
74,805
|
Multiply
Group PJSC (a) |
48,443
|
41,981
|
Mytilineos
SA |
1,549
|
54,678
|
Samsung
C&T Corp. |
1,218
|
98,029
|
Siemens
AG |
11,518
|
1,919,709
|
Siemens
Ltd. |
862
|
39,645
|
Sime
Darby Bhd |
56,158
|
24,685
|
SK
Square Co. Ltd. (a) |
1,543
|
52,118
|
SK,
Inc. |
536
|
60,801
|
SM
Investments Corp. |
3,420
|
57,487
|
Smiths
Group PLC |
5,660
|
118,543
|
Toshiba
Corp. |
6,300
|
197,361
|
Turkiye
Sise ve Cam Fabrikalari AS |
16,723
|
28,571
|
|
|
5,128,759
|
Industrial
Gases - 0.1% |
Air
Liquide SA |
7,930
|
1,421,867
|
Nippon
Sanso Holdings Corp. |
2,900
|
62,900
|
|
|
1,484,767
|
Industrial
Machinery & Supplies & Components - 0.4% |
Airtac
International Group |
2,364
|
78,127
|
Alfa
Laval AB |
4,346
|
158,298
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
56
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Atlas
Copco AB, A Shares |
40,768
|
$
587,693 |
Atlas
Copco AB, B Shares |
23,589
|
293,685
|
Daifuku
Co. Ltd. |
4,800
|
98,696
|
FANUC
Corp. |
14,500
|
508,187
|
GEA
Group AG |
2,415
|
101,088
|
Haitian
International Holdings Ltd. |
12,655
|
29,678
|
Hoshizaki
Corp. |
1,600
|
57,349
|
Hoyuan
Green Energy Co. Ltd., Class A (a) |
280
|
2,876
|
Indutrade
AB |
4,059
|
91,478
|
Jiangsu
Hengli Hydraulic Co. Ltd., Class A |
900
|
7,969
|
Kone
Oyj, Class B |
5,136
|
268,279
|
Kurita
Water Industries Ltd. |
1,607
|
61,594
|
Luxfer
Holdings PLC |
866
|
12,323
|
Makita
Corp. |
3,500
|
98,768
|
MINEBEA
MITSUMI, Inc. |
5,800
|
109,824
|
MISUMI
Group, Inc. |
4,500
|
90,448
|
Mitsubishi
Heavy Industries Ltd. |
4,800
|
223,813
|
NGK
Insulators Ltd. |
3,400
|
40,554
|
Ningbo
Deye Technology Co. Ltd., Class A |
360
|
7,423
|
North
Industries Group Red Arrow Co. Ltd., Class A |
600
|
1,496
|
Rational
AG |
87
|
62,985
|
Sandvik
AB |
16,124
|
314,343
|
Schindler
Holding AG |
954
|
220,758
|
Shenzhen
Inovance Technology Co. Ltd., Class A |
1,750
|
15,488
|
SKF
AB, Class B |
5,019
|
87,329
|
SMC
Corp. |
900
|
499,355
|
Spirax-Sarco
Engineering PLC |
1,101
|
145,271
|
Techtronic
Industries Co. Ltd. |
20,500
|
224,163
|
VAT
Group AG (d) |
404
|
167,417
|
Wartsila
OYJ Abp |
6,991
|
78,816
|
Yaskawa
Electric Corp. |
3,600
|
165,695
|
|
|
4,911,266
|
Industrial
REITs - 0.1% |
CapitaLand
Ascendas REIT |
53,600
|
108,109
|
GLP
J-Reit |
66
|
64,991
|
Goodman
Group |
25,604
|
343,932
|
Mapletree
Logistics Trust |
52,936
|
63,624
|
Nippon
Prologis REIT, Inc. |
31
|
62,200
|
Segro
PLC |
18,182
|
165,993
|
Warehouses
De Pauw CVA |
2,478
|
68,040
|
|
|
876,889
|
Integrated
Oil & Gas - 0.8% |
BP
PLC |
268,075
|
1,562,494
|
Cenovus
Energy, Inc. |
21,751
|
369,845
|
|
Number
of Shares |
Fair
Value |
China
Petroleum & Chemical Corp., Class H |
346,000
|
$
203,412 |
China
Petroleum & Chemical Corp., Class A |
37,300
|
32,638
|
Eni
SpA |
35,617
|
512,662
|
Equinor
ASA |
14,433
|
421,059
|
Galp
Energia SGPS SA |
7,413
|
86,612
|
Gazprom
PJSC ADR (a)(c)** |
77,360
|
—
|
Gazprom
PJSC (c)** |
56,590
|
—
|
Guanghui
Energy Co. Ltd., Class A |
8,300
|
7,844
|
Imperial
Oil Ltd. |
3,100
|
158,789
|
LUKOIL
PJSC (c)** |
7,480
|
—
|
MOL
Hungarian Oil & Gas PLC |
6,008
|
52,526
|
Novatek
PJSC GDR (a)(c)** |
1,641
|
—
|
Oil
& Natural Gas Corp. Ltd. |
35,271
|
69,038
|
OMV
AG |
2,349
|
99,725
|
PetroChina
Co. Ltd., Class H |
296,000
|
205,514
|
PetroChina
Co. Ltd., Class A |
24,900
|
25,605
|
Petroleo
Brasileiro SA |
52,700
|
361,602
|
PTT
PCL NVDR |
140,541
|
133,027
|
Repsol
SA |
19,963
|
290,289
|
Rosneft
Oil Co. PJSC (c)** |
20,586
|
—
|
Saudi
Arabian Oil Co. (d) |
33,944
|
294,025
|
Shell
PLC |
103,822
|
3,100,479
|
Suncor
Energy, Inc. |
20,100
|
590,278
|
Surgutneftegas
PJSC ADR (a)(c)** |
9,978
|
—
|
Surgutneftegas
PJSC (a)(c)** |
31,000
|
—
|
TotalEnergies
SE |
35,856
|
2,057,923
|
|
|
10,635,386
|
Integrated
Telecommunication Services - 0.4% |
BCE,
Inc. |
1,247
|
56,920
|
BT
Group PLC |
104,616
|
162,970
|
Cellnex
Telecom SA (d) |
8,553
|
345,510
|
China
Tower Corp. Ltd., Class H (d) |
620,000
|
69,044
|
Chunghwa
Telecom Co. Ltd. |
54,071
|
202,518
|
Deutsche
Telekom AG |
49,057
|
1,070,154
|
Elisa
Oyj |
2,125
|
113,421
|
Emirates
Telecommunications Group Co. PJSC |
49,521
|
303,874
|
Hellenic
Telecommunications Organization SA |
3,059
|
52,431
|
HKT
Trust & HKT Ltd. |
59,815
|
69,642
|
Infrastrutture
Wireless Italiane SpA (d) |
4,931
|
65,079
|
Koninklijke
KPN NV |
49,628
|
177,138
|
LG
Uplus Corp. |
3,323
|
27,114
|
Nippon
Telegraph & Telephone Corp. |
452,725
|
534,823
|
Ooredoo
QPSC |
12,728
|
38,254
|
Operadora
De Sites Mexicanos SAB de CV |
26,500
|
25,170
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
57
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Orange
SA |
28,569
|
$
333,809 |
Sarana
Menara Nusantara Tbk PT |
268,300
|
19,015
|
Saudi
Telecom Co. |
28,198
|
328,781
|
Singapore
Telecommunications Ltd. |
124,500
|
230,433
|
Spark
New Zealand Ltd. |
27,737
|
86,649
|
Swisscom
AG |
391
|
244,148
|
Telecom
Italia SpA (a) |
154,590
|
43,576
|
Telefonica
Brasil SA |
6,887
|
61,775
|
Telefonica
Deutschland Holding AG |
12,611
|
35,487
|
Telefonica
SA |
78,641
|
319,220
|
Telekom
Malaysia Bhd |
12,097
|
12,742
|
Telenor
ASA |
10,447
|
106,126
|
Telia
Co. AB |
39,531
|
86,597
|
Telkom
Indonesia Persero Tbk PT |
715,500
|
191,412
|
Telstra
Group Ltd. |
60,740
|
174,114
|
TELUS
Corp. |
7,124
|
138,792
|
True
Corp. PCL NVDR |
169,442
|
31,404
|
|
|
5,758,142
|
Interactive
Home Entertainment - 0.2% |
37
Interactive Entertainment Network Technology Group Co. Ltd., Class A |
3,000
|
14,409
|
Bilibili,
Inc., Class Z (a) |
2,720
|
40,932
|
Capcom
Co. Ltd. |
2,600
|
102,894
|
CD
Projekt SA |
697
|
26,583
|
Embracer
Group AB (a) |
11,141
|
27,820
|
Kakao
Games Corp. (a) |
347
|
8,732
|
Kingsoft
Corp. Ltd. |
13,800
|
54,541
|
Koei
Tecmo Holdings Co. Ltd. |
1,680
|
29,052
|
Konami
Group Corp. |
1,600
|
83,766
|
Krafton,
Inc. (a) |
420
|
62,551
|
NCSoft
Corp. |
236
|
53,146
|
NetEase,
Inc. |
28,270
|
547,517
|
Netmarble
Corp. (a)(d) |
299
|
11,229
|
Nexon
Co. Ltd. |
6,000
|
114,869
|
Nintendo
Co. Ltd. |
15,900
|
723,651
|
Pearl
Abyss Corp. (a) |
358
|
14,405
|
Perfect
World Co. Ltd., Class A |
3,300
|
7,673
|
Sea
Ltd. ADR (a) |
5,500
|
319,220
|
Square
Enix Holdings Co. Ltd. |
1,300
|
60,386
|
Zhejiang
Century Huatong Group Co. Ltd., Class A (a) |
8,600
|
8,985
|
|
|
2,312,361
|
Interactive
Media & Services - 0.4% |
Adevinta
ASA (a) |
4,364
|
28,731
|
Auto
Trader Group PLC (d) |
13,603
|
105,733
|
Autohome,
Inc. ADR |
1,200
|
34,992
|
|
Number
of Shares |
Fair
Value |
Baidu,
Inc., Class A (a) |
31,700
|
$
540,626 |
Grindr,
Inc. (a) |
1,429
|
7,902
|
Info
Edge India Ltd. |
1,004
|
55,056
|
JOYY,
Inc. ADR |
900
|
27,639
|
Kakao
Corp. |
4,470
|
167,893
|
Kanzhun
Ltd. ADR (a) |
2,600
|
39,130
|
Kuaishou
Technology (a)(d) |
32,300
|
221,986
|
NAVER
Corp. |
1,880
|
263,172
|
REA
Group Ltd. |
777
|
74,585
|
Scout24
SE (d) |
1,182
|
74,885
|
SEEK
Ltd. |
5,341
|
77,966
|
Tencent
Holdings Ltd. |
86,875
|
3,683,320
|
VK
Co. Ltd. GDR (a)(c)** |
1,600
|
—
|
Weibo
Corp. ADR |
700
|
9,177
|
Yandex
NV, Class A (a)(c)** |
5,562
|
—
|
Z
Holdings Corp. |
42,696
|
102,730
|
|
|
5,515,523
|
Internet
Services & Infrastructure - 0.1% |
GDS
Holdings Ltd., Class A (a) |
8,800
|
12,066
|
Shopify,
Inc., Class A (a) |
18,123
|
1,172,636
|
Wix.com
Ltd. (a) |
900
|
70,416
|
|
|
1,255,118
|
Investment
Banking & Brokerage - 0.1% |
China
Galaxy Securities Co. Ltd., Class H |
58,500
|
31,312
|
China
Galaxy Securities Co. Ltd., Class A |
2,700
|
4,317
|
China
International Capital Corp. Ltd., Class H (a)(d) |
25,200
|
44,422
|
China
International Capital Corp. Ltd., Class A |
1,200
|
5,866
|
China
Merchants Securities Co. Ltd., Class A |
10,800
|
20,187
|
CITIC
Securities Co. Ltd., Class H |
30,425
|
55,318
|
CITIC
Securities Co. Ltd., Class A |
13,490
|
36,757
|
CSC
Financial Co. Ltd., Class A |
4,000
|
13,342
|
Daiwa
Securities Group, Inc. |
19,800
|
101,860
|
Everbright
Securities Co. Ltd., Class A |
3,600
|
7,882
|
Futu
Holdings Ltd. ADR (a) |
900
|
35,766
|
GF
Securities Co. Ltd., Class H (a) |
14,200
|
19,630
|
GF
Securities Co. Ltd., Class A |
3,200
|
6,489
|
Guosen
Securities Co. Ltd., Class A |
6,800
|
8,177
|
Guotai
Junan Securities Co. Ltd., Class A |
4,100
|
7,901
|
Haitong
Securities Co. Ltd., Class H |
51,200
|
31,440
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
58
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Haitong
Securities Co. Ltd., Class A |
14,800
|
$
18,788 |
Huatai
Securities Co. Ltd., Class H (d) |
20,000
|
24,774
|
Huatai
Securities Co. Ltd., Class A |
4,600
|
8,728
|
Industrial
Securities Co. Ltd., Class A |
7,500
|
6,323
|
Korea
Investment Holdings Co. Ltd. |
530
|
20,903
|
Nomura
Holdings, Inc. |
43,500
|
165,569
|
Orient
Securities Co. Ltd., Class A |
8,192
|
10,953
|
Samsung
Securities Co. Ltd. |
735
|
20,174
|
SBI
Holdings, Inc. |
3,900
|
75,090
|
SDIC
Capital Co. Ltd., Class A |
14,100
|
13,818
|
Shenwan
Hongyuan Group Co. Ltd., Class A |
13,700
|
8,716
|
SooChow
Securities Co. Ltd., Class A |
2,100
|
2,007
|
XP,
Inc., Class A (a) |
3,300
|
77,418
|
Zheshang
Securities Co. Ltd., Class A |
4,800
|
6,530
|
Zhongtai
Securities Co. Ltd., Class A |
7,200
|
6,846
|
|
|
897,303
|
IT
Consulting & Other Services - 0.3% |
Arabian
Internet & Communications Services Co. |
348
|
30,012
|
Bechtle
AG |
1,404
|
55,746
|
Capgemini
SE |
2,482
|
469,862
|
CGI,
Inc. (a) |
3,200
|
337,835
|
Chinasoft
International Ltd. (a) |
50,000
|
31,530
|
Elm
Co. |
389
|
60,573
|
Fujitsu
Ltd. |
2,700
|
349,023
|
HCL
Technologies Ltd. |
13,635
|
198,219
|
Infosys
Ltd. |
46,236
|
753,087
|
Itochu
Techno-Solutions Corp. |
1,332
|
33,697
|
LTIMindtree
Ltd. (d) |
1,277
|
81,230
|
Mphasis
Ltd. |
1,412
|
32,749
|
NEC
Corp. |
3,640
|
176,292
|
Nomura
Research Institute Ltd. |
5,960
|
164,386
|
NTT
Data Corp. |
9,400
|
131,578
|
Obic
Co. Ltd. |
1,000
|
160,242
|
Otsuka
Corp. |
1,700
|
66,108
|
Samsung
SDS Co. Ltd. |
533
|
49,963
|
SCSK
Corp. |
2,200
|
34,564
|
Tata
Consultancy Services Ltd. |
12,987
|
524,770
|
Tech
Mahindra Ltd. |
8,509
|
117,809
|
TIS,
Inc. |
3,400
|
85,047
|
|
Number
of Shares |
Fair
Value |
Wipro
Ltd. |
19,546
|
$
93,048 |
|
|
4,037,370
|
Leisure
Facilities - 0.0%* |
Oriental
Land Co. Ltd. |
16,700
|
649,985
|
Shenzhen
Overseas Chinese Town Co. Ltd., Class A (a) |
7,300
|
4,422
|
Songcheng
Performance Development Co. Ltd., Class A |
2,387
|
4,083
|
|
|
658,490
|
Leisure
Products - 0.0%* |
Bandai
Namco Holdings, Inc. |
9,000
|
208,070
|
Giant
Manufacturing Co. Ltd. |
6,108
|
45,325
|
Shimano,
Inc. |
1,200
|
200,555
|
Yamaha
Corp. |
2,200
|
84,605
|
|
|
538,555
|
Life
& Health Insurance - 0.6% |
Aegon
NV |
26,732
|
135,677
|
AIA
Group Ltd. |
176,400
|
1,791,469
|
Bupa
Arabia for Cooperative Insurance Co. |
1,057
|
52,305
|
Cathay
Financial Holding Co. Ltd. |
119,529
|
165,935
|
China
Development Financial Holding Corp. (a) |
213,120
|
84,947
|
China
Life Insurance Co. Ltd., Class H |
103,000
|
172,407
|
China
Life Insurance Co. Ltd., Class A |
3,900
|
18,776
|
China
Taiping Insurance Holdings Co. Ltd. |
27,200
|
28,334
|
Dai-ichi
Life Holdings, Inc. |
14,100
|
267,735
|
Discovery
Ltd. (a) |
7,000
|
54,044
|
Fubon
Financial Holding Co. Ltd. |
102,982
|
201,579
|
Great-West
Lifeco, Inc. |
4,181
|
121,552
|
HDFC
Life Insurance Co. Ltd. (d) |
13,870
|
110,185
|
iA
Financial Corp., Inc. |
1,598
|
108,989
|
ICICI
Prudential Life Insurance Co. Ltd. (a)(d) |
4,451
|
31,120
|
Japan
Post Holdings Co. Ltd. |
32,900
|
236,068
|
Japan
Post Insurance Co. Ltd. |
2,900
|
43,511
|
Legal
& General Group PLC |
90,135
|
261,245
|
Manulife
Financial Corp. |
27,900
|
527,955
|
Medibank
Pvt Ltd. |
40,880
|
95,954
|
New
China Life Insurance Co. Ltd., Class H |
13,500
|
35,672
|
New
China Life Insurance Co. Ltd., Class A |
1,600
|
8,103
|
NN
Group NV |
4,059
|
150,227
|
Old
Mutual Ltd. |
70,628
|
45,313
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
59
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
OUTsurance
Group Ltd. |
11,894
|
$
21,400 |
Phoenix
Group Holdings PLC |
11,070
|
74,979
|
Ping
An Insurance Group Co. of China Ltd., Class H |
88,500
|
565,199
|
Ping
An Insurance Group Co. of China Ltd., Class A |
10,500
|
67,037
|
Poste
Italiane SpA (d) |
8,266
|
89,529
|
Power
Corp. of Canada |
8,880
|
239,305
|
Prudential
PLC |
41,737
|
590,095
|
Samsung
Life Insurance Co. Ltd. |
1,145
|
58,559
|
Sanlam
Ltd. |
24,701
|
76,295
|
SBI
Life Insurance Co. Ltd. (d) |
6,426
|
102,520
|
Shin
Kong Financial Holding Co. Ltd. (a) |
182,263
|
52,204
|
Sun
Life Financial, Inc. |
8,890
|
463,966
|
Swiss
Life Holding AG |
466
|
273,052
|
T&D
Holdings, Inc. |
7,400
|
108,347
|
|
|
7,531,589
|
Life
Sciences Tools & Services - 0.1% |
Bachem
Holding AG |
564
|
49,268
|
Divi's
Laboratories Ltd. |
1,870
|
81,829
|
Eurofins
Scientific SE |
2,018
|
128,216
|
Genscript
Biotech Corp. (a) |
18,000
|
40,715
|
Hangzhou
Tigermed Consulting Co. Ltd., Class A (a) |
500
|
4,443
|
Hangzhou
Tigermed Consulting Co. Ltd., Class H (d) |
1,500
|
8,571
|
Joinn
Laboratories China Co. Ltd., Class A |
784
|
4,415
|
Lonza
Group AG |
1,131
|
676,315
|
Pharmaron
Beijing Co. Ltd., Class H (a)(d) |
1,950
|
6,046
|
Pharmaron
Beijing Co. Ltd., Class A (a) |
450
|
2,371
|
Samsung
Biologics Co. Ltd. (a)(d) |
250
|
141,544
|
Sartorius
Stedim Biotech |
412
|
102,880
|
WuXi
AppTec Co. Ltd., Class H (d) |
3,708
|
29,715
|
WuXi
AppTec Co. Ltd., Class A |
3,220
|
27,651
|
Wuxi
Biologics Cayman, Inc. (a)(d) |
51,500
|
247,493
|
|
|
1,551,472
|
Managed
Healthcare - 0.0%* |
Hapvida
Participacoes e Investimentos SA (a)(d) |
75,740
|
68,769
|
Marine
Ports & Services - 0.0%* |
Adani
Ports & Special Economic Zone Ltd. |
5,450
|
49,237
|
|
Number
of Shares |
Fair
Value |
China
Merchants Port Holdings Co. Ltd. |
23,084
|
$
32,654 |
COSCO
SHIPPING Ports Ltd. |
19,404
|
11,583
|
International
Container Terminal Services, Inc. |
15,070
|
55,660
|
Shanghai
International Port Group Co. Ltd., Class A |
3,100
|
2,241
|
|
|
151,375
|
Marine
Transportation - 0.1% |
AP
Moller - Maersk AS, Class B |
75
|
131,842
|
AP
Moller - Maersk AS, Class A |
49
|
85,424
|
Cia
Sud Americana de Vapores SA |
285,714
|
19,394
|
COSCO
SHIPPING Holdings Co. Ltd., Class H |
49,682
|
44,907
|
COSCO
SHIPPING Holdings Co. Ltd., Class A |
8,910
|
11,541
|
Costamare,
Inc. |
1,701
|
16,449
|
Evergreen
Marine Corp. Taiwan Ltd. |
14,400
|
43,409
|
Golden
Ocean Group Ltd. |
4,055
|
30,615
|
Himalaya
Shipping Ltd. (a) |
954
|
5,304
|
HMM
Co. Ltd. |
3,879
|
55,777
|
Kawasaki
Kisen Kaisha Ltd. |
2,100
|
51,407
|
Kuehne
& Nagel International AG |
820
|
243,015
|
MISC
Bhd |
22,675
|
34,815
|
Mitsui
OSK Lines Ltd. |
5,500
|
132,105
|
Nippon
Yusen KK |
7,300
|
161,854
|
Orient
Overseas International Ltd. |
2,500
|
33,579
|
Pan
Ocean Co. Ltd. |
2,635
|
10,416
|
Safe
Bulkers, Inc. |
3,509
|
11,439
|
SITC
International Holdings Co. Ltd. |
21,000
|
38,452
|
Wan
Hai Lines Ltd. |
6,670
|
12,700
|
Yang
Ming Marine Transport Corp. (a) |
26,000
|
52,802
|
|
|
1,227,246
|
Metal,
Glass & Plastic Containers - 0.0%* |
CCL
Industries, Inc., Class B |
2,400
|
118,109
|
Motorcycle
Manufacturers - 0.0%* |
Bajaj
Auto Ltd. |
991
|
56,783
|
Eicher
Motors Ltd. |
1,995
|
87,224
|
Hero
MotoCorp Ltd. |
1,715
|
60,963
|
Livewire
Group, Inc. (a) |
384
|
4,535
|
TVS
Motor Co. Ltd. |
3,125
|
50,637
|
Yadea
Group Holdings Ltd. (d) |
14,000
|
31,934
|
Yamaha
Motor Co. Ltd. |
4,400
|
126,282
|
|
|
418,358
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
60
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Movies
& Entertainment - 0.0%* |
Beijing
Enlight Media Co. Ltd., Class A |
5,600
|
$
6,237 |
Bollore
SE |
13,094
|
81,643
|
China
Ruyi Holdings Ltd. (a) |
104,000
|
24,509
|
HYBE
Co. Ltd. (a) |
282
|
60,818
|
iQIYI,
Inc. ADR (a) |
6,500
|
34,710
|
Mango
Excellent Media Co. Ltd., Class A |
1,600
|
7,548
|
Tencent
Music Entertainment Group ADR (a) |
10,200
|
75,276
|
Toho
Co. Ltd. |
1,600
|
60,842
|
Universal
Music Group NV |
12,571
|
279,211
|
|
|
630,794
|
Multi-Family
Residential REITs - 0.0%* |
Canadian
Apartment Properties REIT |
1,200
|
46,123
|
Multi-Line
Insurance - 0.4% |
Ageas
SA |
2,573
|
104,288
|
Allianz
SE |
6,109
|
1,422,671
|
Assicurazioni
Generali SpA |
15,550
|
316,166
|
Aviva
PLC |
42,225
|
212,671
|
AXA
SA |
27,750
|
819,899
|
Baloise
Holding AG |
732
|
107,720
|
BB
Seguridade Participacoes SA |
9,703
|
61,891
|
China
Pacific Insurance Group Co. Ltd., Class H |
35,689
|
92,647
|
China
Pacific Insurance Group Co. Ltd., Class A |
7,800
|
27,901
|
Gjensidige
Forsikring ASA |
3,415
|
54,810
|
Helvetia
Holding AG |
569
|
77,153
|
Powszechny
Zaklad Ubezpieczen SA |
8,763
|
85,061
|
Sampo
Oyj, A Shares |
6,922
|
310,827
|
Talanx
AG |
972
|
55,793
|
ZhongAn
Online P&C Insurance Co. Ltd., Class H (a)(d) |
10,400
|
28,396
|
Zurich
Insurance Group AG |
2,278
|
1,084,103
|
|
|
4,861,997
|
Multi-Sector
Holdings - 0.1% |
Bajaj
Holdings & Investment Ltd. |
380
|
32,488
|
Eurazeo
SE |
739
|
52,020
|
EXOR
NV |
1,621
|
144,688
|
Groupe
Bruxelles Lambert NV |
1,486
|
117,125
|
Industrivarden
AB, Class A |
1,881
|
52,091
|
Industrivarden
AB, Class C |
2,419
|
66,653
|
Investor
AB, Class B |
26,556
|
530,470
|
Investor
AB, Class A |
6,494
|
129,775
|
Kinnevik
AB, Class B (a) |
3,787
|
52,454
|
|
Number
of Shares |
Fair
Value |
L
E Lundbergforetagen AB, Class B |
1,297
|
$
55,151 |
Remgro
Ltd. |
7,286
|
56,714
|
Sofina
SA |
263
|
54,515
|
Washington
H Soul Pattinson & Co. Ltd. |
3,600
|
76,367
|
Wendel
SE |
409
|
41,999
|
|
|
1,462,510
|
Multi-Utilities
- 0.2% |
Algonquin
Power & Utilities Corp. |
10,670
|
88,295
|
Canadian
Utilities Ltd., Class A |
2,000
|
51,857
|
Centrica
PLC |
87,241
|
137,703
|
E.ON
SE |
34,028
|
434,608
|
Engie
SA |
27,679
|
460,852
|
National
Grid PLC |
55,606
|
738,029
|
Qatar
Electricity & Water Co. QSC |
5,078
|
24,274
|
Veolia
Environnement SA |
10,415
|
329,631
|
|
|
2,265,249
|
Office
REITs - 0.0%* |
Covivio
SA |
786
|
37,124
|
Dexus
|
17,029
|
88,617
|
Gecina
SA |
725
|
77,328
|
Japan
Real Estate Investment Corp. |
18
|
68,387
|
Nippon
Building Fund, Inc. |
23
|
90,290
|
|
|
361,746
|
Office
Services & Supplies - 0.0%* |
Shanghai
M&G Stationery, Inc., Class A |
1,000
|
6,145
|
Oil
& Gas Drilling - 0.0%* |
Borr
Drilling Ltd. (a) |
7,977
|
60,067
|
China
Oilfield Services Ltd., Class H |
32,000
|
33,134
|
Seadrill
Ltd. (a) |
1,762
|
72,717
|
|
|
165,918
|
Oil
& Gas Equipment & Services - 0.0%* |
Dialog
Group Bhd |
38,500
|
17,030
|
Offshore
Oil Engineering Co. Ltd., Class A |
2,700
|
2,174
|
TechnipFMC
PLC (a) |
3,600
|
59,832
|
Yantai
Jereh Oilfield Services Group Co. Ltd., Class A |
500
|
1,730
|
|
|
80,766
|
Oil
& Gas Exploration & Production - 0.2% |
Aker
BP ASA |
4,701
|
110,498
|
ARC
Resources Ltd. |
9,100
|
121,517
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
61
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Canadian
Natural Resources Ltd. |
16,800
|
$
945,599 |
Inpex
Corp. |
14,500
|
159,039
|
Kosmos
Energy Ltd. (a) |
16,135
|
96,649
|
PRIO
SA (a) |
10,200
|
78,403
|
PTT
Exploration & Production PCL NVDR |
19,699
|
83,468
|
Santos
Ltd. |
50,654
|
253,256
|
Tatneft
PJSC ADR (a)(c)** |
3,383
|
—
|
Tatneft
PJSC (c)** |
4,926
|
—
|
Tourmaline
Oil Corp. |
4,800
|
226,424
|
Woodside
Energy Group Ltd. |
28,828
|
666,337
|
|
|
2,741,190
|
Oil
& Gas Refining & Marketing - 0.2% |
Ampol
Ltd. |
3,498
|
69,825
|
Bharat
Petroleum Corp. Ltd. |
12,398
|
55,170
|
Cosan
SA |
17,436
|
64,554
|
Empresas
COPEC SA |
4,726
|
35,055
|
ENEOS
Holdings, Inc. |
43,000
|
147,555
|
Formosa
Petrochemical Corp. |
14,000
|
37,951
|
HD
Hyundai Co. Ltd. |
828
|
37,791
|
Hindustan
Petroleum Corp. Ltd. |
11,010
|
36,807
|
Idemitsu
Kosan Co. Ltd. |
3,100
|
62,098
|
Indian
Oil Corp. Ltd. |
43,439
|
48,412
|
Motor
Oil Hellas Corinth Refineries SA |
614
|
15,541
|
Neste
Oyj |
6,393
|
246,106
|
Parkland
Corp. |
2,007
|
50,052
|
Petronas
Dagangan Bhd |
3,100
|
14,744
|
Polski
Koncern Naftowy ORLEN SA |
7,590
|
120,388
|
Qatar
Fuel QSC |
8,638
|
40,572
|
Rabigh
Refining & Petrochemical Co. (a) |
5,905
|
18,252
|
Reliance
Industries Ltd. |
42,148
|
1,313,799
|
SK
Innovation Co. Ltd. (a) |
797
|
96,624
|
S-Oil
Corp. |
757
|
38,464
|
Thai
Oil PCL NVDR |
23,366
|
29,236
|
Turkiye
Petrol Rafinerileri AS |
14,529
|
44,583
|
|
|
2,623,579
|
Oil
& Gas Storage & Transportation - 0.2% |
Ardmore
Shipping Corp. |
1,325
|
16,364
|
China
Merchants Energy Shipping Co. Ltd., Class A |
10,900
|
8,680
|
COSCO
SHIPPING Energy Transportation Co. Ltd., Class H (a) |
18,000
|
18,113
|
COSCO
SHIPPING Energy Transportation Co. Ltd., Class A (a) |
3,600
|
6,255
|
Enbridge,
Inc. |
30,700
|
1,142,390
|
FLEX
LNG Ltd. |
1,039
|
31,721
|
Golar
LNG Ltd. |
3,515
|
70,897
|
|
Number
of Shares |
Fair
Value |
Keyera
Corp. |
3,300
|
$
76,187 |
Pembina
Pipeline Corp. |
8,300
|
261,247
|
Petronet
LNG Ltd. |
11,737
|
31,923
|
Qatar
Gas Transport Co. Ltd. |
42,816
|
47,910
|
Scorpio
Tankers, Inc. |
1,837
|
86,761
|
SFL
Corp. Ltd. |
4,105
|
38,300
|
TC
Energy Corp. |
15,339
|
620,631
|
Teekay
Corp. (a) |
2,195
|
13,258
|
Teekay
Tankers Ltd., Class A |
834
|
31,884
|
Ultrapar
Participacoes SA |
10,900
|
42,683
|
|
|
2,545,204
|
Other
Specialty Retail - 0.0%* |
China
Tourism Group Duty Free Corp. Ltd., Class A |
2,100
|
32,005
|
China
Tourism Group Duty Free Corp. Ltd., Class H (a)(d) |
700
|
9,497
|
Chow
Tai Fook Jewellery Group Ltd. |
29,200
|
52,650
|
Dufry
AG (a) |
1,512
|
68,996
|
Hotel
Shilla Co. Ltd. |
370
|
20,706
|
Jarir
Marketing Co. |
9,820
|
43,404
|
JD
Sports Fashion PLC |
40,827
|
75,921
|
JUMBO
SA |
1,720
|
47,288
|
Pop
Mart International Group Ltd. (d) |
7,200
|
16,051
|
|
|
366,518
|
Packaged
Foods & Meats - 0.3% |
Ajinomoto
Co., Inc. |
6,900
|
274,418
|
Almarai
Co. JSC |
3,485
|
56,453
|
Angel
Yeast Co. Ltd., Class A |
500
|
2,492
|
Associated
British Foods PLC |
5,314
|
134,709
|
Barry
Callebaut AG |
57
|
110,178
|
Britannia
Industries Ltd. |
1,532
|
93,938
|
Charoen
Pokphand Foods PCL NVDR |
53,869
|
29,951
|
China
Feihe Ltd. (d) |
58,568
|
32,688
|
China
Huishan Dairy Holdings Co. Ltd. (a)(c)** |
55,000
|
—
|
China
Mengniu Dairy Co. Ltd. (a) |
46,000
|
173,834
|
Chocoladefabriken
Lindt & Spruengli AG |
17
|
437,028
|
CJ
CheilJedang Corp. |
103
|
21,107
|
Dali
Foods Group Co. Ltd. (d) |
17,117
|
7,657
|
Danone
SA |
9,748
|
597,282
|
Forafric
Global PLC (a) |
183
|
2,007
|
Foshan
Haitian Flavouring & Food Co. Ltd., Class A |
3,484
|
22,477
|
Gruma
SAB de CV, Class B |
3,010
|
48,225
|
Grupo
Bimbo SAB de CV Series A |
18,581
|
99,294
|
Guangdong
Haid Group Co. Ltd., Class A |
1,000
|
6,445
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
62
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Henan
Shuanghui Investment & Development Co. Ltd., Class A |
3,185
|
$
10,735 |
Indofood
CBP Sukses Makmur Tbk PT |
27,600
|
20,848
|
Indofood
Sukses Makmur Tbk PT |
65,636
|
32,184
|
Inner
Mongolia Yili Industrial Group Co. Ltd., Class A |
7,700
|
30,001
|
JDE
Peet's NV |
1,705
|
50,708
|
Kerry
Group PLC, Class A |
2,403
|
234,497
|
Kikkoman
Corp. |
2,000
|
114,028
|
Marico
Ltd. |
7,717
|
50,018
|
MEIJI
Holdings Co. Ltd. |
3,300
|
73,569
|
Mowi
ASA |
6,744
|
107,201
|
Muyuan
Foods Co. Ltd., Class A (a) |
3,920
|
22,727
|
Nestle
India Ltd. |
473
|
132,186
|
Nestle
Malaysia Bhd |
939
|
26,354
|
Nisshin
Seifun Group, Inc. |
3,300
|
40,723
|
Nissin
Foods Holdings Co. Ltd. |
1,000
|
82,548
|
Orion
Corp. |
377
|
34,382
|
Orkla
ASA |
11,076
|
79,790
|
PPB
Group Bhd |
10,487
|
35,365
|
QL
Resources Bhd |
12,588
|
14,456
|
Salmar
ASA |
999
|
40,333
|
Saputo,
Inc. |
3,700
|
82,990
|
Savola
Group |
4,442
|
49,406
|
SunOpta,
Inc. (a) |
3,200
|
21,408
|
Tata
Consumer Products Ltd. |
8,046
|
84,598
|
Tingyi
Cayman Islands Holding Corp. |
30,000
|
46,710
|
Uni-President
China Holdings Ltd. |
28,000
|
23,611
|
Uni-President
Enterprises Corp. |
68,000
|
166,724
|
Universal
Robina Corp. |
14,460
|
36,096
|
Want
Want China Holdings Ltd. |
77,000
|
51,209
|
Wens
Foodstuffs Group Co. Ltd., Class A |
8,800
|
22,226
|
WH
Group Ltd. (d) |
131,666
|
70,116
|
Yakult
Honsha Co. Ltd. |
1,900
|
119,968
|
Yihai
International Holding Ltd. (a) |
4,364
|
9,399
|
Yihai
Kerry Arawana Holdings Co. Ltd., Class A |
1,000
|
5,509
|
|
|
4,172,806
|
Paper
& Plastic Packaging Products & Materials - 0.0%* |
Klabin
SA |
11,900
|
53,703
|
SCG
Packaging PCL NVDR |
14,842
|
15,621
|
SIG
Group AG (a) |
4,547
|
125,675
|
Smurfit
Kappa Group PLC |
3,991
|
133,175
|
|
|
328,174
|
|
Number
of Shares |
Fair
Value |
Paper
Products - 0.1% |
Empresas
CMPC SA |
11,722
|
$
22,417 |
Holmen
AB, Class B |
1,356
|
48,664
|
Indah
Kiat Pulp & Paper Tbk PT |
24,700
|
14,040
|
Mondi
PLC |
7,238
|
110,543
|
Nine
Dragons Paper Holdings Ltd. (a) |
35,310
|
21,799
|
Oji
Holdings Corp. |
13,800
|
51,513
|
Stora
Enso Oyj, R Shares |
8,795
|
102,021
|
Suzano
SA |
10,800
|
99,000
|
UPM-Kymmene
Oyj |
8,057
|
240,029
|
|
|
710,026
|
Passenger
Airlines - 0.1% |
Air
Canada (a) |
2,700
|
50,990
|
Air
China Ltd., Class H (a) |
18,000
|
12,858
|
Air
China Ltd., Class A A Shares (a) |
12,700
|
14,404
|
ANA
Holdings, Inc. (a) |
2,300
|
54,696
|
China
Airlines Ltd. |
50,000
|
42,222
|
China
Eastern Airlines Corp. Ltd., Class A (a) |
12,400
|
8,122
|
China
Southern Airlines Co. Ltd., Class H (a) |
20,000
|
11,322
|
China
Southern Airlines Co. Ltd., Class A (a) |
11,600
|
9,621
|
Deutsche
Lufthansa AG (a) |
9,518
|
97,575
|
Eva
Airways Corp. |
42,000
|
53,883
|
InterGlobe
Aviation Ltd. (a)(d) |
1,049
|
33,639
|
Japan
Airlines Co. Ltd. |
2,014
|
43,598
|
Korean
Air Lines Co. Ltd. |
2,733
|
50,700
|
Pegasus
Hava Tasimaciligi AS (a) |
685
|
16,233
|
Qantas
Airways Ltd. (a) |
12,896
|
53,402
|
Singapore
Airlines Ltd. |
21,300
|
112,769
|
Turk
Hava Yollari AO (a) |
7,967
|
59,223
|
|
|
725,257
|
Passenger
Ground Transportation - 0.0%* |
Grab
Holdings Ltd., Class A (a) |
28,700
|
98,441
|
Localiza
Rent a Car SA |
8,535
|
121,196
|
|
|
219,637
|
Personal
Care Products - 0.4% |
Amorepacific
Corp. |
448
|
33,347
|
Beiersdorf
AG |
1,518
|
200,982
|
By-health
Co. Ltd., Class A |
1,000
|
3,300
|
Colgate-Palmolive
India Ltd. |
1,796
|
37,002
|
Dabur
India Ltd. |
8,930
|
62,467
|
Godrej
Consumer Products Ltd. (a) |
5,897
|
77,808
|
Hengan
International Group Co. Ltd. |
9,980
|
42,077
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
63
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Hindustan
Unilever Ltd. |
11,713
|
$
382,956 |
Kao
Corp. |
7,000
|
253,607
|
Kobayashi
Pharmaceutical Co. Ltd. |
800
|
43,427
|
Kose
Corp. |
500
|
47,985
|
LG
H&H Co. Ltd. |
135
|
47,178
|
L'Oreal
SA |
3,649
|
1,701,860
|
Natura
& Co. Holding SA (a) |
15,000
|
52,052
|
Shiseido
Co. Ltd. |
6,000
|
271,527
|
Unilever
PLC |
38,280
|
1,995,521
|
|
|
5,253,096
|
Pharmaceuticals
- 1.2% |
Aspen
Pharmacare Holdings Ltd. |
5,616
|
54,587
|
Astellas
Pharma, Inc. |
27,800
|
413,323
|
AstraZeneca
PLC |
23,501
|
3,372,552
|
Asymchem
Laboratories Tianjin Co. Ltd., Class A |
232
|
3,767
|
Aurobindo
Pharma Ltd. |
3,446
|
30,604
|
Bayer
AG |
14,937
|
826,687
|
Beijing
Tongrentang Co. Ltd., Class A |
1,700
|
13,467
|
Betta
Pharmaceuticals Co. Ltd., Class A |
600
|
3,968
|
Celltrion
Pharm, Inc. (a) |
226
|
13,182
|
Changchun
High & New Technology Industry Group, Inc., Class A |
300
|
5,634
|
China
Medical System Holdings Ltd. |
24,000
|
39,157
|
China
Resources Pharmaceutical Group Ltd. (d) |
17,000
|
14,838
|
China
Resources Sanjiu Medical & Pharmaceutical Co. Ltd., Class A |
1,600
|
13,341
|
China
Traditional Chinese Medicine Holdings Co. Ltd. |
30,000
|
14,008
|
Chugai
Pharmaceutical Co. Ltd. |
10,100
|
287,160
|
Cipla
Ltd. |
6,975
|
86,422
|
CSPC
Pharmaceutical Group Ltd. |
130,000
|
113,127
|
Daiichi
Sankyo Co. Ltd. |
28,000
|
888,202
|
Dong-E-E-Jiao
Co. Ltd., Class A |
400
|
2,942
|
Dr
Reddy's Laboratories Ltd. |
1,647
|
103,728
|
Eisai
Co. Ltd. |
3,800
|
257,114
|
Hanmi
Pharm Co. Ltd. |
84
|
19,736
|
Hansoh
Pharmaceutical Group Co. Ltd. (d) |
12,000
|
19,346
|
Hikma
Pharmaceuticals PLC |
2,397
|
57,745
|
Humanwell
Healthcare Group Co. Ltd., Class A |
2,200
|
8,158
|
Hypera
SA |
6,200
|
59,134
|
Ipsen
SA |
592
|
71,250
|
|
Number
of Shares |
Fair
Value |
Jiangsu
Hengrui Pharmaceuticals Co. Ltd., Class A |
6,820
|
$
44,957 |
Kalbe
Farma Tbk PT |
246,000
|
33,666
|
Kyowa
Kirin Co. Ltd. |
4,000
|
74,018
|
Lupin
Ltd. |
3,814
|
42,024
|
Merck
KGaA |
1,956
|
323,717
|
Nanjing
King-Friend Biochemical Pharmaceutical Co. Ltd., Class A |
520
|
967
|
Nippon
Shinyaku Co. Ltd. |
700
|
28,592
|
Novartis
AG |
31,078
|
3,134,666
|
Novo
Nordisk AS, Class B |
25,104
|
4,054,490
|
Ono
Pharmaceutical Co. Ltd. |
5,800
|
104,478
|
Orion
Oyj, Class B |
1,574
|
65,311
|
Otsuka
Holdings Co. Ltd. |
5,900
|
216,062
|
Recordati
Industria Chimica e Farmaceutica SpA |
1,537
|
73,413
|
Richter
Gedeon Nyrt |
2,021
|
49,821
|
Scilex
Holding Co. (a) |
1,832
|
10,204
|
Shanghai
Fosun Pharmaceutical Group Co. Ltd., Class H (a) |
4,500
|
12,055
|
Shanghai
Fosun Pharmaceutical Group Co. Ltd., Class A (a) |
1,500
|
6,389
|
Shijiazhuang
Yiling Pharmaceutical Co. Ltd., Class A |
3,300
|
11,678
|
Shionogi
& Co. Ltd. |
4,000
|
168,438
|
Sino
Biopharmaceutical Ltd. |
151,000
|
65,971
|
SK
Biopharmaceuticals Co. Ltd. (a) |
382
|
23,540
|
Sun
Pharmaceutical Industries Ltd. |
13,513
|
173,372
|
Takeda
Pharmaceutical Co. Ltd. |
23,900
|
749,752
|
Teva
Pharmaceutical Industries Ltd. ADR (a) |
16,500
|
124,245
|
Torrent
Pharmaceuticals Ltd. |
1,128
|
26,231
|
UCB
SA |
1,898
|
168,243
|
Yuhan
Corp. |
884
|
40,579
|
Yunnan
Baiyao Group Co. Ltd., Class A |
1,400
|
10,110
|
Zhangzhou
Pientzehuang Pharmaceutical Co. Ltd., Class A |
400
|
15,777
|
Zhejiang
Huahai Pharmaceutical Co. Ltd., Class A |
2,600
|
6,586
|
Zhejiang
NHU Co. Ltd., Class A |
2,592
|
5,493
|
|
|
16,658,024
|
Precious
Metals & Minerals - 0.0%* |
Alrosa
PJSC (a)(c)** |
46,308
|
—
|
Anglo
American Platinum Ltd. |
778
|
35,038
|
Impala
Platinum Holdings Ltd. |
12,142
|
80,591
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
64
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Industrias
Penoles SAB de CV (a) |
2,400
|
$
33,645 |
Northam
Platinum Holdings Ltd. (a) |
4,788
|
31,803
|
Sibanye
Stillwater Ltd. |
40,362
|
62,021
|
|
|
243,098
|
Property
& Casualty Insurance - 0.2% |
Admiral
Group PLC |
3,257
|
86,349
|
DB
Insurance Co. Ltd. |
667
|
37,884
|
Fairfax
Financial Holdings Ltd. |
342
|
256,462
|
ICICI
Lombard General Insurance Co. Ltd. (d) |
3,520
|
57,741
|
Insurance
Australia Group Ltd. |
36,409
|
138,355
|
Intact
Financial Corp. |
2,617
|
404,520
|
Kingsway
Financial Services, Inc. (a) |
371
|
3,024
|
MS&AD
Insurance Group Holdings, Inc. |
6,500
|
229,798
|
People's
Insurance Co. Group of China Ltd., Class H |
134,000
|
48,668
|
People's
Insurance Co. Group of China Ltd., Class A |
10,900
|
8,760
|
PICC
Property & Casualty Co. Ltd., Class H |
100,000
|
111,337
|
QBE
Insurance Group Ltd. |
22,378
|
233,470
|
Samsung
Fire & Marine Insurance Co. Ltd. |
445
|
77,655
|
Sompo
Holdings, Inc. |
4,700
|
210,535
|
Suncorp
Group Ltd. |
18,921
|
169,882
|
Tokio
Marine Holdings, Inc. |
27,200
|
626,015
|
Tryg
AS |
5,374
|
116,356
|
|
|
2,816,811
|
Publishing
- 0.0%* |
China
Literature Ltd. (a)(d) |
4,400
|
18,556
|
Saudi
Research & Media Group (a) |
633
|
31,953
|
|
|
50,509
|
Rail
Transportation - 0.3% |
Aurizon
Holdings Ltd. |
26,833
|
70,148
|
Beijing-Shanghai
High Speed Railway Co. Ltd., Class A |
27,500
|
19,909
|
BTS
Group Holdings PCL NVDR |
141,626
|
29,802
|
Canadian
National Railway Co. |
8,600
|
1,042,594
|
Canadian
Pacific Kansas City Ltd. |
14,100
|
1,140,147
|
Central
Japan Railway Co. |
2,200
|
275,183
|
Container
Corp. Of India Ltd. |
4,866
|
39,332
|
Daqin
Railway Co. Ltd., Class A |
9,300
|
9,507
|
East
Japan Railway Co. |
4,600
|
254,662
|
|
Number
of Shares |
Fair
Value |
Hankyu
Hanshin Holdings, Inc. |
3,600
|
$
118,833 |
Keio
Corp. |
1,600
|
50,247
|
Keisei
Electric Railway Co. Ltd. |
1,900
|
78,623
|
Kintetsu
Group Holdings Co. Ltd. |
2,800
|
96,809
|
MTR
Corp. Ltd. |
23,000
|
105,874
|
Odakyu
Electric Railway Co. Ltd. |
4,600
|
61,536
|
Rumo
SA |
18,400
|
84,677
|
Tobu
Railway Co. Ltd. |
2,800
|
74,952
|
Tokyu
Corp. |
7,900
|
95,123
|
West
Japan Railway Co. |
3,300
|
137,026
|
|
|
3,784,984
|
Real
Estate Development - 0.1% |
C&D
International Investment Group Ltd. |
7,000
|
15,962
|
China
Evergrande Group (a)(c) |
87,000
|
1,832
|
China
Jinmao Holdings Group Ltd. |
64,972
|
9,578
|
China
Merchants Shekou Industrial Zone Holdings Co. Ltd., Class A |
11,200
|
20,078
|
China
Overseas Land & Investment Ltd. |
55,500
|
121,405
|
China
Resources Land Ltd. |
46,000
|
195,746
|
China
Vanke Co. Ltd., Class H |
26,700
|
35,965
|
China
Vanke Co. Ltd., Class A |
12,500
|
24,098
|
CK
Asset Holdings Ltd. |
29,586
|
164,390
|
Country
Garden Holdings Co. Ltd. (a) |
178,298
|
36,368
|
Dar
Al Arkan Real Estate Development Co. (a) |
8,773
|
36,237
|
Emaar
Economic City (a) |
5,150
|
12,904
|
Emaar
Properties PJSC |
94,535
|
166,164
|
Gemdale
Corp., Class A |
1,500
|
1,487
|
Godrej
Properties Ltd. (a) |
1,425
|
27,315
|
Greentown
China Holdings Ltd. |
8,000
|
8,046
|
Henderson
Land Development Co. Ltd. |
21,000
|
62,534
|
Land
& Houses PCL NVDR |
150,231
|
35,851
|
Longfor
Group Holdings Ltd. (d) |
26,968
|
65,849
|
Poly
Developments & Holdings Group Co. Ltd., Class A |
14,400
|
25,803
|
Ruentex
Development Co. Ltd. |
29,500
|
34,151
|
Seazen
Holdings Co. Ltd., Class A (a) |
1,400
|
2,777
|
Shimao
Group Holdings Ltd. (a)(c) |
16,102
|
2,270
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
65
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Sino
Land Co. Ltd. |
51,480
|
$
63,373 |
Yuexiu
Property Co. Ltd. |
30,981
|
36,095
|
|
|
1,206,278
|
Real
Estate Operating Companies - 0.1% |
Azrieli
Group Ltd. |
711
|
40,120
|
Capitaland
Investment Ltd. |
38,700
|
95,017
|
Central
Pattana PCL NVDR |
28,578
|
52,912
|
China
Resources Mixc Lifestyle Services Ltd. (d) |
7,200
|
35,862
|
Country
Garden Services Holdings Co. Ltd. |
31,715
|
41,152
|
Fastighets
AB Balder, Class B (a) |
9,653
|
35,293
|
Greentown
Service Group Co. Ltd. |
20,000
|
9,583
|
Hang
Lung Properties Ltd. |
26,000
|
40,231
|
Hongkong
Land Holdings Ltd. |
17,600
|
68,820
|
Hulic
Co. Ltd. |
6,500
|
55,602
|
LEG
Immobilien SE (a) |
1,079
|
62,246
|
Mabanee
Co. KPSC |
7,478
|
20,603
|
NEPI
Rockcastle NV |
5,600
|
32,747
|
Sagax
AB, Class B |
2,995
|
59,139
|
SM
Prime Holdings, Inc. |
125,100
|
74,658
|
Swire
Properties Ltd. |
19,800
|
48,781
|
Swiss
Prime Site AG |
1,222
|
106,198
|
Vonovia
SE |
10,790
|
210,686
|
Wharf
Real Estate Investment Co. Ltd. |
25,000
|
125,424
|
Zhejiang
China Commodities City Group Co. Ltd., Class A |
9,800
|
11,506
|
|
|
1,226,580
|
Real
Estate Services - 0.0%* |
China
Overseas Property Holdings Ltd. |
15,000
|
15,158
|
FirstService
Corp. |
600
|
92,509
|
KE
Holdings, Inc. ADR (a) |
9,600
|
142,560
|
|
|
250,227
|
Regional
Banks - 0.0%* |
AU
Small Finance Bank Ltd. (d) |
3,332
|
30,701
|
Bandhan
Bank Ltd. (a)(d) |
7,685
|
22,739
|
Bank
of Chengdu Co. Ltd., Class A (a) |
400
|
672
|
Bank
of Hangzhou Co. Ltd., Class A |
5,547
|
8,973
|
Bank
of Jiangsu Co. Ltd., Class A (a) |
21,100
|
21,357
|
Bank
of Nanjing Co. Ltd., Class A |
5,600
|
6,166
|
Bank
of Ningbo Co. Ltd., Class A |
4,756
|
16,572
|
Banque
Cantonale Vaudoise |
510
|
53,893
|
|
Number
of Shares |
Fair
Value |
Chiba
Bank Ltd. |
9,000
|
$
54,487 |
Concordia
Financial Group Ltd. |
15,400
|
60,112
|
First
BanCorp |
6,284
|
76,790
|
OFG
Bancorp |
1,655
|
43,162
|
Popular,
Inc. |
852
|
51,563
|
Resona
Holdings, Inc. |
32,400
|
154,873
|
Shizuoka
Financial Group, Inc. |
6,400
|
46,160
|
|
|
648,220
|
Reinsurance
- 0.1% |
Hannover
Rueck SE |
906
|
192,307
|
Muenchener
Rueckversicherungs-Gesellschaft AG in Muenchen |
2,129
|
799,107
|
RenaissanceRe
Holdings Ltd. |
500
|
93,260
|
SiriusPoint
Ltd. (a) |
3,022
|
27,289
|
|
|
1,111,963
|
Renewable
Electricity - 0.0%* |
Adani
Green Energy Ltd. (a) |
5,018
|
57,859
|
China
Longyuan Power Group Corp. Ltd., Class H |
49,000
|
50,607
|
China
Three Gorges Renewables Group Co. Ltd., Class A |
19,800
|
14,633
|
China
Yangtze Power Co. Ltd., Class A |
22,100
|
67,029
|
Corp.
ACCIONA Energias Renovables SA |
1,103
|
36,894
|
EDP
Renovaveis SA |
4,064
|
81,198
|
Energy
Absolute PCL NVDR |
24,620
|
39,647
|
Engie
Brasil Energia SA |
3,733
|
35,357
|
Meridian
Energy Ltd. |
18,820
|
64,697
|
Northland
Power, Inc. |
3,882
|
81,058
|
Sichuan
Chuantou Energy Co. Ltd., Class A |
7,500
|
15,532
|
Terna
Energy SA |
583
|
12,842
|
|
|
557,353
|
Research
& Consulting Services - 0.2% |
BayCurrent
Consulting, Inc. |
2,100
|
78,833
|
Bureau
Veritas SA |
4,388
|
120,363
|
Intertek
Group PLC |
2,410
|
130,780
|
RELX
PLC |
28,795
|
961,643
|
SGS
SA |
2,247
|
212,663
|
Thomson
Reuters Corp. |
2,518
|
340,351
|
Wolters
Kluwer NV |
3,904
|
495,614
|
|
|
2,340,247
|
Restaurants
- 0.2% |
Americana
Restaurants International PLC |
26,020
|
29,965
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
66
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Compass
Group PLC |
26,681
|
$
747,946 |
Delivery
Hero SE (a)(d) |
2,730
|
120,426
|
Haidilao
International Holding Ltd. (d) |
23,000
|
50,858
|
Jiumaojiu
International Holdings Ltd. (d) |
14,000
|
23,021
|
Jollibee
Foods Corp. |
5,060
|
21,953
|
Jubilant
Foodworks Ltd. |
4,745
|
29,068
|
Just
Eat Takeaway.com NV (a)(d) |
3,139
|
48,107
|
McDonald's
Holdings Co. Japan Ltd. |
1,200
|
46,577
|
Meituan,
Class B (a)(d) |
71,207
|
1,116,506
|
Restaurant
Brands International, Inc. |
4,500
|
349,288
|
Sodexo
SA |
1,324
|
145,769
|
Yum
China Holdings, Inc. |
6,000
|
339,000
|
Zomato
Ltd. (a) |
48,929
|
44,894
|
|
|
3,113,378
|
Retail
REITs - 0.1% |
CapitaLand
Integrated Commercial Trust |
84,959
|
120,314
|
Japan
Metropolitan Fund Invest |
103
|
68,801
|
Klepierre
SA |
3,170
|
78,742
|
Link
REIT |
38,168
|
212,470
|
Mapletree
Pan Asia Commercial Trust |
39,946
|
48,022
|
RioCan
Real Estate Investment Trust |
2,100
|
30,598
|
Scentre
Group |
77,327
|
136,651
|
Unibail-Rodamco-Westfield
(a) |
1,876
|
98,930
|
Vicinity
Ltd. |
61,113
|
75,205
|
|
|
869,733
|
Security
& Alarm Services - 0.0%* |
Secom
Co. Ltd. |
3,200
|
216,211
|
Securitas
AB, Class B |
7,135
|
58,519
|
|
|
274,730
|
Semiconductor
Materials & Equipment - 0.5% |
Advanced
Micro-Fabrication Equipment, Inc. China, Class A (a) |
339
|
7,328
|
Advantest
Corp. |
2,900
|
389,935
|
ASM
International NV |
708
|
300,565
|
ASML
Holding NV |
6,114
|
4,433,847
|
Daqo
New Energy Corp. ADR (a) |
900
|
35,730
|
Disco
Corp. |
1,400
|
221,596
|
Flat
Glass Group Co. Ltd., Class H |
4,000
|
13,714
|
Flat
Glass Group Co. Ltd., Class A |
1,700
|
9,018
|
|
Number
of Shares |
Fair
Value |
GCL
Technology Holdings Ltd. |
300,000
|
$
69,641 |
Globalwafers
Co. Ltd. |
3,000
|
48,146
|
Hangzhou
First Applied Material Co. Ltd., Class A |
1,372
|
7,025
|
Kulicke
& Soffa Industries, Inc. |
1,963
|
116,700
|
Lasertec
Corp. |
1,100
|
165,952
|
NAURA
Technology Group Co. Ltd., Class A |
300
|
13,152
|
Shenzhen
SC New Energy Technology Corp., Class A |
100
|
1,548
|
SUMCO
Corp. |
5,200
|
73,651
|
TCL
Zhonghuan Renewable Energy Technology Co. Ltd., Class A |
5,500
|
25,136
|
Tokyo
Electron Ltd. |
6,800
|
977,767
|
Xinyi
Solar Holdings Ltd. |
71,985
|
83,568
|
Zhejiang
Jingsheng Mechanical & Electrical Co. Ltd., Class A |
1,900
|
18,584
|
|
|
7,012,603
|
Semiconductors
- 0.8% |
Allegro
MicroSystems, Inc. (a) |
700
|
31,598
|
ASE
Technology Holding Co. Ltd. |
41,000
|
145,802
|
Cambricon
Technologies Corp. Ltd., Class A A Shares (a) |
348
|
9,035
|
China
Resources Microelectronics Ltd., Class A |
1,955
|
14,116
|
eMemory
Technology, Inc. |
1,000
|
71,575
|
GigaDevice
Semiconductor, Inc., Class A |
560
|
8,210
|
Global
Unichip Corp. |
1,000
|
51,758
|
Hangzhou
Silan Microelectronics Co. Ltd., Class A |
1,100
|
4,587
|
Hua
Hong Semiconductor Ltd. (a)(d) |
10,000
|
32,902
|
Inari
Amertron Bhd |
56,500
|
33,325
|
indie
Semiconductor, Inc., Class A (a) |
4,803
|
45,148
|
Infineon
Technologies AG |
19,837
|
816,782
|
Ingenic
Semiconductor Co. Ltd., Class A |
600
|
7,305
|
JA
Solar Technology Co. Ltd., Class A |
4,268
|
24,483
|
JCET
Group Co. Ltd., Class A |
2,000
|
8,593
|
LONGi
Green Energy Technology Co. Ltd., Class A |
7,836
|
30,958
|
MediaTek,
Inc. |
21,000
|
464,853
|
Montage
Technology Co. Ltd., Class A |
361
|
2,859
|
Nanya
Technology Corp. |
15,000
|
34,196
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
67
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Novatek
Microelectronics Corp. |
8,886
|
$
122,006 |
Powerchip
Semiconductor Manufacturing Corp. |
45,000
|
44,921
|
Realtek
Semiconductor Corp. |
7,040
|
87,779
|
Renesas
Electronics Corp. (a) |
19,500
|
367,399
|
Rohm
Co. Ltd. |
1,400
|
132,394
|
SG
Micro Corp., Class A |
195
|
2,207
|
Shanghai
Fudan Microelectronics Group Co. Ltd., Class H |
3,000
|
7,401
|
Silergy
Corp. |
4,888
|
60,891
|
SK
Hynix, Inc. |
7,581
|
666,100
|
StarPower
Semiconductor Ltd., Class A |
100
|
2,967
|
STMicroelectronics
NV |
10,357
|
516,444
|
Taiwan
Semiconductor Manufacturing Co. Ltd. |
344,558
|
6,365,112
|
Tianshui
Huatian Technology Co. Ltd., Class A |
700
|
888
|
Tongwei
Co. Ltd., Class A |
3,300
|
15,598
|
Tower
Semiconductor Ltd. (a) |
1,606
|
59,253
|
Trina
Solar Co. Ltd., Class A |
1,600
|
9,389
|
Unigroup
Guoxin Microelectronics Co. Ltd., Class A |
419
|
5,385
|
United
Microelectronics Corp. |
158,000
|
248,251
|
Vanguard
International Semiconductor Corp. |
8,330
|
23,656
|
Will
Semiconductor Co. Ltd. Shanghai, Class A |
540
|
7,307
|
Win
Semiconductors Corp. |
4,000
|
21,186
|
Winbond
Electronics Corp. (a) |
47,000
|
41,571
|
|
|
10,646,190
|
Silver
- 0.0%* |
Pan
American Silver Corp. |
5,400
|
78,761
|
Soft
Drinks & Non-alcoholic Beverages - 0.1% |
Arca
Continental SAB de CV |
6,000
|
61,552
|
Carabao
Group PCL NVDR |
1,735
|
3,212
|
Coca-Cola
Europacific Partners PLC |
3,100
|
199,733
|
Coca-Cola
Femsa SAB de CV |
7,420
|
61,902
|
Coca-Cola
HBC AG (a) |
3,198
|
95,497
|
Fomento
Economico Mexicano SAB de CV |
27,800
|
307,217
|
Nongfu
Spring Co. Ltd., Class H (d) |
25,600
|
141,673
|
Osotspa
PCL |
21,800
|
18,292
|
Suntory
Beverage & Food Ltd. |
2,000
|
72,383
|
Varun
Beverages Ltd. |
6,442
|
63,170
|
|
|
1,024,631
|
|
Number
of Shares |
Fair
Value |
Specialized
Consumer Services - 0.0%* |
OneSpaWorld
Holdings Ltd. (a) |
2,544
|
$
30,782 |
Specialized
Finance - 0.0%* |
Banco
Latinoamericano de Comercio Exterior SA Class E |
884
|
19,501
|
Chailease
Holding Co. Ltd. (a) |
19,805
|
130,214
|
Element
Fleet Management Corp. |
6,200
|
94,552
|
Far
East Horizon Ltd. |
23,000
|
18,243
|
Mitsubishi
HC Capital, Inc. |
13,500
|
80,022
|
|
|
342,532
|
Specialty
Chemicals - 0.3% |
Akzo
Nobel NV |
2,553
|
208,678
|
Arkema
SA |
825
|
77,780
|
Asian
Paints Ltd. |
5,540
|
227,494
|
Chengxin
Lithium Group Co. Ltd., Class A |
500
|
2,196
|
Chr
Hansen Holding AS |
1,687
|
117,254
|
Clariant
AG (a) |
3,686
|
53,347
|
Covestro
AG (a)(d) |
2,885
|
150,087
|
Croda
International PLC |
2,098
|
150,134
|
Dongyue
Group Ltd. |
17,000
|
12,768
|
DSM-Firmenich
AG (a) |
2,644
|
284,480
|
EMS-Chemie
Holding AG |
111
|
84,155
|
Evonik
Industries AG |
3,074
|
58,564
|
Ganfeng
Lithium Group Co. Ltd., Class A |
940
|
7,914
|
Ganfeng
Lithium Group Co. Ltd., Class H (a)(d) |
5,840
|
38,301
|
Givaudan
SA |
140
|
464,579
|
Hoshine
Silicon Industry Co. Ltd., Class A |
200
|
1,929
|
Johnson
Matthey PLC |
2,688
|
59,736
|
JSR
Corp. |
2,561
|
73,471
|
Nippon
Paint Holdings Co. Ltd. |
14,500
|
119,803
|
Nitto
Denko Corp. |
2,300
|
170,436
|
Novozymes
AS, Class B |
3,051
|
142,329
|
Shanghai
Putailai New Energy Technology Co. Ltd., Class A |
1,798
|
9,470
|
Shenzhen
Capchem Technology Co. Ltd., Class A |
180
|
1,288
|
Shin-Etsu
Chemical Co. Ltd. |
27,600
|
920,803
|
Sika
AG |
2,217
|
635,234
|
SK
IE Technology Co. Ltd. (a)(d) |
261
|
19,336
|
Symrise
AG |
2,002
|
209,876
|
Tianqi
Lithium Corp., Class A |
700
|
6,754
|
Umicore
SA |
3,339
|
93,339
|
Wacker
Chemie AG |
280
|
38,458
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
68
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Wanhua
Chemical Group Co. Ltd., Class A |
3,300
|
$
39,872 |
|
|
4,479,865
|
Steel
- 0.2% |
ArcelorMittal
SA |
7,230
|
197,228
|
Baoshan
Iron & Steel Co. Ltd., Class A |
26,900
|
20,798
|
BlueScope
Steel Ltd. |
7,374
|
101,411
|
China
Steel Corp. |
169,000
|
159,811
|
Cia
Siderurgica Nacional SA |
12,100
|
30,426
|
Eregli
Demir ve Celik Fabrikalari TAS (a) |
22,053
|
31,237
|
Fortescue
Metals Group Ltd. |
25,622
|
379,912
|
Hyundai
Steel Co. |
1,347
|
34,710
|
Inner
Mongolia BaoTou Steel Union Co. Ltd., Class A (a) |
42,400
|
10,452
|
JFE
Holdings, Inc. |
7,300
|
104,191
|
Jindal
Steel & Power Ltd. |
6,356
|
45,172
|
JSW
Steel Ltd. |
7,020
|
67,363
|
Kumba
Iron Ore Ltd. |
1,082
|
25,346
|
Nippon
Steel Corp. |
12,200
|
254,913
|
Novolipetsk
Steel PJSC GDR (a)(c)** |
2,290
|
—
|
Novolipetsk
Steel PJSC (a)(c)** |
4,980
|
—
|
Pangang
Group Vanadium Titanium & Resources Co. Ltd., Class A (a) |
10,100
|
5,439
|
POSCO
Holdings, Inc. |
1,033
|
305,718
|
Severstal
PAO GDR (a)(c)** |
3,070
|
—
|
Severstal
PAO (a)(c)** |
695
|
—
|
Shanxi
Meijin Energy Co. Ltd., Class A (a) |
3,500
|
3,636
|
Shanxi
Taigang Stainless Steel Co. Ltd., Class A |
6,700
|
3,571
|
Tata
Steel Ltd. |
104,993
|
143,853
|
Vale
SA |
46,540
|
619,569
|
voestalpine
AG |
1,686
|
60,577
|
YongXing
Special Materials Technology Co. Ltd., Class A |
260
|
2,246
|
|
|
2,607,579
|
Systems
Software - 0.0%* |
360
Security Technology, Inc., Class A (a) |
4,700
|
8,118
|
Check
Point Software Technologies Ltd. (a) |
1,403
|
176,245
|
Oracle
Corp. Japan |
637
|
47,297
|
Sangfor
Technologies, Inc., Class A (a) |
300
|
4,683
|
Tata
Elxsi Ltd. |
550
|
51,072
|
TOTVS
SA |
7,738
|
48,090
|
Trend
Micro, Inc. |
2,100
|
101,485
|
|
|
436,990
|
|
Number
of Shares |
Fair
Value |
Technology
Distributors - 0.0%* |
Synnex
Technology International Corp. |
21,178
|
$
39,500 |
Unisplendour
Corp. Ltd., Class A |
3,100
|
13,607
|
WPG
Holdings Ltd. |
25,938
|
45,637
|
|
|
98,744
|
Technology
Hardware, Storage & Peripherals - 0.5% |
Acer,
Inc. |
44,000
|
44,397
|
Advantech
Co. Ltd. |
6,000
|
78,994
|
Asustek
Computer, Inc. |
10,053
|
101,777
|
Brother
Industries Ltd. |
3,300
|
48,221
|
Canon,
Inc. |
15,100
|
396,269
|
Catcher
Technology Co. Ltd. |
10,000
|
56,421
|
Compal
Electronics, Inc. |
64,225
|
60,406
|
CosmoAM&T
Co. Ltd. (a) |
334
|
47,703
|
FUJIFILM
Holdings Corp. |
5,715
|
339,952
|
Inspur
Electronic Information Industry Co. Ltd., Class A |
2,700
|
18,001
|
Inventec
Corp. |
39,249
|
54,565
|
Lenovo
Group Ltd. |
106,000
|
111,066
|
Lite-On
Technology Corp. ADR |
28,693
|
95,546
|
Logitech
International SA |
2,598
|
155,131
|
Micro-Star
International Co. Ltd. |
10,000
|
56,862
|
Ninestar
Corp., Class A |
1,200
|
5,659
|
Pegatron
Corp. |
30,251
|
72,832
|
Quanta
Computer, Inc. |
39,507
|
192,947
|
Ricoh
Co. Ltd. |
8,600
|
73,166
|
Samsung
Electronics Co. Ltd. |
66,880
|
3,682,629
|
Seiko
Epson Corp. |
4,400
|
68,580
|
Shenzhen
Transsion Holdings Co. Ltd., Class A |
350
|
7,084
|
Wistron
Corp. |
39,000
|
113,793
|
Wiwynn
Corp. |
1,000
|
45,702
|
Xiaomi
Corp., Class B (a)(d) |
219,800
|
302,187
|
|
|
6,229,890
|
Textiles
- 0.0%* |
Eclat
Textile Co. Ltd. |
3,000
|
48,241
|
Tires
& Rubber - 0.1% |
Balkrishna
Industries Ltd. |
1,229
|
35,573
|
Bridgestone
Corp. |
8,596
|
352,552
|
Cheng
Shin Rubber Industry Co. Ltd. |
20,000
|
25,835
|
Cie
Generale des Etablissements Michelin SCA |
10,260
|
303,449
|
Hankook
Tire & Technology Co. Ltd. |
1,305
|
34,238
|
MRF
Ltd. |
20
|
24,718
|
Sailun
Group Co. Ltd., Class A |
2,300
|
3,606
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
69
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Shandong
Linglong Tyre Co. Ltd., Class A |
1,500
|
$
4,586 |
|
|
784,557
|
Tobacco
- 0.2% |
British
American Tobacco PLC |
32,347
|
1,075,886
|
Imperial
Brands PLC |
13,539
|
299,997
|
ITC
Ltd. |
41,923
|
231,164
|
Japan
Tobacco, Inc. |
18,200
|
398,027
|
KT&G
Corp. |
1,295
|
81,348
|
Smoore
International Holdings Ltd. (d) |
32,000
|
32,657
|
|
|
2,119,079
|
Trading
Companies & Distributors - 0.4% |
Adani
Enterprises Ltd. |
2,217
|
64,767
|
AerCap
Holdings NV (a) |
2,500
|
158,800
|
Ashtead
Group PLC |
6,649
|
461,471
|
Beijer
Ref AB |
5,842
|
74,512
|
BOC
Aviation Ltd. (d) |
2,700
|
21,882
|
Brenntag
SE |
2,323
|
181,203
|
Bunzl
PLC |
5,081
|
193,833
|
IMCD
NV |
851
|
122,446
|
ITOCHU
Corp. |
18,005
|
713,999
|
Marubeni
Corp. |
23,400
|
398,167
|
Mitsubishi
Corp. |
18,800
|
907,412
|
Mitsui
& Co. Ltd. |
20,100
|
759,478
|
MonotaRO
Co. Ltd. |
3,900
|
49,722
|
Reece
Ltd. |
3,780
|
47,054
|
Sichuan
New Energy Power Co. Ltd. (a) |
800
|
1,587
|
Sumitomo
Corp. |
17,000
|
360,056
|
Textainer
Group Holdings Ltd. |
1,520
|
59,858
|
Toromont
Industries Ltd. |
1,300
|
106,918
|
Toyota
Tsusho Corp. |
3,200
|
159,658
|
Triton
International Ltd. |
1,904
|
158,527
|
|
|
5,001,350
|
Transaction
& Payment Processing Services - 0.1% |
Adyen
NV (a)(d) |
329
|
569,614
|
Edenred
|
3,764
|
252,083
|
EVERTEC,
Inc. |
2,279
|
83,936
|
GMO
Payment Gateway, Inc. |
700
|
54,817
|
Kakaopay
Corp. (a) |
382
|
13,736
|
Nexi
SpA (a)(d) |
8,670
|
68,010
|
Nuvei
Corp. (a)(d) |
1,100
|
32,520
|
Pagseguro
Digital Ltd., Class A (a) |
6,923
|
65,353
|
StoneCo
Ltd., Class A (a) |
10,149
|
129,298
|
Wise
PLC, Class A (a) |
9,433
|
78,930
|
Worldline
SA (a)(d) |
3,565
|
130,526
|
|
|
1,478,823
|
|
Number
of Shares |
Fair
Value |
Water
Utilities - 0.0%* |
Beijing
Enterprises Water Group Ltd. |
50,000
|
$
11,893 |
Cia
de Saneamento Basico do Estado de Sao Paulo SABESP |
5,100
|
59,807
|
Consolidated
Water Co. Ltd. |
524
|
12,696
|
Guangdong
Investment Ltd. |
48,000
|
41,456
|
Severn
Trent PLC |
3,764
|
122,838
|
United
Utilities Group PLC |
10,203
|
124,890
|
|
|
373,580
|
Wireless
Telecommunication Services - 0.3% |
Advanced
Info Service PCL NVDR |
17,107
|
103,364
|
America
Movil SAB de CV Series B |
392,800
|
425,998
|
Axiata
Group Bhd |
32,600
|
18,541
|
Bharti
Airtel Ltd. |
31,792
|
341,023
|
CelecomDigi
|
44,300
|
39,042
|
China
United Network Communications Ltd., Class A |
33,400
|
22,058
|
Etihad
Etisalat Co. |
5,731
|
73,519
|
Far
EasTone Telecommunications Co. Ltd. |
24,000
|
60,612
|
Intouch
Holdings PCL NVDR |
12,300
|
25,703
|
Intouch
Holdings PCL Series F |
6,200
|
12,940
|
KDDI
Corp. |
22,608
|
697,046
|
Maxis
Bhd |
27,100
|
23,833
|
Mobile
Telecommunications Co. KSCP |
33,002
|
55,818
|
Mobile
Telecommunications Co. Saudi Arabia (a) |
8,107
|
30,606
|
Mobile
TeleSystems PJSC ADR (a)(c)** |
6,600
|
—
|
Mobile
TeleSystems PJSC (c)** |
3,970
|
—
|
MTN
Group Ltd. |
24,227
|
177,345
|
PLDT,
Inc. |
960
|
22,742
|
Rogers
Communications, Inc., Class B |
5,300
|
242,080
|
SoftBank
Corp. |
43,600
|
465,105
|
SoftBank
Group Corp. |
15,600
|
734,468
|
Taiwan
Mobile Co. Ltd. |
24,946
|
76,625
|
Tele2
AB, Class B |
8,398
|
69,351
|
TELUS
Corp. |
360
|
7,014
|
TIM
SA |
10,600
|
32,125
|
Turkcell
Iletisim Hizmetleri AS |
18,021
|
25,092
|
Vodacom
Group Ltd. |
8,794
|
54,595
|
Vodafone
Group PLC |
352,017
|
332,245
|
|
|
4,168,890
|
Total
Common Stock (Cost $330,880,916) |
|
340,893,425
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
70
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Number
of Shares |
Fair
Value |
Preferred
Stock - 0.2% |
Automobile
Manufacturers - 0.1% |
Bayerische
Motoren Werke AG 8.22% |
944
|
$
107,554 |
Dr
Ing hc F Porsche AG 0.89% (a)(d) |
1,715
|
213,013
|
Hyundai
Motor Co. 5.56% |
595
|
49,695
|
Hyundai
Motor Co. 5.56% |
262
|
21,684
|
Porsche
Automobil Holding SE 4.64% (a) |
2,287
|
137,811
|
Volkswagen
AG 22.62% |
3,164
|
425,394
|
|
|
955,151
|
Commodity
Chemicals - 0.0%* |
LG
Chem Ltd. 2.86% |
89
|
23,909
|
Diversified
Banks - 0.1% |
Banco
Bradesco SA 6.13% |
79,721
|
271,851
|
Bancolombia
SA 11.89% |
4,359
|
29,218
|
Itau
Unibanco Holding SA 5.39% |
69,300
|
408,273
|
Itausa
SA 5.96% |
71,738
|
143,357
|
|
|
852,699
|
Diversified
Capital Markets - 0.0%* |
Banco
BTG Pactual SA 1.90% |
4
|
7
|
Electric
Utilities - 0.0%* |
Centrais
Eletricas Brasileiras SA 3.36% |
4,600
|
42,453
|
Cia
Energetica de Minas Gerais 8.78% |
21,029
|
56,060
|
|
|
98,513
|
Fertilizers
& Agricultural Chemicals - 0.0%* |
Sociedad
Quimica y Minera de Chile SA 11.90% |
2,065
|
150,338
|
Household
Products - 0.0%* |
Henkel
AG & Co. KGaA 2.52% |
2,536
|
202,783
|
Integrated
Oil & Gas - 0.0%* |
Petroleo
Brasileiro SA 16.50% |
63,700
|
389,938
|
Surgutneftegas
PJSC 11.33% (c)** |
115,200
|
—
|
|
|
389,938
|
Life
Sciences Tools & Services - 0.0%* |
Sartorius
AG 0.45% |
391
|
135,440
|
Steel
- 0.0%* |
Gerdau
SA 13.66% |
16,580
|
86,165
|
|
Number
of Shares |
Fair
Value |
Technology
Hardware, Storage & Peripherals - 0.0%* |
Samsung
Electronics Co. Ltd. 1.82% |
11,269
|
$
511,379 |
Total
Preferred Stock (Cost $3,256,510) |
|
3,406,322
|
Warrants
- 0.0% * |
Rail
Transportation - 0.0% |
BTS
Group Holdings PCL (expiring 07/11/24) (a) |
9,760
|
30
|
BTS
Group Holdings PCL (expiring 20/11/26) (a) |
19,520
|
83
|
Total
Warrants (Cost $0) |
|
113
|
Total
Foreign Equity (Cost $334,137,426) |
|
344,299,860
|
|
Principal
Amount |
|
Bonds
and Notes - 14.8% |
U.S.
Treasuries - 8.9% |
U.S.
Treasury Bonds |
|
|
1.25%
05/15/50 (e) |
$
200,000 |
112,500
|
1.63%
11/15/50 (e) |
200,000
|
124,281
|
1.88%
02/15/51 - 11/15/51 (e) |
575,000
|
380,445
|
2.00%
02/15/50 - 08/15/51 (e) |
1,000,000
|
683,938
|
2.25%
08/15/46 - 02/15/52 (e) |
1,115,000
|
812,587
|
2.38%
11/15/49 - 05/15/51 (e) |
665,000
|
495,797
|
2.50%
02/15/45 - 05/15/46 (e) |
485,000
|
374,520
|
2.75%
11/15/42 - 11/15/47 (e) |
675,000
|
545,719
|
2.88%
08/15/45 - 05/15/52 (e) |
1,135,000
|
938,783
|
3.00%
11/15/44 - 08/15/52 (e) |
2,350,000
|
1,986,753
|
3.13%
02/15/43 - 05/15/48 (e) |
800,000
|
693,078
|
3.38%
08/15/42 - 11/15/48 (e) |
975,000
|
882,610
|
3.63%
02/15/44 - 05/15/53 (e) |
765,000
|
731,647
|
3.88%
02/15/43 - 05/15/43 (e) |
250,000
|
243,906
|
4.00%
11/15/42 - 11/15/52 (e) |
1,175,000
|
1,185,844
|
4.25%
05/15/39 - 11/15/40 (e) |
200,000
|
208,578
|
4.38%
02/15/38 - 05/15/40 (e) |
200,000
|
212,078
|
4.50%
02/15/36 (e) |
100,000
|
107,844
|
4.63%
02/15/40 (e) |
100,000
|
108,984
|
5.25%
02/15/29 (e) |
200,000
|
210,656
|
5.50%
08/15/28 (e) |
200,000
|
211,844
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
71
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
6.00%
02/15/26 (e) |
$
427,000 |
$
440,410 |
6.13%
08/15/29 (e) |
200,000
|
221,797
|
6.38%
08/15/27 (e) |
200,000
|
215,266
|
7.63%
02/15/25 (e) |
200,000
|
207,453
|
U.S.
Treasury Inflation-Indexed Bonds |
|
|
0.13%
02/15/51 - 02/15/52 |
1,785,987
|
1,189,608
|
0.25%
02/15/50 |
802,208
|
561,861
|
0.63%
02/15/43 |
798,117
|
655,624
|
0.75%
02/15/42 - 02/15/45 |
2,422,310
|
2,031,372
|
0.88%
02/15/47 |
854,427
|
717,926
|
1.00%
02/15/46 - 02/15/49 |
1,927,006
|
1,665,146
|
1.38%
02/15/44 |
1,119,238
|
1,055,368
|
1.50%
02/15/53 |
520,394
|
507,087
|
1.75%
01/15/28 |
760,100
|
751,671
|
2.00%
01/15/26 |
764,095
|
754,163
|
2.13%
02/15/40 - 02/15/41 |
1,211,840
|
1,302,082
|
2.38%
01/15/25 - 01/15/27 |
2,546,508
|
2,536,189
|
2.50%
01/15/29 |
1,059,548
|
1,092,107
|
3.38%
04/15/32 |
427,200
|
486,441
|
3.63%
04/15/28 |
993,914
|
1,067,411
|
3.88%
04/15/29 |
1,199,276
|
1,325,838
|
U.S.
Treasury Inflation-Indexed Notes |
|
|
0.13%
07/15/24 - 01/15/32 |
25,088,733
|
23,113,241
|
0.13%
04/15/25 (e) |
1,679,192
|
1,597,897
|
0.25%
01/15/25 - 07/15/29 |
3,663,785
|
3,434,204
|
0.38%
07/15/25 - 07/15/27 |
6,112,118
|
5,777,176
|
0.50%
01/15/28 |
1,930,551
|
1,806,500
|
0.63%
01/15/26 - 07/15/32 |
4,819,865
|
4,504,130
|
0.75%
07/15/28 |
1,794,370
|
1,701,569
|
0.88%
01/15/29 |
1,405,427
|
1,331,210
|
1.13%
01/15/33 |
2,586,355
|
2,480,915
|
1.25%
04/15/28 |
1,921,554
|
1,859,946
|
1.63%
10/15/27 |
2,329,395
|
2,295,934
|
U.S.
Treasury Notes |
|
|
0.25%
05/31/25 - 09/30/25 |
1,600,000
|
1,455,457
|
0.38%
04/30/25 - 09/30/27 |
1,600,000
|
1,407,851
|
0.50%
03/31/25 - 02/28/26 |
1,000,000
|
911,660
|
0.63%
11/30/27 - 08/15/30 |
1,175,000
|
981,465
|
0.75%
03/31/26 |
500,000
|
451,914
|
0.88%
11/15/30 |
300,000
|
242,812
|
1.13%
02/28/25 - 02/15/31 |
1,425,000
|
1,233,457
|
1.25%
04/30/28 - 05/31/28 |
750,000
|
654,703
|
1.38%
01/31/25 - 12/31/28 |
850,000
|
779,418
|
1.50%
09/30/24 - 02/15/30 |
1,700,000
|
1,555,767
|
1.50%
10/31/24 (e) |
200,000
|
190,305
|
1.63%
02/15/26 - 08/15/29 |
300,000
|
271,172
|
1.75%
01/31/29 - 11/15/29 |
650,000
|
572,914
|
1.88%
06/30/26 - 02/15/32 |
1,100,000
|
977,015
|
2.00%
02/15/25 - 11/15/26 |
1,494,000
|
1,413,158
|
2.13%
09/30/24 - 05/31/26 |
800,000
|
760,199
|
2.25%
10/31/24 - 11/15/27 |
3,290,000
|
3,109,727
|
2.38%
08/15/24 - 05/15/29 |
1,950,000
|
1,802,656
|
|
Principal
Amount |
Fair
Value |
2.50%
01/31/25 |
$
750,000 |
$
719,736 |
2.63%
12/31/25 - 07/31/29 |
1,350,000
|
1,256,999
|
2.75%
02/28/25 - 05/31/29 |
1,550,000
|
1,463,430
|
2.88%
11/30/25 - 05/15/32 |
2,280,000
|
2,153,142
|
3.00%
09/30/25 |
300,000
|
288,680
|
3.13%
08/15/25 - 08/31/29 |
1,250,000
|
1,194,668
|
3.25%
08/31/24 - 06/30/29 |
1,150,000
|
1,111,926
|
3.38%
05/15/33 |
600,000
|
578,719
|
3.50%
01/31/28 - 02/15/33 |
2,475,000
|
2,407,636
|
3.63%
03/31/28 - 03/31/30 |
1,400,000
|
1,369,340
|
3.75%
05/31/30 - 06/30/30 |
700,000
|
690,539
|
3.88%
03/31/25 - 11/30/29 |
2,825,000
|
2,785,858
|
4.00%
12/15/25 - 02/28/30 |
2,250,000
|
2,230,461
|
4.13%
01/31/25 - 11/15/32 |
1,825,000
|
1,828,744
|
4.25%
09/30/24 - 10/15/25 |
950,000
|
937,789
|
4.38%
10/31/24 |
750,000
|
740,947
|
4.50%
11/30/24 |
1,000,000
|
989,414
|
4.63%
02/28/25 |
250,000
|
248,066
|
|
|
121,707,678
|
Agency
Mortgage Backed - 2.8% |
Federal
Farm Credit Banks Funding Corp. |
|
|
3.38%
08/26/24 (e) |
250,000
|
244,282
|
Federal
Home Loan Banks |
|
|
1.88%
09/11/26 (e) |
500,000
|
460,650
|
3.25%
11/16/28 (e) |
125,000
|
119,664
|
Federal
Home Loan Mortgage Corp. |
|
|
1.50%
04/01/37 - 11/01/51 |
904,912
|
721,410
|
2.00%
01/01/37 - 03/01/52 |
2,893,076
|
2,375,356
|
2.50%
07/01/28 - 05/01/52 |
2,816,982
|
2,397,260
|
3.00%
07/01/30 - 06/01/51 |
1,564,239
|
1,421,805
|
3.50%
03/01/26 - 09/01/52 |
1,245,689
|
1,154,009
|
4.00%
06/01/42 - 08/01/48 |
394,764
|
378,197
|
4.50%
05/01/42 - 11/01/48 |
73,579
|
72,131
|
5.00%
10/01/52 - 12/01/52 |
216,366
|
213,203
|
5.50%
01/01/38 - 04/01/39 |
134,111
|
137,889
|
6.00%
06/01/37 - 11/01/37 |
123,042
|
129,617
|
6.25%
07/15/32 (e) |
250,000
|
292,042
|
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
|
|
4.35%
01/25/33 (f) |
100,000
|
98,816
|
Federal
National Mortgage Association |
|
|
1.50%
04/01/36 - 03/01/51 |
992,696
|
825,726
|
1.75%
07/02/24 (e) |
225,000
|
216,965
|
2.00%
11/01/35 - 03/01/52 |
8,040,422
|
6,708,984
|
2.13%
04/24/26 (e) |
200,000
|
187,238
|
2.50%
09/01/28 - 03/01/52 |
4,163,397
|
3,584,887
|
3.00%
04/01/30 - 05/01/52 |
3,202,647
|
2,894,529
|
3.50%
01/01/27 - 02/01/50 |
1,440,524
|
1,335,956
|
4.00%
10/01/41 - 08/01/52 |
1,352,056
|
1,287,803
|
4.50%
10/01/40 - 09/01/49 |
391,650
|
384,454
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
72
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
5.00%
12/01/39 - 02/01/53 |
$
614,251 |
$
604,315 |
5.50%
12/01/35 - 04/01/38 |
457,289
|
466,026
|
6.00%
03/01/34 - 08/01/37 |
604,308
|
633,154
|
Government
National Mortgage Association |
|
|
2.00%
10/20/50 - 04/20/52 |
2,050,986
|
1,727,668
|
2.50%
07/20/50 - 01/20/52 |
1,814,071
|
1,573,922
|
3.00%
10/15/42 - 12/20/50 |
1,618,906
|
1,465,363
|
3.50%
11/20/43 - 08/20/49 |
1,230,357
|
1,154,847
|
4.00%
12/20/40 - 10/20/52 |
828,854
|
796,439
|
4.50%
05/20/40 - 01/20/53 |
432,257
|
421,663
|
5.00%
08/15/41 |
462,111
|
466,369
|
Government
National Mortgage Association, TBA |
|
|
5.50%
07/20/53 (g) |
125,000
|
124,403
|
6.00%
07/20/53 (g) |
100,000
|
100,606
|
Tennessee
Valley Authority |
|
|
3.50%
12/15/42 (e) |
100,000
|
83,745
|
Uniform
Mortgage-Backed Security, TBA |
|
|
4.50%
07/13/53 (g) |
600,000
|
576,721
|
|
|
37,838,114
|
Agency
Collateralized Mortgage Obligations - 0.1% |
Federal
Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
|
|
1.48%
04/25/30 |
69,643
|
57,361
|
1.56%
04/25/30 |
40,000
|
33,091
|
1.87%
01/25/30 |
58,333
|
49,548
|
3.78%
08/25/28 |
166,954
|
161,864
|
3.90%
04/25/28 |
100,000
|
97,019
|
Federal
National Mortgage Association-Aces |
|
|
1.27%
07/25/30 |
80,000
|
64,355
|
1.51%
03/25/31 (f) |
145,000
|
115,868
|
1.72%
10/25/31 (f) |
100,000
|
80,214
|
3.16%
06/25/27 (f) |
171,827
|
162,113
|
|
|
821,433
|
Asset
Backed - 0.0%* |
American
Express Credit Account Master Trust |
|
|
0.90%
11/15/26 |
184,000
|
172,738
|
Capital
One Multi-Asset Execution Trust |
|
|
3.49%
05/15/27 |
100,000
|
96,631
|
Carvana
Auto Receivables Trust |
|
|
1.64%
12/10/27 |
150,000
|
133,810
|
Discover
Card Execution Note Trust |
|
|
1.03%
09/15/28 |
81,000
|
71,314
|
|
|
474,493
|
|
Principal
Amount |
Fair
Value |
Corporate
Notes - 2.7% |
3M
Co. |
|
|
3.38%
03/01/29 (e) |
$
25,000 |
$
22,940 |
AbbVie,
Inc. |
|
|
2.95%
11/21/26 |
25,000
|
23,363
|
3.20%
05/14/26 |
50,000
|
47,391
|
3.80%
03/15/25 |
75,000
|
72,945
|
4.25%
11/14/28 - 11/21/49 |
60,000
|
53,330
|
4.30%
05/14/36 |
50,000
|
45,975
|
4.85%
06/15/44 |
50,000
|
46,577
|
4.88%
11/14/48 |
25,000
|
23,583
|
Activision
Blizzard, Inc. |
|
|
2.50%
09/15/50 (e) |
50,000
|
32,113
|
Adobe,
Inc. |
|
|
3.25%
02/01/25 (e) |
70,000
|
67,959
|
Advocate
Health & Hospitals Corp. |
|
|
3.39%
10/15/49 (e) |
25,000
|
18,785
|
AEP
Texas, Inc. |
|
|
3.45%
05/15/51 (e) |
35,000
|
24,992
|
AerCap
Ireland Capital DAC/AerCap Global Aviation Trust |
|
|
4.45%
04/03/26 |
250,000
|
239,010
|
Aflac,
Inc. |
|
|
2.88%
10/15/26 (e) |
100,000
|
92,632
|
Agilent
Technologies, Inc. |
|
|
2.75%
09/15/29 (e) |
25,000
|
21,815
|
Agree
LP |
|
|
4.80%
10/01/32 (e) |
15,000
|
13,945
|
Air
Lease Corp. |
|
|
3.25%
10/01/29 (e) |
100,000
|
86,705
|
Air
Products & Chemicals, Inc. |
|
|
2.05%
05/15/30 (e) |
10,000
|
8,498
|
2.70%
05/15/40 (e) |
25,000
|
18,654
|
Alabama
Power Co. |
|
|
3.45%
10/01/49 (e) |
50,000
|
36,707
|
Albemarle
Corp. |
|
|
5.05%
06/01/32 (e) |
25,000
|
24,216
|
Alexandria
Real Estate Equities, Inc. |
|
|
4.85%
04/15/49 (e) |
50,000
|
42,088
|
Alibaba
Group Holding Ltd. |
|
|
4.00%
12/06/37 (e) |
100,000
|
83,626
|
Allegion
PLC |
|
|
3.50%
10/01/29 (e) |
15,000
|
13,286
|
Allina
Health System |
|
|
2.90%
11/15/51 (e) |
10,000
|
6,545
|
Ally
Financial, Inc. |
|
|
8.00%
11/01/31 (e) |
50,000
|
51,873
|
Alphabet,
Inc. |
|
|
0.80%
08/15/27 (e) |
50,000
|
43,300
|
2.05%
08/15/50 (e) |
50,000
|
31,220
|
2.25%
08/15/60 (e) |
25,000
|
15,188
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
73
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Altria
Group, Inc. |
|
|
5.80%
02/14/39 (e) |
$
65,000 |
$
63,529 |
Amazon.com,
Inc. |
|
|
1.65%
05/12/28 |
50,000
|
43,693
|
2.10%
05/12/31 |
50,000
|
42,031
|
2.50%
06/03/50 |
75,000
|
49,802
|
3.00%
04/13/25 |
75,000
|
72,389
|
3.15%
08/22/27 |
50,000
|
47,050
|
3.30%
04/13/27 |
25,000
|
23,839
|
3.60%
04/13/32 |
25,000
|
23,301
|
3.95%
04/13/52 |
25,000
|
21,739
|
4.10%
04/13/62 |
25,000
|
21,582
|
4.25%
08/22/57 |
50,000
|
45,097
|
Amcor
Flexibles North America, Inc. |
|
|
4.00%
05/17/25 (e) |
15,000
|
14,508
|
Ameren
Illinois Co. |
|
|
3.85%
09/01/32 (e) |
50,000
|
46,022
|
America
Movil SAB de CV |
|
|
6.13%
03/30/40 |
100,000
|
106,475
|
American
Airlines Pass-Through Trust |
|
|
3.15%
08/15/33 (e) |
41,864
|
36,341
|
American
Express Co. |
|
|
3.00%
10/30/24 |
100,000
|
96,730
|
3.63%
12/05/24 |
50,000
|
48,578
|
American
Express Co. (4.42% fixed rate until 08/03/32; 1.76% + SOFR thereafter) |
|
|
4.42%
08/03/33 (f) |
50,000
|
47,143
|
American
Homes 4 Rent LP |
|
|
3.63%
04/15/32 (e) |
20,000
|
17,326
|
American
Honda Finance Corp. |
|
|
0.75%
08/09/24 (e) |
50,000
|
47,462
|
American
International Group, Inc. |
|
|
2.50%
06/30/25 (e) |
17,000
|
16,025
|
4.20%
04/01/28 (e) |
75,000
|
72,156
|
American
Tower Corp. |
|
|
2.40%
03/15/25 (e) |
75,000
|
70,706
|
3.13%
01/15/27 (e) |
150,000
|
138,295
|
4.05%
03/15/32 (e) |
10,000
|
9,096
|
American
Water Capital Corp. |
|
|
3.45%
06/01/29 (e) |
50,000
|
46,407
|
4.00%
12/01/46 (e) |
100,000
|
80,648
|
Ameriprise
Financial, Inc. |
|
|
4.50%
05/13/32 (e) |
10,000
|
9,577
|
AmerisourceBergen
Corp. |
|
|
3.45%
12/15/27 (e) |
50,000
|
46,806
|
Amgen,
Inc. |
|
|
3.35%
02/22/32 (e) |
30,000
|
26,435
|
4.20%
03/01/33 (e) |
25,000
|
23,330
|
4.56%
06/15/48 (e) |
50,000
|
44,369
|
5.65%
06/15/42 (e) |
100,000
|
100,109
|
|
Principal
Amount |
Fair
Value |
Amphenol
Corp. |
|
|
4.35%
06/01/29 (e) |
$
25,000 |
$
24,205 |
Analog
Devices, Inc. |
|
|
3.50%
12/05/26 (e) |
75,000
|
72,248
|
Anheuser-Busch
InBev Worldwide, Inc. |
|
|
4.00%
04/13/28 (e) |
55,000
|
53,216
|
8.00%
11/15/39 (e) |
150,000
|
190,062
|
Aon
Corp./Aon Global Holdings PLC |
|
|
2.05%
08/23/31 (e) |
50,000
|
39,887
|
2.60%
12/02/31 (e) |
35,000
|
28,905
|
5.00%
09/12/32 (e) |
50,000
|
49,332
|
Appalachian
Power Co. |
|
|
4.45%
06/01/45 (e) |
100,000
|
82,618
|
4.50%
08/01/32 (e) |
45,000
|
42,292
|
Apple,
Inc. |
|
|
0.55%
08/20/25 (e) |
50,000
|
45,660
|
1.13%
05/11/25 (e) |
50,000
|
46,587
|
1.70%
08/05/31 (e) |
50,000
|
41,186
|
2.80%
02/08/61 (e) |
50,000
|
33,777
|
3.45%
02/09/45 (e) |
50,000
|
42,074
|
4.10%
08/08/62 (e) |
25,000
|
21,895
|
4.38%
05/13/45 (e) |
65,000
|
61,669
|
Applied
Materials, Inc. |
|
|
1.75%
06/01/30 (e) |
75,000
|
62,650
|
Aptiv
PLC/Aptiv Corp. |
|
|
2.40%
02/18/25 (e) |
20,000
|
18,990
|
4.15%
05/01/52 (e) |
15,000
|
11,433
|
Arch
Capital Finance LLC |
|
|
5.03%
12/15/46 (e) |
50,000
|
44,683
|
Archer-Daniels-Midland
Co. |
|
|
4.02%
04/16/43 (e) |
50,000
|
42,994
|
Arizona
Public Service Co. |
|
|
4.25%
03/01/49 (e) |
25,000
|
19,805
|
Arrow
Electronics, Inc. |
|
|
4.00%
04/01/25 (e) |
40,000
|
38,632
|
Ascension
Health |
|
|
3.95%
11/15/46 (e) |
50,000
|
42,022
|
Asian
Development Bank |
|
|
1.00%
04/14/26 (e) |
50,000
|
45,312
|
1.88%
01/24/30 (e) |
75,000
|
65,270
|
3.13%
09/26/28 (e) |
25,000
|
23,674
|
6.22%
08/15/27 (e) |
200,000
|
212,330
|
Asian
Infrastructure Investment Bank |
|
|
3.75%
09/14/27 (e) |
100,000
|
97,231
|
Assurant,
Inc. |
|
|
4.90%
03/27/28 (e) |
50,000
|
47,871
|
AstraZeneca
PLC |
|
|
4.00%
01/17/29 (e) |
20,000
|
19,338
|
6.45%
09/15/37 (e) |
50,000
|
57,418
|
AT&T,
Inc. |
|
|
2.25%
02/01/32 (e) |
25,000
|
19,873
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
74
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
3.50%
06/01/41 (e) |
$
50,000 |
$
38,415 |
3.65%
09/15/59 (e) |
200,000
|
139,126
|
4.75%
05/15/46 (e) |
50,000
|
44,160
|
Athene
Holding Ltd. |
|
|
3.50%
01/15/31 (e) |
10,000
|
8,237
|
Atmos
Energy Corp. |
|
|
4.30%
10/01/48 (e) |
50,000
|
43,381
|
5.45%
10/15/32 (e) |
15,000
|
15,500
|
Australia
& New Zealand Banking Group Ltd. |
|
|
3.70%
11/16/25 (e) |
50,000
|
48,156
|
Automatic
Data Processing, Inc. |
|
|
1.70%
05/15/28 (e) |
20,000
|
17,567
|
AutoNation,
Inc. |
|
|
2.40%
08/01/31 (e) |
50,000
|
38,043
|
AutoZone,
Inc. |
|
|
3.75%
04/18/29 (e) |
50,000
|
46,217
|
AvalonBay
Communities, Inc. |
|
|
2.05%
01/15/32 (e) |
35,000
|
28,096
|
3.90%
10/15/46 (e) |
50,000
|
38,737
|
Baltimore
Gas & Electric Co. |
|
|
4.55%
06/01/52 (e) |
5,000
|
4,451
|
Banco
Santander SA (4.18% fixed rate until 03/24/27; 2.00% + 1 year CMT Rate thereafter) |
|
|
4.18%
03/24/28 (e)(f) |
100,000
|
93,714
|
Bank
of America Corp. |
|
|
4.18%
11/25/27 (e) |
50,000
|
47,515
|
5.00%
01/21/44 (e) |
50,000
|
48,149
|
6.11%
01/29/37 (e) |
100,000
|
105,422
|
Bank
of America Corp. (2.57% fixed rate until 10/20/31; 1.21% + SOFR thereafter) |
|
|
2.57%
10/20/32 (e)(f) |
25,000
|
20,348
|
Bank
of America Corp. (2.88% fixed rate until 10/22/29; 1.45% + 1-month Term SOFR) |
|
|
2.88%
10/22/30 (e)(f) |
100,000
|
86,124
|
Bank
of America Corp. (3.19% fixed rate until 07/23/29; 1.44% + 1 month Term SOFR) |
|
|
3.19%
07/23/30 (e)(f) |
50,000
|
44,131
|
Bank
of America Corp. (3.42% fixed rate until 12/20/27; 1.30% + 3 month Term SOFR) |
|
|
3.42%
12/20/28 (e)(f) |
107,000
|
98,372
|
Bank
of America Corp. (4.24% fixed rate until 04/24/37; 2.08% + 3 month Term SOFR) |
|
|
4.24%
04/24/38 (e)(f) |
50,000
|
43,923
|
|
Principal
Amount |
Fair
Value |
Bank
of America Corp. (4.38% fixed rate until 04/27/27; 1.58% + SOFR thereafter) |
|
|
4.38%
04/27/28 (e)(f) |
$
50,000 |
$
48,073 |
Bank
of America Corp. (4.83% fixed rate until 07/22/25; 1.75% + SOFR thereafter) |
|
|
4.83%
07/22/26 (e)(f) |
250,000
|
245,607
|
Bank
of Montreal |
|
|
4.70%
09/14/27 (e) |
25,000
|
24,426
|
Bank
of New York Mellon Corp. |
|
|
2.50%
01/26/32 (e) |
25,000
|
20,540
|
3.85%
04/26/29 (e) |
25,000
|
23,763
|
Bank
of New York Mellon Corp. (4.41% fixed rate until 07/24/25; 1.35% + SOFR thereafter) |
|
|
4.41%
07/24/26 (e)(f) |
25,000
|
24,468
|
Bank
of Nova Scotia |
|
|
1.95%
02/02/27 (e) |
25,000
|
22,300
|
2.95%
03/11/27 (e) |
50,000
|
46,366
|
4.50%
12/16/25 (e) |
75,000
|
72,349
|
Banner
Health |
|
|
2.34%
01/01/30 (e) |
75,000
|
64,127
|
Barclays
PLC (3.56% fixed rate until 09/23/30; 2.90% + 5 year CMT Rate thereafter) |
|
|
3.56%
09/23/35 (e)(f) |
100,000
|
79,028
|
Barclays
PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) |
|
|
4.97%
05/16/29 (e)(f) |
100,000
|
94,615
|
Barclays
PLC (5.09% fixed rate until 06/20/29; 3.05% + 3 month USD LIBOR thereafter) |
|
|
5.09%
06/20/30 (e)(f) |
100,000
|
90,918
|
BAT
Capital Corp. |
|
|
3.98%
09/25/50 |
25,000
|
16,854
|
4.39%
08/15/37 |
50,000
|
39,955
|
Baxalta,
Inc. |
|
|
5.25%
06/23/45 |
75,000
|
73,681
|
Becton
Dickinson & Co. |
|
|
3.70%
06/06/27 |
66,000
|
62,736
|
4.30%
08/22/32 |
10,000
|
9,493
|
Bell
Telephone Co. of Canada or Bell Canada |
|
|
4.30%
07/29/49 |
30,000
|
25,269
|
Berkshire
Hathaway Finance Corp. |
|
|
2.88%
03/15/32 |
25,000
|
22,020
|
BHP
Billiton Finance USA Ltd. |
|
|
6.42%
03/01/26 |
150,000
|
154,000
|
Biogen,
Inc. |
|
|
4.05%
09/15/25 |
100,000
|
96,826
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
75
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Black
Hills Corp. |
|
|
4.35%
05/01/33 |
$
30,000 |
$
26,753 |
BlackRock,
Inc. |
|
|
2.40%
04/30/30 |
20,000
|
17,330
|
3.25%
04/30/29 |
60,000
|
55,768
|
Boardwalk
Pipelines LP |
|
|
3.60%
09/01/32 |
25,000
|
21,268
|
Boeing
Co. |
|
|
3.20%
03/01/29 |
50,000
|
44,851
|
3.75%
02/01/50 |
25,000
|
18,773
|
5.71%
05/01/40 |
50,000
|
49,856
|
Booking
Holdings, Inc. |
|
|
3.60%
06/01/26 |
75,000
|
72,335
|
Boston
Properties LP |
|
|
2.55%
04/01/32 |
75,000
|
56,528
|
3.40%
06/21/29 |
50,000
|
42,105
|
Boston
Scientific Corp. |
|
|
4.55%
03/01/39 |
50,000
|
46,382
|
BP
Capital Markets America, Inc. |
|
|
2.72%
01/12/32 |
35,000
|
29,750
|
2.77%
11/10/50 |
25,000
|
16,598
|
3.94%
09/21/28 |
25,000
|
23,956
|
4.23%
11/06/28 |
50,000
|
48,616
|
Brandywine
Operating Partnership LP |
|
|
4.55%
10/01/29 |
25,000
|
18,333
|
Brighthouse
Financial, Inc. |
|
|
3.85%
12/22/51 |
50,000
|
31,881
|
Bristol-Myers
Squibb Co. |
|
|
3.40%
07/26/29 |
17,000
|
15,774
|
3.55%
03/15/42 |
15,000
|
12,423
|
4.13%
06/15/39 |
15,000
|
13,683
|
British
Telecommunications PLC |
|
|
9.63%
12/15/30 |
50,000
|
61,354
|
Brixmor
Operating Partnership LP |
|
|
3.90%
03/15/27 |
150,000
|
137,982
|
Broadcom,
Inc. |
|
|
3.50%
02/15/41 (d) |
50,000
|
37,429
|
4.30%
11/15/32 |
25,000
|
22,907
|
Brookfield
Corp. |
|
|
4.00%
01/15/25 |
75,000
|
72,805
|
Brookfield
Finance, Inc. |
|
|
3.90%
01/25/28 |
50,000
|
46,345
|
Brown
& Brown, Inc. |
|
|
4.20%
03/17/32 |
15,000
|
13,476
|
Burlington
Northern Santa Fe LLC |
|
|
5.40%
06/01/41 |
50,000
|
51,130
|
5.75%
05/01/40 |
75,000
|
79,362
|
California
Institute of Technology |
|
|
3.65%
09/01/19 |
20,000
|
13,631
|
|
Principal
Amount |
Fair
Value |
Camden
Property Trust |
|
|
3.35%
11/01/49 |
$
10,000 |
$
7,278 |
4.10%
10/15/28 |
10,000
|
9,497
|
Campbell
Soup Co. |
|
|
2.38%
04/24/30 |
15,000
|
12,629
|
Canadian
Imperial Bank of Commerce |
|
|
3.60%
04/07/32 |
10,000
|
8,972
|
3.95%
08/04/25 |
25,000
|
24,181
|
Canadian
National Railway Co. |
|
|
2.95%
11/21/24 |
55,000
|
53,103
|
3.85%
08/05/32 |
25,000
|
23,278
|
Canadian
Pacific Railway Co. |
|
|
2.05%
03/05/30 |
20,000
|
16,786
|
2.90%
02/01/25 |
50,000
|
47,995
|
4.70%
05/01/48 |
50,000
|
45,402
|
Capital
One Financial Corp. |
|
|
4.20%
10/29/25 |
75,000
|
71,875
|
Capital
One Financial Corp. (2.62% fixed rate until 11/02/31; 1.27% + SOFR thereafter) |
|
|
2.62%
11/02/32 (f) |
25,000
|
19,234
|
Capital
One Financial Corp. (5.25% fixed rate until 07/26/29; 2.60% + SOFR thereafter) |
|
|
5.25%
07/26/30 (f) |
50,000
|
47,277
|
Cardinal
Health, Inc. |
|
|
3.50%
11/15/24 |
75,000
|
72,566
|
Carlisle
Cos., Inc. |
|
|
2.20%
03/01/32 |
50,000
|
39,470
|
Carrier
Global Corp. |
|
|
2.24%
02/15/25 |
65,000
|
61,526
|
2.49%
02/15/27 |
15,000
|
13,682
|
3.58%
04/05/50 |
25,000
|
18,470
|
Caterpillar
Financial Services Corp. |
|
|
3.60%
08/12/27 |
50,000
|
48,093
|
Caterpillar,
Inc. |
|
|
3.25%
04/09/50 |
25,000
|
19,688
|
4.30%
05/15/44 |
75,000
|
70,251
|
CDW
LLC/CDW Finance Corp. |
|
|
2.67%
12/01/26 |
70,000
|
62,978
|
Celanese
U.S. Holdings LLC |
|
|
6.17%
07/15/27 |
25,000
|
24,948
|
Celulosa
Arauco y Constitucion SA |
|
|
3.88%
11/02/27 |
100,000
|
91,899
|
Cenovus
Energy, Inc. |
|
|
6.80%
09/15/37 |
50,000
|
52,005
|
CenterPoint
Energy Houston Electric LLC |
|
|
4.45%
10/01/32 |
50,000
|
48,201
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
76
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
4.50%
04/01/44 |
$
75,000 |
$
67,110 |
Charles
Schwab Corp. |
|
|
3.85%
05/21/25 |
50,000
|
48,182
|
4.63%
03/22/30 |
50,000
|
49,016
|
Charter
Communications Operating LLC/Charter Communications Operating Capital |
|
|
2.80%
04/01/31 |
65,000
|
52,389
|
3.70%
04/01/51 |
25,000
|
15,865
|
4.91%
07/23/25 |
50,000
|
49,033
|
5.25%
04/01/53 |
25,000
|
20,178
|
6.38%
10/23/35 |
100,000
|
97,605
|
Cheniere
Corpus Christi Holdings LLC |
|
|
2.74%
12/31/39 |
55,000
|
43,341
|
Chubb
INA Holdings, Inc. |
|
|
3.15%
03/15/25 (e) |
50,000
|
48,366
|
4.35%
11/03/45 (e) |
50,000
|
45,271
|
Church
& Dwight Co., Inc. |
|
|
5.00%
06/15/52 |
25,000
|
24,734
|
CI
Financial Corp. |
|
|
4.10%
06/15/51 |
50,000
|
30,368
|
Cigna
Group |
|
|
2.40%
03/15/30 |
15,000
|
12,744
|
4.13%
11/15/25 |
75,000
|
73,036
|
4.38%
10/15/28 |
40,000
|
38,696
|
4.50%
02/25/26 |
50,000
|
48,980
|
4.80%
08/15/38 |
30,000
|
28,317
|
Cintas
Corp. No. 2 |
|
|
3.45%
05/01/25 |
5,000
|
4,843
|
Cisco
Systems, Inc. |
|
|
2.50%
09/20/26 |
25,000
|
23,424
|
5.90%
02/15/39 |
50,000
|
55,332
|
Citigroup,
Inc. |
|
|
3.70%
01/12/26 |
150,000
|
143,857
|
3.88%
03/26/25 |
50,000
|
48,310
|
4.30%
11/20/26 |
100,000
|
95,792
|
4.75%
05/18/46 |
50,000
|
42,840
|
Citigroup,
Inc. (2.52% fixed rate until 11/03/31; 1.18% + SOFR thereafter) |
|
|
2.52%
11/03/32 (f) |
35,000
|
28,209
|
Citigroup,
Inc. (3.06% fixed rate until 01/25/32; 1.35% + SOFR thereafter) |
|
|
3.06%
01/25/33 (f) |
50,000
|
41,706
|
Citigroup,
Inc. (3.79% fixed rate until 03/17/32; 1.94% + SOFR thereafter) |
|
|
3.79%
03/17/33 (f) |
50,000
|
44,158
|
Citigroup,
Inc. (4.08% fixed rate until 04/23/28; 1.45% + 1-month Term SOFR) |
|
|
4.08%
04/23/29 (f) |
75,000
|
70,647
|
|
Principal
Amount |
Fair
Value |
Citigroup,
Inc. (4.91% fixed rate until 05/24/32; 2.09% + SOFR thereafter) |
|
|
4.91%
05/24/33 (f) |
$
50,000 |
$
48,351 |
Citizens
Financial Group, Inc. (5.64% fixed rate until 05/21/32; 2.75% + 5 year CMT Rate thereafter) |
|
|
5.64%
05/21/37 (f) |
50,000
|
43,111
|
Clorox
Co. |
|
|
1.80%
05/15/30 |
50,000
|
40,950
|
CME
Group, Inc. |
|
|
2.65%
03/15/32 |
20,000
|
17,002
|
CNH
Industrial Capital LLC |
|
|
3.95%
05/23/25 |
10,000
|
9,679
|
CNOOC
Petroleum North America ULC |
|
|
6.40%
05/15/37 (e) |
25,000
|
27,722
|
Coca-Cola
Co. |
|
|
2.50%
06/01/40 |
45,000
|
33,867
|
Colgate-Palmolive
Co. |
|
|
3.25%
08/15/32 |
15,000
|
13,761
|
Comcast
Corp. |
|
|
2.94%
11/01/56 |
25,000
|
16,285
|
3.38%
08/15/25 |
50,000
|
48,273
|
3.55%
05/01/28 |
50,000
|
47,375
|
4.25%
10/15/30 |
100,000
|
96,308
|
4.60%
10/15/38 |
30,000
|
27,972
|
6.50%
11/15/35 |
50,000
|
56,132
|
Comerica,
Inc. |
|
|
4.00%
02/01/29 |
50,000
|
41,940
|
Commonwealth
Edison Co. |
|
|
4.60%
08/15/43 |
100,000
|
91,115
|
Conagra
Brands, Inc. |
|
|
5.40%
11/01/48 |
75,000
|
71,483
|
ConocoPhillips
|
|
|
6.50%
02/01/39 |
50,000
|
57,641
|
Constellation
Brands, Inc. |
|
|
3.50%
05/09/27 |
25,000
|
23,702
|
3.75%
05/01/50 |
5,000
|
3,934
|
4.35%
05/09/27 |
50,000
|
48,846
|
5.25%
11/15/48 |
15,000
|
14,403
|
Consumers
Energy Co. |
|
|
4.05%
05/15/48 |
50,000
|
42,158
|
Cooperatieve
Rabobank UA |
|
|
5.75%
12/01/43 |
100,000
|
100,367
|
Corning,
Inc. |
|
|
3.90%
11/15/49 |
25,000
|
18,843
|
Corp.
Andina de Fomento |
|
|
2.25%
02/08/27 (e) |
50,000
|
44,927
|
Credit
Suisse AG |
|
|
3.63%
09/09/24 |
50,000
|
48,242
|
3.70%
02/21/25 |
75,000
|
71,770
|
Crown
Castle, Inc. |
|
|
1.35%
07/15/25 |
50,000
|
45,779
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
77
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
2.90%
03/15/27 |
$
25,000 |
$
22,886 |
3.80%
02/15/28 |
25,000
|
23,345
|
5.20%
02/15/49 |
50,000
|
46,229
|
CSX
Corp. |
|
|
4.25%
03/15/29 |
50,000
|
48,449
|
6.22%
04/30/40 |
75,000
|
81,181
|
CubeSmart
LP |
|
|
4.38%
02/15/29 |
15,000
|
14,087
|
CVS
Health Corp. |
|
|
3.88%
07/20/25 |
50,000
|
48,618
|
Darden
Restaurants, Inc. |
|
|
4.55%
02/15/48 |
15,000
|
12,597
|
Dayton
Power & Light Co. |
|
|
3.95%
06/15/49 |
15,000
|
11,685
|
Deere
& Co. |
|
|
2.75%
04/15/25 |
25,000
|
24,020
|
7.13%
03/03/31 |
75,000
|
86,730
|
Dell
International LLC/EMC Corp. |
|
|
8.35%
07/15/46 |
75,000
|
91,829
|
Deutsche
Bank AG (3.55% fixed rate until 09/18/30; 3.04% + SOFR thereafter) |
|
|
3.55%
09/18/31 (f) |
100,000
|
83,081
|
Deutsche
Telekom International Finance BV |
|
|
8.75%
06/15/30 |
50,000
|
59,894
|
Devon
Energy Corp. |
|
|
5.00%
06/15/45 |
25,000
|
21,690
|
DH
Europe Finance II Sarl |
|
|
2.60%
11/15/29 |
75,000
|
66,023
|
3.40%
11/15/49 |
25,000
|
19,580
|
Diamondback
Energy, Inc. |
|
|
4.40%
03/24/51 |
25,000
|
19,825
|
Discover
Financial Services |
|
|
3.75%
03/04/25 |
100,000
|
95,554
|
Dollar
General Corp. |
|
|
4.13%
05/01/28 |
25,000
|
23,792
|
Dollar
Tree, Inc. |
|
|
4.00%
05/15/25 |
50,000
|
48,443
|
Dominion
Energy, Inc. |
|
|
3.30%
03/15/25 |
50,000
|
47,957
|
4.25%
06/01/28 |
50,000
|
47,821
|
4.70%
12/01/44 |
50,000
|
43,441
|
Duke
Energy Corp. (3.25% fixed rate until 01/15/27; 2.32% + 5 year CMT Rate thereafter) |
|
|
3.25%
01/15/82 (f) |
25,000
|
18,611
|
Duke
Energy Florida LLC |
|
|
6.35%
09/15/37 |
250,000
|
270,455
|
DuPont
de Nemours, Inc. |
|
|
5.32%
11/15/38 |
15,000
|
14,849
|
5.42%
11/15/48 |
40,000
|
39,524
|
|
Principal
Amount |
Fair
Value |
Eagle
Materials, Inc. |
|
|
2.50%
07/01/31 |
$
25,000 |
$
20,418 |
eBay,
Inc. |
|
|
1.40%
05/10/26 |
50,000
|
45,162
|
Ecolab,
Inc. |
|
|
2.13%
02/01/32 |
25,000
|
20,551
|
Edison
International |
|
|
5.75%
06/15/27 |
100,000
|
100,208
|
Elevance
Health, Inc. |
|
|
2.38%
01/15/25 (e) |
125,000
|
118,862
|
4.10%
05/15/32 |
25,000
|
23,314
|
4.38%
12/01/47 (e) |
65,000
|
56,687
|
4.65%
01/15/43 |
50,000
|
45,651
|
Eli
Lilly & Co. |
|
|
2.25%
05/15/50 |
50,000
|
32,647
|
2.75%
06/01/25 |
22,000
|
21,135
|
3.38%
03/15/29 |
13,000
|
12,233
|
Emera
U.S. Finance LP |
|
|
3.55%
06/15/26 |
60,000
|
56,812
|
Emory
University |
|
|
2.14%
09/01/30 |
40,000
|
33,565
|
Enbridge
Energy Partners LP |
|
|
5.88%
10/15/25 |
75,000
|
75,280
|
Enbridge,
Inc. |
|
|
4.00%
11/15/49 |
75,000
|
58,069
|
Enel
Chile SA |
|
|
4.88%
06/12/28 |
25,000
|
24,041
|
Energy
Transfer LP |
|
|
4.95%
05/15/28 |
60,000
|
58,146
|
6.00%
06/15/48 |
50,000
|
47,473
|
6.50%
02/01/42 |
50,000
|
50,552
|
Enstar
Group Ltd. |
|
|
3.10%
09/01/31 |
10,000
|
7,847
|
Enterprise
Products Operating LLC |
|
|
4.45%
02/15/43 |
42,000
|
37,021
|
Enterprise
Products Operating LLC (5.38% fixed rate until 02/15/28; 2.83% + 1-month Term SOFR) |
|
|
5.38%
02/15/78 (f) |
50,000
|
41,380
|
Equifax,
Inc. |
|
|
5.10%
12/15/27 |
25,000
|
24,743
|
Equinix,
Inc. |
|
|
2.15%
07/15/30 |
65,000
|
52,597
|
2.63%
11/18/24 |
65,000
|
62,158
|
Equinor
ASA |
|
|
2.88%
04/06/25 (e) |
75,000
|
71,915
|
ERP
Operating LP |
|
|
4.50%
07/01/44 |
75,000
|
65,645
|
Essential
Utilities, Inc. |
|
|
2.70%
04/15/30 |
25,000
|
21,181
|
Estee
Lauder Cos., Inc. |
|
|
2.38%
12/01/29 |
20,000
|
17,287
|
3.13%
12/01/49 |
30,000
|
21,923
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
78
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
European
Bank for Reconstruction & Development |
|
|
1.63%
09/27/24 (e) |
$
25,000 |
$
23,893 |
European
Investment Bank |
|
|
0.38%
12/15/25 - 03/26/26 (e) |
150,000
|
134,300
|
1.88%
02/10/25 (e) |
100,000
|
95,026
|
2.75%
08/15/25 (e) |
20,000
|
19,159
|
Expedia
Group, Inc. |
|
|
3.80%
02/15/28 |
75,000
|
70,216
|
Extra
Space Storage LP |
|
|
3.90%
04/01/29 |
5,000
|
4,555
|
Exxon
Mobil Corp. |
|
|
2.28%
08/16/26 |
50,000
|
46,397
|
2.99%
03/19/25 |
50,000
|
48,189
|
3.04%
03/01/26 |
50,000
|
47,820
|
Fairfax
Financial Holdings Ltd. |
|
|
4.63%
04/29/30 |
25,000
|
23,394
|
Federal
Realty OP LP |
|
|
3.20%
06/15/29 |
50,000
|
43,297
|
Fidelity
National Financial, Inc. |
|
|
4.50%
08/15/28 |
25,000
|
23,789
|
Fidelity
National Information Services, Inc. |
|
|
4.70%
07/15/27 |
75,000
|
73,123
|
5.10%
07/15/32 |
50,000
|
48,446
|
Fifth
Third Bancorp (1.71% fixed rate until 11/01/26; 0.69% + SOFR thereafter) |
|
|
1.71%
11/01/27 (f) |
25,000
|
21,341
|
Fifth
Third Bancorp (4.77% fixed rate until 07/28/29; 2.13% + SOFR thereafter) |
|
|
4.77%
07/28/30 (f) |
25,000
|
23,392
|
Fifth
Third Bank NA |
|
|
3.85%
03/15/26 |
75,000
|
69,181
|
Flex
Ltd. |
|
|
4.88%
06/15/29 |
25,000
|
23,940
|
Florida
Power & Light Co. |
|
|
4.13%
02/01/42 |
50,000
|
43,877
|
5.95%
02/01/38 |
25,000
|
26,862
|
Fortune
Brands Innovations, Inc. |
|
|
4.00%
03/25/32 |
25,000
|
22,256
|
Freeport-McMoRan,
Inc. |
|
|
4.63%
08/01/30 |
25,000
|
23,612
|
5.40%
11/14/34 |
50,000
|
48,272
|
FS
KKR Capital Corp. |
|
|
4.13%
02/01/25 |
25,000
|
23,748
|
GATX
Corp. |
|
|
3.50%
03/15/28 |
25,000
|
22,803
|
4.90%
03/15/33 |
25,000
|
23,725
|
General
Dynamics Corp. |
|
|
4.25%
04/01/40 |
25,000
|
23,008
|
|
Principal
Amount |
Fair
Value |
General
Mills, Inc. |
|
|
2.88%
04/15/30 |
$
75,000 |
$
66,634 |
General
Motors Co. |
|
|
5.60%
10/15/32 |
25,000
|
24,237
|
General
Motors Financial Co., Inc. |
|
|
5.00%
04/09/27 |
15,000
|
14,606
|
Georgetown
University |
|
|
2.94%
04/01/50 |
10,000
|
6,851
|
Georgia
Power Co. |
|
|
4.70%
05/15/32 |
25,000
|
24,183
|
Gilead
Sciences, Inc. |
|
|
3.65%
03/01/26 |
75,000
|
72,196
|
4.80%
04/01/44 |
50,000
|
47,765
|
5.65%
12/01/41 |
50,000
|
52,555
|
GlaxoSmithKline
Capital PLC |
|
|
3.38%
06/01/29 |
75,000
|
69,640
|
GlaxoSmithKline
Capital, Inc. |
|
|
3.63%
05/15/25 |
55,000
|
53,487
|
Global
Payments, Inc. |
|
|
5.40%
08/15/32 |
25,000
|
24,362
|
Globe
Life, Inc. |
|
|
4.80%
06/15/32 |
15,000
|
14,397
|
GLP
Capital LP/GLP Financing II, Inc. |
|
|
4.00%
01/15/31 |
50,000
|
43,232
|
5.25%
06/01/25 |
10,000
|
9,796
|
5.38%
04/15/26 |
20,000
|
19,589
|
5.75%
06/01/28 |
10,000
|
9,769
|
Goldman
Sachs Group, Inc. |
|
|
3.75%
02/25/26 |
100,000
|
95,991
|
4.80%
07/08/44 |
75,000
|
68,851
|
6.25%
02/01/41 |
50,000
|
53,705
|
6.75%
10/01/37 |
100,000
|
107,521
|
Goldman
Sachs Group, Inc. (2.65% fixed rate until 10/21/31; 1.26% + SOFR thereafter) |
|
|
2.65%
10/21/32 (f) |
30,000
|
24,437
|
Goldman
Sachs Group, Inc. (4.39% fixed rate until 06/15/26; 1.51% + SOFR thereafter) |
|
|
4.39%
06/15/27 (f) |
15,000
|
14,576
|
Hartford
Financial Services Group, Inc. |
|
|
4.30%
04/15/43 |
100,000
|
81,505
|
Hasbro,
Inc. |
|
|
3.90%
11/19/29 |
50,000
|
45,284
|
HCA,
Inc. |
|
|
5.38%
09/01/26 |
100,000
|
99,182
|
5.50%
06/15/47 |
85,000
|
79,818
|
Hershey
Co. |
|
|
2.45%
11/15/29 |
75,000
|
65,818
|
Hess
Corp. |
|
|
5.80%
04/01/47 |
75,000
|
72,927
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
79
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Highwoods
Realty LP |
|
|
4.20%
04/15/29 |
$
25,000 |
$
21,222 |
Home
Depot, Inc. |
|
|
1.88%
09/15/31 |
20,000
|
16,269
|
2.75%
09/15/51 |
50,000
|
33,724
|
3.00%
04/01/26 |
50,000
|
47,842
|
3.25%
04/15/32 |
20,000
|
17,972
|
3.63%
04/15/52 |
75,000
|
59,733
|
4.20%
04/01/43 |
50,000
|
44,691
|
4.50%
09/15/32 |
15,000
|
14,814
|
Honeywell
International, Inc. |
|
|
5.38%
03/01/41 |
50,000
|
51,735
|
Host
Hotels & Resorts LP |
|
|
3.38%
12/15/29 |
50,000
|
42,801
|
HP,
Inc. |
|
|
4.20%
04/15/32 |
25,000
|
22,420
|
5.50%
01/15/33 |
15,000
|
14,733
|
6.00%
09/15/41 |
37,000
|
37,352
|
HSBC
Holdings PLC |
|
|
5.25%
03/14/44 |
75,000
|
67,526
|
HSBC
Holdings PLC (4.29% fixed rate until 09/12/25; 1.61% + 3 month Term SOFR) |
|
|
4.29%
09/12/26 (f) |
50,000
|
48,080
|
HSBC
Holdings PLC (7.39% fixed rate until 11/03/27; 3.35% + SOFR thereafter) |
|
|
7.39%
11/03/28 (f) |
250,000
|
263,952
|
Hubbell,
Inc. |
|
|
3.50%
02/15/28 |
50,000
|
46,840
|
Huntington
Bancshares, Inc. (5.02% fixed rate until 05/17/32; 2.05% + SOFR thereafter) |
|
|
5.02%
05/17/33 (f) |
35,000
|
32,017
|
Huntsman
International LLC |
|
|
4.50%
05/01/29 |
20,000
|
18,312
|
Hyatt
Hotels Corp. |
|
|
5.75%
04/23/30 |
25,000
|
25,083
|
IDEX
Corp. |
|
|
3.00%
05/01/30 |
10,000
|
8,788
|
Illinois
Tool Works, Inc. |
|
|
2.65%
11/15/26 |
50,000
|
46,836
|
Indiana
University Health, Inc. Obligated Group |
|
|
2.85%
11/01/51 |
15,000
|
10,048
|
ING
Groep NV |
|
|
4.05%
04/09/29 |
50,000
|
46,670
|
Intel
Corp. |
|
|
2.45%
11/15/29 |
25,000
|
21,670
|
3.75%
03/25/27 |
50,000
|
48,097
|
4.15%
08/05/32 |
25,000
|
23,831
|
4.60%
03/25/40 |
50,000
|
46,716
|
4.90%
08/05/52 |
25,000
|
23,052
|
|
Principal
Amount |
Fair
Value |
Inter-American
Development Bank |
|
|
1.13%
01/13/31 (e) |
$
75,000 |
$
60,667 |
7.00%
06/15/25 (e) |
200,000
|
206,642
|
Intercontinental
Exchange, Inc. |
|
|
3.00%
06/15/50 |
15,000
|
10,406
|
3.65%
05/23/25 |
75,000
|
73,493
|
4.60%
03/15/33 |
15,000
|
14,537
|
International
Bank for Reconstruction & Development |
|
|
1.25%
02/10/31 (e) |
150,000
|
122,494
|
2.50%
07/29/25 (e) |
100,000
|
95,396
|
3.13%
06/15/27 (e) |
50,000
|
47,648
|
3.63%
09/21/29 (e) |
250,000
|
242,815
|
International
Business Machines Corp. |
|
|
4.00%
06/20/42 |
50,000
|
42,226
|
6.22%
08/01/27 |
100,000
|
104,699
|
International
Finance Corp. |
|
|
0.38%
07/16/25 (e) |
100,000
|
91,493
|
International
Flavors & Fragrances, Inc. |
|
|
5.00%
09/26/48 |
15,000
|
12,721
|
Interpublic
Group of Cos., Inc. |
|
|
4.65%
10/01/28 |
10,000
|
9,639
|
Interstate
Power & Light Co. |
|
|
6.25%
07/15/39 |
75,000
|
79,199
|
Invitation
Homes Operating Partnership LP |
|
|
2.70%
01/15/34 |
15,000
|
11,389
|
Jabil,
Inc. |
|
|
4.25%
05/15/27 |
15,000
|
14,301
|
JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
|
|
5.13%
02/01/28 (d) |
50,000
|
47,972
|
5.75%
04/01/33 (d) |
35,000
|
32,962
|
6.50%
12/01/52 (d) |
15,000
|
14,188
|
Jefferies
Financial Group, Inc. |
|
|
2.75%
10/15/32 |
35,000
|
26,926
|
4.85%
01/15/27 |
75,000
|
73,482
|
John
Deere Capital Corp. |
|
|
1.45%
01/15/31 |
70,000
|
55,884
|
2.35%
03/08/27 |
25,000
|
22,891
|
3.35%
04/18/29 |
50,000
|
46,507
|
3.45%
03/13/25 |
50,000
|
48,570
|
Johnson
& Johnson |
|
|
3.40%
01/15/38 |
25,000
|
21,791
|
Johnson
Controls International PLC |
|
|
6.00%
01/15/36 |
75,000
|
77,784
|
JPMorgan
Chase & Co. |
|
|
3.63%
12/01/27 |
100,000
|
93,852
|
6.40%
05/15/38 |
100,000
|
111,599
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
80
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
JPMorgan
Chase & Co. (2.01% fixed rate until 03/13/25; 1.59% + 3-month Term SOFR) |
|
|
2.01%
03/13/26 (f) |
$
100,000 |
$
93,932 |
JPMorgan
Chase & Co. (2.95% fixed rate until 02/24/27; 1.17% + SOFR thereafter) |
|
|
2.95%
02/24/28 (f) |
30,000
|
27,543
|
JPMorgan
Chase & Co. (3.70% fixed rate until 05/06/29; 1.42% + 3-month Term SOFR) |
|
|
3.70%
05/06/30 (f) |
75,000
|
68,854
|
JPMorgan
Chase & Co. (3.90% fixed rate until 01/23/48; 1.48% + 3 month Term SOFR) |
|
|
3.90%
01/23/49 (f) |
25,000
|
20,203
|
JPMorgan
Chase & Co. (4.08% fixed rate until 04/26/25; 1.32% + SOFR thereafter) |
|
|
4.08%
04/26/26 (f) |
250,000
|
243,027
|
JPMorgan
Chase & Co. (4.26% fixed rate until 02/22/47; 1.84% + 3-month Term SOFR) |
|
|
4.26%
02/22/48 (f) |
50,000
|
43,318
|
JPMorgan
Chase & Co. (4.45% fixed rate until 12/05/28; 1.59% + 3-month Term SOFR) |
|
|
4.45%
12/05/29 (f) |
50,000
|
47,970
|
JPMorgan
Chase & Co. (4.59% fixed rate until 04/26/32; 1.80% + SOFR thereafter) |
|
|
4.59%
04/26/33 (f) |
40,000
|
38,135
|
JPMorgan
Chase & Co. (5.72% fixed rate until 09/14/32; 2.58% + SOFR thereafter) |
|
|
5.72%
09/14/33 (f) |
75,000
|
76,099
|
Kaiser
Foundation Hospitals |
|
|
3.00%
06/01/51 |
70,000
|
49,083
|
Kellogg
Co. |
|
|
4.50%
04/01/46 |
50,000
|
44,323
|
Kemper
Corp. |
|
|
3.80%
02/23/32 |
25,000
|
20,723
|
Kennametal,
Inc. |
|
|
4.63%
06/15/28 |
25,000
|
23,797
|
Kentucky
Utilities Co. |
|
|
4.38%
10/01/45 |
40,000
|
33,584
|
Keurig
Dr Pepper, Inc. |
|
|
4.05%
04/15/32 |
35,000
|
32,527
|
4.42%
05/25/25 |
75,000
|
73,614
|
|
Principal
Amount |
Fair
Value |
KeyBank
NA |
|
|
3.90%
04/13/29 |
$
100,000 |
$
78,917 |
Keysight
Technologies, Inc. |
|
|
3.00%
10/30/29 |
25,000
|
21,914
|
Kilroy
Realty LP |
|
|
3.45%
12/15/24 |
50,000
|
47,452
|
Kimberly-Clark
Corp. |
|
|
2.00%
11/02/31 |
50,000
|
41,288
|
Kimco
Realty OP LLC |
|
|
4.60%
02/01/33 |
25,000
|
23,144
|
Kinder
Morgan Energy Partners LP |
|
|
5.00%
08/15/42 |
50,000
|
42,383
|
KLA
Corp. |
|
|
4.65%
11/01/24 |
25,000
|
24,649
|
4.95%
07/15/52 |
25,000
|
24,609
|
Kraft
Heinz Foods Co. |
|
|
6.88%
01/26/39 |
150,000
|
168,715
|
Kreditanstalt
fuer Wiederaufbau |
|
|
0.38%
07/18/25 (e) |
50,000
|
45,652
|
0.75%
09/30/30 (e) |
75,000
|
59,617
|
2.00%
05/02/25 (e) |
75,000
|
71,038
|
3.88%
06/15/28 |
150,000
|
147,441
|
Kroger
Co. |
|
|
3.95%
01/15/50 |
50,000
|
40,027
|
4.50%
01/15/29 |
25,000
|
24,431
|
Kyndryl
Holdings, Inc. |
|
|
2.70%
10/15/28 |
75,000
|
61,037
|
L3Harris
Technologies, Inc. |
|
|
3.83%
04/27/25 |
50,000
|
48,461
|
4.85%
04/27/35 |
40,000
|
38,402
|
Lam
Research Corp. |
|
|
3.80%
03/15/25 |
65,000
|
63,517
|
Lear
Corp. |
|
|
4.25%
05/15/29 |
25,000
|
23,464
|
Lennar
Corp. |
|
|
5.25%
06/01/26 |
100,000
|
99,092
|
Lloyds
Banking Group PLC |
|
|
4.65%
03/24/26 |
50,000
|
47,736
|
Lockheed
Martin Corp. |
|
|
3.80%
03/01/45 |
25,000
|
21,066
|
4.15%
06/15/53 |
45,000
|
39,595
|
4.70%
05/15/46 |
50,000
|
48,235
|
Lowe's
Cos., Inc. |
|
|
1.70%
10/15/30 |
45,000
|
36,072
|
2.50%
04/15/26 |
80,000
|
74,875
|
2.63%
04/01/31 |
25,000
|
21,090
|
3.00%
10/15/50 |
30,000
|
19,654
|
3.38%
09/15/25 |
30,000
|
28,762
|
4.25%
04/01/52 |
50,000
|
40,798
|
4.65%
04/15/42 |
25,000
|
22,275
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
81
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
LYB
International Finance III LLC |
|
|
3.80%
10/01/60 |
$
75,000 |
$
50,631 |
M&T
Bank Corp. (4.55% fixed rate until 08/16/27; 1.78% + SOFR thereafter) |
|
|
4.55%
08/16/28 (f) |
15,000
|
14,006
|
Manulife
Financial Corp. |
|
|
3.70%
03/16/32 |
50,000
|
45,488
|
Marathon
Petroleum Corp. |
|
|
3.63%
09/15/24 |
50,000
|
48,698
|
4.50%
04/01/48 |
25,000
|
19,778
|
Markel
Group, Inc. |
|
|
3.50%
11/01/27 |
50,000
|
46,494
|
Marriott
International, Inc. |
|
|
3.75%
10/01/25 |
50,000
|
48,046
|
5.00%
10/15/27 |
55,000
|
54,598
|
5.75%
05/01/25 |
40,000
|
40,106
|
Martin
Marietta Materials, Inc. |
|
|
3.50%
12/15/27 |
50,000
|
46,680
|
Marvell
Technology, Inc. |
|
|
1.65%
04/15/26 |
25,000
|
22,525
|
Masco
Corp. |
|
|
1.50%
02/15/28 |
75,000
|
63,877
|
Mastercard,
Inc. |
|
|
2.95%
11/21/26 |
50,000
|
47,266
|
McDonald's
Corp. |
|
|
3.50%
07/01/27 |
25,000
|
23,795
|
3.63%
09/01/49 |
55,000
|
43,398
|
3.70%
01/30/26 |
50,000
|
48,352
|
3.80%
04/01/28 |
50,000
|
47,923
|
4.60%
09/09/32 |
35,000
|
34,667
|
Memorial
Sloan-Kettering Cancer Center |
|
|
4.13%
07/01/52 |
95,000
|
80,574
|
Merck
& Co., Inc. |
|
|
2.75%
12/10/51 |
25,000
|
17,253
|
3.70%
02/10/45 |
50,000
|
42,470
|
4.00%
03/07/49 |
40,000
|
35,363
|
6.50%
12/01/33 |
100,000
|
114,941
|
Meta
Platforms, Inc. |
|
|
4.45%
08/15/52 |
75,000
|
65,312
|
MetLife,
Inc. |
|
|
4.13%
08/13/42 |
25,000
|
20,978
|
5.00%
07/15/52 |
30,000
|
28,289
|
6.50%
12/15/32 |
50,000
|
55,160
|
Microchip
Technology, Inc. |
|
|
4.25%
09/01/25 |
75,000
|
72,677
|
Micron
Technology, Inc. |
|
|
4.66%
02/15/30 |
75,000
|
70,736
|
Microsoft
Corp. |
|
|
2.68%
06/01/60 |
50,000
|
33,489
|
3.45%
08/08/36 |
48,000
|
43,763
|
4.25%
02/06/47 |
50,000
|
48,550
|
|
Principal
Amount |
Fair
Value |
Mitsubishi
UFJ Financial Group, Inc. |
|
|
4.05%
09/11/28 |
$
100,000 |
$
94,789 |
4.15%
03/07/39 |
25,000
|
22,312
|
Mizuho
Financial Group, Inc. (2.84% fixed rate until 07/16/24; 1.24% + SOFR thereafter) |
|
|
2.84%
07/16/25 (f) |
100,000
|
96,291
|
Moody's
Corp. |
|
|
3.25%
05/20/50 |
50,000
|
35,442
|
3.75%
03/24/25 |
50,000
|
48,632
|
Morgan
Stanley |
|
|
4.00%
07/23/25 |
95,000
|
92,249
|
4.35%
09/08/26 |
50,000
|
48,292
|
4.38%
01/22/47 |
75,000
|
66,996
|
Morgan
Stanley (2.48% fixed rate until 09/16/31; 1.36% + SOFR thereafter) |
|
|
2.48%
09/16/36 (f) |
50,000
|
37,845
|
Morgan
Stanley (2.51% fixed rate until 10/20/31; 1.00% + SOFR thereafter) |
|
|
2.51%
10/20/32 (f) |
75,000
|
60,513
|
Morgan
Stanley (2.80% fixed rate until 01/25/51; 1.43% + SOFR thereafter) |
|
|
2.80%
01/25/52 (f) |
25,000
|
16,421
|
Morgan
Stanley (4.46% fixed rate until 04/22/38; 1.69% + 3-month Term SOFR) |
|
|
4.46%
04/22/39 (f) |
50,000
|
44,553
|
Morgan
Stanley (4.89% fixed rate until 07/20/32; 2.08% + SOFR thereafter) |
|
|
4.89%
07/20/33 (f) |
60,000
|
57,712
|
Morgan
Stanley (6.14% fixed rate until 10/16/25; 1.77% + SOFR thereafter) |
|
|
6.14%
10/16/26 (f) |
250,000
|
252,735
|
Motorola
Solutions, Inc. |
|
|
5.60%
06/01/32 |
50,000
|
49,664
|
MPLX
LP |
|
|
4.80%
02/15/29 |
70,000
|
67,613
|
4.95%
09/01/32 |
50,000
|
47,755
|
5.50%
02/15/49 |
50,000
|
45,563
|
Nasdaq,
Inc. |
|
|
3.25%
04/28/50 |
20,000
|
13,531
|
National
Australia Bank Ltd. |
|
|
3.50%
06/09/25 |
100,000
|
96,599
|
National
Fuel Gas Co. |
|
|
4.75%
09/01/28 |
50,000
|
47,363
|
National
Rural Utilities Cooperative Finance Corp. |
|
|
1.35%
03/15/31 |
50,000
|
38,102
|
3.45%
06/15/25 |
15,000
|
14,426
|
4.40%
11/01/48 |
10,000
|
8,528
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
82
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
NatWest
Group PLC (3.75% fixed rate until 11/01/24; 2.10% + 5 year CMT Rate thereafter) |
|
|
3.75%
11/01/29 (f) |
$
100,000 |
$
93,822 |
NatWest
Group PLC (4.89% fixed rate until 05/18/28; 1.75% + 3 month USD LIBOR thereafter) |
|
|
4.89%
05/18/29 (f) |
100,000
|
95,108
|
New
York & Presbyterian Hospital |
|
|
2.26%
08/01/40 |
25,000
|
16,919
|
3.95%
08/01/19 |
35,000
|
25,299
|
Newmont
Corp. |
|
|
2.60%
07/15/32 |
50,000
|
40,823
|
NextEra
Energy Capital Holdings, Inc. |
|
|
3.50%
04/01/29 |
50,000
|
45,771
|
4.26%
09/01/24 |
15,000
|
14,750
|
Nomura
Holdings, Inc. |
|
|
5.10%
07/03/25 |
50,000
|
49,082
|
Nordic
Investment Bank |
|
|
0.38%
09/11/25 (e) |
75,000
|
68,182
|
Norfolk
Southern Corp. |
|
|
3.16%
05/15/55 |
50,000
|
34,242
|
3.70%
03/15/53 |
25,000
|
19,357
|
3.80%
08/01/28 |
30,000
|
28,410
|
3.94%
11/01/47 |
35,000
|
28,309
|
Northern
Trust Corp. |
|
|
1.95%
05/01/30 |
40,000
|
32,906
|
Northrop
Grumman Corp. |
|
|
2.93%
01/15/25 |
50,000
|
48,068
|
5.15%
05/01/40 |
75,000
|
73,914
|
Northwell
Healthcare, Inc. |
|
|
3.81%
11/01/49 |
50,000
|
37,601
|
Northwestern
University |
|
|
3.66%
12/01/57 |
10,000
|
8,263
|
Novartis
Capital Corp. |
|
|
4.40%
05/06/44 |
50,000
|
47,973
|
Nucor
Corp. |
|
|
3.13%
04/01/32 |
10,000
|
8,657
|
Nutrien
Ltd. |
|
|
5.88%
12/01/36 |
75,000
|
75,958
|
NVIDIA
Corp. |
|
|
1.55%
06/15/28 |
50,000
|
43,663
|
NXP
BV/NXP Funding LLC |
|
|
5.55%
12/01/28 |
100,000
|
100,781
|
NXP
BV/NXP Funding LLC/NXP USA, Inc. |
|
|
3.13%
02/15/42 |
75,000
|
52,514
|
Oesterreichische
Kontrollbank AG |
|
|
1.50%
02/12/25 (e) |
50,000
|
47,146
|
2.88%
05/23/25 (e) |
25,000
|
23,994
|
|
Principal
Amount |
Fair
Value |
Oglethorpe
Power Corp. |
|
|
4.50%
04/01/47 |
$
15,000 |
$
12,385 |
OhioHealth
Corp. |
|
|
2.83%
11/15/41 |
25,000
|
18,085
|
Oklahoma
Gas & Electric Co. |
|
|
3.30%
03/15/30 |
50,000
|
44,899
|
Omega
Healthcare Investors, Inc. |
|
|
5.25%
01/15/26 |
150,000
|
144,264
|
Omnicom
Group, Inc. |
|
|
4.20%
06/01/30 |
75,000
|
70,253
|
Oncor
Electric Delivery Co. LLC |
|
|
4.15%
06/01/32 |
20,000
|
19,046
|
4.60%
06/01/52 |
50,000
|
45,795
|
ONE
Gas, Inc. |
|
|
4.50%
11/01/48 |
20,000
|
17,214
|
ONEOK
Partners LP |
|
|
6.13%
02/01/41 |
62,000
|
59,943
|
ONEOK,
Inc. |
|
|
4.35%
03/15/29 |
50,000
|
46,525
|
4.50%
03/15/50 |
50,000
|
38,168
|
Oracle
Corp. |
|
|
3.25%
05/15/30 |
50,000
|
44,580
|
3.60%
04/01/40 |
50,000
|
38,690
|
4.30%
07/08/34 |
75,000
|
68,119
|
4.50%
07/08/44 |
75,000
|
62,719
|
Orange
SA |
|
|
9.00%
03/01/31 |
50,000
|
61,432
|
ORIX
Corp. |
|
|
5.20%
09/13/32 |
100,000
|
101,344
|
Otis
Worldwide Corp. |
|
|
2.06%
04/05/25 |
50,000
|
47,143
|
Owens
Corning |
|
|
3.88%
06/01/30 |
25,000
|
22,875
|
Pacific
Gas & Electric Co. |
|
|
3.25%
06/01/31 |
60,000
|
48,831
|
3.50%
08/01/50 |
50,000
|
31,890
|
4.40%
03/01/32 |
25,000
|
21,702
|
6.10%
01/15/29 |
100,000
|
98,442
|
PacifiCorp
|
|
|
6.25%
10/15/37 |
203,000
|
202,945
|
Paramount
Global |
|
|
5.85%
09/01/43 |
25,000
|
21,322
|
Parker-Hannifin
Corp. |
|
|
4.00%
06/14/49 |
20,000
|
16,629
|
PeaceHealth
Obligated Group |
|
|
3.22%
11/15/50 |
25,000
|
16,848
|
PepsiCo,
Inc. |
|
|
2.75%
03/19/30 |
50,000
|
45,004
|
3.45%
10/06/46 |
25,000
|
20,645
|
3.50%
07/17/25 |
150,000
|
145,939
|
Pfizer,
Inc. |
|
|
4.13%
12/15/46 |
50,000
|
44,951
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
83
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
4.30%
06/15/43 |
$
50,000 |
$
46,211 |
Philip
Morris International, Inc. |
|
|
1.75%
11/01/30 |
75,000
|
59,332
|
3.38%
08/15/29 |
50,000
|
45,162
|
3.88%
08/21/42 |
42,000
|
33,293
|
Phillips
66 Co. |
|
|
3.15%
12/15/29 |
50,000
|
43,644
|
Pioneer
Natural Resources Co. |
|
|
1.13%
01/15/26 |
50,000
|
45,077
|
PNC
Bank NA |
|
|
3.10%
10/25/27 |
100,000
|
91,617
|
PNC
Financial Services Group, Inc. |
|
|
2.60%
07/23/26 |
50,000
|
46,176
|
PNC
Financial Services Group, Inc. (4.63% fixed rate until 06/06/32; 1.85% + SOFR thereafter) |
|
|
4.63%
06/06/33 (f) |
25,000
|
22,980
|
President
& Fellows of Harvard College |
|
|
3.15%
07/15/46 |
50,000
|
38,553
|
Principal
Financial Group, Inc. |
|
|
3.40%
05/15/25 |
50,000
|
47,860
|
Procter
& Gamble Co. |
|
|
2.45%
11/03/26 |
75,000
|
70,249
|
5.55%
03/05/37 |
75,000
|
83,661
|
Progressive
Corp. |
|
|
4.20%
03/15/48 |
50,000
|
42,734
|
Prologis
LP |
|
|
2.25%
01/15/32 |
50,000
|
40,410
|
4.38%
02/01/29 |
65,000
|
62,411
|
Providence
St Joseph Health Obligated Group |
|
|
3.93%
10/01/48 |
20,000
|
15,751
|
Public
Service Co. of Colorado |
|
|
3.70%
06/15/28 |
50,000
|
47,426
|
4.10%
06/15/48 |
30,000
|
24,498
|
Public
Service Electric & Gas Co. |
|
|
3.20%
08/01/49 |
40,000
|
29,596
|
3.80%
03/01/46 |
75,000
|
60,693
|
Puget
Energy, Inc. |
|
|
3.65%
05/15/25 |
50,000
|
47,839
|
QUALCOMM,
Inc. |
|
|
3.25%
05/20/50 |
65,000
|
48,855
|
4.25%
05/20/32 |
10,000
|
9,745
|
4.65%
05/20/35 |
50,000
|
49,970
|
Raymond
James Financial, Inc. |
|
|
3.75%
04/01/51 |
75,000
|
56,742
|
Raytheon
Technologies Corp. |
|
|
3.95%
08/16/25 |
15,000
|
14,696
|
4.63%
11/16/48 |
15,000
|
13,988
|
|
Principal
Amount |
Fair
Value |
Realty
Income Corp. |
|
|
3.10%
12/15/29 |
$
25,000 |
$
21,910 |
3.25%
01/15/31 |
75,000
|
65,581
|
Regency
Centers LP |
|
|
4.13%
03/15/28 |
25,000
|
23,349
|
Regeneron
Pharmaceuticals, Inc. |
|
|
1.75%
09/15/30 |
45,000
|
35,867
|
Reliance
Steel & Aluminum Co. |
|
|
1.30%
08/15/25 |
55,000
|
50,262
|
RELX
Capital, Inc. |
|
|
4.00%
03/18/29 |
25,000
|
23,910
|
RenaissanceRe
Holdings Ltd. |
|
|
3.60%
04/15/29 |
25,000
|
22,224
|
Revvity,
Inc. |
|
|
2.25%
09/15/31 |
35,000
|
28,124
|
3.30%
09/15/29 |
15,000
|
13,416
|
Rio
Tinto Finance USA Ltd. |
|
|
5.20%
11/02/40 |
50,000
|
50,488
|
Rockwell
Automation, Inc. |
|
|
3.50%
03/01/29 |
45,000
|
42,359
|
Rogers
Communications, Inc. |
|
|
4.50%
03/15/42 (d) |
10,000
|
8,298
|
7.50%
08/15/38 |
150,000
|
165,472
|
Roper
Technologies, Inc. |
|
|
3.80%
12/15/26 |
75,000
|
71,765
|
Ross
Stores, Inc. |
|
|
4.60%
04/15/25 |
50,000
|
49,002
|
Royal
Bank of Canada |
|
|
3.88%
05/04/32 |
50,000
|
45,818
|
4.24%
08/03/27 |
50,000
|
48,292
|
RPM
International, Inc. |
|
|
4.25%
01/15/48 |
50,000
|
38,432
|
Ryder
System, Inc. |
|
|
1.75%
09/01/26 |
15,000
|
13,362
|
4.30%
06/15/27 |
10,000
|
9,621
|
S&P
Global, Inc. |
|
|
2.45%
03/01/27 |
75,000
|
69,233
|
3.70%
03/01/52 |
50,000
|
40,936
|
Sabine
Pass Liquefaction LLC |
|
|
5.63%
03/01/25 |
135,000
|
134,549
|
Sabra
Health Care LP |
|
|
3.90%
10/15/29 |
25,000
|
20,447
|
Safehold
GL Holdings LLC |
|
|
2.85%
01/15/32 |
25,000
|
19,177
|
Salesforce,
Inc. |
|
|
2.70%
07/15/41 |
50,000
|
36,633
|
3.05%
07/15/61 |
25,000
|
17,016
|
Sempra
Energy |
|
|
3.80%
02/01/38 |
25,000
|
20,712
|
Shell
International Finance BV |
|
|
4.38%
05/11/45 |
50,000
|
45,055
|
6.38%
12/15/38 |
50,000
|
56,039
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
84
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Sherwin-Williams
Co. |
|
|
3.95%
01/15/26 |
$
100,000 |
$
96,904 |
Snap-on,
Inc. |
|
|
3.10%
05/01/50 |
15,000
|
11,121
|
Sonoco
Products Co. |
|
|
3.13%
05/01/30 |
75,000
|
65,416
|
Southern
California Edison Co. |
|
|
3.45%
02/01/52 |
25,000
|
17,896
|
3.60%
02/01/45 |
50,000
|
36,620
|
4.20%
03/01/29 |
25,000
|
23,769
|
Southern
California Gas Co. |
|
|
2.55%
02/01/30 |
50,000
|
43,044
|
Southern
Co. |
|
|
4.48%
08/01/24 (h) |
75,000
|
73,644
|
Southwest
Airlines Co. |
|
|
3.00%
11/15/26 |
50,000
|
45,946
|
Southwest
Gas Corp. |
|
|
4.05%
03/15/32 |
15,000
|
13,500
|
Southwestern
Electric Power Co. |
|
|
3.25%
11/01/51 |
25,000
|
16,790
|
Spirit
Realty LP |
|
|
2.70%
02/15/32 |
30,000
|
22,920
|
Stanley
Black & Decker, Inc. |
|
|
3.40%
03/01/26 |
75,000
|
71,113
|
Starbucks
Corp. |
|
|
3.00%
02/14/32 |
45,000
|
39,069
|
3.75%
12/01/47 |
35,000
|
27,700
|
3.80%
08/15/25 |
50,000
|
48,426
|
Stryker
Corp. |
|
|
4.63%
03/15/46 |
25,000
|
23,266
|
Sumitomo
Mitsui Financial Group, Inc. |
|
|
1.47%
07/08/25 |
50,000
|
45,952
|
2.14%
09/23/30 |
25,000
|
19,891
|
3.01%
10/19/26 |
100,000
|
92,538
|
3.35%
10/18/27 |
50,000
|
46,111
|
4.31%
10/16/28 |
25,000
|
23,662
|
Suncor
Energy, Inc. |
|
|
6.85%
06/01/39 |
50,000
|
53,726
|
Suzano
Austria GmbH |
|
|
3.75%
01/15/31 |
55,000
|
46,972
|
Synchrony
Financial |
|
|
3.95%
12/01/27 |
25,000
|
21,777
|
Sysco
Corp. |
|
|
3.25%
07/15/27 |
75,000
|
70,088
|
6.60%
04/01/40 |
50,000
|
54,041
|
Tampa
Electric Co. |
|
|
4.30%
06/15/48 |
25,000
|
20,892
|
Tapestry,
Inc. |
|
|
3.05%
03/15/32 |
25,000
|
19,974
|
Target
Corp. |
|
|
2.25%
04/15/25 |
50,000
|
47,684
|
|
Principal
Amount |
Fair
Value |
4.50%
09/15/32 |
$
25,000 |
$
24,408 |
Teck
Resources Ltd. |
|
|
6.25%
07/15/41 |
25,000
|
25,190
|
Telefonica
Emisiones SA |
|
|
7.05%
06/20/36 |
50,000
|
54,640
|
TELUS
Corp. |
|
|
4.60%
11/16/48 |
50,000
|
42,890
|
Tennessee
Gas Pipeline Co. LLC |
|
|
7.00%
10/15/28 |
200,000
|
210,990
|
Texas
Instruments, Inc. |
|
|
3.65%
08/16/32 |
15,000
|
13,945
|
3.88%
03/15/39 |
50,000
|
44,841
|
Textron,
Inc. |
|
|
3.90%
09/17/29 |
50,000
|
45,910
|
Thermo
Fisher Scientific, Inc. |
|
|
1.75%
10/15/28 |
20,000
|
17,231
|
Time
Warner Cable LLC |
|
|
4.50%
09/15/42 |
75,000
|
55,977
|
7.30%
07/01/38 |
50,000
|
50,973
|
Timken
Co. |
|
|
4.50%
12/15/28 |
20,000
|
19,046
|
T-Mobile
USA, Inc. |
|
|
3.60%
11/15/60 |
45,000
|
31,590
|
Toronto-Dominion
Bank |
|
|
0.75%
09/11/25 |
50,000
|
45,257
|
1.95%
01/12/27 |
50,000
|
44,991
|
Tosco
Corp. |
|
|
8.13%
02/15/30 |
150,000
|
174,586
|
TotalEnergies
Capital International SA |
|
|
3.39%
06/29/60 |
50,000
|
36,685
|
Toyota
Motor Credit Corp. |
|
|
3.00%
04/01/25 |
50,000
|
48,176
|
4.55%
09/20/27 |
25,000
|
24,670
|
Trane
Technologies Luxembourg Finance SA |
|
|
4.50%
03/21/49 |
50,000
|
44,311
|
TransCanada
PipeLines Ltd. |
|
|
1.00%
10/12/24 |
30,000
|
28,218
|
5.85%
03/15/36 |
150,000
|
149,677
|
Travelers
Cos., Inc. |
|
|
4.00%
05/30/47 |
50,000
|
42,065
|
Truist
Bank |
|
|
3.30%
05/15/26 |
100,000
|
91,669
|
Truist
Financial Corp. |
|
|
1.95%
06/05/30 |
25,000
|
19,878
|
2.50%
08/01/24 |
50,000
|
48,221
|
Truist
Financial Corp. (4.92% fixed rate until 07/28/32; 2.24% + SOFR thereafter) |
|
|
4.92%
07/28/33 (f) |
25,000
|
22,832
|
Tucson
Electric Power Co. |
|
|
4.85%
12/01/48 |
50,000
|
44,191
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
85
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
TWDC
Enterprises 18 Corp. |
|
|
3.00%
07/30/46 |
$
75,000 |
$
53,895 |
Tyco
Electronics Group SA |
|
|
2.50%
02/04/32 |
45,000
|
37,816
|
Tyson
Foods, Inc. |
|
|
4.00%
03/01/26 |
15,000
|
14,490
|
4.88%
08/15/34 |
45,000
|
43,353
|
U.S.
Bancorp |
|
|
3.95%
11/17/25 |
50,000
|
48,098
|
U.S.
Bancorp (4.55% fixed rate until 07/22/27; 1.66% + SOFR thereafter) |
|
|
4.55%
07/22/28 (f) |
25,000
|
23,936
|
UBS
Group AG |
|
|
4.88%
05/15/45 |
50,000
|
43,207
|
Unilever
Capital Corp. |
|
|
2.90%
05/05/27 |
50,000
|
46,764
|
3.50%
03/22/28 |
75,000
|
71,832
|
Union
Electric Co. |
|
|
3.50%
03/15/29 |
25,000
|
23,044
|
3.65%
04/15/45 |
35,000
|
27,106
|
Union
Pacific Corp. |
|
|
2.80%
02/14/32 |
15,000
|
12,942
|
3.38%
02/14/42 |
10,000
|
8,002
|
3.55%
08/15/39 |
15,000
|
12,561
|
3.95%
08/15/59 |
20,000
|
16,252
|
4.95%
09/09/52 |
50,000
|
49,675
|
United
Airlines Pass-Through Trust |
|
|
5.88%
04/15/29 |
122,176
|
121,292
|
UnitedHealth
Group, Inc. |
|
|
3.70%
12/15/25 |
110,000
|
106,103
|
3.75%
10/15/47 |
25,000
|
20,559
|
3.88%
12/15/28 |
15,000
|
14,391
|
4.45%
12/15/48 |
10,000
|
9,114
|
4.63%
07/15/35 |
45,000
|
44,025
|
5.95%
02/15/41 |
125,000
|
135,226
|
6.88%
02/15/38 |
50,000
|
59,637
|
University
of Notre Dame du Lac |
|
|
3.39%
02/15/48 |
25,000
|
20,369
|
Vale
Overseas Ltd. |
|
|
6.88%
11/10/39 |
75,000
|
78,683
|
Valero
Energy Corp. |
|
|
6.63%
06/15/37 |
50,000
|
53,683
|
Ventas
Realty LP |
|
|
3.50%
02/01/25 |
150,000
|
143,661
|
VeriSign,
Inc. |
|
|
2.70%
06/15/31 |
30,000
|
24,983
|
Verisk
Analytics, Inc. |
|
|
4.13%
03/15/29 |
60,000
|
57,276
|
Verizon
Communications, Inc. |
|
|
2.88%
11/20/50 |
50,000
|
32,556
|
3.88%
02/08/29 - 03/01/52 |
105,000
|
83,164
|
4.02%
12/03/29 |
50,000
|
46,642
|
|
Principal
Amount |
Fair
Value |
4.33%
09/21/28 |
$
34,000 |
$
32,761 |
VF
Corp. |
|
|
2.95%
04/23/30 |
75,000
|
61,720
|
VMware,
Inc. |
|
|
4.50%
05/15/25 |
25,000
|
24,473
|
Vodafone
Group PLC |
|
|
4.25%
09/17/50 |
75,000
|
60,197
|
Vulcan
Materials Co. |
|
|
4.70%
03/01/48 |
50,000
|
44,640
|
W
R Berkley Corp. |
|
|
4.00%
05/12/50 |
20,000
|
15,682
|
Wachovia
Corp. |
|
|
5.50%
08/01/35 |
100,000
|
97,956
|
Walmart,
Inc. |
|
|
3.25%
07/08/29 |
40,000
|
37,515
|
Walt
Disney Co. |
|
|
3.38%
11/15/26 |
50,000
|
47,578
|
3.60%
01/13/51 |
25,000
|
19,894
|
4.70%
03/23/50 |
50,000
|
47,803
|
Warnermedia
Holdings, Inc. |
|
|
3.64%
03/15/25 |
50,000
|
48,236
|
3.76%
03/15/27 |
75,000
|
69,980
|
4.28%
03/15/32 |
40,000
|
35,443
|
5.05%
03/15/42 |
15,000
|
12,584
|
5.39%
03/15/62 |
15,000
|
12,191
|
Waste
Connections, Inc. |
|
|
3.50%
05/01/29 |
50,000
|
46,045
|
Waste
Management, Inc. |
|
|
2.00%
06/01/29 |
25,000
|
21,385
|
Wells
Fargo & Co. |
|
|
4.15%
01/24/29 |
100,000
|
94,763
|
4.40%
06/14/46 |
50,000
|
40,740
|
Wells
Fargo & Co. (4.90% fixed rate until 07/25/32; 2.10% + SOFR thereafter) |
|
|
4.90%
07/25/33 (f) |
60,000
|
57,515
|
Welltower
OP LLC |
|
|
4.13%
03/15/29 |
75,000
|
69,565
|
Western
Digital Corp. |
|
|
3.10%
02/01/32 |
30,000
|
22,208
|
Westlake
Corp. |
|
|
4.38%
11/15/47 |
50,000
|
39,495
|
Westpac
Banking Corp. |
|
|
1.95%
11/20/28 |
25,000
|
21,444
|
3.74%
08/26/25 |
50,000
|
48,257
|
Whirlpool
Corp. |
|
|
4.70%
05/14/32 |
15,000
|
14,400
|
Williams
Cos., Inc. |
|
|
5.75%
06/24/44 |
65,000
|
63,404
|
Wisconsin
Electric Power Co. |
|
|
4.30%
10/15/48 |
10,000
|
8,640
|
Wisconsin
Public Service Corp. |
|
|
3.30%
09/01/49 |
20,000
|
14,397
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
86
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
WP
Carey, Inc. |
|
|
3.85%
07/15/29 |
$
50,000 |
$
45,290 |
Zimmer
Biomet Holdings, Inc. |
|
|
3.55%
04/01/25 |
50,000
|
48,224
|
Zoetis,
Inc. |
|
|
3.00%
05/15/50 |
70,000
|
49,058
|
|
|
36,777,318
|
Non-Agency
Collateralized Mortgage Obligations - 0.1% |
Bank
|
|
|
2.98%
11/15/62 |
50,000
|
43,242
|
3.01%
09/15/62 |
50,000
|
42,798
|
BBCMS
Mortgage Trust |
|
|
2.69%
11/15/54 |
150,000
|
123,768
|
4.31%
12/15/51 |
50,000
|
47,026
|
Benchmark
Mortgage Trust |
|
|
2.58%
04/15/54 |
150,000
|
119,215
|
Citigroup
Commercial Mortgage Trust |
|
|
2.87%
08/10/56 |
100,000
|
85,825
|
4.03%
05/10/47 |
100,000
|
96,918
|
COMM
Mortgage Trust |
|
|
3.18%
02/10/48 |
150,000
|
142,928
|
CSAIL
Commercial Mortgage Trust |
|
|
3.45%
09/15/50 |
150,000
|
135,955
|
GS
Mortgage Securities Trust |
|
|
2.78%
10/10/49 |
44,204
|
42,169
|
3.97%
02/10/52 |
50,000
|
45,870
|
JPMBB
Commercial Mortgage Securities Trust |
|
|
3.80%
09/15/47 |
75,000
|
72,482
|
Morgan
Stanley Bank of America Merrill Lynch Trust |
|
|
3.72%
12/15/49 |
89,000
|
82,601
|
Morgan
Stanley Capital I Trust |
|
|
3.60%
12/15/49 |
150,000
|
138,682
|
UBS
Commercial Mortgage Trust |
|
|
4.07%
12/15/51 |
40,223
|
37,378
|
Wells
Fargo Commercial Mortgage Trust |
|
|
2.73%
02/15/53 |
100,000
|
84,089
|
3.73%
05/15/52 |
175,000
|
158,153
|
|
|
1,499,099
|
Sovereign
Bonds - 0.1% |
Chile
Government International Bonds |
|
|
3.86%
06/21/47 (e) |
100,000
|
81,947
|
Export
Development Canada |
|
|
3.00%
05/25/27 (e) |
50,000
|
47,397
|
Export-Import
Bank of Korea |
|
|
1.13%
12/29/26 (e) |
200,000
|
173,114
|
|
Principal
Amount |
Fair
Value |
Indonesia
Government International Bonds |
|
|
3.05%
03/12/51 (e) |
$
100,000 |
$
73,330 |
4.75%
02/11/29 (e) |
100,000
|
99,618
|
Israel
Government International Bonds |
|
|
3.88%
07/03/50 (e) |
100,000
|
82,308
|
Japan
Bank for International Cooperation |
|
|
1.25%
01/21/31 (e) |
150,000
|
118,740
|
2.88%
07/21/27 (e) |
100,000
|
93,255
|
Korea
Development Bank |
|
|
2.13%
10/01/24 (e) |
100,000
|
95,875
|
Korea
International Bonds |
|
|
1.75%
10/15/31 (e) |
100,000
|
83,293
|
Mexico
Government International Bonds |
|
|
3.75%
01/11/28 (e) |
100,000
|
95,150
|
4.75%
03/08/44 (e) |
52,000
|
44,634
|
4.88%
05/19/33 (e) |
100,000
|
95,569
|
6.05%
01/11/40 (e) |
55,000
|
55,857
|
Panama
Government International Bonds |
|
|
3.87%
07/23/60 (e) |
50,000
|
33,080
|
6.70%
01/26/36 (e) |
75,000
|
80,235
|
Peruvian
Government International Bonds |
|
|
3.00%
01/15/34 (e) |
29,000
|
24,066
|
3.23%
07/28/21 (e) |
25,000
|
15,077
|
6.55%
03/14/37 (e) |
47,000
|
52,685
|
Philippines
Government International Bonds |
|
|
2.95%
05/05/45 (e) |
100,000
|
71,859
|
10.63%
03/16/25 (e) |
250,000
|
273,812
|
Uruguay
Government International Bonds |
|
|
5.10%
06/18/50 (e) |
50,000
|
49,940
|
|
|
1,840,841
|
Municipal
Bonds and Notes - 0.1% |
Board
of Regents of the University of Texas System, TX |
|
|
4.79%
08/15/46 |
100,000
|
100,874
|
Chicago
O'Hare International Airport, IL |
|
|
4.47%
01/01/49 |
100,000
|
93,213
|
Chicago
Transit Authority Sales & Transfer Tax Receipts Revenue, IL |
|
|
6.90%
12/01/40 |
75,000
|
85,008
|
Commonwealth
of Massachusetts, MA |
|
|
4.50%
08/01/31 |
100,000
|
97,391
|
Dallas
Area Rapid Transit, TX |
|
|
5.02%
12/01/48 |
50,000
|
51,469
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
87
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
|
Principal
Amount |
Fair
Value |
Dallas
Fort Worth International Airport, TX |
|
|
4.09%
11/01/51 |
$
5,000 |
$
4,409 |
Los
Angeles Department of Water & Power, CA |
|
|
6.60%
07/01/50 |
90,000
|
111,383
|
Los
Angeles Unified School District, CA |
|
|
5.76%
07/01/29 |
110,000
|
113,111
|
New
York City Municipal Water Finance Authority, NY |
|
|
6.01%
06/15/42 |
50,000
|
57,062
|
New
York State Dormitory Authority, NY |
|
|
3.14%
07/01/43 |
50,000
|
40,498
|
New
York State Urban Development Corp., NY |
|
|
3.90%
03/15/33 |
25,000
|
23,368
|
North
Texas Tollway Authority, TX |
|
|
6.72%
01/01/49 |
100,000
|
124,146
|
Port
Authority of New York & New Jersey, NY |
|
|
5.31%
08/01/46 |
125,000
|
125,312
|
Regents
of the University of California Medical Center Pooled Revenue, CA |
|
|
6.58%
05/15/49 |
100,000
|
116,707
|
Sales
Tax Securitization Corp., IL |
|
|
4.64%
01/01/40 |
25,000
|
23,851
|
San
Joaquin Hills Transportation Corridor Agency, CA |
|
|
3.49%
01/15/50 |
100,000
|
78,256
|
South
Carolina Public Service Authority, SC |
|
|
6.45%
01/01/50 |
50,000
|
55,918
|
State
of California, CA |
|
|
2.50%
10/01/29 |
100,000
|
88,226
|
|
Principal
Amount |
Fair
Value |
7.60%
11/01/40 |
$
50,000 |
$
63,834 |
Texas
Transportation Commission, TX |
|
|
2.56%
04/01/42 |
80,000
|
60,884
|
|
|
1,514,920
|
Total
Bonds and Notes (Cost $222,328,227) |
|
202,473,896
|
|
Number
of Shares |
|
Exchange
Traded & Mutual Funds - 12.0% |
SPDR
Bloomberg High Yield Bond ETF (i) |
596,168
|
54,865,341
|
SPDR
Bloomberg International Treasury Bond ETF (i) |
2,424,748
|
54,678,068
|
SPDR
Gold Shares (a)(i) |
112,993
|
20,143,262
|
SPDR
Portfolio Aggregate Bond ETF (i) |
268,144
|
6,802,813
|
SPDR
Portfolio Long Term Treasury ETF (i) |
922,192
|
27,573,541
|
Total
Exchange Traded & Mutual Funds (Cost $163,829,650) |
|
164,063,025
|
Total
Investments in Securities (Cost $1,255,195,543) |
|
1,297,987,666
|
Short-Term
Investments - 5.2% |
State
Street Institutional U.S. Government Money Market Fund - Class G Shares 5.07% (i)(j) (Cost $70,735,502) |
70,735,502
|
70,735,502
|
Total
Investments (Cost $1,325,931,045) |
|
1,368,723,168
|
Other
Assets and Liabilities, net - 0.1% |
|
2,001,623
|
NET
ASSETS - 100.0% |
|
$
1,370,724,791 |
Other Information:
The
Fund had the following long futures contracts open at June 30, 2023: |
Description
|
Expiration
Date |
Number
of Contracts |
Notional
Amount |
Value
|
Unrealized
Appreciation (Depreciation) |
MSCI
EAFE Mini Index Futures |
September
2023 |
40
|
$
4,267,631 |
$
4,311,000 |
$
43,369 |
S&P/Toronto
Stock Exchange 60 Index |
September
2023 |
2
|
362,468
|
368,366
|
5,898
|
MSCI
Emerging Markets Index Futures |
September
2023 |
20
|
1,004,834
|
997,900
|
(6,934)
|
E-mini
Russell 2000 Index Futures |
September
2023 |
45
|
4,278,709
|
4,283,325
|
4,616
|
E-mini
Russell 1000 Index Futures |
September
2023 |
16
|
1,910,533
|
1,966,720
|
56,187
|
|
|
|
|
|
$
103,136 |
During the year ended June 30, 2023, the average
notional value related to long futures contracts was $14,212,134.
See Notes to Schedule of Investments and Notes to Financial Statements.
88
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Notes to Schedule of Investments
The views expressed in this document reflect our judgment
as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular
security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a)
|
Non-income
producing security. |
(b)
|
State
Street Corporation 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)
|
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)
|
Pursuant
to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, these securities amounted to $8,709,747 or 0.64% 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. |
(e)
|
At June
30, 2023, all or a portion of this security was pledged to cover collateral requirements for futures and/or TBAs. |
(f)
|
Variable
Rate Security - Interest rate shown is rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(g)
|
Settlement is
on a delayed delivery or when-issued basis with final maturity to be announced ("TBA") in the future. |
(h)
|
Step coupon
bond. |
(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 June 30, 2023. |
*
|
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 |
The following table presents the Fund’s
investments measured at fair value on a recurring basis at June 30, 2023:
Investments
|
Level
1 |
|
Level
2 |
|
Level
3 |
|
Total
|
Investments
in Securities |
|
|
|
|
|
|
|
Domestic
Equity |
$
569,962,187 |
|
$
17,188,698 |
|
$
—(a) |
|
$
587,150,885 |
Foreign
Equity |
45,057,044
|
|
299,238,714
|
|
4,102
|
|
344,299,860
|
U.S.
Treasuries |
—
|
|
121,707,678
|
|
—
|
|
121,707,678
|
Agency
Mortgage Backed |
—
|
|
37,838,114
|
|
—
|
|
37,838,114
|
Agency
Collateralized Mortgage Obligations |
—
|
|
821,433
|
|
—
|
|
821,433
|
Asset
Backed |
—
|
|
474,493
|
|
—
|
|
474,493
|
Corporate
Notes |
—
|
|
36,777,318
|
|
—
|
|
36,777,318
|
Non-Agency
Collateralized Mortgage Obligations |
—
|
|
1,499,099
|
|
—
|
|
1,499,099
|
Sovereign
Bonds |
—
|
|
1,840,841
|
|
—
|
|
1,840,841
|
Municipal
Bonds and Notes |
—
|
|
1,514,920
|
|
—
|
|
1,514,920
|
Exchange
Traded & Mutual Funds |
164,063,025
|
|
—
|
|
—
|
|
164,063,025
|
Short-Term
Investments |
70,735,502
|
|
—
|
|
—
|
|
70,735,502
|
Total
Investments in Securities |
$
849,817,758 |
|
$
518,901,308 |
|
$
4,102 |
|
$
1,368,723,168 |
Other
Financial Instruments |
|
|
|
|
|
|
|
Long
Futures Contracts - Unrealized Appreciation |
$
110,070 |
|
$
— |
|
$
— |
|
$
110,070 |
Long
Futures Contracts - Unrealized Depreciation |
(6,934)
|
|
—
|
|
—
|
|
(6,934)
|
Total
Other Financial Instruments |
$
103,136 |
|
$
— |
|
$
— |
|
$
103,136 |
(a)
|
The
Fund held Level 3 securities that were valued at $0 at June 30, 2023. |
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
89
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
The Fund was invested in the following countries/territories
at June 30, 2023 (unaudited):
Country/Territory
|
Percentage
(based on Fair Value) |
United
States |
74.12%
|
Japan
|
3.95%
|
China
|
2.15%
|
Canada
|
2.12%
|
United
Kingdom |
2.09%
|
France
|
1.84%
|
Germany
|
1.51%
|
Australia
|
1.37%
|
Switzerland
|
1.09%
|
Taiwan
|
1.06%
|
India
|
1.00%
|
Netherlands
|
0.98%
|
Republic
of Korea |
0.89%
|
Denmark
|
0.53%
|
Sweden
|
0.52%
|
Spain
|
0.45%
|
Brazil
|
0.45%
|
Hong
Kong |
0.42%
|
Italy
|
0.38%
|
Saudi
Arabia |
0.29%
|
Singapore
|
0.29%
|
South
Africa |
0.25%
|
Mexico
|
0.24%
|
Finland
|
0.19%
|
Belgium
|
0.15%
|
Thailand
|
0.15%
|
Indonesia
|
0.15%
|
Ireland
|
0.14%
|
Supranational
|
0.12%
|
Norway
|
0.11%
|
Israel
|
0.11%
|
Malaysia
|
0.09%
|
United
Arab Emirates |
0.09%
|
Philippines
|
0.07%
|
Chile
|
0.06%
|
Qatar
|
0.06%
|
Country/Territory
|
Percentage
(based on Fair Value) |
Kuwait
|
0.06%
|
Poland
|
0.06%
|
Austria
|
0.04%
|
New
Zealand |
0.04%
|
Turkey
|
0.04%
|
Greece
|
0.03%
|
Bermuda
|
0.03%
|
Portugal
|
0.03%
|
Luxembourg
|
0.03%
|
Macau
|
0.02%
|
Puerto
Rico |
0.02%
|
Peru
|
0.02%
|
Hungary
|
0.02%
|
Zambia
|
0.02%
|
Czech
Republic |
0.01%
|
Panama
|
0.01%
|
Monaco
|
0.01%
|
Ghana
|
0.01%
|
Colombia
|
0.01%
|
Cameroon
|
0.01%
|
Burkina
Faso |
0.00%***
|
Jordan
|
0.00%***
|
Uruguay
|
0.00%***
|
Cayman
Islands |
0.00%***
|
Egypt
|
0.00%***
|
Romania
|
0.00%***
|
Bahamas
|
0.00%***
|
UAE
|
0.00%***
|
Guernsey
|
0.00%***
|
Malta
|
0.00%***
|
Gibraltar
|
0.00%***
|
Russian
Federation |
0.00%***
|
|
100.00%
|
The Fund’s % share of investment in the
various categories, based on Fair Value, is as follows at June 30, 2023:
Industry
|
Domestic
|
Foreign
|
Total
|
Exchange
Traded Funds |
11.99%
|
0.00%
|
11.99%
|
Diversified
Banks |
0.85%
|
3.17%
|
4.02%
|
Pharmaceuticals
|
1.97%
|
1.22%
|
3.19%
|
Technology
Hardware, Storage & Peripherals |
2.64%
|
0.50%
|
3.14%
|
Semiconductors
|
2.20%
|
0.78%
|
2.98%
|
Systems
Software |
2.75%
|
0.03%
|
2.78%
|
Interactive
Media & Services |
1.80%
|
0.40%
|
2.20%
|
Application
Software |
1.30%
|
0.33%
|
1.63%
|
Broadline
Retail |
1.07%
|
0.49%
|
1.56%
|
Automobile
Manufacturers |
0.79%
|
0.73%
|
1.52%
|
Integrated
Oil & Gas |
0.65%
|
0.81%
|
1.46%
|
Biotechnology
|
1.32%
|
0.11%
|
1.43%
|
See Notes to Schedule of Investments and Notes to Financial Statements.
90
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Industry
|
Domestic
|
Foreign
|
Total
|
Healthcare
Equipment |
1.08%
|
0.20%
|
1.28%
|
Electric
Utilities |
0.61%
|
0.45%
|
1.06%
|
Packaged
Foods & Meats |
0.74%
|
0.30%
|
1.04%
|
Transaction
& Payment Processing Services |
0.92%
|
0.11%
|
1.03%
|
Aerospace
& Defense |
0.64%
|
0.31%
|
0.95%
|
Industrial
Machinery & Supplies & Components |
0.54%
|
0.36%
|
0.90%
|
Semiconductor
Materials & Equipment |
0.37%
|
0.51%
|
0.88%
|
Apparel,
Accessories & Luxury Goods |
0.09%
|
0.66%
|
0.75%
|
Oil
& Gas Exploration & Production |
0.55%
|
0.20%
|
0.75%
|
Life
Sciences Tools & Services |
0.61%
|
0.12%
|
0.73%
|
Restaurants
|
0.50%
|
0.23%
|
0.73%
|
Life
& Health Insurance |
0.18%
|
0.55%
|
0.73%
|
Regional
Banks |
0.68%
|
0.05%
|
0.73%
|
IT
Consulting & Other Services |
0.38%
|
0.29%
|
0.67%
|
Integrated
Telecommunication Services |
0.25%
|
0.42%
|
0.67%
|
Specialty
Chemicals |
0.33%
|
0.33%
|
0.66%
|
Electrical
Components & Equipment |
0.44%
|
0.21%
|
0.65%
|
Multi-Sector
Holdings |
0.55%
|
0.11%
|
0.66%
|
Industrial
Conglomerates |
0.27%
|
0.37%
|
0.64%
|
Trading
Companies & Distributors |
0.26%
|
0.37%
|
0.63%
|
Managed
Healthcare |
0.60%
|
0.00%
|
0.60%
|
Household
Products |
0.46%
|
0.12%
|
0.58%
|
Soft
Drinks & Non-alcoholic Beverages |
0.51%
|
0.07%
|
0.58%
|
Consumer
Staples Merchandise Retail |
0.52%
|
0.06%
|
0.58%
|
Property
& Casualty Insurance |
0.38%
|
0.21%
|
0.59%
|
Financial
Exchanges & Data |
0.38%
|
0.20%
|
0.58%
|
Asset
Management & Custody Banks |
0.39%
|
0.18%
|
0.57%
|
Diversified
Metals & Mining |
0.02%
|
0.52%
|
0.54%
|
Building
Products |
0.32%
|
0.19%
|
0.51%
|
Personal
Care Products |
0.12%
|
0.38%
|
0.50%
|
Rail
Transportation |
0.22%
|
0.28%
|
0.50%
|
Movies
& Entertainment |
0.42%
|
0.05%
|
0.47%
|
Construction
Machinery & Heavy Transportation Equipment |
0.26%
|
0.18%
|
0.44%
|
Multi-Utilities
|
0.27%
|
0.17%
|
0.44%
|
Research
& Consulting Services |
0.26%
|
0.17%
|
0.43%
|
Multi-Line
Insurance |
0.07%
|
0.36%
|
0.43%
|
Investment
Banking & Brokerage |
0.35%
|
0.07%
|
0.42%
|
Hotels,
Resorts & Cruise Lines |
0.31%
|
0.11%
|
0.42%
|
Home
Improvement Retail |
0.40%
|
0.01%
|
0.41%
|
Communications
Equipment |
0.34%
|
0.06%
|
0.40%
|
Food
Retail |
0.06%
|
0.33%
|
0.39%
|
Wireless
Telecommunication Services |
0.08%
|
0.30%
|
0.38%
|
Tobacco
|
0.21%
|
0.15%
|
0.36%
|
Construction
& Engineering |
0.16%
|
0.21%
|
0.37%
|
Oil
& Gas Storage & Transportation |
0.17%
|
0.19%
|
0.36%
|
Oil
& Gas Refining & Marketing |
0.16%
|
0.19%
|
0.35%
|
Electronic
Components |
0.11%
|
0.24%
|
0.35%
|
Air
Freight & Logistics |
0.21%
|
0.14%
|
0.35%
|
Steel
|
0.14%
|
0.20%
|
0.34%
|
Healthcare
Services |
0.30%
|
0.04%
|
0.34%
|
Industrial
Gases |
0.22%
|
0.11%
|
0.33%
|
Electronic
Equipment & Instruments |
0.16%
|
0.16%
|
0.32%
|
Healthcare
Supplies |
0.12%
|
0.18%
|
0.30%
|
Apparel
Retail |
0.17%
|
0.13%
|
0.30%
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
91
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Industry
|
Domestic
|
Foreign
|
Total
|
Interactive
Home Entertainment |
0.13%
|
0.17%
|
0.30%
|
Consumer
Finance |
0.24%
|
0.04%
|
0.28%
|
Human
Resource & Employment Services |
0.21%
|
0.07%
|
0.28%
|
Distillers
& Vintners |
0.05%
|
0.22%
|
0.27%
|
Casinos
& Gaming |
0.12%
|
0.15%
|
0.27%
|
Construction
Materials |
0.13%
|
0.13%
|
0.26%
|
Home
Building |
0.21%
|
0.05%
|
0.26%
|
Internet
Services & Infrastructure |
0.17%
|
0.09%
|
0.26%
|
Commodity
Chemicals |
0.09%
|
0.16%
|
0.25%
|
Retail
REITs |
0.19%
|
0.06%
|
0.25%
|
Automotive
Parts & Equipment |
0.13%
|
0.11%
|
0.24%
|
Gold
|
0.04%
|
0.20%
|
0.24%
|
Insurance
Brokers |
0.23%
|
0.00%
|
0.23%
|
Oil
& Gas Equipment & Services |
0.22%
|
0.01%
|
0.23%
|
Industrial
REITs |
0.16%
|
0.06%
|
0.22%
|
Cable
& Satellite |
0.20%
|
0.01%
|
0.21%
|
Brewers
|
0.01%
|
0.19%
|
0.20%
|
Automotive
Retail |
0.17%
|
0.02%
|
0.19%
|
Consumer
Electronics |
0.02%
|
0.17%
|
0.19%
|
Diversified
Financial Services |
0.06%
|
0.13%
|
0.19%
|
Environmental
& Facilities Services |
0.15%
|
0.04%
|
0.19%
|
Healthcare
Facilities |
0.13%
|
0.05%
|
0.18%
|
Gas
Utilities |
0.07%
|
0.10%
|
0.17%
|
Passenger
Airlines |
0.11%
|
0.05%
|
0.16%
|
Agricultural
& Farm Machinery |
0.12%
|
0.05%
|
0.17%
|
Footwear
|
0.15%
|
0.01%
|
0.16%
|
Diversified
Capital Markets |
0.00%
|
0.15%
|
0.15%
|
Fertilizers
& Agricultural Chemicals |
0.07%
|
0.08%
|
0.15%
|
Healthcare
Distributors |
0.12%
|
0.02%
|
0.14%
|
Reinsurance
|
0.06%
|
0.08%
|
0.14%
|
Advertising
|
0.08%
|
0.06%
|
0.14%
|
Telecom
Tower REITs |
0.14%
|
0.00%
|
0.14%
|
Other
Specialty Retail |
0.11%
|
0.03%
|
0.14%
|
Diversified
Support Services |
0.10%
|
0.04%
|
0.14%
|
Multi-Family
Residential REITs |
0.13%
|
0.00%
|
0.13%
|
Diversified
Real Estate Activities |
0.01%
|
0.13%
|
0.14%
|
Cargo
Ground Transportation |
0.11%
|
0.01%
|
0.12%
|
Health
Care REITs |
0.11%
|
0.00%
|
0.11%
|
Electronic
Manufacturing Services |
0.05%
|
0.07%
|
0.12%
|
Office
REITs |
0.08%
|
0.03%
|
0.11%
|
Marine
Transportation |
0.02%
|
0.09%
|
0.11%
|
Diversified
Chemicals |
0.01%
|
0.10%
|
0.11%
|
Real
Estate Operating Companies |
0.01%
|
0.09%
|
0.10%
|
Leisure
Products |
0.06%
|
0.04%
|
0.10%
|
Data
Processing & Outsourced Services |
0.08%
|
0.02%
|
0.10%
|
Mortgage
REITs |
0.10%
|
0.00%
|
0.10%
|
Passenger
Ground Transportation |
0.08%
|
0.02%
|
0.10%
|
Copper
|
0.05%
|
0.05%
|
0.10%
|
Independent
Power Producers & Energy Traders |
0.02%
|
0.07%
|
0.09%
|
Heavy
Electrical Equipment |
0.01%
|
0.08%
|
0.09%
|
Diversified
REITs |
0.05%
|
0.05%
|
0.10%
|
Real
Estate Development |
0.00%
|
0.09%
|
0.09%
|
Data
Center REITs |
0.09%
|
0.00%
|
0.09%
|
Paper
& Plastic Packaging Products & Materials |
0.07%
|
0.02%
|
0.09%
|
See Notes to Schedule of Investments and Notes to Financial Statements.
92
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Industry
|
Domestic
|
Foreign
|
Total
|
Water
Utilities |
0.06%
|
0.03%
|
0.09%
|
Other
Specialized REITs |
0.08%
|
0.00%
|
0.08%
|
Agricultural
Products & Services |
0.07%
|
0.01%
|
0.08%
|
Self
Storage REITs |
0.08%
|
0.00%
|
0.08%
|
Healthcare
Technology |
0.07%
|
0.01%
|
0.08%
|
Coal
& Consumable Fuels |
0.03%
|
0.05%
|
0.08%
|
Real
Estate Services |
0.06%
|
0.02%
|
0.08%
|
Leisure
Facilities |
0.03%
|
0.05%
|
0.08%
|
Education
Services |
0.05%
|
0.02%
|
0.07%
|
Food
Distributors |
0.06%
|
0.01%
|
0.07%
|
Metal,
Glass & Plastic Containers |
0.06%
|
0.01%
|
0.07%
|
Tires
& Rubber |
0.01%
|
0.06%
|
0.07%
|
Renewable
Electricity |
0.03%
|
0.04%
|
0.07%
|
Hotel
& Resort REITs |
0.06%
|
0.00%
|
0.06%
|
Technology
Distributors |
0.06%
|
0.01%
|
0.07%
|
Commercial
& Residential Mortgage Finance |
0.06%
|
0.00%
|
0.06%
|
Single-Family
Residential REITs |
0.06%
|
0.00%
|
0.06%
|
Paper
Products |
0.01%
|
0.05%
|
0.06%
|
Oil
& Gas Drilling |
0.04%
|
0.01%
|
0.05%
|
Highways
& Railtracks |
0.00%
|
0.05%
|
0.05%
|
Drug
Retail |
0.02%
|
0.03%
|
0.05%
|
Distributors
|
0.05%
|
0.00%
|
0.05%
|
Broadcasting
|
0.04%
|
0.01%
|
0.05%
|
Airport
Services |
0.00%
|
0.05%
|
0.05%
|
Aluminum
|
0.02%
|
0.02%
|
0.04%
|
Timber
REITs |
0.04%
|
0.00%
|
0.04%
|
Household
Appliances |
0.02%
|
0.02%
|
0.04%
|
Home
Furnishing Retail |
0.03%
|
0.01%
|
0.04%
|
Motorcycle
Manufacturers |
0.00%
|
0.03%
|
0.03%
|
Security
& Alarm Services |
0.01%
|
0.02%
|
0.03%
|
Alternative
Carriers |
0.03%
|
0.00%
|
0.03%
|
Specialized
Finance |
0.00%
|
0.02%
|
0.02%
|
Specialized
Consumer Services |
0.02%
|
0.00%
|
0.02%
|
Publishing
|
0.02%
|
0.00%
|
0.02%
|
Computer
& Electronics Retail |
0.03%
|
0.00%
|
0.03%
|
Home
Furnishings |
0.02%
|
0.00%
|
0.02%
|
Forest
Products |
0.01%
|
0.01%
|
0.02%
|
Commercial
Printing |
0.00%
|
0.02%
|
0.02%
|
Precious
Metals & Minerals |
0.00%
|
0.02%
|
0.02%
|
Office
Services & Supplies |
0.02%
|
0.00%
|
0.02%
|
Silver
|
0.01%
|
0.01%
|
0.02%
|
Marine
Ports & Services |
0.00%
|
0.01%
|
0.01%
|
Textiles
|
0.00%
|
0.00%
|
0.00%***
|
Housewares
& Specialties |
0.00%
|
0.00%
|
0.00%***
|
|
|
|
80.04%
|
See Notes to Schedule of Investments and Notes to Financial
Statements.
State
Street Total Return V.I.S. Fund |
93
|
State Street Total Return V.I.S.
Fund
Schedule of Investments, continued — June 30,
2023 (Unaudited)
Sector
|
Percentage
(based on Fair Value) |
U.S.
Treasuries |
|
|
8.89%
|
Agency
Mortgage Backed |
|
|
2.76%
|
Corporate
Notes |
|
|
2.69%
|
Sovereign
Bonds |
|
|
0.13%
|
Municipal
Bonds and Notes |
|
|
0.11%
|
Non-Agency
Collateralized Mortgage Obligations |
|
|
0.11%
|
Agency
Collateralized Mortgage Obligations |
|
|
0.06%
|
Sector
|
Percentage
(based on Fair Value) |
Asset
Backed |
|
|
0.04%
|
|
|
|
14.79%
|
Short-Term
Investments |
|
|
5.17%
|
|
|
|
100.00%
|
|
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 6/30/23 |
Value
at 6/30/23 |
|
Dividend
Income |
SPDR
Bloomberg High Yield Bond ETF |
150,705
|
$
13,563,450 |
|
$
70,110,417 |
|
$
28,019,633 |
|
$(1,112,559)
|
|
$
323,666 |
596,168
|
$
54,865,341 |
|
$1,112,667
|
SPDR
Bloomberg International Treasury Bond ETF |
2,402,330
|
53,884,262
|
|
16,668,286
|
|
15,968,530
|
|
(451,134)
|
|
545,184
|
2,424,748
|
54,678,068
|
|
472,601
|
SPDR
Gold Shares |
—
|
—
|
|
22,625,714
|
|
2,390,500
|
|
56,016
|
|
(147,968)
|
112,993
|
20,143,262
|
|
—
|
SPDR
Portfolio Aggregate Bond ETF |
2,657,053
|
66,771,742
|
|
42,956,006
|
|
103,748,855
|
|
1,748,375
|
|
(924,455)
|
268,144
|
6,802,813
|
|
370,877
|
SPDR
Portfolio Long Term Treasury ETF |
1,523,635
|
44,231,124
|
|
30,246,322
|
|
48,061,144
|
|
(3,328,769)
|
|
4,486,008
|
922,192
|
27,573,541
|
|
430,471
|
State
Street Corp. |
3,761
|
291,741
|
|
82,436
|
|
41,060
|
|
(2,712)
|
|
(18,585)
|
4,261
|
311,820
|
|
5,117
|
State
Street Institutional U.S. Government Money Market Fund - Class G Shares |
52,907,231
|
52,907,231
|
|
240,756,015
|
|
222,927,744
|
|
—
|
|
—
|
70,735,502
|
70,735,502
|
|
1,186,990
|
TOTAL
|
|
$231,649,550
|
|
$423,445,196
|
|
$421,157,466
|
|
$(3,090,783)
|
|
$4,263,850
|
|
$235,110,347
|
|
$3,578,723
|
See Notes to Schedule of Investments and Notes to Financial Statements.
94
|
State Street Total
Return V.I.S. Fund |
State Street Total Return V.I.S.
Fund
Financial Highlights
Selected data based on a share outstanding throughout the
periods indicated
|
|
Class
1 |
|
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
|
7/1/85
|
Net
asset value, beginning of period |
|
$
13.06 |
|
$
16.06 |
|
$
16.63 |
|
$
15.91 |
|
$
14.06 |
|
$
19.94 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
|
0.15
|
|
0.29
|
|
0.40
|
|
0.27
|
|
0.34
|
|
0.40
|
Net
realized and unrealized gains/(losses) on investments |
|
1.03
|
|
(2.94)
|
|
1.84
|
|
0.75
|
|
1.88
|
|
(1.69)
|
Total
income/(loss) from investment operations |
|
1.18
|
|
(2.65)
|
|
2.24
|
|
1.02
|
|
2.22
|
|
(1.29)
|
Contribution
from Advisor |
|
—
|
|
—
|
|
0.00
(c) |
|
—
|
|
—
|
|
—
|
Contribution
from Affiliate |
|
—
|
|
—
|
|
0.00
(c) |
|
—
|
|
—
|
|
—
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
|
—
|
|
(0.13)
|
|
(0.39)
|
|
(0.30)
|
|
(0.37)
|
|
(0.45)
|
Net
realized gains |
|
—
|
|
(0.22)
|
|
(2.42)
|
|
—
|
|
—
|
|
(4.14)
|
Total
distributions |
|
—
|
|
(0.35)
|
|
(2.81)
|
|
(0.30)
|
|
(0.37)
|
|
(4.59)
|
Net
asset value, end of period |
|
$
14.24 |
|
$
13.06 |
|
$
16.06 |
|
$
16.63 |
|
$
15.91 |
|
$
14.06 |
Total
Return(d) |
|
9.04%
|
|
(16.51)%
|
|
13.45%
(e) |
|
6.44%
|
|
15.81%
|
|
(6.34)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
|
$609,047
|
|
$588,132
|
|
$768,504
|
|
$743,820
|
|
$764,667
|
|
$733,417
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
|
0.63%
(f) |
|
0.64%
|
|
0.62%
|
|
0.60%
|
|
0.61%
|
|
0.62%
|
Gross
expenses |
|
0.63%
(f) |
|
0.64%
|
|
0.62%
|
|
0.60%
|
|
0.61%
|
|
0.62%
|
Net
investment income |
|
2.17%
(f) |
|
2.02%
|
|
2.22%
|
|
1.77%
|
|
2.24%
|
|
2.01%
|
Portfolio
turnover rate |
|
37%
(g) |
|
109%
(g) |
|
118%
(g) |
|
92%
(g) |
|
81%
|
|
97%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Rounds to
less than $0.005. |
(d)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(e)
|
The
contribution from an Affiliate and the Adviser had no impact on total return. |
(f)
|
Annualized
for periods less than one year. |
(g)
|
The
portfolio turnover calculated for the six months ended 6/30/2023 and years ended 12/31/22, 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 39%, 127%, 144% and 103%,
respectively. |
The accompanying Notes are an integral part of these
financial statements.
State Street Total Return V.I.S.
Fund
Financial Highlights, continued
Selected data based on a share outstanding throughout the
periods indicated
|
|
Class
3 |
|
|
6/30/23
(a) |
|
12/31/22
|
|
12/31/21
|
|
12/31/20
|
|
12/31/19
|
|
12/31/18
|
Inception
date |
|
|
|
5/1/06
|
Net
asset value, beginning of period |
|
$
13.05 |
|
$
16.00 |
|
$
16.57 |
|
$
15.86 |
|
$
14.01 |
|
$
19.88 |
Income/(loss)
from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income(b) |
|
0.13
|
|
0.25
|
|
0.35
|
|
0.23
|
|
0.30
|
|
0.35
|
Net
realized and unrealized gains/(losses) on investments |
|
1.03
|
|
(2.92)
|
|
1.84
|
|
0.74
|
|
1.88
|
|
(1.69)
|
Total
income/(loss) from investment operations |
|
1.16
|
|
(2.67)
|
|
2.19
|
|
0.97
|
|
2.18
|
|
(1.34)
|
Contribution
from Advisor |
|
—
|
|
—
|
|
0.00
(c) |
|
—
|
|
—
|
|
—
|
Contribution
from Affiliate |
|
—
|
|
—
|
|
0.00
(c) |
|
—
|
|
—
|
|
—
|
Less
distributions from: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
investment income |
|
—
|
|
(0.06)
|
|
(0.34)
|
|
(0.26)
|
|
(0.33)
|
|
(0.39)
|
Net
realized gains |
|
—
|
|
(0.22)
|
|
(2.42)
|
|
—
|
|
—
|
|
(4.14)
|
Total
distributions |
|
—
|
|
(0.28)
|
|
(2.76)
|
|
(0.26)
|
|
(0.33)
|
|
(4.53)
|
Net
asset value, end of period |
|
$
14.21 |
|
$
13.05 |
|
$
16.00 |
|
$
16.57 |
|
$
15.86 |
|
$
14.01 |
Total
Return(d) |
|
8.89%
|
|
(16.72)%
|
|
13.20%
(e) |
|
6.14%
|
|
15.57%
|
|
(6.61)%
|
Ratios/Supplemental
Data: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
assets, end of period (in thousands) |
|
$761,678
|
|
$748,657
|
|
$1,035,137
|
|
$1,063,931
|
|
$1,156,437
|
|
$1,165,809
|
Ratios
to average net assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Net
expenses |
|
0.88%
(f) |
|
0.89%
|
|
0.87%
|
|
0.85%
|
|
0.86%
|
|
0.87%
|
Gross
expenses |
|
0.88%
(f) |
|
0.89%
|
|
0.87%
|
|
0.85%
|
|
0.86%
|
|
0.87%
|
Net
investment income |
|
1.92%
(f) |
|
1.77%
|
|
1.95%
|
|
1.52%
|
|
1.99%
|
|
1.76%
|
Portfolio
turnover rate |
|
37%
(g) |
|
109%
(g) |
|
118%
(g) |
|
92%
(g) |
|
81%
|
|
97%
|
Notes
to Financial Highlights |
(a)
|
Unaudited.
|
(b)
|
Per share
values have been calculated using the average shares method. |
(c)
|
Rounds to
less than $0.005. |
(d)
|
Total
returns are historical and assume changes in share price, reinvestment of dividends and capital gains distributions and do not include the effect of insurance contract charges. Past performance does not guarantee future results. |
(e)
|
The
contribution from an Affiliate and the Adviser had no impact on total return. |
(f)
|
Annualized
for periods less than one year. |
(g)
|
The
portfolio turnover calculated for the six months ended 6/30/2023 and years ended 12/31/22, 12/31/21 and 12/31/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 39%, 127%, 144% and 103%,
respectively. |
The accompanying Notes are an integral part of these financial
statements.
State Street Total Return V.I.S.
Fund
Statement of Assets and Liabilities — June 30,
2023 (Unaudited)
Assets
|
|
Investments
in securities, at fair value (cost $1,091,092,380) |
$
1,133,612,821 |
Investments
in affiliated securities, at fair value (cost $164,103,163) |
164,374,845
|
Short-term
affiliated investments, at fair value (cost $70,735,502) |
70,735,502
|
Cash
|
50,230
|
Net
cash collateral on deposit with broker for future contracts |
627,012
|
Foreign
currency (cost $1,804,800) |
1,926,234
|
Receivable
for investments sold |
756,119
|
Income
receivables |
3,104,460
|
Income
receivable from affiliated investments |
248,680
|
Receivable
for accumulated variation margin on futures contracts |
103,475
|
Total
assets |
1,375,539,378
|
Liabilities
|
|
Payable
for investments purchased |
1,618,530
|
Payable
for fund shares redeemed |
441,875
|
Payable
to the Adviser |
393,422
|
Payable
for custody, fund accounting and sub-administration fees |
393,030
|
Accrued
other expenses |
324,602
|
Distribution
and service fees |
1,511,948
|
Accrued
foreign capital gains tax |
131,180
|
Total
liabilities |
4,814,587
|
|
Net
Assets |
$
1,370,724,791 |
Net
Assets Consist of: |
|
Capital
paid in |
$
1,417,040,015 |
Total
distributable earnings (loss) |
(46,315,224)
|
Net
Assets |
$
1,370,724,791 |
|
Class
1: |
|
Net
Assets |
$
609,047,230 |
Shares
outstanding ($0.01 par value, unlimited shares authorized) |
42,755,410
|
Net
asset value, offering and redemption price per share |
$
14.24 |
|
Class
3: |
|
Net
Assets |
$
761,677,561 |
Shares
outstanding ($0.01 par value, unlimited shares authorized) |
53,584,372
|
Net
asset value per share |
$
14.21 |
The accompanying Notes are an integral part of these
financial statements.
Statement
of Assets and Liabilities |
97
|
State Street Total Return V.I.S.
Fund
Statement of Operations — For the period ended
June 30, 2023 (Unaudited)
Investment
Income |
|
Income
|
|
Dividend
|
$
12,548,121 |
Interest
|
3,641,304
|
Income
from affiliated investments |
3,578,723
|
Less:
Foreign taxes withheld |
(887,954)
|
Total
income |
18,880,194
|
Expenses
|
|
Advisory
and administration fees |
2,362,262
|
Distribution
and service fees |
|
Class
1 |
596,587
|
Class
3 |
1,694,873
|
Directors'
fees |
16,003
|
Custody,
fund accounting and sub-administration fees |
375,382
|
Professional
fees |
32,390
|
Registration
fees |
520
|
Other
expenses |
113,226
|
Total
expenses |
5,191,243
|
Net
investment income |
$
13,688,951 |
Net
Realized and Unrealized Gain (Loss) on Investments |
|
Realized
gain (loss) on: |
|
Unaffiliated
investments |
$
(18,838,032)(a) |
Affiliated
investments |
(3,090,783)
|
Futures
|
818,998
|
Foreign
currency transactions |
(143,747)
|
Increase
(decrease) in unrealized appreciation/depreciation on: |
|
Unaffiliated
investments |
119,504,747
(b) |
Affiliated
investments |
4,263,850
|
Futures
|
353,112
|
Foreign
currency translations |
109,804
|
Net
realized and unrealized gain (loss) on investments |
102,977,949
|
Net
Increase in Net Assets Resulting from Operations |
$
116,666,900 |
(a)
|
Includes
$(7,218) of net realized gains from foreign capital tax gain. |
(b)
|
Includes
change in deferred foreign capital gains tax amounted to $(39,006). |
The accompanying Notes are an integral part of these
financial statements.
98
|
Statement of Operations
|
State Street Total Return V.I.S.
Fund
Statements of Changes in Net Assets
|
Six
Months Ended June 30, 2023(a) |
|
Year
Ended December 31, 2022 |
Increase
(Decrease) in Net Assets |
|
|
|
Operations:
|
|
|
|
Net
investment income |
$
13,688,951 |
|
$
28,023,620 |
Net
realized gain (loss) on investments, futures and foreign currency transactions |
(21,253,564)
|
|
(97,521,454)
|
Net
increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign currency translations |
124,231,513
|
|
(221,082,442)
|
Net
increase (decrease) from operations |
116,666,900
|
|
(290,580,276)
|
Distributions
to shareholders: |
|
|
|
Total
distributions |
|
|
|
Class
1 |
—
|
|
(15,319,576)
|
Class
3 |
—
|
|
(15,466,507)
|
Total
distributions |
—
|
|
(30,786,083)
|
Increase
(decrease) in assets from operations and distributions |
116,666,900
|
|
(321,366,359)
|
Share
transactions: |
|
|
|
Proceeds
from sale of shares |
|
|
|
Class
1 |
1,450,874
|
|
1,961,800
|
Class
3 |
5,918,415
|
|
14,471,950
|
Value
of distributions reinvested |
|
|
|
Class
1 |
—
|
|
15,319,576
|
Class
3 |
—
|
|
15,466,507
|
Cost
of shares redeemed |
|
|
|
Class
1 |
(32,496,786)
|
|
(58,470,940)
|
Class
3 |
(57,603,108)
|
|
(134,235,003)
|
Net
increase (decrease) from share transactions |
(82,730,605)
|
|
(145,486,110)
|
Total
increase (decrease) in net assets |
33,936,295
|
|
(466,852,469)
|
Net
Assets |
|
|
|
Beginning
of period |
1,336,788,496
|
|
1,803,640,965
|
End
of period |
$
1,370,724,791 |
|
$
1,336,788,496 |
Changes
in Fund Shares |
|
|
|
Class
1 |
|
|
|
Shares
sold |
106,501
|
|
137,320
|
Issued
for distributions reinvested |
—
|
|
1,173,015
|
Shares
redeemed |
(2,368,584)
|
|
(4,136,020)
|
Net
decrease in fund shares |
(2,262,083)
|
|
(2,825,685)
|
Class
3 |
|
|
|
Shares
sold |
431,174
|
|
998,611
|
Issued
for distributions reinvested |
—
|
|
1,185,173
|
Shares
redeemed |
(4,201,200)
|
|
(9,515,299)
|
Net
decrease in fund shares |
(3,770,026)
|
|
(7,331,515)
|
The accompanying Notes are an integral part of these financial
statements.
Statements
of Changes in Net Assets |
99
|
State Street Total Return V.I.S.
Fund
Notes to Financial Statements — June 30, 2023
(Unaudited)
1.
Organization of the Company
State Street Variable Insurance Series
Funds, Inc. (the “Company”) was incorporated under the laws of the Commonwealth of Virginia on May 14, 1984 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management
investment company. The Company is currently composed of the following seven investment portfolios (collectively, the “Funds”): State Street U.S. Equity V.I.S. Fund, State Street S&P 500 Index V.I.S. Fund, State Street Premier Growth
Equity V.I.S. Fund, State Street Small-Cap Equity V.I.S. Fund, State Street Total Return V.I.S. Fund (the "Fund"), State Street Income V.I.S. Fund and State Street Real Estate Securities V.I.S. Fund. Each Fund is a diversified investment
company within the meaning of the 1940 Act, except for the State Street Premier Growth Equity V.I.S. Fund, which is a non-diversified investment company.
Shares of the Funds of the Company are
offered only to insurance company separate accounts that fund certain variable life insurance contracts and variable annuity contracts.
The Company currently offers two share
classes of the Fund as investment options for variable life insurance and variable annuity contracts — Class 1 and Class 3. Class 3 shares were first offered on May 1, 2006, and Fund shares outstanding prior to May 1, 2006 were designated as
Class 1 shares. Each class of shares has different fees and expenses, and as a result, each class of shares will have different share price and performance. Not all variable contracts offer each class of the Fund’s shares.
Under the Company’s organizational
documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to the Company. Additionally, in the normal course of business, the Company enters into contracts with service providers
that contain general indemnification clauses. The Company’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Company that have not yet occurred.
2.Summary
of Significant Accounting Policies
The following is a summary of significant
accounting policies followed by the Company in the preparation of its financial statements:
The preparation of financial statements
in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation The Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end
on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a
fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the
“Committee”) and approved by the Company's Board of Directors (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for overseeing the determination of the
fair value of investments.
Valuation techniques used to value the
Fund’s investments by major category are as follows:
•
|
Equity investments
(including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price,
as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
100
|
Notes to Financial
Statements |
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
•
|
Investments in registered
investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
•
|
Government and municipal
fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the
price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual
of income. |
•
|
Debt obligations (including
short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
•
|
Exchange-traded futures
contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last
reported sale price obtained from independent pricing services or brokers or at fair value. |
•
|
Rights
and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant
to the valuation policy and procedures approved by the Board. |
In the event prices or quotations are
not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee,
in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an
event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of the Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may
be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets,
certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would
result in the investments being classified within Level 2 of the fair value hierarchy.
The Fund values its assets and
liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical
assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the
hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value
hierarchy are as follows:
•
|
Level 1 — Unadjusted
quoted prices in active markets for an identical asset or liability; |
•
|
Level 2 — Inputs
other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets
or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds,
loss severities, credit risks and default rates) or other market-corroborated inputs; and |
•
|
Level 3
— Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
Notes
to Financial Statements |
101
|
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
The value of the Fund’s investments
according to the fair value hierarchy as of June 30, 2023 is disclosed in the Fund’s Schedule of Investments.
Investment Transactions and Income
Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any,
are determined using the identified cost method.
Dividend income and capital gain
distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an
accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of
stock are recorded as dividend income at fair value.
The Fund invests in real estate
investment trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT
distributions initially as dividend income and re-designate a portion to return of capital or capital gain distributions at year-end based on information provided by the REIT and/or SSGA Funds Management, Inc.’s (the “Adviser” or
“SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to the Fund within the Company. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed
equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund within the Company.
Foreign Currency Translation The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars
using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the
transactions.
The effects
of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes
are recorded in accordance with SSGA FM's understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the
Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2023, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions The Fund declares and pays any dividends from net investment income annually.
Net realized capital gains, if any, are
distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations
which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3.Securities
and Other Investments
Delayed
Delivery Transactions and When-Issued Securities During the period ended June 30, 2023, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the
customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased
102
|
Notes to Financial
Statements |
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
on a delayed delivery or when-issued basis are
identified as such in the Fund’s Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, the Fund identifies
securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms,
or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions The Fund may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used
mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
The Fund may use TBA transactions to
“roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a TBA roll, the Fund generally will sell the obligation to purchase the pools stipulated in the TBA
agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. The Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement
date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
Default by or bankruptcy of a
counterparty to a TBA transaction would expose the Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction.
To minimize this risk, the Fund will enter into TBA transactions only with established counterparties. The Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to
shareholders.
4.Derivative Financial Instruments
Futures Contracts The Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon
entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Securities deposited, if any, are designated on the Schedule
of Investments and cash deposited, if any, is shown as Net cash collateral on deposit with broker for future contracts on the Statement of Assets and Liabilities. Subsequent payments are made or received by the Fund equal to the daily change in the
contract value, accumulated, exchange rates, and/or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a
realized gain or loss when the contract is closed.
Losses may arise if the value of a
futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves
the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended June 30, 2023, the
Fund entered into futures contracts for cash equitization.
Notes
to Financial Statements |
103
|
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
The following tables summarize the value
of the Fund’s derivative instruments as of June 30, 2023 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset
Derivatives |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Total Return V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
103,475 |
$
— |
$
103,475 |
Realized
Gain (Loss) |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Total Return V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
818,998 |
$
— |
$
818,998 |
Net
Change in Unrealized Appreciation/Depreciation |
|
Interest
Rate Risk |
Foreign
Exchange Risk |
Credit
Risk |
Equity
Risk |
Commodity
Risk |
Total
|
State
Street Total Return V.I.S. Fund |
|
|
|
|
|
|
Futures
Contracts |
$
— |
$
— |
$
— |
$
353,112 |
$
— |
$
353,112 |
5.Fees
and Transactions with Affiliates
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of the Fund. SSGA FM’s compensation for investment advisory and administrative services
(“Management Fee”) is paid monthly based on the average daily net assets of the Fund at an annualized rate of 0.35%.
Investor Service Plan — Class 1 and
Class 3 Shares The Company adopted an Investor Service Plan (the “Service Plan”) on December 9, 2005 for Class 1 shares and on May 1, 2009 for Class 3 shares of the Fund. The Service Plan was not adopted
pursuant to Rule 12b-1 under the 1940 Act. Each Service Plan provides that during any fiscal year, the amount of compensation paid under the Service Plan by the Fund Class 1 or Class 3 shares may not exceed the annual rate of 0.20% of the average
daily net assets of the Fund attributable to each such share class.
Distribution and Shareholder Service
(12b-1) Fees The Company has adopted a Distribution and Service (12b-1) Plan (the “12b-1 Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to each of Class 1 and Class 3 shares of the Fund.
Under the 12b-1 Plan for Class 1 shares that became effective May 1, 2009, payments made under the Class 1 Investor Service Plan are covered in the event that any portion of compensation paid pursuant to the Class 1 Investor Service Plan is
determined to be an indirect use of the assets attributable to the Class 1 shares to finance distribution of such shares. Under the 12b-1 Plan for Class 3 shares, the Company, on behalf of the Fund, may have compensated State Street Global Advisors
Funds Distributors, LLC (“SSGA FD”), the distributor of the shares of the Fund, for certain sales services provided by SSGA FD or other broker dealers and investor services provided by SSGA FD or other service providers relating to the
Fund’s Class 3 shares, including services to owners or prospective owners of variable contracts issued by insurance companies that offer Class 3 shares as an investment option under such variable contracts. The amount of compensation paid
under the 12b-1 Plan for Class 3 shares may not exceed 0.25% of the average daily net assets of the Fund attributable to such
104
|
Notes to Financial
Statements |
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
share class. The 12b-1 Plan continues in effect from
year to year for so long as such continuance is approved annually by the Board, including by those Directors who are not interested persons of the Company and who have no direct or indirect financial interest in the operation of the 12b-1 Plan or in
any agreement related to it. In addition, the Class 3 12b-1 Plan covers payments made under the Class 3 Investor Service Plan in the event that any portion of compensation paid pursuant to the Class 3 Investor Service Plan is determined to be an
indirect use of the assets attributable to the Class 3 shares to finance distribution of such shares.
Custody, Fund Accounting and
Sub-Administration Fees State Street Bank and Trust Company (“State Street”) serves as the custodian, fund accountant and sub-administrator to the Fund. Amounts paid by the Fund to State Street for
performing such services are included as custody, fund accounting and sub-administration fees in the Statement of Operations.
Other Transactions with Affiliates The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the
entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2023 are disclosed in the Schedule of Investments.
6.Directors'
Fees
The fees and expenses of the
Company’s directors who are not “interested persons” of the Company, as defined in the 1940 Act (“Independent Directors”), are paid directly by the Fund. The Independent Directors are reimbursed for travel and other
out-of-pocket expenses in connection with meeting attendance and industry seminars.
7.Investment
Transactions
Purchases and sales of
investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2023 were as follows:
U.S.
Government Securities |
Purchases
|
Sales
|
$
60,246,380 |
$
125,866,756 |
Non-U.S.
Government Securities |
Purchases
|
Sales
|
$
454,013,367 |
$
488,988,836 |
8.Income Taxes
The Fund has qualified and
intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any
net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund files federal and various state
and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state
returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2022, SSGA FM has analyzed the Fund's tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions
that would require recognition of a tax liability.
Distributions to shareholders are
recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Notes
to Financial Statements |
105
|
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
As of June 30, 2023, gross unrealized
appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Tax
Cost |
Gross
Unrealized Appreciation |
Gross
Unrealized Depreciation |
Net
Unrealized Appreciation (Depreciation) |
$
1,387,701,008 |
$
115,308,444 |
$
134,183,148 |
$
(18,874,704) |
9.Line
of Credit
The Fund and other
affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion revolving credit facility provided by a syndication of banks under which the Participants may
borrow to fund shareholder redemptions. This agreement expires in October 2023 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 operating expenses. A Participant
incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Fund had no outstanding loans as
of June 30, 2023.
10.Risks
Concentration Risk As a result of the Fund's ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
development may affect the value of the Fund's investments more than if the Fund was more broadly diversified.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in
governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and
liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of the Fund’s investments. The U.S. Federal Reserve has been engaged in an aggressive campaign to raise interest rates in an
effort to combat historically high levels of inflation. Interest rate increases may continue. High levels of inflation and/or a significantly changing interest rate environment can lead to heightened levels of volatility and reduced
liquidity.
Foreign and
Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government
regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund
invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Credit Risk
The Fund may be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and
prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market
liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the
106
|
Notes to Financial
Statements |
State Street Total Return V.I.S.
Fund
Notes to Financial Statements, continued — June
30, 2023 (Unaudited)
spread of infectious illness, such as COVID-19, or other
public health issues, or other events could have a significant impact on the Fund and its investments.
Russian Sanctions Risk Sanctions threatened or imposed by a number of jurisdictions, including the United States, the European Union and the United Kingdom, and other intergovernmental actions that have been or may be undertaken in the
future, against Russia, Russian entities or Russian individuals, may result in the devaluation of Russian currency, a downgrade in the country’s credit rating, an immediate freeze of Russian assets, a decline in the value and liquidity of
Russian securities, property or interests, and/or other adverse consequences to the Russian economy or a Fund. The scope and scale of sanctions in place at a particular time may be expanded or otherwise modified in a way that have negative effects
on a Fund. Sanctions, or the threat of new or modified sanctions, could impair the ability of a Fund to buy, sell, hold, receive, deliver or otherwise transact in certain affected securities or other investment instruments. Sanctions could also
result in Russia taking counter measures or other actions in response, which may further impair the value and liquidity of Russian securities. These sanctions, and the resulting disruption of the Russian economy, may cause volatility in other
regional and global markets and may negatively impact the performance of various sectors and industries, as well as companies in other countries, which could have a negative effect on the performance of a Fund, even if a Fund does not have direct
exposure to securities of Russian issuers. As a collective result of the imposition of sanctions, Russian government countermeasures and the impact that they have had on the trading markets for Russian securities, certain Funds have used, and may in
the future use, fair valuation procedures approved by the Fund’s Board to value certain Russian securities, which could result in such securities being deemed to have a zero value.
11.Recent
Accounting Pronouncement
In
December 2022, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2206 Reference Rate Reform (Topic 848). ASU No. 2022-06 updates and clarifies ASU No. 2020-04, which provides optional, temporary relief with
respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank-offered reference rates. The temporary relief provided by ASU No. 2022-06 is effective
immediately for certain reference rate-related contract modifications that occur through December 31, 2024. Management does not expect ASU No. 2022-06 to have a material impact on the financial statements.
12.Subsequent
Events
Management has evaluated
the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial
statements.
Notes
to Financial Statements |
107
|
State Street Total Return V.I.S.
Fund
Other Information — June 30,
2023 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has
adopted and implemented a liquidity risk management program (the "Program"). SSGA FM has been designated by the Board to administer the Fund’s Program. The Program’s principal objectives include assessing, managing and periodically
reviewing the Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’
interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the Program and assessing its adequacy and the effectiveness of the Program’s implementation for the period December 31,
2021 through December 31, 2022. SSGA FM reported that the Program operated adequately to meet the requirements of Rule 22e-4 and that the implementation of the Program has been effective.
There can be no assurance that the Program will achieve its
objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the
Adviser. A description of the Fund's proxy voting policies and procedures that are used by the Adviser to vote proxies relating to the Fund’s portfolios of securities are available (i) without charge, upon request by calling 1-800-242-0134
(toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Fund voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number,
on the SEC’s website at www.sec.gov and on the Fund's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Fund's first and third fiscal
quarter-ends, a complete Schedule of Investments is filed with the SEC as an exhibit to its reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov and on the Fund's website
at www.ssga.com. The Fund's Schedules of Investments are available upon request, without charge, by calling 1-800-242-0134 (toll free).
State Street Total Return V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
DIRECTOR CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT
ADVISORY AGREEMENT 1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the
“1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of directors or its
shareholders, and by a vote of a majority of those directors who are not “interested persons” of the fund (the “Independent Directors”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Directors
(the “Board”) of the State Street Variable Insurance Series Funds, Inc. (the “Company”) met in person on April 5, 2023 and May 10-11, 2023, including in executive sessions attended by the Independent Directors, to consider a
proposal to approve, with respect to the State Street Total Return V.I.S. Fund (the “Fund”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA
FM” or the “Adviser”). Prior to voting on the proposal, the Independent Directors reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent
Directors were separately represented by counsel who are independent of the Adviser (“Independent Counsel”) in connection with their consideration of approval of the Advisory Agreement. Following the April 5, 2023 meeting, the
Independent Directors submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 10-11, 2023 meeting. The Independent Directors considered, among other
things, the following:
Information about Performance, Expenses and Fees
•
|
A report prepared by an
independent third-party provider of investment company data, which includes for the Fund: |
○
|
Comparisons of the
Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2022, to the performance of an appropriate benchmark provided by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the
“Benchmark”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”) constructed by Broadridge; |
○
|
Comparisons
of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense
Universe”); |
_________________________________________
1 The Independent Directors have identified numerous relevant issues, factors and concerns ("issues, factors and concerns") that they
consider each year in connection with the proposed continuation of the advisory agreement, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the "annual review process").
The statement of issues, factors and concerns and the related conclusions of the Independent Directors may not change substantially from year to year. However, the information requested by, and provided to, the Independent Directors with respect to
the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Directors schedule annually a separate in-person meeting that is
dedicated to the annual review process (the "special meeting"). At the special meeting and throughout the annual review process, the Independent Directors take a fresh look at each of the issues, factors and concerns in light of the latest available
information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Directors
before the annual review process is completed and prior to the Independent Directors voting on proposals to approve continuation of the agreements and plans.
State Street Total Return V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
○
|
A chart showing the
Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and |
○
|
Comparisons
of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
•
|
Comparative information
concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
•
|
Profitability analyses for
(a) the Adviser with respect to the Fund and (b) affiliates of SSGA FM that provide services to the Fund (“Affiliated Service Providers”). |
Information about
Portfolio Management
•
|
Descriptions of the
investment management services provided by the Adviser, including its investment strategies and processes; |
•
|
Information concerning the
allocation of brokerage; and |
•
|
Information regarding the
procedures and processes used to value the assets of the Fund. |
Information about the
Adviser
•
|
Reports detailing the
financial results and condition of SSGA FM and its affiliates; |
•
|
Descriptions of the
qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolio of the Fund and for Fund operations; |
•
|
Information relating to
compliance with and the administration of the Code of Ethics adopted by the Adviser; |
•
|
Information about the
Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
•
|
Information concerning
the resources devoted by the Adviser to overseeing compliance by the Fund and its service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
•
|
A description of the
adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
•
|
A description of the business
continuity and disaster recovery plans of the Adviser; and |
•
|
Information regarding the
Adviser’s risk management processes. |
Other Relevant
Information
•
|
Information concerning the
nature, extent, quality and cost of services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
•
|
Information concerning
the nature, extent, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator and fund accountant of the Fund, and the role of the Adviser in managing
the Fund’s relationship with these service providers; |
•
|
Copies of the Advisory
Agreement and agreements with other service providers of the Fund; |
•
|
Responses to a request for
information reviewed prior to the April 5, 2023 and May 10-11, 2023 meetings by Independent Counsel, requesting specific information from each of: |
State Street Total Return V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
○
|
SSGA FM, in its capacity
as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins from such operations for the calendar year ended December 31, 2022; and the relevant operations of other Affiliated
Service Providers to the Fund, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2022; |
○
|
State Street Bank and Trust
Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Fund, with respect to its operations relating to the Fund; and |
○
|
State
Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Fund (the “Distributor”), with respect to its operations relating to the Fund, together with the Fund’s related
distribution plans and arrangements under Rule 12b-1 of the 1940 Act. |
•
|
Information from SSGA FM,
State Street, and the Distributor with respect to the Fund, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 10-11, 2023; and
|
•
|
Materials provided by
Broadridge, circulated to the Independent Directors and to Independent Counsel. |
In addition to the information identified above, the Board
considered information provided from time to time by the Adviser, and other service providers of the Fund throughout the year at meetings of the Board and its committees. At such meetings, the Directors received, among other things, presentations by
the portfolio managers and other investment professionals of the Adviser relating to the performance of the Fund and the investment strategies used in pursuing the Fund’s investment objective.
The Independent Directors were assisted throughout the
contract review process by their Independent Counsel. The Independent Directors relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the
weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Director may have placed
varying emphasis on particular factors in reaching conclusions with respect to the Fund.
Results of the
Process
Based on a consideration of the
foregoing and such other information as deemed relevant, including the factors and conclusions described below, at the meeting held on May 10-11, 2023, the Board, including a majority of the Independent Directors, voted to approve the continuation
of the Advisory Agreement effective June 1, 2023, for an additional year with respect to the Fund.
Nature, Extent and
Quality of Services
In considering whether to
approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Adviser.
The Board considered the Adviser’s management
capabilities and investment process with respect to the types of investments held by the Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and
similar services to the Fund. The Board evaluated the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the
substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing the Fund. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to
investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. The Directors also considered the
significant risks assumed by the Adviser in connection with the services provided to the Fund, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and
the time and attention devoted to the Fund by senior management, as well as the Adviser’s succession planning process.
State Street Total Return V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
The Board had previously reviewed the compliance programs
of SSGA FM and various Affiliated Service Providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent
trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information,
the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund
Performance
The Board compared the
Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2022. For purposes of these comparisons the Independent Directors relied
extensively on the Performance Group, Performance Universe and Benchmark and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the
Fund:
State Street Total Return V.I.S. Fund. The Board considered that the Fund’s performance was below the medians of its Performance Group and Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s
performance was above the Benchmark for the 1-year period and was below the Benchmark for the 3-, 5- and 10-year periods. The Board took into account management’s discussion of the Fund’s performance, including certain differences
between the Fund and the Performance Group.
On
the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is being appropriately monitored and/or addressed by management.
Management Fees and
Expenses
The Board reviewed the contractual
investment advisory fee rates payable by the Fund and actual fees paid by the Fund. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services
provided by SSGA FM, as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to
the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, as applicable. Among other information, the Board considered the following expense information in its evaluation of
the Fund:
State Street Total Return V.I.S. Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the
medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant
information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense
Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the
Adviser and its affiliates in providing investment advisory and other services to the Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by the Adviser and Affiliated Service Providers in
connection with their relationships with the Fund, including soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers with respect to
their services to the Fund and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Fund, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser
with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, were reasonable in relation to the services provided.
State Street Total Return V.I.S.
Fund
Other Information, continued — June 30,
2023 (Unaudited)
Economies of
Scale
In reviewing management fees and
profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Fund and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund and
fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Fund or the fund complex taken as a whole. The Board concluded that, in
light of the current size of the Fund and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Fund and the fund complex over various time periods, and the comparative management fee and expense ratio of
the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Fund to such an extent that previously agreed advisory fees should be reduced or that
breakpoints in such fees should be implemented for the Fund at this time.
Conclusions
In reaching its decision to approve the Advisory
Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Director may have contributed different weight to the various factors. Based upon the materials
reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Directors, concluded that the Adviser possesses the capability and resources to perform the duties
required of it under the Advisory Agreement.
Further,
based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Directors, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the
best interests of the Fund and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Directors
Patrick J. Riley, Chairperson
John R. Costantino
Michael A. Jessee
Margaret McLaughlin
George M. Pereira
Donna M. Rapaccioli
Richard D. Shirk
Mark E. Swanson
Officers
Ann M. Carpenter, President and Principal Executive Officer; Deputy Treasurer
Bruce S.
Rosenberg, Treasurer and Principal Financial Officer
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Arthur A. Jensen, Deputy Treasurer
David Lancaster, Assistant Treasurer
John Bettencourt, Assistant Treasurer
Brian Harris, Chief Compliance Officer, Anti-Money Laundering Officer, Code of Ethics Compliance Officer
Sean O'Malley, Chief Legal Officer
David Barr, Secretary
E. Gerard Maiorana, Jr., Assistant Secretary
David Urman, Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Congress Street
Boston, Massachusetts 02114
Distributor
State Street Global Advisors Funds
Distributors, LLC
One Iron
Street
Boston, Massachusetts
02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
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) |
Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) |
Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases
of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not
applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrants Board of Directors.
Item 11. Controls and Procedures.
(a) The Registrants principal executive officer and principal financial officer have concluded that the Registrants 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 Registrants 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 Registrants internal control over
financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13.
Exhibits.
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.
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Registrant: |
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STATE STREET VARIABLE INSURANCE SERIES FUNDS, INC. |
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By: |
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/s/ Ann M. Carpenter |
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Ann M. Carpenter |
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President (Principal Executive Officer) |
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Date: |
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August 25, 2023 |
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.
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By: |
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/s/ Ann M. Carpenter |
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Ann M. Carpenter |
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President (Principal Executive Officer) |
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Date: |
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August 25, 2023 |
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By: |
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/s/ Bruce S. Rosenberg |
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Bruce S. Rosenberg |
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Treasurer (Principal Financial and Accounting Officer) |
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Date: |
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August 25, 2023 |