State Street Master Funds N-CSR/A Certified annual shareholder report (management investment company) (amended)

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, Vice President and Managing Counsel State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, Massachusetts 02116	Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624

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

Date of fiscal year end: December 31

Date of reporting period: December 31, 2013

Item 1. Shareholder Report.

STATE STREET MASTER FUNDS

ANNUAL REPORT

December 31, 2013

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 (Unaudited)

EXPENSE EXAMPLE

As an interestholder 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 July 1, 2013 to December 31, 2013.

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 December 31, 2013

	Beginning Account Value July 1, 2013		Ending Account Value December 31, 2013		Expenses Paid During Period *
Based on Actual Portfolio Return
Money Market Portfolio	$	1,000.00	$	1,000.60	$	0.30
Tax Free Money Market Portfolio	$	1,000.00	$	999.70	$	0.55
U.S. Government Money Market Portfolio	$	1,000.00	$	1,000.10	$	0.35
Treasury Money Market Portfolio	$	1,000.00	$	999.90	$	0.30
Treasury Plus Money Market Portfolio	$	1,000.00	$	999.90	$	0.35

2

State Street Master Funds (Unaudited)

EXPENSE EXAMPLE — (continued)

	Beginning Account Value July 1, 2013		Ending Account Value December 31, 2013		Expenses Paid During Period *
Based on Hypothetical (5% return before expenses)
Money Market Portfolio	$	1,000.00	$	1,024.90	$	0.31
Tax Free Money Market Portfolio	$	1,000.00	$	1,024.65	$	0.56
U.S. Government Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36
Treasury Money Market Portfolio	$	1,000.00	$	1,024.90	$	0.31
Treasury Plus Money Market Portfolio	$	1,000.00	$	1,024.85	$	0.36

* The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized expense ratio for the six months ended December 31, 2013 was as follows:

Money Market Portfolio	0.06%
Tax Free Money Market Portfolio	0.11%
U.S. Government Money Market Portfolio	0.07%
Treasury Money Market Portfolio	0.06%
Treasury Plus Money Market Portfolio	0.07%

The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

3

State Street Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2013
Certificates of Deposit	44.4	%
Government Agency Repurchase Agreements	17.5
Financial Company Commercial Paper	15.1
Treasury Repurchase Agreements	12.6
Other Notes	6.0
Asset Backed Commercial Paper	3.2
Other Assets in Excess of Liabilities	1.2
Total	100.0	%

Maturity Ladder*	December 31, 2013
Overnight (1 Day)	19.7	%
2-30 Days	32.3
31-60 Days	15.6
61-90 Days	10.9
Over 90 Days	20.3
Total	98.8	%
Average days to maturity	30
Weighted average life	57

* 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

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
ASSET BACKED COMMERCIAL PAPER – 3.2%
Aspen Funding Corp.(a)(b)		0.233	%		01/22/2014		01/22/2014	$	100,000,000	$	99,986,583
Gemini Securitization Corp. LLC(a)(b)		0.220	%		01/22/2014		01/22/2014		125,000,000		124,983,958
Gemini Securitization Corp. LLC(a)(b)		0.213	%		01/27/2014		01/27/2014		125,000,000		124,981,042
Kells Funding LLC(b)(c)		0.230	%		01/15/2014		01/15/2014		50,000,000		49,995,528
Kells Funding LLC(b)(c)		0.225	%		01/30/2014		01/30/2014		100,000,000		99,981,875
Kells Funding LLC(b)(c)		0.235	%		01/30/2014		01/30/2014		50,000,000		49,990,535
Kells Funding LLC(b)(c)		0.210	%		04/01/2014		04/01/2014		50,000,000		49,973,750
Kells Funding LLC(b)(c)		0.210	%		04/11/2014		04/11/2014		75,000,000		74,956,250
Kells Funding LLC(b)(c)		0.240	%		04/14/2014		04/14/2014		100,000,000		99,931,333
Kells Funding LLC(b)(c)		0.240	%		04/16/2014		04/16/2014		50,000,000		49,965,000
Northern Pines Funding LLC(b)(c)		0.311	%		03/05/2014		03/05/2014		200,000,000		199,891,500
Ridgefield Funding Co. LLC(b)(c)		0.305	%		02/10/2014		02/10/2014		60,000,000		59,980,000
TOTAL ASSET BACKED COMMERCIAL PAPER											1,084,617,354
FINANCIAL COMPANY COMMERCIAL PAPER – 15.1%
BNP Paribas(b)		0.253	%		03/10/2014		03/10/2014		197,000,000		196,906,972
Caisse des Depots et Consignations(b)(c)		0.190	%		01/14/2014		01/14/2014		500,000,000		499,965,694
Caisse des Depots et Consignations(b)(c)		0.190	%		01/29/2014		01/29/2014		125,000,000		124,981,528
Caisse des Depots et Consignations(b)(c)		0.200	%		02/14/2014		02/14/2014		125,000,000		124,969,444
Caisse des Depots et Consignations(b)(c)		0.230	%		04/22/2014		04/22/2014		240,000,000		239,829,800
Collateralized Commercial Paper Co. LLC(b)(c)		0.311	%		01/06/2014		01/06/2014		50,000,000		49,997,847
Collateralized Commercial Paper Co. LLC(b)		0.270	%		01/07/2014		01/07/2014		415,000,000		414,981,325
Collateralized Commercial Paper Co. LLC(b)(c)		0.244	%		04/17/2014		04/17/2014		100,000,000		99,929,333
Commonwealth Bank of Australia(a)(d)		0.276	%		01/13/2014		07/03/2014		270,000,000		270,000,000
DnB Bank ASA(a)(b)		0.203	%		03/17/2014		03/17/2014		300,000,000		299,875,000
DnB Bank ASA(a)(b)		0.193	%		03/18/2014		03/18/2014		150,000,000		149,939,833
General Electric Capital Corp.(b)		0.203	%		03/21/2014		03/21/2014		105,000,000		104,953,917
General Electric Capital Corp.(b)		0.223	%		04/14/2014		04/14/2014		105,000,000		104,933,908
HSBC Bank PLC(a)(d)		0.288	%		02/05/2014		02/05/2014		63,000,000		62,999,453
HSBC Bank PLC(a)(d)		0.288	%		02/07/2014		02/07/2014		42,000,000		41,999,915
Nordea Bank AB(a)(b)		0.203	%		03/17/2014		03/17/2014		140,000,000		139,941,667
Nordea Bank AB(a)(b)		0.208	%		03/18/2014		03/18/2014		107,000,000		106,953,693
Nordea Bank AB(a)(b)		0.203	%		03/19/2014		03/19/2014		365,000,000		364,843,861
Nordea Bank AB(a)(b)		0.203	%		03/20/2014		03/20/2014		285,000,000		284,876,500
Nordea Bank AB(a)(b)		0.233	%		04/17/2014		04/17/2014		178,000,000		177,879,455
Skandinaviska Enskilda Banken AB(a)(b)		0.250	%		01/23/2014		01/23/2014		269,000,000		268,958,903
Sumitomo Mitsui Banking Corp.(a)(b)		0.220	%		01/17/2014		01/17/2014		350,000,000		349,965,778
Toyota Motor Credit Corp.(b)		0.170	%		01/13/2014		01/13/2014		110,000,000		109,993,767
Westpac Banking Corp.(a)(d)		0.293	%		01/06/2014		01/06/2014		250,000,000		249,999,879

See Notes to Financial Statements.

5

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
FINANCIAL COMPANY COMMERCIAL PAPER – (continued)
Westpac Banking Corp.(a)(d)		0.292	%		01/21/2014		01/21/2014	$	130,000,000	$	130,000,000
Westpac Banking Corp.(a)(d)		0.288	%		01/24/2014		01/24/2014		175,000,000		175,000,000
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER											5,144,677,472
CERTIFICATES OF DEPOSIT – 44.4%
Bank of Montreal(b)		0.180	%		01/13/2014		01/13/2014		500,000,000		500,000,000
Bank of Montreal(b)		0.175	%		02/05/2014		02/05/2014		500,000,000		500,000,000
Bank of Montreal(d)		0.245	%		01/21/2014		06/16/2014		325,000,000		325,000,000
Bank of Nova Scotia(b)		0.200	%		02/04/2014		02/04/2014		495,000,000		495,000,000
Bank of Nova Scotia(b)		0.210	%		02/19/2014		02/19/2014		500,000,000		500,000,000
Bank of Nova Scotia(b)		0.200	%		04/01/2014		04/01/2014		250,000,000		250,000,000
Bank of Nova Scotia(d)		0.258	%		01/07/2014		06/06/2014		335,000,000		335,000,000
Bank of Tokyo – Mitsubishi(b)		0.210	%		01/15/2014		01/15/2014		200,000,000		200,000,000
Bank of Tokyo – Mitsubishi(b)		0.200	%		01/21/2014		01/21/2014		500,000,000		500,000,000
Bank of Tokyo – Mitsubishi(b)		0.210	%		01/22/2014		01/22/2014		200,000,000		200,000,000
Bank of Tokyo – Mitsubishi(b)		0.210	%		02/21/2014		02/21/2014		195,000,000		195,000,000
Bank of Tokyo – Mitsubishi(b)		0.210	%		02/28/2014		02/28/2014		600,000,000		600,000,000
Barclays Bank(d)		0.447	%		01/30/2014		05/30/2014		200,000,000		200,000,000
Barclays Bank(d)		0.381	%		01/09/2014		09/09/2014		500,000,000		500,000,000
BNP Paribas(b)		0.280	%		02/19/2014		02/19/2014		125,000,000		125,000,000
BNP Paribas(b)		0.280	%		04/08/2014		04/08/2014		197,000,000		197,000,000
Canadian Imperial Bank of Commerce(d)		0.288	%		01/06/2014		06/04/2014		195,000,000		195,000,000
Credit Suisse(b)		0.230	%		02/19/2014		02/19/2014		222,000,000		222,000,000
Credit Suisse(b)		0.230	%		02/26/2014		02/26/2014		287,000,000		287,000,000
Credit Suisse(b)		0.250	%		03/28/2014		03/28/2014		287,000,000		287,000,000
Credit Suisse(d)		0.277	%		01/13/2014		06/13/2014		235,000,000		235,000,000
Deutsche Bank AG(b)		0.230	%		02/28/2014		02/28/2014		125,000,000		125,000,000
Deutsche Bank AG(b)		0.230	%		02/28/2014		02/28/2014		200,000,000		200,000,000
Deutsche Bank AG(b)		0.230	%		02/28/2014		02/28/2014		234,000,000		234,000,000
Deutsche Bank AG(b)		0.250	%		02/28/2014		02/28/2014		350,000,000		350,000,000
Deutsche Bank AG(b)		0.270	%		03/31/2014		03/31/2014		200,000,000		200,000,000
ING Bank NV(b)		0.260	%		01/23/2014		01/23/2014		400,000,000		400,000,000
ING Bank NV(b)		0.240	%		02/14/2014		02/14/2014		400,000,000		400,000,000
ING Bank NV(b)		0.240	%		04/01/2014		04/01/2014		350,000,000		350,000,000
Nordea Bank AB(d)		0.244	%		01/17/2014		01/17/2014		200,000,000		200,000,000
Nordea Bank AB(b)		0.200	%		03/18/2014		03/18/2014		250,000,000		249,997,363
Nordea Bank AB(b)		0.215	%		03/25/2014		03/25/2014		175,000,000		174,997,985
Rabobank Nederland NV(d)		0.323	%		01/06/2014		01/06/2014		300,000,000		299,999,874
Rabobank Nederland NV(d)		0.302	%		03/06/2014		03/06/2014		380,000,000		380,000,000
Rabobank Nederland NV(d)		0.249	%		03/03/2014		06/02/2014		500,000,000		500,000,000
Rabobank Nederland NV(d)		0.254	%		01/07/2014		07/07/2014		400,000,000		400,000,000

See Notes to Financial Statements.

6

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
CERTIFICATES OF DEPOSIT – (continued)
Royal Bank of Canada(d)		0.288	%		01/09/2014		04/09/2014	$	185,000,000	$	185,000,000
Royal Bank of Canada(d)		0.287	%		01/16/2014		04/16/2014		105,400,000		105,400,000
Skandinaviska Enskilda Banken AB(b)		0.250	%		01/31/2014		01/31/2014		201,000,000		201,000,000
Sumitomo Mitsui Banking Corp.(b)		0.220	%		01/10/2014		01/10/2014		800,000,000		800,000,000
Sumitomo Mitsui Banking Corp.(b)		0.220	%		01/21/2014		01/21/2014		400,000,000		400,000,000
Svenska Handelsbanken AB(b)		0.200	%		02/18/2014		02/18/2014		500,000,000		500,003,331
Svenska Handelsbanken AB(b)		0.175	%		03/05/2014		03/05/2014		32,000,000		32,000,269
Svenska Handelsbanken AB(b)		0.180	%		04/02/2014		04/02/2014		135,000,000		135,000,000
Svenska Handelsbanken AB(b)		0.190	%		04/04/2014		04/04/2014		96,000,000		96,001,191
Swedbank AB(d)		0.269	%		01/06/2014		08/06/2014		278,000,000		278,000,000
UBS AG(b)		0.230	%		02/27/2014		02/27/2014		100,000,000		100,000,000
UBS AG(b)		0.245	%		03/31/2014		03/31/2014		200,000,000		200,000,000
UBS AG(b)		0.260	%		05/05/2014		05/05/2014		300,000,000		300,000,000
Wells Fargo Bank NA(b)		0.160	%		03/04/2014		03/04/2014		100,000,000		100,000,000
Wells Fargo Bank NA(b)		0.210	%		03/26/2014		03/26/2014		225,000,000		225,000,000
Westpac Banking Corp.(d)		0.294	%		01/17/2014		01/17/2014		155,000,000		154,999,660
TOTAL CERTIFICATES OF DEPOSIT											15,124,399,673
OTHER NOTES – 6.0%
Bank of America NA(b)		0.240	%		01/07/2014		01/07/2014		300,000,000		300,000,000
Bank of America NA(b)		0.240	%		01/15/2014		01/15/2014		600,000,000		600,000,000
JPMorgan Chase Bank NA(d)		0.322	%		03/07/2014		01/07/2015		260,000,000		260,000,000
JPMorgan Chase Bank NA(d)		0.321	%		01/22/2014		01/22/2015		175,000,000		175,000,000
Royal Bank of Canada(c)(d)		0.293	%		01/07/2014		01/07/2015		155,000,000		155,000,000
Svenska Handelsbanken AB(c)(d)		0.275	%		01/27/2014		06/27/2014		180,000,000		180,000,000
Wells Fargo Bank NA(d)		0.291	%		03/10/2014		01/10/2015		155,000,000		155,000,000
Wells Fargo Bank NA(d)		0.307	%		01/21/2014		01/20/2015		227,000,000		227,000,000
TOTAL OTHER NOTES											2,052,000,000

See Notes to Financial Statements.

7

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 17.5%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/26/2013 (collateralized by Federal Farm Credit Banks, 4.250% – 5.660% due 08/25/2016 – 04/17/2036, Federal Home Loan Banks, 0.125% – 5.625% due 04/17/2014 – 03/14/2036, Federal Home Loan Mortgage Corporations, 0.310% – 8.250% due 07/15/2014 – 06/14/2028, Federal National Mortgage Associations, 0.375% – 3.000% due 10/26/2015 – 07/26/2032, and Financing Corporation Strips, 9.400% – 9.650% due 02/08/2018 – 11/02/2018, valued at $255,000,001); expected proceeds $250,001,458		0.030	%		01/02/2014		01/02/2014	$	250,000,000	$	250,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a Federal Farm Credit Bank, 0.188% due 10/03/2016, Federal Home Loan Banks, 1.375% – 4.750% due 05/28/2014 – 12/16/2016, and Federal Home Loan Mortgage Corporations, 0.500% – 5.625% due 07/28/2014 – 11/23/2035, valued at $255,001,790); expected proceeds $250,000,139		0.010	%		01/02/2014		01/02/2014		250,000,000		250,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by Government National Mortgage Associations, 1.625% – 5.500% due 06/20/2023 – 10/20/2043, valued at $246,840,000); expected proceeds $242,000,269		0.020	%		01/02/2014		01/02/2014		242,000,000		242,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/27/2013 (collateralized by Federal Farm Credit Banks, 0.250% – 4.875% due 10/02/2014 –12/20/2023, Federal Home Loan Banks, 0.000% – 5.500% due 01/31/2014 –07/15/2036, Federal Home Loan Mortgage Corporations, 0.500% – 6.250% due 04/23/2014 – 07/15/2032, Federal National Mortgage Associations, 0.500% – 2.375% due 05/27/2015 – 01/30/2017, and U.S. Treasury Strips, 0.000% – 4.500% due 01/23/2014 – 01/31/2020, valued at $255,000,008); expected proceeds $250,001,944		0.040	%		01/03/2014		01/03/2014		250,000,000		250,000,000

See Notes to Financial Statements.

8

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/27/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 6.000% due 05/01/2018 – 01/01/2044, Federal National Mortgage Associations, 2.500% – 7.500% due 07/01/2017 – 12/01/2043, and Government National Mortgage Associations, 2.500% – 11.000% due 10/15/2015 – 12/15/2054, valued at $510,000,001); expected proceeds $500,003,889		0.040	%		01/03/2014		01/03/2014	$	500,000,000	$	500,000,000
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a Federal Home Loan Bank, 0.375% due 06/24/2016, and Federal Home Loan Mortgage Corporations, 0.750% – 5.000% due 07/15/2014 – 06/27/2018, valued at $255,004,541); expected proceeds $250,001,458		0.030	%		01/07/2014		01/07/2014		250,000,000		250,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/26/2013 (collateralized by Government National Mortgage Associations, 3.500% – 4.000% due 03/20/2042 – 04/20/2043, valued at $357,000,001); expected proceeds $350,003,403		0.050	%		01/02/2014		01/02/2014		350,000,000		350,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/30/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% –12.000% due 01/01/2014 – 11/01/2043, Federal National Mortgage Associations, 2.000% – 12.500% due 02/01/2014 – 11/01/2048, and Government National Mortgage Associations, 3.500% – 4.000% due 10/20/2043, valued at $668,100,000); expected proceeds $655,006,368		0.050	%		01/06/2014		01/06/2014		655,000,000		655,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by Government National Mortgage Associations, 1.722% – 6.000% due 10/15/2026 – 12/20/2063, valued at $229,500,001); expected proceeds $225,001,750		0.040	%		01/07/2014		01/07/2014		225,000,000		225,000,000

See Notes to Financial Statements.

9

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with ING Financial Markets, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 7.000% due 08/01/2026 – 04/01/2043, and a Federal National Mortgage Association, 4.000% due 05/01/2042, valued at $255,000,593); expected proceeds $250,000,278		0.020	%		01/02/2014		01/02/2014	$	250,000,000	$	250,000,000
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by Federal Home Loan Banks, 5.375% due 05/15/2019 – 08/15/2024, Federal Home Loan Mortgage Corporations, 0.350% – 5.000% due 12/05/2014 – 10/02/2019, and Federal National Mortgage Associations, 0.375% – 5.375% due 03/16/2015 – 06/12/2017, valued at $69,362,600); expected proceeds $68,000,076		0.020	%		01/02/2014		01/02/2014		68,000,000		68,000,000
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by Federal National Mortgage Associations, 2.000% – 14.000% due 01/01/2014 – 12/01/2049, valued at $2,177,097,180); expected proceeds $2,134,413,743		0.040	%		01/02/2014		01/02/2014		2,134,409,000		2,134,409,000
Agreement with RBC Capital Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/30/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.500% due 12/01/2025 – 11/01/2043, Federal National Mortgage Associations, 2.500% – 5.000% due 11/01/2025 – 01/01/2044, and a Government National Mortgage Association, 2.500% due 03/20/2042, valued at $235,620,000); expected proceeds $231,001,348		0.030	%		01/06/2014		01/06/2014		231,000,000		231,000,000

See Notes to Financial Statements.

10

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with RBC Capital Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a Federal Home Loan Mortgage Corporation, 3.500% due 01/01/2044, and Federal National Mortgage Associations, 3.000% – 4.000% due 10/01/2026 – 01/01/2044, valued at $300,900,001); expected proceeds $295,001,147		0.020	%		01/07/2014		01/07/2014	$	295,000,000	$	295,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											5,950,409,000
TREASURY REPURCHASE AGREEMENTS – 12.6%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 1.000% due 08/31/2019, valued at $51,000,038); expected proceeds $50,000,194		0.020	%		01/07/2014		01/07/2014		50,000,000		50,000,000
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/27/2013 (collateralized by U.S. Treasury Strips, 1.000% – 1.750% due 10/31/2016 – 05/15/2023, valued at $153,065,832); expected proceeds $150,000,875		0.030	%		01/03/2014		01/03/2014		150,000,000		150,000,000
Agreement with Federal Reserve Bank of New York and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 4.375% due 05/15/2041, valued at $3,000,005,088); expected proceeds $300,005,000		0.030	%		01/02/2014		01/02/2014		3,000,000,000		3,000,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2014 – 11/15/2023, valued at $943,500,732); expected proceeds $925,003,597		0.020	%		01/07/2014		01/07/2014		925,000,000		925,000,000

See Notes to Financial Statements.

11

State Street Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 0.250% – 0.750% due 02/28/2015 – 03/31/2018, valued at $153,000,094); expected proceeds $150,000,417		0.050	%		01/02/2014		01/02/2014	$	150,000,000	$	150,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											4,275,000,000
TOTAL INVESTMENTS(e) – 98.8%											33,631,103,499
Other Assets in Excess of Liabilities – 1.2%											422,200,303
NET ASSETS – 100.0%										$	34,053,303,802

^(a)  Rule 144A, Section 4(2) or other security, which is restricted to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $3,423,185,520 or 10.05% of net assets as of December 31, 2013.

^(b)  Rate represents annualized yield at date of purchase.

^(c)  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. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $2,209,339,417 or 6.49% of net assets as of December 31, 2013.

^(d)  Variable Rate Security – Interest rate shown is rate in effect as of December 31, 2013.

^(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 Notes to Financial Statements.

12

State Street Tax Free Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2013
Cash/Money Market Fund	25.3	%
Housing	15.9
Transportation	14.2
Education	13.0
General Obligations	12.3
Water	6.6
Pollution	3.8
Health	3.5
Power	3.1
Industrial Revenue/Pollution Control Revenue	1.2
Development	1.0
Stadium	0.1
Other Liabilities in Excess of Assets	(0.0	)**
Total	100.0	%

Maturity Ladder*	December 31, 2013
Overnight (1 Day)	11.1	%
2-30 Days	88.9
31-60 Days	0.0
61-90 Days	0.0
Over 90 Days	0.0
Total	100.0	%
Average days to maturity	5
Weighted average life	5

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

** Amount represents less than 0.05% of net assets.

See Notes to Financial Statements.

13

State Street Tax Free Money Market Portfolio

Portfolio of Investments

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
VARIABLE RATE DEMAND NOTES – 74.7%
California – 6.5%
City of Hemet, Multi Family Housing Revenue Bonds, Sunwest Retirement, Series A, LIQ: FHLMC(a)		0.040	%		01/07/2014		01/07/2014	$	1,500,000	$	1,500,000
East Bay Municipal Utility District, System Revenue Bonds, Series A-2, RMKT 01/12/11, SPA: Barclays Bank PLC(a)		0.040	%		01/07/2014		01/07/2014		5,000,000		5,000,000
Lancaster Redevelopment Agency, Multi Family Housing Revenue Bonds, 20th Street Apartments Project, Series C, LIQ: FNMA(a)		0.040	%		01/07/2014		01/07/2014		1,000,000		1,000,000
Los Angeles Department of Water & Power, Revenue Bonds, Subseries B-5, SPA: Royal Bank of Canada(a)		0.040	%		01/07/2014		01/07/2014		5,000,000		5,000,000
Los Angeles Department of Water & Power, Revenue Bonds, Subseries B-6, SPA: Royal Bank of Canada(a)		0.010	%		01/02/2014		01/02/2014		2,200,000		2,200,000
Metropolitan Water District of Southern California, Revenue Bonds, Series B-3, SPA: Wells Fargo Bank N.A.(a)		0.010	%		01/02/2014		01/02/2014		2,725,000		2,725,000
State of California, GO Unlimited, Series A, LOC: Royal Bank of Canada(a)		0.030	%		01/07/2014		01/07/2014		2,500,000		2,500,000
											19,925,000
Colorado – 4.8%
Colorado Housing & Finance Authority, Revenue Bonds, Multi Family, Class I A-1, SPA: FHLB(a)		0.050	%		01/07/2014		01/07/2014		3,890,000		3,890,000
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Class 1 B-2, RMKT 08/26/09, LIQ: Barclays Bank PLC(a)		0.050	%		01/07/2014		01/07/2014		3,065,000		3,065,000
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Series B-3, SPA: Barclays Bank PLC, LIQ: FHA(a)		0.050	%		01/07/2014		01/07/2014		4,000,000		4,000,000
Southern Ute Indian Tribe of Southern Ute Indian Reservation, Revenue Bonds(a)		0.060	%		01/07/2014		01/07/2014		3,700,000		3,700,000
											14,655,000
Connecticut – 6.1%
Connecticut Housing Finance Authority, Revenue Bonds, Series C-1, RMKT 01/19/12, INS: Government Authority, SPA: Barclays Bank PLC(a)		0.050	%		01/07/2014		01/07/2014		6,100,000		6,100,000

See Notes to Financial Statements.

14

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
VARIABLE RATE DEMAND NOTES – (continued)
Connecticut – (continued)
Connecticut Housing Finance Authority, Revenue Bonds, Subseries E-3, INS: Government Authority, SPA: Bank of Tokyo Mitsubishi UFJ(a)		0.060	%		01/07/2014		01/07/2014	$	4,750,000	$	4,750,000
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series U-2(a)		0.040	%		01/07/2014		01/07/2014		8,000,000		8,000,000
											18,850,000
Delaware – 2.6%
Delaware River & Bay Authority, Revenue Bonds, LOC: TD Bank N.A.(a)		0.030	%		01/07/2014		01/07/2014		6,900,000		6,900,000
University of Delaware, Revenue Bonds, SPA: TD Bank N.A.(a)		0.030	%		01/02/2014		01/02/2014		1,000,000		1,000,000
											7,900,000
Florida – 0.8%
JEA Electric System, Revenue Bonds, Series 3-A, SPA: Royal Bank of Canada(a)		0.040	%		01/07/2014		01/07/2014		2,415,000		2,415,000
Georgia – 1.2%
Gwinnett County Housing Authority, Revenue Bonds, Greens Apartments Project, LIQ: FNMA(a)		0.060	%		01/07/2014		01/07/2014		3,600,000		3,600,000
Indiana – 0.6%
City of Indianapolis, Revenue Bonds, Lakeside Pointe and Fox Club, LIQ: FNMA(a)		0.050	%		01/07/2014		01/07/2014		2,000,000		2,000,000
Kansas – 4.0%
Kansas State Department of Transportation, Revenue Bonds, Series B-2, SPA: Barclays Bank PLC(a)		0.040	%		01/07/2014		01/07/2014		5,465,000		5,465,000
Kansas State Department of Transportation, Revenue Bonds, Series C-2, SPA: JP Morgan Chase Bank N.A.(a)		0.040	%		01/07/2014		01/07/2014		7,000,000		7,000,000
											12,465,000
Maryland – 1.3%
Maryland State Health & Higher Educational Facilities Authority, Revenue Bonds, University of Maryland Medical System, Class A, LOC: Wachovia Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		3,610,000		3,610,000
Maryland State Stadium Authority Lease, Revenue Bonds, Baltimore Convention, SPA: Sumitomo Mitsui Banking(a)		0.050	%		01/07/2014		01/07/2014		405,000		405,000
											4,015,000

See Notes to Financial Statements.

15

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
VARIABLE RATE DEMAND NOTES – (continued)
Massachusetts – 5.3%
Massachusetts Bay Transportation Authority, Revenue Bonds, Senior Series A-1, SPA: JP Morgan Chase Bank(a)		0.060	%		01/07/2014		01/07/2014	$	8,000,000	$	8,000,000
Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, RMKT 09/30/11, INS: Government Authority, SPA: Barclays Bank PLC(a)		0.060	%		01/07/2014		01/07/2014		5,000,000		5,000,000
Massachusetts State Water Resources Authority, Revenue Bonds, Series A-2, INS: Government Authority, RMKT 05/09/11, SPA: TD Bank N.A.(a)		0.040	%		01/07/2014		01/07/2014		3,455,000		3,455,000
											16,455,000
Michigan – 2.8%
University of Michigan, Revenue Bonds, GO, Series B, SPA: Northern Trust Company(a)		0.010	%		01/02/2014		01/02/2014		8,600,000		8,600,000
Minnesota – 0.5%
City of Minneapolis, Revenue Bonds, University Gateway Project, SPA: Wells Fargo Bank N.A.(a)		0.040	%		01/07/2014		01/07/2014		1,635,000		1,635,000
Missouri – 2.6%
Missouri State Health & Educational Facilities Authority, Revenue Bonds, SSM Health, Series C5, RMKT 05/15/08(a)		0.060	%		01/07/2014		01/07/2014		6,385,000		6,385,000
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Washington University, Series C, SPA: U.S. Bank N.A.(a)		0.020	%		01/02/2014		01/02/2014		1,500,000		1,500,000
											7,885,000
New Hampshire – 3.4%
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a)		0.040	%		01/07/2014		01/07/2014		5,375,000		5,375,000
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a)		0.050	%		01/07/2014		01/07/2014		5,155,000		5,155,000
											10,530,000
New York – 7.7%
City of New York, GO Unlimited, Fiscal 2008, Subseries J-9, SPA: Bank of Nova Scotia(a)		0.040	%		01/07/2014		01/07/2014		7,530,000		7,530,000
City of New York, Housing Development Corp., Revenue Bonds, Related-Carnegie Park, Series A, INS: FNMA, LIQ: FNMA(a)		0.030	%		01/07/2014		01/07/2014		1,500,000		1,500,000

See Notes to Financial Statements.

16

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
VARIABLE RATE DEMAND NOTES – (continued)
New York – (continued)
City of New York Municipal Water Finance Authority, Water and Sewer System Revenue Bonds, 2nd Generation, Series 2011-DD-3A, SPA: U.S. Bank N.A.(a)		0.030	%		01/02/2014		01/02/2014	$	5,000,000	$	5,000,000
New York State Dormitory Authority, Revenue Bonds, Cornell University, Series A, SPA: JP Morgan Chase Bank(a)		0.060	%		01/07/2014		01/07/2014		1,990,000		1,990,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series A, SPA: JP Morgan Chase Bank(a)		0.060	%		01/07/2014		01/07/2014		3,535,000		3,535,000
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series B, SPA: U.S. Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		1,300,000		1,300,000
New York State Urban Development Corp., Revenue Bonds, Service Contract, Series A-5, LOC: TD Bank N.A.(a)		0.040	%		01/07/2014		01/07/2014		3,000,000		3,000,000
											23,855,000
North Carolina – 8.0%
Charlotte COPs, Convention Facility Project, Series B, SPA: Wachovia Bank N.A.(a)		0.060	%		01/07/2014		01/07/2014		5,250,000		5,250,000
City of Raleigh, Revenue Bonds, Combined Enterprise, Series B, SPA: Wells Fargo Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		2,905,000		2,905,000
City of Wilmington, GO Unlimited, SPA: Wells Fargo Bank N.A.(a)		0.060	%		01/07/2014		01/07/2014		2,000,000		2,000,000
County of Guilford, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		6,650,000		6,650,000
County of Wake, GO Unlimited, Series A, SPA: Bank of America N.A.(a)		0.050	%		01/07/2014		01/07/2014		3,000,000		3,000,000
County of Wake, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		1,800,000		1,800,000
County of Wake, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		3,100,000		3,100,000
											24,705,000
Ohio – 2.8%
Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series B, LOC: Bank of Nova Scotia(a)		0.040	%		01/07/2014		01/07/2014		8,600,000		8,600,000
Oregon – 2.0%
State of Oregon, GO Unlimited, Veterans Welfare Bonds, Series 84, SPA: Bank of Tokyo-Mitsubishi(a)		0.040	%		01/07/2014		01/07/2014		6,100,000		6,100,000

See Notes to Financial Statements.

17

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
VARIABLE RATE DEMAND NOTES – (continued)
Pennsylvania – 1.1%
City of Philadelphia Water & Wastewater, Revenue Bonds, Series B, RMKT 09/10/08, LOC: TD Bank N.A.(a)		0.040	%		01/07/2014		01/07/2014	$	1,260,000	$	1,260,000
Geisinger Authority, Geisinger Health System, Revenue Bonds, Series C, SPA: TD Bank N.A(a)		0.020	%		01/02/2014		01/02/2014		2,000,000		2,000,000
											3,260,000
Rhode Island – 2.2%
Rhode Island Health & Educational Building Corp., Revenue Bonds, Bryant University, LOC: TD Bank N.A.(a)		0.050	%		01/07/2014		01/07/2014		6,645,000		6,645,000
Texas – 0.7%
Harris County Health Facilities Development Corps., Revenue Bonds, Texas Children’s, Series B-1, RMKT 02/02/09, SPA: JP Morgan Chase Bank(a)		0.050	%		01/07/2014		01/07/2014		2,165,000		2,165,000
Utah – 3.6%
Utah Transit Authority, Sales Tax Revenue, Subseries A, LOC: BNP Paribas(a)		0.020	%		01/02/2014		01/02/2014		5,800,000		5,800,000
Utah Transit Authority, Sales Tax Revenue, Subseries B, LOC: BNP Paribas(a)		0.020	%		01/02/2014		01/02/2014		5,400,000		5,400,000
											11,200,000
Washington – 3.1%
Washington State Housing Finance Commission, Revenue Bonds, INS: FHLMC, LOC: Bank of America N.A.(a)		0.040	%		01/07/2014		01/07/2014		1,605,000		1,605,000
Washington State Housing Finance Commission, Revenue Bonds, New Haven Apartments, INS: FNMA, LIQ: FNMA(a)		0.040	%		01/07/2014		01/07/2014		8,000,000		8,000,000
											9,605,000
West Virginia – 1.0%
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Corp., Series B, LOC: Sumitomo Mitsui Banking(a)		0.050	%		01/07/2014		01/07/2014		3,000,000		3,000,000
TOTAL VARIABLE RATE DEMAND NOTES											230,065,000

See Notes to Financial Statements.

18

State Street Tax Free Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate	Next Rate Reset Date	Maturity Date	Shares		Market Value
INVESTMENT COMPANY – 25.3%
Dreyfus Tax Exempt Cash Management Fund(b)					78,002,808	$	78,002,808
TOTAL INVESTMENTS(c) – 100.0%							308,067,808
Other Liabilities in Excess of Assets – 0.0%(d)							(37,548	)
NET ASSETS – 100.0%						$	308,030,260

^(a)  Variable Rate Security – Interest rate shown is rate in effect as of December 31, 2013.

^(b)  Value determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2)

^(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)

^(d)  Amount represents less than 0.05% of net assets.

Acronym	Name
COP	Certificates of Participation
FHLB	Federal Home Loan Bank
FHLMC	Federal Home Loan Mortgage Corp.
FNMA	Federal National Mortgage Association
GO	General Obligation
INS	Insured
LIQ	Liquidity Agreement
LOC	Letter of Credit
PLC	Public Limited Company
RMKT	Remarketable
SPA	Standby Purchase Agreement
UFJ	United Financial of Japan

See Notes to Financial Statements.

19

State Street U.S. Government Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2013
Government Agency Debt	63.8	%
Government Agency Repurchase Agreements	14.9
Treasury Repurchase Agreements	8.3
Treasury Debt	4.2
Other Assets in Excess of Liabilities	8.8
Total	100.0	%

Maturity Ladder*	December 31, 2013
Overnight (1 Day)	21.4	%
2-30 Days	18.6
31-60 Days	15.7
61-90 Days	15.1
Over 90 Days	20.4
Total	91.2	%
Average days to maturity	48
Weighted average life	50

* 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

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
GOVERNMENT AGENCY DEBT – 63.8%
Federal Farm Credit Bank(a)		0.120	%		06/10/2014		06/10/2014	$	15,000,000	$	14,992,000
Federal Home Loan Bank(a)		0.058	%		01/02/2014		01/02/2014		35,000,000		34,999,944
Federal Home Loan Bank(a)		0.125	%		01/02/2014		01/02/2014		82,000,000		81,999,715
Federal Home Loan Bank(a)		0.115	%		01/08/2014		01/08/2014		28,900,000		28,899,354
Federal Home Loan Bank(a)		0.090	%		01/15/2014		01/15/2014		59,200,000		59,197,928
Federal Home Loan Bank(a)		0.045	%		01/22/2014		01/22/2014		82,000,000		81,997,848
Federal Home Loan Bank(a)		0.090	%		01/22/2014		01/22/2014		50,000,000		49,997,375
Federal Home Loan Bank(a)		0.090	%		01/24/2014		01/24/2014		88,000,000		87,994,940
Federal Home Loan Bank(a)		0.060	%		01/31/2014		01/31/2014		65,000,000		64,996,750
Federal Home Loan Bank(a)		0.090	%		01/31/2014		01/31/2014		41,000,000		40,996,925
Federal Home Loan Bank(a)		0.092	%		01/31/2014		01/31/2014		20,000,000		19,998,467
Federal Home Loan Bank(a)		0.095	%		02/05/2014		02/05/2014		90,000,000		89,991,688
Federal Home Loan Bank(a)		0.095	%		02/14/2014		02/14/2014		103,000,000		102,988,041
Federal Home Loan Bank(b)		0.095	%		01/18/2014		02/18/2014		133,000,000		132,999,718
Federal Home Loan Bank(a)		0.090	%		02/19/2014		02/19/2014		45,000,000		44,994,488
Federal Home Loan Bank(a)		0.095	%		02/19/2014		02/19/2014		78,600,000		78,589,837
Federal Home Loan Bank(a)		0.100	%		02/19/2014		02/19/2014		50,000,000		49,993,194
Federal Home Loan Bank(a)		0.080	%		02/28/2014		02/28/2014		29,000,000		28,996,262
Federal Home Loan Bank(a)		0.084	%		02/28/2014		02/28/2014		70,000,000		69,990,527
Federal Home Loan Bank(a)		0.080	%		03/05/2014		03/05/2014		76,000,000		75,989,360
Federal Home Loan Bank(a)		0.085	%		03/05/2014		03/05/2014		59,000,000		58,991,224
Federal Home Loan Bank(a)		0.070	%		03/12/2014		03/12/2014		180,000,000		179,975,500
Federal Home Loan Bank(a)		0.100	%		03/12/2014		03/12/2014		65,000,000		64,987,361
Federal Home Loan Bank(a)		0.100	%		03/19/2014		03/19/2014		36,000,000		35,992,300
Federal Home Loan Bank(a)		0.070	%		03/21/2014		03/21/2014		55,000,000		54,991,551
Federal Home Loan Bank(a)		0.100	%		03/21/2014		03/21/2014		43,000,000		42,990,564
Federal Home Loan Bank(a)		0.070	%		03/26/2014		03/26/2014		64,000,000		63,989,547
Federal Home Loan Bank(a)		0.072	%		03/26/2014		03/26/2014		138,000,000		137,976,816
Federal Home Loan Bank(a)		0.100	%		03/28/2014		03/28/2014		64,000,000		63,984,711
Federal Home Loan Bank(b)		0.115	%		01/01/2014		04/01/2014		180,000,000		180,000,000
Federal Home Loan Bank(a)		0.090	%		04/02/2014		04/02/2014		45,000,000		44,989,763
Federal Home Loan Bank(a)		0.100	%		04/04/2014		04/04/2014		151,750,000		151,710,798
Federal Home Loan Bank(a)		0.090	%		05/01/2014		05/01/2014		39,000,000		38,996,669
Federal Home Loan Bank(a)		0.115	%		05/16/2014		05/16/2014		6,000,000		5,997,413
Federal Home Loan Bank(a)		0.115	%		05/23/2014		05/23/2014		140,000,000		139,936,494
Federal Home Loan Bank(a)		0.140	%		06/11/2014		06/11/2014		32,000,000		31,979,964
Federal Home Loan Mortgage Corp.(a)		0.115	%		01/06/2014		01/06/2014		44,000,000		43,999,297
Federal Home Loan Mortgage Corp.(a)		0.120	%		01/06/2014		01/06/2014		171,272,000		171,269,145
Federal Home Loan Mortgage Corp.(a)		0.120	%		01/07/2014		01/07/2014		90,000,000		89,998,200
Federal Home Loan Mortgage Corp.(a)		0.120	%		01/14/2014		01/14/2014		45,875,000		45,873,012

See Notes to Financial Statements.

21

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
GOVERNMENT AGENCY DEBT – (continued)
Federal Home Loan Mortgage Corp.(a)		0.130	%		01/14/2014		01/14/2014	$	60,000,000	$	59,997,183
Federal Home Loan Mortgage Corp.(a)		0.090	%		01/21/2014		01/21/2014		59,900,000		59,897,005
Federal Home Loan Mortgage Corp.(a)		0.110	%		01/21/2014		01/21/2014		96,266,000		96,260,117
Federal Home Loan Mortgage Corp.(a)		0.045	%		01/23/2014		01/23/2014		15,000,000		14,999,588
Federal Home Loan Mortgage Corp.(a)		0.150	%		01/23/2014		01/23/2014		19,556,000		19,554,207
Federal Home Loan Mortgage Corp.(a)		0.059	%		02/03/2014		02/03/2014		27,000,000		26,998,540
Federal Home Loan Mortgage Corp.(a)		0.063	%		02/03/2014		02/03/2014		6,400,000		6,399,630
Federal Home Loan Mortgage Corp.(a)		0.095	%		02/03/2014		02/03/2014		19,446,000		19,444,307
Federal Home Loan Mortgage Corp.(a)		0.078	%		02/10/2014		02/10/2014		55,000,000		54,995,233
Federal Home Loan Mortgage Corp.(a)		0.100	%		02/18/2014		02/18/2014		47,869,000		47,862,617
Federal Home Loan Mortgage Corp.(a)		0.083	%		02/24/2014		02/24/2014		97,050,000		97,037,917
Federal Home Loan Mortgage Corp.(a)		0.090	%		02/24/2014		02/24/2014		47,000,000		46,993,655
Federal Home Loan Mortgage Corp.(a)		0.080	%		03/03/2014		03/03/2014		79,790,000		79,779,184
Federal Home Loan Mortgage Corp.(a)		0.080	%		03/10/2014		03/10/2014		116,000,000		115,982,471
Federal Home Loan Mortgage Corp.(a)		0.070	%		03/31/2014		03/31/2014		20,000,000		19,996,539
Federal Home Loan Mortgage Corp.(a)		0.100	%		03/31/2014		03/31/2014		15,000,000		14,996,292
Federal Home Loan Mortgage Corp.(a)		0.110	%		03/31/2014		03/31/2014		33,000,000		32,991,026
Federal Home Loan Mortgage Corp.(a)		0.100	%		04/14/2014		04/14/2014		38,900,000		38,888,870
Federal Home Loan Mortgage Corp.(a)		0.095	%		04/28/2014		04/28/2014		33,900,000		33,889,533
Federal Home Loan Mortgage Corp.(a)		0.098	%		05/05/2014		05/05/2014		55,000,000		54,981,434
Federal Home Loan Mortgage Corp.(a)		0.105	%		05/06/2014		05/06/2014		45,000,000		44,983,594
Federal Home Loan Mortgage Corp.(a)		0.108	%		05/12/2014		05/12/2014		25,000,000		24,990,175
Federal Home Loan Mortgage Corp.(a)		0.110	%		05/19/2014		05/19/2014		126,000,000		125,946,870
Federal Home Loan Mortgage Corp.(a)		0.115	%		05/21/2014		05/21/2014		15,000,000		14,993,292
Federal Home Loan Mortgage Corp.(a)		0.120	%		05/27/2014		05/27/2014		174,585,000		174,500,035
Federal Home Loan Mortgage Corp.(a)		0.130	%		06/23/2014		06/23/2014		50,000,000		49,968,764
Federal Home Loan Mortgage Corp.(a)		0.124	%		06/30/2014		06/30/2014		100,000,000		99,938,000
Federal National Mortgage Assoc.(a)		0.112	%		01/08/2014		01/08/2014		27,000,000		26,999,412
Federal National Mortgage Assoc.(a)		0.113	%		01/08/2014		01/08/2014		53,929,000		53,927,815
Federal National Mortgage Assoc.(a)		0.100	%		01/13/2014		01/13/2014		176,875,000		176,869,104
Federal National Mortgage Assoc.(a)		0.100	%		01/15/2014		01/15/2014		52,865,000		52,862,944
Federal National Mortgage Assoc.(a)		0.090	%		01/22/2014		01/22/2014		74,811,000		74,807,072
Federal National Mortgage Assoc.(a)		0.090	%		01/27/2014		01/27/2014		24,000,000		23,998,440
Federal National Mortgage Assoc.(a)		0.100	%		02/03/2014		02/03/2014		52,865,000		52,860,154
Federal National Mortgage Assoc.(a)		0.095	%		02/05/2014		02/05/2014		40,098,000		40,094,297
Federal National Mortgage Assoc.(a)		0.100	%		02/12/2014		02/12/2014		56,846,000		56,839,368
Federal National Mortgage Assoc.(a)		0.094	%		02/19/2014		02/19/2014		32,000,000		31,995,906
Federal National Mortgage Assoc.(a)		0.082	%		02/26/2014		02/26/2014		67,000,000		66,991,454
Federal National Mortgage Assoc.(a)		0.083	%		02/26/2014		02/26/2014		26,927,000		26,923,523
Federal National Mortgage Assoc.(a)		0.100	%		04/21/2014		04/21/2014		114,000,000		113,965,167

See Notes to Financial Statements.

22

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
GOVERNMENT AGENCY DEBT – (continued)
Federal National Mortgage Assoc.(a)		0.100	%		05/01/2014		05/01/2014	$	25,000,000	$	24,991,667
Federal National Mortgage Assoc.(a)		0.109	%		05/21/2014		05/21/2014		38,000,000		37,983,892
Federal National Mortgage Assoc.(a)		0.120	%		05/28/2014		05/28/2014		15,000,000		14,992,650
Federal National Mortgage Assoc.(a)		0.120	%		06/04/2014		06/04/2014		193,548,000		193,448,645
Federal National Mortgage Assoc.(a)		0.129	%		06/18/2014		06/18/2014		95,000,000		94,942,810
Federal National Mortgage Assoc.(b)		0.151	%		01/11/2014		09/11/2014		29,000,000		29,008,371
TOTAL GOVERNMENT AGENCY DEBT											5,561,003,459
TREASURY DEBT – 4.2%
U.S. Treasury Note(a)		0.102	%		01/15/2014		01/15/2014		29,000,000		29,009,930
U.S. Treasury Note(a)		0.107	%		01/31/2014		01/31/2014		25,000,000		25,033,590
U.S. Treasury Note(a)		0.107	%		01/31/2014		01/31/2014		39,000,000		39,004,563
U.S. Treasury Note(a)		0.089	%		03/31/2014		03/31/2014		175,000,000		175,069,046
U.S. Treasury Note(a)		0.104	%		03/31/2014		03/31/2014		95,000,000		95,033,932
TOTAL TREASURY DEBT											363,151,061
										Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 14.9%
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by Federal Farm Credit Banks, 0.188% – 0.197% due 06/20/2016 – 10/03/2016, a Federal Home Loan Bank, 5.250% due 06/12/2037, Federal Home Loan Mortgage Corporations, 1.000% – 5.250% due 02/25/2014 – 10/11/2033, Federal National Mortgage Associations, 0.500% – 6.625% due 11/20/2014 – 11/15/2030, and a Tennessee Valley Authority, 5.500% due 06/15/2038, valued at $405,960,419); expected proceeds $398,000,221		0.010	%		01/02/2014		01/02/2014		398,000,000		398,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a Federal National Mortgage Association, 1.875% due 09/18/2018, and U.S. Treasury Strips, 0.125% – 2.125% due 04/15/2014 – 08/31/2020, valued at $778,260,097); expected proceeds $763,000,848		0.020	%		01/02/2014		01/02/2014		763,000,000		763,000,000

See Notes to Financial Statements.

23

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS– (continued)
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2013 (collateralized by Resolution Funding Strips, 0.000% due 10/15/2028 – 04/15/2030, valued at $35,701,383); expected proceeds $35,000,019		0.010	%		01/02/2014		01/02/2014	$	35,000,000	$	35,000,000
Agreement with Societe Generale and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a Federal Farm Credit Bank, 0.590% due 06/27/2016, a Federal Home Loan Bank, 1.000% due 09/26/2017, and Resolution Funding Strips, 0.000% due 10/15/2019 – 01/15/2029, valued at $102,120,850); expected proceeds $100,000,056		0.010	%		01/02/2014		01/02/2014		100,000,000		100,000,000
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											1,296,000,000
TREASURY REPURCHASE AGREEMENTS – 8.3%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/26/2013 (collateralized by U.S. Treasury Strips, 1.000% – 3.000% due 08/31/2019 – 05/15/2042, valued at $102,000,023); expected proceeds $100,000,583		0.030	%		01/02/2014		01/02/2014		100,000,000		100,000,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 2.500% due 08/15/2023, valued at $76,500,006); expected proceeds $75,000,292		0.020	%		01/07/2014		01/07/2014		75,000,000		75,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 1.375% due 09/30/2018, valued at $153,000,085); expected proceeds $150,000,417		0.005	%		01/02/2014		01/02/2014		150,000,000		150,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 1.250% due 11/30/2018, valued at $22,440,011); expected proceeds $22,000,012		0.010	%		01/02/2014		01/02/2014		22,000,000		22,000,000

See Notes to Financial Statements.

24

State Street U.S. Government Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/27/2013 (collateralized by U.S. Treasury Strips, 0.250% – 2.625% due 01/31/2014 – 08/15/2020, valued at $204,000,015); expected proceeds $200,001,167		0.030	%		01/03/2014		01/03/2014	$	200,000,000	$	200,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Bonds, 4.750% – 9.125% due 05/15/2016 – 02/15/2041, and U.S. Treasury Notes, 0.250% – 3.375% due 11/30/2014 – 11/30/2020, valued at $78,544,514); expected proceeds $77,000,214		0.005	%		01/02/2014		01/02/2014		77,000,000		77,000,000
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 0.250% due 07/31/2015, valued at $28,560,074); expected proceeds $28,000,016		0.010	%		01/02/2014		01/02/2014		28,000,000		28,000,000
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 0.375% – 2.125% due 11/15/2014 – 05/31/2015, valued at $76,500,088); expected proceeds $75,000,208		0.050	%		01/02/2014		01/02/2014		75,000,000		75,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											727,000,000
TOTAL INVESTMENTS(c) – 91.2%											7,947,154,520
Other Assets in Excess of Liabilities – 8.8%											765,765,323
NET ASSETS – 100.0%										$	8,712,919,843

^(a)  Rate represents annualized yield at date of purchase.

^(b)  Variable Rate Security – Interest rate shown is rate in effect as of December 31, 2013.

^(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 Notes to Financial Statements.

25

State Street Treasury Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2013
Treasury Debt	103.7	%
Other Liabilities in Excess of Assets	(3.7	)
Total	100.0	%

Maturity Ladder*	December 31, 2013
Overnight (1 Day)	8.1	%
2-30 Days	36.5
31-60 Days	25.5
61-90 Days	20.5
Over 90 Days	13.1
Total	103.7	%
Average days to maturity	49
Weighted average life	49

* 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 Money Market Portfolio

Portfolio of Investments

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
TREASURY DEBT – 103.7%
U.S. Treasury Bill(a)		0.001	%		01/02/2014		01/02/2014	$	183,000,000	$	182,999,949
U.S. Treasury Bill(a)		0.003	%		01/02/2014		01/02/2014		223,000,000		222,999,969
U.S. Treasury Bill(a)		0.003	%		01/02/2014		01/02/2014		275,000,000		274,999,293
U.S. Treasury Bill(a)		0.005	%		01/02/2014		01/02/2014		163,001,000		163,000,989
U.S. Treasury Bill(a)		0.005	%		01/02/2014		01/02/2014		153,035,000		153,034,968
U.S. Treasury Bill(a)		0.008	%		01/02/2014		01/02/2014		180,000,000		179,999,925
U.S. Treasury Bill(a)		0.000	%		01/09/2014		01/09/2014		265,000,000		265,000,000
U.S. Treasury Bill(a)		0.010	%		01/09/2014		01/09/2014		200,000,000		199,999,556
U.S. Treasury Bill(a)		0.038	%		01/09/2014		01/09/2014		600,000,000		599,995,000
U.S. Treasury Bill(a)		0.040	%		01/09/2014		01/09/2014		400,000,000		399,996,444
U.S. Treasury Bill(a)		0.080	%		01/09/2014		01/09/2014		275,000,000		274,995,111
U.S. Treasury Bill(a)		0.000	%		01/16/2014		01/16/2014		75,000,000		75,000,000
U.S. Treasury Bill(a)		0.010	%		01/16/2014		01/16/2014		147,000,000		146,999,388
U.S. Treasury Bill(a)		0.055	%		01/16/2014		01/16/2014		400,000,000		399,990,833
U.S. Treasury Bill(a)		0.060	%		01/16/2014		01/16/2014		400,000,000		399,990,000
U.S. Treasury Bill(a)		0.073	%		01/16/2014		01/16/2014		200,000,000		199,993,958
U.S. Treasury Bill(a)		0.035	%		01/23/2014		01/23/2014		221,000,000		220,995,273
U.S. Treasury Bill(a)		0.038	%		01/23/2014		01/23/2014		779,000,000		778,982,148
U.S. Treasury Bill(a)		0.073	%		01/23/2014		01/23/2014		225,000,000		224,990,031
U.S. Treasury Bill(a)		0.043	%		01/30/2014		01/30/2014		900,000,000		899,969,187
U.S. Treasury Bill(a)		0.065	%		01/30/2014		01/30/2014		225,000,000		224,988,219
U.S. Treasury Bill(a)		0.048	%		02/06/2014		02/06/2014		705,000,000		704,966,513
U.S. Treasury Bill(a)		0.075	%		02/06/2014		02/06/2014		78,000,000		77,994,150
U.S. Treasury Bill(a)		0.078	%		02/06/2014		02/06/2014		72,000,000		71,994,420
U.S. Treasury Bill(a)		0.073	%		02/13/2014		02/13/2014		700,000,000		699,939,382
U.S. Treasury Bill(a)		0.075	%		02/13/2014		02/13/2014		95,000,000		94,991,490
U.S. Treasury Bill(a)		0.078	%		02/13/2014		02/13/2014		105,000,000		104,990,280
U.S. Treasury Bill(a)		0.075	%		02/20/2014		02/20/2014		50,000,000		49,994,792
U.S. Treasury Bill(a)		0.078	%		02/20/2014		02/20/2014		225,000,000		224,975,781
U.S. Treasury Bill(a)		0.080	%		02/20/2014		02/20/2014		710,000,000		709,921,111
U.S. Treasury Bill(a)		0.066	%		02/27/2014		02/27/2014		175,000,000		174,981,712
U.S. Treasury Bill(a)		0.080	%		02/27/2014		02/27/2014		800,000,000		799,898,667
U.S. Treasury Bill(a)		0.065	%		03/06/2014		03/06/2014		225,000,000		224,974,000
U.S. Treasury Bill(a)		0.080	%		03/06/2014		03/06/2014		810,000,000		809,884,800
U.S. Treasury Bill(a)		0.055	%		03/13/2014		03/13/2014		250,000,000		249,972,882
U.S. Treasury Bill(a)		0.073	%		03/13/2014		03/13/2014		704,500,000		704,399,266
U.S. Treasury Bill(a)		0.070	%		03/20/2014		03/20/2014		450,000,000		449,931,750
U.S. Treasury Bill(a)		0.070	%		03/27/2014		03/27/2014		549,100,000		549,009,246
U.S. Treasury Bill(a)		0.065	%		04/03/2014		04/03/2014		700,000,000		699,884,986
U.S. Treasury Bill(a)		0.093	%		05/15/2014		05/15/2014		100,000,000		99,965,569

See Notes to Financial Statements.

27

State Street Treasury Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
TREASURY DEBT – (continued)
U.S. Treasury Bill(a)		0.095	%		05/22/2014		05/22/2014	$	50,000,000	$	49,981,396
U.S. Treasury Bill(a)		0.098	%		05/22/2014		05/22/2014		100,000,000		99,961,812
U.S. Treasury Bill(a)		0.100	%		05/29/2014		05/29/2014		200,000,000		199,917,778
U.S. Treasury Bill(a)		0.105	%		06/05/2014		06/05/2014		200,000,000		199,909,584
U.S. Treasury Bill(a)		0.098	%		06/12/2014		06/12/2014		200,000,000		199,912,249
U.S. Treasury Bill(a)		0.090	%		06/19/2014		06/19/2014		150,000,000		149,936,625
U.S. Treasury Bill(a)		0.090	%		06/26/2014		06/26/2014		100,000,000		99,956,000
U.S. Treasury Bill(a)		0.085	%		07/03/2014		07/03/2014		100,000,000		99,957,028
TOTAL TREASURY DEBT											15,091,123,510
TOTAL INVESTMENTS(b) – 103.7%											15,091,123,510
Other Liabilities in Excess of Assets – (3.7)%											(533,101,642	)
NET ASSETS – 100.0%										$	14,558,021,868

^(a)  Rate represents annualized yield at date of purchase.

^(b)  Unless otherwise noted, the values of these securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2)

See Notes to Financial Statements.

28

State Street Treasury Plus Money Market Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition*	December 31, 2013
Treasury Debt	61.9	%
Treasury Repurchase Agreements	31.3
Other Assets in Excess of Liabilities	6.8
Total	100.0	%

Maturity Ladder*	December 31, 2013
Overnight (1 Day)	34.9	%
2-30 Days	26.4
31-60 Days	11.4
61-90 Days	6.7
Over 90 Days	13.8
Total	93.2	%
Average days to maturity	34
Weighted average life	34

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

See Notes to Financial Statements.

29

State Street Treasury Plus Money Market Portfolio

Portfolio of Investments

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
TREASURY DEBT – 61.9%
U.S. Treasury Bill(a)		0.001	%		01/02/2014		01/02/2014	$	14,000,000	$	14,000,000
U.S. Treasury Bill(a)		0.002	%		01/02/2014		01/02/2014		14,000,000		13,999,998
U.S. Treasury Bill(a)		0.002	%		01/02/2014		01/02/2014		14,000,000		13,999,996
U.S. Treasury Bill(a)		0.002	%		01/02/2014		01/02/2014		50,000,000		49,999,872
U.S. Treasury Bill(a)		0.050	%		01/02/2014		01/02/2014		8,000,000		7,999,999
U.S. Treasury Bill(a)		0.040	%		01/09/2014		01/09/2014		200,000,000		199,998,222
U.S. Treasury Bill(a)		0.080	%		01/09/2014		01/09/2014		50,000,000		49,999,111
U.S. Treasury Bill(a)		0.055	%		01/16/2014		01/16/2014		61,000,000		60,998,602
U.S. Treasury Bill(a)		0.060	%		01/16/2014		01/16/2014		61,000,000		60,998,475
U.S. Treasury Bill(a)		0.073	%		01/16/2014		01/16/2014		30,000,000		29,999,094
U.S. Treasury Bill(a)		0.035	%		01/23/2014		01/23/2014		28,000,000		27,999,401
U.S. Treasury Bill(a)		0.038	%		01/23/2014		01/23/2014		97,000,000		96,997,777
U.S. Treasury Bill(a)		0.073	%		01/23/2014		01/23/2014		40,000,000		39,998,228
U.S. Treasury Bill(a)		0.043	%		01/30/2014		01/30/2014		125,000,000		124,995,720
U.S. Treasury Bill(a)		0.065	%		01/30/2014		01/30/2014		35,000,000		34,998,167
U.S. Treasury Bill(a)		0.048	%		02/06/2014		02/06/2014		100,000,000		99,995,250
U.S. Treasury Bill(a)		0.075	%		02/06/2014		02/06/2014		21,000,000		20,998,425
U.S. Treasury Bill(a)		0.078	%		02/06/2014		02/06/2014		19,000,000		18,998,528
U.S. Treasury Bill(a)		0.073	%		02/13/2014		02/13/2014		25,000,000		24,997,835
U.S. Treasury Bill(a)		0.078	%		02/13/2014		02/13/2014		30,000,000		29,997,223
U.S. Treasury Bill(a)		0.078	%		02/20/2014		02/20/2014		20,000,000		19,997,847
U.S. Treasury Bill(a)		0.080	%		02/20/2014		02/20/2014		25,000,000		24,997,222
U.S. Treasury Bill(a)		0.066	%		02/27/2014		02/27/2014		20,000,000		19,997,910
U.S. Treasury Bill(a)		0.080	%		02/27/2014		02/27/2014		55,000,000		54,993,033
U.S. Treasury Bill(a)		0.065	%		03/06/2014		03/06/2014		25,000,000		24,997,111
U.S. Treasury Bill(a)		0.080	%		03/06/2014		03/06/2014		50,000,000		49,992,889
U.S. Treasury Bill(a)		0.055	%		03/13/2014		03/13/2014		35,000,000		34,996,203
U.S. Treasury Bill(a)		0.073	%		03/13/2014		03/13/2014		25,000,000		24,996,425
U.S. Treasury Bill(a)		0.070	%		03/20/2014		03/20/2014		25,000,000		24,996,208
U.S. Treasury Bill(a)		0.070	%		03/27/2014		03/27/2014		25,000,000		24,995,868
U.S. Treasury Bill(a)		0.065	%		04/03/2014		04/03/2014		50,000,000		49,991,785
U.S. Treasury Bill(a)		0.073	%		04/24/2014		04/24/2014		25,000,000		24,994,311
U.S. Treasury Bill(a)		0.075	%		05/01/2014		05/01/2014		15,000,000		14,996,250
U.S. Treasury Bill(a)		0.083	%		05/08/2014		05/08/2014		25,000,000		24,992,724
U.S. Treasury Bill(a)		0.093	%		05/15/2014		05/15/2014		50,000,000		49,982,785
U.S. Treasury Bill(a)		0.098	%		05/22/2014		05/22/2014		25,000,000		24,990,453
U.S. Treasury Bill(a)		0.100	%		05/29/2014		05/29/2014		30,000,000		29,987,667
U.S. Treasury Bill(a)		0.105	%		06/05/2014		06/05/2014		30,000,000		29,986,438
U.S. Treasury Bill(a)		0.098	%		06/12/2014		06/12/2014		30,000,000		29,986,837
U.S. Treasury Bill(a)		0.090	%		06/19/2014		06/19/2014		25,000,000		24,989,438

See Notes to Financial Statements.

30

State Street Treasury Plus Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Amortized Cost
TREASURY DEBT – (continued)
U.S. Treasury Bill(a)		0.090	%		06/26/2014		06/26/2014	$	23,687,500	$	23,677,078
U.S. Treasury Bill(a)		0.085	%		07/03/2014		07/03/2014		50,000,000		49,978,514
TOTAL TREASURY DEBT											1,705,484,919
										Market Value
TREASURY REPURCHASE AGREEMENTS – 31.3%
Agreement with Bank of Nova Scotia and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by a U.S. Treasury Strip, 0.250% due 12/31/2015 valued at $26,957,681); expected proceeds $26,429,015		0.010	%		01/02/2014		01/02/2014		26,429,000		26,429,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/26/2013 (collateralized by a U.S. Treasury Strip, 1.000% due 08/31/2019 valued at $51,000,038); expected proceeds $50,000,292		0.030	%		01/02/2014		01/02/2014		50,000,000		50,000,000
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 1.375% – 3.625% due 06/30/2018 – 02/15/2021 valued at $99,960,084); expected proceeds $98,000,027		0.005	%		01/02/2014		01/02/2014		98,000,000		98,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 0.375% – 5.250% due 08/31/2015 – 02/15/2029 valued at $102,000,027); expected proceeds $100,000,056		0.010	%		01/02/2014		01/02/2014		100,000,000		100,000,000
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 0.125% – 2.625% due 12/31/2014 – 01/31/2019 valued at $495,720,043); expected proceeds $486,000,540		0.020	%		01/02/2014		01/02/2014		486,000,000		486,000,000

See Notes to Financial Statements.

31

State Street Treasury Plus Money Market Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Market Value
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/2013 (collateralized by U.S. Treasury Strips, 1.000% – 1.375% due 07/15/2018 – 08/31/2019 valued at $102,000,005); expected proceeds $100,000,056		0.010	%		01/02/2014		01/02/2014	$	100,000,000	$	100,000,000
TOTAL TREASURY REPURCHASE AGREEMENTS											860,429,000
TOTAL INVESTMENTS(b) – 93.2%											2,565,913,919
Other Assets in Excess of Liabilities – 6.8%											187,102,954
NET ASSETS – 100.0%										$	2,753,016,873

^(a)  Rate represents annualized yield at date of purchase.

^(b)  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 Notes to Financial Statements.

32

State Street Master Funds

Statements of Assets and Liabilities

December 31, 2013

	Money Market Portfolio		Tax Free Money Market Portfolio		U.S. Government Money Market Portfolio		Treasury Money Market Portfolio		Treasury Plus Money Market Portfolio
Assets
Investments at market value and amortized cost (Note 2)	$	23,405,694,499	$	308,067,808	$	5,924,154,520	$	15,091,123,510	$	1,705,484,919
Repurchase Agreements, at market value and cost (Note 2)		10,225,409,000		–		2,023,000,000		–		860,429,000
Total Investments		33,631,103,499		308,067,808		7,947,154,520		15,091,123,510		2,565,913,919
Cash		416,185,456		–		765,689,991		267,553,655		287,248,430
Interest receivable		7,913,042		12,888		566,558		–		597
Prepaid expenses and other assets		43,634		10,016		19,038		22,389		11,246
Total assets		34,055,245,631		308,090,712		8,713,430,107		15,358,699,554		2,853,174,192
Liabilities
Investment securities purchased		–		–		–		799,842,014		99,970,299
Management fee payable (Note 3)		1,477,131		12,566		356,466		615,724		106,712
Administration and custody fees payable (Note 3)		408,944		4,350		103,764		169,915		30,251
Professional fees payable		39,169		39,169		39,169		39,168		39,169
Trustee’s fees payable (Note 4)		–		–		–		–		11
Accrued expenses and other liabilities		16,585		4,367		10,865		10,865		10,877
Total liabilities		1,941,829		60,452		510,264		800,677,686		100,157,319
Net Assets	$	34,053,303,802	$	308,030,260	$	8,712,919,843	$	14,558,021,868	$	2,753,016,873

See Notes to Financial Statements.

33

State Street Master Funds

Statements of Operations

Year Ended December 31, 2013

	Money Market Portfolio		Tax Free Money Market Portfolio			U.S. Government Money Market Portfolio		Treasury Money Market Portfolio		Treasury Plus Money Market Portfolio
Investment Income
Interest	$	71,672,856	$	212,825		$	8,763,184	$	8,885,877	$	1,523,715
Expenses
Management fees (Note 3)		16,660,533		158,312			4,432,142		6,655,829		1,048,833
Administration and custody fees (Note 3)		4,275,412		43,377			1,147,696		1,712,035		271,620
Trustees’ fees (Note 4)		194,283		46,926			86,655		105,386		54,822
Professional fees		45,021		45,021			45,021		45,021		45,021
Printing fees		8,936		4,774			4,774		4,774		4,774
Other expenses		133,641		33,108			85,369		93,901		72,461
Total expenses		21,317,826		331,518			5,801,657		8,616,946		1,497,531
Net Investment Income (Loss)		50,355,030		(118,693	)		2,961,527		268,931		26,184
Realized Gain (Loss)
Net realized gain (loss) on investments		179,110		–			–		34,160		(1,536	)
Net Increase in Net Assets Resulting from Operations	$	50,534,140	$	(118,693	)	$	2,961,527	$	303,091	$	24,648

See Notes to Financial Statements.

34

State Street Master Funds

Statements of Changes in Net Assets

	Money Market Portfolio						Tax Free Money Market Portfolio
	Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income (loss)	$	50,355,030		$	69,377,652		$	(118,693	)	$	37,462
Net realized gain (loss) on investments		179,110			284,621			–			–
Net increase (decrease) in net assets from operations		50,534,140			69,662,273			(118,693	)		37,462
Capital Transactions:
Contributions		65,248,452,641			57,809,882,476			1,034,388,036			1,285,510,268
Withdrawals		(58,754,444,878	)		(53,150,969,195	)		(1,234,759,623	)		(1,108,221,643	)
Net increase (decrease) in net assets from capital transactions		6,494,007,763			4,658,913,281			(200,371,587	)		177,288,625
Net Increase (Decrease) in Net Assets		6,544,541,903			4,728,575,554			(200,490,280	)		177,326,087
Net Assets
Beginning of year		27,508,761,899			22,780,186,345			508,520,540			331,194,453
End of year	$	34,053,303,802		$	27,508,761,899		$	308,030,260		$	508,520,540

See Notes to Financial Statements.

35

State Street Master Funds

Statements of Changes in Net Assets

	U.S. Government Money Market Portfolio						Treasury Money Market Portfolio
	Year Ended December 31, 2013			Year Ended December 31, 2012			Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income (loss)	$	2,961,527		$	5,264,759		$	268,931		$	1,984,834
Net realized gain (loss) on investments		–			3,792			34,160			5,499
Net increase (decrease) in net assets from operations		2,961,527			5,268,551			303,091			1,990,333
Capital Transactions:
Contributions		23,862,095,303			19,871,458,260			29,957,818,460			20,270,759,634
Withdrawals		(23,773,323,291	)		(17,034,984,457	)		(28,112,159,319	)		(19,655,053,849	)
Net increase (decrease) in net assets from capital transactions		88,772,012			2,836,473,803			1,845,659,141			615,705,785
Net Increase (Decrease) in Net Assets		91,733,539			2,841,742,354			1,845,962,232			617,696,118
Net Assets
Beginning of year		8,621,186,304			5,779,443,950			12,712,059,636			12,094,363,518
End of year	$	8,712,919,843		$	8,621,186,304		$	14,558,021,868		$	12,712,059,636

See Notes to Financial Statements.

36

State Street Master Funds

Statements of Changes in Net Assets

	Treasury Plus Money Market Portfolio
	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income (loss)	$	26,184		$	981,432
Net realized gain (loss) on investments		(1,536	)		187
Net increase (decrease) in net assets from operations		24,648			981,619
Capital Transactions:
Contributions		9,982,616,922			6,591,317,676
Withdrawals		(9,528,165,497	)		(5,654,916,322	)
Net increase (decrease) in net assets from capital transactions		454,451,425			936,401,354
Net Increase (Decrease) in Net Assets		454,476,073			937,382,973
Net Assets
Beginning of year		2,298,540,800			1,361,157,827
End of year	$	2,753,016,873		$	2,298,540,800

See Notes to Financial Statements.

37

State Street Master Funds

Financial Highlights

Year Ended December 31,		Total Return(a)			Ratios to Average Net Assets									Net Assets End of Year (000s Omitted)
					Gross Operating Expenses			Net Operating Expenses			Net Investment Income (Loss)
Money Market Portfolio
2013			0.15	%		0.06	%		0.06	%		0.15	%	$	34,053,304
2012			0.26	%		0.06	%		0.06	%		0.25	%	$	27,508,762
2011			0.20	%		0.07	%		0.07	%		0.20	%(b)	$	22,780,186
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
Tax Free Money Market Portfolio
2013			(0.03	)%		0.11	%		0.11	%		(0.04	)%	$	308,030
2012	��		0.01	%		0.11	%		0.11	%		0.01	%	$	508,521
2011			0.04	%		0.11	%		0.11	%		0.04	%(b)	$	331,194
2010			0.13	%		0.13	%		0.13	%		0.11	%	$	405,328
2009			0.49	%		0.14	%		0.13	%(b)		0.48	%(b)	$	376,182
U.S. Government Money Market Portfolio
2013			0.03	%		0.07	%		0.07	%		0.03	%	$	8,712,920
2012			0.08	%		0.07	%		0.07	%		0.08	%	$	8,621,186
2011			0.04	%		0.07	%		0.07	%		0.04	%(b)	$	5,779,444
2010			0.07	%		0.12	%		0.12	%		0.08	%	$	4,910,900
2009			0.25	%		0.12	%		0.12	%		0.23	%	$	3,431,153
Treasury Money Market Portfolio
2013			0.00	%(c)		0.07	%		0.07	%		0.00	%(c)	$	14,558,022
2012			0.02	%		0.07	%		0.07	%		0.02	%	$	12,712,060
2011			(0.09	)%		0.07	%		0.07	%		(0.03	)%(b)	$	12,094,364
2010			0.01	%		0.12	%		0.12	%		0.01	%	$	3,656,739
2009			0.02	%		0.12	%		0.12	%		0.02	%	$	2,277,931
Treasury Plus Money Market Portfolio
2013			0.00	%(c)		0.07	%		0.07	%		0.00	%(c)	$	2,753,017
2012			0.06	%		0.08	%		0.08	%		0.06	%	$	2,298,541
2011			0.00	%(c)		0.08	%		0.08	%		(0.01	)%(b)	$	1,361,158
2010			0.03	%		0.12	%		0.12	%		0.03	%	$	933,748
2009			0.04	%		0.13	%		0.13	%		0.03	%	$	800,637

^(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 lower.

^(c)  Amount is less than 0.005%.

See Notes to Financial Statements.

38

State Street Master Funds

Notes to Financial Statements

December 31, 2013

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 ten 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 U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. At December 31, 2013, the following Portfolios were operational: State Street Equity 500 Index Portfolio, 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. 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.

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.

39

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2013

Portfolio Name	Investment Objective
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.

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. Investments in open-end investment companies are valued at their net asset value each business day.

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 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.

40

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2013

The following is a summary of the inputs used, as of December 31, 2013, in valuing the Portfolios’ assets carried at fair value:

	Investments in Securities
Valuation Inputs	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
Level 1 – Quoted Prices	$	–	$	78,002,808	$	–	$	–	$	–
Level 2 – Other Significant Observable Inputs		33,631,103,499		230,065,000		7,947,154,520		15,091,123,510		2,565,913,919
Level 3 – Significant Unobservable Inputs		–		–		–		–		–
Total Investments	$	33,631,103,499	$	308,067,808	$	7,947,154,520	$	15,091,123,510	$	2,565,913,919

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.

During the year ended December 31, 2013, there were no transfers between levels.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily.

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 daily 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, 2013, 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, 2013, tax years 2010 through 2013 remain subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2013, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Repurchase Agreements – A portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it

41

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2013

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 or Government Agency securities, but may consist of other securities. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, 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.

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. It is reasonably possible that these differences could be material.

3. Related Party Fees

Each Portfolio has entered into an investment advisory agreement with the Adviser, under which 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, each Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

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, 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:

Asset Levels	Annual percentage of 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

42

State Street Master Funds

Notes to Financial Statements — (continued)

December 31, 2013

4. Trustees’ Fees

Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.

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 is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

43

Report of Independent Registered Public Accounting Firm

To the Owners of Beneficial Interest and Board of Trustees of

State Street Master Funds:

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of 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 Portfolios and State Street Treasury Plus Money Market Portfolio (five of the portfolios constituting State Street Master Funds) (the “Portfolios”) as of December 31, 2013, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of 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, five of the portfolios constituting State Street Master Funds, at December 31, 2013, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and their financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 26, 2014

44

State Street Master Funds

General Information

December 31, 2013 (Unaudited)

Proxy Voting Policies and Procedures and Record

Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

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

Shareholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of shareholders and provide final results. Accordingly, the Board of Trustees of the Trust solicited a vote by the shareholders for the following items:

Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013. The meeting was subsequently adjourned and the final results will be reported in the next semi-annual report to shareholders.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 12, 2013 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreements for the Portfolios (the “Advisory Agreements”). In preparation for considering renewal of the Advisory Agreements at the November Meeting, the Independent Trustees convened a special telephonic meeting on October 10, 2013 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the Adviser, which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street, which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreements, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreements, (ii) the investment performance of the Portfolios and the Adviser, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreements reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory

45

State Street Master Funds

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

Agreements and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolios, each of which is a money market fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolios, and the responsibilities of the latter with respect to the Portfolios. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolios’ investments, in monitoring and securing the Portfolios’ compliance with their investment objectives and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.17 trillion in assets under management at August 31, 2013, including over $304 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees noted the significant experience, resources and strength of the Adviser in the management of a variety of money-market products. As discussed more fully below, they also determined that the advisory fees paid by the Portfolios were fair and reasonable and that the Portfolios’ performance and expense ratios were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolios were appropriate and had been of good quality.

The Trustees determined, in view of the investment objectives of the Portfolios and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolios supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the reported recent performance of the Portfolios relative to their peers was not a wholly dependable measure of the Adviser’s success in managing the Portfolios’ investments, due to the fact that the Portfolios’ and most of their peers’ returns had been significantly affected by advisers’ waiving fees and reimbursing expenses, often in order to maintain returns at or above zero; nevertheless, the Trustees determined that, in light of recent conditions in the money market industry, the reported performance of the Portfolios supported a finding that the performance was acceptable, albeit subject to ongoing review at future meetings.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to SSGM, also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the Funds and, by implication, the Portfolios.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolios individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended December 31, 2012, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust.

46

State Street Master Funds

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

In order better to evaluate the Portfolios’ advisory fees, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolios’ contractual advisory fees were all lower than the average and actual advisory fees were generally lower than the average for their Lipper peer groups and total expense ratios were generally lower than the average for their Lipper peer groups; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fees. The Trustees also considered that, to help limit expenses of certain Portfolios and corresponding series of State Street Institutional Investment Trust, the Adviser had reduced its advisory fee or otherwise reimbursed expenses for those Portfolios.

In addition, the Trustees considered other advisory fees paid to the Adviser and its affiliate, State Street Global Advisors (“SSgA”). They noted that, as a general matter, fees paid to the Adviser by other, similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolios, with some exceptions, whereas fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by SSgA tended to be lower than those paid by the Portfolios, again with some exceptions; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolios by the Adviser and those provided to sub-advised funds and other types of institutional clients. The Trustees determined that, in light of these significant differences, the fees paid by sub-advised funds and other types of institutional clients were of limited utility for purposes of comparison with those of the Portfolios, but that to the extent that meaningful comparison was practicable, the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fees were fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolios’ brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fees excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolios as assets grow and whether the Portfolios’ fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolios by virtue of advisory fees of comparatively low levels that subsumed economies of scale in the fees themselves. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreements.

47

State Street Master Funds

Trustees and Officers Information

As of January 24, 2014

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds In Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); January 2009 to Present, Independent Director, SSgA Fixed Income plc; and January 2009 to Present, Independent Director, SSgA Qualified Funds PLC.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 –Present).
William L. Boyan State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1937	Trustee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, SPCA of Bucks County, PA; and the Ann Silverman Community Clinic of Doylestown, PA.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Marshall Financial Group, Inc.

48

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds In Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 –Present); Board member, Regenesis Biomedical (health care services) (April 2012 –Present).
Rina K. Spence State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1948	Trustee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 –2000).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSgA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
Douglas T. Williams State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1940	Trustee; Audit Committee Chair	Term: Indefinite Elected: 7/99	President, Oakmonst Homeowners Association; President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; and Treasurer, Nantucket Educational Trust, (2002 – 2007).

49

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds In Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSgA Funds Management, Inc. (2012 – present); President, SSgA Funds Management, Inc. (2005 – 2012); Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).	217	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; Trustee, Select Sector SPDR Trust; Trustee, SSgA Active ETF Trust; and Trustee, SSgA Master Trust.

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSgA Funds Management, Inc., an affiliate of the Trust.

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers:
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSgA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*
Ann M. Carpenter SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Vice President, SSgA Funds Management, Inc. (2008 – present); Principal, State Street Global Advisors (2005 – 2008 – present).*
Laura F. Dell State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*
Chad C. Hallett State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Bank and Trust Company (2001 – present).*

50

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
Officers: (continued)
Caroline Connolly State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).
Brian Harris State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).
David K. James State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Vice President and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).
Kristin Schantz State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 –present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

51

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

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 SSITAR

STATE STREET EQUITY 500 INDEX PORTFOLIO

ANNUAL REPORT

December 31, 2013

State Street Equity 500 Index Portfolio

Growth of a $10,000 Investment ^(a)

Investment Performance ^(a)

For the Year Ended December 31, 2013

	Total Return One Year Ended December 31, 2013			Total Return Average Annual Five Years Ended December 31, 2013			Total Return Average Annual Ten Years Ended December 31, 2013
State Street Equity 500 Index Portfolio		32.30	%		17.91	%		7.38	%
S&P 500 ® Index(b)		32.38	%		17.94	%		7.40	%

^(a)  Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that a partner’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes.

^(b) The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500 ^® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500^® Index.

2

State Street Equity 500 Index Portfolio

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

The State Street Equity 500 Index Portfolio (the “Fund”) seeks to replicate as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “Index”). In seeking to achieve this objective, the Fund utilizes a passive management strategy designed to track the performance of the Index. The Fund also employs futures to maintain market exposure and otherwise assist in attempting to replicate the performance of the Index.

For the 12-month period ended December 31, 2013 (the “Reporting Period”), the total return for the Fund was 32.30%, and the total return for the Index was 32.38%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The expenses of managing the Fund and slight variations between the Fund’s holdings and the Index’s constituents contributed to the difference between the Fund’s performance and that of the Index.

The Index added value in every quarter of 2013, and the only months it lost ground during the year were June and August. For 2013 as a whole, more than 90% of the names in the Index posted positive returns, and the Index achieved a total return of 32.38%, its best annual result since 1997. Each of the ten of the S&P sectors achieved double-digit gains in 2013, participating handsomely in the broad equity prosperity. Leading the way were consumer discretionary, healthcare and industrials.

After lagging the vast majority of global stock markets amid the fiscal worries that preoccupied the final calendar quarter of 2012, US equity averages recovered strongly during the opening months of 2013. Share prices jumped sharply in the first trading session of the year and built on those gains thereafter, as worries about the consequences of mandated budgetary restraint gave way to optimism that the US private sector would keep employment growing and consumer demand solid.

Although the second calendar quarter of 2013 confronted investors with numerous new sources of volatility, the US equity markets demonstrated an impressive resilience throughout the Reporting Period. They found ready support despite weak employment and retail sales reports during April, and the Index climbed briskly into May to achieve a new set of record highs. While reiteration by Federal Reserve Chairman Ben Bernanke of the potential for reduced asset purchases later in 2013 sent the Index to a June 20 loss that was its largest daily decline since late 2011, US share averages remained well above their April lows. Arguably, a key source of strength in US markets was disenchantment with expanded risks in other parts of the world, a phenomenon that buoyed the dollar and drove money into the presumed stability of American assets. Although the Index suffered a mild decline for June, it still appreciated slightly for the full second quarter.

Firm employment trends and conciliatory rhetoric from the Federal Reserve helped US stocks push higher in July, and major averages eventually eclipsed their May peaks with ease. Even though corporate earnings reports included some notable disappointments, consistent strength in popular biotechnology and consumer names kept investor sentiment buoyant. After the Index pushed to records once more in early August, however, the rally began to dissipate. Downbeat guidance from a number of major technology and retailing firms sparked a late August correction that gathered pace when Secretary of State John Kerry indicated that the US might take military action against Syria. A softer cast to US home sales was also less than helpful, and the August employment figures that arrived on the first Friday in September were weaker than expected.

3

State Street Equity 500 Index Portfolio

MANAGEMENT DISCUSSION OF FUND PERFORMANCE — (continued)

During both September and the third quarter as a whole, sector performance in the Index reflected a growing preference for themes that would benefit from healthier economic growth. Investors in US stocks were understandably nervous as the fourth quarter got underway, since equities had already produced solidly positive returns for three consecutive quarters and the history of early autumn includes many volatile episodes. Moreover, the September postponement of a widely expected announcement of tapered Federal Reserve asset purchases had dented the dollar and diverted attention towards non-US markets. When the US Congress could not agree on a budget and the government underwent a partial shutdown in early October, US investors remained on the defensive. Major averages did not breach their August lows, and investors began to anticipate a reopening of full government operations and a deal to circumvent the debt ceiling. When agreement actually came in mid-October, stocks had already built up enough momentum to drive volatility lower and lift share prices further through November. Nervous action returned in early December, when oil prices embarked on a sharp rebound. Worries about holiday spending and Chinese growth prospects contributed to the mild malaise.

Although the November employment figures reported in early December looked healthy, investors remained nervous when Congress arrived almost too easily at a new budget agreement, believing that, without political rancor, the Federal Reserve might have more incentive to remove accommodation. The middle of December brought the formal announcement that tapering of debt purchases would begin in January, but the accompanying guidance on maintaining interest rates at minimal levels was received very well by equity investors. The Index proceeded to set several new closing records, ending its extraordinary 2013 essentially on the highs.

On an individual security level, the top positive contributors to the Fund’s performance were: Google, Microsoft Corporation and General Electric Company.

The top negative contributors to the Fund’s performance were: Newmont Mining Corporation, Apple Inc., and Intuitive Surgical Inc.

4

State Street Equity 500 Index Portfolio (Unaudited)

EXPENSE EXAMPLE

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 July 1, 2013 to December 31, 2013.

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 December 31, 2013

	Beginning Account Value July 1, 2013		Ending Account Value December 31, 2013		Expenses Paid During Period *
Based on Actual Portfolio Return	$	1,000.00	$	1,162.60	$	0.25
Based on Hypothetical (5% return before expenses)	$	1,000.00	$	1,024.98	$	0.23

* The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The annualized expense ratio for the six months ended December 31, 2013 was 0.045%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).

5

State Street Equity 500 Index Portfolio

Portfolio Statistics (Unaudited)

Portfolio Composition (excluding futures contracts)*	December 31, 2013
Common Stocks	98.2	%
Money Market Funds	1.5
U.S. Government Securities	0.2
Other Assets in Excess of Liabilities	0.1
Total	100.0	%

Top Five Sectors (excluding short-term investments)*	December 31, 2013
Financials	16.9	%
Information Technology	16.6
Consumer Discretionary	13.0
Health Care	12.4
Industrials	11.0
Total	69.9	%

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

See Notes to Financial Statements.

6

State Street Equity 500 Index Portfolio

Portfolio of Investments

December 31, 2013

	Shares		Market Value
COMMON STOCKS – 98.2%
Consumer Discretionary – 13.0%
Amazon.com, Inc.(a)		60,492	$	24,123,605
AutoNation, Inc.(a)		10,363		514,937
AutoZone, Inc.(a)		5,764		2,754,846
Bed Bath & Beyond, Inc.(a)		36,545		2,934,564
Best Buy Co., Inc.		42,119		1,679,706
BorgWarner, Inc.		37,000		2,068,670
Cablevision Systems Corp.		35,600		638,308
CarMax, Inc.(a)		37,200		1,749,144
Carnival Corp.		70,650		2,838,011
CBS Corp. Class B		91,203		5,813,279
Chipotle Mexican Grill, Inc.(a)		5,100		2,717,178
Coach, Inc.		44,828		2,516,196
Comcast Corp. Class A		427,348		22,207,139
D.R. Horton, Inc.(a)		46,076		1,028,416
Darden Restaurants, Inc.		20,588		1,119,370
Delphi Automotive PLC		45,500		2,735,915
DIRECTV(a)		82,277		5,684,518
Discovery Communications, Inc. Class A(a)		37,200		3,363,624
Dollar General Corp.(a)		48,200		2,907,424
Dollar Tree, Inc.(a)		36,600		2,064,972
eBay, Inc.(a)		191,503		10,511,600
Expedia, Inc.		17,357		1,209,089
Family Dollar Stores, Inc.		15,558		1,010,803
Ford Motor Co.		644,398		9,943,061
Fossil Group, Inc.(a)		8,800		1,055,472
GameStop Corp. Class A		19,500		960,570
Gannett Co., Inc.		39,574		1,170,599
Gap, Inc.		48,098		1,879,670
Garmin Ltd.		22,600		1,044,572
General Motors Co.(a)		182,300		7,450,601
Genuine Parts Co.		25,209		2,097,137
Goodyear Tire & Rubber Co.		39,357		938,664
Graham Holdings Co. Class B(a)		660		437,791
H&R Block, Inc.		43,615		1,266,580
Harley-Davidson, Inc.		35,801		2,478,861
Harman International Industries, Inc.		12,021		983,919
Hasbro, Inc.		17,825		980,553
Home Depot, Inc.		227,812		18,758,040
Host Hotels & Resorts, Inc.		118,721		2,307,936
International Game Technology		39,819		723,113
Interpublic Group of Cos., Inc.		71,894		1,272,524
Johnson Controls, Inc.		114,586		5,878,262
Kohl’s Corp.		34,533		1,959,748
L Brands, Inc.		39,567		2,447,219
Lennar Corp. Class A		25,931		1,025,830
Lowe’s Cos., Inc.		171,762		8,510,807
Macy’s, Inc.		61,423		3,279,988
Marriott International, Inc. Class A		39,050		1,927,508
Mattel, Inc.		55,276		2,630,032
McDonald’s Corp.		163,625		15,876,534
McGraw-Hill Cos., Inc.		45,766		3,578,901
Michael Kors Holdings, Ltd.(a)		29,100		2,362,629
Mohawk Industries, Inc.(a)		9,900		1,474,110
NetFlix, Inc.(a)		9,500		3,497,615
Newell Rubbermaid, Inc.		47,893		1,552,212
News Corp. Class A(a)		80,202		1,445,240
NIKE, Inc. Class B		121,604		9,562,939
Nordstrom, Inc.		23,633		1,460,519

	Shares			Market Value
O’Reilly Automotive, Inc.(a)		17,700		$	2,278,167
Omnicom Group, Inc.		41,741			3,104,278
PetSmart, Inc.		17,300			1,258,575
Priceline.com, Inc.(a)		8,390			9,752,536
PulteGroup, Inc.		54,705			1,114,341
PVH Corp.		13,000			1,768,260
Ralph Lauren Corp.		9,515			1,680,064
Ross Stores, Inc.		35,900			2,689,987
Scripps Networks Interactive, Inc. Class A		17,635			1,523,840
Snap-on, Inc.		9,212			1,008,898
Stanley Black & Decker, Inc.		25,707			2,074,298
Staples, Inc.		110,033			1,748,424
Starbucks Corp.		123,161			9,654,591
Starwood Hotels & Resorts Worldwide, Inc.		31,247			2,482,574
Target Corp.		102,816			6,505,168
Tiffany & Co.		19,880			1,844,466
Time Warner Cable, Inc.		46,071			6,242,621
Time Warner, Inc.		150,191			10,471,317
TJX Cos., Inc.		118,912			7,578,262
TripAdvisor, Inc.(a)		18,157			1,503,944
Twenty-First Century Fox, Inc.		315,909			11,113,679
Urban Outfitters, Inc.(a)		18,300			678,930
V.F. Corp.		57,572			3,589,038
Viacom, Inc. Class B		64,522			5,635,351
Walt Disney Co.		264,445			20,203,598
Whirlpool Corp.		12,661			1,986,004
Wyndham Worldwide Corp.		22,699			1,672,689
Wynn Resorts, Ltd.		12,700			2,466,467
Yum! Brands, Inc.		72,292			5,465,998
					357,507,435
Consumer Staples – 9.5%
Altria Group, Inc.		328,999			12,630,272
Archer-Daniels-Midland Co.		107,024			4,644,842
Avon Products, Inc.		67,660			1,165,105
Beam, Inc.		26,245			1,786,235
Brown-Forman Corp. Class B		26,182			1,978,574
Campbell Soup Co.		28,865			1,249,277
Clorox Co.		20,543			1,905,569
Coca-Cola Co.		622,322			25,708,122
Coca-Cola Enterprises, Inc.		40,801			1,800,548
Colgate-Palmolive Co.		144,602			9,429,496
ConAgra Foods, Inc.		68,575			2,310,978
Constellation Brands, Inc. Class A(a)		26,926			1,895,052
Costco Wholesale Corp.		71,989			8,567,411
CVS Caremark Corp.		192,032	��		13,743,730
Dr Pepper Snapple Group, Inc.		32,700			1,593,144
Estee Lauder Cos., Inc. Class A		41,204			3,103,485
General Mills, Inc.		103,664			5,173,870
Hormel Foods Corp.		21,200			957,604
Kellogg Co.		41,835			2,554,863
Kimberly-Clark Corp.		61,800			6,455,628
Kraft Foods Group, Inc.		96,669			5,212,393
Kroger Co.		84,176			3,327,477
Lorillard, Inc.		61,383			3,110,890
McCormick & Co., Inc.		20,753			1,430,297
Molson Coors Brewing Co. Class B		25,162			1,412,846
Mondelez International, Inc. Class A		281,909			9,951,388
Monster Beverage Corp.(a)		24,300			1,646,811

See Notes to Financial Statements.

7

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
PepsiCo, Inc.		251,954	$	20,897,065
Philip Morris International, Inc.		259,499		22,610,148
Procter & Gamble Co.		441,319		35,927,780
Reynolds American, Inc.		52,074		2,603,179
Safeway, Inc.		37,164		1,210,431
Sysco Corp.		95,709		3,455,095
The Hershey Co.		24,282		2,360,939
The J.M. Smucker Co.		17,160		1,778,119
Tyson Foods, Inc. Class A		44,235		1,480,103
Wal-Mart Stores, Inc.		264,702		20,829,400
Walgreen Co.		141,018		8,100,074
Whole Foods Market, Inc.		60,066		3,473,617
				259,471,857
Energy – 10.1%
Anadarko Petroleum Corp.		81,626		6,474,574
Apache Corp.		65,125		5,596,843
Baker Hughes, Inc.		71,973		3,977,228
Cabot Oil & Gas Corp.		67,500		2,616,300
Cameron International Corp.(a)		39,700		2,363,341
Chesapeake Energy Corp.		83,182		2,257,560
Chevron Corp.(b)		314,746		39,314,923
ConocoPhillips		198,530		14,026,145
Consol Energy, Inc.		37,173		1,414,061
Denbury Resources, Inc.(a)		61,500		1,010,445
Devon Energy Corp.		63,951		3,956,648
Diamond Offshore Drilling, Inc.		11,500		654,580
Ensco PLC Class A		38,000		2,172,840
EOG Resources, Inc.		44,917		7,538,869
EQT Corp.		24,100		2,163,698
ExxonMobil Corp.(b)		710,447		71,897,236
FMC Technologies, Inc.(a)		38,600		2,015,306
Halliburton Co.		138,434		7,025,526
Helmerich & Payne, Inc.		17,300		1,454,584
Hess Corp.		47,801		3,967,483
Kinder Morgan, Inc.		108,526		3,906,936
Marathon Oil Corp.		118,777		4,192,828
Marathon Petroleum Corp.		47,488		4,356,074
Murphy Oil Corp.		28,841		1,871,204
Nabors Industries, Ltd.		48,204		818,986
National Oilwell Varco, Inc.		70,757		5,627,304
Newfield Exploration Co.(a)		20,600		507,378
Noble Corp. PLC		39,400		1,476,318
Noble Energy, Inc.		57,920		3,944,931
Occidental Petroleum Corp.		132,944		12,642,974
Peabody Energy Corp.		44,124		861,742
Phillips 66		99,165		7,648,596
Pioneer Natural Resources Co.		22,300		4,104,761
QEP Resources, Inc.		27,068		829,634
Range Resources Corp.		26,600		2,242,646
Rowan Cos. PLC Class A(a)		19,620		693,763
Schlumberger, Ltd.		213,058		19,198,656
Southwestern Energy Co.(a)		56,300		2,214,279
Spectra Energy Corp.		107,798		3,839,765
Tesoro Corp.		23,165		1,355,153
Transocean, Ltd.		55,100		2,723,042
Valero Energy Corp.		87,909		4,430,614
Williams Cos., Inc.		110,968		4,280,036
WPX Energy, Inc.(a)		30,856		628,845
				276,294,655

	Shares		Market Value
Financials – 16.9%
ACE, Ltd.		56,500	$	5,849,445
AFLAC, Inc.		75,490		5,042,732
Allstate Corp.		76,406		4,167,183
American Express Co.		150,664		13,669,745
American International Group, Inc.		243,533		12,432,360
American Tower Corp. REIT		64,100		5,116,462
Ameriprise Financial, Inc.		32,307		3,716,920
Aon PLC		49,547		4,156,498
Apartment Investment & Management Co. Class A		22,952		594,686
Assurant, Inc.		14,131		937,874
AvalonBay Communities, Inc.		19,298		2,281,603
Bank of America Corp.		1,729,471		26,927,863
BB&T Corp.		114,470		4,272,020
Berkshire Hathaway, Inc. Class B(a)		292,203		34,643,588
BlackRock, Inc.		20,434		6,466,748
Boston Properties, Inc.		24,767		2,485,864
Capital One Financial Corp.		96,463		7,390,030
CBRE Group, Inc.(a)		49,575		1,303,823
Charles Schwab Corp.		186,393		4,846,218
Chubb Corp.		41,475		4,007,729
Cincinnati Financial Corp.		23,114		1,210,480
Citigroup, Inc.		491,620		25,618,318
CME Group, Inc.		50,655		3,974,391
Comerica, Inc.		29,944		1,423,538
DDR Corp. REIT		1,532		23,547
Discover Financial Services		79,005		4,420,330
E*Trade Financial Corp.(a)		44,931		882,445
Equity Residential		54,057		2,803,937
Fifth Third Bancorp		141,716		2,980,288
Franklin Resources, Inc.		68,940		3,979,906
General Growth Properties, Inc. REIT		90,400		1,814,328
Genworth Financial, Inc. Class A(a)		82,251		1,277,358
Goldman Sachs Group, Inc.		67,934		12,041,981
Hartford Financial Services Group, Inc.		74,097		2,684,534
HCP, Inc.		73,400		2,665,888
Health Care REIT, Inc.		46,100		2,469,577
Hudson City Bancorp, Inc.		76,692		723,206
Huntington Bancshares, Inc.		141,956		1,369,875
IntercontinentalExchange Group, Inc.		18,862		4,242,441
Invesco Ltd.		72,200		2,628,080
J.P. Morgan Chase & Co.		610,215		35,685,373
KeyCorp		148,675		1,995,219
Kimco Realty Corp.		66,569		1,314,738
Legg Mason, Inc.		18,042		784,466
Leucadia National Corp.		55,236		1,565,388
Lincoln National Corp.		42,992		2,219,247
Loews Corp.		49,231		2,374,903
M&T Bank Corp.		20,937		2,437,486
Marsh & McLennan Cos., Inc.		88,553		4,282,423
Mastercard, Inc. Class A		16,900		14,119,274
MetLife, Inc.		183,696		9,904,888
Moody’s Corp.		31,466		2,469,137
Morgan Stanley		224,130		7,028,717
NASDAQ OMX Group, Inc.		18,400		732,320
Northern Trust Corp.		36,406		2,253,167
Paychex, Inc.		52,838		2,405,714

See Notes to Financial Statements.

8

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Financials – (continued)
People’s United Financial, Inc.		57,000	$	861,840
PNC Financial Services Group, Inc.		85,717		6,649,925
Principal Financial Group, Inc.		43,391		2,139,610
Progressive Corp.		88,101		2,402,514
ProLogis, Inc.		81,099		2,996,608
Prudential Financial, Inc.		75,539		6,966,207
Public Storage, Inc.		23,087		3,475,055
Regions Financial Corp.		226,389		2,238,987
Simon Property Group, Inc.		50,815		7,732,010
SLM Corp.		69,254		1,819,995
State Street Corp.(c)		72,725		5,337,288
SunTrust Banks, Inc.		86,518		3,184,728
T. Rowe Price Group, Inc.		42,275		3,541,377
The Bank of New York Mellon Corp.		187,085		6,536,750
The Macerich Co. REIT		21,800		1,283,802
Torchmark Corp.		14,931		1,166,858
Total System Services, Inc.		26,575		884,416
Travelers Cos., Inc.		60,504		5,478,032
U.S. Bancorp		299,052		12,081,701
Unum Group		40,929		1,435,789
Ventas, Inc.		46,600		2,669,248
Visa, Inc. Class A		82,400		18,348,832
Vornado Realty Trust		28,014		2,487,363
Wells Fargo & Co.		778,149		35,327,965
Western Union Co.		86,585		1,493,591
XL Group PLC		44,968		1,431,781
Zions Bancorp.		30,453		912,372
				462,000,943
Health Care – 12.4%
Abbott Laboratories		252,406		9,674,722
AbbVie, Inc.		257,506		13,598,892
Actavis PLC(a)		27,946		4,694,928
Aetna, Inc.		60,559		4,153,742
Alexion Pharmaceuticals, Inc.(a)		32,400		4,311,144
Allergan, Inc.		49,192		5,464,247
AmerisourceBergen Corp.		36,686		2,579,393
Amgen, Inc.		122,345		13,966,905
Baxter International, Inc.		88,461		6,152,463
Becton Dickinson and Co.		31,397		3,469,054
Biogen Idec, Inc.(a)		39,131		10,946,897
Boston Scientific Corp.(a)		219,034		2,632,789
Bristol-Myers Squibb Co.		267,316		14,207,845
C.R. Bard, Inc.		12,897		1,727,424
Cardinal Health, Inc.		53,957		3,604,867
CareFusion Corp.(a)		33,878		1,349,022
Celgene Corp.(a)		66,818		11,289,569
Cerner Corp.(a)		50,100		2,792,574
CIGNA Corp.		45,996		4,023,730
Covidien PLC		77,100		5,250,510
DaVita, Inc.(a)		30,700		1,945,459
Dentsply International, Inc.		23,300		1,129,584
Edwards Lifesciences Corp.(a)		19,000		1,249,440
Eli Lilly & Co.		160,675		8,194,425
Express Scripts Holding Co.(a)		133,214		9,356,951
Forest Laboratories, Inc.(a)		37,402		2,245,242
Gilead Sciences, Inc.(a)		250,498		18,824,925
Hospira, Inc.(a)		25,303		1,044,508

	Shares		Market Value
Humana, Inc.		25,207	$	2,601,867
Intuitive Surgical, Inc.(a)		6,300		2,419,704
Johnson & Johnson		461,549		42,273,273
Laboratory Corp. of America Holdings(a)		15,422		1,409,108
Life Technologies Corp.(a)		27,887		2,113,835
McKesson Corp.		37,255		6,012,957
Mead Johnson Nutrition Co.		32,618		2,732,084
Medtronic, Inc.		163,778		9,399,219
Merck & Co., Inc.		477,870		23,917,393
Mylan, Inc.(a)		63,209		2,743,271
Patterson Cos., Inc.		12,894		531,233
Perrigo Co. PLC		20,800		3,191,968
Pfizer, Inc.		1,051,681		32,212,989
Quest Diagnostics, Inc.		25,600		1,370,624
Regeneron Pharmaceuticals, Inc.(a)		12,600		3,468,024
St. Jude Medical, Inc.		46,626		2,888,481
Stryker Corp.		49,689		3,733,631
Tenet Healthcare Corp.(a)		15,542		654,629
UnitedHealth Group, Inc.		165,096		12,431,729
Varian Medical Systems, Inc.(a)		18,060		1,403,081
Vertex Pharmaceuticals, Inc.(a)		37,500		2,786,250
WellPoint, Inc.		50,338		4,650,728
Zimmer Holdings, Inc.		26,952		2,511,657
Zoetis, Inc.		79,448		2,597,155
				339,936,141
Industrials – 11.0%
3M Co.		105,472		14,792,448
ADT Corp.		36,250		1,467,037
Allegion PLC(a)		14,833		655,470
AMETEK, Inc.		39,400		2,075,198
Amphenol Corp. Class A		26,100		2,327,598
Avery Dennison Corp.		15,388		772,324
Boeing Co.		112,688		15,380,785
Caterpillar, Inc.		105,379		9,569,467
CH Robinson Worldwide, Inc.		25,861		1,508,731
Cintas Corp.		17,588		1,048,069
CSX Corp.		171,214		4,925,827
Cummins, Inc.		28,358		3,997,627
Danaher Corp.		99,472		7,679,238
Deere & Co.		62,337		5,693,238
Delta Air Lines, Inc.		139,300		3,826,571
Dover Corp.		27,895		2,692,983
Eaton Corp. PLC		78,824		6,000,083
Emerson Electric Co.		112,748		7,912,655
Equifax, Inc.		19,983		1,380,625
Expeditors International of Washington, Inc.		34,020		1,505,385
Fastenal Co.		44,300		2,104,693
FedEx Corp.		47,900		6,886,583
First Solar, Inc.(a)		10,570		577,545
Flir Systems, Inc.		23,500		707,350
Flowserve Corp.		21,900		1,726,377
Fluor Corp.		26,060		2,092,357
Fortune Brands Home & Security, Inc.		1,145		52,326
General Dynamics Corp.		54,061		5,165,529
General Electric Co.		1,643,633		46,071,033
Honeywell International, Inc.		128,881		11,775,857
Illinois Tool Works, Inc.		66,271		5,572,066

See Notes to Financial Statements.

9

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS –(continued)
Industrials – (continued)
Ingersoll-Rand PLC		44,500	$	2,741,200
Iron Mountain, Inc.		26,910		816,718
Jacobs Engineering Group, Inc.(a)		20,400		1,284,996
Joy Global, Inc.		17,200		1,006,028
Kansas City Southern		17,500		2,167,025
L-3 Communications Holdings, Inc.		14,403		1,539,105
Leggett & Platt, Inc.		24,198		748,686
Lockheed Martin Corp.		43,552		6,474,440
Masco Corp.		57,123		1,300,691
Nielsen Holdings NV		41,200		1,890,668
Norfolk Southern Corp.		50,055		4,646,606
Northrop Grumman Corp.		35,011		4,012,611
PACCAR, Inc.		56,774		3,359,318
Pall Corp.		18,609		1,588,278
Parker Hannifin Corp.		23,903		3,074,882
Pentair, Ltd.		33,495		2,601,557
Pitney Bowes, Inc.		29,727		692,639
Precision Castparts Corp.		24,007		6,465,085
Quanta Services, Inc.(a)		35,000		1,104,600
Raytheon Co.		52,382		4,751,047
Republic Services, Inc.		47,503		1,577,100
Robert Half International, Inc.		23,540		988,445
Rockwell Automation, Inc.		22,505		2,659,191
Rockwell Collins, Inc.		22,531		1,665,492
Roper Industries, Inc.		16,100		2,232,748
Ryder System, Inc.		7,921		584,411
Southwest Airlines Co.		114,186		2,151,264
Stericycle, Inc.(a)		14,100		1,637,997
Textron, Inc.		44,839		1,648,282
Thermo Fisher Scientific, Inc.		59,624		6,639,132
Tyco International Ltd.		74,300		3,049,272
Union Pacific Corp.		75,368		12,661,824
United Parcel Service, Inc. Class B		118,146		12,414,782
United Technologies Corp.		137,678		15,667,756
W.W. Grainger, Inc.		10,069		2,571,824
Waste Management, Inc.		73,139		3,281,747
Xylem, Inc.		28,692		992,743
				302,633,265
Information Technology – 16.6%
Accenture PLC Class A		101,900		8,378,218
Adobe Systems, Inc.(a)		75,257		4,506,389
Agilent Technologies, Inc.		54,968		3,143,620
Akamai Technologies, Inc.(a)		28,924		1,364,634
Alliance Data Systems Corp.(a)		7,900		2,077,147
Altera Corp.		50,554		1,644,522
Analog Devices, Inc.		50,069		2,550,014
AOL, Inc.(a)		1		47
Apple, Inc.		146,384		82,137,526
Applied Materials, Inc.		194,207		3,435,522
Autodesk, Inc.(a)		36,476		1,835,837
Automatic Data Processing, Inc.		78,417		6,336,878
Broadcom Corp. Class A		88,659		2,628,739
CA, Inc.		53,099		1,786,781
Cisco Systems, Inc.		875,919		19,664,382
Citrix Systems, Inc.(a)		29,667		1,876,438
Cognizant Technology Solutions Corp. Class A(a)		48,984		4,946,404
Computer Sciences Corp.		23,144		1,293,287

	Shares		Market Value
Corning, Inc.		234,476	$	4,178,362
Dun & Bradstreet Corp.		7,100		871,525
Electronic Arts, Inc.(a)		50,400		1,156,176
EMC Corp.		342,684		8,618,503
F5 Networks, Inc.(a)		12,200		1,108,492
Facebook, Inc. Class A(a)		267,300		14,610,618
Fidelity National Information Services, Inc.		46,777		2,510,989
Fiserv, Inc.(a)		42,104		2,486,241
Google, Inc. Class A(a)		45,790		51,317,311
Harris Corp.		18,600		1,298,466
Hewlett-Packard Co.		313,416		8,769,380
Intel Corp.		811,156		21,057,610
International Business Machines Corp.		165,542		31,050,713
Intuit, Inc.		47,863		3,652,904
Jabil Circuit, Inc.		27,551		480,490
Juniper Networks, Inc.(a)		84,393		1,904,750
KLA-Tencor Corp.		27,005		1,740,742
Lam Research Corp.(a)		25,858		1,407,968
Linear Technology Corp.		37,363		1,701,885
LSI Corp.		89,162		982,565
Microchip Technology, Inc.		32,589		1,458,358
Micron Technology, Inc.(a)		174,862		3,804,997
Microsoft Corp.(b)		1,241,335		46,463,169
Motorola Solutions, Inc.		38,152		2,575,260
NetApp, Inc.		57,357		2,359,667
NVIDIA Corp.		99,956		1,601,295
Oracle Corp.		568,162		21,737,878
PerkinElmer, Inc.		19,218		792,358
QUALCOMM, Inc.		273,411		20,300,767
Red Hat, Inc.(a)		29,800		1,669,992
Salesforce.com, Inc.(a)		89,700		4,950,543
SanDisk Corp.		38,367		2,706,408
Seagate Technology PLC		51,800		2,909,088
Symantec Corp.		113,463		2,675,458
TE Connectivity, Ltd.		67,300		3,708,903
Teradata Corp.(a)		25,320		1,151,807
Texas Instruments, Inc.		181,499		7,969,621
VeriSign, Inc.(a)		18,721		1,119,141
Waters Corp.(a)		13,765		1,376,500
Western Digital Corp.		36,200		3,037,180
Xerox Corp.		186,701		2,272,151
Xilinx, Inc.		42,502		1,951,692
Yahoo!, Inc.(a)		154,519		6,248,748
				455,353,056
Materials – 3.6%
Air Products & Chemicals, Inc.		34,009		3,801,526
Airgas, Inc.		11,600		1,297,460
Alcoa, Inc.		169,749		1,804,432
Allegheny Technologies, Inc.		17,228		613,834
Ball Corp.		25,024		1,292,740
Bemis Co., Inc.		17,462		715,243
CF Industries Holdings, Inc.		9,250		2,155,620
Cliffs Natural Resources, Inc.		22,200		581,862
Dow Chemical Co.		197,728		8,779,123
E.I. du Pont de Nemours & Co.		152,112		9,882,717
Eastman Chemical Co.		24,808		2,002,006
Ecolab, Inc.		43,766		4,563,481

See Notes to Financial Statements.

10

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

	Shares		Market Value
COMMON STOCKS – (continued)
Materials – (continued)
FMC Corp.		21,400	$	1,614,844
Freeport-McMoRan Copper & Gold, Inc. Class B		172,104		6,495,205
International Flavors & Fragrances, Inc.		13,031		1,120,405
International Paper Co.		71,411		3,501,281
LyondellBasell Industries NV		72,200		5,796,216
MeadWestvaco Corp.		28,820		1,064,323
Monsanto Co.		84,555		9,854,885
Mosaic Co.		54,900		2,595,123
Newmont Mining Corp.		78,406		1,805,690
Nucor Corp.		51,654		2,757,290
Owens-Illinois, Inc.(a)		26,300		941,014
Plum Creek Timber Co., Inc.		31,411		1,460,926
PPG Industries, Inc.		23,271		4,413,578
Praxair, Inc.		48,411		6,294,882
Sealed Air Corp.		31,392		1,068,898
Sherwin-Williams Co.		14,196		2,604,966
Sigma-Aldrich Corp.		19,134		1,798,787
United States Steel Corp.		21,478		633,601
Vulcan Materials Co.		21,361		1,269,271
Weyerhaeuser Co.		94,874		2,995,172
				97,576,401
Telecommunication Services – 2.3%
AT&T, Inc.		854,550		30,045,978
CenturyLink, Inc.		99,565		3,171,145
Crown Castle International Corp.(a)		53,500		3,928,505
Frontier Communications Corp.		165,844		771,175
Verizon Communications, Inc.		469,766		23,084,301
Windstream Holdings, Inc.		99,213		791,720
				61,792,824
Utilities – 2.8%
AES Corp.		103,195		1,497,359
AGL Resources, Inc.		18,100		854,863
Ameren Corp.		37,560		1,358,170
American Electric Power Co., Inc.		81,852		3,825,762
CenterPoint Energy, Inc.		69,711		1,615,901
CMS Energy Corp.		42,056		1,125,839
Consolidated Edison, Inc.		47,252		2,612,091
Dominion Resources, Inc.		94,562		6,117,216
DTE Energy Co.		27,484		1,824,663
Duke Energy Corp.		115,383		7,962,581
Edison International		52,219		2,417,740
Entergy Corp.		28,998		1,834,703
Exelon Corp.		144,343		3,953,555
FirstEnergy Corp.		67,022		2,210,386
Integrys Energy Group, Inc.		12,916		702,760
NextEra Energy, Inc.		68,921		5,901,016
NiSource, Inc.		50,582		1,663,136
Northeast Utilities		50,060		2,122,043
NRG Energy, Inc.		51,700		1,484,824
Oneok, Inc.		32,200		2,002,196
Pepco Holdings, Inc.		41,200		788,156
PG&E Corp.		70,826		2,852,871
Pinnacle West Capital Corp.		17,860		945,151
PPL Corp.		100,475		3,023,293

	Shares		Market Value
Public Service Enterprise Group, Inc.		80,924	$	2,592,805
SCANA Corp.		22,300		1,046,539
Sempra Energy		36,886		3,310,887
Southern Co.		144,343		5,933,941
TECO Energy, Inc.		34,951		602,555
Wisconsin Energy Corp.		38,100		1,575,054
Xcel Energy, Inc.		79,051		2,208,685
				77,966,741
TOTAL COMMON STOCKS (Cost: $1,261,323,597)				2,690,533,318
	Par Amount
U.S. GOVERNMENT SECURITIES – 0.2%
U.S. Treasury Bill(b)(d)(e) 0.01% due 01/16/2014	$	400,000		400,000
U.S. Treasury Bill(b)(d)(e) 0.01% due 02/20/2014		2,150,000		2,149,970
U.S. Treasury Bill(b)(d)(e) 0.05% due 02/20/2014		1,610,000		1,609,889
TOTAL U.S. GOVERNMENT SECURITIES (Cost: $4,159,859)				4,159,859
	Shares
MONEY MARKET FUND – 1.5%
State Street Institutional Liquid Reserves Fund 0.05%(c)(f)		41,178,491		41,178,491
TOTAL MONEY MARKET FUND (Cost: $41,178,491)				41,178,491
TOTAL INVESTMENTS(g) – 99.9% (Cost $1,306,661,947)				2,735,871,668
Other Assets in Excess of Liabilities – 0.1%				3,722,410
NET ASSETS – 100.0%			$	2,739,594,078

^(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)  Rate represents annualized yield at date of purchase.

^(e)  Value determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures.

^(f)  The rate shown is the annualized seven-day yield at period end.

^(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.

PLC = Public Limited Company

REIT = Real Estate Investment Trust

See Notes to Financial Statements.

11

State Street Equity 500 Index Portfolio

Portfolio of Investments — (continued)

December 31, 2013

Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation
S&P 500 Financial Futures Contracts (long) Expiration Date 03/2014		535	$	49,249,425	$	1,717,967
Total unrealized appreciation on open futures contracts purchased					$	1,717,967

Affiliates 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 Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending December 31, 2013 were as follows:

Security Description	Number of shares held at 12/31/12		Shares purchased for the year ended 12/31/13		Shares sold for the year ended 12/31/13		Number of shares held at 12/31/13		Value at 12/31/13		Income earned for the year ended 12/31/13		Realized gain on shares sold for the year ended 12/31/2013
State Street Corp.		72,725		–		–		72,725	$	5,337,288	$	75,634	$	–
State Street Institutional Liquid Reserves Fund		25,053,183		301,321,856		285,196,548		41,178,491		41,178,491		49,890		–

See Notes to Financial Statements.

12

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

December 31, 2013

Assets
Investments in unaffiliated issuers at market value (identified cost $1,263,093,682)	$	2,689,355,889
Investments in non-controlled affiliates at market value (identified cost $43,568,265) (Note 4)		46,515,779
Total investments at market value (identified cost $1,306,661,947)		2,735,871,668
Cash		151,331
Daily variation margin on futures contracts		140
Dividends and interest receivable		3,608,531
Dividend receivable from non-controlled affiliates (Note 4)		18,909
Total assets		2,739,650,579
Liabilities
Management fees payable (Note 4)		56,501
Total liabilities		56,501
Net Assets	$	2,739,594,078

See Notes to Financial Statements.

13

State Street Equity 500 Index Portfolio

Statement of Operations

Year Ended December 31, 2013

Investment Income
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $105,783)	$	49,999,179
Dividend income – non-controlled affiliated issuer		125,524
Interest		51,366
Total investment income		50,176,069
Expenses
Management fees (Note 3)		1,079,996
Total expenses		1,079,996
Net Investment Income		49,096,073
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers		14,279,841
Futures contracts		12,331,162
		26,611,003
Net change in net unrealized appreciation (depreciation) on:
Investments		588,884,187
Futures contracts		1,648,798
		590,532,985
Net realized and unrealized gain		617,143,988
Net Increase in Net Assets Resulting from Operations	$	666,240,061

See Notes to Financial Statements.

14

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets

	Year Ended December 31, 2013			Year Ended December 31, 2012
Increase (Decrease) in Net Assets From Operations:
Net investment income	$	49,096,073		$	44,258,364
Net realized gain on investments and futures contracts		26,611,003			59,782,429
Net change in net unrealized appreciation on investments and futures contracts		590,532,985			177,710,661
Net increase in net assets from operations		666,240,061			281,751,454
Capital Transactions:
Contributions		235,748,437			262,981,954
Withdrawals		(217,635,806	)		(315,020,063	)
Net increase (decrease) in net assets from capital transactions		18,112,631			(52,038,109	)
Net Increase in Net Assets		684,352,692			229,713,345
Net Assets
Beginning of year		2,055,241,386			1,825,528,041
End of year	$	2,739,594,078		$	2,055,241,386

See Notes to Financial Statements.

15

State Street Equity 500 Index Portfolio

Financial Highlights

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

	Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10			Year Ended 12/31/09
Supplemental Data and Ratios:
Net Assets, End of Year (in thousands)	$	2,739,594		$	2,055,241		$	1,825,528		$	2,098,137		$	1,893,386
Ratios to average net assets:
Operating expenses		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		2.05	%		2.26	%		2.04	%		1.99	%		2.28	%
Portfolio turnover rate(a)		4	%		9	%		15	%		12	%		19	%
Total return(b)		32.30	%		15.97	%		2.03	%		15.08	%		26.50	%

^(a)  The portfolio turnover rate excludes in-kind security transactions.

^(b)  Results represent past performance and are not indicative of future results.

See Notes to Financial Statements.

16

State Street Equity 500 Index Portfolio

Notes to Financial Statements

December 31, 2013

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 ten 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 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 the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2013, the following Portfolios were operational: the 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 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 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 apply broadly to securities and other types of assets and liabilities. In

17

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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 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 December 31, 2013, in valuing the Portfolio’s assets carried at fair value:

Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
ASSETS: INVESTMENTS:
Common Stocks	$	2,690,533,318	$	–	$	–	$	2,690,533,318
U.S. Government Securities		–		4,159,859		–		4,159,859
Money Market Fund		41,178,491		–		–		41,178,491
TOTAL INVESTMENTS		2,731,711,809		4,159,859		–		2,735,871,668
OTHER ASSETS:
Futures contracts*		1,717,967		–		–		1,717,967
TOTAL ASSETS	$	2,733,429,776	$	4,159,859	$	–	$	2,737,589,635

* Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

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

For the year ended December 31, 2013, there were no transfers between levels.

Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. 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. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transactions on the Statement of Operations.

18

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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 on a daily basis 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, 2013, 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, 2013, tax years 2010 through 2013 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.

At December 31, 2013, the tax cost of investments was $1,306,661,947 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,442,890,581 and $13,680,860, respectively, resulting in net appreciation of $1,429,209,721 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 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.

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. 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 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

19

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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 December 31, 2013:

Asset Derivatives⁽¹⁾

	Equity Contracts Risk	Total
Futures Contracts	$1,717,967	$	1,717,967

Transactions in derivative instruments during the year ended December 31, 2013, were as follows:

Realized Gain (Loss)⁽²⁾

	Equity Contracts Risk	Total
Futures Contracts	$12,331,162	$	12,331,162

Change in Appreciation (Depreciation)⁽³⁾

	Equity Contracts Risk	Total
Futures Contracts	$1,648,798	$	1,648,798

⁽¹⁾  Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

⁽²⁾  Statement of Operations location: Net realized gain (loss) on: Futures contracts

⁽³⁾  Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional value of futures contracts outstanding during the year ended December 31, 2013 was $53,978,780.

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. It is reasonably possible that these differences could be material.

3. Securities Transactions

For the year ended December 31, 2013, purchases and sales of investment securities, excluding short-term investments and futures contracts, aggregated to $151,884,186 and $88,744,722, respectively.

20

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

December 31, 2013

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 December 31, 2013 is listed in the Portfolio of Investments.

5. Trustees’ Fees

Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.

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.

21

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of State Street Master Funds and

Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of State Street Equity 500 Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds) as of December 31, 2013, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2013, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, one of the portfolios constituting State Street Master Funds, at December 31, 2013, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Boston, Massachusetts

February 26, 2014

22

State Street Equity 500 Index Portfolio

General Information

December 31, 2013 (Unaudited)

Proxy Voting Policies and Procedures and Record

Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

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

Interestholder Meeting Results

Rule 30e-1 under the Investment Company Act of 1940, as amended, requires registered management companies to report on all subject matters put to the vote of interestholders and provide final results. Accordingly, the Board of Trustees of the Trust solicited a vote by the interestholders for the following items:

Shareholders were asked to participate in a special meeting of shareholders on December 19, 2013. The meeting was subsequently adjourned and the final results will be reported in the next semi-annual report to shareholders.

Advisory Agreement Renewal

The Board of Trustees of the Trust met on November 12, 2013 (the “November Meeting” or “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering renewal of the Advisory Agreement at the November Meeting, the Independent Trustees convened a special telephonic meeting on October 10, 2013 (the “Preliminary Meeting”), at which they reviewed renewal materials provided by the Adviser, which they had requested through independent counsel, and discussed the materials with counsel and representatives of the Adviser. In the course of the Preliminary Meeting they requested additional materials from the Adviser and State Street, which were subsequently provided in advance of the November Meeting along with updates of certain of the original materials. At the November Meeting, in deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio and the Adviser, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.

In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided in advance of the November Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory

23

State Street Equity 500 Index Portfolio

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and investment policies and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $2.17 trillion in assets under management at August 31, 2013, including over $304 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees noted the significant experience, resources and strength of the Adviser in the management of a variety of index products. As discussed more fully below, they also determined that the advisory fee paid by the Portfolio was fair and reasonable and that the Portfolio’s performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.

The Trustees determined, in view of the investment objective of the Portfolio and after review and discussion of the available data and of a memorandum discussing the recent performance of the Portfolio supplied by the Adviser at the Independent Trustees’ request, that the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that performance of the Portfolio was satisfactory.

The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to SSGM, also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis with the other feeder funds and master portfolios overseen by the Trustees (together, the “Funds and Portfolios”), for the year ended December 31, 2012, and for the four prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies appeared reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive, especially in light of the competitive levels of the fees paid to the Adviser and State Street by the Trust.

24

State Street Equity 500 Index Portfolio

General Information — (continued)

December 31, 2013 (Unaudited)

Advisory Agreement Renewal — (continued)

In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.

In addition, the Trustees considered other advisory fees paid to the Adviser and its affiliate, State Street Global Advisors (“SSgA”). They noted that, as a general matter, fees paid to the Adviser by other, similar mutual funds sponsored by State Street tended to be higher than the fees paid by the Portfolio, with some exceptions, whereas fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by SSgA tended to be lower than those paid by the Portfolio, again with some exceptions; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to sub-advised funds and other types of institutional clients. The Trustees determined that, in light of these significant differences, the fees paid by sub-advised funds and other types of clients were of limited utility for purposes of comparison with those of the Portfolio, but that to the extent that meaningful comparison was practicable, the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.

In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.

The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent that economies of scale were in fact being realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.

On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.

25

Trustees and Officers Information

As of January 24, 2014

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee		Other Directorships Held by Trustee During Past Five Years
Independent Trustees
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 YOB: 1944	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 7/99	Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.
Patrick J. Riley State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948	Trustee and Co-Chairman of the Board	Term: Indefinite Elected: 1/14	2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSgA Liquidity plc (formerly, SSgA Cash Management Fund plc); January 2009 to Present, Independent Director, SSgA Fixed Income plc; and January 2009 to Present, Independent Director, SSgA Qualified Funds PLC.		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).
William L. Boyan State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1937	Trustee	Term: Indefinite Elected: 7/99	President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.

26

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
William L. Marshall State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942	Trustee	Term: Indefinite Elected: 1/14	April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, SPCA of Bucks County, PA; and the Ann Silverman Community Clinic of Doylestown, PA.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Marshall Financial Group, Inc.
Richard D. Shirk State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945	Trustee	Term: Indefinite Elected: 1/14	March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).
Rina K. Spence State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1948	Trustee	Term: Indefinite Elected: 7/99	President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000).	34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).

27

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee		Other Directorships Held by Trustee During Past Five Years
Independent Trustees (continued)
Bruce D. Taber State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943	Trustee	Term: Indefinite Elected: 1/14	1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSgA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm).		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
Douglas T. Williams State Street Institutional Investment Trust P.O. Box 5049 Boston, MA 02206 YOB: 1940	Trustee; Audit Committee Chair	Term: Indefinite Elected: 7/99	President, Oakmonst Homeowners Association; President, Mariner Sands Chapel; Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982.		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; and Treasurer, Nantucket Educational Trust, (2002 – 2007).
Interested Trustees(1)
Scott F. Powers State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1959	Trustee	Term: Indefinite Elected Trustee: 1/14	May 2008 to Present, President and Chief Executive Officer of State Street Global Advisors; 2001 – 2008, Chief Executive Officer of Old Mutual Asset Management; Board of Directors, United Way of Massachusetts Bay; Board of Directors of Middlesex School; Incorporator, Cardigan Mountain School		34	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds.
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965	Trustee	Term: Indefinite Elected Trustee: 2/07	Chairman and Director, SSgA Funds Management, Inc. (2012 – present); President, SSgA Funds Management, Inc. (2005 – 2012); Senior Managing Director, State Street Global Advisors (2006 – present); and Principal, State Street Global Advisors (2006 – present).		217	Trustee, State Street Institutional Investment Trust; Trustee, SSgA Funds; Trustee, SPDR Series Trust; Trustee, SPDR Index Shares Funds; Trustee, Select Sector SPDR Trust; Trustee, SSgA Active ETF Trust; and Trustee, SSgA Master Trust.
Officers:
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSgA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSgA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSgA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*		—	—

* Served in various capacities and/or with various affiliated entities during noted time period.

⁽¹⁾  Mr. Powers and Mr. Ross are Interested Trustees because of their employment by SSgA Funds Management, Inc., an affiliate of the Trust.

28

Name, Address, and Age	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years	Number of Funds in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past Five Years
Officers: (continued)
Ann M. Carpenter SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Vice President, SSgA Funds Management, Inc. (2008 –present); Principal, State Street Global Advisors (2005 – 2008 – present).*	—	—
Laura F. Dell State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1964	Treasurer	Term: Indefinite Elected: 11/10	Vice President, State Street Bank and Trust Company (2002 – present).*	—	—
Chad C. Hallett State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1969	Assistant Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Bank and Trust Company (2001 – present).*	—	—
Caroline Connolly State Street Bank and Trust Company 4 Copley Place, 5th floor Boston, MA 02116 YOB: 1975	Assistant Treasurer	Term: Indefinite Elected: 09/11	Assistant Vice President, State Street Bank and Trust Company (2007 – present).	—	—
Brian Harris State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSgA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).	—	—
David K. James State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Vice President and Managing Counsel, State Street Bank and Trust Company (2009 –present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).	—	—
Kristin Schantz State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 –2013).	—	—

* Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.

29

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

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 02119

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 SSITAREQUITY500

Item 2. Code of Ethics.

As of the end of the period, December 31, 2013, State Street Master Funds (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Trust’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). The Trust has not made amendments to its Code of Ethics during the covered period. The Trust has not granted any waivers from any provisions of the code of ethics during the covered period. A copy of the Trust’s code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L. Boyan and
Douglas T. Williams and Ms. Rina K. Spence. Each of the audit committee financial experts is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.

An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.

Item 4. Principal Accountant Fees and Services.

(a) Audit Fees

For the fiscal years ended December 31, 2013 and December 31, 2012, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $177,600 and $177,600, respectively.

(b) Audit-Related Fees

For the fiscal years ended December 31, 2013 and December 31, 2012, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.

(c)	Tax Fees
	The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the last two fiscal years ended December 31, 2013 and December 31, 2012 were $39,578 and $39,578, respectively.
(d)	All Other Fees
	For the fiscal years ended December 31, 2013 and December 31, 2012, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
	For the fiscal years ended December 31, 2013 and December 31, 2012, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to SSgA Funds Management, Inc. (the “Adviser”) and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Trust’s audit committee were approximately $7,426,155 and $7,369,600, respectively.
(e)(1)	Audit Committee Pre-Approval Policies and Procedures
	The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
		“Pre-Approval Requirements. Before the independent accountants are engaged by the Trust to render audit or non-audit services, either:
			1.	The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; or
			2.	The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter.

De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent accountants during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.

Pre-Approval of Non-Audit Services Provided to the Adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent accountants to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent accountants’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent accountants to notify the Audit Committee of any non-audit services that need to be pre-approved.

Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent accountants by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person).”

(e)(2) Percentages of Services

None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.

(f) Not applicable.

(g) Total Fees Paid By Adviser and Certain Affiliates

For the fiscal years ended December 31, 2013 and December 31, 2012, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $19,400,000 and $22,900,000, respectively.

(h) E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence.

Item 5. Audit Committees of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

(a) Schedule of Investments is included as part of Item 1 of this Form N-CSR.

(b) Not applicable.

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.

The Board of Trustees approved an Amended and Restated Nominating Committee Charter (the “Charter”) at their September 19, 2013 Board Meeting. The Charter contains new procedures related to how shareholders are to submit recommendations for Trustee candidates to the Trusts. Those new procedures are as follows:

STATE STREET MASTER FUNDS

STATE STREET INSTITUTIONAL INVESTMENT TRUST

NOMINATING COMMITTEE CHARTER

SEPTEMBER 19, 2013

Mission Statement

The Board of Trustees (each, a “Board”) of each of State Street Institutional Investment Trust and State Street Master Funds (each, a “Trust”) has adopted this charter to govern the activities of the Nominating Committee of each Board (each, a “Nominating Committee”). This Charter applies separately to each Trust, and the Board and Nominating Committee thereof, and shall be interpreted accordingly. Unless otherwise stated herein or required by the context, each singular reference herein to the Board, Trust and Nominating Committee shall be construed as a reference to each Trust or Board or Nominating Committee thereof, as applicable.

The Nominating Committee is a committee of the Board created to assist the Board in fulfilling its duty to fill vacancies in the Board. The Nominating Committee of the Board is responsible for evaluating and recommending the nomination of candidates for election as independent trustees of the Trust.

The scope of the Nominating Committee’s responsibilities and its structure, process and membership requirements are set forth in this charter (the “Charter”).

Organization

The membership of the Nominating Committee shall consist entirely of those trustees who are not “interested persons,” within the meaning of the Investment Company Act of 1940, as amended (“Independent Trustees”), of the Trust; however, the Nominating Committee need not be comprised of all of the Independent Trustees.

The Nominating Committee may designate one or more members to serve as Chair or Co-Chair of the Nominating Committee, as the case may be, but need not make such a designation.

The Nominating Committee shall report to the Board of Trustees as to the results of its meetings and activities.

Authority and Responsibilities

The Nominating Committee, in discharging its responsibilities under this Charter, may, in addition to other actions it deems appropriate, consider taking one or more of the actions described below:

1. To make nominations for Independent Trustee membership on the Board. A potential nominee must have a college degree or equivalent business experience. The Nominating Committee may take into account a wide variety of factors in considering potential nominees, including (but not limited to): (i) availability and commitment of a candidate to attend meetings and perform his or her responsibilities on the Board, (ii) relevant industry and related experience, (iii) educational background, (iv) financial expertise, (v) ability, judgment and expertise and (vi) overall diversity of the Board’s composition.

2 When identifying potential nominees for a Board, the Nominating Committee may consider candidates recommended by the following sources: (i) a Trust’s current Trustees; (ii) the Trust’s officers; (iii) the Trust’s investment adviser, sub-advisers or administrator; (iv) shareholders of the Trust (see below); or (v) any other source the Nominating Committee deems to be appropriate. The Nominating Committee may, but is not required to, retain a third party search firm at the applicable Trust’s expense to identify potential candidates.

3. To consider nominee candidates properly submitted in accordance with Appendix A by shareholders of the Trust on the same basis as it considers and evaluates candidates recommended by other sources.

4. To review Nominating Committee Chair or Co-Chair assignments and Nominating Committee assignments periodically.

5. To consider the structure, operations and effectiveness of the Nominating Committee and review this Charter periodically.

6. To meet as frequently and at such times as circumstances dictate.

7. To hire (and compensate) from time to time independent counsel and any other expert deemed necessary by the Nominating Committee to perform its duties.

The Nominating Committee shall have the resources to discharge all of its responsibilities, including but not limited to the authority to select, retain, terminate and approve the fees and other retention terms of special or independent counsel or any other advisers determined to be necessary or appropriate without seeking approval of management of the Trust. Costs incurred by the Nominating Committee in performing its functions under this Charter shall be borne by the Trust.

Adopted by State Street Institutional Investment Trust

Board of Trustees on September 19, 2013

Adopted by State Street Master Funds

Board of Trustees on September 19, 2013

Appendix A

Procedures for Shareholders to Submit Nominee Candidates

(As of September 19, 2013)

A shareholder of the Trust, or of any series thereof, if applicable, must follow the following procedures in order to submit properly a nominee recommendation for the Nominating Committee’s consideration.

1. The shareholder must submit any such recommendation (a “Shareholder Recommendation”) in writing to the Trust, to the attention of the Trust’s Secretary, at the address of the principal executive offices of the Trust.

2. The Shareholder Recommendation must be delivered to, or mailed and received at, the principal executive offices of the Trust not less than sixty (60) calendar days nor more than ninety (90) calendar days prior to the date of the Board or shareholder meeting at which the nominee candidate would be considered for election. Shareholder Recommendations will be kept on file for two years after receipt of the Shareholder Recommendation. A Shareholder Recommendation considered by the Nominating Committee in connection with the Nominating Committee’s nomination of any candidate(s) for appointment or election as an independent Trustee need not be considered again by the Nominating Committee in connection with any subsequent nomination(s).

3. The Shareholder Recommendation must include: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person recommended by the shareholder (the “candidate”), and the names and addresses of at least three professional references; (B) the number of all shares of the Trust (including the series and class, if applicable) owned of record or beneficially by the candidate, the date such shares were acquired and the investment intent of such acquisition(s), as reported to such shareholder by the candidate; (C) any other information regarding the candidate called for with respect to director nominees by paragraphs (a), (d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), adopted by the Securities and Exchange Commission (or the corresponding provisions of any applicable regulation or rule subsequently adopted by the Securities and Exchange Commission or any successor agency with jurisdiction related to the Trust); (D) any other information regarding the candidate that would be required to be disclosed if the candidate were a nominee in a proxy statement or other filing required to be made in connection with solicitation of proxies for election of directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder or any other applicable law or regulation; and (E) whether the recommending shareholder believes that the candidate is or will be an “interested person” of the Trust (as defined in the Investment Company Act of 1940, as amended) and, if not an “interested person,” information regarding the candidate that will be sufficient, in the discretion of the Board or the Nominating Committee, for the Trust to make such determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee if elected; (iii) the recommending shareholder’s name as it appears on the Trust’s books; (iv) the number of all shares of the Trust (including the series and class, if applicable) owned beneficially and of record by the recommending shareholder; (v) a complete description of all arrangements or understandings between the recommending shareholder and the candidate and any other person or persons (including their names) pursuant to which the recommendation is being made by the recommending shareholder including, without limitation, all direct and indirect compensation and other material monetary agreements, arrangements and understandings between the candidate and recommending shareholder during the past three years, and (vi) a brief description of the candidate’s relevant background and experience for membership on the Board, such as qualification as an audit committee financial expert.

4. The Nominating Committee may require the recommending shareholder to furnish such other information as it may reasonably require or deem necessary to verify any information furnished pursuant to paragraph 3 above or to determine the eligibility of the candidate to serve as a Trustee of the Trust or to satisfy applicable law. If the recommending shareholder fails to provide such other information in writing within seven days of receipt of a written request from the Nominating Committee, the recommendation of such candidate as a nominee will be deemed not properly submitted for consideration, and the Nominating Committee will not be required to consider such candidate.

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 this 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 and accounting 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 and accounting 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 are attached hereto.

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/ Ellen M. Needham
	Ellen M. Needham
	President
Date:	April 8, 2014

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/ Ellen M. Needham
	Ellen M. Needham
	President (Principal Executive Officer)
Date:	April 8, 2014
By:	/s/ Laura Dell
	Laura Dell
	Treasurer (Principal Financial and Accounting Officer)
Date:	April 8, 2014