N-MFP2 0001011008 XXXXXXXX 2022-06-30 0001011008 S000009767 1 N N SSGA Funds Management, Inc. 801-60103 Ernst & Young LLP Boston MA SSGA Funds Management, Inc. State Street Bank & Trust Co. 0000839287 085-05003 N N N Exempt Government Government/Agency N 1 31 7456940664.41 7459531996.47 8922795881.27 9385835962.86 7698540734.24 7593682472.30 8942795881.27 9437637962.86 0.00 0.8822 0.9054 0.9271 0.9304 0.9107 0.9217 0.9292 0.9356 0.0000 281721050.55 8774024215.12 8772973252.39 2627735.19 1129586.28 9056192451.85 9056169730.1000 1.0000 0.0158 1.0001 1.0001 1.0001 1.0001 0.0000 C000026831 1.00 9056192451.85 9056169730.1000 1.0001 1.0001 1.0001 1.0001 0.0000 2527625047.71 3250790171.66 2281531545.83 2495087545.58 4952862993.12 3568959678.66 3332908291.81 2869683445.90 0.00 0.00 15188177612.16 15648482737.32 0.0155 N Federal Home Loan Bank Federal Home Loan Bank 1.555000% 3130AKWQ5 2549001DPIFGXC1TOL40 US3130AKWQ54 U.S. Government Agency Debt Y 2022-07-01 2022-07-29 2022-07-29 N N N 0.0154 50000744.50 50000744.50 0.0055 N N N N Federal Home Loan Bank Federal Home Loan Bank 1.520000% 3130ANL65 2549001DPIFGXC1TOL40 US3130ANL650 U.S. Government Agency Debt Y 2022-07-01 2022-09-06 2022-09-06 N N N 0.0152 45000234.90 45000234.90 0.0050 N N N N Federal Home Loan Bank Federal Home Loan Bank 1.520000% 3130ANWS5 2549001DPIFGXC1TOL40 US3130ANWS59 U.S. Government Agency Debt Y 2022-07-01 2022-09-30 2022-09-30 N N N 0.0152 42100122.51 42100122.51 0.0046 N N N N Federal Home Loan Bank Federal Home Loan Bank 1.520000% 3130ANZT0 2549001DPIFGXC1TOL40 US3130ANZT06 U.S. Government Agency Debt Y 2022-07-01 2022-10-07 2022-10-07 N N N 0.0152 58899975.85 58899975.85 0.0065 N N N N Federal Home Loan Bank Federal Home Loan Bank 1.520000% 3130AP3L7 2549001DPIFGXC1TOL40 US3130AP3L73 U.S. Government Agency Debt Y 2022-07-01 2022-10-17 2022-10-17 N N N 0.0152 34999916.00 34999916.00 0.0039 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.515000% 3133EM4Y5 254900C5LP6DN9OP9V83 US3133EM4Y54 U.S. Government Agency Debt Y 2022-07-01 2022-09-13 2022-09-13 N N N 0.0154 23098861.63 23098861.63 0.0026 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.527500% 3133EM4Z2 254900C5LP6DN9OP9V83 US3133EM4Z20 U.S. Government Agency Debt Y 2022-07-01 2023-07-14 2023-07-14 N N N 0.0154 11999224.56 11999224.56 0.0013 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.530000% 3133EM5N8 254900C5LP6DN9OP9V83 US3133EM5N80 U.S. Government Agency Debt Y 2022-07-01 2023-08-21 2023-08-21 N N N 0.0154 19998370.60 19998370.60 0.0022 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.595000% 3133EMCF7 254900C5LP6DN9OP9V83 US3133EMCF78 U.S. Government Agency Debt Y 2022-07-01 2022-10-07 2022-10-07 N N N 0.0152 39508028.77 39508028.77 0.0044 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.786300% 3133EMD41 254900C5LP6DN9OP9V83 US3133EMD416 U.S. Government Agency Debt Y 2022-07-01 2023-04-03 2023-04-03 N N N 0.0164 23970501.19 23970501.19 0.0026 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.590000% 3133EMDQ2 254900C5LP6DN9OP9V83 US3133EMDQ25 U.S. Government Agency Debt Y 2022-07-01 2022-10-14 2022-10-14 N N N 0.0152 26005807.62 26005807.62 0.0029 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.565000% 3133EMPZ9 254900C5LP6DN9OP9V83 US3133EMPZ95 U.S. Government Agency Debt Y 2022-07-01 2023-02-09 2023-02-09 N N N 0.0153 5301378.90 5301378.90 0.0006 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.535000% 3133EMVQ2 254900C5LP6DN9OP9V83 US3133EMVQ23 U.S. Government Agency Debt Y 2022-07-01 2023-01-12 2023-01-12 N N N 0.0152 40002800.80 40002800.80 0.0044 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.530000% 3133EMXK3 254900C5LP6DN9OP9V83 US3133EMXK35 U.S. Government Agency Debt Y 2022-07-01 2022-10-27 2022-10-27 N N N 0.0152 28500909.72 28500909.72 0.0031 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.792800% 3133EMXZ0 254900C5LP6DN9OP9V83 US3133EMXZ04 U.S. Government Agency Debt Y 2022-07-01 2023-05-03 2023-05-03 N N N 0.0174 31407092.95 31407092.95 0.0035 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.530000% 3133EMZK1 254900C5LP6DN9OP9V83 US3133EMZK17 U.S. Government Agency Debt Y 2022-07-01 2022-12-14 2022-12-14 N N N 0.0153 4687160.25 4687160.25 0.0005 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.530000% 3133EMZL9 254900C5LP6DN9OP9V83 US3133EMZL99 U.S. Government Agency Debt Y 2022-07-01 2023-03-14 2023-03-14 N N N 0.0155 52825282.63 52825282.63 0.0058 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.785300% 3133ENAS9 254900C5LP6DN9OP9V83 US3133ENAS90 U.S. Government Agency Debt Y 2022-07-01 2023-10-12 2023-10-12 N N N 0.0167 25023967.00 25023967.00 0.0028 N N N N Federal Farm Credit Bank Federal Farm Credit Bank 1.560000% 3133ENWG1 254900C5LP6DN9OP9V83 US3133ENWG15 U.S. Government Agency Debt Y 2022-07-01 2024-05-09 2024-05-09 N N N 0.0156 14801289.97 14801289.97 0.0016 N N N N ING Financial Markets LLC Tri Party Repo ING Financial Markets LLC Tri Party Repo 1.560000% 0000319432 46599J009_1.56_0728 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mortgage Assoc. 2051-07-01 2.000000 9265916.00 7463924.39 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2051-08-01 3.000000 1000.00 896.73 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2052-05-01 3.000000 971200.00 893297.69 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2052-06-01 4.500000 1380672.00 1399297.27 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2049-11-01 3.000000 1994432.00 441678.78 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2050-02-01 2.500000 429500.00 131234.45 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2051-04-01 2.500000 391978.00 293368.38 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2040-11-01 4.000000 3677.00 524.04 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2050-10-20 2.000000 10375968.00 7078634.92 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2040-09-01 2.150000 5160.00 78.64 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2036-07-01 2.372000 2182.00 12.44 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2038-04-01 2.525000 8294.00 172.88 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2044-09-01 4.000000 1028.00 92.75 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2040-12-01 5.500000 310661.00 16888.13 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2041-02-01 5.500000 93188.00 6114.02 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2044-10-01 4.000000 5139457.00 1260792.27 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2045-10-01 3.500000 10962000.00 3706878.56 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2042-08-01 4.000000 6289104.00 771481.85 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2042-08-01 4.000000 11000000.00 1628901.01 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2042-10-01 4.000000 5886462.00 1211755.10 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2042-12-01 4.000000 3548804.00 460960.73 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2043-03-01 4.000000 4734553.00 1284723.52 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2039-11-01 2.100000 22063904.00 495500.11 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2028-08-01 3.000000 41342.00 6222.57 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2028-11-01 3.500000 2376780.00 332515.05 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2043-12-01 4.000000 3500000.00 795679.97 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2043-12-01 4.000000 383100.00 111262.11 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2034-06-01 4.500000 5884151.00 266103.86 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2057-02-01 4.500000 1789029.00 662736.01 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2047-08-01 4.000000 3028416.00 856789.77 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2048-06-01 4.000000 1925182.00 1213500.63 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2048-08-01 4.500000 1209358.00 913184.03 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2047-09-01 3.500000 196328.00 72862.88 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2049-05-01 4.500000 3589230.00 1365657.81 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2048-05-01 3.500000 853772.00 556276.67 Agency Mortgage-Backed Securities Y 2022-07-28 2022-07-28 2022-07-28 N N N 0.0156 35000000.00 35000000.00 0.0039 N N N Y U.S. Treasury Note U.S. Treasury Note 1.813000% 91282CAA9 254900HROIFWPRGM1V77 US91282CAA99 U.S. Treasury Debt Y 2022-07-01 2022-07-31 2022-07-31 N N N 0.0150 75019257.00 75019257.00 0.0083 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.813000% 91282CAS0 254900HROIFWPRGM1V77 US91282CAS08 U.S. Treasury Debt Y 2022-07-01 2022-10-31 2022-10-31 N N N 0.0151 10961010.78 10961010.78 0.0012 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.807000% 91282CBK6 254900HROIFWPRGM1V77 US91282CBK62 U.S. Treasury Debt Y 2022-07-01 2023-01-31 2023-01-31 N N N 0.0153 158125803.07 158125803.07 0.0175 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.792000% 91282CBY6 254900HROIFWPRGM1V77 US91282CBY66 U.S. Treasury Debt Y 2022-07-01 2023-04-30 2023-04-30 N N N 0.0155 74084385.11 74084385.11 0.0082 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.787000% 91282CCQ2 254900HROIFWPRGM1V77 US91282CCQ24 U.S. Treasury Debt Y 2022-07-01 2023-07-31 2023-07-31 N N N 0.0158 234056159.45 234056159.45 0.0258 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.793000% 91282CDE8 254900HROIFWPRGM1V77 US91282CDE84 U.S. Treasury Debt Y 2022-07-01 2023-10-31 2023-10-31 N N N 0.0161 21452464.03 21452464.03 0.0024 N Y Y N U.S. Treasury Note U.S. Treasury Note 1.743000% 91282CDU2 254900HROIFWPRGM1V77 US91282CDU27 U.S. Treasury Debt Y 2022-07-01 2024-01-31 2024-01-31 N N N 0.0167 3193465.33 3193465.33 0.0004 N Y Y N Bank of America Tri Party Repo Bank of America Tri Party Repo 1.550000% B4TYDEB6GKMZO031MB27 0001102113 929AAV007_1.55_0701 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Mortgage Corp. 2044-12-01 3.000000 679231259.00 190136930.40 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2045-04-01 3.500000 312213848.00 64863069.81 Agency Mortgage-Backed Securities Y 2022-07-01 2022-07-01 2022-07-01 N N N 0.0155 250000000.00 250000000.00 0.0276 N Y Y N JPM Chase Tri Party Repo JPM Chase Tri Party Repo 1.550000% ZBUT11V806EZRVTWT807 930PNG000_1.55_0701 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Mortgage Corp. 2047-08-01 N/A 16028765.00 15825087.48 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2046-01-01 4.010000 9000000.00 7974065.57 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2048-08-01 4.000000 100373502.00 22100847.06 Agency Mortgage-Backed Securities Y 2022-07-01 2022-07-01 2022-07-01 N N N 0.0155 45000000.00 45000000.00 0.0050 N Y Y N MUFG Securities Repo MUFG Securities Repo 1.550000% 931NXA006_1.55_0701 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2041-11-15 3.125000 16985800.00 16346178.47 U.S. Treasuries (including strips) US TREASURY N/B 2027-05-15 2.375000 30779900.00 29844479.60 U.S. Treasuries (including strips) US TREASURY N/B 2024-03-15 0.250000 9347700.00 8929466.63 U.S. Treasuries (including strips) Y 2022-07-01 2022-07-01 2022-07-01 N N N 0.0155 54000000.00 54000000.00 0.0060 N Y Y N Canadian Imperial Bank of Commerce Tri Party Repo Canadian Imperial Bank of Commerce Tri Party Repo 1.550000% 2IGI19DL77OX0HC3ZE78 0000800030 934MKX009_1.55_0706 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal Home Loan Mortgage Corp. 2038-10-01 3.231000 3034.00 96.97 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2043-10-20 3.500000 1823221.00 1560740.40 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2052-04-01 3.500000 175581.00 167849.73 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2047-02-01 4.000000 1000.00 213.30 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2050-10-01 2.500000 818110.00 599647.96 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2052-03-01 2.500000 2861472.00 2553466.03 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2048-11-01 4.500000 1006.00 535.91 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2051-01-01 2.500000 38403.00 28463.40 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2051-09-01 2.500000 277049.00 234901.57 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2051-12-01 3.000000 1809.00 1549.20 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2052-03-01 3.000000 12017.00 11285.95 Agency Mortgage-Backed Securities Federal National Mortgage Assoc. 2035-01-01 2.228000 12302.00 774.79 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2049-03-20 4.500000 44369599.00 5379584.35 Agency Mortgage-Backed Securities GOVERNMENT NATIONAL MORTGAGE A 2047-07-20 3.500000 18001058.00 9858431.90 Agency Mortgage-Backed Securities Federal Home Loan Mortgage Corp. 2035-09-01 1.500000 4398.00 2458.54 Agency Mortgage-Backed Securities Y 2022-07-07 2022-07-07 2022-07-07 N N N 0.0155 20000000.00 20000000.00 0.0022 N N Y N Fixed Income Clearing Co Tri Party Repo Fixed Income Clearing Co Tri Party Repo 1.550000% 93748 0000093748 934QYA005_1.55_0701 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2028-11-15 3.125000 15307700.00 15300065.28 U.S. Treasuries (including strips) Y 2022-07-01 2022-07-01 2022-07-01 N N N 0.0155 15000000.00 15000000.00 0.0017 N Y Y N Federal Reserve Bank Tri Party Repo Federal Reserve Bank Tri Party Repo 1.550000% 0001457970 984CCH004_1.55_0701 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N US TREASURY N/B 2023-05-15 1.750000 6647318100.00 6595651820.07 U.S. Treasuries (including strips) US TREASURY N/B 2023-08-15 2.500000 3668800.00 3682092.81 U.S. Treasuries (including strips) US TREASURY N/B 2024-03-31 2.125000 607151100.00 600597796.35 U.S. Treasuries (including strips) US TREASURY N/B 2024-01-15 0.125000 395500.00 378367.02 U.S. Treasuries (including strips) Y 2022-07-01 2022-07-01 2022-07-01 N N N 0.0155 7200000000.00 7200000000.00 0.7950 N Y Y N State Street Navigator Securities Lending Trust 2022-07-08 /s/ Chad Hallet Chad Hallett Treasurer