State Street Master Funds N-CSRS Certified semi-annual shareholder report (management investment company)

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: 811-09599

STATE STREET MASTER FUNDS

(Exact name of registrant as specified in charter)

P.O. Box 5501
Boston, Massachusetts 02206

(Address of principal executive offices)(Zip code)

(Name and Address of Agent for Service)	Copy to:
David James, Secretary	Timothy W. Diggins, Esq.
Vice President and Managing Counsel	Ropes & Gray LLP
State Street Bank and Trust Company	Prudential Tower
4 Copley Place, 5th floor CPH 0326	800 Boylston Street
Boston, Massachusetts 02116	Boston, MA 02199-3600

Registrant’s telephone number, including area code: (617) 662-1742

Date of fiscal year end: December 31

Date of reporting period: June 30, 2011

TABLE OF CONTENTS

	Item 1: Shareholder Report
	Notes to Financial Statements
	Item 2. Code of Ethics
	Item 3. Audit Committee Financial Expert
	Item 4. Principal Accountant Fees and Services
	Item 5. Audit Committees of Listed Registrants
	Item 6. Schedule of Investments
	Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
	Item 8. Portfolio Managers of Closed-End Management Investment Companies
	Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
	Item 10. Submission of Matters to a Vote of Security Holders
	Item 11. Controls and Procedures
	Item 12. Exhibits
SIGNATURES

Item 1: Shareholder Report

STATE STREET MASTER FUNDS

SEMI-ANNUAL REPORT

June 30, 2011

(Unaudited)

State Street Money Market Portfolio

State Street Tax Free Money Market Portfolio

State Street U.S. Government Money Market Portfolio

State Street Treasury Money Market Portfolio

State Street Treasury Plus Money Market Portfolio

State Street Master Funds

EXPENSE EXAMPLE

As a shareholder of the below listed (the “Portfolios”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2011 to June 30, 2011.

The table below illustrates your Portfolio’s costs in two ways:

•  Based on actual fund return.  This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, 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 for the Portfolio under the heading “Expenses Paid During Period”.

•  Based on hypothetical 5% return.  This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended June 30, 2011

	Beginning	Ending	Expenses Paid
	Account Value	Account Value	During
	January 1, 2011	June 30, 2011	Period *
Based on Actual Portfolio Return
Money Market Portfolio	$1,000.00	$1,001.10	$0.35
Tax Free Money Market Portfolio	$1,000.00	$1,000.50	$0.50
U.S. Government Money Market Portfolio	$1,000.00	$1,000.30	$0.40
Treasury Money Market Portfolio	$1,000.00	$999.40	$0.40
Treasury Plus Money Market Portfolio	$1,000.00	$1,000.20	$0.40

2

State Street Master Funds

EXPENSE EXAMPLE(continued)

	Beginning	Ending	Expenses Paid
	Account Value	Account Value	During
	January 1, 2011	June 30, 2011	Period *
Based on Hypothetical (5% return before expenses)
Money Market Portfolio	$1,000.00	$1,024.45	$0.35
Tax Free Money Market Portfolio	$1,000.00	$1,024.30	$0.50
U.S. Government Money Market Portfolio	$1,000.00	$1,024.40	$0.40
Treasury Money Market Portfolio	$1,000.00	$1,024.40	$0.40
Treasury Plus Money Market Portfolio	$1,000.00	$1,024.40	$0.40

*  The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized average weighted expense ratio as of June 30, 2011 was as follows:

Money Market Portfolio	0.07%
Tax Free Money Market Portfolio	0.10%
U.S. Government Money Market Portfolio	0.08%
Treasury Money Market Portfolio	0.08%
Treasury Plus Money Market Portfolio	0.08%

The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 181/365 (the most recent six month period).

3

State Street Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
Certificates of Deposit	57.4	%
Government Agency Repurchase Agreements	14.1
Financial Company Commercial Paper	9.8
Other Notes	9.4
Treasury Repurchase Agreements	6.2
Asset Backed Commercial Paper	1.6
Other Assets In Excess of Liabilities	1.5
Total	100.0	%

Maturity Ladder*	June 30, 2011
Overnight (1 Day)	27.5	%
2-30 Days	17.2
31-60 Days	14.8
61-90 Days	18.3
Over 90 Days	22.2
Total	100.0	%
Average days to maturity	33
Weighted average life	70

*  As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

4

State Street Money Market Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
ASSET BACKED COMMERCIAL PAPER – 1.6%
Aspen Funding Corp.(a)		0.260	%		07/26/2011		07/26/2011	$	118,000,000	$	117,978,694
Kells Funding LLC(a)		0.240	%		09/13/2011		09/13/2011		80,000,000		79,960,533
Kells Funding LLC(a)		0.240	%		09/13/2011		09/14/2011		110,000,000		109,945,000
Solitaire Funding LLC(a)		0.290	%		07/05/2011		07/05/2011		145,000,000		144,995,328
TOTAL ASSET BACKED COMMERCIAL PAPER											452,879,555
FINANCIAL COMPANY COMMERCIAL PAPER – 9.8%
BPCE SA(a)		0.300	%		07/18/2011		07/18/2011		260,000,000		259,963,167
BPCE SA(a)		0.315	%		07/21/2011		07/21/2011		120,000,000		119,979,333
BPCE SA(a)		0.300	%		07/26/2011		07/26/2011		115,000,000		114,976,042
BPCE SA(a)		0.300	%		08/03/2011		08/03/2011		125,000,000		124,959,896
BPCE SA(a)		0.386	%		08/08/2011		08/08/2011		165,000,000		164,933,817
Caisse D’Amortissement de la Dette Sociale(a)		0.228	%		09/12/2011		09/12/2011		410,000,000		409,812,937
DnB NOR Bank ASA(a)(c)		0.290	%		07/19/2011		01/19/2012		154,000,000		154,000,000
General Electric Capital Corp.		0.305	%		07/25/2011		07/25/2011		225,000,000		224,955,000
General Electric Capital Corp.		0.300	%		09/12/2011		09/12/2011		100,000,000		99,939,167
Nationwide Building Society(a)		0.370	%		07/15/2011		07/15/2011		100,000,000		99,986,000
Societe Generale		0.410	%		09/12/2011		09/12/2011		200,000,000		199,837,778
Societe Generale		0.360	%		09/27/2011		09/27/2011		200,000,000		199,824,000
Svenska Handelsbanken AB(a)		0.210	%		09/16/2011		09/16/2011		425,000,000		424,809,104
Swedbank AB		0.230	%		08/18/2011		08/18/2011		45,000,000		44,986,500
Swedbank AB		0.230	%		08/19/2011		08/19/2011		150,000,000		149,954,062
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER											2,792,916,803
CERTIFICATES OF DEPOSIT – 57.4%
Bank of Montreal		0.226	%		07/26/2011		07/26/2011		91,000,000		91,000,000
Bank of Montreal(c)		0.347	%		07/06/2011		07/05/2012		94,000,000		94,000,000
Bank of Nova Scotia		0.200	%		07/26/2011		07/26/2011		270,000,000		270,000,000
Bank of Nova Scotia		0.200	%		08/02/2011		08/02/2011		182,500,000		182,500,000
Bank of Nova Scotia		0.170	%		09/08/2011		09/08/2011		300,000,000		300,000,000
Bank of Nova Scotia(c)		0.331	%		08/16/2011		06/15/2012		38,000,000		38,000,000
Barclays Bank		0.507	%		07/15/2011		07/15/2011		450,000,000		450,000,000
Barclays Bank(c)		0.469	%		07/14/2011		11/14/2011		500,000,000		500,000,000
Barclays Bank(c)		0.460	%		07/11/2011		01/10/2012		300,000,000		300,000,000
Barclays Bank(c)		0.416	%		07/18/2011		02/16/2012		150,000,000		150,000,000
BNP Paribas		0.560	%		08/11/2011		08/11/2011		225,000,000		225,000,000
BNP Paribas		0.320	%		11/07/2011		11/07/2011		200,000,000		200,000,000
BNP Paribas		0.420	%		11/10/2011		11/10/2011		200,000,000		200,000,000
BNP Paribas		0.380	%		12/07/2011		12/07/2011		500,000,000		500,000,000
Canadian Imperial Bank of Commerce		0.236	%		07/19/2011		07/19/2011		400,000,000		400,000,000

See Notes to Financial Statements.

5

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
CERTIFICATES OF DEPOSIT (continued)
Credit Agricole Corporate and Investment Bank		0.400	%		07/14/2011		07/14/2011	$	300,000,000	$	300,000,000
Credit Agricole Corporate and Investment Bank(c)		0.441	%		07/01/2011		09/01/2011		400,000,000		400,000,000
Credit Agricole Corporate and Investment Bank		0.420	%		09/06/2011		09/06/2011		300,000,000		300,000,000
Credit Agricole Corporate and Investment Bank		0.440	%		07/07/2011		09/07/2011		200,000,000		200,000,000
Credit Agricole Corporate and Investment Bank		0.430	%		10/21/2011		10/21/2011		200,000,000		200,000,000
Credit Suisse		0.320	%		07/25/2011		07/25/2011		195,000,000		195,000,000
Credit Suisse		0.190	%		08/12/2011		08/12/2011		250,000,000		250,000,000
Credit Suisse(c)		0.340	%		07/28/2011		07/03/2012		187,000,000		187,000,000
Deutsche Bank AG		0.320	%		07/25/2011		07/25/2011		600,000,000		600,000,000
Deutsche Bank AG		0.240	%		08/23/2011		08/23/2011		250,000,000		250,000,000
Deutsche Bank AG		0.230	%		09/19/2011		09/19/2011		125,000,000		125,000,000
Deutsche Bank AG(c)		0.390	%		07/05/2011		04/03/2012		100,000,000		100,000,000
ING Bank NV		0.410	%		08/08/2011		08/08/2011		150,000,000		150,000,000
ING Bank NV		0.480	%		08/15/2011		08/15/2011		175,000,000		175,000,000
ING Bank NV		0.430	%		09/01/2011		09/01/2011		200,000,000		200,000,000
ING Bank NV		0.400	%		09/02/2011		09/02/2011		250,000,000		250,000,000
ING Bank NV		0.400	%		09/14/2011		09/14/2011		150,000,000		150,000,000
ING Bank NV		0.460	%		10/03/2011		10/03/2011		250,000,000		250,000,000
ING Bank NV		0.400	%		12/15/2011		12/15/2011		250,000,000		250,000,000
Lloyds TSB Bank		0.400	%		07/01/2011		07/01/2011		450,000,000		450,000,000
Lloyds TSB Bank		0.400	%		08/29/2011		08/29/2011		150,000,000		150,000,000
Lloyds TSB Bank		0.400	%		12/05/2011		12/05/2011		350,000,000		350,000,000
National Australia Bank Ltd.(c)		0.270	%		07/05/2011		04/26/2012		263,000,000		263,000,000
National Australia Bank Ltd.(c)		0.270	%		07/08/2011		06/06/2012		200,000,000		200,000,000
National Australia Bank Ltd.(c)		0.270	%		07/11/2011		06/07/2012		150,000,000		150,000,000
Nordea Bank Finland		0.200	%		07/28/2011		07/28/2011		300,000,000		300,000,000
Nordea Bank Finland		0.190	%		08/10/2011		08/10/2011		250,000,000		250,000,000
Nordea Bank Finland		0.190	%		08/11/2011		08/11/2011		500,000,000		500,000,000
Rabobank Nederland NV		0.380	%		07/13/2011		07/13/2011		400,000,000		400,000,000
Rabobank Nederland NV		0.360	%		08/25/2011		08/25/2011		200,000,000		200,000,000
Rabobank Nederland NV(c)		0.270	%		07/07/2011		12/07/2011		250,000,000		250,000,000
Rabobank Nederland NV(c)		0.290	%		07/05/2011		04/02/2012		225,000,000		225,000,000
Rabobank Nederland NV(c)		0.249	%		07/14/2011		05/14/2012		140,000,000		140,000,000
Rabobank Nederland NV(c)		0.259	%		07/14/2011		05/14/2012		140,000,000		140,000,000
Royal Bank of Canada		0.330	%		08/15/2011		08/15/2011		115,000,000		115,000,000
Royal Bank of Scotland		0.510	%		08/08/2011		08/08/2011		200,000,000		200,000,000
Royal Bank of Scotland		0.510	%		08/12/2011		08/12/2011		200,000,000		200,000,000

See Notes to Financial Statements.

6

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
CERTIFICATES OF DEPOSIT (continued)
Royal Bank of Scotland		0.510	%		08/22/2011		08/22/2011	$	200,000,000	$	200,000,000
Royal Bank of Scotland(c)		0.425	%		07/18/2011		09/12/2011		300,000,000		300,000,000
Royal Bank of Scotland		0.400	%		10/24/2011		10/24/2011		400,000,000		400,000,000
Skandinaviska Enskilda Banken AB		0.380	%		08/05/2011		08/05/2011		125,000,000		125,000,000
Societe Generale SA		0.450	%		07/05/2011		07/05/2011		400,000,000		400,000,000
Societe Generale SA		0.480	%		09/01/2011		09/01/2011		225,000,000		225,000,000
Societe Generale SA(c)		0.470	%		07/07/2011		09/07/2011		250,000,000		250,000,000
Svenska Handelsbanken AB		0.220	%		07/27/2011		07/27/2011		100,000,000		100,000,361
Toronto Dominion Bank		0.190	%		07/26/2011		07/26/2011		100,000,000		100,000,000
Toronto Dominion Bank(c)		0.256	%		07/28/2011		10/28/2011		72,000,000		72,000,000
Toronto Dominion Bank(c)		0.270	%		07/12/2011		01/12/2012		111,000,000		111,000,000
UBS AG		0.390	%		09/26/2011		09/26/2011		600,000,000		600,000,000
UBS AG		0.220	%		09/29/2011		09/29/2011		150,000,000		150,000,000
UBS AG(c)		0.363	%		08/04/2011		02/06/2012		180,000,000		180,000,000
UniCredit SpA		0.240	%		07/01/2011		07/01/2011		200,000,000		200,000,000
UniCredit SpA		0.240	%		07/13/2011		07/13/2011		75,000,000		75,000,000
TOTAL CERTIFICATES OF DEPOSIT											16,403,500,361
OTHER NOTES – 9.4%
Bank of America NA(c)		0.286	%		07/27/2011		07/27/2011		75,000,000		75,000,000
Bank of America NA(c)		0.291	%		07/01/2011		08/01/2011		230,000,000		230,000,000
Bank of America NA		0.290	%		08/08/2011		08/08/2011		90,000,000		90,000,000
Bank of America NA(c)		0.266	%		07/22/2011		08/22/2011		200,000,000		200,000,000
Bank of America NA(c)		0.257	%		07/15/2011		09/15/2011		125,000,000		125,000,000
Bank of Nova Scotia		0.010	%		06/30/2011		07/01/2011		250,000,000		250,000,000
Commonwealth Bank of Australia(b)(c)		0.344	%		07/27/2011		07/26/2012		31,000,000		31,000,000
Deutsche Bank AG		0.010	%		07/01/2011		07/01/2011		50,000,000		50,000,000
National Australia Bank Ltd.		0.030	%		07/01/2011		07/01/2011		250,000,000		250,000,000
Natixis Commercial Paper Corp.		0.100	%		07/01/2011		07/01/2011		400,000,000		400,000,000
Nordea Bank AB(b)(c)		0.361	%		08/18/2011		07/17/2012		174,000,000		174,000,000
Rabobank Nederland NV(b)(c)		0.331	%		08/16/2011		06/15/2012		107,000,000		107,000,000
Royal Bank of Canada		0.010	%		07/01/2011		07/01/2011		125,000,000		125,000,000
Svenska Handelsbanken		0.040	%		07/01/2011		07/01/2011		200,000,000		200,000,000
Svenska Handelsbanken AB(b)(c)		0.368	%		08/09/2011		05/08/2012		40,000,000		40,000,000
Svenska Handelsbanken AB(b)(c)		0.311	%		08/17/2011		05/16/2012		300,000,000		300,000,000
Westpac Banking Corp.(c)		0.343	%		07/28/2011		07/27/2012		35,000,000		35,000,000
TOTAL OTHER NOTES											2,682,000,000

See Notes to Financial Statements.

7

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 14.1%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 4.500% due 08/01/2039, and Federal National Mortgage Association, 5.000% – 5.500% due 11/01/2033 – 08/01/2036 valued at $408,000,000); proceeds $400,000,556		0.050	%		07/01/2011		07/01/2011	$	400,000,000	$	400,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Farm Credit Bank, 0.000% – 0.260% due 05/02/2012 – 10/28/2013, Federal Home Loan Bank, 0.000% – 5.250% due 07/15/2011 – 06/12/2037, Federal Home Loan Mortgage Corporation, 0.000% – 6.070% due 09/07/2011 – 01/19/2027 and Federal National Mortgage Association, 0.625% – 7.250% due 04/20/2012 – 11/07/2036 valued at $510,000,046); proceeds $500,000,417		0.030	%		07/01/2011		07/01/2011		500,000,000		500,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 1.323% – 3.500% due 06/15/2035 – 05/15/2026 and Federal National Mortgage Association, 0.943% – 5.000% due 06/25/2038 – 02/25/2040 valued at $510,000,001); proceeds $500,001,111		0.080	%		07/01/2011		07/01/2011		500,000,000		500,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 01/15/2041 and Federal National Mortgage Association, 0.315% – 5.660% due 01/25/2027 – 06/25/2041 valued at $306,000,001); proceeds $300,000,333		0.040	%		07/01/2011		07/01/2011		300,000,000		300,000,000

See Notes to Financial Statements.

8

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS (continued)
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & co., (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 0.000% – 6.500% due 04/15/2018 – 04/15/2041, Federal National Mortgage Association, 0.000% – 5.500% due 11/25/2016 – 10/25/2040, Government National Mortgage Association, 0.567% – 6.000% due 05/16/2029 – 02/16/2043 and Vendee Mortgage Trust, 3.750% – 4.250% due 02/12/2035 valued at $306,003,603); proceeds $300,000,417		0.050	%		07/01/2011		07/01/2011	$	300,000,000	$	300,000,000
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 0.628% – 6.500% due 10/15/2030 – 03/01/2041 and Federal National Mortgage Association, 0.444% – 6.000% due 11/01/2024 – 05/01/2041 valued at $510,000,001); proceeds $500,000,694		0.050	%		07/01/2011		07/01/2011		500,000,000		500,000,000
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 4.000% – 6.000% due 08/01/2024 – 06/01/2041 and Federal National Mortgage Association, 5.000% due 07/01/2037 valued at $510,000,000); proceeds $500,001,111		0.080	%		07/01/2011		07/01/2011		500,000,000		500,000,000
Agreement with Royal Bank of Canada and The Bank of New York Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal National Mortgage Association, 5.000% due 07/01/2035 valued at $306,000,000); proceeds $300,000,417		0.050	%		07/01/2011		07/01/2011		300,000,000		300,000,000
Agreement with Societe Generale and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 4.500% – 6.500% due 08/01/2017 – 07/01/2039 and Federal National Mortgage Association, 4.000% – 6.000% due 11/01/2013 – 03/01/2040 valued at $255,000,001); proceeds $250,000,486		0.070	%		07/01/2011		07/01/2011		250,000,000		250,000,000

See Notes to Financial Statements.

9

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS (continued)
Agreement with UBS Securities, LLC and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Mortgage Corporation, 4.000% – 6.000% due 05/01/2036 – 02/01/2041 and Federal National Mortgage Association, 3.500% – 6.000% due 02/01/2024 – 07/01/2041 valued at $510,000,001); proceeds $500,000,833		0.060	%		07/01/2011		07/01/2011	$	500,000,000	$	500,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											4,050,000,000
TREASURY REPURCHASE AGREEMENTS – 6.2%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Strips, 5.250% due 02/15/2029 valued at $72,930,012); proceeds $71,500,020		0.010	%		07/01/2011		07/01/2011		71,500,000		71,500,000
Agreement with Credit Suisse Securities (USA) LLC Bank Securities, Inc. and JP Morgan Chase & Co., (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Notes, 2.625% – 4.250% due 11/15/2012 – 06/30/2014 valued at $459,000,516); proceeds $450,000,125		0.010	%		07/01/2011		07/01/2011		450,000,000		450,000,000
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2016 – 02/15/2040 valued at $510,000,018); proceeds $500,000,139		0.010	%		07/01/2011		07/01/2011		500,000,000		500,000,000
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co., (Tri-Party), dated 06/30/2011 (collateralized by a U.S. Treasury Bond, 6.375% – 6.875% due 08/15/2025 – 08/15/2027 and U.S. Treasury Notes, 0.750% – 4.375% due 03/15/2012 – 11/15/2020 valued at $765,003,336); proceeds $750,000,208		0.010	%		07/01/2011		07/01/2011		750,000,000		750,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											1,771,500,000
TOTAL INVESTMENTS(d)† – 98.5%											28,152,796,719
Other Assets in Excess of Liabilities – 1.5%											434,592,454
NET ASSETS – 100.0%										$	28,587,389,173

(a) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund’s Portfolio Manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $2,326,299,851 or 8.14% of net assets as of June 30, 2011.

See Notes to Financial Statements.

10

State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

(b)	Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. These securities represent $652,000,000 or 2.28% of net assets as of June 30, 2011.
(c)	Variable Rate Security- Interest rate shown is rate in effect as of June 30, 2011.
(d)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
†	See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

11

State Street Tax Free Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
Education	17.6	%
General Obligations	16.6
Cash/Money Market Fund	13.5
Transportation	13.1
Health	13.0
Housing	7.1
Water	6.9
Lease Revenue	2.8
Industrial Revenue/Pollution Control Revenue	2.2
Utility	2.1
Development	1.9
Tax Revenue	1.5
Public Agency	1.0
Electric Power	0.4
Stadium	0.3
Total	100.0	%

Maturity Ladder*	June 30, 2011
Overnight (1 Day)	17.7	%
2-30 Days	82.3
31-60 Days	0.0
61-90 Days	0.0
Over 90 Days	0.0
Total	100.0	%
Average days to maturity	6
Weighted average life	6

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

12

State Street Tax Free Money Market Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES – 86.5%
Alabama – 1.0%
Lower Alabama Gas District, Revenue Bonds, Series A, LIQ: Societe Generale(a)		0.130	%		07/07/2011		07/07/2011	$	3,772,000	$	3,772,000
Arizona – 2.8%
Arizona State Board of Regents, Revenue Bonds, Series A, LOC: Lloyds TSB Bank PLC, Series A(a)		0.050	%		07/07/2011		07/07/2011		7,715,000		7,715,000
Arizona State Board of Regents, Revenue Bonds, Series B, LOC:Lloyds TSB Bank PLC(a)		0.050	%		07/07/2011		07/07/2011		2,925,000		2,925,000
											10,640,000
California – 5.9%
California Statewide Communities Development Authority, Revenue Bonds, Golden Age Garden Apartments, Series H, INS: Freddie Mac, LIQ: Freddie Mac(a)		0.060	%		07/07/2011		07/07/2011		2,520,000		2,520,000
Eastern Municipal Water District, COP, Series E, LIQ: Lloyds TSB Bank(a)		0.040	%		07/07/2011		07/07/2011		3,780,000		3,780,000
Metropolitan Water District of Southern California, Revenue Bonds, Series A-2, SPA: Banco Bilbao Vizcaya(a)		0.140	%		07/07/2011		07/07/2011		2,990,000		2,990,000
Metropolitan Water District of Southern California, Revenue Bonds, Series A-2, SPA:JP Morgan Chase Bank(a)		0.040	%		07/07/2011		07/07/2011		10,000,000		10,000,000
Oakland-Alameda County Coliseum Authority, Revenue Bonds, Coliseum Project, Series C-1, LOC: Bank of New York & California State Teachers Retirement(a)		0.080	%		07/07/2011		07/07/2011		2,600,000		2,600,000
											21,890,000
Colorado – 3.8%
Colorado Health Facilities Authority, Revenue Bonds, Craig Hospital Project, LOC: Wells Fargo Bank N.A.(a)		0.080	%		07/07/2011		07/07/2011		1,820,000		1,820,000
Colorado Housing & Finance Authority, Revenue Bonds, Multi Family Project, Class I-B3, SPA: Calyon Bank(a)		0.090	%		07/07/2011		07/07/2011		4,630,000		4,630,000
Colorado Housing & Finance Authority, Revenue Bonds, Single Family Mortgage, Class 1-A3, SPA: Federal Home Loan Bank(a)		0.100	%		07/07/2011		07/07/2011		2,195,000		2,195,000
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Class 1 B-2 RMKT 08/26/09, LIQ: Barclays Bank PLC(a)		0.060	%		07/07/2011		07/07/2011		1,950,000		1,950,000
Southern Ute Indian Tribe of Southern Ute Indian Reservation, Revenue Bonds(a)		0.100	%		07/07/2011		07/07/2011		3,700,000		3,700,000
											14,295,000
Connecticut – 4.1%
Connecticut Housing Finance Authority, Revenue Bonds, Subseries F-1, INS: Government Authority(a)		0.040	%		07/01/2011		07/01/2011		1,500,000		1,500,000
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Greenwich Hospital, Series C, LOC: Bank of America N.A.(a)		0.080	%		07/07/2011		07/07/2011		6,000,000		6,000,000
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series T-2(a)		0.030	%		07/07/2011		07/07/2011		2,500,000		2,500,000

See Notes to Financial Statements.

13

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
Connecticut (continued)
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale-New Haven Hospital, Series K2, LOC: JP Morgan Chase Bank(a)		0.050	%		07/07/2011		07/07/2011	$	2,920,000	$	2,920,000
State of Connecticut, GO Unlimited, Series A, SPA: Landesbank Hessen — Thrgn,(a)		0.150	%		07/07/2011		07/07/2011		2,200,000		2,200,000
											15,120,000
Delaware – 1.2%
Delaware River & Bay Authority, Revenue Bonds, LOC: TD Bank N.A.(a)		0.050	%		07/07/2011		07/07/2011		4,400,000		4,400,000
District of Columbia – 2.5%
District of Columbia, Revenue Bonds, ROCs RR II R-11247, INS: BHAC-CR National RE Corp., LIQ: Citibank N.A.(a)		0.100	%		07/07/2011		07/07/2011		9,405,000		9,405,000
Florida – 1.1%
Austin Trust Various States, Revenue Bonds, Series 2008-1114, INS: FSA-CR AMBAC, LIQ: Bank of America N.A.(a)		0.180	%		07/07/2011		07/07/2011		4,205,000		4,205,000
Georgia – 3.9%
Cobb County Development Authority, Revenue Bonds, American Heart Association, Inc., LOC: Wells Fargo Bank N.A.(a)		0.180	%		07/07/2011		07/07/2011		1,055,000		1,055,000
Municipal Electric Authority Georgia, Revenue Bonds, GO of Participants, LOC: Bayerische Landesbank(a)		0.100	%		07/07/2011		07/07/2011		1,485,000		1,485,000
Roswell Georgia Housing Authority Multifamily, Revenue Bonds, Chambrel Roswell, INS: Fannie Mae, LIQ: Fannie Mae(a)		0.090	%		07/07/2011		07/07/2011		11,980,000		11,980,000
											14,520,000
Illinois – 2.4%
Chicago Board of Education, GO Unlimited, Dedicated Revenue, Series A, LOC: JP Morgan Chase Bank(a)		0.050	%		07/01/2011		07/01/2011		3,000,000		3,000,000
Illinois Development Finance Authority Revenue Bonds, World Communications, Inc., LOC: Bank of America N.A.(a)		0.120	%		07/07/2011		07/07/2011		1,500,000		1,500,000
Illinois Educational Facilities Authority, Revenue Bonds, National-Louis University, Series B, LOC: JP Morgan Chase Bank(a)		0.090	%		07/07/2011		07/07/2011		3,960,000		3,960,000
Illinois Finance Authority, Revenue Bonds, Revolving Fund Pooled Financing Program, LOC: Bank One N.A.(a)		0.100	%		07/07/2011		07/07/2011		500,000		500,000
											8,960,000
Kansas – 4.2%
Kansas State Department of Transportation, Revenue Bonds, Series B-1, SPA: Barclays Bank PLC(a)		0.030	%		07/07/2011		07/07/2011		8,000,000		8,000,000
Kansas State Department of Transportation, Revenue Bonds, Series B-2, SPA: Barclays Bank PLC(a)		0.030	%		07/07/2011		07/07/2011		5,000,000		5,000,000

See Notes to Financial Statements.

14

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
Kansas (continued)
Kansas State Department of Transportation, Revenue Bonds, Series C-1, SPA: JP Morgan Chase Bank(a)		0.050	%		07/07/2011		07/07/2011	$	2,810,000	$	2,810,000
											15,810,000
Louisiana – 0.4%
Louisiana State Offshore Terminal Authority Deep Water Port, Revenue Bond, Series B, LOC: Bank One N.A.(a)		0.100	%		07/07/2011		07/07/2011		1,500,000		1,500,000
Maryland – 2.4%
Baltimore Industrial Development Authority Industrial Dev Rev, Revenue Bonds, Baltimore Capital Acquisition, LOC: Bayerische Landesbank(a)		0.100	%		07/07/2011		07/07/2011		900,000		900,000
Maryland State Economic Development Corporation, Revenue Bonds, Howard Hughes Medical Institution, Series B(a)		0.030	%		07/07/2011		07/07/2011		3,000,000		3,000,000
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, University of Maryland Medical System, Class A, LOC: Wachovia Bank N.A.(a)		0.070	%		07/07/2011		07/07/2011		3,710,000		3,710,000
Maryland State Stadium Authority Lease, Revenue Bonds, Baltimore Convention, SPA: Bank of New York(a)		0.080	%		07/07/2011		07/07/2011		1,215,000		1,215,000
											8,825,000
Massachusetts – 8.8%
Commonwealth of Massachusetts, GO Limited, Series B, SPA: Landesbank Hessen-Thrgn(a)		0.090	%		07/07/2011		07/07/2011		2,900,000		2,900,000
Massachusetts Bay Transportation Authority, Revenue Bonds, Senior Series A-1, SPA: JP Morgan Chase Bank(a)		0.060	%		07/07/2011		07/07/2011		6,000,000		6,000,000
Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Museum Fine A-2, RMKT, 04/02/08, SPA: Bank of America N.A.(a)		0.050	%		07/01/2011		07/01/2011		2,575,000		2,575,000
Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Tufts University, Series N-2, SPA: Bank of America N.A.(a)		0.030	%		07/01/2011		07/01/2011		1,300,000		1,300,000
Massachusetts State Department of Transportation, Revenue Bonds, Contract Assistance, Series A-4, INS: GO of Commonwealth, SPA: Barclays Bank PLC(a)		0.030	%		07/07/2011		07/07/2011		12,650,000		12,650,000
Massachusetts Water Resources Authority, Revenue Bonds, General Class 1-RMKT 05/07/11, INS: Government Authority(a)		0.060	%		07/07/2011		07/07/2011		5,000,000		5,000,000
University of Massachusetts Building Authority, Revenue Bonds, Series A, INS: Commonwealth Guaranteed, SPA: Bank of America N.A.(a)		0.060	%		07/07/2011		07/07/2011		2,300,000		2,300,000
											32,725,000
Michigan – 0.3%
University of Michigan, Revenue Bonds, General, SPA: JP Morgan Chase Bank(a)		0.060	%		07/07/2011		07/07/2011		1,300,000		1,300,000
Missouri – 2.5%
City of Kansas City, Revenue Bonds, Chouteau I-35 Project-C, LOC: JP Morgan Chase & Co.(a)		0.070	%		07/07/2011		07/07/2011		5,550,000		5,550,000

See Notes to Financial Statements.

15

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
Missouri (continued)
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Louis University, Series B-2, LOC: Bank of America N.A.(a)		0.030	%		07/01/2011		07/01/2011	$	650,000	$	650,000
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Washington University, Series B, SPA: Wells Fargo Bank N.A.(a)		0.030	%		07/01/2011		07/01/2011		1,635,000		1,635,000
Missouri State Health & Educational Facilities Authority, Revenue Bonds, SSM Health-C5, RMKT 05/15/08(a)		0.060	%		07/07/2011		07/07/2011		1,660,000		1,660,000
											9,495,000
New Hampshire – 2.4%
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College Issue, SPA: JP Morgan Chase Bank(a)		0.060	%		07/07/2011		07/07/2011		3,125,000		3,125,000
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a)		0.060	%		07/07/2011		07/07/2011		5,715,000		5,715,000
											8,840,000
New Jersey – 0.5%
Essex County New Jersey Improvement Authority, Revenue Bonds, Pooled Governmental Loan Program, LOC: Wells Fargo Bank N.A.(a)		0.050	%		07/07/2011		07/07/2011		1,700,000		1,700,000
New York – 10.7%
City of New York, GO Unlimited, Subseries A-5, LOC: Bank of Nova Scotia(a)		0.030	%		07/07/2011		07/07/2011		1,000,000		1,000,000
City of New York, GO Unlimited, Subseries C-3A RMKT, LIQ: Bank of Nova Scotia(a)		0.040	%		07/07/2011		07/07/2011		3,000,000		3,000,000
City of New York, GO Unlimited, Subseries H-2, LOC: Bank of New York(a)		0.050	%		07/07/2011		07/07/2011		1,290,000		1,290,000
City of New York, GO Unlimited, Subseries H-4, LOC: Bank of New York(a)		0.030	%		07/01/2011		07/01/2011		2,450,000		2,450,000
Metropolitan Transportation Authority, Revenue Bonds, Subseries B-3, LOC: Lloyds TSB Bank PLC(a)		0.060	%		07/07/2011		07/07/2011		5,045,000		5,045,000
New York Local Government Assistance Corps., Revenue Bonds, Sublien Series 4V RMKT, GO of Corporation(a)		0.060	%		07/07/2011		07/07/2011		7,000,000		7,000,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series B, SPA: U.S. Bank N.A.(a)		0.050	%		07/07/2011		07/07/2011		1,300,000		1,300,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller university, Series A, Convention 04/03/08, SPA: JP Morgan Chase Bank(a)		0.070	%		07/07/2011		07/07/2011		2,350,000		2,350,000
New York State Local Government Assistance Corp., Revenue Bonds, Series C, LOC: Landesbank Hessen-Thrgn(a)		0.080	%		07/07/2011		07/07/2011		4,600,000		4,600,000
New York State Urban Development Corp., Revenue Bonds, Service Contract, Series A-5, LOC: TD Bank North N.A.(a)		0.050	%		07/07/2011		07/07/2011		2,400,000		2,400,000
Suffolk County Water Authority, Revenue Bonds, Anticipation Notes, SPA: Bank of Nova Scotia(a)		0.050	%		07/07/2011		07/07/2011		4,700,000		4,700,000

See Notes to Financial Statements.

16

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
New York (continued)
Triborough Bridge & Tunnel Authority, Revenue Bonds, Bridges Tunnels, Series AB, INS: AGM, SPA: JP Morgan Chase Bank(a)		0.100	%		07/07/2011		07/07/2011	$	1,105,000	$	1,105,000
Triborough Bridge & Tunnel Authority, Revenue Bonds, Series CD RMK, 06/20/07, INS: AGM, SPA: Lloyds TSB Bank PLC(a)		0.080	%		07/07/2011		07/07/2011		3,815,000		3,815,000
											40,055,000
North Carolina – 8.1%
Charlotte COPs, Governmental Facilities, Series F, SPA: Bank of America N.A.(a)		0.070	%		07/07/2011		07/07/2011		965,000		965,000
City of Greensboro, GO Unlimited, Public Improvement, Series B, SPA: Wachovia Bank N.A.(a)		0.060	%		07/07/2011		07/07/2011		1,000,000		1,000,000
City of Greensboro, Revenue Bonds, Series B, SPA: Bank of America N.A.(a)		0.070	%		07/07/2011		07/07/2011		1,175,000		1,175,000
City of Raleigh, Revenue Bonds, Combined Enterprise, Series B, SPA: Wells Fargo Bank N.A.(a)		0.060	%		07/07/2011		07/07/2011		1,955,000		1,955,000
County of Wake, GO Unlimited, Series A, SPA: Bank of America N.A.(a)		0.060	%		07/07/2011		07/07/2011		1,800,000		1,800,000
County of Wake, GO Unlimited, Series B, SPA: Landesbank Hessen-Thrgn(a)		0.060	%		07/07/2011		07/07/2011		6,220,000		6,220,000
Mecklenburg County, GO Unlimited, Public Implements, Series C, SPA: Bank of America N.A.(a)		0.090	%		07/07/2011		07/07/2011		1,000,000		1,000,000
Mecklenburg County, GO Unlimited, Public Implements, Series C, SPA: Bank of America N.A.(a)		0.090	%		07/07/2011		07/07/2011		2,000,000		2,000,000
State of North Carolina, GO Unlimited, Public Implements, Series E, SPA: Landesbank Hessen-Thrgn(a)		0.080	%		07/07/2011		07/07/2011		13,945,000		13,945,000
											30,060,000
Ohio – 0.8%
Ohio State University, Revenue Bonds, Series B, Series B(a)		0.050	%		07/07/2011		07/07/2011		2,110,000		2,110,000
State of Ohio, Revenue Bonds, Oberlin College Project, SPA: U.S. Bank N.A.(a)		0.060	%		07/07/2011		07/07/2011		1,000,000		1,000,000
��
											3,110,000
Oklahoma – 0.4%
Oklahoma Capital Improvement Authority, Revenue Bonds, Higher Education D3 RMKT 09/19/08, SPA: Bank of America N.A.(a)		0.080	%		07/01/2011		07/01/2011		1,600,000		1,600,000
Oregon – 1.2%
Clackamas County Hospital Facility Authority, Revenue Bonds, Legacy Health System, Series B, LOC:U.S. Bank N.A.(a)		0.060	%		07/07/2011		07/07/2011		2,000,000		2,000,000
Oregon State Facilities Authority, Revenue Bonds, Sacred Heart Medical Center, Series A, LOC: U.S. Bank N.A.(a)		0.100	%		07/07/2011		07/07/2011		2,305,000		2,305,000
											4,305,000

See Notes to Financial Statements.

17

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
Pennsylvania – 0.8%
Delaware County Industrial Development Authority, Revenue Bonds, Sun Inc., LOC: Bank of America N.A.(a)		0.080	%		07/07/2011		07/07/2011	$	3,000,000	$	3,000,000
Rhode Island – 1.0%
Rhode Island Health & Educational Building Corp., Revenue Bonds, Bryant University, LOC: TD Bank N.A.(a)		0.070	%		07/07/2011		07/07/2011		3,690,000		3,690,000
South Carolina – 2.9%
City of North Charleston, COP, Public Facilities Convention, LOC: Bank of America N.A.(a)		0.080	%		07/07/2011		07/07/2011		3,185,000		3,185,000
City of Rock Hill, Revenue Bonds, Series B, INS: AGM, SPA: Wells Fargo Bank N.A.(a)		0.080	%		07/07/2011		07/07/2011		7,755,000		7,755,000
											10,940,000
Texas – 3.0%
Austin County Industrial Development Corp., Revenue Bonds, Justin Industries, Inc. Project, LOC: JP Morgan Chase Bank(a)		0.090	%		07/07/2011		07/07/2011		3,500,000		3,500,000
Denton Independent School District, School Building, Series B, INS: PSF-GTD, SPA: Bank of America N.A.(a)		0.120	%		07/07/2011		07/07/2011		1,000,000		1,000,000
Harris County Health Facilities Development Corps., Revenue Bonds, Texas Children’s, Series B-1, RMKT, SPA: JP Morgan Chase Bank(a)		0.100	%		07/07/2011		07/07/2011		2,400,000		2,400,000
San Antonio Education Facilities Corp., Revenue Bonds, University Incarnate Word Project, LOC: JP Morgan Chase Bank(a)		0.130	%		07/07/2011		07/07/2011		2,195,000		2,195,000
University of Texas, University Revenue Bonds, Financing Systems, Series A(a)		0.040	%		07/07/2011		07/07/2011		2,200,000		2,200,000
											11,295,000
Utah – 1.1%
City of Murray, Revenue Bonds, IHC Health Services, Inc., Series A, INS: JP Morgan Securities(a)		0.050	%		07/07/2011		07/07/2011		1,500,000		1,500,000
County of Utah UT, Revenue Bonds, Series B, IHC Health Services Inc. SPA: U.S. Bank N.A.(a)		0.070	%		07/07/2011		07/07/2011		2,500,000		2,500,000
											4,000,000
Vermont – 1.1%
Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Hospital Fletcher Allen, Series A, LOC: TD Bank N.A.(a)		0.060	%		07/07/2011		07/07/2011		3,000,000		3,000,000
Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Northeastern Vermont Hospital, Series A, LOC: TD Bank N.A.(a)		0.030	%		07/01/2011		07/01/2011		1,000,000		1,000,000
											4,000,000

See Notes to Financial Statements.

18

State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
VARIABLE RATE DEMAND NOTES (continued)
Virginia – 4.2%
Loudoun County Industrial Development Authority, Revenue Bonds, Howard Hughes Medical, Series E(a)		0.050	%		07/07/2011		07/07/2011	$	14,300,000	$	14,300,000
Loudoun County Industrial Development Authority, Revenue Bonds, Jack Kent Cooke Foundation Project, LOC: Wells Fargo Bank N.A.(a)		0.080	%		07/07/2011		07/07/2011		1,360,000		1,360,000
											15,660,000
Washington – 1.0%
Tulalip Tribes of the Tulalip Reservation Special Revenue, Revenue Bonds Capital Projects, LOC: Wells Fargo Bank N.A.(a)		0.080	%		07/07/2011		07/07/2011		3,720,000		3,720,000
TOTAL VARIABLE RATE DEMAND NOTES											322,837,000
								Shares
INVESTMENT COMPANY – 13.5%
Dreyfus Tax Exempt Cash Management Fund(b)									50,370,635		50,370,635
TOTAL INVESTMENTS(c)† – 100.0%											373,207,635
Other Assets in Excess of Liabilities – 0.00%											32,094
NET ASSETS – 100.0%										$	373,239,729

(a)  Variable Rate Security – Interest Rate is in effect as of June 30, 2011.

(b)  Value determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures.

(c)  Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)

 †  See Note 2 of the Notes to Financial Statements.

Acronym	Name
AGM	Federal Agricultural Mortgage Corporation
AMBAC	American Municipal Bond Assurance Corporation
BHAC	Berkshire Hathaway Assurance Company
COP	Certificates of Participation
CR	Custodial Receipts
FSA	Financial Security Assurance
GO	General Obligation
GTD	Guaranteed
INS	Insured
LIQ	Liquidity Agreement
LOC	Letter of Credit
PLC	Public Limited Company
PSF	Permanent School Fund
RMKT	Remarketable
ROC	Reset Option Certificates
SPA	Standby Purchase Agreement

See Notes to Financial Statements.

19

State Street U.S. Government Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
Government Agency Debt	62.4	%
Government Agency Repurchase Agreements	37.6
Total	100.0	%

Maturity Ladder*	June 30, 2011
Overnight (1 Day)	41.7	%
2-30 Days	10.8
31-60 Days	20.0
61-90 Days	11.4
Over 90 Days	16.1
Total	100.0	%
Average days to maturity	28
Weighted average life	51

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

20

State Street U.S. Government Money Market Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
GOVERNMENT AGENCY DEBT – 62.4%
Federal Home Loan Bank(a)		0.058	%		07/01/2011		07/01/2011	$	132,000,000	$	132,000,000
Federal Home Loan Bank(a)		0.060	%		07/01/2011		07/01/2011		71,000,000		71,000,000
Federal Home Loan Bank(a)		0.010	%		07/20/2011		07/20/2011		55,000,000		54,997,097
Federal Home Loan Bank(a)		0.091	%		07/20/2011		07/20/2011		75,000,000		74,998,808
Federal Home Loan Bank(a)		0.091	%		07/25/2011		07/25/2011		100,000,000		99,996,012
Federal Home Loan Bank(a)		0.091	%		07/28/2011		07/28/2011		35,000,000		34,998,879
Federal Home Loan Bank(a)		0.190	%		08/25/2011		08/25/2011		186,000,000		185,996,863
Federal Home Loan Bank(a)		0.106	%		07/26/2011		08/26/2011		42,000,000		41,996,410
Federal Home Loan Bank(a)		0.090	%		09/02/2011		09/02/2011		279,000,000		278,956,058
Federal Home Loan Bank(b)		0.156	%		07/23/2011		01/23/2012		99,000,000		99,028,640
Federal Home Loan Mortgage Corp.(a)		0.203	%		07/07/2011		07/07/2011		272,000,000		271,990,933
Federal Home Loan Mortgage Corp.(a)		0.150	%		08/02/2011		08/02/2011		250,000,000		249,966,667
Federal Home Loan Mortgage Corp.(a)		0.130	%		08/17/2011		08/17/2011		43,000,000		42,992,702
Federal Home Loan Mortgage Corp.(a)		0.130	%		08/22/2011		08/22/2011		64,000,000		63,987,982
Federal Home Loan Mortgage Corp.(a)		0.090	%		09/22/2011		09/22/2011		288,000,000		287,940,240
Federal Home Loan Mortgage Corp.(a)		0.136	%		07/29/2011		12/29/2011		238,000,000		238,049,290
Federal Home Loan Mortgage Corp.(b)		0.160	%		07/03/2011		04/03/2012		73,000,000		73,014,512
Federal Home Loan Mortgage Corp.(b)		0.170	%		07/11/2011		05/11/2012		105,000,000		105,032,477
Federal National Mortgage Assoc.(a)		0.100	%		08/08/2011		08/08/2011		300,000,000		299,968,333
Federal National Mortgage Assoc.(a)		0.100	%		07/11/2011		08/11/2011		108,000,000		107,995,394
Federal National Mortgage Assoc.(a)		0.100	%		11/01/2011		11/01/2011		90,000,000		89,969,250
Federal National Mortgage Assoc.(a)		0.100	%		11/02/2011		11/02/2011		94,000,000		93,967,622
Federal National Mortgage Assoc.(a)		0.140	%		11/23/2011		11/23/2011		35,000,000		34,980,264
Federal National Mortgage Assoc.(a)		0.140	%		01/09/2012		01/09/2012		65,000,000		64,951,467
TOTAL GOVERNMENT AGENCY DEBT											3,098,775,900
										Market
										Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 37.6%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Farm Credit Banks, 1.990% – 3.299% due 03/30/2015 – 04/14/2022 valued at $76,500,204); proceeds $75,000,063		0.030	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Farm Credit Banks, 1.625% – 3.875% due 08/25/2011 – 05/25/2016, Federal Home Loan Banks, 0.000% – 4.099% due 08/05/2011 – 11/04/2030, Federal Home Loan Mortgage Corporations, 0.000% – 5.625% due 07/05/2011 – 05/04/2037, Federal National Mortgage Associations, 0.000% – 6.210% due 03/14/2013 – 06/05/2036 valued at $612,003,755); proceeds $600,000,500		0.030	%		07/01/2011		07/01/2011		600,000,000		600,000,000

See Notes to Financial Statements.

21

State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (Continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS (continued)
Agreement with Citigroup Global, Markets, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a Federal National Mortgage Association, 3.200% due 10/29/2020, Resolution Funding Strips, 0.000% due 01/15/2014 – 04/15/2030, valued at $178,500,356); proceeds $175,000,194		0.040	%		07/01/2011		07/01/2011	$	175,000,000	$	175,000,000
Agreement with Credit Agricole Corporate & Investment Bank and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Home Loan Bank, 0.299% due 12/27/2011 and Federal National Mortgage Associations, 4.375% due 03/15/2013 – 10/15/2015 valued at $612,000,001); proceeds $600,000,833		0.050	%		07/01/2011		07/01/2011		600,000,000		600,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a Federal Home Loan Bank, 4.000% due 09/30/2030, Federal Home Loan Mortgage Corporation, 1.500% due 12/16/2014 and Federal National Mortgage Associations, 0.750% – 1.250% due 07/30/2012 – 06/27/2014 valued at $178,500,969); proceeds $175,000,097		0.020	%		07/01/2011		07/01/2011		175,000,000		175,000,000
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a Federal Home Loan Bank, 1.000% due 03/27/2013 and Federal National Mortgage Associations, 1.250% – 4.375% due 06/22/2012 – 05/05/2021 valued at $70,437,602); proceeds $69,052,038		0.020	%		07/01/2011		07/01/2011		69,052,000		69,052,000

See Notes to Financial Statements.

22

State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (Continued)
June 30, 2011 (Unaudited)

Name of Issuer

Interest

Next Rate

Maturity

Principal

Market

and Title of Issue

Rate

Reset Date

Date

Amount

Value

GOVERNMENT AGENCY REPURCHASE AGREEMENTS (continued)

Agreement with UBS Securities, LLC and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by Federal Farm Credit Banks, 0.000% due 04/12/2012 – 10/15/2013, Federal Home Loan Banks, 0.000% due 11/8/2015 – 10/27/2017, Federal Home Loan Mortgage Corporations, 0.000% due 01/15/2019 – 11/24/2025, a Federal National Mortgage Association, 0.000% due 08/23/2012, Resolution Funding Strips, 0.000% due 04/15/2015 – 01/15/2024 and Tenn Valley Authorities 0.000% due 07/15/2019 – 01/15/2020 valued at $178,500,725); proceeds $175,000,097

0.020

%

07/01/2011

07/01/2011

$

175,000,000

$

175,000,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS

1,869,052,000

TOTAL INVESTMENTS(c)† – 100.0%

4,967,827,900

Liabilities in Excess of Assets – 0.00%

(298,573

)

NET ASSETS – 100.0%

$

4,967,529,327

(a)	Discount rate at time of purchase.
(b)	Variable Rate Security – Interest Rate is in effect as of June 30, 2011.
(c)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
†	See Note 2 to the Notes to Financial Statements.

See Notes to Financial Statements.

23

State Street Treasury Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
Treasury Debt	100.0	%
Liabilities in Excess of Assets	(0.0	)
Total	100.0	%

Maturity Ladder*	June 30, 2011
Overnight (1 Day)	0.0	%
2-30 Days	100.0
31-60 Days	0.0
61-90 Days	0.0
Over 90 Days	0.0
Total	100.0	%
Average days to maturity	18
Weighted average life	18

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

24

State Street Treasury Money Market Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
TREASURY DEBT – 100.0%
U.S. Treasury Bill		0.001	%		07/14/2011		07/14/2011	$	32,259,000	$	32,258,988
U.S. Treasury Bill		0.005	%		07/14/2011		07/14/2011		245,000,000		244,999,558
U.S. Treasury Bill		0.001	%		07/21/2011		07/21/2011		100,000,000		99,999,945
U.S. Treasury Bill		0.003	%		07/21/2011		07/21/2011		500,000,000		499,999,306
U.S. Treasury Bill		0.005	%		07/07/2011		07/07/2011		510,000,000		509,999,575
U.S. Treasury Bill		0.005	%		07/28/2011		07/28/2011		1,300,000,000		1,299,995,125
U.S. Treasury Bill		0.005	%		07/21/2011		07/21/2011		1,340,000,000		1,339,996,278
U.S. Treasury Bill		0.010	%		07/21/2011		07/21/2011		100,000,000		100,000,000
U.S. Treasury Bill		0.015	%		07/14/2011		07/14/2011		400,000,000		399,997,833
U.S. Treasury Bill		0.025	%		07/14/2011		07/14/2011		567,000,000		566,994,881
U.S. Treasury Bill		0.010	%		07/07/2011		07/07/2011		700,000,000		699,998,833
TOTAL TREASURY DEBT											5,794,240,322
TOTAL INVESTMENTS(a),† – 100.0%											5,794,240,322
Liabilities in Excess of Assets – 0.00%											(265,916	)
NET ASSETS – 100.0%										$	5,793,974,406

(a)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
†	See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

25

State Street Treasury Plus Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
Treasury Repurchase Agreements	69.1	%
Treasury Debt	30.9
Liabilities in Excess of Assets	0.0
Total	100.0	%

Maturity Ladder*	June 30, 2011
Overnight (1 Day)	69.1	%
2-30 Days	30.9
31-60 Days	0.0
61-90 Days	0.0
Over 90 Days	0.0
Total	100.0	%
Average days to maturity	6
Weighted average life	6

* As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

26

State Street Treasury Plus Money Market Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Amortized
and Title of Issue	Rate			Reset Date		Date		Amount		Cost
TREASURY DEBT – 30.9%
U.S. Treasury Bill		0.010	%		07/07/2011		07/07/2011	$	100,000,000	$	99,999,833
U.S. Treasury Bill		0.010	%		07/21/2011		07/21/2011		150,000,000		149,999,583
U.S. Treasury Bill		0.010	%		07/28/2011		07/28/2011		150,000,000		149,999,438
U.S. Treasury Bill		0.025	%		07/14/2011		07/14/2011		144,000,000		143,998,700
TOTAL TREASURY DEBT											543,997,554
										Market
										Value
TREASURY REPURCHASE AGREEMENTS – 69.1%
Agreement with Barclays Capital, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a U.S. Treasury Strip, 1.375% due 11/30/2015 valued at $76,500,064); proceeds $75,000,021		0.010	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Strips, 4.375% – 6.125% due 08/15/2029 – 05/15/2041 valued at $76,500,015); proceeds $75,000,021		0.010	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/302011 (collateralized by U.S. Treasury Strips, 2.375% – 6.375% due 03/31/2016 – 08/15/2027 valued at $76,500,049); proceeds $75,000,021		0.010	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Strips, 1.375% – 4.250% due 05/15/2012 – 02/15/2018 valued at $346,800,046); proceeds $340,000,094		0.010	%		07/01/2011		07/01/2011		340,000,000		340,000,000
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co., (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Bond, 5.250% due 02/15/2029 and U.S. Treasury Note, 2.250% due 01/31/2015 valued at $306,001,223); proceeds $300,000,083		0.010	%		07/01/2011		07/01/2011		300,000,000		300,000,000
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York, Inc. (Tri-Party), dated 06/30/2011 (collateralized by a U.S. Treasury Strip, 0.000% due 06/28/2012 valued at $51,000,071); proceeds $50,000,014		0.010	%		07/01/2011		07/01/2011		50,000,000		50,000,000

See Notes to Financial Statements.

27

State Street Treasury Plus Money Market Portfolio
Portfolio of Investments – (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TREASURY REPURCHASE AGREEMENTS (continued)
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Inc. (Tri-Party), dated 06/30/2011 (collateralized by a U.S. Treasury Strip, 0.000% due 05/15/2021 valued at $77,483,280); proceeds $75,964,011		0.005	%		07/01/2011		07/01/2011	$	75,964,000	$	75,964,000
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co., (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Bond, 7.625% due 02/15/2025 and U.S. Treasury Note, 1.375% due 10/15/2012 valued at $76,501,795); proceeds $75,000,021		0.010	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with Royal Bank of Canada and The Bank of New York Inc. (Tri-Party), dated 06/30/2011 (collateralized by U.S. Treasury Strips, 1.500% – 4.875% due 06/30/2012 – 06/30/2016 valued at $76,500,091); proceeds $75,000,010		0.005	%		07/01/2011		07/01/2011		75,000,000		75,000,000
Agreement with UBS Securities, LLC and The Bank of New York Inc. (Tri-Party), dated 06/30/2011 (collateralized by a U.S. Treasury Strip, 1.125% due 12/15/2012 valued at $76,500,076); proceeds $75,000,021		0.010	%		07/01/2011		07/01/2011		75,000,000		75,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											1,215,964,000
TOTAL INVESTMENTS(a),† – 100.0%											1,759,961,554
Liabilities in Excess of Assets – 0.00%											(120,387	)
NET ASSETS – 100.0%										$	1,759,841,167

(a)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. ( Note 2)
†	See Note 2 of the Notes to Financial Statements.

See Notes to Financial Statements.

28

State Street Master Funds

Statements of Assets and Liabilities

June 30, 2011 (Unaudited)

			Tax Free		U.S. Government		Treasury		Treasury Plus
	Money Market		Money Market		Money Market		Money Market		Money Market
	Portfolio		Portfolio		Portfolio		Portfolio		Portfolio
Assets
Investments in unaffiliated issuers, at amortized cost (Note 2)	$	22,331,296,719	$	373,207,635	$	3,098,775,900	$	5,794,240,322	$	543,997,554
Repurchase Agreements, at market value and cost (Note 2)		5,821,500,000		–		1,869,052,000		–		1,215,964,000
Total investments		28,152,796,719		373,207,635		4,967,827,900		5,794,240,322		1,759,961,554
Cash		424,885,395		–		191		268		–
Interest receivable		11,705,743		59,379		36,486		–		317
Prepaid expense and other assets		1,746,907		25,469		287,007		191,897		64,965
Total assets		28,591,134,764		373,292,483		4,968,151,584		5,794,432,487		1,760,026,836
Liabilities
Due to custodian		–		–		–		–		6,027
Management fee (Note 3)		3,000,815		36,538		492,181		355,716		132,754
Administration and custody fees (Note 3)		727,328		8,335		112,506		84,800		33,091
Professional fees		7,272		7,273		7,272		7,272		7,274
Trustee’s fees (Note 4)		–		–		5		–		–
Accrued expenses and other liabilities		10,176		608		10,293		10,293		6,523
Total liabilities		3,745,591		52,754		622,257		458,081		185,669
Net Assets	$	28,587,389,173	$	373,239,729	$	4,967,529,327	$	5,793,974,406	$	1,759,841,167

See Notes to Financial Statements.

29

State Street Master Funds

Statements of Operations

Six Months Ended June 30, 2011 (Unaudited)

				Tax Free			U.S. Government			Treasury			Treasury Plus
	Money Market			Money Market			Money Market			Money Market			Money Market
	Portfolio			Portfolio			Portfolio			Portfolio			Portfolio
Investment Income
Interest	$	42,528,933		$	363,008		$	3,695,225		$	1,713,527		$	602,259
Expenses
Management fees (Note 3)		9,155,003			119,836			1,627,972			1,102,450			338,564
Administration and custody fees (Note 3)		2,062,857			26,535			366,223			248,085			79,309
Professional fees		25,141			25,140			25,140			25,140			25,140
Trustees’ fees (Note 4)		33,178			6,221			11,100			9,382			6,848
Printing fees		1,697			634			634			634			634
Other expenses		40,532			10,091			20,168			18,680			12,597
Less: Advisor fees waived (Note 3)		(652,351	)		(9,200	)		(118,015	)		(79,221	)		(21,098	)
Total expenses		10,666,057			179,257			1,933,222			1,325,150			441,994
Net Investment Income	$	31,862,876		$	183,751		$	1,762,003		$	388,377		$	160,265
Realized Gain
Net realized gain on investments	$	25,422		$	–		$	–		$	28,474		$	319
Net Increase in Net Assets Resulting from Operations	$	31,888,298		$	183,751		$	1,762,003		$	416,851		$	160,584

See Notes to Financial Statements.

30

State Street Master Funds

Statements of Changes in Net Assets

							Tax Free Money
	Money Market Portfolio						Market Portfolio
	Six Months Ended			Year Ended			Six Months Ended			Year Ended
	June 30, 2011			December 31,			June 30, 2011			December 31,
	(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets From:
Operations:
Net investment income	$	31,862,876		$	41,688,940		$	183,751		$	413,078
Net realized gain (loss) on investments		25,422			65,219			–			77,445
Net increase in net assets from operations		31,888,298			41,754,159			183,751			490,523
Capital Transactions:
Contributions		29,102,363,559			57,811,748,486			395,537,183			1,015,973,380
Withdrawals		(27,050,688,337	)		(46,837,758,144	)		(427,809,597	)		(987,317,049	)
Net increase (decrease) in net assets from capital transactions		2,051,675,222			10,973,990,342			(32,272,414	)		28,656,331
Net Increase (Decrease) in Net Assets		2,083,563,520			11,015,744,501			(32,088,663	)		29,146,854
Net Assets
Beginning of period		26,503,825,653			15,488,081,152			405,328,392			376,181,538
End of period	$	28,587,389,173		$	26,503,825,653		$	373,239,729		$	405,328,392

See Notes to Financial Statements.

31

State Street Master Funds

Statements of Changes in Net Assets

	U.S. Government Money						Treasury Money
	Market Portfolio						Market Portfolio
	Six Months Ended			Year Ended			Six Months Ended			Year Ended
	June 30, 2011			December 31,			June 30, 2011			December 31,
	(Unaudited)			2010			(Unaudited)			2010
Increase (Decrease) in Net Assets From:
Operations:
Net investment income	$	1,762,003		$	3,005,294		$	388,377		$	263,593
Net realized gain (loss) on investments		–			–			28,474			38,516
Net increase in net assets from operations		1,762,003			3,005,294			416,851			302,109
Capital Transactions:
Contributions		7,687,274,722			12,483,113,177			6,721,414,352			9,018,189,810
Withdrawals		(7,632,407,030	)		(11,006,371,349	)		(4,584,595,761	)		(7,639,683,807	)
Net increase (decrease) in net assets from capital transactions		54,867,692			1,476,741,828			2,136,818,591			1,378,506,003
Net Increase (Decrease) in Net Assets		56,629,695			1,479,747,122			2,137,235,442			1,378,808,112
Net Assets
Beginning of period		4,910,899,632			3,431,152,510			3,656,738,964			2,277,930,852
End of period	$	4,967,529,327		$	4,910,899,632		$	5,793,974,406		$	3,656,738,964

See Notes to Financial Statements.

32

State Street Master Funds

Statements of Changes in Net Assets

	Treasury Plus Money
	Market Portfolio
	Six Months Ended			Year Ended
	June 30, 2011			December 31,
	(Unaudited)			2010
Increase (Decrease) in Net Assets From:
Operations:
Net investment income	$	160,265		$	257,191
Net realized gain (loss) on investments		319			(90	)
Net increase in net assets from operations		160,584			257,101
Capital Transactions:
Contributions		2,717,875,834			3,996,124,623
Withdrawals		(1,891,943,153	)		(3,863,271,000	)
Net increase (decrease) in net assets from capital transactions		825,932,681			132,853,623
Net Increase (Decrease) in Net Assets		826,093,265			133,110,724
Net Assets
Beginning of period		933,747,902			800,637,178
End of period	$	1,759,841,167		$	933,747,902

See Notes to Financial Statements.

33

State Street Master Funds

Financial Highlights

				Ratios to Average Net Assets									Net Assets
				Gross			Net			Net			End of
	Total			Operating			Operating			Investment			Period
Period Ended December 31,	Return(a)			Expenses			Expenses			Income			(000s omitted)
Money Market Portfolio
2011*		0.11	%		0.08	%**		0.07	%(b)**		0.22	%(b)**	$	28,587,389
2010		0.20	%		0.12	%		0.12	%		0.20	%	$	26,503,826
2009		0.52	%		0.12	%		0.11	%(b)		0.46	%(b)	$	15,488,081
2008		2.75	%		0.12	%		0.10	%		2.79	%	$	8,605,905
2007		5.30	%		0.12	%		0.10	%		5.14	%	$	6,918,263
2006		5.09	%		0.13	%		0.10	%		5.08	%	$	6,197,117
Tax Free Money Market Portfolio
2011*		0.05	%		0.10	%**		0.10	%(b)**		0.10	%(b)**	$	373,240
2010		0.13	%		0.13	%		0.13	%		0.11	%	$	405,328
2009		0.49	%		0.14	%		0.13	%(b)		0.48	%(b)	$	376,182
2008		2.35	%		0.14	%		0.10	%		2.32	%	$	388,447
2007(c)		3.19	%		0.17	%**		0.10	%**		3.42	%**	$	447,679
U.S. Government Money Market Portfolio
2011*		0.03	%		0.08	%**		0.08	%(b)**		0.07	%(b)**	$	4,967,529
2010		0.07	%		0.12	%		0.12	%		0.08	%	$	4,910,900
2009		0.25	%		0.12	%		0.12	%		0.23	%	$	3,431,153
2008		2.19	%		0.13	%		0.13	%		1.97	%	$	2,959,036
2007(d)		0.92	%		0.14	%**		0.14	%**		4.39	%**	$	1,076,794
Treasury Money Market Portfolio
2011*		(0.06	)%		0.08	%**		0.08	%(b)**		0.02	%(b)**	$	5,793,974
2010		0.01	%		0.12	%		0.12	%		0.01	%	$	3,656,739
2009		0.02	%		0.12	%		0.12	%		0.02	%	$	2,277,931
2008		1.28	%		0.13	%		0.13	%		0.93	%	$	2,120,695
2007(e)		0.61	%		0.19	%**		0.19	%**		3.21	%**	$	530,104
Treasury Plus Money Market Portfolio
2011*		0.02	%		0.08	%**		0.08	%(b)**		0.02	%(b)**	$	1,759,841
2010		0.03	%		0.12	%		0.12	%		0.03	%	$	933,748
2009		0.04	%		0.13	%		0.13	%		0.03	%	$	800,637
2008		1.57	%		0.13	%		0.13	%		1.07	%	$	953,170
2007(f)		0.75	%		0.17	%**		0.17	%**		3.95	%**	$	463,190

(a)	Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized.
(b)	Results reflect the effect of expense waivers. Without these waivers, net investment income would have been 0.01% lower.
(c)	The Portfolio commenced operations on February 7, 2007.
(d)	The Portfolio commenced operations on October 17, 2007.
(e)	The Portfolio commenced operations on October 25, 2007.

^(f)    The Portfolio commenced operations on October 24, 2007.

*	For the six months ended June 30, 2010 (Unaudited).
**	Annualized.

See Notes to Financial Statements.

34

State Street Master Funds

Notes to Financial Statements

June 30, 2011 (Unaudited)

1.   Organization

The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street Short-Term Tax Exempt Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. At June 30, 2011, the following Portfolios were in operation: State Street Equity 500 Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Short-Term Tax Free Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. Information presented in these financial statements pertains only to State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (the “Portfolios”). The Portfolios commenced operations as follows:

Portfolio Name	Commencement Date
State Street Money Market Portfolio	August 12, 2004
State Street Tax Free Money Market Portfolio	February 7, 2007
State Street U.S. Government Money Market Portfolio	October 17, 2007
State Street Treasury Money Market Portfolio	October 25, 2007
State Street Treasury Plus Money Market Portfolio	October 24, 2007

The Portfolios are authorized to issue an unlimited number of non-transferable beneficial interests.

35

State Street Master Funds

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

The Portfolios’ investment objectives are as follows:

Portfolio Name	Investment Objective
State Street Money Market Portfolio	To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. dollar denominated money market securities.
State Street Tax Free Money Market Portfolio	To seek to maximize current income, exempt from federal income taxes, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value.
State Street U.S. Government Money Market Portfolio	To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. government securities and in repurchase agreements collateralized by U.S. government securities.
State Street Treasury Money Market Portfolio	To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value.
State Street Treasury Plus Money Market Portfolio	To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in a portfolio consisting principally of U.S. Treasury securities and repurchase agreements collateralized by such securities.

2.   Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements.

Security valuation – As permitted under Rule 2a-7 of the 1940 Act and certain conditions therein, securities of the Portfolios are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium.

The Portfolios adopted provisions surrounding Fair Value Measurements and Disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most

36

State Street Master Funds

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

advantageous market of the investment. Various inputs are used in determining the value of the Portfolios’ investments.

The three tier hierarchy of inputs is summarized below:

•  Level 1 – quoted prices in active markets for identical securities

•  Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of June 30, 2011, in valuing the Portfolios’ assets carried at fair value:

	Investments in
	Securities
			State Street Tax		State Street U.S.		State Street		State Street
	State Street Money		Free Money		Government Money		Treasury Money		Treasury Plus Money
Valuation Inputs	Market Portfolio		Market Portfolio		Market Portfolio		Market Portfolio		Market Portfolio
Level 1 – Quoted Prices	$	–	$	50,370,635	$	–	$	–	$	–
Level 2 – Other Significant Observable Inputs		28,152,796,719		322,837,000		4,967,827,900		5,794,240,322		1,759,961,554
Level 3 – Significant Unobservable Inputs		–		–		–		–		–
Total Investments	$	28,152,796,719	$	373,207,635	$	4,967,827,900	$	5,794,240,322	$	1,759,961,554

The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in each Portfolio of Investments, which also includes a breakdown of the Portfolios’ investments by category.

The Portfolios adopted updated provisions surrounding Fair Value Measurements and Disclosures. This update applies to the Portfolios’ disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the period ended June 30, 2011, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily.

37

State Street Master Funds

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

All of the net investment income and realized gains and losses from the security transactions of the Portfolios are allocated pro rata among the partners in the Portfolios based on each partner’s daily ownership percentage.

Federal income taxes – The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolios have reviewed the tax positions for open years as of December 31, 2010, and determined they did not have a liability for any unrecognized tax expenses. The Portfolios recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of December 31, 2010, tax years 2007 (or since inception, for Portfolios formed subsequent to 2007) through 2010 remain subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At June 30, 2011, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Repurchase Agreements – A repurchase agreement customarily obligates the seller at the time it sells securities to a Portfolio to repurchase the securities at a mutually agreed upon price and time which, in the case of the Portfolios’ transactions, is generally within seven days. The total amount received by a Portfolio on repurchase is calculated to exceed the price paid by the Portfolio, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities, but may consist of other securities in which a Portfolio is permitted to invest. Repurchase agreements are fully collateralized at all times. The use of repurchase agreements involves certain risks. For example, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) a Portfolio will seek to dispose of such securities; this action could involve costs or delays. In addition, the proceeds of any such disposition may be less than the amount a Portfolio is owed under the repurchase agreement. A Portfolio may enter into repurchase agreements maturing within seven days with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).

Expense allocation – Certain expenses are applicable to multiple Portfolios. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly attributed to a Portfolio are allocated among the Portfolios, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Portfolios can otherwise be made fairly.

Use of estimates – The Portfolios’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.

38

State Street Master Funds

Notes to Financial Statements (continued)

June 30, 2011 (Unaudited)

3.   Related Party Fees

The Portfolios have entered into investment advisory agreements with the Adviser. The Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, until January 31, 2011, each Portfolio paid the Adviser a management fee at an annual rate of 0.10% of the respective Portfolio’s average daily net assets. Effective February 1, 2011, SSgA FM agreed to contractually waive 0.05% of the 0.10% payable by each Portfolio for investment advisory services through January 31, 2012. On February 18, 2011, the Board of Trustees approved revised investment advisory agreements for each of the Portfolios to amend the management fee payable by each Portfolio to an annual rate of 0.05% of the respective Portfolio’s average daily net assets. Pursuant to the agreements of February 1, 2011 and February 18, 2011, each Portfolio will pay a fee at an annual rate of 0.05% of its average daily net assets for investment advisory services received from the Adviser.

State Street is the administrator, custodian and transfer agent for the Portfolios. In compensation for State Street’s services as administrator, custodian and transfer agent beginning February 1, 2007, the Portfolios pay State Street an annual fee, which is accrued daily and payable monthly at the applicable fee rate described below, of the following annual percentages of the Trust’s average aggregate daily net assets, exclusive of the Equity 500 Index Portfolio, during the month as follows:

	Annual percentage of
Asset Levels	average aggregate daily net assets
First $400 million		0.03%
Next $15 billion		0.02%
Thereafter		0.01%
Minimum annual fee per Portfolio		$150,000

4.   Trustees’ Fees

The Trust pays each Trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also pays each Trustee an annual retainer of $30,000. Each trustee is reimbursed for out-of-pocket and travel expenses.

5.   Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements in unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

6.   Subsequent Events

In accordance with provisions surrounding Subsequent Events adopted by the Portfolios, management has evaluated the possibility of subsequent events existing in the Portfolios’ financial statements.

Management has determined that there are no additional material events that would require disclosure in the Portfolios’ financial statements.

39

State Street Master Funds

General Information

June 30, 2011 (Unaudited)

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolios. A description of the policies and procedures is available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

40

Trustees

Michael F. Holland

William L. Boyan

Rina K. Spence

Douglas T. Williams

James E. Ross

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Master Funds

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

SSITINVSAR

STATE STREET SHORT-TERM TAX EXEMPT
BOND PORTFOLIO

SEMI-ANNUAL REPORT

June 30, 2011
(Unaudited)

State Street Institutional Short-Term Tax Exempt Bond Portfolio (Unaudited)

EXPENSE EXAMPLE

As a shareholder of the State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2011 to June 30, 2011.

The table below illustrates your Portfolio’s costs in two ways:

•  Based on actual fund return.  This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, 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 for the Portfolio under the heading “Expenses Paid During Period”.

•  Based on hypothetical 5% return.  This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended June 30, 2011

	Beginning	Ending	Expenses Paid
	Account Value	Account Value	During
	January 1, 2010	June 30, 2011	Period*
Based on Actual Portfolio Return	$1,000.00	$1,009.10	$0.95
Based on Hypothetical (5% return before expenses)	$1,000.00	$1,023.85	$0.95

*  The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The Portfolio’s annualized average weighted expense ratio as of June 30, 2011 was 0.19%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 181/365 (the most recent six month period).

2

State Street Short-Term Tax Exempt Bond Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	June 30, 2011
General Obligations	33.5	%
Appropriation	17.6
Other Revenue	12.3
Higher Education	9.0
Water & Sewer	6.4
Hospital	4.6
Other Utility	3.9
Resource Recovery	3.6
Pre Refunded/Escrow to Maturity	2.7
Student Loan	1.8
Airport	1.4
Other Transportation	1.2
Public Power	1.1
Cash/Money Market Fund	0.9
Total	100.0	%

Maturity Ladder*	June 30, 2011
Less than 6 months	9.8	%
6 months – 1 year	20.7
1-2 years	32.8
2+ years	35.7
Total	99.0	%

*  As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time.

See Notes to Financial Statements.

3

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS – 98.1%
California – 10.1%
California State Public Works Board Revenue Bonds, Department General Service Buildings 8 & 9 – A		4.000	%		04/01/2012		04/01/2012	$	1,260,000	$	1,289,988
California Statewide Communities Development Authority Revenue Bonds, Lodi Memorial Hospital, Series A, INS: California Mortgage		4.000	%		12/01/2011		12/01/2011		1,000,000		1,007,480
County of Kern, Refunding Revenue COP, Solid Waste System Improvements		4.000	%		08/01/2013		08/01/2013		1,490,000		1,576,584
Fontana Unified School District Board Antic Notes, GO Unlimited, Antic Notes(a)		–	%		12/01/2012		12/01/2012		2,500,000		2,491,600
Irvine Unified School District Special Tax Community Facilities District No. 86-1, INS: Assured GTY		5.000	%		09/01/2012		09/01/2012		1,460,000		1,525,539
Los Angeles Municipal Improvement Corp., Revenue Bonds, Capital Equipment, Series A, INS: NATL		5.000	%		08/01/2012		08/01/2012		1,150,000		1,195,540
Mojave Unified School District No. 2, GO Unlimited, Antic Notes(a)		–	%		06/01/2013		06/01/2013		2,070,000		1,980,369
San Bernardino County Transportation Authority Revenue Bonds, Notes – Series A		4.000	%		05/01/2012		05/01/2012		500,000		515,210
											11,582,310
Connecticut – 4.2%
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University Series A-3(b)		4.000	%		02/07/2013		07/01/2049		2,500,000		2,638,625
State of Connecticut, GO Unlimited, Series B		4.000	%		05/01/2013		05/01/2013		1,300,000		1,380,834
Town of Hamden, GO Unlimited, Unrefunded Bal-2005, INS: NPFGC		4.500	%		08/15/2012		08/15/2012		830,000		850,310
											4,869,769
Delaware – 0.9%
Delaware State Solid Waste Authority Revenue Bonds, INS: NPFGC		5.000	%		06/01/2012		06/01/2012		1,000,000		1,035,760
Florida – 7.4%
County of Marion Public Improvement, Revenue Bonds, Series 2010, INS: Assured GTY		3.000	%		12/01/2011		12/01/2011		870,000		878,169
County of Marion Public Improvement, Revenue Bonds, Series 2010, INS: Assured GTY		3.000	%		12/01/2012		12/01/2012		575,000		590,812
Florida Hurricane Catastrophe Fund Finance Corp., Revenue Bonds, Series A		5.250	%		07/01/2012		07/01/2012		1,525,000		1,595,074
Hillsborough County School Board, COP, Series A, INS: NPFGC		5.500	%		07/01/2012		07/01/2012		2,000,000		2,092,960

See Notes to Financial Statements.

4

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS (continued)
Florida (continued)
Miami-Dade County Industrial Development Authority, Revenue Bonds, Waste Mangement, Inc.,-RMKT(b)		1.250	%		11/01/2011		09/01/2027	$	1,475,000	$	1,476,077
Palm Beach County School District, COP, INS: NPFGC		5.000	%		08/01/2011		08/01/2011		1,880,000		1,885,245
											8,518,337
Georgia – 6.7%
Burke County Development Authority, Pollution Control, Revenue Bonds(b)		2.300	%		04/01/2014		10/01/2032		3,000,000		3,054,420
Carroll County School District, GO Unlimited		4.000	%		04/01/2011		04/01/2014		1,400,000		1,513,456
Fulton-Dekalb Hospital Authority, Revenue Bonds, Certificates, INS: AGM		5.000	%		01/01/2013		01/01/2013		1,025,000		1,087,843
Georgia State Environmental Loan Acquisition Corporation, Revenue Bonds, Local Government Loan Securitization Bonds		1.375	%		03/15/2014		03/15/2014		2,000,000		2,013,480
											7,669,199
Hawaii – 0.9%
City & County of Honolulu GO Unlimited, Series B, INS: FSA		5.500	%		07/01/2013		07/01/2013		1,000,000		1,096,810
Illinois – 3.4%
Cook County Township High School, District No 227 Rich Township, GO Unlimited, INS: AGM		4.125	%		12/10/2013		12/01/2013		2,500,000		2,651,225
Public Building Commission of Peoria, School District Facilities Capital Appreciation, Revenue Bonds, Series A, INS: Assured GTY(a)		–	%		12/01/2013		12/01/2013		1,300,000		1,224,665
											3,875,890
Indiana – 1.5%
Indiana Bond Bank Revenue Bonds, State Revolving Funding Progress, Series C		5.000	%		02/01/2013		02/01/2013		1,600,000		1,713,200
Kansas – 2.6%
City of Salina Kansas, GO Unlimited, Internal Improvement Bonds, Series A		5.000	%		10/01/2013		10/01/2013		1,750,000		1,916,652
Johnson County Unified School District No. 229 Blue Valley, GO Unlimited, Series A, INS: AGMC		5.000	%		10/01/2012		10/01/2012		1,000,000		1,058,070
											2,974,722
Kentucky – 1.0%
Kentucky Infrastructure Authority, Wastewater & Drinking Water Revolving Fund, Revenue Bonds, Series A		5.000	%		02/01/2014		02/01/2014		1,000,000		1,101,750

See Notes to Financial Statements.

5

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS (continued)
Louisiana – 1.8%
Louisiana Office Facilities Corp. Revenue Bonds, Capitol Complex Program		2.500	%		03/01/2012		03/01/2012	$	2,000,000	$	2,023,800
Massachusetts – 0.9%Commonwealth of Massachusetts, GO Unlimited, Consolidated Loan, Series E, INS: FSA		5.500	%		01/01/2013		01/01/2013		1,000,000		1,075,180
Michigan – 3.6%
Central Michigan University, Revenue Bonds		5.000	%		10/01/2012		10/01/2012		1,315,000		1,372,282
Chippewa Valley Schools, GO Unlimited, School Building & Site, INS: SBLF		5.000	%		05/01/2014		05/01/2014		400,000		436,756
Ypsilanti School District, GO Unlimited, INS: SBLF		4.000	%		05/01/2012		05/01/2012		2,270,000		2,322,573
											4,131,611
Minnesota – 1.9%
University of Minnesota, Revenue Bonds, Series A, INS: GO of University		5.000	%		12/01/2013		12/01/2013		2,000,000		2,202,020
Missouri – 3.5%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Revenue Bonds, Metrolink Cross County, Series B		4.000	%		10/15/2013		10/15/2013		2,000,000		2,076,700
Missouri Public Utilities Commission Revenue Bonds, Interim Construction Notes		2.000	%		08/01/2011		08/01/2011		2,000,000		2,002,100
											4,078,800
Montana – 0.5%
Whitefish Montana Tax Allocation, Emergency Services Contract Project		3.000	%		07/15/2011		07/15/2011		605,000		605,278
Nebraska – 1.5%
City of Omaha Revenue Bonds, Refunding Series A		2.000	%		12/01/2012		12/01/2012		1,095,000		1,117,776
Omaha Airport Authority Revenue Bonds, Series 1, GO Authority		2.000	%		01/01/2013		01/01/2013		545,000		554,478
											1,672,254
Nevada – 0.9%
Clark County, Airport System Junior Subordinate Lien Revenue Bonds, Series E		5.000	%		07/01/2012		07/01/2012		1,000,000		1,043,700
New Jersey – 3.5%
New Jersey Economic Development Authority Revenue Bonds, Transportation Project Sublease-Series A		5.000	%		05/01/2012		05/01/2012		1,860,000		1,926,160
New Jersey Higher Education Assistance Authority Revenue Bonds, Series 1-A		4.000	%		12/01/2011		12/01/2011		2,065,000		2,088,810
											4,014,970

See Notes to Financial Statements.

6

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS (continued)
New York – 8.9%
City of New York, GO Unlimited, Series H		5.000	%		08/01/2013		08/01/2013	$	1,450,000	$	1,577,875
Metropolitan Transportation Authority, Transportation Revenue Bonds, Series B		5.000	%		11/15/2013		11/15/2013		1,205,000		1,310,257
New York City Transitional Finance Authority, Future Tax Secured Subordinate Revenus Bonds, Series E		5.000	%		11/01/2013		11/01/2013		2,000,000		2,195,060
New York State Dormitory Authority Revenue Bonds, Series B(b)		5.250	%		05/15/2012		11/15/2023		2,000,000		2,078,600
New York State Dormitory Authority, Mental Health Services Facilities IMPT, Revenue Bonds, Class D, INS: AGM		4.000	%		02/15/2012		02/15/2012		2,000,000		2,042,580
Tobacco Settlement Financing Corporation, Asset Backed Revenue Bonds, Series A		4.000	%		06/01/2012		06/01/2012		1,000,000		1,031,300
											10,235,672
North Carolina – 0.3%
North Carolina Medical Care Commission, Revenue Bonds, Blue Ridge Healthcare, Series 2010 A		3.000	%		01/01/2013		01/01/2013		325,000		330,310
Ohio – 1.9%
Ohio Higher Educational Facility Commission Revenue Bonds, Cleveland Clinic Health, Series A		4.000	%		01/01/2012		01/01/2012		1,000,000		1,017,220
Ohio State Water Development Authority Revenue Bonds, Loan Fund Water Quality		5.000	%		06/01/2012		06/01/2012		1,155,000		1,203,799
											2,221,019
Oklahoma – 3.6%
Cleveland County Public Facilities Authority Revenue Bonds, Norman Public School Project, Series 2010		3.500	%		06/01/2012		06/01/2012		2,000,000		2,043,900
Oklahoma County Finance Authority Revenue Bonds, Putnam City Public School Project		4.000	%		03/01/2013		03/01/2013		1,000,000		1,049,210
Rogers County Educational Facilities Authority, Revenue Bonds, Catoosa Public Schools Project		3.000	%		09/01/2012		09/01/2012		1,000,000		1,022,040
											4,115,150
Pennsylvania – 5.3%
City of Philadelphia Water & Wastewater Revenue Bonds, Series A, INS: AMBAC		5.000	%		08/01/2012		08/01/2012		1,980,000		2,072,941
Pennsylvania Economic Development Financing Authority Revenue Bonds, Convention Center Project, Series A		5.000	%		06/15/2012		06/15/2012		2,000,000		2,075,560

See Notes to Financial Statements.

7

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS (continued)
Pennsylvania (continued)
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series AJ		5.000	%		06/15/2012		06/15/2012	$	1,860,000	$	1,941,952
											6,090,453
South Carolina – 6.6%
City of Rock Hill, Combined Utility System Revenue Bonds, INS: Assured GTY		4.000	%		01/01/2014		01/01/2014		2,315,000		2,467,420
Dillon County School Facilities Corp., Revenue Bonds, Constructions		3.000	%		04/01/2013		04/01/2013		3,000,000		3,086,190
South Carolina Transportation Infrastructure Bank Revenue Bonds, Series A, INS: AMBAC		5.000	%		10/01/2011		10/01/2011		2,000,000		2,020,520
											7,574,130
Tennessee – 0.9%
City of Oak Ridge Tennessee, GO Unlimited		2.000	%		04/01/2013		04/01/2013		1,025,000		1,049,385
Texas – 9.2%
County of Harris Revenue Bonds, Tax and Subordinate Lien, Series B, INS: AGMC(b)		5.000	%		08/15/2032		08/15/2032		2,525,000		2,651,578
Frisco Independent School District, GO Unlimited, INS: PSF GTD		6.500	%		08/15/2012		08/15/2012		1,000,000		1,068,310
Harris County Cultural Education Facilities Finance Corp., Revenue Bonds, Methodist Hospital System		5.000	%		06/01/2012		06/01/2012		2,000,000		2,074,840
McKinney Independent School District, GO Unlimited, INS: GTD		5.000	%		02/15/2014		02/15/2014		2,400,000		2,663,616
Texas A&M University, System Revenue Financing Revenue Bonds, Series B		5.000	%		05/15/2013		05/15/2013		1,940,000		2,099,003
											10,557,347
Utah – 1.1%
Utah Associated Municipal Power Systems Revenue Bonds, Payson Power Project, Series A, INS: AGMC		5.000	%		04/01/2012		04/01/2012		1,250,000		1,291,175
Washington – 2.5%
City of Fife, Local Improvement District No. 08-2, Bond Anticipation Notes		2.500	%		02/01/2013		02/01/2013		2,000,000		2,022,000
Washington Health Care Facilities Authority, Peacehealth Revenue Bonds		5.000	%		11/01/2011		11/01/2011		795,000		805,987
											2,827,987

See Notes to Financial Statements.

8

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Name of Issuer	Interest			Next Rate		Maturity		Principal		Market
and Title of Issue	Rate			Reset Date		Date		Amount		Value
TAX-EXEMPT OBLIGATIONS (continued)
Wisconsin – 1.0%
Northeast Wisconsin Technical College District, GO Unlimited, Series A		2.000	%		04/01/2013		04/01/2013	$	1,135,000	$	1,159,822
TOTAL TAX-EXEMPT OBLIGATIONS (Cost: $112,012,393)											112,737,810
MONEY MARKET FUND – 0.9%									Shares
State Street Institutional Tax Free Money Market Fund, Institutional Shares (at net asset value)(c),(d)									1,068,964		1,068,964
TOTAL MONEY MARKET FUND (Cost: $1,068,964)											1,068,964
TOTAL INVESTMENTS(e)† – 99.0% (Cost $113,081,357)											113,806,774
Other Assets in Excess of Liabilities – 1.0%											1,125,888
NET ASSETS – 100.0%										$	114,932,662

(a)  Zero-coupon bond – Interest rate represents current yield maturity.

(b)  Floating Rate Note – Interest rate shown is rate in effect at June 30, 2011.

(c)  Affiliated issuer. See table that follows for more information.

(d)  Value determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)

(e)  Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)

 †  See Note 2 to the Notes to Financial Statements.

Acronym	Name
AGM	Assured Guaranty Municipal
AMBAC	American Municipal Bond Assurance Corporation
COP	Certificates of Participation
FSA	Financial Security Assurance
GO	General Obligation
GTD	Guaranteed
INS	Insured
NPFGC	National Public Finance Guarantee Corporation
PSF	Permanent School Fund
RMKT	Remarketable

See Notes to Financial Statements.

9

State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

Affiliate Table

Certain investments made by the Portfolio were made in mutual funds affiliated with State Street and SSgA FM. The market value of this investment at June 30, 2011 is listed in the Portfolio of Investments.

Shares

Number of

purchased

Shares sold

Income earned

Realized

shares

for the

for the

Number of

for

gain

held

six months

six months

shares

Value at

six months

on shares

Security Description

at 12/31/2010

ended 06/30/2011

ended 06/30/2011

held at 06/30/2011

06/30/2011

ended 06/30/2011

sold

State Street Institutional Tax Free Money Market Fund, Institutional Shares (at net asset value)

237,270

40,354,901

39,523,207

1,068,964

$

1,068,964

$

547

$

–

See Notes to Financial Statements.

10

State Street Short-Term Tax Exempt Bond Portfolio

Statement of Assets and Liabilities

June 30, 2011 (Unaudited)

Assets
Investments in unaffiliated issuers at market value (identified cost $112,012,393)	$	112,737,810
Investments in non-controlled affiliates at market value (identified cost $1,068,964) (Note 4)		1,068,964
Total investments at market value (identified cost $113,081,357)		113,806,774
Interest receivable		1,147,454
Prepaid expenses and other assets		10,069
Total assets		114,964,297
Liabilities
Management fee (Note 4)		19,047
Professional fees		9,361
Administration and custody fees (Note 3)		2,616
Accrued expenses and other liabilities		611
Total liabilities		31,635
Net Assets	$	114,932,662

See Notes to Financial Statements.

11

State Street Short-Term Tax Exempt Bond Portfolio

Statement of Operations

Six Months Ended June 30, 2011 (Unaudited)

Investment Income
Interest	$	821,885
Dividend income – non-controlled affiliated issuer		547
Total investment income		822,432
Expenses
Management fees (Note 4)		49,724
Professional fees		26,925
Administration and custody fees (Note 4)		7,124
Trustees’ fees (Note 5)		5,868
Insurance fees		5,216
Printing fees		634
Other expenses		333
Total expenses		95,824
Net Investment Income	$	726,608
Realized and Unrealized Gain
Net realized gain on investments	$	47,217
Net change in net unrealized appreciation on investments		141,825
Net Increase in Net Assets Resulting from Operations	$	915,650

See Notes to Financial Statements.

12

State Street Short-Term Tax Exempt Bond Portfolio

Statements of Changes in Net Assets

	For the
	Six Months Ended			For the
	June 30, 2011			Year Ended
	(Unaudited)			December 31, 2010
Increase (Decrease) in Net Assets From:
Operations
Net investment income	$	726,608		$	1,560,126
Net realized gain (loss) on investments		47,217			190,861
Net change in net unrealized appreciation (depreciation) on investments and futures contracts		141,825			(491,854	)
Net increase in net assets from operations		915,650			1,259,133
Capital Transactions
Contributions		24,995,778			14,063,935
Withdrawals		(26,642	)		(6,676,693	)
Net increase in net assets from capital transactions		24,969,136			7,387,242
Net Increase in Net Assets		25,884,786			8,646,375
Net Assets
Beginning of period		89,047,876			80,401,501
End of period	$	114,932,662		$	89,047,876

See Notes to Financial Statements.

13

State Street Short-Term Tax Exempt Bond Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:

	Six Months
	Ended			Year			Year			Year			Period
	6/30/11			Ended			Ended			Ended			Ended
	(Unaudited)			12/31/10			12/31/09			12/31/08			12/31/07(a)
Supplemental Data and Ratios:
Net assets, end of period (000s)		114,933			89,048			80,402			101,330			40,467
Ratios to average net assets:
Gross operating expenses		0.19	%*		0.19	%		0.21	%		0.23	%		0.35	%*
Net operating expenses		0.19	%*		0.16	%		0.10	%		0.10	%		0.10	%*
Net investment income		1.46	%*		1.80	%		2.25	%		2.44	%		3.58	%*
Expense Waiver		–			0.03	%(b)		0.11	%(b)		0.13	%(b)		0.25	%*(b)
Portfolio turnover rate		14	%**		17	%		50	%		89	%		31	%**
Total Return(c)		0.91	%**		1.46	%		3.36	%		3.04	%		3.33	%**

(a)	The portfolio commenced operations on February 7, 2007.
(b)	This expense waiver is reflected in both the net operating expense and the net investment income ratios shown above. With out these waivers, net investment income would have been lower.
(c)	Results represent past performance and are not indicative of future results.
*	Annualized.
**	Not annualized.

See Notes to Financial Statements.

14

State Street Short-Term Tax Exempt Bond Portfolio

Notes to Financial Statements

June 30, 2011 (Unaudited)

1.  Organization

The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”). The Portfolio commenced operations on February 7, 2007. At June 30, 2011, the following Portfolios were in operation: the Portfolio, the State Street Equity 500 Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Short-Term Tax Exempt Bond Portfolio’s investment objective is to seek to provide federally tax-exempt current income and liquidity. The Portfolio invests at least 80% of its assets in a diversified portfolio of investment grade municipal debt securities and maintains a dollar-weighted average portfolio duration of two years or less. The Portfolio is not a money market fund, and it is expected that the Portfolio will be managed in such a way that a feeder fund’s net asset value per share will fluctuate. There is no assurance that the Portfolio will achieve its investment objective, and you could lose money by investing in the Portfolio.

2.  Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Fixed-income securities are valued on the basis of the closing bid price. Investments in other mutual funds are valued at the net asset value per share. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most

15

State Street Short-Term Tax Exempt Bond Portfolio

Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

•  Level 1 – quoted prices in active markets for identical securities

•  Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of June 30, 2011, in valuing the Portfolio’s assets carried at fair value:

	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
TAX-EXEMPT OBLIGATIONS	$	–	$	112,737,810	$	–	$	112,737,810
MONEY MARKET FUND		1,068,964		–		–		1,068,964
TOTAL INVESTMENTS	$	1,068,964	$	112,737,810	$	–	$	113,806,774

The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

The Portfolio adopted updated provisions surrounding Fair Value Measurements and Disclosures. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the period ended June 30, 2011, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.

16

State Street Short-Term Tax Exempt Bond Portfolio

Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

Federal income taxes – The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of June 30, 2011, tax years since inception through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At June 30, 2011, the book cost of investments was $113,081,357 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $766,994 and $41,577, respectively, resulting in net appreciation/depreciation of $725,417 for all securities as computed on a federal income tax basis.

Use of Estimates – The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.

3.  Securities Transactions

For the period ended June 30, 2011, purchases and sales of investment securities, excluding short-term investments, futures contracts, and in-kind contributions and withdrawals, aggregated to $52,522,650 and $26,716,668, respectively.

4.  Related Party Fees

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”). The Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser an annual fee of 0.10% of the Portfolio’s average daily net assets.

State Street is the administrator, custodian and transfer agent for the Portfolio. In compensation for State Street’s services as administrator, custodian and transfer agent, the Trust pays State Street an annual fee, which is accrued daily and payable monthly at the applicable fee rate described below, of the following annual percentages of the Trust’s average aggregate daily net assets, exclusive of the Equity 500 Index Portfolio, during the month as follows:

	Annual percentage of
Asset Levels	average aggregate daily net assets
First $400 million		0.03%
Next $15 billion		0.02%
Thereafter		0.01%
Minimum annual fee per Portfolio		$150,000

17

State Street Short-Term Tax Exempt Bond Portfolio

Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

5.  Investment Sub-Adviser

Effective April 1, 2010, Nuveen Asset Management (“Nuveen”) serves as the investment sub-adviser to the Portfolio and is responsible for the day-to-day management of the Portfolio’s investments, subject to supervision by the Adviser and the Board of Trustees. For its services, the Adviser pays Nuveen 50% of the management fee, net of waivers, paid by the Portfolio to the Adviser. The Portfolio is not responsible for the fees paid to Nuveen.

6.  Trustees’ Fees

The Trust pays each Trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also pays each Trustee an annual retainer of $30,000. Each Trustee is reimbursed for out-of-pocket and travel expenses.

7.  Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

8.  Subsequent Events

In accordance with provisions surrounding Subsequent Events adopted by the Portfolio, management has evaluated the possibility of subsequent events existing in the Portfolio’s financial statements.

Management has determined that there are no additional material events that would require disclosure in the Portfolio’s financial statements.

18

State Street Short-Term Tax Exempt Bond Portfolio

General Information (Unaudited)

June 30, 2011

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolios. A description of the policies and procedures are available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

19

Trustees

Michael F. Holland

William L. Boyan

Rina K. Spence

Douglas T. Williams

James E. Ross

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator and Custodian

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Short-Term Tax Exempt Bond Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206 SSITSHTFBDSAR

STATE STREET EQUITY 500 INDEX PORTFOLIO

SEMI-ANNUAL REPORT

June 30, 2011

(Unaudited)

State Street Equity 500 Index Portfolio

EXPENSE EXAMPLE (Unaudited)

As a shareholder of the State Street Equity 500 Index Portfolio (the “Portfolio”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2011 to June 30, 2011.

The table below illustrates your Portfolio’s costs in two ways:

•  Based on actual fund return.  This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the actual return of the Portfolio, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, 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 for the Portfolio under the heading “Expenses Paid During Period”.

•  Based on hypothetical 5% return.  This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Six Months Ended June 30, 2011

	Beginning	Ending	Expenses Paid
	Account Value	Account Value	During
	January 1, 2011	June 30, 2011	Period *
Based on Actual Portfolio Return	$1,000.00	$1,059.70	$0.23
Based on Hypothetical (5% return before expenses)	$1,000.00	$1,024.57	$0.23

*  The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The annualized average weighted expense ratio as of June 30, 2011 was 0.046%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 181/365 (the most recent six month period).

1

State Street Equity 500 Index Portfolio
Portfolio of Investments
June 30, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS – 98.6%
Consumer Discretionary – 11.0%
Abercrombie & Fitch Co. Class A		13,046	$	873
Amazon.Com, Inc.(a)		56,792		11,613
Apollo Group, Inc. Class A(a)		18,029		788
AutoNation, Inc.(a)		9,763		357
AutoZone, Inc.(a)		4,064		1,198
Bed Bath & Beyond, Inc.(a)		40,645		2,372
Best Buy Co., Inc.		51,719		1,624
Big Lots, Inc.(a)		12,727		422
Cablevision Systems Corp.		35,600		1,289
CarMax, Inc.(a)		33,800		1,118
Carnival Corp.		68,250		2,568
CBS Corp. Class B		107,203		3,054
Chipotle Mexican Grill, Inc.(a)		4,900		1,510
Coach, Inc.		46,728		2,987
Comcast Corp. Class A		443,248		11,232
D.R. Horton, Inc.		47,976		553
Darden Restaurants, Inc.		22,488		1,119
DeVry, Inc.		10,400		615
Direct TV. Class A(a)		125,377		6,372
Discovery Communications, Inc. Class A(a)		44,500		1,823
eBay, Inc.(a)		182,903		5,902
Expedia, Inc.		29,215		847
Family Dollar Stores, Inc.		18,858		991
Ford Motor Co.(a)		599,998		8,274
Fortune Brands, Inc.		23,445		1,495
GameStop Corp. Class A(a)		19,400		517
Gannett Co., Inc.		33,574		481
Gap, Inc.		67,398		1,220
Genuine Parts Co.		23,909		1,301
Goodyear Tire & Rubber Co.(a)		34,957		586
H&R Block, Inc.		44,415		712
Harley-Davidson, Inc.		35,901		1,471
Harman International Industries, Inc.		9,721		443
Hasbro, Inc.		20,425		897
Home Depot, Inc.		256,512		9,291
Host Hotels & Resorts, Inc.		104,421		1,770
International Game Technology		47,919		842
Interpublic Group of Cos., Inc.		71,894		899
JC Penney Co., Inc.		35,910		1,240
Johnson Controls, Inc.		107,186		4,465
Kohl’s Corp.		46,133		2,307
Lennar Corp. Class A		25,931		471
Limited Brands		40,467		1,556
Lowe’s Cos., Inc.		205,662		4,794
Macy’s, Inc.		65,323		1,910
Marriot International, Inc. Class A		45,050		1,599
Mattel, Inc.		53,676		1,476
McDonald’s Corp.		164,525		13,873
McGraw-Hill, Inc.		48,166		2,019
NetFlix, Inc.(a)		6,700		1,760
Newell Rubbermaid, Inc.		42,693		674
News Corp. Class A		364,209		6,447
NIKE, Inc. Class B		60,852		5,475
Nordstrom, Inc.		25,933		1,217
O’Reilly Automotive, Inc.(a)		22,900		1,500
Omnicom Group, Inc.		44,041		2,121
Polo Ralph Lauren Corp.		9,915		1,315
Priceline.com, Inc.(a)		7,790		3,988
Pulte Homes, Inc.(a)		54,705		419
Ross Stores, Inc.		18,100		1,450
Scripps Networks Interactive, Inc. Class A		13,135		642
Sears Holdings Corp.(a)		7,474		534
Snap-On, Inc.		9,212		576
Stanley Black & Decker, Inc.		26,007		1,874
Staples, Inc.		114,233		1,805
Starbucks Corp.		117,761		4,650
Starwood Hotels & Resorts Worldwide, Inc.		29,947		1,678
Target Corp.		113,016		5,302
Tiffany & Co.		19,180		1,506
Time Warner Cable, Inc.		53,971		4,212
Time Warner, Inc.		172,391		6,270
TJX Cos., Inc.		62,606		3,289
Urban Outfitters, Inc.(a)		18,300		515
V.F. Corp.		12,993		1,411
Viacom, Inc. Class B		96,122		4,902
Walt Disney Co.		301,845		11,784
Washington Post Co. Class B		660		277
Whirlpool Corp.		11,361		924
Wyndham Worldwide Corp.		25,599		861
Wynn Resorts, Ltd.		11,600		1,665
Yum! Brands, Inc.		74,392		4,109
				212,288
Consumer Staples – 10.4%
Altria Group, Inc.		333,799		8,816
Archer-Daniels-Midland Co.		101,324		3,055
Avon Products, Inc.		67,360		1,886
Brown-Forman Corp. Class B		15,455		1,154
Campbell Soup Co.		27,065		935
Clorox Co.		21,243		1,433
Coca-Cola Co.		361,711		24,340
Coca-Cola Enterprises, Inc.		50,901		1,485
Colgate-Palmolive Co.		78,101		6,827
ConAgra Foods, Inc.		62,475		1,612
Constellation Brands, Inc. Class A(a)		29,326		611
Costco Wholesale Corp.		68,889		5,597
CVS Caremark Corp.		217,132		8,160
Dean Foods Co.(a)		23,558		289
Dr Pepper Snapple Group, Inc.		34,400		1,442
Estee Lauder Cos., Inc. Class A		17,552		1,846
General Mills, Inc.		101,664		3,784
H.J. Heinz Co.		50,569		2,694
Hormel Foods Corp.		23,600		704
Kellogg Co.		39,935		2,209
Kimberly-Clark Corp.		64,800		4,313
Kraft Foods, Inc. Class A		279,309		9,840
Kroger Co.		100,376		2,489
Lorillard, Inc.		23,461		2,554
McCormick & Co., Inc.		19,853		984
Molson Coors Brewing Co., Class B		23,862		1,068
PepsiCo, Inc.		250,154		17,618
Philip Morris International, Inc.		282,099		18,836
Procter & Gamble Co.		441,519		28,067
Reynolds American, Inc.		52,874		1,959
Safeway, Inc.		56,564		1,322
Sara Lee Corp.		89,234		1,695
SuperValu, Inc.		34,848		328
Sysco Corp.		92,509		2,884
The Hershey Company		25,282		1,437

See Notes to Financial Statements.

2

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Consumer Staples – (continued)
The J.M. Smucker Co.		18,060	$	1,381
Tyson Foods, Inc., Class A		43,735		849
Wal-Mart Stores, Inc.		301,602		16,027
Walgreen Co.		147,718		6,272
Whole Foods Market, Inc.		22,533		1,430
				200,232
Energy – 12.5%
Alpha Natural Resources, Inc.(a)		35,600		1,618
Anadarko Petroleum Corp.		79,026		6,066
Apache Corp.		61,025		7,530
Baker Hughes, Inc.		68,573		4,976
Cabot Oil & Gas Corp.		17,300		1,147
Cameron International Corp.(a)		38,100		1,916
Chesapeake Energy Corp.		103,482		3,072
Chevron Corp.(b)		316,446		32,543
ConocoPhillips		225,430		16,950
Consol Energy, Inc.		35,373		1,715
Denbury Resources, Inc.(a)		61,700		1,234
Devon Energy Corp.		67,251		5,300
Diamond Offshore Drilling, Inc.		10,100		711
El Paso Corp.		122,292		2,470
EOG Resources, Inc.		42,817		4,477
EQT Corp.		22,400		1,176
ExxonMobil Corp.(b)		777,947		63,309
FMC Technologies, Inc.(a)		37,400		1,675
Halliburton Co.		145,034		7,397
Helmerich & Payne, Inc.		16,000		1,058
Hess Corp.		47,601		3,559
Marathon Oil Corp.		112,977		5,952
Murphy Oil Corp.		29,941		1,966
Nabors Industries, Ltd.(a)		43,104		1,062
National Oilwell Varco, Inc.		66,757		5,221
Newfield Exploration Co.(a)		20,600		1,401
Noble Corp.		38,800		1,529
Noble Energy, Inc.		27,610		2,475
Occidental Petroleum Corp.		128,144		13,332
Peabody Energy Corp.		42,524		2,505
Pioneer Natural Resources Co.		18,000		1,612
QEP Resources, Inc.		26,468		1,107
Range Resources Corp.		24,500		1,360
Rowan Cos., Inc.(a)		19,620		761
Schlumberger, Ltd.		213,558		18,451
Southwestern Energy Co.(a)		54,500		2,337
Spectra Energy Corp.		102,398		2,807
Sunoco, Inc.		20,384		850
Tesoro Corp.(a)		20,065		460
Valero Energy Corp.		89,109		2,279
Williams Cos., Inc.		92,268		2,791
				240,157
Financials – 15.4%
ACE Ltd.		53,800		3,541
AFLAC, Inc.		74,990		3,501
Allstate Corp.		85,006		2,595
American Express Co.		167,364		8,653
American International Group, Inc.(a)		68,633		2,012
Ameriprise Financial, Inc.		39,107		2,256
AON Corp.		51,947		2,665
Apartment Investment & Management Co. Class A		16,252		415
Assurant, Inc.		14,131		513
AvalonBay Communities, Inc.		13,198		1,695
Bank of America Corp.		1,595,671		17,489
Bank of New York Mellon Corp.		197,985		5,072
BB&T Corp.		109,870		2,949
Berkshire Hathaway, Inc. Class B(a)		272,903		21,120
BlackRock, Inc.		15,400		2,954
Boston Properties, Inc.		21,967		2,332
Capital One Financial Corp.		72,463		3,744
CB Richard Ellis Group, Inc. Class A(a)		47,275		1,187
Charles Schwab Corp.		156,893		2,581
Chubb Corp.		46,075		2,885
Cincinnati Financial Corp.		27,114		791
Citigroup, Inc.		456,120		18,993
CME Group, Inc.		10,591		3,088
Comerica, Inc.		26,344		911
Developers Diversified Realty Corp.		1,532		22
Discover Financial Services		85,205		2,279
E*Trade Financial Corp.(a)		33,931		468
Equity Residential		46,957		2,817
Federated Investors, Inc. Class B		14,870		354
Fifth Third Bancorp		141,016		1,798
First Horizon National Corp.		46,055		439
Franklin Resources, Inc.		22,980		3,017
Genworth Financial, Inc. Class A(a)		72,151		742
Goldman Sachs Group, Inc.		81,534		10,851
Hartford Financial Services Group, Inc.		69,797		1,841
HCP, Inc.		64,100		2,352
Health Care REIT, Inc.		26,800		1,405
Hudson City Bancorp, Inc.		76,692		628
Huntington Bancshares, Inc.		127,456		836
IntercontinentalExchange, Inc.(a)		11,180		1,394
Invesco Ltd.		72,300		1,692
J.P. Morgan Chase & Co.		628,015		25,711
Janus Capital Group, Inc.		31,407		296
KeyCorp		150,475		1,253
Kimco Realty Corp.		66,369		1,237
Legg Mason, Inc.		22,342		732
Leucadia National Corp.		29,736		1,014
Lincoln National Corp.		48,192		1,373
Loews Corp.		49,731		2,093
M & T Bank Corp.		18,637		1,639
Marsh & McLennan Cos., Inc.		85,653		2,671
Marshall & Ilsley Corp.		86,593		690
Mastercard, Inc. Class A		15,400		4,641
MetLife, Inc.		168,396		7,388
Moody’s Corp.		29,966		1,149
Morgan Stanley		244,430		5,624
NASDAQ OMX Group, Inc.(a)		25,400		643
Northern Trust Corp.		38,006		1,747
NYSE Euronext		40,000		1,371
Paychex, Inc.		50,338		1,546
People’s United Financial, Inc.		52,600		707
PNC Financial Services Group, Inc.		83,717		4,990
Principal Financial Group, Inc.		50,091		1,524

See Notes to Financial Statements.

3

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Financials – (continued)
Progressive Corp.		104,301	$	2,230
ProLogis, Inc.		66,699		2,390
Prudential Financial, Inc.		77,239		4,912
Public Storage, Inc.		21,987		2,507
Regions Financial Corp.		191,689		1,188
Simon Property Group, Inc.		46,615		5,418
SLM Corp.(a)		82,954		1,394
State Street Corp.(c)		79,725		3,595
SunTrust Banks, Inc.		85,618		2,209
T. Rowe Price Group, Inc.		40,475		2,442
Torchmark Corp.		11,421		733
Total System Services, Inc.		27,675		514
Travelers Cos., Inc.		68,904		4,023
U.S. Bancorp		306,652		7,823
Unum Group		47,529		1,211
Ventas, Inc.		26,800		1,413
Visa, Inc.		77,700		6,547
Vornado Realty Trust		25,614		2,387
Wells Fargo Co.		830,549		23,305
Western Union Co.		103,085		2,065
XL Capital, Ltd. Class A		47,568		1,046
Zions Bancorp		30,453		731
				296,999
Health Care – 11.2%
Abbott Laboratories		242,606		12,766
Aetna, Inc.		59,750		2,634
Allergan, Inc.		48,792		4,062
AmerisourceBergen Corp.		42,686		1,767
Amgen, Inc.(a)		147,736		8,620
Baxter International, Inc.		92,761		5,537
Becton, Dickinson & Co.		34,397		2,964
Biogen Idec, Inc.(a)		37,631		4,023
Boston Scientific Corp.(a)		237,834		1,643
Bristol-Myers Squibb Co.		269,116		7,794
C.R. Bard, Inc.		12,897		1,417
Cardinal Health, Inc.		54,957		2,496
CareFusion Corp.(a)		33,278		904
Celgene Corp.(a)		74,818		4,513
Cephalon, Inc.(a)		11,100		887
Cerner Corp.(a)		23,400		1,430
CIGNA Corp.		42,396		2,180
Coventry Health Care, Inc.(a)		21,903		799
Covidien PLC		77,600		4,131
DaVita, Inc.(a)		14,600		1,264
Dentsply International, Inc.		20,900		796
Edwards Lifesciences Corp.(a)		18,500		1,613
Eli Lilly & Co.		161,775		6,071
Express Scripts, Inc.(a)		83,898		4,529
Forest Laboratories, Inc.(a)		43,602		1,715
Gilead Sciences, Inc.(a)		124,999		5,176
Hospira, Inc.(a)		25,303		1,434
Humana, Inc.(a)		26,007		2,095
Intuitive Surgical, Inc.(a)		6,200		2,307
Johnson & Johnson		431,249		28,687
Laboratory Corp. of America Holdings(a)		15,622		1,512
Life Technologies Corp.(a)		28,787		1,499
McKesson Corp.		40,055		3,351
Mead Johnson Nutrition Co.		32,118		2,170
Medco Health Solutions, Inc.(a)		63,868		3,610
Medtronic, Inc.		168,878		6,507
Merck & Co., Inc.		483,870		17,076
Mylan, Inc.(a)		68,009		1,678
Patterson Cos., Inc.		16,494		542
Pfizer, Inc.		1,260,511		25,967
Quest Diagnostics, Inc.		24,200		1,430
St. Jude Medical, Inc.		50,626		2,414
Stryker Corp.		54,089		3,174
Tenet Healthcare Corp.(a)		73,370		458
UnitedHealth Group, Inc.		172,996		8,923
Varian Medical Systems, Inc.(a)		18,160		1,272
Watson Pharmaceuticals, Inc.(a)		18,946		1,302
Wellpoint, Inc.		59,438		4,682
Zimmer Holdings, Inc.(a)		30,852		1,950
				215,771
Industrials – 11.4%
3M Co.		113,572		10,772
Amphenol Corp. Class A		27,000		1,458
Avery Dennison Corp.		15,388		594
Boeing Co.		117,288		8,671
Caterpillar, Inc.		101,479		10,804
CH Robinson Worldwide, Inc.		26,061		2,055
Cintas Corp.		21,588		713
CSX Corp.		178,314		4,675
Cummins, Inc.		31,358		3,245
Danaher Corp.		85,272		4,519
Deere & Co.		67,637		5,577
Dover Corp.		29,195		1,979
Eaton Corp.		53,190		2,737
Emerson Electric Co.		120,248		6,764
Equifax, Inc.		17,883		621
Expeditors International Washington, Inc.		33,220		1,701
Fastenal Co.		45,200		1,627
FedEx Corp.		50,100		4,752
First Solar, Inc.(a)		8,070		1,067
Flir Systems, Inc.		23,500		792
Flowserve Corp.		8,300		912
Fluor Corp.		28,060		1,814
General Dynamics Corp.		60,061		4,476
General Electric Co.(b)		1,674,033		31,572
Goodrich Co.		19,645		1,876
Honeywell International, Inc.		124,581		7,424
Huntington Ingalls Industries, Inc.(a)(d)		–		–
Illinois Tool Works, Inc.		78,871		4,455
Ingersoll-Rand PLC		51,100		2,320
Iron Mountain, Inc.		32,200		1,098
ITT Industries, Inc.		28,692		1,691
Jacobs Engineering Group, Inc.(a)		20,400		882
Joy Global, Inc.		16,600		1,581
L-3 Communications Holdings, Inc.		17,203		1,504
Leggett & Platt, Inc.		24,998		609
Lockheed Martin Corp.		44,852		3,632
Masco Corp.		57,123		687
Monster Worldwide, Inc.(a)		22,609		331
Norfolk Southern Corp.		55,855		4,185

See Notes to Financial Statements.

4

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Industrials – (continued)
Northrop Grumman Corp.		46,311	$	3,212
PACCAR, Inc.		57,774		2,952
Pall Corp.		17,209		968
Parker-Hannifin Corp.		25,403		2,280
Pitney Bowes, Inc.		29,727		683
Precision Castparts Corp.		22,607		3,722
Quanta Services, Inc.(a)		36,800		743
R.R. Donnelley & Sons Co.		29,609		581
Raytheon Co.		57,682		2,875
Republic Services, Inc.		46,803		1,444
Robert Half International, Inc.		23,440		634
Rockwell Automation, Inc.		21,905		1,901
Rockwell Collins, Inc.		24,231		1,495
Roper Industries, Inc.		14,400		1,200
Ryder Systems, Inc.		7,921		450
Southwest Airlines Co.		113,686		1,298
Stericycle, Inc.(a)		12,900		1,150
Textron, Inc.		41,239		974
Thermo Fisher Scientific, Inc.(a)		63,024		4,058
Tyco International Ltd.		74,000		3,658
Union Pacific Corp.		77,668		8,109
United Parcel Service, Inc. Class B		154,646		11,278
United Technologies Corp.		144,278		12,770
W.W. Grainger, Inc.		8,769		1,347
Waste Management, Inc.		75,239		2,804
				218,758
Information Technology – 16.5%
Adobe Systems, Inc.(a)		80,457		2,530
Advanced Micro Devices, Inc.(a)		84,086		588
Agilent Technologies, Inc.(a)		54,568		2,789
Akamai Technologies, Inc.(a)		31,124		979
Altera Corp.		51,154		2,371
Analog Devices, Inc.		46,869		1,834
AOL, Inc.(a)(d)		1		–
Apple, Inc.(a)		145,284		48,767
Applied Materials, Inc.		211,707		2,754
Autodesk, Inc.(a)		34,976		1,350
Automatic Data Processing, Inc.		78,317		4,126
BMC Software, Inc.(a)		29,221		1,598
Broadcom Corp. Class A(a)		73,859		2,485
CA, Inc.		58,199		1,329
Cisco Systems, Inc.		871,519		13,604
Citrix Systems, Inc.(a)		29,467		2,357
Cognizant Technology Solutions Corp. Class A(a)		48,184		3,534
Computer Sciences Corp.		23,144		879
Compuware Corp.(a)		37,450		366
Corning, Inc.		248,876		4,517
Dell, Inc.(a)		266,550		4,443
Dun & Bradstreet Corp.		8,500		642
Electronic Arts, Inc.(a)		50,300		1,187
EMC Corp.(a)		327,884		9,033
F5 Networks, Inc.(a)		12,200		1,345
Fidelity National Information Services, Inc.		43,277		1,333
Fiserv, Inc.(a)		22,552		1,412
Google, Inc. Class A(a)		39,490		19,997
Harris Corp.		19,000		856
Hewlett-Packard Co.		327,616		11,925
Intel Corp.		837,356		18,556
International Business Machines Corp.		192,242		32,979
Intuit, Inc.(a)		43,963		2,280
Jabil Circuit, Inc.		31,651		639
Juniper Networks, Inc.(a)		85,493		2,693
KLA-Tencor Corp.		25,105		1,016
Lexmark International Group, Inc. Class A(a)		12,642		370
Linear Technology Corp.		36,963		1,221
LSI Corp.(a)		89,162		635
MEMC Electronic Materials, Inc.(a)		36,378		310
Microchip Technology, Inc.		28,189		1,069
Micron Technology, Inc.(a)		130,962		980
Microsoft Corp.(b)		1,165,735		30,309
Molex, Inc.		23,305		601
Motorola Mobility Holdings, Inc.(a)		44,183		974
Motorola Solutions, Inc.(a)		52,752		2,429
National Semiconductor Corp.		35,696		878
NetApp, Inc.(a)		57,257		3,022
Novellus Systems, Inc.(a)		15,230		550
NVIDIA Corp.(a)		91,556		1,459
Oracle Corp.		613,362		20,186
PerkinElmer, Inc.		15,618		420
QUALCOMM, Inc.		259,111		14,715
Red Hat, Inc.(a)		31,300		1,437
SAIC, Inc.(a)		42,900		722
Salesforce.com, Inc.(a)		18,600		2,771
SanDisk Corp.(a)		36,267		1,505
Symantec Corp.(a)		122,163		2,409
Tellabs, Inc.		63,030		291
Teradata Corp.(a)		25,620		1,542
Teradyne, Inc.(a)		28,149		417
Texas Instruments, Inc.		187,399		6,152
VeriSign, Inc.		25,721		861
Waters Corp.(a)		13,765		1,318
Western Digital Corp.(a)		35,200		1,281
Xerox Corp.		218,801		2,278
Xilinx, Inc.		42,402		1,546
Yahoo!, Inc.(a)		206,619		3,108
				316,859
Materials – 3.8%
Air Products & Chemicals, Inc.		33,909		3,241
Airgas, Inc.		11,300		791
AK Steel Holding Corp.		20,000		315
Alcoa, Inc.		165,449		2,624
Allegheny Technologies, Inc.		17,228		1,093
Ball Corp.		25,124		966
Bemis Co., Inc.		18,462		624
CF Industries Holdings, Inc.		10,950		1,551
Cliffs Natural Resources, Inc.		21,200		1,960
Dow Chemical Co.		185,228		6,668
E.I. Du Pont de Nemours & Co.		146,012		7,892
Eastman Chemical Co.		10,504		1,072
Ecolab, Inc.		36,366		2,050
FMC Corp.		10,600		912

See Notes to Financial Statements.

5

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

			Market
			Value
	Shares		(000)
COMMON STOCKS – (continued)
Materials – (continued)
Freeport-McMoRan Copper & Gold, Inc. Class B		150,504	$	7,962
International Flavors & Fragrances, Inc.		13,031		837
International Paper Co.		68,711		2,049
MeadWestvaco Corp.		26,720		890
Monsanto Co.		85,555		6,206
Newmont Mining Corp.		78,406		4,232
Nucor Corp.		49,754		2,051
Owens-Illinois, Inc.(a)		24,000		619
Plum Creek Timber Co., Inc.		24,211		982
PPG Industries, Inc.		25,671		2,331
Praxair, Inc.		48,711		5,280
Sealed Air Corp.		22,792		542
Sherwin-Williams Co.		13,396		1,124
Sigma-Aldrich Corp.		18,334		1,345
Titanium Metals Corp.(a)		16,600		304
United States Steel Corp.		21,478		989
Vulcan Materials Co.		18,961		731
Weyerhaeuser Co.		84,074		1,838
				72,071
Telecommunication Services – 3.1%
American Tower Corp. Class A(a)		63,200		3,307
AT&T, Inc.		931,950		29,273
CenturyTel, Inc.		93,165		3,767
Frontier Communications Corp.		149,444		1,206
JDS Uniphase Corp.(a)		32,523		542
MetroPCS Communications, Inc.(a)		38,300		659
Sprint Nextel Corp.(a)		469,465		2,530
Verizon Communications, Inc.		449,166		16,722
Windstream Corp.		82,613		1,071
				59,077
Utilities – 3.3%
AES Corp.(a)		102,795		1,310
Ameren Corp.		36,060		1,040
American Electric Power Co., Inc.		75,952		2,862
CenterPoint Energy, Inc.		64,211		1,242
CMS Energy Corp.		37,956		747
Consolidated Edison, Inc.		45,752		2,436
Constellation Energy Group, Inc.		30,014		1,139
Dominion Resources, Inc.		92,262		4,453
DTE Energy Co.		27,684		1,385
Duke Energy Corp.		210,420		3,962
Edison International		51,119		1,981
Entergy Corp.		28,498		1,946
Exelon Corp.		105,221		4,508
FirstEnergy Corp.		66,722		2,946
Integrys Energy Group, Inc.		13,216		685
NextEra Energy, Inc.		66,021		3,794
Nicor, Inc.		7,800		427
NiSource, Inc.		41,182		834
Northeast Utilities		26,200		921
NRG Energy, Inc.(a)		36,700		902
Oneok, Inc.		16,100		1,192
Pepco Holdings, Inc.		32,500		638
PG&E Corp.		62,026		2,607
Pinnacle West Capital Corp.		15,860		707
PPL Corp.		90,175		2,510
Progress Energy, Inc.		46,081		2,212
Public Service Enterprise Group, Inc.		79,924		2,609
SCANA Corp.		19,300		760
Sempra Energy		37,686		1,993
Southern Co.		133,643		5,396
TECO Energy, Inc.		34,951		660
Wisconsin Energy Corp.		35,100		1,100
Xcel Energy, Inc.		77,151		1,875
				63,779
TOTAL COMMON STOCKS (Cost $1,107,620)				1,895,991

	Par
	Amount
	(000)
U.S. GOVERNMENT SECURITIES – 0.2%
United States Treasury Bill(b)(e)(f) 0.05% due 07/07/2011	$	3,765		3,765
United States Treasury Bill(b)(e)(f) 0.06% due 08/25/2011		350		350
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115)				4,115
	Shares
	(000)
MONEY MARKET FUNDS – 1.1%
AIM Short Term Investment Prime Portfolio		20,731		20,731
Federated Money Market Obligations Trust		577		577
TOTAL MONEY MARKET FUNDS (Cost $21,308)				21,308
TOTAL INVESTMENTS(g)† – 99.9% (Identified cost $1,133,042)				1,921,414
Other Assets in Excess of Liabilities – 0.1%				1,396
NET ASSETS – 100.0%			$	1,922,810

(a)	Non-income producing security.
(b)	All or part of this security has been designated as collateral for futures contracts.
(c)	Affiliated issuer. See table that follows for more information.
(d)	Amount is less than $1,000.
(e)	Rate represents annualized yield at date of purchase.

See Notes to Financial Statements.

6

State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
June 30, 2011 (Unaudited)

(f)	Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
(g)	Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2)
†	See Note 2 of the Notes to Financial Statements.

			Notional		Unrealized
	Number of		Value		Appreciation
	Contracts		(000)		(000)
Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long) Expiration Date 9/2011		444	$	28,217	$	987
Total unrealized appreciation on open futures contracts purchased					$	987

Affiliate Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at June 30, 2011 is listed in the Portfolio of Investments.

Income earned

Shares purchased

Shares sold for

Value at

for the six months

Realized loss

Security

Number of shares

for the six months

the six months

Number of shares

6/30/2011

ended 6/30/2011

on shares sold

Description

held at 12/31/2010

ended 6/30/2011

ended 6/30/2011

held at 6/30/2011

(000)

(000)

(000)

State Street Corp.

85,825

–

6,100

79,725

$

3,595

$

15

$

(3

)

See Notes to Financial Statements.

7

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities
June 30, 2011 (Unaudited)
(Amounts in thousands)

Assets
Investments in unaffiliated issuers at market value (identified cost $1,130,328)	$	1,917,819
Investments in non-controlled affiliates at market value (identified cost $2,714) (Note 4)		3,595
Total investments at market value (identified cost $1,133,042)		1,921,414
Receivable for investment securities sold		169
Daily variation margin on futures contracts		249
Dividends and interest		2,417
Total assets		1,924,249
Liabilities
Management fees (Note 4)		143
Accrued expenses and other liabilities		1,296
Total liabilities		1,439
Net Assets	$	1,922,810

See Notes to Financial Statements.

8

State Street Equity 500 Index Portfolio

Statement of Operations
Six Months Ended June 30, 2011 (Unaudited)
(Amounts in thousands)

Investment Income
Interest	$	16
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2)		18,941
Dividend income — non-controlled affiliated issuer		29
Total investment income		18,986
Expenses
Management fees (Note 4)		438
Total expenses		438
Net Investment Income	$	18,548
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments — unaffiliated issuers	$	29,251
Futures contracts		1,634
		30,885
Net change in net unrealized appreciation (depreciation) on:
Investments		65,579
Futures contracts		445
		66,024
Net realized and unrealized gain		96,909
Net Increase in Net Assets Resulting from Operations	$	115,457

See Notes to Financial Statements.

9

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

(Amounts in thousands)

	For The
	Six Months Ended			For The
	June 30, 2011			Year Ended
	(Unaudited)			December 31, 2010
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	18,548		$	37,668
Net realized gain on investments and futures contracts		30,885			26,111
Net change in net unrealized appreciation on investments and futures contracts		66,024			214,085
Net increase in net assets from operations		115,457			277,864
Capital Transactions
Contributions		42,648			241,838
Withdrawals		(333,432	)		(314,951	)
Net decrease in net assets from capital transactions		(290,784	)		(73,113	)
Net Increase (Decrease) in Net Assets		(175,327	)		204,751
Net Assets
Beginning of period		2,098,137			1,893,386
End of period	$	1,922,810		$	2,098,137

See Notes to Financial Statements.

10

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:

	Six Months
	Ended
	6/30/11			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	(Unaudited)			12/31/10			12/31/09			12/31/08			12/31/07			12/31/06
Supplemental Data and Ratios
Net assets, end of period (in thousands)		1,922,810			2,098,137			1,893,386			1,522,208			2,422,377			2,766,696
Ratios to average net assets:
Operating expenses		0.045	%*		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		1.91	%*		1.99	%		2.28	%		2.30	%		1.96	%		1.94	%
Portfolio turnover rate(a)		2	%**		12	%		19	%		14	%		12	%		10	%
Total return(b)		5.97	%**		15.08	%		26.50	%		(37.02	)%		5.49	%		15.75	%

(a)	The portfolio turnover rate excludes in-kind security transactions.
(b)	Results represent past performance and are not indicative of future results.
*	Annualized.
**	Not annualized.

See Notes to Financial Statements.

11

State Street Equity 500 Index Portfolio
Notes to Financial Statements
June 30, 2011 (Unaudited)

1.  Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Short-Term Tax Exempt Bond Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to State Street Equity 500 Index Portfolio (the “Portfolio”).

At June 30, 2011, the following Portfolios were in operation: the Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Short-Term Tax Free Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500^® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500^® Index. The S&P 500^® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.

2.  Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.

The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive

12

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

•  Level 1 — quoted prices in active markets for identical securities

•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•  Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of June 30, 2011, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):

	Quoted Prices in
	Active Markets for		Significant Other		Significant
	Identical Assets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)		Total
ASSETS:
INVESTMENTS:
Common Stocks	$	1,895,991	$	–	$	–	$	1,895,991
U.S. Government Securities		–		4,115		–		4,115
Money Market Funds		21,308		–		–		21,308
OTHER ASSETS:
Futures contracts		987		–		–		987
TOTAL ASSETS	$	1,918,286	$	4,115	$	–	$	1,955,401

The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

The Portfolio adopted updated provisions surrounding Fair Value Measurements and Disclosures. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.

As of the period ended June 30, 2011, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and

13

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.

Federal income taxes:  The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At June 30, 2011, the book cost of investments was $1,133,042 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $845,030 and $56,658 respectively, resulting in net appreciation/depreciation of $788,372 for all securities as computed on a federal income tax basis.

Futures:  The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an

14

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2011:

Asset Derivatives⁽¹⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk*

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

987

$

–

$

–

$

987

(1)	Portfolio of Investments: Unrealized appreciation of futures contracts.
*	Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities.

Transactions in derivative instruments during the period ended June 30, 2011, were as follows:

Realized Gain (Loss)⁽¹⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

1,634

$

–

$

–

$

1,634

Change in Appreciation (Depreciation)⁽²⁾ (amounts in thousands)

Foreign

Interest Rate

Exchange

Credit

Equity

Commodity

Other

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Contracts Risk

Total

Futures Contracts

$

–

$

–

$

–

$

445

$

–

$

–

$

445

(1)	Statement of Operations location: Net realized gain (loss) on: Futures contracts
(2)	Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding during the year ended June 30, 2011 was $35,204,583.

Use of estimates:  The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.

15

State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
June 30, 2011 (Unaudited)

3.  Securities Transactions

For the period ended June 30, 2011, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $29,678,296 and $179,945,736, respectively.

4.  Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at June 30, 2011 is listed in the Portfolio of Investments.

5.  Trustees’ Fees

Pursuant to certain agreements with State Street and its affiliates, each Independent Trustee receives for his or her services a $30,000 retainer in addition to $2,500 for each in-person meeting and $500 for each telephonic meeting from State Street or its affiliates. These fees are paid through a unitary fee.

6.  Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

7.  Subsequent Events

In accordance with provisions surrounding Subsequent Events adopted by the Portfolio, management has evaluated the possibility of subsequent events existing in the Portfolio’s financial statements. Management has determined that there are no material events that would require disclosure in the Portfolio’s financial statements.

16

State Street Equity 500 Index Portfolio
General Information
June 30, 2011 (Unaudited)

Proxy Voting Policies and Procedures and Record

The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.

Quarterly Portfolio Schedule

The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.

17

Trustees

Michael F. Holland

William L. Boyan

Rina K. Spence

Douglas T. Williams

James E. Ross

Investment Adviser

SSgA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206 SSITEQ500SAR

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 Committees of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of 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 has been no material change to the manner in which shareholders may recommend nominees to the Registrant’s Board of Trustees or the Nominating Committee. The Registrant does not have formal procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees. While the Registrant does not have formal procedures, the Registrant’s Nominating Committee will consider nominees to the Board of Trustees recommended by the shareholders. Recommendations should be submitted to the Nominating Committee in care of the Secretary of the Trust.

Item 11. Controls and Procedures.

(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, 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.

(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this Form N-CSR filing that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Exhibits.

(a)(2) Certifications of principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the 1940 Act, as amended.

(b) Certifications of principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(b) under the 1940 Act, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002.

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.

(REGISTRANT): State Street Master Funds
By:	/s/ James E. RossJames E. Ross President
Date:	September 2, 2011
By:	/s/ Laura F. DellLaura F. Dell Treasurer
Date:	September 2, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/ James E. RossJames E. Ross President (Principal Executive Officer)
Date:	September 2, 2011
By:	/s/ Laura F. DellLaura F. Dell Treasurer (Principal Financial Officer)
Date:	September 2, 2011