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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-09599

STATE STREET MASTER FUNDS

(Exact name of registrant as specified in charter)

One Lincoln Street, Boston, Massachusetts 02111

(Address of principal executive offices)(Zip code)


(Name and Address of Agent for Service)		Copy to:

Joshua A. Weinberg, Esq. Managing Director and Managing Counsel SSGA Funds Management, Inc. One Lincoln Street Boston, Massachusetts 02111		Timothy W. Diggins, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02110-2624

Registrant’s telephone number, including area code: (617) 664-7037

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

Item 1. Reports to Shareholders.

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street Equity 500 Index Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Equity 500 Index Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			9

Statement of Operations			10

Statements of Changes in Net Assets			11

Financial Highlights			12

Notes to Financial Statements			13

Other Information			21

State Street Master Funds

State Street Equity 500 Index Portfolio

Portfolio Statistics (Unaudited)


Portfolio Composition*	June 30, 2017
Common Stocks	98.2	%
Short-Term Investments	1.8
Other Assets in Excess of Liabilities	0.0	*
Total	100.0	%

*	Less than 0.05% of net assets.


Top Five Sectors (excluding short-term investments)*	June 30, 2017
Information Technology	21.8	%
Financials	14.3
Health Care	14.2
Consumer Discretionary	12.1
Industrials	10.1
Total	72.5	%

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

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – 98.2%
Consumer Discretionary – 12.1%
Advance Auto Parts, Inc.		5,500	$	641,245
Amazon.com, Inc.^(a)		29,102		28,170,736
AutoNation, Inc.^(a)		4,769		201,061
AutoZone, Inc.^(a)		2,188		1,248,167
Bed Bath & Beyond, Inc.		11,530		350,512
Best Buy Co., Inc.		19,913		1,141,612
BorgWarner, Inc.		13,223		560,126
CarMax, Inc.^(a)		13,197		832,203
Carnival Corp.		29,749		1,950,642
CBS Corp. Class B		28,293		1,804,528
Charter Communications, Inc. Class A^(a)		15,800		5,322,230
Chipotle Mexican Grill, Inc.^(a)		2,214		921,245
Coach, Inc.		19,000		899,460
Comcast Corp. Class A		349,530		13,603,708
D.R. Horton, Inc.		26,179		905,008
Darden Restaurants, Inc.		9,917		896,893
Delphi Automotive PLC		20,081		1,760,100
Discovery Communications, Inc. Class A^(a)		12,597		325,381
Discovery Communications, Inc. Class C^(a)		13,397		337,738
DISH Network Corp. Class A^(a)		17,000		1,066,920
Dollar General Corp.		19,287		1,390,400
Dollar Tree, Inc.^(a)		17,482		1,222,341
Expedia, Inc.		9,323		1,388,661
Foot Locker, Inc.		10,100		497,728
Ford Motor Co.		281,260		3,147,299
Gap, Inc.		15,364		337,854
Garmin, Ltd.		9,160		467,435
General Motors Co.		99,577		3,478,225
Genuine Parts Co.		10,920		1,012,939
Goodyear Tire & Rubber Co.		19,613		685,670
H&R Block, Inc.		16,351		505,409
Hanesbrands, Inc.		30,400		704,064
Harley-Davidson, Inc.		12,385		669,038
Hasbro, Inc.		7,628		850,598
Hilton Worldwide Holdings, Inc.		16,200		1,001,970
Home Depot, Inc.		87,510		13,424,034
Interpublic Group of Cos., Inc.		31,928		785,429
Kohl’s Corp.		12,388		479,044
L Brands, Inc.		17,746		956,332
Leggett & Platt, Inc.		9,844		517,105
Lennar Corp. Class A		15,425		822,461
LKQ Corp.^(a)		20,800		685,360
Lowe’s Cos., Inc.		63,412		4,916,332
Macy’s, Inc.		24,361		566,150
Marriott International, Inc. Class A		22,652		2,272,222
Mattel, Inc.		27,743		597,307
McDonald’s Corp.		59,815		9,161,265
Michael Kors Holdings, Ltd.^(a)		11,686		423,618
Mohawk Industries, Inc.^(a)		4,569		1,104,282
Netflix, Inc.^(a)		31,196		4,660,994
Newell Brands, Inc.		34,450		1,847,209
News Corp. Class A		28,814		394,752
News Corp. Class B		7,500		106,125
NIKE, Inc. Class B		97,602		5,758,518
Nordstrom, Inc.^(b)		7,756		370,969
O’Reilly Automotive, Inc.^(a)		6,520		1,426,185
Omnicom Group, Inc.		17,450		1,446,605
Priceline Group, Inc.^(a)		3,608		6,748,836
PulteGroup, Inc.		22,543		552,980
PVH Corp.		6,051		692,840
Ralph Lauren Corp.		4,136		305,237
Ross Stores, Inc.		29,844		1,722,894
Royal Caribbean Cruises, Ltd.		12,800		1,398,144
Scripps Networks Interactive, Inc. Class A		6,863		468,812
Signet Jewelers, Ltd.		5,100		322,524
Staples, Inc.		40,834		411,198
Starbucks Corp.		106,192		6,192,056
Target Corp.		41,944		2,193,252
Tiffany & Co.		8,481		796,111
Time Warner, Inc.		56,380		5,661,116
TJX Cos., Inc.		46,275		3,339,667
Tractor Supply Co.		9,774		529,849
TripAdvisor, Inc.^(a)		9,015		344,373
Twenty-First Century Fox, Inc. Class A		77,109		2,185,269
Twenty-First Century Fox, Inc. Class B		34,400		958,728
Ulta Salon Cosmetics & Fragrance, Inc.^(a)		4,400		1,264,296
Under Armour, Inc. Class A^(a)^(b)		14,376		312,822
Under Armour, Inc. Class C^(a)		14,478		291,876
VF Corp.		24,428		1,407,053
Viacom, Inc. Class B		24,341		817,127
Walt Disney Co.		107,393		11,410,506
Whirlpool Corp.		5,659		1,084,378
Wyndham Worldwide Corp.		7,746		777,776
Wynn Resorts, Ltd.		5,859		785,809
Yum! Brands, Inc.		23,890		1,762,126

				187,759,099

Consumer Staples – 8.9%
Altria Group, Inc.		141,970		10,572,506
Archer-Daniels-Midland Co.		43,692		1,807,975
Brown-Forman Corp. Class B		12,022		584,269
Campbell Soup Co.		14,083		734,428
Church & Dwight Co., Inc.		17,800		923,464
Clorox Co.		9,479		1,262,982
Coca-Cola Co.		281,222		12,612,807
Colgate-Palmolive Co.		64,579		4,787,241
Conagra Brands, Inc.		30,951		1,106,808
Constellation Brands, Inc. Class A		12,276		2,378,229
Costco Wholesale Corp.		31,934		5,107,205
Coty, Inc. Class A		37,840		709,878
CVS Health Corp.		74,727		6,012,534
Dr. Pepper Snapple Group, Inc.		13,903		1,266,702
Estee Lauder Cos., Inc. Class A		16,363		1,570,521
General Mills, Inc.		43,222		2,394,499
Hershey Co.		10,415		1,118,259
Hormel Foods Corp.		21,098		719,653
J.M. Smucker Co.		8,855		1,047,812
Kellogg Co.		19,607		1,361,902

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Consumer Staples – (continued)
Kimberly-Clark Corp.		26,273	$	3,392,107
Kraft Heinz Co.		43,451		3,721,144
Kroger Co.		70,410		1,641,961
McCormick & Co., Inc.		8,061		786,028
Molson Coors Brewing Co. Class B		13,609		1,175,001
Mondelez International, Inc. Class A		112,194		4,845,659
Monster Beverage Corp.^(a)		30,087		1,494,722
PepsiCo, Inc.		104,538		12,073,094
Philip Morris International, Inc.		113,687		13,352,538
Procter & Gamble Co.		187,213		16,315,613
Reynolds American, Inc.		59,792		3,888,872
Sysco Corp.		35,635		1,793,510
Tyson Foods, Inc. Class A		21,491		1,345,981
Wal-Mart Stores, Inc.		107,699		8,150,660
Walgreens Boots Alliance, Inc.		62,413		4,887,562
Whole Foods Market, Inc.		23,087		972,194

				137,916,320

Energy – 5.9%
Anadarko Petroleum Corp.		41,744		1,892,673
Apache Corp.		29,270		1,402,911
Baker Hughes, Inc.		30,594		1,667,679
Cabot Oil & Gas Corp.		33,722		845,748
Chesapeake Energy Corp.^(a)		45,894		228,093
Chevron Corp.		139,934		14,599,314
Cimarex Energy Co.		6,942		652,617
Concho Resources, Inc.^(a)		11,100		1,348,983
ConocoPhillips		89,503		3,934,552
Devon Energy Corp.		38,850		1,242,034
EOG Resources, Inc.		43,263		3,916,167
EQT Corp.		12,543		734,894
Exxon Mobil Corp.		310,872		25,096,697
Halliburton Co.		62,267		2,659,424
Helmerich & Payne, Inc.		7,974		433,307
Hess Corp.		20,244		888,104
Kinder Morgan, Inc.		140,676		2,695,352
Marathon Oil Corp.		65,189		772,490
Marathon Petroleum Corp.		39,302		2,056,674
Murphy Oil Corp.		11,662		298,897
National Oilwell Varco, Inc.		26,341		867,673
Newfield Exploration Co.^(a)		15,685		446,395
Noble Energy, Inc.		32,895		930,928
Occidental Petroleum Corp.		57,235		3,426,659
ONEOK, Inc.		27,904		1,455,473
Phillips 66		33,092		2,736,377
Pioneer Natural Resources Co.		12,724		2,030,496
Range Resources Corp.		14,541		336,915
Schlumberger, Ltd.		101,793		6,702,051
TechnipFMC PLC^(a)		36,209		984,885
Tesoro Corp.		11,949		1,118,426
Transocean, Ltd.^(a)		27,890		229,535
Valero Energy Corp.		32,486		2,191,506
Williams Cos., Inc.		62,910		1,904,915

				92,728,844

Financials – 14.3%
Affiliated Managers Group, Inc.		4,276		709,217
Aflac, Inc.		28,237		2,193,450
Allstate Corp.		26,167		2,314,209
American Express Co.		55,552		4,679,701
American International Group, Inc.		63,532		3,972,021
Ameriprise Financial, Inc.		11,663		1,484,583
Aon PLC		19,582		2,603,427
Arthur J Gallagher & Co.		12,000		687,000
Assurant, Inc.		3,946		409,161
Bank of America Corp.		728,866		17,682,289
Bank of New York Mellon Corp.		75,791		3,866,857
BB&T Corp.		60,639		2,753,617
Berkshire Hathaway, Inc. Class B^(a)		139,619		23,647,270
BlackRock, Inc.		8,918		3,767,052
Capital One Financial Corp.		36,068		2,979,938
CBOE Holdings, Inc.		6,800		621,520
Charles Schwab Corp.		90,989		3,908,887
Chubb, Ltd.		33,741		4,905,267
Cincinnati Financial Corp.		11,705		848,027
Citigroup, Inc.		201,393		13,469,164
Citizens Financial Group, Inc.		38,900		1,387,952
CME Group, Inc.		24,392		3,054,854
Comerica, Inc.		13,017		953,365
Discover Financial Services		27,677		1,721,233
E*TRADE Financial Corp.^(a)		20,489		779,197
Everest Re Group, Ltd.		3,300		840,147
Fifth Third Bancorp		57,554		1,494,102
Franklin Resources, Inc.		26,151		1,171,303
Goldman Sachs Group, Inc.		26,988		5,988,637
Hartford Financial Services Group, Inc.		27,930		1,468,280
Huntington Bancshares, Inc.		75,965		1,027,047
Intercontinental Exchange, Inc.		44,625		2,941,680
Invesco, Ltd.		28,289		995,490
JPMorgan Chase & Co.		260,472		23,807,141
KeyCorp		82,179		1,540,034
Leucadia National Corp.		23,809		622,843
Lincoln National Corp.		16,710		1,129,262
Loews Corp.		20,312		950,805
M&T Bank Corp.		10,834		1,754,566
Marsh & McLennan Cos., Inc.		37,434		2,918,355
MetLife, Inc.		80,626		4,429,592
Moody’s Corp.		12,234		1,488,633
Morgan Stanley		104,255		4,645,603
Nasdaq, Inc.		9,225		659,495
Navient Corp.		16,541		275,408
Northern Trust Corp.		16,510		1,604,937
People’s United Financial, Inc.		22,434		396,184
PNC Financial Services Group, Inc.		35,142		4,388,182
Principal Financial Group, Inc.		20,726		1,327,915
Progressive Corp.		44,152		1,946,662
Prudential Financial, Inc.		32,137		3,475,295
Raymond James Financial, Inc.		9,600		770,112
Regions Financial Corp.		86,943		1,272,846

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Financials – (continued)
S&P Global, Inc.		18,798	$	2,744,320
State Street Corp.^(c)		25,847		2,319,251
SunTrust Banks, Inc.		34,882		1,978,507
Synchrony Financial		55,271		1,648,181
T Rowe Price Group, Inc.		18,520		1,374,369
Torchmark Corp.		8,384		641,376
Travelers Cos., Inc.		20,598		2,606,265
Unum Group		17,324		807,818
US Bancorp		116,830		6,065,814
Wells Fargo & Co.		330,646		18,321,095
Willis Towers Watson PLC		9,479		1,378,815
XL Group, Ltd.		20,520		898,776
Zions Bancorp		15,258		669,979

				222,184,380

Health Care – 14.2%
Abbott Laboratories		125,749		6,112,659
AbbVie, Inc.		116,363		8,437,481
Aetna, Inc.		23,915		3,631,014
Agilent Technologies, Inc.		22,475		1,332,992
Alexion Pharmaceuticals, Inc.^(a)		15,927		1,937,838
Align Technology, Inc.^(a)		6,100		915,732
Allergan PLC		24,426		5,937,716
AmerisourceBergen Corp.		12,552		1,186,541
Amgen, Inc.		53,791		9,264,424
Anthem, Inc.		19,319		3,634,483
Baxter International, Inc.		36,370		2,201,840
Becton Dickinson and Co.		16,604		3,239,606
Biogen, Inc.^(a)		15,747		4,273,106
Boston Scientific Corp.^(a)		101,577		2,815,714
Bristol-Myers Squibb Co.		119,812		6,675,925
C.R. Bard, Inc.		5,462		1,726,593
Cardinal Health, Inc.		23,924		1,864,158
Celgene Corp.^(a)		56,765		7,372,071
Centene Corp.^(a)		13,500		1,078,380
Cerner Corp.^(a)		22,263		1,479,822
Cigna Corp.		19,211		3,215,729
Cooper Cos., Inc.		3,900		933,738
Danaher Corp.		45,578		3,846,327
DaVita, Inc.^(a)		11,472		742,927
DENTSPLY SIRONA, Inc.		17,366		1,126,011
Edwards Lifesciences Corp.^(a)		15,790		1,867,010
Eli Lilly & Co.		71,257		5,864,451
Envision Healthcare Corp.^(a)		9,118		571,425
Express Scripts Holding Co.^(a)		43,847		2,799,192
Gilead Sciences, Inc.		96,446		6,826,448
HCA Healthcare, Inc.^(a)		20,400		1,778,880
Henry Schein, Inc.^(a)		5,500		1,006,610
Hologic, Inc.^(a)		22,100		1,002,898
Humana, Inc.		10,817		2,602,787
IDEXX Laboratories, Inc.^(a)		6,100		984,662
Illumina, Inc.^(a)		10,900		1,891,368
Incyte Corp.^(a)		11,900		1,498,329
Intuitive Surgical, Inc.^(a)		2,652		2,480,601
Johnson & Johnson		197,641		26,145,928
Laboratory Corp. of America Holdings^(a)		7,447		1,147,881
Mallinckrodt PLC^(a)		8,200		367,442
McKesson Corp.		15,831		2,604,833
Medtronic PLC		99,804		8,857,605
Merck & Co., Inc.		199,998		12,817,872
Mettler-Toledo International, Inc.^(a)		1,800		1,059,372
Mylan NV^(a)		33,907		1,316,270
Patterson Cos., Inc.		6,459		303,250
PerkinElmer, Inc.		7,032		479,160
Perrigo Co. PLC		9,814		741,153
Pfizer, Inc.		439,948		14,777,853
Quest Diagnostics, Inc.		10,158		1,129,163
Regeneron Pharmaceuticals, Inc.^(a)		5,658		2,778,870
Stryker Corp.		22,395		3,107,978
Thermo Fisher Scientific, Inc.		28,612		4,991,936
UnitedHealth Group, Inc.		70,322		13,039,105
Universal Health Services, Inc. Class B		6,800		830,144
Varian Medical Systems, Inc.^(a)		7,531		777,124
Vertex Pharmaceuticals, Inc.^(a)		18,348		2,364,507
Waters Corp.^(a)		6,215		1,142,566
Zimmer Biomet Holdings, Inc.		14,827		1,903,787
Zoetis, Inc.		36,628		2,284,855

				221,126,142

Industrials – 10.1%
3M Co.		43,543		9,065,217
Acuity Brands, Inc.		3,000		609,840
Alaska Air Group, Inc.		9,000		807,840
Allegion PLC		7,537		611,401
American Airlines Group, Inc.		34,700		1,746,104
AMETEK, Inc.		15,701		951,010
Arconic, Inc.		33,663		762,467
Boeing Co.		40,924		8,092,721
C.H. Robinson Worldwide, Inc.		9,582		658,092
Caterpillar, Inc.		42,455		4,562,214
Cintas Corp.		6,922		872,449
CSX Corp.		68,559		3,740,579
Cummins, Inc.		11,744		1,905,112
Deere & Co.		21,754		2,688,577
Delta Air Lines, Inc.		53,666		2,884,011
Dover Corp.		12,345		990,316
Eaton Corp. PLC		32,399		2,521,614
Emerson Electric Co.		48,769		2,907,608
Equifax, Inc.		8,395		1,153,641
Expeditors International of Washington, Inc.		14,444		815,797
Fastenal Co.		20,242		881,134
FedEx Corp.		17,950		3,901,073
Flowserve Corp.		9,555		443,639
Fluor Corp.		10,956		501,566
Fortive Corp.		22,139		1,402,506
Fortune Brands Home & Security, Inc.		10,100		658,924
General Dynamics Corp.		20,589		4,078,681
General Electric Co.		639,149		17,263,414
Honeywell International, Inc.		55,903		7,451,311
IHS Markit, Ltd.^(a)		23,400		1,030,536
Illinois Tool Works, Inc.		23,071		3,304,921
Ingersoll-Rand PLC		19,016		1,737,872
Jacobs Engineering Group, Inc.		9,657		525,244

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Industrials – (continued)
JB Hunt Transport Services, Inc.		7,000	$	639,660
Johnson Controls International PLC		68,593		2,974,192
Kansas City Southern		8,604		900,409
L3 Technologies, Inc.		5,365		896,384
Lockheed Martin Corp.		18,390		5,105,248
Masco Corp.		21,639		826,826
Nielsen Holdings PLC		23,375		903,678
Norfolk Southern Corp.		20,768		2,527,466
Northrop Grumman Corp.		12,586		3,230,952
PACCAR, Inc.		26,035		1,719,351
Parker-Hannifin Corp.		10,114		1,616,419
Pentair PLC		11,791		784,573
Quanta Services, Inc.^(a)		11,593		381,642
Raytheon Co.		20,936		3,380,745
Republic Services, Inc.		15,814		1,007,826
Robert Half International, Inc.		9,374		449,296
Rockwell Automation, Inc.		9,379		1,519,023
Rockwell Collins, Inc.		12,100		1,271,468
Roper Technologies, Inc.		7,535		1,744,579
Snap-on, Inc.		4,572		722,376
Southwest Airlines Co.		44,027		2,735,838
Stanley Black & Decker, Inc.		11,650		1,639,504
Stericycle, Inc.^(a)		6,604		504,017
Textron, Inc.		20,506		965,833
TransDigm Group, Inc.		3,400		914,158
Union Pacific Corp.		60,038		6,538,739
United Continental Holdings, Inc.^(a)		20,100		1,512,525
United Parcel Service, Inc. Class B		50,155		5,546,641
United Rentals, Inc.^(a)		6,100		687,531
United Technologies Corp.		54,627		6,670,503
Verisk Analytics, Inc.^(a)		12,100		1,020,877
W.W. Grainger, Inc.		4,012		724,286
Waste Management, Inc.		30,604		2,244,803
Xylem, Inc.		14,134		783,448

				156,618,247

Information Technology – 21.8%
Accenture PLC Class A		45,282		5,600,478
Activision Blizzard, Inc.		50,900		2,930,313
Adobe Systems, Inc.^(a)		36,013		5,093,679
Advanced Micro Devices, Inc.^(a)		57,800		721,344
Akamai Technologies, Inc.^(a)		12,634		629,299
Alliance Data Systems Corp.		4,204		1,079,125
Alphabet, Inc. Class A^(a)		21,823		20,288,407
Alphabet, Inc. Class C^(a)		21,845		19,851,207
Amphenol Corp. Class A		22,880		1,689,002
Analog Devices, Inc.		25,870		2,012,686
ANSYS, Inc.^(a)		6,900		839,592
Apple, Inc.		383,064		55,168,877
Applied Materials, Inc.		80,753		3,335,906
Autodesk, Inc.^(a)		14,370		1,448,783
Automatic Data Processing, Inc.		32,165		3,295,626
Broadcom, Ltd.		29,235		6,813,217
CA, Inc.		24,759		853,443
Cars.com, Inc.^(a)		1		27
Cisco Systems, Inc.		366,929		11,484,878
Citrix Systems, Inc.^(a)		11,478		913,419
Cognizant Technology Solutions Corp. Class A		42,227		2,803,873
Corning, Inc.		66,550		1,999,827
CSRA, Inc.		9,732		308,991
DXC Technology Co.		21,191		1,625,773
eBay, Inc.^(a)		75,358		2,631,501
Electronic Arts, Inc.^(a)		23,121		2,444,352
F5 Networks, Inc.^(a)		5,059		642,796
Facebook, Inc. Class A^(a)		174,307		26,316,871
Fidelity National Information Services, Inc.		24,386		2,082,564
Fiserv, Inc.^(a)		15,142		1,852,472
FLIR Systems, Inc.		11,839		410,340
Gartner, Inc.^(a)		6,700		827,517
Global Payments, Inc.		11,275		1,018,358
Harris Corp.		8,598		937,870
Hewlett Packard Enterprise Co.		124,463		2,064,841
HP, Inc.		120,363		2,103,945
Intel Corp.		346,520		11,691,585
International Business Machines Corp.		63,347		9,744,669
Intuit, Inc.		17,326		2,301,066
Juniper Networks, Inc.		27,844		776,291
KLA-Tencor Corp.		11,473		1,049,894
Lam Research Corp.		11,581		1,637,901
Mastercard, Inc. Class A		69,649		8,458,871
Microchip Technology, Inc.		16,206		1,250,779
Micron Technology, Inc.^(a)		74,428		2,222,420
Microsoft Corp.		568,677		39,198,906
Motorola Solutions, Inc.		12,428		1,078,005
NetApp, Inc.		19,943		798,717
NVIDIA Corp.		43,912		6,347,919
Oracle Corp.		220,970		11,079,436
Paychex, Inc.		23,831		1,356,937
PayPal Holdings, Inc.^(a)		80,758		4,334,282
Qorvo, Inc.^(a)		9,800		620,536
QUALCOMM, Inc.		108,385		5,985,020
Red Hat, Inc.^(a)		12,530		1,199,747
salesforce.com, Inc.^(a)		49,005		4,243,833
Seagate Technology PLC		22,976		890,320
Skyworks Solutions, Inc.		13,600		1,304,920
Symantec Corp.		45,903		1,296,760
Synopsys, Inc.^(a)		11,300		824,109
TE Connectivity, Ltd.		26,449		2,081,007
Texas Instruments, Inc.		73,306		5,639,431
Total System Services, Inc.		13,399		780,492
VeriSign, Inc.^(a)		6,920		643,283
Visa, Inc. Class A		135,040		12,664,051
Western Digital Corp.		21,706		1,923,152
Western Union Co.		37,340		711,327
Xerox Corp.		15,823		454,595
Xilinx, Inc.		18,542		1,192,621

				339,904,081

Materials – 2.8%
Air Products & Chemicals, Inc.		16,207		2,318,573
Albemarle Corp.		8,400		886,536
Avery Dennison Corp.		6,518		575,996

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Materials – (continued)
Ball Corp.		25,716	$	1,085,472
CF Industries Holdings, Inc.		16,730		467,771
Dow Chemical Co.		81,690		5,152,188
E.I. du Pont de Nemours & Co.		63,294		5,108,459
Eastman Chemical Co.		10,672		896,341
Ecolab, Inc.		18,665		2,477,779
FMC Corp.		10,522		768,632
Freeport-McMoRan, Inc.^(a)		99,564		1,195,764
International Flavors & Fragrances, Inc.		5,880		793,800
International Paper Co.		30,508		1,727,058
LyondellBasell Industries NV Class A		24,252		2,046,626
Martin Marietta Materials, Inc.		4,855		1,080,626
Monsanto Co.		32,794		3,881,498
Mosaic Co.		27,716		632,756
Newmont Mining Corp.		36,973		1,197,555
Nucor Corp.		24,606		1,423,949
PPG Industries, Inc.		18,988		2,087,921
Praxair, Inc.		20,800		2,757,040
Sealed Air Corp.		15,169		678,964
Sherwin-Williams Co.		6,087		2,136,294
Vulcan Materials Co.		9,790		1,240,197
WestRock Co.		19,148		1,084,926

				43,702,721

Real Estate – 2.9%
Alexandria Real Estate Equities, Inc. REIT		6,700		807,149
American Tower Corp. REIT		31,882		4,218,626
Apartment Investment & Management Co. Class A REIT		11,865		509,839
AvalonBay Communities, Inc. REIT		9,729		1,869,622
Boston Properties, Inc. REIT		11,421		1,405,011
CBRE Group, Inc. Class A^(a)		21,708		790,171
Crown Castle International Corp. REIT		26,842		2,689,032
Digital Realty Trust, Inc. REIT		12,000		1,355,400
Equinix, Inc. REIT		5,738		2,462,520
Equity Residential REIT		27,038		1,779,912
Essex Property Trust, Inc. REIT		5,055		1,300,500
Extra Space Storage, Inc. REIT		9,500		741,000
Federal Realty Investment Trust REIT		5,400		682,506
GGP, Inc. REIT		42,942		1,011,713
HCP, Inc. REIT		32,677		1,044,357
Host Hotels & Resorts, Inc. REIT		54,259		991,312
Iron Mountain, Inc. REIT		18,074		621,023
Kimco Realty Corp. REIT		32,916		604,009
Macerich Co. REIT		8,645		501,929
Mid-America Apartment Communities, Inc. REIT		8,800		927,344
Prologis, Inc. REIT		39,347		2,307,308
Public Storage REIT		11,152		2,325,527
Realty Income Corp. REIT		19,800		1,092,564
Regency Centers Corp. REIT		10,899		682,713
Simon Property Group, Inc. REIT		22,535		3,645,262
SL Green Realty Corp. REIT		8,000		846,400
UDR, Inc. REIT		20,100		783,297
Ventas, Inc. REIT		26,803		1,862,272
Vornado Realty Trust REIT		13,046		1,225,019
Welltower, Inc. REIT		26,881		2,012,043
Weyerhaeuser Co. REIT		55,198		1,849,133

				44,944,513

Telecommunication Services – 2.1%
AT&T, Inc.		453,318		17,103,688
CenturyLink, Inc.		37,273		890,079
Level 3 Communications, Inc.^(a)		21,500		1,274,950
Verizon Communications, Inc.		301,251		13,453,870

				32,722,587

Utilities – 3.1%
AES Corp.		49,859		553,933
Alliant Energy Corp.		18,500		743,145
Ameren Corp.		18,956		1,036,325
American Electric Power Co., Inc.		35,743		2,483,066
American Water Works Co., Inc.		12,300		958,785
CenterPoint Energy, Inc.		33,235		909,974
CMS Energy Corp.		22,101		1,022,171
Consolidated Edison, Inc.		21,500		1,737,630
Dominion Energy, Inc.		46,968		3,599,158
DTE Energy Co.		13,239		1,400,554
Duke Energy Corp.		51,591		4,312,492
Edison International		24,205		1,892,589
Entergy Corp.		12,200		936,594
Eversource Energy		22,043		1,338,231
Exelon Corp.		69,359		2,501,779
FirstEnergy Corp.		32,229		939,798
NextEra Energy, Inc.		33,957		4,758,394
NiSource, Inc.		23,078		585,258
NRG Energy, Inc.		22,498		387,416
PG&E Corp.		37,712		2,502,945
Pinnacle West Capital Corp.		8,756		745,661
PPL Corp.		50,456		1,950,629
Public Service Enterprise Group, Inc.		37,536		1,614,423
SCANA Corp.		11,501		770,682
Sempra Energy		18,924		2,133,681
Southern Co.		73,384		3,513,626
WEC Energy Group, Inc.		23,287		1,429,356
Xcel Energy, Inc.		37,600		1,725,088

				48,483,383

TOTAL COMMON STOCKS (Cost $504,961,064)				1,528,090,317

SHORT-TERM INVESTMENTS – 1.8%
MONEY MARKET FUNDS – 1.6%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%^(d)(e)		23,982,498		23,982,498
State Street Navigator Securities Lending Government Money Market Portfolio^(d)(f)		334,739		334,739

				24,317,237

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
U.S. GOVERNMENT SECURITY – 0.2%
U.S. Treasury Bill 0.69%^(g)(h)		3,860,000	$	3,857,576

TOTAL SHORT-TERM INVESTMENTS (Cost $28,174,813)				28,174,813

TOTAL INVESTMENTS – 100.0% (Cost $533,135,877)				1,556,265,130
Other Assets in Excess of Liabilities – 0.0%⁽ⁱ⁾				251,850

NET ASSETS – 100.0%			$	1,556,516,980

(a)	Non-income producing security.

(b)	All or a portion of the shares of the security are on loan at June 30, 2017.

(c)	The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below.

(d)	The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below.

(e)	The rate shown is the annualized seven-day yield at June 30, 2017.

(f)	Investment of cash collateral for securities loaned.

(g)	All or part of this security has been designated as collateral for futures contracts.

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

(i)	Amount is less than 0.05% of net assets.


REIT		Real Estate Investment Trust

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.


Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
Assets:
Investments:
Common Stocks
Consumer Discretionary	$	187,759,099		$	–	$	–	$	187,759,099
Consumer Staples		137,916,320			–		–		137,916,320
Energy		92,728,844			–		–		92,728,844
Financials		222,184,380			–		–		222,184,380
Health Care		221,126,142			–		–		221,126,142
Industrials		156,618,247			–		–		156,618,247
Information Technology		339,904,081			–		–		339,904,081
Materials		43,702,721			–		–		43,702,721
Real Estate		44,944,513			–		–		44,944,513
Telecommunication Services		32,722,587			–		–		32,722,587
Utilities		48,483,383			–		–		48,483,383
Short-Term Investments
Money Market Funds		24,317,237			–		–		24,317,237
U.S. Government Security		–			3,857,576		–		3,857,576

Total Investments	$	1,552,407,554		$	3,857,576	$	–	$	1,556,265,130

Liabilities:
Other Financial Instruments:
Futures Contracts^(a)	$	(118,234	)	$	–	$	–	$	(118,234	)

Total Investments and Other Financial Instruments	$	1,552,289,320		$	3,857,576	$	–	$	1,556,146,896

^(a)	Futures Contracts are valued at unrealized appreciation (depreciation).

At June 30, 2017, open futures contracts purchased were as follows:


Futures Contracts	Expiration Date		Number of Contracts		Notional Value		Unrealized Depreciation
E-Mini S&P 500 Index (long)		09/15/2017		252	$	30,503,340	$	(118,234	)

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

During the period ended June 30, 2017, average notional value related to futures contracts was $28,337,908 or 2% of net assets.

Affiliate Table


	Number of shares held at 12/31/16		Value at 12/31/16		Shares purchased		Shares sold		Number of shares held at 6/30/17		Value at 6/30/17		Dividend income		Realized gain (loss)
State Street Corp.		27,747	$	2,156,497		–		151,033		25,847	$	2,319,251	$	20,366	$	43,261
State Street Institutional U.S. Government Money Market Fund, Class G Shares		–		–		37,747,576		13,765,078		23,982,498		23,982,498		26,359		–
State Street Institutional U.S. Government Money Market Fund, Premier Class		18,425,570		18,425,570		78,281,942		96,707,512		–		–		42,426		–
State Street Navigator Securities Lending Government Money Market Portfolio		–		–		17,233,135		16,898,396		334,739		334,739		3,809		–

TOTAL			$	20,582,067							$	26,636,488	$	92,960	$	43,261

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in unaffiliated issuers, at value* (Note 2)	$	1,529,628,642
Investments in affiliated issuers, at value (Note 2)		26,636,488

Total investments		1,556,265,130
Cash		1,188
Receivable from broker – variation margin on open futures contracts		11,339
Dividends receivable – unaffiliated issuers (Note 2)		1,514,005
Dividends receivable – affiliated issuers (Notes 2 and 4)		25,545
Securities lending income receivable – affiliated issuers (Notes 4 and 8)		3,961
Receivable from Adviser (Note 4)		3,701

Total assets		1,557,824,869

Liabilities
Payable upon return of securities loaned		334,739
Payable for investments purchased		630,979
Advisory fee payable (Note 4)		342,171

Total liabilities		1,307,889

Net Assets	$	1,556,516,980

Cost of Investments:
Investments in unaffiliated issuers	$	508,081,512
Investments in affiliated issuers		25,054,365

Total cost of investments	$	533,135,877

* Includes investments in securities on loan, at value	$	14,235,332

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Statement of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


Investment Income
Interest income – unaffiliated issuers (Note 2)	$	11,743
Dividend income – unaffiliated issuers (Note 2)		15,498,475
Dividend income – affiliated issuers (Note 2)		89,153
Affiliated securities lending income – net (Note 8)		6,878
Foreign taxes withheld		(54,210	)

Total investment income (loss)		15,552,039

Expenses
Advisory fee (Note 4)		344,128
Miscellaneous expenses		52

Total expenses		344,180

Net expenses		344,180

Net Investment Income (Loss)		15,207,859

Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers		41,575,905
Investments – affiliated issuers		43,261
Futures contracts		2,217,303

Net realized gain (loss)		43,836,469

Net change in unrealized appreciation/depreciation on:
Investments – unaffiliated issuers		77,263,867
Investments – affiliated issuers		270,526
Futures contracts		74,441

Net change in unrealized appreciation/depreciation		77,608,834

Net realized and unrealized gain (loss)		121,445,303

Net Increase (Decrease) in Net Assets from Operations	$	136,653,162

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	15,207,859		$	33,251,620
Net realized gain (loss)		43,836,469			105,963,108
Net change in unrealized appreciation/depreciation		77,608,834			34,051,685

Net increase (decrease) in net assets resulting from operations		136,653,162			173,266,413

Capital Transactions:
Contributions		28,810,479			116,324,014
Withdrawals		(127,759,335	)		(372,376,185	)

Net Increase (Decrease) in Net Assets from Capital Transactions		(98,948,856	)		(256,052,171	)

Net Increase (Decrease) in Net Assets During the Period		37,704,306			(82,785,758	)

Net Assets at Beginning of Period		1,518,812,674			1,601,598,432

Net Assets at End of Period	$	1,556,516,980		$	1,518,812,674

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Financial Highlights

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


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12
Total Return^(a)		4.72	%		11.90	%		1.41	%		13.62	%		32.30	%		15.97	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	1,556,517		$	1,518,813		$	1,601,598		$	2,869,323		$	2,739,594		$	2,055,241
Ratios to average net assets:
Total expenses		0.05	%^(b)		0.05	%		0.05	%		0.05	%		0.05	%		0.05	%
Net expenses		0.05	%^(b)		0.04	%		0.05	%		0.05	%		0.05	%		0.05	%
Net investment income (loss)		1.99	%^(b)		2.18	%		2.00	%		1.98	%		2.05	%		2.26	%
Portfolio turnover rate		1	%		5	%		7	%^(c)		2	%^(c)		4	%^(c)		9	%^(c)

^(a)	Total return for periods less than one year is not annualized. Results represent past performance and are not indicative of future results.

^(b)	Annualized.

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

See accompanying notes to financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

State Street Master Funds (the “Trust”) a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is an open-end management investment company.

As of June 30, 2017 the Trust consists of six (6) series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust. The State Street Equity 500 Index Portfolio (the “Portfolio”) is authorized to issue unlimited number of non transferable beneficial interest. The financial statements herein relate only to:


Fund	Commencement of Operations	Diversification Classification
State Street Equity 500 Index Portfolio	March 1, 2000	Diversified

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.

Security Valuation

The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

•

Equity investments traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.

•

Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.

•

Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income.

•

Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.

In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.

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

The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017, is disclosed in the Portfolio’s Schedule of Investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period.

The Portfolio had no transfers between levels for the period ended June 30, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

Distributions received by the Portfolio may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.

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.

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio within the Trust.

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

Derivative Financial Instruments

Futures Contracts

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.

Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.

For the period ended June 30, 2017, the Portfolio entered into futures contracts for cash equitization, for return enhancement and to facilitate daily liquidity.

The following tables summarize the value of the Portfolio’s derivative instruments as of June 30, 2017 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:

Liability Derivatives


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk			Commodity Contracts Risk		Total
State Street Equity 500 Index Portfolio
Futures Contracts^(a)	$	–	$	–	$	–	$	(118,234	)	$	–	$	(118,234	)

^(a)	Unrealized depreciation on open futures contracts. The Statement of Assets and Liabilities only reflects the current day’s net variation margin.

Net Realized Gain (Loss)


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Equity 500 Index Portfolio
Futures Contracts	$	–	$	–	$	–	$	2,217,303	$	–	$	2,217,303

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Net Change in Unrealized Appreciation (Depreciation)


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
State Street Equity 500 Index Portfolio
Futures Contracts	$	–	$	–	$	–	$	74,441	$	–	$	74,441

Fees and Transactions with Affiliates

Advisory Fees

The Portfolio has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (The “Adviser” or “SSGA FM”), 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.

Administrator, Custodian, Sub-Administrator and Transfer Agent Fees

SSGA FM serves as administrator and State Street, an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to the Portfolio. In compensation for SSGA FM’s services as investment adviser and administrator and for State Street’s services as custodian, sub-administrator 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.

Other Transactions with Affiliates – Securities Lending

State Street, an affiliate of the Portfolio, acts as the securities lending agent for the Portfolio, pursuant to an amended and restated securities lending authorization agreement dated January 6, 2017.

Proceeds collected by State Street on investment of cash collateral or any fee income are allocated as follows (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement): 85% payable to the Portfolio, and 15% payable to State Street.

In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Government Money Market Portfolio, an affiliated money market fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.

Other Transactions with Affiliates

The Portfolio may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2017 are disclosed in the Schedule of Investments.

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Trustees’ Fees

The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

Investment Transactions

Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2017 were as follows:


Purchases	Sales
$21,112,118	$	104,973,003

Income Tax Information

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, 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 files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2016, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

At June 30, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street Equity 500 Index Portfolio	$	533,135,877	$	1,035,666,346	$	12,537,093	$	1,023,129,253

Securities Lending

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

The Portfolio will regain record ownership of loaned securities to exercise certain beneficial rights; however, the Portfolio may bear the risk of delay in recovery of, or even loss of rights in the securities loaned should the borrower fail financially. In addition, the Portfolio will bear the risk of loss of any cash collateral that it may invest. The Portfolio receives compensation for lending its securities from interest or dividends earned on the cash, cash equivalents or U.S. government securities held as collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as the lending agent. Additionally, the Portfolio will receive a fee from the borrower for non-cash collateral equal to a percentage of the market value of the loaned securities.

The market value of securities on loan as of June 30, 2017, and the value of the invested cash collateral are disclosed in the Portfolio’s Statement of Assets and Liabilities. Non-cash collateral is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio, and the Portfolio does not have the ability to re-hypothecate those securities. Securities lending income, as disclosed in the Portfolio’s Statement of Operations, represents the income earned from the non-cash collateral and the investment of cash collateral, net of fee rebates paid to the borrower and net of fees paid to State Street as lending agent.

The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:

Fund

Market Value

of Securities
on Loan

Cash
Collateral
Received

Non Cash
Collateral
Received

Total
Collateral
Received

State Street Equity 500 Index Portfolio

14,235,332

334,739

14,190,068

14,524,807

*	The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities.

The following tables reflect a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged or securities loaned, and the remaining contractual maturity of those transactions as of June 30, 2017:

State Street Equity 500 Index Portfolio


	Remaining Contractual Maturity of the Agreements As of June 30, 2017
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions
Common Stocks	$	334,739	$	–	$	–	$	–	$	334,739
Total Borrowings	$	334,739	$	–	$	–	$	–	$	334,739
Gross amount of recognized liabilities for securities lending transactions.									$	334,739

State Street Master Funds

State Street Equity 500 Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.

The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.

The Portfolio had no outstanding loans as of June 30, 2017.

10.

Risks

Concentration Risk

As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.

Market and Credit Risk

In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.

11. New Accounting Pronouncement

In October 2016, the U.S. Securities and Exchange Commission (the “SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.

12.

Subsequent Events

Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

As a shareholder of a Portfolio, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. 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. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.

The table below illustrates your Portfolio’s cost 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 each 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 SEC 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.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales load charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street Equity 500 Index Portfolio		0.05	%	$	1,047.20	$	0.25	$	1,024.50	$	0.25

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-800-997-7327, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-997-7327 (toll free), or (2) on the website of the SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-800-997-7327, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Equity 500 Index Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Information about Performance, Expenses and Fees

•

A report prepared by an independent third-party provider of investment company data, which includes for the feeder fund (the “Fund”) for which the Portfolio serves as the master fund in a master-feeder structure:

•

Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”);

•

Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);

•

A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and

•

Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

Information concerning the resources devoted by the Adviser to overseeing compliance by the Portfolio and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Portfolio;

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

A description of the adequacy and sophistication of the Adviser’s technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year;

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent, fund accountant and securities lending agent of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers;

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

Draft responses to a letter from Joseph P. Barri, LLC, co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees, reviewed prior to such date by Independent Counsel, requesting specific information from each of:

•

SSGA FM, in its capacity as the Portfolio’s Adviser and Administrator, with respect to its operations relating to the Portfolio and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2016; and the relevant operations of other affiliated service providers to the Portfolio, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2016;

•

State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, transfer agent and securities lending agent for the Portfolio, with respect to its operations relating to the Portfolio; and

•

State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Portfolio (the “Distributor”), with respect to its operations relating to the Portfolio;

•

Information from SSGA FM, State Street and the Distributor with respect to the Trust providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the executive sessions of the Board on May 16-17, 2017;

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and

•

A summary of the foregoing materials prepared by Independent Counsel.

In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Portfolio throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Portfolio and the investment strategies used in pursuing the Portfolio’s investment objective.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.

Results of the Process

Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 16-17, 2017 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Advisory Agreement effective June 1, 2017, for an additional year with respect to the Portfolio.

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in equity securities. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.

The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the Portfolio’s securities lending activities.

On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide high quality investment management and related services for the Portfolio.

Portfolio Performance

The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge.

The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe and above its Lipper Index for the 1-, 3-, 5- and 10-year periods.

On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Portfolio is satisfactory based on the performance of the Fund in comparison to the performance of its Performance Group, Performance Universe or Lipper Index.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Portfolio to limit the total expenses borne by shareholders of the Fund. The Board considered the investment advisory fee in the context of the overall master-feeder arrangement with the Fund.

The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.

Profitability

The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Portfolio and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers in connection with their relationships with the Portfolio, together with the profitability of each of the Affiliated Service Providers with respect to their services to the Portfolio and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.

State Street Master Funds

State Street Equity 500 Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

The Board concluded that the profitability of the Adviser with respect to the Portfolio, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Portfolio, were reasonable in relation to the services provided.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio at this time.

Conclusions

In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement.

Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the Portfolio and its shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02199

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

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street International Developed Equity Index Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			14

Statement of Operations			15

Statements of Changes in Net Assets			16

Financial Highlights			17

Notes to Financial Statements			18

Other Information			27

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Portfolio Statistics (Unaudited)

Top Five Holdings as of June 30, 2017


Description		Market Value	% of Net Assets
Nestle SA	$	48,066,555	2.0	%
Novartis AG		32,995,527	1.3
HSBC Holdings PLC		32,160,080	1.3
Roche Holding AG		31,767,802	1.3
Toyota Motor Corp.		24,209,761	1.0

(The ten largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)


Top Five Sectors (excluding short-term investments)*	June 30, 2017
Banks	13.1	%
Pharmaceuticals	8.3
Insurance	5.5
Telecommunications	4.5
Food	4.5
Total	35.9	%

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

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – 97.9%
Australia – 7.0%
AGL Energy, Ltd.		118,543	$	2,318,674
Alumina, Ltd.		419,565		617,908
Amcor, Ltd.		202,130		2,513,260
AMP, Ltd.		532,462		2,119,726
APA Group		191,268		1,345,350
Aristocrat Leisure, Ltd.		98,993		1,713,039
ASX, Ltd.		34,158		1,404,630
Aurizon Holdings, Ltd.		353,698		1,454,190
AusNet Services		348,352		463,598
Australia & New Zealand Banking Group, Ltd.		519,187		11,437,521
Bank of Queensland, Ltd.		68,403		600,765
Bendigo & Adelaide Bank, Ltd.		79,115		672,392
BHP Billiton PLC		378,677		5,784,535
BHP Billiton, Ltd.		568,453		10,150,822
BlueScope Steel, Ltd.		91,385		925,980
Boral, Ltd.		205,051		1,093,126
Brambles, Ltd.		288,250		2,151,324
Caltex Australia, Ltd.		45,538		1,104,135
Challenger, Ltd.		108,660		1,111,858
CIMIC Group, Ltd.		18,465		550,113
Coca-Cola Amatil, Ltd.		110,525		782,503
Cochlear, Ltd.		10,235		1,220,400
Commonwealth Bank of Australia		303,858		19,300,881
Computershare, Ltd.		77,865		844,530
Crown Resorts, Ltd.		72,799		685,721
CSL, Ltd.		80,679		8,541,962
Dexus REIT		167,364		1,217,010
Domino’s Pizza Enterprises, Ltd.		10,034		400,838
Flight Centre Travel Group, Ltd.		12,119		356,032
Fortescue Metals Group, Ltd.		278,858		1,116,548
Goodman Group REIT		316,961		1,913,393
GPT Group REIT		317,230		1,165,557
Harvey Norman Holdings, Ltd.^(a)		107,605		315,297
Healthscope, Ltd.		281,376		476,983
Incitec Pivot, Ltd.		297,683		778,632
Insurance Australia Group, Ltd.		411,703		2,141,102
LendLease Group		98,023		1,251,889
Macquarie Group, Ltd.		57,262		3,887,169
Medibank Pvt, Ltd.		489,758		1,051,873
Mirvac Group REIT		650,968		1,063,562
National Australia Bank, Ltd.		473,223		10,740,747
Newcrest Mining, Ltd.		138,138		2,136,128
Oil Search, Ltd.		241,796		1,264,903
Orica, Ltd.		67,209		1,066,109
Origin Energy, Ltd.^(b)		319,729		1,682,402
Qantas Airways, Ltd.		81,530		357,715
QBE Insurance Group, Ltd.		247,370		2,240,890
Ramsay Health Care, Ltd.		24,959		1,409,057
REA Group, Ltd.		9,620		489,967
Santos, Ltd.^(b)		314,465		730,867
Scentre Group REIT		929,908		2,888,808
SEEK, Ltd.		54,873		711,748
Sonic Healthcare, Ltd.		68,047		1,264,174
South32, Ltd.		965,547		1,984,869
Stockland REIT^(a)		424,343		1,425,656
Suncorp Group, Ltd.		224,319		2,549,987
Sydney Airport		197,974		1,076,659
Tabcorp Holdings, Ltd.		144,764		485,250
Tatts Group, Ltd.		259,104		830,757
Telstra Corp., Ltd.		737,554		2,432,685
TPG Telecom, Ltd.^(a)		56,237		245,879
Transurban Group Stapled Security		362,178		3,292,032
Treasury Wine Estates, Ltd.		134,469		1,357,381
Vicinity Centres REIT		576,936		1,137,325
Wesfarmers, Ltd.		200,216		6,161,456
Westfield Corp. REIT		355,897		2,192,116
Westpac Banking Corp.		581,907		13,618,192
Woodside Petroleum, Ltd.		132,221		3,029,419
Woolworths, Ltd.		226,901		4,445,094

				171,293,100

Austria – 0.2%
ANDRITZ AG		14,225		855,671
Erste Group Bank AG^(b)		54,596		2,087,584
OMV AG		24,339		1,261,269
Raiffeisen Bank International AG^(b)		23,935		603,309
Voestalpine AG		21,677		1,008,727

				5,816,560

Belgium – 1.1%
Ageas		35,808		1,440,047
Anheuser-Busch InBev SA		134,471		14,832,499
Colruyt SA		11,037		580,633
Groupe Bruxelles Lambert SA		14,003		1,346,206
KBC Group NV		44,207		3,348,412
Proximus SADP		27,216		950,792
Solvay SA		13,514		1,811,074
Telenet Group Holding NV^(b)		9,109		572,968
UCB SA		22,934		1,575,459
Umicore SA		16,732		1,162,196

				27,620,286

Chile – 0.0%^(c)
Antofagasta PLC		67,870		704,837

China – 0.0%^(c)
Yangzijiang Shipbuilding Holdings, Ltd.		386,100		333,703

Denmark – 1.8%
AP Moeller – Maersk A/S Class A		701		1,336,662
AP Moeller – Maersk A/S Class B		1,116		2,240,971
Carlsberg A/S Class B		18,366		1,959,494
Chr Hansen Holding A/S		17,535		1,273,673
Coloplast A/S Class B		20,207		1,686,293
Danske Bank A/S		132,079		5,073,416
DONG Energy A/S^(d)		26,007		1,172,525
DSV A/S		33,781		2,072,835
Genmab A/S^(b)		9,759		2,079,409
H Lundbeck A/S		13,897		778,972
ISS A/S		29,588		1,160,590

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Denmark – (continued)
Novo Nordisk A/S Class B		320,246	$	13,696,476
Novozymes A/S Class B		41,998		1,835,496
Pandora A/S		19,146		1,784,254
TDC A/S		156,700		910,085
Tryg A/S		20,264		442,657
Vestas Wind Systems A/S		39,042		3,599,473
William Demant Holding A/S^(b)		21,003		542,892

				43,646,173

Finland – 1.0%
Elisa Oyj		25,700		994,561
Fortum Oyj		75,813		1,187,213
Kone Oyj Class B		60,477		3,072,237
Metso Oyj		21,684		750,854
Neste Oyj		23,194		912,396
Nokia Oyj		1,027,133		6,273,364
Nokian Renkaat Oyj		20,335		840,517
Orion Oyj Class B		18,821		1,199,966
Sampo Oyj Class A		78,781		4,031,734
Stora Enso Oyj Class R		94,838		1,223,374
UPM-Kymmene Oyj		90,876		2,587,069
Wartsila Oyj Abp		25,644		1,513,598

				24,586,883

France – 10.0%
Accor SA		32,025		1,499,214
Aeroports de Paris		5,090		820,303
Air Liquide SA		68,694		8,477,355
Airbus SE		101,946		8,371,764
Alstom SA^(b)		24,765		864,601
Arkema SA		11,794		1,256,787
Atos SE		16,883		2,366,551
AXA SA		342,303		9,350,408
BNP Paribas SA		197,328		14,192,438
Bollore SA		145,930		662,599
Bouygues SA		35,739		1,504,937
Bureau Veritas SA		49,249		1,088,312
Capgemini SE		28,341		2,924,705
Carrefour SA		98,517		2,488,853
Casino Guichard Perrachon SA		9,801		579,719
Christian Dior SE		9,822		2,804,541
Cie de Saint-Gobain		89,119		4,754,938
Cie Generale des Etablissements Michelin		30,581		4,059,934
CNP Assurances		29,292		656,654
Credit Agricole SA		195,157		3,135,128
Danone SA		104,344		7,832,018
Dassault Aviation SA		387		539,625
Dassault Systemes SE		23,023		2,061,060
Edenred		40,723		1,060,376
Eiffage SA		13,560		1,230,464
Electricite de France SA		88,916		961,599
Engie SA		300,737		4,532,819
Essilor International SA		36,799		4,675,580
Eurazeo SA		7,558		566,266
Eutelsat Communications SA		29,017		740,012
Fonciere Des Regions		5,920		548,402
Gecina SA REIT		7,428		1,163,630
Groupe Eurotunnel SE		75,339		802,395
Hermes International		3,535		1,744,377
ICADE REIT		6,016		504,324
Iliad SA		4,881		1,152,931
Imerys SA		6,262		543,873
Ingenico Group SA		9,998		906,442
Ipsen SA		7,077		967,390
JCDecaux SA		12,680		415,354
Kering		13,519		4,597,974
Klepierre REIT		37,613		1,539,449
L’Oreal SA		44,434		9,243,886
Lagardere SCA		20,176		636,274
Legrand SA		47,237		3,299,915
LVMH Moet Hennessy Louis Vuitton SE		49,061		12,215,309
Natixis SA^(a)		153,539		1,029,174
Orange SA^(a)		349,807		5,541,726
Pernod Ricard SA		37,780		5,052,300
Peugeot SA		88,239		1,757,695
Publicis Groupe SA		36,351		2,707,761
Remy Cointreau SA		4,070		474,648
Renault SA		30,172		2,727,204
Rexel SA		57,244		935,274
Safran SA		55,732		5,100,466
Sanofi		206,385		19,716,468
Schneider Electric SE^(b)		99,553		7,638,184
SCOR SE		30,300		1,199,531
SEB SA		3,738		670,416
Societe BIC SA		4,605		545,707
Societe Generale SA		136,173		7,316,754
Sodexo SA		16,316		2,106,563
Suez Environment Co.		69,418		1,283,818
Thales SA		18,723		2,012,450
TOTAL SA		412,482		20,363,702
Unibail-Rodamco SE REIT		17,738		4,463,987
Valeo SA		42,633		2,868,393
Veolia Environnement SA		83,809		1,768,384
Vinci SA		88,645		7,555,506
Vivendi SA		179,432		3,988,651
Wendel SA		4,850		716,904
Zodiac Aerospace		35,769		968,913

				246,852,064

Germany – 9.3%
adidas AG		32,799		6,275,343
Allianz SE		81,162		15,958,950
Axel Springer SE		8,400		503,941
BASF SE		163,126		15,087,067
Bayer AG		146,772		18,949,771
Bayerische Motoren Werke AG		58,931		5,463,134
Bayerische Motoren Werke AG Preference Shares		8,795		724,047
Beiersdorf AG		17,230		1,808,740
Brenntag AG		28,112		1,624,960
Commerzbank AG^(b)		193,105		2,297,165
Continental AG		19,649		4,234,495
Covestro AG^(d)		20,724		1,494,079
Daimler AG		169,095		12,221,620
Deutsche Bank AG		367,661		6,510,187
Deutsche Boerse AG		33,629		3,544,820
Deutsche Lufthansa AG		40,148		912,382

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Germany – (continued)
Deutsche Post AG		177,538	$	6,645,753
Deutsche Telekom AG		576,800		10,341,704
Deutsche Wohnen AG		61,166		2,336,359
E.ON SE		391,093		3,679,112
Evonik Industries AG		27,051		863,422
Fraport AG Frankfurt Airport Services Worldwide		6,934		611,333
Fresenius Medical Care AG & Co. KGaA		38,517		3,697,635
Fresenius SE & Co. KGaA		73,565		6,297,876
Fuchs Petrolub SE Preference Shares		11,891		646,582
GEA Group AG		30,765		1,257,240
Hannover Rueck SE		10,426		1,248,000
HeidelbergCement AG		25,834		2,494,210
Henkel AG & Co. KGaA		17,691		2,136,794
Henkel AG & Co. KGaA Preference Shares		31,784		4,368,274
HOCHTIEF AG		3,385		619,266
HUGO BOSS AG		10,084		705,030
Infineon Technologies AG		202,483		4,268,962
Innogy SE^(d)		24,532		964,330
KS AG		35,264		901,740
Lanxess AG		16,645		1,258,479
Linde AG		32,911		6,223,575
MAN SE		5,739		614,437
Merck KGaA		23,098		2,785,923
METRO AG		33,622		1,133,362
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		28,604		5,759,819
OSRAM Licht AG		15,483		1,231,725
Porsche Automobil Holding SE Preference Shares		26,200		1,469,916
ProSiebenSat.1 Media SE		39,704		1,659,220
RWE AG^(b)		93,356		1,857,494
SAP SE		174,466		18,197,379
Schaeffler AG Preference Shares		27,293		390,358
Siemens AG		135,796		18,640,064
Symrise AG		20,503		1,450,319
Telefonica Deutschland Holding AG		123,988		618,406
ThyssenKrupp AG		65,285		1,852,212
TUI AG		71,954		1,045,869
United Internet AG		23,007		1,263,355
Volkswagen AG		5,948		920,927
Volkswagen AG Preference Shares		32,620		4,961,252
Vonovia SE		83,908		3,327,055
Zalando SE^(b)(d)		20,797		949,038

				229,304,507

Hong Kong – 3.4%
AIA Group, Ltd.		2,127,400		15,547,166
ASM Pacific Technology, Ltd.		41,900		566,256
Bank of East Asia, Ltd.		215,545		926,354
BOC Hong Kong Holdings, Ltd.		652,000		3,119,497
Cheung Kong Property Holdings, Ltd.		470,179		3,683,037
CK Hutchison Holdings, Ltd.		477,000		5,988,125
CK Infrastructure Holdings, Ltd.		115,000		966,380
CLP Holdings, Ltd.		287,500		3,042,036
First Pacific Co., Ltd.		314,000		231,685
Galaxy Entertainment Group, Ltd.		398,000		2,416,617
Hang Lung Group, Ltd.		145,000		599,953
Hang Lung Properties, Ltd.		325,000		811,829
Hang Seng Bank, Ltd.		136,400		2,853,297
Henderson Land Development Co., Ltd.		213,254		1,189,684
HK Electric Investments & HK Electric Investments, Ltd.^(a)(d)		455,490		420,105
HKT Trust & HKT, Ltd.		679,000		892,408
Hong Kong & China Gas Co., Ltd.		1,479,500		2,782,194
Hong Kong Exchanges & Clearing, Ltd.		207,664		5,368,201
Hongkong Land Holdings, Ltd.		207,000		1,523,520
Hysan Development Co., Ltd.		105,000		501,028
Jardine Matheson Holdings, Ltd.		36,400		2,336,880
Jardine Strategic Holdings, Ltd.		38,500		1,605,065
Kerry Properties, Ltd.		118,000		400,566
Li & Fung, Ltd.		1,090,000		396,544
Link REIT		400,000		3,043,637
Melco Resorts & Entertainment, Ltd. ADR		45,923		1,030,971
MTR Corp., Ltd.		272,645		1,534,980
New World Development Co., Ltd.		979,221		1,243,085
NWS Holdings, Ltd.		274,810		540,717
PCCW, Ltd.		748,000		425,433
Power Assets Holdings, Ltd.		252,000		2,225,775
Sands China, Ltd.		414,000		1,895,932
Shangri-La Asia, Ltd.		264,000		447,753
Sino Land Co., Ltd.		578,256		948,149
SJM Holdings, Ltd.		434,000		457,547
Sun Hung Kai Properties, Ltd.		252,000		3,702,631
Swire Pacific, Ltd. Class A		79,500		776,521
Swire Properties, Ltd.		193,600		638,600
Techtronic Industries Co., Ltd.		258,000		1,186,481
WH Group, Ltd.^(d)		1,383,309		1,396,342
Wharf Holdings, Ltd.		203,000		1,682,468
Wheelock & Co., Ltd.		151,000		1,139,302
Yue Yuen Industrial Holdings, Ltd.		111,000		460,696

				82,945,447

Ireland – 0.6%
Bank of Ireland^(b)		5,121,610		1,343,534
CRH PLC		146,705		5,182,873
Experian PLC		167,229		3,421,246
James Hardie Industries PLC		75,134		1,181,446
Kerry Group PLC Class A		27,239		2,340,310

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Ireland – (continued)
Paddy Power Betfair PLC		14,637	$	1,560,410
Ryanair Holdings PLC ADR^(b)		4,490		483,169

				15,512,988

Israel – 0.6%
Azrieli Group, Ltd.		7,782		432,116
Bank Hapoalim BM		186,339		1,256,029
Bank Leumi Le-Israel BM		253,799		1,232,607
Bezeq The Israeli Telecommunication Corp., Ltd.		319,597		529,939
Check Point Software Technologies, Ltd.^(b)		22,510		2,455,391
Elbit Systems, Ltd.		3,969		489,405
Frutarom Industries, Ltd.		6,562		457,933
Israel Chemicals, Ltd.		90,984		429,027
Mizrahi Tefahot Bank, Ltd.		25,993		472,427
Nice, Ltd.		10,564		831,975
Teva Pharmaceutical Industries, Ltd.		129,045		4,253,086
Teva Pharmaceutical Industries, Ltd. ADR		32,428		1,077,258

				13,917,193

Italy – 2.0%
Assicurazioni Generali SpA		221,359		3,638,107
Atlantia SpA		81,362		2,286,529
Enel SpA		1,441,611		7,718,013
Eni SpA		443,638		6,658,846
Ferrari NV		20,902		1,791,559
Intesa Sanpaolo SpA^(e)		2,234,876		7,075,990
Intesa Sanpaolo SpA^(e)		196,041		580,451
Leonardo SpA		71,372		1,184,418
Luxottica Group SpA		29,864		1,725,209
Mediobanca SpA		91,509		901,762
Poste Italiane SpA^(d)		85,106		581,920
Prysmian SpA		37,010		1,086,953
Recordati SpA		19,949		808,181
Saipem SpA^(a)(b)		109,611		404,304
Snam SpA		411,255		1,789,921
Telecom Italia RSP/Milano		963,350		708,693
Telecom Italia SpA/Milano^(b)		1,980,406		1,825,072
Terna Rete Elettrica Nazionale SpA		257,268		1,386,736
UniCredit SpA^(b)		351,751		6,559,450
UnipolSai Assicurazioni SpA		194,056		422,963

				49,135,077

Japan – 22.9%
ABC-Mart, Inc.		5,800		341,207
Acom Co., Ltd.^(b)		91,400		417,303
Aeon Co., Ltd.		101,600		1,543,532
AEON Financial Service Co., Ltd.		20,500		433,864
Aeon Mall Co., Ltd.		16,200		318,925
Air Water, Inc.		25,000		459,238
Aisin Seiki Co., Ltd.		29,400		1,504,539
Ajinomoto Co., Inc.		95,100		2,053,757
Alfresa Holdings Corp.		29,300		565,086
Alps Electric Co., Ltd.		34,700		1,000,605
Amada Holdings Co., Ltd.		56,400		651,541
ANA Holdings, Inc.		198,000		687,960
Aozora Bank, Ltd.		228,000		868,494
Asahi Glass Co., Ltd.		35,000		1,473,389
Asahi Group Holdings, Ltd.		68,000		2,558,775
Asahi Kasei Corp.		222,000		2,385,769
Asics Corp.		27,100		502,156
Astellas Pharma, Inc.		381,800		4,670,560
Bandai Namco Holdings, Inc.		36,000		1,227,127
Bank of Kyoto, Ltd.		63,000		594,340
Benesse Holdings, Inc.		13,600		513,208
Bridgestone Corp.		115,500		4,975,258
Brother Industries, Ltd.		38,300		883,872
Calbee, Inc.		15,100		593,329
Canon, Inc.		188,700		6,408,679
Casio Computer Co., Ltd.		37,900		582,532
Central Japan Railway Co.		25,800		4,204,325
Chiba Bank, Ltd.		134,000		970,773
Chubu Electric Power Co., Inc.		117,800		1,564,761
Chugai Pharmaceutical Co., Ltd.		39,000		1,459,550
Chugoku Bank, Ltd.		30,400		454,539
Chugoku Electric Power Co., Inc.		44,000		485,190
Coca-Cola Bottlers Japan, Inc.		24,100		697,090
Concordia Financial Group, Ltd.		206,100		1,039,305
Credit Saison Co., Ltd.		28,200		550,648
CYBERDYNE, Inc.^(a)(b)		22,800		303,364
Dai Nippon Printing Co., Ltd.		100,000		1,110,716
Dai-ichi Life Holdings, Inc.		187,300		3,378,101
Daicel Corp.		51,500		640,312
Daiichi Sankyo Co., Ltd.		95,600		2,252,164
Daikin Industries, Ltd.		44,400		4,532,467
Daito Trust Construction Co., Ltd.		12,200		1,899,600
Daiwa House Industry Co., Ltd.		100,200		3,422,638
Daiwa House REIT Investment Corp.		270		641,358
Daiwa Securities Group, Inc.		285,000		1,688,795
DeNA Co., Ltd.		17,400		389,626
Denso Corp.		84,000		3,545,105
Dentsu, Inc.		37,900		1,811,347
Disco Corp.		4,600		733,642
Don Quijote Holdings Co., Ltd.		19,000		720,363
East Japan Railway Co.		58,000		5,546,547
Eisai Co., Ltd.		45,400		2,507,182
Electric Power Development Co., Ltd.		23,900		590,906
FamilyMart UNY Holdings Co., Ltd.		14,500		829,788
FANUC Corp.		34,200		6,591,323
Fast Retailing Co., Ltd.		9,400		3,130,545
Fuji Electric Co., Ltd.		96,000		505,803
FUJIFILM Holdings Corp.		69,800		2,509,719
Fujitsu, Ltd.		356,000		2,622,791
Fukuoka Financial Group, Inc.		134,000		636,846
Hachijuni Bank, Ltd.		78,600		498,770
Hakuhodo DY Holdings, Inc.		41,000		544,064

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Japan – (continued)
Hamamatsu Photonics KK		27,400	$	841,314
Hankyu Hanshin Holdings, Inc.		42,700		1,535,315
Hikari Tsushin, Inc.		3,900		410,271
Hino Motors, Ltd.		49,600		550,473
Hirose Electric Co., Ltd.		5,100		727,145
Hiroshima Bank, Ltd.		90,000		398,896
Hisamitsu Pharmaceutical Co., Inc.		10,400		497,971
Hitachi Chemical Co., Ltd.		19,900		593,316
Hitachi Construction Machinery Co., Ltd.		19,300		482,156
Hitachi High-Technologies Corp.		11,800		457,885
Hitachi Metals, Ltd.		40,500		563,021
Hitachi, Ltd.		858,000		5,264,375
Honda Motor Co., Ltd.		301,400		8,219,025
Hoshizaki Corp.		9,900		895,194
Hoya Corp.		69,900		3,628,753
Hulic Co., Ltd.		50,000		510,413
Idemitsu Kosan Co., Ltd.		17,100		485,484
IHI Corp.^(b)		259,000		880,545
Iida Group Holdings Co., Ltd.		26,200		436,278
Inpex Corp.		165,400		1,591,291
Isetan Mitsukoshi Holdings, Ltd.		55,600		557,188
Isuzu Motors, Ltd.		90,300		1,113,882
ITOCHU Corp.		263,900		3,919,981
J Front Retailing Co., Ltd.		40,200		616,810
Japan Airlines Co., Ltd.		19,600		606,002
Japan Airport Terminal Co., Ltd.		8,200		313,448
Japan Exchange Group, Inc.		87,300		1,581,128
Japan Post Bank Co., Ltd.		75,600		967,540
Japan Post Holdings Co., Ltd.		80,000		992,524
Japan Prime Realty Investment Corp. REIT		138		478,382
Japan Real Estate Investment Corp. REIT		220		1,094,518
Japan Retail Fund Investment Corp. REIT		455		840,268
Japan Tobacco, Inc.		195,200		6,857,017
JFE Holdings, Inc.		86,700		1,505,058
JGC Corp.		34,100		552,957
JSR Corp.		33,300		574,066
JTEKT Corp.		38,300		559,706
JXTG Holdings, Inc.		552,000		2,410,701
Kajima Corp.		160,000		1,349,947
Kakaku.com, Inc.		26,600		381,860
Kamigumi Co., Ltd.		40,000		419,366
Kaneka Corp.		49,000		373,300
Kansai Electric Power Co., Inc.		121,200		1,668,711
Kansai Paint Co., Ltd.		32,200		740,806
Kao Corp.		88,100		5,231,428
Kawasaki Heavy Industries, Ltd.		268,000		791,883
KDDI Corp.		323,800		8,573,380
Keihan Holdings Co., Ltd.		84,000		533,784
Keikyu Corp.		87,000		1,047,624
Keio Corp.		105,000		878,426
Keisei Electric Railway Co., Ltd.		23,000		614,098
Keyence Corp.		17,200		7,552,937
Kikkoman Corp.		28,000		894,624
Kintetsu Group Holdings Co., Ltd.		314,000		1,210,057
Kirin Holdings Co., Ltd.		155,600		3,169,886
Kobe Steel, Ltd.^(b)		53,600		550,502
Koito Manufacturing Co., Ltd.		20,100		1,033,980
Komatsu, Ltd.		165,100		4,194,357
Konami Holdings Corp.		15,400		855,251
Konica Minolta, Inc.		73,400		608,836
Kose Corp.		5,500		600,614
Kubota Corp.		189,700		3,186,710
Kuraray Co., Ltd.		66,900		1,213,441
Kurita Water Industries, Ltd.		17,800		484,763
Kyocera Corp.		56,100		3,248,368
Kyowa Hakko Kirin Co., Ltd.		50,400		936,141
Kyushu Electric Power Co., Inc.		69,300		841,271
Kyushu Financial Group, Inc.		61,500		388,070
Kyushu Railway Co.		26,000		843,450
Lawson, Inc.		9,100		636,579
LINE Corp.^(a)(b)		8,000		275,899
Lion Corp.		39,000		807,351
LIXIL Group Corp.		48,600		1,215,000
M3, Inc.		34,600		953,070
Mabuchi Motor Co., Ltd.		9,600		477,608
Makita Corp.		37,600		1,390,424
Marubeni Corp.		286,000		1,847,444
Marui Group Co., Ltd.		39,800		586,586
Maruichi Steel Tube, Ltd.		10,400		302,207
Mazda Motor Corp.		100,900		1,408,074
McDonald’s Holdings Co., Japan, Ltd.		13,200		506,337
Mebuki Financial Group, Inc.		181,300		674,470
Medipal Holdings Corp.		28,900		534,480
MEIJI Holdings Co., Ltd.		22,400		1,816,162
MINEBEA MITSUMI, Inc.		69,000		1,108,446
Miraca Holdings, Inc.		9,700		435,965
MISUMI Group, Inc.		48,400		1,105,326
Mitsubishi Chemical Holdings Corp.		257,600		2,132,376
Mitsubishi Corp.		268,900		5,638,380
Mitsubishi Electric Corp.		344,100		4,947,433
Mitsubishi Estate Co., Ltd.		222,500		4,145,637
Mitsubishi Gas Chemical Co., Inc.		30,000		634,122
Mitsubishi Heavy Industries, Ltd.		579,000		2,369,386
Mitsubishi Materials Corp.		21,600		653,613
Mitsubishi Motors Corp.		116,800		769,242
Mitsubishi Tanabe Pharma Corp.		39,600		914,931
Mitsubishi UFJ Financial Group, Inc.		2,117,500		14,224,715
Mitsubishi UFJ Lease & Finance Co., Ltd.		81,700		446,456
Mitsui & Co., Ltd.		303,400		4,335,250
Mitsui Chemicals, Inc.		173,000		916,118

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Japan – (continued)
Mitsui Fudosan Co., Ltd.		155,000	$	3,697,735
Mitsui OSK Lines, Ltd.		202,000		593,272
Mixi, Inc.		8,800		489,498
Mizuho Financial Group, Inc.		4,255,400		7,779,095
MS&AD Insurance Group Holdings, Inc.		80,700		2,710,589
Murata Manufacturing Co., Ltd.		34,100		5,180,554
Nabtesco Corp.^(a)		18,700		543,392
Nagoya Railroad Co., Ltd.		146,000		680,883
NEC Corp.		451,000		1,196,137
Nexon Co., Ltd.^(b)		38,900		768,583
NGK Insulators, Ltd.		45,900		914,650
NGK Spark Plug Co., Ltd.		29,600		629,356
NH Foods, Ltd.		33,000		1,002,982
Nidec Corp.		42,600		4,363,884
Nikon Corp.		60,100		960,659
Nintendo Co., Ltd.		20,000		6,707,013
Nippon Building Fund, Inc. REIT^(a)		236		1,205,625
Nippon Electric Glass Co., Ltd.		15,200		552,617
Nippon Express Co., Ltd.		134,000		838,394
Nippon Paint Holdings Co., Ltd.		30,200		1,142,310
Nippon Prologis REIT, Inc.		256		545,447
Nippon Steel & Sumitomo Metal Corp.		129,200		2,918,384
Nippon Telegraph & Telephone Corp.		121,200		5,727,768
Nippon Yusen KK^(b)		268,000		498,505
Nissan Chemical Industries, Ltd.		20,000		660,377
Nissan Motor Co., Ltd.		418,900		4,168,122
Nisshin Seifun Group, Inc.		33,100		543,516
Nissin Foods Holdings Co., Ltd.		9,400		587,291
Nitori Holdings Co., Ltd.		13,500		1,807,049
Nitto Denko Corp.		29,200		2,401,282
NOK Corp.		19,900		420,457
Nomura Holdings, Inc.		630,900		3,781,133
Nomura Real Estate Holdings, Inc.		22,600		443,311
Nomura Real Estate Master Fund, Inc.		666		911,038
Nomura Research Institute, Ltd.		21,800		858,535
NSK, Ltd.		61,300		765,432
NTT Data Corp.		112,500		1,251,558
NTT DOCOMO, Inc.		245,400		5,792,104
Obayashi Corp.		112,400		1,321,470
Obic Co., Ltd.		10,900		669,366
Odakyu Electric Railway Co., Ltd.		52,500		1,058,784
Oji Holdings Corp.		169,000		872,375
Olympus Corp.		49,900		1,820,844
Omron Corp.		33,200		1,440,459
Ono Pharmaceutical Co., Ltd.		73,200		1,596,771
Oracle Corp. Japan		7,400		480,117
Oriental Land Co., Ltd.		38,600		2,613,642
ORIX Corp.		230,200		3,564,863
Osaka Gas Co., Ltd.		311,000		1,271,845
Otsuka Corp.		9,100		564,498
Otsuka Holdings Co., Ltd.		69,700		2,971,369
Panasonic Corp.		391,900		5,315,554
Park24 Co., Ltd.		18,200		462,613
Pola Orbis Holdings, Inc.		16,800		442,876
Rakuten, Inc.		165,700		1,949,585
Recruit Holdings Co., Ltd.		196,800		3,382,172
Resona Holdings, Inc.		378,200		2,081,850
Ricoh Co., Ltd.		119,300		1,053,272
Rinnai Corp.		5,600		521,823
Rohm Co., Ltd.		17,300		1,328,756
Ryohin Keikaku Co., Ltd.		4,500		1,124,199
Sankyo Co., Ltd.		9,200		311,962
Santen Pharmaceutical Co., Ltd.		70,000		949,448
SBI Holdings, Inc.		38,100		516,093
Secom Co., Ltd.		37,100		2,814,859
Sega Sammy Holdings, Inc.		32,200		433,307
Seibu Holdings, Inc.		28,800		532,375
Seiko Epson Corp.		49,600		1,103,154
Sekisui Chemical Co., Ltd.		72,200		1,292,223
Sekisui House, Ltd.		106,600		1,878,023
Seven & i Holdings Co., Ltd.		132,000		5,436,953
Seven Bank, Ltd.		126,400		452,232
Sharp Corp.^(a)(b)		285,000		1,057,716
Shimadzu Corp.		41,700		793,473
Shimamura Co., Ltd.		3,700		453,115
Shimano, Inc.		13,100		2,072,962
Shimizu Corp.		89,000		943,387
Shin-Etsu Chemical Co., Ltd.		69,000		6,254,583
Shinsei Bank, Ltd.		309,000		539,017
Shionogi & Co., Ltd.		53,200		2,963,499
Shiseido Co., Ltd.		67,100		2,385,167
Shizuoka Bank, Ltd.		86,000		776,878
Showa Shell Sekiyu KK		34,700		321,800
SMC Corp.		9,800		2,978,551
SoftBank Group Corp.		145,300		11,763,920
Sohgo Security Services Co., Ltd.		11,200		504,379
Sompo Holdings, Inc.		62,400		2,409,697
Sony Corp.		222,800		8,498,761
Sony Financial Holdings, Inc.		33,200		565,546
Stanley Electric Co., Ltd.		22,300		672,811
Start Today Co., Ltd.		37,400		920,354
Subaru Corp.		111,300		3,750,283
Sumitomo Chemical Co., Ltd.		269,000		1,546,582
Sumitomo Corp.		211,300		2,749,382
Sumitomo Dainippon Pharma Co., Ltd.		26,900		367,014
Sumitomo Electric Industries, Ltd.		129,100		1,987,745
Sumitomo Heavy Industries, Ltd.		94,000		619,918
Sumitomo Metal Mining Co., Ltd.		86,000		1,148,478
Sumitomo Mitsui Financial Group, Inc.		237,100		9,240,485
Sumitomo Mitsui Trust Holdings, Inc.		58,500		2,092,484
Sumitomo Realty & Development Co., Ltd.		62,000		1,911,979

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Japan – (continued)
Sumitomo Rubber Industries, Ltd.^(a)		29,600	$	499,480
Sundrug Co., Ltd.		12,400		462,407
Suntory Beverage & Food, Ltd.		24,700		1,147,508
Suruga Bank, Ltd.		34,400		833,364
Suzuken Co., Ltd.		13,600		451,477
Suzuki Motor Corp.		62,600		2,969,544
Sysmex Corp.		27,800		1,660,182
T&D Holdings, Inc.		100,000		1,521,449
Taiheiyo Cement Corp.		200,000		728,017
Taisei Corp.		177,000		1,616,251
Taisho Pharmaceutical Holdings Co., Ltd.		5,900		448,959
Taiyo Nippon Sanso Corp.		23,300		261,493
Takashimaya Co., Ltd.		53,000		504,245
Takeda Pharmaceutical Co., Ltd.		126,100		6,407,128
TDK Corp.		23,600		1,552,189
Teijin, Ltd.		31,200		600,064
Terumo Corp.		54,500		2,146,338
THK Co., Ltd.		21,300		602,830
Tobu Railway Co., Ltd.		184,000		1,003,845
Toho Co., Ltd.		18,800		578,925
Toho Gas Co., Ltd.		63,000		458,651
Tohoku Electric Power Co., Inc.		79,000		1,093,316
Tokio Marine Holdings, Inc.		120,900		5,004,503
Tokyo Electric Power Co. Holdings, Inc.^(b)		268,100		1,104,755
Tokyo Electron, Ltd.		27,800		3,750,872
Tokyo Gas Co., Ltd.		334,000		1,736,883
Tokyo Tatemono Co., Ltd.		36,300		475,557
Tokyu Corp.		188,000		1,433,927
Tokyu Fudosan Holdings Corp.		90,400		534,226
Toppan Printing Co., Ltd.		94,000		1,030,687
Toray Industries, Inc.		266,000		2,226,057
Toshiba Corp.^(a)(b)		741,000		1,792,487
Tosoh Corp.		94,000		962,923
TOTO, Ltd.		26,700		1,019,429
Toyo Seikan Group Holdings, Ltd.		28,500		480,918
Toyo Suisan Kaisha, Ltd.		14,500		555,558
Toyoda Gosei Co., Ltd.		9,700		231,277
Toyota Industries Corp.		28,700		1,509,585
Toyota Motor Corp.		461,600		24,209,761
Toyota Tsusho Corp.		37,100		1,111,085
Trend Micro, Inc.		19,800		1,020,310
Tsuruha Holdings, Inc.		6,500		690,148
Unicharm Corp.		71,000		1,783,215
United Urban Investment Corp. REIT		568		811,356
USS Co., Ltd.		36,100		717,438
West Japan Railway Co.		28,200		1,991,769
Yahoo! Japan Corp.		252,500		1,098,901
Yakult Honsha Co., Ltd.		14,300		973,612
Yamada Denki Co., Ltd.^(a)		100,200		497,611
Yamaguchi Financial Group, Inc.		39,000		471,013
Yamaha Corp.		30,500		1,053,222
Yamaha Motor Co., Ltd.		49,600		1,279,288
Yamato Holdings Co., Ltd.		60,500		1,226,853
Yamazaki Baking Co., Ltd.		22,000		438,394
Yaskawa Electric Corp.		44,800		949,349
Yokogawa Electric Corp.		38,300		613,904
Yokohama Rubber Co., Ltd.		20,700		415,437

				565,070,570

Jordan – 0.0%^(c)
Hikma Pharmaceuticals PLC		23,594		450,517

Luxembourg – 0.3%
ArcelorMittal^(b)		118,841		2,691,906
Eurofins Scientific SE		1,931		1,086,114
Millicom International Cellular SA SDR		10,834		639,157
RTL Group SA^(b)		6,365		479,932
SES SA		60,931		1,426,382
Tenaris SA		86,893		1,352,794

				7,676,285

Macau – 0.0%^(c)
MGM China Holdings, Ltd.		169,200		376,267
Wynn Macau, Ltd.		272,400		636,471

				1,012,738

Mexico – 0.0%^(c)
Fresnillo PLC		41,967		810,063

Netherlands – 4.2%
ABN AMRO Group NV^(d)		52,960		1,401,966
Aegon NV		335,936		1,713,072
AerCap Holdings NV^(b)		28,214		1,309,976
Akzo Nobel NV		45,133		3,916,843
Altice NV Class A^(b)		71,703		1,651,973
Altice NV Class B^(b)		19,053		439,073
ASML Holding NV		65,925		8,579,265
Boskalis Westminster		17,863		579,325
EXOR NV		20,181		1,090,796
Gemalto NV		15,050		902,035
Heineken Holding NV		18,480		1,691,458
Heineken NV		41,210		4,001,286
ING Groep NV		682,838		11,760,044
Koninklijke Ahold Delhaize NV		226,628		4,326,965
Koninklijke DSM NV		32,508		2,359,580
Koninklijke KPN NV		625,355		1,997,809
Koninklijke Philips NV		164,134		5,821,078
Koninklijke Vopak NV		14,298		662,088
NN Group NV		56,825		2,016,942
NXP Semiconductors NV^(b)		47,872		5,239,590
Randstad Holding NV		22,428		1,307,663
Royal Dutch Shell PLC Class A		783,828		20,719,410
Royal Dutch Shell PLC Class B		664,985		17,815,499
Wolters Kluwer NV		54,922		2,321,799

				103,625,535

New Zealand – 0.2%
Auckland International Airport, Ltd.		174,607		911,551
Contact Energy, Ltd.		116,874		445,847
Fletcher Building, Ltd.		125,286		732,958
Mercury NZ, Ltd.		144,564		351,421

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
New Zealand – (continued)
Meridian Energy, Ltd.		192,725	$	410,640
Ryman Healthcare, Ltd.		72,076		437,497
Spark New Zealand, Ltd.		345,222		955,476

				4,245,390

Norway – 0.6%
DNB ASA		167,297		2,835,999
Gjensidige Forsikring ASA		32,985		561,127
Marine Harvest ASA^(b)		67,620		1,153,552
Norsk Hydro ASA		230,317		1,272,474
Orkla ASA		135,099		1,368,465
Schibsted ASA Class A		13,202		317,731
Schibsted ASA Class B		15,363		338,378
Statoil ASA		198,372		3,277,525
Telenor ASA		132,641		2,193,094
Yara International ASA		32,889		1,231,279

				14,549,624

Portugal – 0.2%
EDP – Energias de Portugal SA		433,534		1,415,659
Galp Energia SGPS SA		90,821		1,373,031
Jeronimo Martins SGPS SA		45,284		882,676

				3,671,366

Singapore – 1.3%
Ascendas REIT		402,050		762,139
CapitaLand Commercial Trust		343,000		413,538
CapitaLand Mall Trust REIT		390,000		559,429
CapitaLand, Ltd.		470,700		1,196,535
City Developments, Ltd.		72,400		564,224
ComfortDelGro Corp., Ltd.		335,000		559,611
DBS Group Holdings, Ltd.		318,313		4,794,866
Genting Singapore PLC		1,167,800		920,262
Global Logistic Properties, Ltd.		497,500		1,033,410
Golden Agri-Resources, Ltd.		1,326,600		361,314
Hutchison Port Holdings Trust		935,800		402,394
Jardine Cycle & Carriage, Ltd.		17,233		555,096
Keppel Corp., Ltd.		265,300		1,211,996
Oversea-Chinese Banking Corp., Ltd.		557,026		4,365,262
SATS, Ltd.		114,700		425,694
Sembcorp Industries, Ltd.		177,900		397,960
Singapore Airlines, Ltd.		91,100		669,595
Singapore Exchange, Ltd.		152,600		813,512
Singapore Press Holdings, Ltd.		306,400		718,794
Singapore Technologies Engineering, Ltd.		247,000		660,174
Singapore Telecommunications, Ltd.		1,445,000		4,082,543
StarHub, Ltd.^(a)		120,500		238,051
Suntec Real Estate Investment Trust		417,500		567,037
United Overseas Bank, Ltd.		237,890		3,994,638
UOL Group, Ltd.		89,832		498,469
Wilmar International, Ltd.		251,600		612,165

				31,378,708

South Africa – 0.1%
Investec PLC		119,452		889,855
Mediclinic International PLC^(a)		60,148		579,328
Mondi PLC		61,229		1,601,802

				3,070,985

Spain – 3.4%
Abertis Infraestructuras SA		124,284		2,299,219
ACS Actividades de Construccion y Servicios SA		42,964		1,657,513
Aena SA^(d)		11,655		2,271,128
Amadeus IT Group SA		77,377		4,620,010
Banco Bilbao Vizcaya Argentaria SA		1,183,601		9,807,431
Banco de Sabadell SA		899,353		1,824,822
Banco Santander SA		2,572,452		16,993,786
Bankia SA		187,877		906,846
Bankinter SA^(a)		127,076		1,168,913
CaixaBank SA		632,456		3,015,233
Distribuidora Internacional de Alimentacion SA		112,631		700,243
Enagas SA		40,604		1,136,932
Endesa SA^(a)		54,326		1,249,764
Ferrovial SA		82,623		1,831,470
Gamesa Corp. Tecnologica SA		38,407		818,936
Gas Natural SDG SA		63,126		1,475,246
Grifols SA		52,762		1,467,433
Iberdrola SA		1,030,212		8,146,332
Industria de Diseno Textil SA		192,142		7,365,549
Mapfre SA		194,652		678,908
Red Electrica Corp. SA^(a)		75,662		1,578,791
Repsol SA		212,186		3,242,917
Telefonica SA		793,040		8,174,887

				82,432,309

Sweden – 2.8%
Alfa Laval AB		52,525		1,073,597
Assa Abloy AB Class B		174,478		3,828,998
Atlas Copco AB Class A		117,510		4,500,030
Atlas Copco AB Class B		70,388		2,429,288
Boliden AB		47,714		1,300,538
Electrolux AB Series B		42,614		1,394,944
Essity AB Class B^(b)		104,016		2,842,557
Getinge AB Class B		35,024		684,738
Hennes & Mauritz AB Class B		167,508		4,168,560
Hexagon AB Class B		46,996		2,231,524
Husqvarna AB Class B		80,679		800,616
ICA Gruppen AB		13,522		502,753
Industrivarden AB Class C		27,746		664,492
Investor AB Class B		81,515		3,923,753
Kinnevik AB Class B		41,542		1,270,214
L E Lundbergforetagen AB Class B		6,443		507,981
Lundin Petroleum AB^(b)		30,763		591,221
Nordea Bank AB		539,305		6,854,366
Sandvik AB		200,656		3,152,144
Securitas AB Class B		56,568		952,352
Skandinaviska Enskilda Banken AB Class A		264,876		3,200,036
Skanska AB Class B		59,507		1,410,324
SKF AB Class B		69,664		1,409,873
Svenska Handelsbanken AB Class A		265,339		3,793,905
Swedbank AB Class A		158,474		3,857,315

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
Sweden – (continued)
Swedish Match AB		35,442	$	1,246,734
Tele2 AB Class B		66,816		698,694
Telefonaktiebolaget LM Ericsson Class B		544,886		3,892,251
Telia Co. AB		471,238		2,167,196
Volvo AB Class B		273,440		4,655,374

				70,006,368

Switzerland – 8.9%
ABB, Ltd.		353,330		8,736,860
Adecco Group AG^(b)		29,333		2,232,941
Baloise Holding AG		8,886		1,375,142
Barry Callebaut AG^(b)		370		509,226
Chocoladefabriken Lindt & Spruengli AG^(e)		176		1,021,835
Chocoladefabriken Lindt & Spruengli AG^(e)		18		1,256,513
Cie Financiere Richemont SA		92,566		7,636,103
Coca-Cola HBC AG^(b)		29,579		867,560
Credit Suisse Group AG^(b)		417,346		6,040,219
Dufry AG^(b)		6,194		1,016,110
EMS-Chemie Holding AG		1,508		1,113,304
Geberit AG		6,593		3,078,776
Givaudan SA		1,608		3,220,534
Glencore PLC^(b)		2,171,884		8,102,392
Julius Baer Group, Ltd.^(b)		40,401		2,128,367
Kuehne + Nagel International AG		9,666		1,614,953
LafargeHolcim, Ltd.^(b)		81,213		4,655,765
Lonza Group AG^(b)		13,569		2,937,246
Nestle SA		551,599		48,066,555
Novartis AG		395,967		32,995,527
Pargesa Holding SA		7,650		582,747
Partners Group Holding AG		2,977		1,848,093
Roche Holding AG		124,580		31,767,802
Schindler Holding AG^(e)		7,268		1,539,892
Schindler Holding AG^(e)		3,944		818,741
SGS SA		968		2,347,095
Sika AG		377		2,425,020
Sonova Holding AG		9,633		1,566,186
STMicroelectronics NV^(a)		113,126		1,621,855
Straumann Holding AG		1,786		1,017,348
Swatch Group AG^(e)		5,182		1,916,093
Swatch Group AG^(e)		10,693		782,170
Swiss Life Holding AG^(b)		5,368		1,813,904
Swiss Prime Site AG^(b)		13,273		1,207,203
Swiss Re AG		57,319		5,246,186
Swisscom AG		4,460		2,154,902
UBS Group AG^(b)		647,456		10,979,675
Vifor Pharma AG		9,106		1,005,069
Wolseley PLC		44,561		2,728,001
Zurich Insurance Group AG		26,742		7,793,758

				219,767,668

United Kingdom – 15.4%
3i Group PLC		175,202		2,053,896
Aberdeen Asset Management PLC		149,307		585,706
Admiral Group PLC		38,319		996,982
Anglo American PLC^(b)		226,888		3,017,892
Ashtead Group PLC		86,365		1,782,600
Associated British Foods PLC		64,314		2,452,753
AstraZeneca PLC		224,733		14,989,926
Auto Trader Group PLC^(d)		186,149		918,833
Aviva PLC		720,370		4,921,909
Babcock International Group PLC		40,052		458,085
BAE Systems PLC		563,918		4,640,393
Barclays PLC		3,011,640		7,931,514
Barratt Developments PLC		177,650		1,300,323
Berkeley Group Holdings PLC		24,323		1,019,549
BP PLC		3,462,174		19,913,550
British American Tobacco PLC		329,794		22,421,706
British Land Co. PLC REIT		181,550		1,427,916
BT Group PLC		1,518,355		5,813,254
Bunzl PLC		59,591		1,771,042
Burberry Group PLC		77,992		1,682,720
Capita PLC		108,576		975,255
Centrica PLC		1,011,695		2,630,909
CNH Industrial NV		172,154		1,946,813
Cobham PLC		394,650		664,369
Coca-Cola European Partners PLC		40,293		1,633,742
Compass Group PLC		276,871		5,826,194
ConvaTec Group PLC^(b)^(d)		220,763		915,338
Croda International PLC		23,514		1,186,615
DCC PLC		15,020		1,363,764
Diageo PLC		442,754		13,046,484
Direct Line Insurance Group PLC		242,834		1,121,035
Dixons Carphone PLC		153,548		565,643
easyJet PLC		28,875		509,722
Fiat Chrysler Automobiles NV^(b)		192,744		2,029,069
G4S PLC		281,805		1,194,789
GKN PLC		298,523		1,264,118
GlaxoSmithKline PLC		871,688		18,518,415
Hammerson PLC REIT		141,199		1,053,692
Hargreaves Lansdown PLC		41,443		700,897
HSBC Holdings PLC		3,478,788		32,160,080
IMI PLC		44,363		688,622
Imperial Brands PLC		170,002		7,615,115
Inmarsat PLC		87,430		873,899
InterContinental Hotels Group PLC		32,572		1,805,341
International Consolidated Airlines Group SA		120,036		951,367
Intertek Group PLC		27,259		1,493,158
Intu Properties PLC REIT		156,211		546,031
ITV PLC		648,668		1,528,453
J Sainsbury PLC		294,197		961,864
Johnson Matthey PLC		35,957		1,340,938
Kingfisher PLC		382,427		1,493,737
Land Securities Group PLC REIT		143,120		1,883,224
Legal & General Group PLC		1,060,029		3,556,594
Lloyds Banking Group PLC		12,586,228		10,814,779
London Stock Exchange Group PLC		56,826		2,691,262

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Security Description	Shares		Value
COMMON STOCKS – (continued)
United Kingdom – (continued)
Marks & Spencer Group PLC		273,085	$	1,182,294
Meggitt PLC		143,867		891,211
Merlin Entertainments PLC^(d)		113,142		706,170
National Grid PLC		609,358		7,533,736
Next PLC		24,538		1,229,047
Old Mutual PLC		890,102		2,236,086
Pearson PLC		147,939		1,328,823
Persimmon PLC		54,546		1,588,513
Petrofac, Ltd.		44,356		254,664
Provident Financial PLC		26,726		844,633
Prudential PLC		454,863		10,404,762
Randgold Resources, Ltd.		16,737		1,479,442
Reckitt Benckiser Group PLC		117,068		11,836,770
RELX NV		173,255		3,556,908
RELX PLC		191,204		4,122,847
Rio Tinto PLC		218,475		9,200,405
Rio Tinto, Ltd.		74,844		3,632,273
Rolls-Royce Holdings PLC^(b)		297,109		3,438,632
Royal Bank of Scotland Group PLC^(b)		596,872		1,916,558
Royal Mail PLC		163,901		896,731
RSA Insurance Group PLC		177,620		1,420,078
Sage Group PLC		187,691		1,677,352
Schroders PLC		19,899		802,315
Segro PLC REIT		176,027		1,118,557
Severn Trent PLC		39,903		1,130,974
Sky PLC		185,923		2,400,555
Smith & Nephew PLC		154,134		2,652,812
Smiths Group PLC		68,772		1,426,622
SSE PLC		178,690		3,372,547
St James’s Place PLC		92,071		1,413,620
Standard Chartered PLC^(b)		575,954		5,814,505
Standard Life PLC		350,606		1,817,579
Tate & Lyle PLC		75,937		652,986
Taylor Wimpey PLC		560,962		1,283,901
Tesco PLC^(b)		1,423,757		3,121,767
Travis Perkins PLC		47,042		889,080
Unilever NV		289,287		15,943,004
Unilever PLC		225,840		12,188,888
United Utilities Group PLC		124,075		1,398,125
Vodafone Group PLC		4,681,237		13,240,701
Weir Group PLC		41,494		932,985
Whitbread PLC		32,926		1,696,654
Wm Morrison Supermarkets PLC		391,659		1,227,093
Worldpay Group PLC^(d)		365,813		1,495,843
WPP PLC		225,588		4,729,462

				379,780,386

United States – 0.6%
Carnival PLC		31,788		2,097,583
Mobileye NV^(b)		30,377		1,907,675
QIAGEN NV^(b)		37,149		1,234,035
Shire PLC		133,677		7,358,848
Shire PLC ADR		8,899		1,470,738
Taro Pharmaceutical Industries, Ltd.^(b)		2,744		307,493

				14,376,372

TOTAL COMMON STOCKS (Cost $2,206,458,558)				2,413,593,702

RIGHTS – 0.0%^(c)
Spain – 0.0%^(c)
ACS Actividades de Construccion y Servicios SA (expiring 7/17/17)^(b)		42,964		34,302
Repsol SA (expiring 6/30/17)^(b)		212,186		96,803

				131,105

TOTAL RIGHTS (Cost $137,238)				131,105

SHORT-TERM INVESTMENTS – 2.0%
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.92%^(f)(g) (Cost $37,493,347)		37,493,347		37,493,347
State Street Navigator Securities Lending Government Money Market Portfolio (Cost $11,533,636)		11,533,636		11,533,636

TOTAL SHORT-TERM INVESTMENTS (Cost $49,026,983)				49,026,983

TOTAL INVESTMENTS – 99.9% (Cost $2,255,622,779)				2,462,751,790
Other Assets in Excess of Liabilities – 0.1%				2,532,857

NET ASSETS – 100.0%			$	2,465,284,647

^(a)	All or a portion of the shares of the security are on loan at June 30, 2017.

^(b)	Non-income producing security.

^(c)	Amount is less than 0.05% of net assets.

^(d)	Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.6% of net assets as of June 30, 2017, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

^(e)	Reflects separate holdings of the issuer’s common stock traded on different securities exchanges.

^(f)	The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2017 are shown in the Affiliate Table below.

^(g)	The rate shown is the annualized seven-day yield at June 30, 2017.


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust
SDR		Swedish Depositary Receipt

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

At June 30, 2017, open futures contracts purchased were as follows:


Futures Contracts	Expiration Date		Number of Contracts		Notional Value		Unrealized Depreciation
Mini MSCI EAFE (long)		09/15/2017		482	$	45,539,360	$	(101,133	)

During the period ended June 30, 2017, average notional value related to futures contracts was $45,674,929 or 1.9% of net assets.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2017.


Description	Level 1 – Quoted Prices			Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
Assets:
Investments:
Common Stocks
Australia	$	171,293,100		$	–	$	–	$	171,293,100
Austria		5,816,560			–		–		5,816,560
Belgium		27,620,286			–		–		27,620,286
Chile		704,837			–		–		704,837
China		333,703			–		–		333,703
Denmark		43,646,173			–		–		43,646,173
Finland		24,586,883			–		–		24,586,883
France		246,852,064			–		–		246,852,064
Germany		229,304,507			–		–		229,304,507
Hong Kong		82,945,447			–		–		82,945,447
Ireland		15,512,988			–		–		15,512,988
Israel		13,917,193			–		–		13,917,193
Italy		49,135,077			–		–		49,135,077
Japan		565,070,570			–		–		565,070,570
Jordan		450,517			–		–		450,517
Luxembourg		7,676,285			–		–		7,676,285
Macau		1,012,738			–		–		1,012,738
Mexico		810,063			–		–		810,063
Netherlands		103,625,535			–		–		103,625,535
New Zealand		4,245,390			–		–		4,245,390
Norway		14,549,624			–		–		14,549,624
Portugal		3,671,366			–		–		3,671,366
Singapore		31,378,708			–		–		31,378,708
South Africa		3,070,985			–		–		3,070,985
Spain		82,432,309			–		–		82,432,309
Sweden		70,006,368			–		–		70,006,368
Switzerland		219,767,668			–		–		219,767,668
United Kingdom		379,780,386			–		–		379,780,386
United States		14,376,372			–		–		14,376,372
Rights
Spain		131,105			–		–		131,105
Short-Term Investments		49,026,983			–		–		49,026,983

Total Investments	$	2,462,751,790		$	–	$	–	$	2,462,751,790

Liabilities:
Other Financial Instruments:
Futures Contracts^(a)	$	(101,133	)	$	–	$	–	$	(101,133	)

Total Other Financial Instruments	$	(101,133	)	$	–	$	–	$	(101,133	)

^(a)	Futures Contracts are valued at unrealized appreciation (depreciation).

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

Affiliate Table


	Number of shares held at 12/31/16		Value at 12/31/16		Shares purchased		Shares sold		Number of shares held at 6/30/17		Value at 6/30/17		Dividend income
State Street Institutional U.S. Government Money Market Fund, Class G Shares		–	$	–		122,312,188		84,818,841		37,493,347	$	37,493,347	$	33,236
State Street Institutional U.S. Government Money Market Fund, Premier Class		39,019,139		39,019,139		142,528,365		181,547,504		–		–		74,812
State Street Navigator Securities Lending Government Money Market Portfolio		–		–		153,691,123		142,157,487		11,533,636		11,533,636		–

TOTAL			$	39,019,139							$	49,026,983	$	108,048

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in unaffiliated issuers, at value* (Note 2)	$	2,413,724,807
Investments in affiliated issuers, at value (Note 2)		49,026,983

Total investments		2,462,751,790
Foreign currency, at value		3,501,699
Cash at broker		1,687,000
Cash		5
Receivable from broker – variation margin on open futures contracts		322,915
Receivable for investments sold		29,932
Dividends receivable – unaffiliated issuers (Note 2)		4,754,113
Dividends receivable – affiliated issuers (Note 2)		22,260
Securities lending income receivable – affiliated issuers		77,748
Receivable for foreign taxes recoverable		4,181,009

Total assets		2,477,328,471

Liabilities
Payable upon return of securities loaned		11,533,636
Payable for investments purchased		357
Advisory fee payable (Note 4)		221,855
Custodian fees payable (Note 4)		124,907
Trustees’ fees and expenses payable (Note 5)		132,449
Professional fees payable		28,258
Printing and postage fees payable		2,362

Total liabilities		12,043,824

Net Assets	$	2,465,284,647

Cost of Investments:
Investments in unaffiliated issuers	$	2,206,595,796
Investments in affiliated issuers		49,026,983

Total cost of investments	$	2,255,622,779

Foreign currency, at cost	$	3,497,787

* Includes investments in securities on loan, at value	$	19,290,291

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Statement of Operations

For the Period Ended June 30, 2017 (Unaudited)


Investment Income
Interest income	$	8,586
Dividend income – unaffiliated issuers (Note 2)		50,373,178
Dividend income – affiliated issuers (Note 2)		108,048
Affiliated securities lending income – net (Note 9)		157,001
Foreign taxes withheld		(4,395,670	)

Total investment income (loss)		46,251,143

Expenses
Advisory fee (Note 4)		1,242,989
Administration and custody fees		133,824
Trustees’ fees and expenses (Note 5)		168,812
Professional fees		38,529
Printing and postage fees		856
Insurance expense		181
Miscellaneous expenses		2,795

Total expenses		1,587,986

Net expenses		1,587,986

Net Investment Income (Loss)		44,663,157

Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments – unaffiliated issuers		(375,947	)
Foreign currency transactions		243,027
Futures contracts		5,762,817

Net realized gain (loss)		5,629,897

Net change in unrealized appreciation/depreciation on:
Investments – unaffiliated issuers		244,574,097
Foreign currency transactions		262,359
Futures contracts		103,725

Net change in unrealized appreciation/depreciation		244,940,181

Net realized and unrealized gain (loss)		250,570,078

Net Increase (Decrease) in Net Assets from Operations	$	295,233,235

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Statement of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			For the Period 4/29/16* - 12/31/16
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	44,663,157		$	27,767,161
Net realized gain (loss)		5,629,897			(3,801,537	)
Net change in unrealized appreciation/depreciation		244,940,181			(37,745,625	)

Net increase (decrease) in net assets resulting from operations		295,233,235			(13,780,001	)

Capital Transactions:
Contributions		319,534,547			1,989,271,659
In-kind subscriptions (Note 1)		–			31,466,206
Withdrawals		(130,547,813	)		(25,893,186	)

Net Increase (Decrease) in Net Assets from Capital Transactions		188,986,734			1,994,844,679

Net Increase (Decrease) in Net Assets During the Period		484,219,969			1,981,064,678

Net Assets at Beginning of Period		1,981,064,678			–

Net Assets at End of Period	$	2,465,284,647		$	1,981,064,678

*	Inception date.

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Financial Highlights

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


	Six Months Ended 6/30/17 (Unaudited)			For the Period 4/29/16* - 12/31/16
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	2,465,285		$	1,981,065
Ratios to average net assets:
Total expenses		0.14	%^(a)		0.15	%^(a)
Net investment income (loss)		3.95	%^(a)		2.57	%^(a)
Total return^(b)		13.96	%		1.00	%
Portfolio turnover rate		3	%^(c)		1	%^(c)

*	Commencement of operations.

^(a)	Annualized.

^(b)	Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results.

^(c)	Not annualized.

See accompanying notes to financial statements.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.

As of June 30, 2017, the Trust consists of six (6) investment portfolios (together, the “Portfolios”). Financial statements herein relate only to the State Street International Developed Equity Index Portfolio (the “Portfolio”), which commenced operations on April 29, 2016.

The Portfolio was formed on April 29, 2016, with an initial in-kind contribution of securities from the State Street Hedged International Developed Equity Index Fund (the “Fund”), as part of a tax-free in-kind transaction in which the Fund contributed equity securities into the Portfolio, and a cash contribution of $10,010 from SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). The transaction consisted of 929 securities totaling $1,275,794,840 at market value, and included $31,466,206 in unrealized depreciation.

The Portfolio is classified as a diversified investment company under the 1940 Act.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

Security Valuation

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

•

Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board.

•

Forward foreign currency exchange contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with the valuation policy and procedures approved by the Board.

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

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017 is disclosed in the Portfolio’s Schedule of Investments.

The Portfolio had no material transfers between levels for the six months ended June 30, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.

All of the net investment income and realized 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.

Expenses

Foreign Currency Translation

The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Foreign Taxes

The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2017, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.

Derivative Financial Instruments

Futures Contracts

The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.

For the period ended June 30, 2017, the Portfolio entered into futures contracts for cash equitization, return enhancement and to facilitate daily liquidity.

The following summarizes the value of the Portfolio’s derivative instruments as of June 30, 2017 and the related location in the accompanying Statement of Assets, presented by primary underlying risk exposure:

Liability Derivatives


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk			Commodity Contracts Risk		Total
Futures Contracts^(a)	$	–	$	–	$	–	$	(101,133	)	$	–	$	(101,133	)

^(a)	Unrealized depreciation on open futures contracts.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Net Realized Gain (Loss)


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	–	$	–	$	–	$	5,762,817	$	–	$	5,762,817

Net Change in Unrealized Appreciation (Depreciation)


	Interest Rate Contracts Risk		Foreign Exchange Contracts Risk		Credit Contracts Risk		Equity Contracts Risk		Commodity Contracts Risk		Total
Futures Contracts	$	–	$	–	$	–	$	103,725	$	–	$	103,725

Fees and Transactions with Affiliates

Advisory Fee

The Portfolio has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Portfolio, the Portfolio pays the Adviser a management fee at an annual rate of 0.11% of its average daily net assets.

Administrator, Sub-Administrator and Custodian Fees

SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:


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

The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios.

Other Transactions with Affiliates – Securities Lending

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Other Transactions with Affiliates

Trustees’ Fees

The fees and expenses of the Trust’s trustees who are not “interested person” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars. The Portfolio has not made any payments to the Independent Trustees during the period ended June 30, 2017.

Investment Transactions

Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2017, were as follows:


	Other Securities
	Purchases		Sales
State Street International Developed Equity Index Portfolio	$	307,330,550	$	73,759,830

Income Tax Information

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, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of December 31, 2017, SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

As of June 30, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:


	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
State Street International Developed Equity Index Portfolio	$	2,248,427,650	$	265,857,871	$	63,067,367	$	202,790,504

Securities Lending

The Portfolio may lend securities to qualified broker-dealers or institutional investors. The loans are secured at all times by cash, cash equivalents or U.S. government securities in an amount at least equal to the market value of the securities loaned, plus accrued interest and dividends, determined on a daily basis and adjusted accordingly. The value of the collateral with respect to a loaned security may be temporarily more or less than the value of a security due to market fluctuations of securities values. With respect to each loan, if on any U.S. business day the aggregate market value of securities collateral plus cash collateral is less than the aggregate market value of the securities which are subject to the loan, the borrower will be notified to provide additional collateral on the next business day.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

The following is a summary of the Portfolio’s securities lending agreements and related cash and non-cash collateral received as of June 30, 2017:

State Street International Developed Equity Index Portfolio


	Remaining Contractual Maturity of the Agreements As of June 30, 2017
	Overnight and Continuous		<30 days		Between 30 & 90 days		>90 days		Total
Securities Lending Transactions
Common Stocks	$	11,533,636	$	–	$	–	$	–	$	11,533,636
Total Borrowings	$	11,533,636	$	–	$	–	$	–	$	11,533,636
Gross amount of recognized liabilities for securities lending transactions.									$	11,533,636

Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participant may borrow to fund shareholder redemptions. The agreement expires October 12, 2017 unless extended or renewed.

The Portfolio had no outstanding loans as of June 30, 2017.

10.

Risks

Foreign and Emerging Markets Risk

Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.

Market and Credit Risk

State Street Master Funds

State Street International Developed Equity Index Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

11.

New Accounting Pronouncement

12.

Subsequent Events

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

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

•


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street International Developed Equity Index Portfolio		0.14	%	$	1,139.60	$	0.74	$	1,024.10	$	0.70

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file their complete schedules of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street International Developed Equity Index Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Information about Performance, Expenses and Fees

•

A report prepared by an independent third-party provider of investment company data, which includes:

•

Comparisons of the State Street Hedged International Developed Equity Index Fund’s (the “HIDE Fund”) performance over the one-year period ended December 31, 2016, to the

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”);

•

Comparisons of the State Street International Developed Equity Index Fund’s (the “Feeder Fund”, and together with the HIDE Fund, the “Funds”) expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”);

•

A chart showing the HIDE Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past two calendar years; and

•

Comparisons of the Feeder Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the HIDE Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds; and

•

A summary of the foregoing materials prepared by Independent Counsel.

The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.

Results of the Process

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

Portfolio Performance

The Board considered the Portfolio’s performance by evaluating the performance of the HIDE Fund. The Board compared the HIDE Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for the one-year period ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge.

The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Feeder Fund, net of waivers. As part of its review, the Board considered the Feeder Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Feeder Fund. The Board also considered the comparability of the fees charged and the services provided to the Feeder Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of the Portfolio to limit the total expenses borne by shareholders of the Feeder Fund. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:

The Board considered the investment advisory fee for the State Street International Developed Equity Index Portfolio in the context of its overall master-feeder arrangement with the State Street International Developed Equity Index Fund. The Board considered that the actual management fee for the State Street International Developed Equity Index Fund was below the median of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.

On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the Feeder Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and the fees and the expense ratio of the Portfolio are reasonable in relation to the services provided.

Profitability

State Street Master Funds

State Street International Developed Equity Index Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the Portfolio and the fund complex, on the other hand, can expect to realize benefits from economies of scale as the assets of the Portfolio and fund complex increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Portfolio or the fund complex taken as a whole. The Board concluded that, in light of the current size of the Portfolio and the fund complex, the level of profitability of the Adviser and its affiliates with respect to the Portfolio and the fund complex over various time periods, and the comparative management fee and expense ratio of the Feeder Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Portfolio to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for the Portfolio at this time.

Conclusions

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator and Transfer Agent of the Portfolio

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

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.


		SSIITHIDESAR

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street Money Market Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Money Market Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			8

Statement of Operations			9

Statements of Changes in Net Assets			10

Financial Highlights			11

Notes to Financial Statements			12

Other Information			18

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Money Market Portfolio

Portfolio Statistics (Unaudited)


Portfolio Composition*	June 30, 2017
Certificates of Deposit	32.2	%
Other Notes	27.1
Financial Company Commercial Paper	17.0
Asset Backed Commercial Paper	13.1
Treasury Repurchase Agreements	5.6
Government Agency Repurchase Agreements	4.2
Other Commercial Paper	0.8
Other Assets in Excess of Liabilities	0.0	**
Total	100.0	%


Maturity Ladder*	June 30, 2017
2 to 30 Days	53.9	%
31 to 60 Days	9.4
61 to 90 Days	13.6
Over 90 Days	23.1
Total	100.0	%
Average days to maturity	26
Weighted average life	56

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

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

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount			Value
ASSET BACKED COMMERCIAL PAPER – 13.1%
Alpine Securitization Ltd.^(a)		1.220	%		08/01/2017		08/01/2017	$	50,000,000		$	49,944,844
Alpine Securitization Ltd.^(a)		1.250	%		08/31/2017		08/31/2017		50,000,000			49,891,328
Antalis SA^(a)		1.200	%		07/07/2017		07/07/2017		65,000,000			64,984,960
Antalis SA^(a)		1.250	%		09/06/2017		09/06/2017		40,000,000			39,904,196
Atlantic Asset Securitization LLC^(a)		1.040	%		07/03/2017		07/03/2017		100,000,000			99,990,042
Bennington Stark Capital Co. LLC^(a)		1.250	%		07/17/2017		07/17/2017		75,000,000			74,957,323
Collateralized Commercial Paper Co. LLC^(a)		1.250	%		09/06/2017		09/06/2017		85,000,000			84,796,416
Collateralized Commercial Paper Co. LLC, 1 Month USD LIBOR + 0.31%^(b)		1.526	%		07/26/2017		10/26/2017		100,000,000			100,077,388
Collateralized Commercial Paper Co. LLC, 1 Month USD LIBOR + 0.47%^(b)		1.556	%		07/06/2017		07/06/2017		100,000,000			100,006,606
Crown Point Cap Co.^(a)		1.320	%		09/27/2017		09/27/2017		75,000,000			74,760,998
Kells Funding LLC^(a)		1.120	%		07/24/2017		07/24/2017		75,000,000			74,940,300
Kells Funding LLC^(a)		1.200	%		09/08/2017		09/08/2017		50,000,000			49,879,444
Liberty Funding LLC^(a)		1.240	%		09/21/2017		09/21/2017		45,000,000			44,866,889
Liberty Funding LLC^(a)		1.250	%		09/27/2017		09/27/2017		48,500,000			48,345,446
LMA SA^(a)		1.040	%		07/03/2017		07/03/2017		100,000,000			99,990,125
LMA SA^(a)		1.350	%		10/03/2017		10/03/2017		50,000,000			49,828,604
Matchpoint Finance PLC^(a)		1.210	%		09/01/2017		09/01/2017		50,000,000			49,882,487
Nieuw Amsterdam Receivables Corp.^(a)		1.270	%		09/15/2017		09/15/2017		85,000,000			84,764,198
Victory Receivables Corp.^(a)		1.330	%		09/15/2017		09/15/2017		100,000,000			99,684,086

TOTAL ASSET BACKED COMMERCIAL PAPER												1,341,495,680
										��
CERTIFICATES OF DEPOSIT – 32.2%
Bank of Montreal^(a)		1.220	%		09/15/2017		09/15/2017		50,000,000			49,993,820
Bank of Montreal^(a)		1.110	%		08/09/2017		08/09/2017		50,000,000			49,992,122
Bank of Montreal, 1 Month USD LIBOR + 0.13%^(b)		1.206	%		07/03/2017		11/03/2017		75,000,000			75,009,199
Bank of Montreal^(a)		1.310	%		10/02/2017		10/02/2017		42,000,000			42,002,837
Bank of Montreal, 3 Month USD LIBOR + 0.17%^(b)		1.356	%		08/23/2017		05/23/2018		80,000,000			80,039,110
Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)		1.130	%		07/05/2017		07/05/2017		50,000,000			49,999,610
Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)		1.240	%		09/11/2017		09/11/2017		75,000,000			75,000,119
Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)		1.250	%		09/21/2017		09/21/2017		100,000,000			99,999,271
Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)		1.260	%		10/10/2017		10/10/2017		50,000,000			49,997,032
BNP Paribas^(a)		1.280	%		10/02/2017		10/02/2017		100,000,000			100,007,970
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.29%^(b)		1.341	%		07/03/2017		12/01/2017		50,000,000			50,047,977
Citibank NA^(a)		1.220	%		09/15/2017		09/15/2017		75,000,000			74,993,293
Citibank NA^(a)		1.240	%		10/06/2017		10/06/2017		50,000,000			49,991,587
Citibank NA^(a)		1.300	%		10/03/2017		10/03/2017		75,000,000			75,000,555

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
CERTIFICATES OF DEPOSIT – (continued)
Citibank NA^(a)		1.300	%		10/12/2017		10/12/2017	$	50,000,000	$	49,998,610
Credit Agricole Corporate & Investment Bank^(a)		1.000	%		07/05/2017		07/05/2017		100,000,000		99,997,307
Credit Agricole Corporate & Investment Bank^(a)		1.240	%		09/21/2017		09/21/2017		75,000,000		74,998,354
Credit Suisse^(a)		1.150	%		07/19/2017		07/19/2017		33,000,000		32,999,400
Credit Suisse^(a)		1.150	%		07/27/2017		07/27/2017		34,000,000		33,998,790
Credit Suisse^(a)		1.150	%		07/28/2017		07/28/2017		33,000,000		32,998,731
ING Bank NV^(a)		1.210	%		07/06/2017		07/06/2017		55,000,000		55,000,000
ING Bank NV^(a)		1.230	%		08/07/2017		08/07/2017		115,000,000		115,000,000
ING Bank NV, 1 Month USD LIBOR + 0.23%^(b)		1.306	%		07/04/2017		11/06/2017		53,000,000		53,000,000
ING Bank NV, 1 Month USD LIBOR + 0.26%^(b)		1.474	%		07/21/2017		10/16/2017		51,000,000		51,000,000
Lloyds Bank PLC, 1 Month USD LIBOR + 0.15%^(b)		1.226	%		07/03/2017		11/03/2017		75,000,000		75,016,117
Lloyds Bank PLC, 1 Month USD LIBOR + 0.45%^(b)		1.662	%		07/20/2017		07/20/2017		75,000,000		75,020,148
Mizuho Bank Ltd.^(a)		1.120	%		07/05/2017		07/05/2017		75,000,000		74,999,415
Nordea Bank AB^(a)		0.990	%		07/03/2017		07/03/2017		75,000,000		74,998,799
Norinchukin Bank^(a)		1.200	%		08/02/2017		08/02/2017		115,000,000		115,000,834
Norinchukin Bank^(a)		1.220	%		09/20/2017		09/20/2017		75,000,000		74,995,228
Rabobank Nederland NV^(a)		1.240	%		10/05/2017		10/05/2017		18,000,000		17,998,884
Royal Bank of Canada, 3 Month USD LIBOR + 0.13%^(b)		1.358	%		09/12/2017		06/12/2018		75,000,000		74,996,988
Royal Bank of Canada, 1 Month USD LIBOR + 0.35%^(b)		1.434	%		07/07/2017		03/07/2018		100,000,000		100,120,132
Royal Bank of Canada, 1 Month USD LIBOR + 0.24%^(b)		1.449	%		07/19/2017		04/19/2018		72,000,000		72,029,648
Royal Bank of Canada, 1 Month USD LIBOR + 0.44%^(b)		1.516	%		07/05/2017		08/04/2017		100,000,000		100,042,593
Royal Bank of Canada, 1 Month USD LIBOR + 0.46%^(b)		1.676	%		07/24/2017		10/24/2017		48,000,000		48,058,190
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.26%^(b)		1.387	%		07/13/2017		10/13/2017		50,000,000		50,017,964
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.12%^(b)		1.279	%		07/17/2017		12/15/2017		50,000,000		50,004,190
Swedbank AB^(a)		1.110	%		07/05/2017		07/05/2017		100,000,000		99,999,416
Toronto-Dominion Bank^(a)		1.300	%		09/28/2017		09/28/2017		100,000,000		100,014,719
Toronto-Dominion Bank^(a)		1.300	%		09/28/2017		09/28/2017		75,000,000		75,011,065
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.34%^(b)		1.416	%		07/03/2017		03/05/2018		50,000,000		50,058,407
UBS AG^(a)		1.200	%		09/06/2017		09/06/2017		75,000,000		74,987,101

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
CERTIFICATES OF DEPOSIT – (continued)
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.10%^(b)		1.189	%		07/10/2017		11/09/2017	$	50,000,000	$	50,004,136
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.12%^(b)		1.329	%		07/18/2017		10/18/2017		67,500,000		67,512,439
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.46%^(b)		1.546	%		07/06/2017		08/07/2017		150,000,000		150,072,748
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.46%^(b)		1.577	%		07/10/2017		08/10/2017		104,000,000		104,053,435

TOTAL CERTIFICATES OF DEPOSIT											3,296,078,290

FINANCIAL COMPANY COMMERCIAL PAPER – 17.0%
Bank of Nova Scotia, 1 Month USD LIBOR + 0.28%^(b)		1.331	%		07/03/2017		12/01/2017		75,000,000		75,052,771
Bank of Nova Scotia, 3 Month USD LIBOR + 0.20%^(b)		1.372	%		08/21/2017		02/21/2018		49,000,000		49,026,898
Bank of Nova Scotia, 3 Month USD LIBOR + 0.20%^(b)		1.386	%		08/23/2017		02/23/2018		32,000,000		32,017,823
BNP Paribas^(a)		1.150	%		07/05/2017		07/05/2017		125,000,000		124,979,445
Caisse des Depots et Consignations^(a)		1.100	%		07/03/2017		07/03/2017		100,000,000		99,991,758
Caisse des Depots et Consignations^(a)		1.130	%		07/25/2017		07/25/2017		50,000,000		49,963,368
Commonwealth Bank of Australia, 1 Month USD LIBOR + 0.17%^(b)		1.256	%		07/03/2017		06/01/2018		75,000,000		75,026,962
DBS Bank Ltd.^(a)		1.120	%		08/01/2017		08/01/2017		85,000,000		84,910,769
DBS Bank Ltd.^(a)		1.170	%		08/24/2017		08/24/2017		84,038,000		83,884,316
DBS Bank Ltd.^(a)		1.310	%		10/10/2017		10/10/2017		100,000,000		99,648,100
DBS Bank Ltd.^(a)		1.310	%		10/12/2017		10/12/2017		100,000,000		99,640,622
Erste Abwicklungsanstalt^(a)		1.140	%		08/16/2017		08/16/2017		65,000,000		64,901,476
National Australia Bank Ltd., 3 Month USD LIBOR + 0.14%^(b)		1.290	%		07/07/2017		04/06/2018		50,000,000		50,020,035
National Australia Bank Ltd., 1 Month USD LIBOR + 0.37%^(b)		1.586	%		07/24/2017		10/23/2017		75,000,000		75,069,097
Nordea Bank AB^(a)		1.215	%		09/12/2017		09/12/2017		80,000,000		79,800,365
NRW.BANK^(a)		1.045	%		07/10/2017		07/10/2017		100,000,000		99,967,944
NRW.BANK^(a)		1.070	%		07/20/2017		07/20/2017		50,000,000		49,967,556
NRW.BANK^(a)		1.090	%		07/18/2017		07/18/2017		75,000,000		74,956,312
Sumitomo Mitsui Banking Corp.^(a)		1.150	%		07/28/2017		07/28/2017		75,000,000		74,929,591
Toronto-Dominion Bank^(a)		1.030	%		07/11/2017		07/11/2017		75,000,000		74,972,408
Toronto-Dominion Bank^(a)		1.110	%		07/06/2017		07/06/2017		125,000,000		124,974,959
Westpac Banking Corp., 1 Month USD LIBOR + 0.23%^(b)		1.439	%		07/13/2017		04/13/2018		53,000,000		53,034,858
Westpac Banking Corp., 1 Month USD LIBOR + 0.36%^(b)		1.572	%		07/20/2017		08/18/2017		40,000,000		40,019,739

TOTAL FINANCIAL COMPANY COMMERCIAL PAPER											1,736,757,172

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
OTHER COMMERCIAL PAPER – 0.8%
General Electric Co.^(a)		1.080	%		07/03/2017		07/03/2017	$	50,000,000	$	49,995,584
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.15%^(b)		1.239	%		07/10/2017		03/05/2018		33,000,000		32,987,901

TOTAL OTHER COMMERCIAL PAPER											82,983,485

OTHER NOTES – 27.1%
Bank of America NA, 1 Month USD LIBOR + 0.14%^(b)		1.191	%		07/03/2017		01/02/2018		74,000,000		73,992,748
Bank of America NA, 1 Month USD LIBOR + 0.14%^(b)		1.200	%		07/05/2017		01/04/2018		50,000,000		49,997,523
Bank of America NA, 1 Month USD LIBOR + 0.12%^(b)		1.329	%		07/17/2017		11/17/2017		50,000,000		49,998,180
Bank of America NA, 1 Month USD LIBOR + 0.38%^(b)		1.497	%		07/05/2017		07/05/2017		75,000,000		75,000,000
Bank of Nova Scotia^(a)		1.060	%		07/03/2017		07/03/2017		225,000,000		225,000,000
BNP Paribas^(a)		1.060	%		07/03/2017		07/03/2017		190,000,000		190,000,000
Credit Agricole Corporate & Investment Bank^(a)		1.060	%		07/03/2017		07/03/2017		47,425,000		47,425,000
Lloyds Bank PLC^(a)		1.050	%		07/03/2017		07/03/2017		325,000,000		325,000,000
National Australia Bank Ltd^(a)		1.050	%		07/03/2017		07/03/2017		150,000,000		150,000,000
National Bank of Canada^(a)		1.050	%		07/03/2017		07/03/2017		200,000,000		200,000,000
National Bank of Canada^(a)		1.130	%		07/06/2017		07/06/2017		150,000,000		150,000,000
Natixis North America LLC^(a)		1.060	%		07/03/2017		07/03/2017		400,000,000		400,000,000
Nordea Bank Finland PLC^(a)		1.070	%		07/03/2017		07/03/2017		250,000,000		250,000,000
Skandinaviska Enskilda Banken AB^(a)		1.060	%		07/03/2017		07/03/2017		189,000,000		189,000,000
Svenska Handelsbanken AB^(a)		1.060	%		07/03/2017		07/03/2017		350,000,000		350,000,000
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.25%^(b)		1.468	%		09/05/2017		12/05/2017		50,000,000		50,042,262

TOTAL OTHER NOTES											2,775,455,713

GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 4.2%
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 7.125% due 01/15/2030, a U.S. Treasury Inflation Index Note, 0.250% due 01/15/2025, and U.S. Treasury Strips, 0.000% due 11/15/2017 – 02/15/2026, valued at $82,620,011); expected proceeds $81,007,358		1.090	%		07/03/2017		07/03/2017		81,000,000		81,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal National Mortgage Associations, 3.000% – 5.000% due 05/05/2029 – 06/01/2047, valued at $19,380,001); expected proceeds $19,001,678		1.060	%		07/03/2017		07/03/2017	$	19,000,000	$	19,000,000
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by Federal National Mortgage Associations, 2.000% – 10.000% due 10/01/2017 – 04/01/2050, a Government National Mortgage Association, 4.000% due 02/20/2047, U.S. Treasury Bills, 0.000% due 07/13/2017 – 08/31/2017, and a U.S. Treasury Bond, 2.500% due 05/15/2046, valued at $67,322,592); expected proceeds $66,006,160		1.120	%		07/03/2017		07/03/2017		66,000,000		66,000,000
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 1.000% due 05/21/2018, a U.S. Treasury Bill, 0.000% due 11/09/2017, U.S. Treasury Bonds, 3.375% – 3.625% due 02/15/2044 – 05/15/2044, and a U.S. Treasury Strip, 0.000% due 05/15/2023, valued at $9,180,000); expected proceeds $9,000,840		1.120	%		07/03/2017		07/03/2017		9,000,000		9,000,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Banks, 1.000% – 1.690% due 09/26/2019 – 06/29/2020, a Federal Home Loan Discount Note, 0.000% due 04/10/2018, a U.S. Treasury Bill, 0.000% due 07/20/2017, a U.S. Treasury Bond, 3.000% due 05/15/2045, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, U.S. Treasury Inflation Index Notes, 0.375% – 0.625% due 07/15/2021 – 07/15/2025, and U.S. Treasury Notes, 1.075% – 1.081% due 10/31/2017 – 07/31/2018, valued at $255,023,870); expected proceeds $250,023,333		1.120	%		07/03/2017		07/03/2017		250,000,000		250,000,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											425,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

Name of Issuer
and Title of Issue

Interest
Rate

Next Rate
Reset Date

Maturity
Date

Principal
Amount

Value

TREASURY REPURCHASE AGREEMENTS – 5.6%

Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 1.125% due 05/31/2019, valued at $55,080,057); expected proceeds $54,004,860

1.080

07/03/2017

54,000,000

Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 4.375% due 05/15/2041, valued at $521,043,430); expected proceeds $521,043,417

1.000

07/03/2017

521,000,000

TOTAL TREASURY REPURCHASE AGREEMENTS

575,000,000

TOTAL INVESTMENTS – 100.0%^(c)(Cost $10,231,981,494)

10,232,770,340

Other Assets in Excess of Liabilities – 0.0%^(d)

3,525,732

NET ASSETS – 100.0%

10,236,296,072

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

^(b)	Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017.

^(c)	Also represents the cost for federal tax purposes.

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

The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2017.


Description	Level 1 – Quoted Prices		Level 2 – Other Significant Observable Inputs		Level 3 – Significant Unobservable Inputs		Total
Assets:
Investments:
Asset Backed Commercial Paper	$	–	$	1,341,495,680	$	–	$	1,341,495,680
Certificates of Deposit		–		3,296,078,290		–		3,296,078,290
Financial Company Commercial Paper		–		1,736,757,172		–		1,736,757,172
Other Commercial Paper		–		82,983,485		–		82,983,485
Other Notes		–		2,775,455,713		–		2,775,455,713
Government Agency Repurchase Agreements		–		425,000,000		–		425,000,000
Treasury Repurchase Agreements				575,000,000				575,000,000

Total Investments	$	–	$	10,232,770,340	$	–	$	10,232,770,340

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in securities, at value (Note 2)	$	9,232,770,340
Repurchase agreements, at value		1,000,000,000

Total investments		10,232,770,340
Cash		368
Interest receivable (Note 2)		4,886,413

Total assets		10,237,657,121

Liabilities
Advisory fee payable (Note 4)		415,300
Administration, custody and transfer agent fees payable (Note 4)		688,097
Trustees’ fees and expenses (Note 5)		47,142
Professional fees payable		96,442
Printing fees payable		20,534
Accrued expenses and other liabilities		93,534

Total liabilities		1,361,049

Net Assets	$	10,236,296,072

Cost of Investments:
Investments in securities	$	9,231,981,494
Repurchase agreements		1,000,000,000

Total cost of investments	$	10,231,981,494

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Statement of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


Investment Income
Interest income	$	48,226,138

Expenses
Advisory fee (Note 4)		2,377,235
Administration, custodian and transfer agent fees (Note 4)		483,632
Professional fees		61,531
Printing fees		11,251
Insurance expense		6,468
Miscellaneous expenses		14,360

Total expenses		2,954,477

Net Investment Income (Loss)		45,271,661

Realized Gain (Loss)
Net realized gain (loss) on:
Investments		18,924
Net change in unrealized appreciation/depreciation on:
Investments		(11,805	)

Net realized and unrealized gain (loss)		7,119

Net Increase (Decrease) in Net Assets from Operations	$	45,278,780

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Statements of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	45,271,661		$	176,501,548
Net realized gain (loss)		18,924			313,218
Net change in unrealized appreciation/depreciation		(11,805	)		800,651

Net increase (decrease) in net assets resulting from operations		45,278,780			177,615,417

Capital Transactions:
Contributions		11,492,155,298			62,887,835,691
Proceeds in connection with Reorganization (Note 8)		–			8,420,969,389
Withdrawals		(9,573,790,630	)		(110,897,624,155	)

Net Increase (Decrease) in Net Assets from Capital Transactions		1,918,364,668			(39,588,819,075	)

Net Increase (Decrease) in Net Assets During the Period		1,963,643,448			(39,411,203,658	)

Net Assets at Beginning of period		8,272,652,624			47,683,856,282

Net Assets at End of Period	$	10,236,296,072		$	8,272,652,624

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Financial Highlights

Selected data for a share outstanding throughout each period


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12
Total return^(a)		0.47	%		0.51	%		0.17	%		0.13	%		0.15	%		0.26	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	10,236,296		$	8,272,653		$	47,683,856		$	40,704,468		$	34,053,304		$	27,508,762
Ratios to Average Net Assets:
Total expenses		0.06	%^(b)		0.07	%		0.07	%		0.07	%		0.06	%		0.06	%
Net investment income (loss)		0.95	%^(b)		0.49	%		0.17	%		0.13	%		0.15	%		0.25	%

^(a)	Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized.

^(b)	Annualized.

See accompanying notes to financial statements.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

As of June 30, 2017, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the State Street Money Market Portfolio (the “Portfolio”).

The Portfolio operates as an institutional money market fund. As an institutional money market fund, the Portfolio (1) will not be limited to institutional investors, but will continue to be available to retail investors; (2) will utilize current market-based prices (except as otherwise generally permitted to value individual portfolio securities with remaining maturities of 60 days or less at amortized cost in accordance with Securities and Exchange Commission (“SEC”) guidance) to value its portfolio securities and transact at a floating net asset value (“NAV”) that uses four decimal-place precision ($1.0000); and (3) has adopted policies and procedures to impose liquidity fees on redemptions and/or temporary redemption gates in the event that the Portfolio’s weekly liquid assets were to fall below a designated threshold, if the Board determines such liquidity fees or redemption gates are in the best interest of the Portfolio.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

Security

Valuation

The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Valuation techniques used to value the Portfolio’s investments by major category are as follows:

•

Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers.

•

Debt obligations (including short-term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices.

•

Repurchase agreements are valued at the repurchase price as of valuation date.

Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

The Portfolio had no transfers between levels for the period ended June 30, 2017.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Expenses

Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio. Other expenses which cannot be attributed to a specific Portfolio are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Portfolio.

Securities and Other Investments

Repurchase Agreements

The 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 sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.

As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $1,000,000,000 and associated collateral equal to $1,009,649,960.

Fees and Transactions with Affiliates

Advisory Fee

The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees


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

The minimum fee will be calculated by multiplying the minimum per Portfolio fee by the number of Portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the Portfolios. SSGA FM and State Street each receive a portion of the fee.

Trustees’ Fees

The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.

Income Tax Information

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, 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 respective Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

As of June 30, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:

Tax Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net
Unrealized

Appreciation

(Depreciation)

State Street Money Market Portfolio

10,231,981,494

1,045,179

(256,333

)

788,846

Risks

Concentration Risk

Market, Credit and Counterparty Risk

In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk).

Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.

Reorganization

On August 29, 2016, State Street Institutional Liquid Reserves Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA Prime Money Market Fund and SSGA Money Market Fund (“Acquired Funds”) in exchange for Trust Class shares and Administration Class shares, respectively, of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

State Street Master Funds

State Street Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

New Accounting Pronouncement

In October 2016, the SEC adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management has evaluated the impact of the adoption of the amendments to Regulation S-X on the financial statements of the Portfolio and concluded that it will be limited to additional disclosures.

10.

Subsequent Events

State Street Master Funds

State Street Money Market Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

As a shareholder of a fund, you incur two types of costs: (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Portfolio expenses. 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. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2017 to June 30, 2017.

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

•

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 U.S. Securities and Exchange Commission (the “SEC”) 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.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street Money Market Portfolio		0.06	%	$	1,004.70	$	0.30	$	1,024.50	$	0.30

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

The Portfolio files its monthly portfolio holdings with the SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Information about Performance, Expenses and Fees

•

Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”);

•

A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and

•

Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers;

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and

•

A summary of the foregoing materials prepared by Independent Counsel.

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Results of the Process

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.

Portfolio Performance

The Board considered the Portfolio’s performance by evaluating the performance of the Fund. The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2016. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.

State Street Institutional Liquid Reserves Fund and State Street Money Market Portfolio. The Board considered that the Fund (a) equaled the median of its Performance Group for the 1-, 3- and 10-year periods and its Lipper Index for the 1-year period, and (b) outperformed the median of its Performance Group for the 5-year period, its Lipper Index for the 3-, 5- and 10-year periods and the median of it Performance Universe for the 1-, 3-, 5- and 10-year periods.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:

State Street Institutional Liquid Reserves Fund and State Street Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.

Profitability

State Street Master Funds

State Street Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.

Economies of Scale

Conclusions

Trustees

Michael F. Holland

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator 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

SSITILRMMSAR

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street U.S. Government Money Market Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			13

Statement of Operations			14

Statements of Changes in Net Assets			15

Financial Highlights			16

Notes to Financial Statements			17

Other Information			22

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Portfolio Statistics (Unaudited)


Portfolio Composition*	June 30, 2017
Government Agency Debt	42.5	%
Treasury Repurchase Agreements	35.9
Treasury Debt	13.8
Government Agency Repurchase Agreements	9.3
Liabilities in Excess of Other Assets	(1.5	)
Total	100.0	%


Maturity Ladder*	June 30, 2017
2 to 30 Days	52.1	%
31 to 60 Days	10.7
61 to 90 Days	10.5
Over 90 Days	28.2
Total	101.5	%
Average days to maturity	25
Weighted average life	73

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

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – 42.5%
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.15%^(a)		0.915	%		07/02/2017		04/02/2018	$	200,000,000	$	200,000,000
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.12%^(a)		0.956	%		07/03/2017		10/03/2017		98,200,000		98,197,439
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.07%^(a)		1.149	%		07/07/2017		11/07/2017		150,000,000		149,997,863
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.05%^(a)		1.176	%		07/30/2017		08/30/2017		124,900,000		124,897,921
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.04%^(a)		1.186	%		07/30/2017		11/30/2017		150,000,000		149,992,114
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.04%^(a)		1.191	%		07/30/2017		10/30/2017		125,000,000		124,998,743
Federal Farm Credit Bank, 1 Month USD LIBOR – 0.18%^(a)		0.880	%		07/02/2017		03/02/2018		115,000,000		115,000,000
Federal Farm Credit Bank, 1 Month USD LIBOR + 0.13%^(a)		1.206	%		07/04/2017		12/04/2017		125,000,000		125,076,214
Federal Home Loan Bank, 3 Month USD LIBOR – 0.29%^(a)		0.858	%		07/03/2017		10/03/2017		73,900,000		73,900,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.09%^(a)		1.132	%		09/08/2017		09/08/2017		275,000,000		275,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.05%^(a)		1.134	%		08/08/2017		08/08/2017		250,000,000		250,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.28%^(a)		0.966	%		09/15/2017		12/15/2017		200,000,000		200,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%^(a)		1.059	%		07/14/2017		12/14/2017		250,000,000		250,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.08%^(a)		1.090	%		08/01/2017		11/01/2017		50,000,000		50,000,000
Federal Home Loan Bank, 1 Month USD LIBOR + 0.01%^(a)		1.232	%		07/31/2017		11/28/2017		250,000,000		249,994,782
Federal Home Loan Bank, 1 Month USD LIBOR – 0.11%^(a)		0.974	%		07/07/2017		07/07/2017		403,600,000		403,600,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.42%^(a)		0.733	%		07/24/2017		07/24/2017		156,000,000		156,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.18%^(a)		1.002	%		08/15/2017		11/15/2017		250,000,000		250,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.01%^(a)		1.050	%		07/02/2017		10/02/2017		275,000,000		275,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%^(a)		1.047	%		07/13/2017		12/13/2017		148,300,000		148,300,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.02%^(a)		1.207	%		07/28/2017		08/28/2017		188,500,000		188,500,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.18%^(a)		1.001	%		08/13/2017		11/13/2017		125,000,000		125,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – (continued)
Federal Home Loan Bank, 1 Month USD LIBOR – 0.02%^(a)		1.069	%		07/07/2017		09/07/2017	$	181,000,000	$	181,000,000
Federal Home Loan Bank, 1 Month USD LIBOR – 0.08%^(a)		1.079	%		07/15/2017		12/15/2017		250,000,000		250,000,000
Federal Home Loan Bank, 3 Month USD LIBOR – 0.05%^(a)		1.108	%		07/10/2017		07/10/2017		175,000,000		174,999,893
Federal Home Loan Bank, 1 Month USD LIBOR + 0.01%^(a)		1.096	%		07/06/2017		04/06/2018		90,000,000		89,999,887
Federal Home Loan Bank, 3 Month USD LIBOR –0.40%^(a)		0.755	%		07/17/2017		07/17/2017		135,700,000		135,700,000
Federal Home Loan Bank^(b)		0.800	%		07/05/2017		07/05/2017		325,000,000		324,971,111
Federal Home Loan Bank, 3 Month USD LIBOR –0.35%^(a)		0.803	%		07/22/2017		01/22/2018		171,400,000		171,400,000
Federal Home Loan Bank^(b)		0.854	%		07/21/2017		07/21/2017		252,500,000		252,380,203
Federal Home Loan Bank, 1 Month USD LIBOR –0.13%^(a)		0.966	%		07/09/2017		01/09/2018		185,700,000		185,700,000
Federal Home Loan Bank^(b)		1.024	%		08/23/2017		08/23/2017		311,000,000		310,531,150
Federal Home Loan Bank^(b)		1.027	%		08/18/2017		08/18/2017		270,000,000		269,630,280
Federal Home Loan Bank^(b)		1.030	%		08/09/2017		08/09/2017		77,500,000		77,413,523
Federal Home Loan Bank^(b)		1.030	%		08/14/2017		08/14/2017		355,800,000		355,352,087
Federal Home Loan Bank^(b)		1.032	%		08/11/2017		08/11/2017		250,000,000		249,706,167
Federal Home Loan Bank^(b)		1.032	%		08/16/2017		08/16/2017		347,750,000		347,291,434
Federal Home Loan Bank^(b)		1.039	%		09/27/2017		09/27/2017		411,500,000		410,454,881
Federal Home Loan Bank^(b)		1.045	%		09/20/2017		09/20/2017		821,000,000		819,069,624
Federal Home Loan Bank^(b)		1.048	%		09/15/2017		09/15/2017		444,500,000		443,516,568
Federal Home Loan Bank, 1 Month USD LIBOR –0.15%^(a)		1.071	%		07/25/2017		01/25/2018		211,000,000		211,000,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.17%^(a)		0.881	%		07/01/2017		02/01/2018		100,000,000		100,000,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.16%^(a)		1.049	%		07/18/2017		10/18/2017		234,400,000		234,400,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.15%^(a)		1.064	%		07/18/2017		01/18/2018		105,500,000		105,500,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%^(a)		1.179	%		07/17/2017		08/17/2017		221,800,000		221,800,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.39%^(a)		0.782	%		07/26/2017		01/26/2018		413,000,000		413,000,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.09%^(a)		1.027	%		07/11/2017		08/11/2017		67,300,000		67,300,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.19%^(a)		1.105	%		09/28/2017		06/28/2018		398,550,000		398,550,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.13%^(a)		0.946	%		07/05/2017		01/05/2018		701,200,000		701,200,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – (continued)
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%^(a)		1.139	%		07/16/2017		08/16/2017	$	95,000,000	$	95,000,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.32%^(a)		0.828	%		07/03/2017		04/03/2018		243,000,000		243,000,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.32%^(a)		0.975	%		09/28/2017		03/28/2018		81,000,000		81,000,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.43%^(a)		0.745	%		07/27/2017		07/27/2017		102,000,000		101,991,994
Federal Home Loan Bank, 3 Month USD LIBOR –0.41%^(a)		0.745	%		07/13/2017		07/13/2017		387,000,000		387,000,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.16%^(a)		0.931	%		07/06/2017		10/06/2017		210,400,000		210,400,000
Federal Home Loan Bank, 3 Month USD LIBOR –0.28%^(a)		0.956	%		09/13/2017		12/13/2017		94,900,000		94,900,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%^(a)		1.142	%		07/16/2017		08/16/2017		158,500,000		158,500,000
Federal Home Loan Bank, 1 Month USD LIBOR –0.03%^(a)		1.177	%		07/17/2017		08/17/2017		95,000,000		95,000,000
Federal Home Loan Bank, 1 Month USD LIBOR + 0.08%^(a)		1.169	%		07/08/2017		01/08/2018		50,000,000		50,051,922
Federal Home Loan Bank, 3 Month USD LIBOR – 0.40%^(a)		0.756	%		07/12/2017		07/12/2017		339,300,000		339,300,000
Federal Home Loan Mortgage Corp.^(b)		0.770	%		07/05/2017		07/05/2017		358,073,000		358,042,365
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.34%^(a)		0.818	%		07/11/2017		01/11/2018		376,500,000		376,500,000
Federal Home Loan Mortgage Corp.^(b)		0.830	%		08/04/2017		08/04/2017		336,800,000		336,535,986
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.16%^(a)		0.957	%		07/11/2017		05/11/2018		631,400,000		631,400,000
Federal Home Loan Mortgage Corp.^(b)		1.015	%		10/06/2017		10/06/2017		446,400,000		445,179,158
Federal Home Loan Mortgage Corp.^(b)		1.020	%		09/11/2017		09/11/2017		241,650,000		241,157,034
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR – 0.15%^(a)		1.064	%		07/21/2017		06/21/2018		646,400,000		646,400,000
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.08%^(a)		1.200	%		09/21/2017		12/21/2017		75,000,000		75,000,000
Federal Home Loan Mortgage Corp., 1 Month USD LIBOR + 0.04%^(a)		1.167	%		07/13/2017		11/13/2017		250,000,000		250,000,000
Federal Home Loan Mortgage Corp.^(b)		0.919	%		08/15/2017		08/15/2017		217,500,000		217,250,147
Federal Home Loan Mortgage Corp.^(b)		1.020	%		09/19/2017		09/19/2017		338,101,000		337,334,638
Federal Home Loan Mortgage Corp., 3 Month USD LIBOR – 0.35%^(a)		0.937	%		09/22/2017		12/22/2017		395,000,000		395,000,000
Federal National Mortgage Assoc.^(b)		0.800	%		07/12/2017		07/12/2017		265,000,000		264,935,222
Federal National Mortgage Assoc.^(b)		0.819	%		07/05/2017		07/05/2017		281,000,000		280,974,429
Federal National Mortgage Assoc.^(b)		1.015	%		09/13/2017		09/13/2017		186,600,000		186,210,680

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY DEBT – (continued)
Federal National Mortgage Assoc.^(b)		1.040	%		10/10/2017		10/10/2017	$	250,000,000	$	249,270,556
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%^(a)		1.086	%		07/05/2017		10/05/2017		75,000,000		74,992,302
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.03%^(a)		1.128	%		07/11/2017		01/11/2018		125,000,000		125,000,000
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%^(a)		1.182	%		07/16/2017		08/16/2017		300,000,000		299,996,190
Federal National Mortgage Assoc., 3 Month USD LIBOR – 0.05%^(a)		1.230	%		09/21/2017		03/21/2018		250,000,000		250,306,679
Federal National Mortgage Assoc., 1 Month USD LIBOR + 0.01%^(a)		1.099	%		07/08/2017		09/08/2017		220,000,000		219,987,458

TOTAL GOVERNMENT AGENCY DEBT											19,602,938,644

TREASURY DEBT – 13.8%
U.S. Treasury Bill^(b)		0.825	%		07/13/2017		07/13/2017		250,000,000		249,931,250
U.S. Treasury Bill^(b)		0.908	%		08/10/2017		08/10/2017		250,000,000		249,748,400
U.S. Treasury Bill^(b)		0.910	%		09/14/2017		09/14/2017		803,250,000		801,642,886
U.S. Treasury Bill^(b)		0.928	%		08/24/2017		08/24/2017		450,000,000		449,377,515
U.S. Treasury Bill^(b)		0.980	%		09/07/2017		09/07/2017		200,000,000		199,629,778
U.S. Treasury Bill^(b)		1.013	%		09/21/2017		09/21/2017		585,000,000		583,652,655
U.S. Treasury Bill^(b)		1.060	%		11/30/2017		11/30/2017		200,000,000		199,104,889
U.S. Treasury Bill^(b)		1.070	%		12/07/2017		12/07/2017		150,000,000		149,291,125
U.S. Treasury Bill^(b)		1.100	%		12/14/2017		12/14/2017		150,000,000		149,236,746
U.S. Treasury Bill^(b)		1.120	%		12/21/2017		12/21/2017		452,750,000		450,313,199
U.S. Treasury Note^(b)		0.820	%		07/31/2017		07/31/2017		111,000,000		111,142,425
U.S. Treasury Note^(b)		0.825	%		07/31/2017		07/31/2017		110,000,000		109,981,806
U.S. Treasury Note^(b)		1.066	%		09/30/2017		09/30/2017		106,500,000		106,383,351
U.S. Treasury Note^(b)		1.073	%		10/31/2017		10/31/2017		250,000,000		249,732,651
U.S. Treasury Note^(b)		1.076	%		10/15/2017		10/15/2017		49,900,000		49,870,880
U.S. Treasury Note, 3 Month USD MMY + 0.08%^(a)		1.080	%		07/01/2017		07/31/2017		229,000,000		228,994,617
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(a)		1.171	%		07/01/2017		10/31/2017		298,900,000		298,951,569
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(a)		1.177	%		07/01/2017		07/31/2018		678,566,000		679,161,309
U.S. Treasury Note, 3 Month USD MMY + 0.19%^(a)		1.193	%		07/04/2017		04/30/2018		650,500,000		651,104,622
U.S. Treasury Note, 3 Month USD MMY + 0.27%^(a)		1.275	%		07/01/2017		01/31/2018		382,000,000		382,702,700

TOTAL TREASURY DEBT											6,349,954,373

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 9.3%
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal National Mortgage Association, 7.125% due 01/15/2030, a U.S. Treasury Bond, 3.750% due 11/15/2043, a U.S. Treasury Inflation Index Note, 0.250% due 01/15/2025, and a U.S. Treasury Note, 1.250% due 11/15/2018, valued at $34,680,018); expected proceeds $34,003,088		1.090	%		07/03/2017		07/03/2017	$	34,000,000	$	34,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a Federal Home Loan Bank, 0.875% due 03/19/2018, Federal Home Loan Mortgage Corporations, 1.800% – 6.750% due 04/28/2020 –03/15/2031, and Federal National Mortgage Associations, 1.500% –1.950% due 02/28/2020 – 01/27/2021, valued at $357,000,113); expected proceeds $350,072,819		1.070	%		07/07/2017		07/07/2017		350,000,000		350,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% –11.500% due 07/15/2017 –07/01/2047, Federal National Mortgage Associations, 2.000% –11.000% due 08/01/2017 – 09/01/2047, and a U.S. Treasury Note, 1.125% due 09/30/2021, valued at $765,018,644); expected proceeds $750,157,500		1.080	%		07/07/2017		07/07/2017		750,000,000		750,000,000
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/26/2017 (collateralized by a Federal Home Loan Bank, 5.500% due 07/15/2036, and Federal Home Loan Discount Notes, 0.000% due 07/28/2017 – 12/01/2017, valued at $229,500,814); expected proceeds $225,045,500		1.040	%		07/03/2017		07/03/2017		225,000,000		225,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/29/2017 (collateralized by a Federal Home Loan Bank, 1.000% due 09/26/2019, a Federal Home Loan Discount Note, 0.000% due 09/29/2017, a Federal Home Loan Mortgage Corporation, 1.800% due 04/13/2020, Federal National Mortgage Associations, 1.650% – 1.900% due 01/17/2020 – 10/27/2020, a Financing Corp., 9.650% due 11/02/2018, and a Resolution Funding Strip, 0.000% due 11/15/2020, valued at $408,000,028); expected proceeds $400,081,667		1.050	%		07/06/2017		07/06/2017	$	400,000,000	$	400,000,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/27/2017 (collateralized by a Federal Farm Credit Bank, 3.180% due 06/26/2029, Federal Home Loan Mortgage Corporations, 0.875% – 1.500% due 10/12/2018 – 08/12/2021, Federal National Mortgage Associations, 1.250% – 2.250% due 09/27/2018 – 04/27/2022, a U.S. Treasury Bill, 0.000% due 07/20/2017, a U.S. Treasury Bond, 3.000% due 05/15/2045, and a U.S. Treasury Inflation Index Note, 0.375% due 01/15/2027, valued at $102,018,093); expected proceeds $100,023,556		1.060	%		07/05/2017		07/05/2017		100,000,000		100,000,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 0.750% – 6.750% due 07/28/2017 – 07/15/2032, Federal National Mortgage Associations, 0.875% – 2.125% due 08/28/2017 – 04/24/2026, valued at $204,019,552); expected proceeds $200,018,333		1.100	%		07/03/2017		07/03/2017		200,000,000		200,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued)
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 01/01/2025 – 06/01/2047, and Federal National Mortgage Associations, 1.620% – 4.500% due 08/01/2021 – 06/01/2056, valued at $2,295,210,375); expected proceeds $2,250,206,250		1.100	%		07/03/2017		07/03/2017	$	2,250,000,000	$	2,250,000,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS											4,309,000,000

TREASURY REPURCHASE AGREEMENTS – 35.9%
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2047, and a U.S. Treasury Note, 1.500% due 05/15/2020, valued at $94,868,722); expected proceeds $93,008,525		1.100	%		07/03/2017		07/03/2017		93,000,000		93,000,000
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.000% – 8.125% due 08/15/2019 – 11/15/2045, and U.S. Treasury Notes, 1.125% – 2.250% due 07/31/2021 – 11/15/2022, valued at $168,315,452); expected proceeds $165,015,125		1.100	%		07/03/2017		07/03/2017		165,000,000		165,000,000
Agreement with Barclays Bank PLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 2.875% – 3.125% due 08/15/2044 – 11/15/2046, U.S. Treasury Inflation Index Bonds, 1.375% – 2.125% due 02/15/2041 – 02/15/2044, and U.S. Treasury Notes, 0.625% – 3.125% due 08/15/2017 – 05/15/2025, valued at $2,105,280,005); expected proceeds $2,064,185,760		1.080	%		07/03/2017		07/03/2017		2,064,000,000		2,064,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 02/15/2044, a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, and U.S. Treasury Notes 1.500% – 3.625% due 11/30/2019 – 11/15/2026, valued at $162,180,057); expected proceeds $159,014,310		1.080	%		07/03/2017		07/03/2017	$	159,000,000	$	159,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 6.625% due 02/15/2027, and a U.S. Treasury Note 2.250% due 01/31/2024, valued at $81,600,012); expected proceeds $80,006,667		1.000	%		07/03/2017		07/03/2017		80,000,000		80,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 7.625% due 11/15/2022, and a U.S. Treasury Note 2.250% due 02/15/2027, valued at $193,800,011); expected proceeds $190,039,161		1.060	%		07/07/2017		07/07/2017		190,000,000		190,000,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 0.875% – 3.750% due 09/15/2017 – 10/31/2023, valued at $95,880,043); expected proceeds $94,008,538		1.090	%		07/03/2017		07/03/2017		94,000,000		94,000,000
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/29/2017 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 11/30/2020 – 05/31/2023, valued at $510,000,028); expected proceeds $500,102,083		1.050	%		07/06/2017		07/06/2017		500,000,000		500,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Inflation Index Note, 1.125% due 01/15/2021, and U.S. Treasury Notes, 2.500% – 2.750% due 08/15/2023 – 02/15/2024, valued at $372,300,004); expected proceeds $365,150,461^(c)		1.060	%		07/14/2017		07/14/2017	$	365,000,000	$	365,000,000
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 4.625% due 05/15/2038 – 02/15/2043, and U.S. Treasury Notes, 1.625% – 2.000% due 11/15/2022 – 02/15/2023, valued at $8,200,683,377); expected proceeds $8,200,683,333		1.000	%		07/03/2017		07/03/2017		8,200,000,000		8,200,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 0.875% – 1.500% due 07/15/2018 – 03/31/2019, valued at $135,469,004); expected proceeds $132,819,731		1.060	%		07/03/2017		07/03/2017		132,808,000		132,808,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 2.875% – 4.250% due 11/15/2040 – 05/15/2043, a U.S. Treasury Note, 1.750% due 05/15/2023, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 08/15/2026, valued at $1,020,002,271); expected proceeds $1,000,204,167		1.050	%		07/05/2017		07/05/2017		1,000,000,000		1,000,000,000
Agreement with Lloyds Bank PLC, dated 05/16/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 0.625% – 2.250% due 09/30/2017 – 04/30/2021, valued at $230,450,344); expected proceeds $225,575,000^(c)		1.000	%		07/03/2017		08/16/2017		225,000,000		225,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Lloyds Bank PLC, dated 06/01/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 04/15/2020 – 01/15/2029, and U.S. Treasury Notes, 1.125% – 1.500% due 08/31/2018 – 08/31/2021, valued at $767,162,693); expected proceeds $750,620,000		0.930	%		07/03/2017		07/03/2017	$	750,000,000	$	750,000,000
Agreement with Lloyds Bank PLC, dated 06/28/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2020 – 07/15/2025, and U.S. Treasury Notes, 1.250% – 3.750% due 06/30/2018 – 08/15/2025, valued at $1,023,599,037); expected proceeds $1,000,200,278		1.030	%		07/05/2017		07/05/2017		1,000,000,000		1,000,000,000
Agreement with Lloyds Bank PLC, dated 06/29/2017 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 2.500% due 01/15/2022 – 01/15/2029, and U.S. Treasury Notes, 1.000% – 1.750% due 06/30/2018 – 02/28/2022, valued at $512,231,355); expected proceeds $500,100,139		1.030	%		07/06/2017		07/06/2017		500,000,000		500,000,000
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bills, 0.000% due 08/31/2017 – 11/02/2017, U.S. Treasury Bonds, 3.000% – 8.875% due 02/15/2019 – 11/15/2044, and U.S. Treasury Notes, 1.375% – 2.500% due 06/30/2023 – 08/15/2023, valued at $306,027,309); expected proceeds $300,026,750		1.070	%		07/03/2017		07/03/2017		300,000,000		300,000,000
Agreement with MUFG Securities, dated 06/28/2017 (collateralized by a U.S. Treasury Bond, 2.875% due 08/15/2045, and U.S. Treasury Notes, 1.750% – 2.625% due 08/15/2020 – 02/15/2025, valued at $306,005,362); expected proceeds $300,062,417		1.070	%		07/05/2017		07/05/2017		300,000,000		300,000,000
Agreement with MUFG Securities, dated 06/30/2017 (collateralized by U.S. Treasury Notes, 1.250% – 2.250% due 02/28/2019 – 02/15/2027, valued at $433,489,797); expected proceeds $425,038,958		1.100	%		07/03/2017		07/03/2017		425,000,000		425,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

Name of Issuer
and Title of Issue

Interest
Rate

Next Rate
Reset Date

Maturity
Date

Principal
Amount

Value

TREASURY REPURCHASE AGREEMENTS – (continued)

Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.750% due 11/15/2043, valued at $36,720,069); expected proceeds $36,003,360

1.120

07/03/2017

36,000,000

TOTAL TREASURY REPURCHASE AGREEMENTS

16,578,808,000

TOTAL INVESTMENTS – 101.5%^(d)(e)

46,840,701,017

LIABILITIES IN EXCESS OF OTHER ASSETS – (1.5)%

(697,398,603

)

NET ASSETS – 100.0%

46,143,302,414

^(a)	Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017.

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

^(c)	Illiquid security. These securities represent $590,000,000 or 1.3% of net assets as of June 30, 2017.

^(d)	Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

^(e)	Also represents the cost for federal tax purposes.

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in securities, at value and cost (Note 2)	$	25,952,893,017
Repurchase agreements, at amortized cost		20,887,808,000

Total Investments		46,840,701,017
Interest receivable (Note 2)		18,196,730
Other Receivable		99,656

Total assets		46,858,997,403

Liabilities
Due to custodian (Note 4)		710,923,224
Advisory fee payable (Note 4)		1,876,635
Administration, custody and transfer agent fees payable (Note 4)		2,821,341
Professional fees payable		57,467
Printing fees payable		8,729
Accrued expenses and other liabilities		7,593

Total liabilities		715,694,989

Net Assets	$	46,143,302,414

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Statement of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


Investment Income
Interest income	$	167,355,727

Expenses
Advisory fee (Note 4)		11,572,324
Administration, custodian and transfer agent fees (Note 4)		2,932,427
Trustees’ fees and expenses (Note 5)		273,640
Professional fees		36,084
Insurance expense		2,226

Total expenses		14,816,701

Net Investment Income (Loss)		152,539,026

Realized Gain (Loss)
Net realized gain (loss) on:
Investments		15,680

Net realized gain (loss)		15,680

Net Increase (Decrease) in Net Assets from Operations	$	152,554,706

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Statements of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	152,539,026		$	85,259,568
Net realized gain (loss)		15,680			79,284

Net increase (decrease) in net assets resulting from operations		152,554,706			85,338,852

Capital Transactions:
Contributions		52,624,587,908			97,658,772,208
Proceeds in connection with Reorganization (Note 8)		–			2,551,626,959
Withdrawals		(57,559,067,625	)		(65,394,001,185	)

Net Increase (Decrease) in Net Assets from Capital Transactions		(4,934,479,717	)		34,816,397,982

Net Increase (Decrease) in Net Assets During the Period		(4,781,925,011	)		34,901,736,834

Net Assets at Beginning of Period		50,925,227,425			16,023,490,591

Net Assets at End of Period	$	46,143,302,414		$	50,925,227,425

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Financial Highlights

Selected data for a share outstanding throughout each period


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12
Total return^(a)		0.33	%		0.31	%		0.03	%		0.01	%		0.03	%		0.08	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	46,143,302		$	50,925,227		$	16,023,491		$	13,207,868		$	8,712,920		$	8,621,186
Ratios to average net assets:
Total expenses		0.06	%^(b)		0.07	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.66	%^(b)		0.32	%		0.03	%		0.01	%		0.03	%		0.08	%

^(a)	Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized.

^(b)	Annualized.

See accompanying notes to financial statements.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

As of June 30, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street U.S. Government Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.

Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.

Expenses

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Securities and Other Investments

Repurchase Agreements

The 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 sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $20,887,808,000, and associated collateral equal to $21,151,512,587.

Fees and Transactions with Affiliates

Advisory Fee

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees


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

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Due to Custodian

In certain circumstances, the Funds may have cash overdrafts with the custodian. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Funds. The Due to Custodian represents amount payable to State Street for capital activity as of period ended June 30, 2017.

Trustees’ Fees

Income Tax Information

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, gains and losses of the Portfolio is 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 its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Risks

Concentration Risk

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Market, Credit and Counterparty Risk

Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional U.S. Government Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Government Money Market Fund (“Acquired Fund”) in exchange for Administration Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

New Accounting Pronouncement

10. Subsequent Events

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

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

•

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 U.S. Securities and Exchange Commission (the “SEC”) 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.


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street U.S. Government Money Market Portfolio		0.06	%	$	1,003.30	$	0.30	$	1,024.50	$	0.30

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street U.S. Government Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Information about Performance, Expenses and Fees

•

Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and

•

Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers;

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and

•

A summary of the foregoing materials prepared by Independent Counsel.

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Results of the Process

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.

Portfolio Performance

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.

State Street Institutional U.S. Government Money Market Fund and State Street U.S. Government Money Market Portfolio. The Board considered that the Fund outperformed the median of its Performance Universe and its Lipper Index for the 1-, 3- and 5-year periods and underperformed the median of its Performance Group for the 1-, 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:

State Street Institutional U.S. Government Money Market Fund and State Street U.S. Government Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.

Profitability

State Street Master Funds

State Street U.S. Government Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Trust, including enterprise, litigation, business, operational and entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.

Economies of Scale

Conclusions

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator 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

SSITUSGOVMMSAR

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street Treasury Money Market Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Treasury Money Market Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			3

Statement of Operations			4

Statements of Changes in Net Assets			5

Financial Highlights			6

Notes to Financial Statements			7

Other Information			11

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Treasury Money Market Portfolio

Portfolio Statistics (Unaudited)


Portfolio Composition*	June 30, 2017
Treasury Debt	100.0	%
Other Assets in Excess of Liabilities	0.0	**
Total	100.0	%


Maturity Ladder*	June 30, 2017
2 to 30 Days	46.1	%
31 to 60 Days	14.2
61 to 90 Days	20.7
Over 90 Days	19.0
Total	100.0	%
Average days to maturity	37
Weighted average life	78

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

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

State Street Master Funds

State Street Treasury Money Market Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value

TREASURY DEBT – 100.0%
U.S. Treasury Bill^(a)		0.820	%		07/20/2017		07/20/2017	$	2,263,609,000	$	2,262,608,436
U.S. Treasury Bill^(a)		0.820	%		07/27/2017		07/27/2017		1,206,000,000		1,205,254,675
U.S. Treasury Bill^(a)		0.825	%		07/13/2017		07/13/2017		1,726,500,000		1,726,003,255
U.S. Treasury Bill^(a)		0.845	%		08/03/2017		08/03/2017		200,000,000		199,845,083
U.S. Treasury Bill^(a)		0.850	%		07/06/2017		07/06/2017		1,242,834,000		1,242,697,236
U.S. Treasury Bill^(a)		0.890	%		09/21/2017		09/21/2017		835,000,000		833,104,354
U.S. Treasury Bill^(a)		0.905	%		08/17/2017		08/17/2017		400,000,000		399,541,750
U.S. Treasury Bill^(a)		0.908	%		08/10/2017		08/10/2017		450,000,000		449,547,120
U.S. Treasury Bill^(a)		0.910	%		09/14/2017		09/14/2017		830,000,000		828,302,710
U.S. Treasury Bill^(a)		0.928	%		08/24/2017		08/24/2017		450,000,000		449,377,493
U.S. Treasury Bill^(a)		0.960	%		08/31/2017		08/31/2017		301,000,000		300,510,373
U.S. Treasury Bill^(a)		0.980	%		09/07/2017		09/07/2017		500,000,000		499,070,667
U.S. Treasury Bill^(a)		1.000	%		09/28/2017		09/28/2017		495,000,000		493,776,250
U.S. Treasury Bill^(a)		1.060	%		11/30/2017		11/30/2017		125,000,000		124,440,556
U.S. Treasury Bill^(a)		1.070	%		12/07/2017		12/07/2017		75,000,000		74,645,563
U.S. Treasury Bill^(a)		1.100	%		12/14/2017		12/14/2017		100,000,000		99,491,049
U.S. Treasury Bill^(a)		1.120	%		12/21/2017		12/21/2017		200,000,000		198,923,556
U.S. Treasury Note^(a)		0.820	%		07/31/2017		07/31/2017		32,000,000		32,041,059
U.S. Treasury Note^(a)		0.825	%		07/31/2017		07/31/2017		132,000,000		131,966,351
U.S. Treasury Note^(a)		0.926	%		07/15/2017		07/15/2017		150,000,000		149,996,842
U.S. Treasury Note^(a)		1.066	%		09/30/2017		09/30/2017		33,600,000		33,563,198
U.S. Treasury Note^(a)		1.073	%		10/31/2017		10/31/2017		133,500,000		133,357,235
U.S. Treasury Note^(a)		1.076	%		10/15/2017		10/15/2017		15,600,000		15,590,896
U.S. Treasury Note, 3 Month USD MMY + 0.08%^(b)		1.080	%		07/01/2017		07/31/2017		358,500,000		358,491,839
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.171	%		07/01/2017		10/31/2017		225,500,000		225,515,650
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.173	%		07/01/2017		10/31/2018		185,000,000		185,434,369
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.177	%		07/01/2017		07/31/2018		400,000,000		400,451,586
U.S. Treasury Note, 3 Month USD MMY + 0.19%^(b)		1.193	%		07/04/2017		04/30/2018		536,820,000		537,161,634
U.S. Treasury Note, 3 Month USD MMY + 0.27%^(b)		1.275	%		07/01/2017		01/31/2018		689,000,000		689,997,295

TOTAL INVESTMENTS – 100.0%^(c)(d)											14,280,708,080
Other Assets in Excess of Liabilities – 0.0%^(e)											4,656,864

NET ASSETS – 100.0%										$	14,285,364,944

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

^(b)	Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017.

^(c)	Unless otherwise indicated, the values of the securities of the Fund are determined based on Level 2 inputs (Note 2).

^(d)	Also represents the cost for federal tax purposes.

^(e)	Amount is less than 0.05% of net assets.

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Money Market Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in securities, at value and cost (Note 2)	$	14,280,708,080
Cash		378
Interest receivable (Note 2)		6,234,410

Total assets		14,286,942,868

Liabilities
Advisory fee payable (Note 3)		582,204
Administration, custody and transfer agent fees payable (Note 3)		909,296
Professional fees payable		29,036
Printing fees payable		17,067
Accrued expenses and other liabilities		40,321

Total liabilities		1,577,924

Net Assets	$	14,285,364,944

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Money Market Portfolio

Statement of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


Investment Income
Interest income	$	46,435,172

Expenses
Advisory fee (Note 3)		3,413,386
Administration, custodian and transfer agent fees (Note 3)		864,952
Trustees’ fees and expenses (Note 4)		92,680
Professional fees		8,942
Printing fees		7,245
Insurance expense		1,691
Miscellaneous expenses		4,661

Total expenses		4,393,557

Net Investment Income (Loss)		42,041,615

Realized Gain (Loss)
Net realized gain (loss) on:
Investments		11,664

Net Increase (Decrease) in Net Assets from Operations	$	42,053,279

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Money Market Portfolio

Statements of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16
Increase (Decrease) in Net Assets From Operations:
Net investment income (loss)	$	42,041,615		$	31,200,504
Net realized gain (loss)		11,664			309,711

Net increase (decrease) in net assets resulting from operations		42,053,279			31,510,215

Capital Transactions:
Contributions		11,151,054,024			24,797,217,848
Withdrawals		(10,912,043,598	)		(22,661,554,484	)

Net Increase (Decrease) in Net Assets from Capital Transactions		239,010,426			2,135,663,364

Net Increase (Decrease) in Net Assets During the Period		281,063,705			2,167,173,579

Net Assets at Beginning of Period		14,004,301,239			11,837,127,660

Net Assets at End of Period	$	14,285,364,944		$	14,004,301,239

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Money Market Portfolio

Financial Highlights

Selected data for a share outstanding throughout each period:


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12
Total return^(a)		0.31	%		0.25	%		(0.04	)%		(0.02	)%		0.00	%^(b)		0.02	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	14,285,365		$	14,004,301		$	11,837,128		$	10,247,460		$	14,558,022		$	12,712,060
Ratios to average net assets:
Total expenses		0.06	%^(c)		0.07	%		0.07	%		0.07	%		0.07	%		0.07	%
Net investment income (loss)		0.62	%^(c)		0.25	%		(0.03	)%		(0.02	)%		0.00	%^(b)		0.02	%

^(a)	Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized.

^(b)	Amount is less than 0.005%.

^(c)	Annualized.

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Money Market Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

As of June 30, 2017, the Trust consists of six (6) series, each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Money Market Portfolio (the “Portfolio”) is authorize to issue an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

Security Valuation

The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.

State Street Master Funds

State Street Treasury Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.

Expenses

State Street Master Funds

State Street Treasury Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Fees and Transactions with Affiliates

Advisory Fee

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees


Asset Levels		Annual Percentage of Average Aggregate Monthly Net Assets
First $400 million		0.03%
Next $15 billion		0.02%
Thereafter		0.01%
Minimum annual fee per Portfolio		$150,000

Trustees’ Fees

Income Tax Information

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, gains and losses of the Portfolio is 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 its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

State Street Master Funds

State Street Treasury Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Risks

Concentration Risk

Market, Credit and Counterparty Risk

New Accounting Pronouncement

Subsequent Events

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

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

•


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street Treasury Money Market Portfolio		0.06	%	$	1,003.10	$	0.30	$	1,024.50	$	0.30

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not ��interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Treasury Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Information about Performance, Expenses and Fees

•

Over the course of many years overseeing the Portfolio and other investment companies, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper, Inc. (“Broadridge”), for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”);

•

A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and

•

Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers;

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and

•

A summary of the foregoing materials prepared by Independent Counsel.

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the Portfolio.

Results of the Process

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.

Portfolio Performance

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Portfolio:

Money Market Funds and Portfolios, Generally. The Board noted the relatively narrow range of returns in the Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.

State Street Institutional Treasury Money Market Fund and State Street Treasury Money Market Portfolio. The Board considered that the Fund (a) underperformed the median of its Performance Group for the 1-, 3- and 5-year periods, (b) outperformed the median of its Performance Universe for the 1-, 3- and 5-year periods and the Lipper Index for the 1-year period, and (c) equaled the performance of the Lipper Index for the 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:

State Street Institutional Treasury Money Market Fund and State Street Treasury Money Market Portfolio. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.

State Street Master Funds

State Street Treasury Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Profitability

Economies of Scale

Conclusions

Trustees

Michael F. Holland

Michael A. Jessee

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator, 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

SSITTRMMSAR

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Semi-Annual Report

30 June 2017

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

LOGO

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Semi-Annual Report

June 30, 2017 (Unaudited)

Table of Contents



Portfolio Statistics			1

Schedule of Investments			2

Statement of Assets and Liabilities			6

Statement of Operations			7

Statements of Changes in Net Assets			8

Financial Highlights			9

Notes to Financial Statements			10

Other Information			15

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Portfolio Statistics (Unaudited)


Portfolio Composition*	June 30, 2017
Treasury Repurchase Agreements	47.2	%
Treasury Debt	45.3
Other Assets in Excess of Liabilities	7.5
Total	100.0	%


Maturity Ladder*	June 30, 2017
2 to 30 Days	55.9	%
31 to 60 Days	8.0
61 to 90 Days	11.3
Over 90 Days	17.3
Total	92.5	%
Average days to maturity	21
Weighted average life	57

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

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Schedule of Investments

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY DEBT – 45.3%
U.S. Treasury Bill^(a)		0.790	%		07/06/2017		07/06/2017	$	400,000,000	$	399,954,979
U.S. Treasury Bill^(a)		0.820	%		07/20/2017		07/20/2017		200,000,000		199,913,444
U.S. Treasury Bill^(a)		0.820	%		07/27/2017		07/27/2017		150,000,000		149,911,167
U.S. Treasury Bill^(a)		0.825	%		07/13/2017		07/13/2017		250,000,000		249,931,250
U.S. Treasury Bill^(a)		0.845	%		08/03/2017		08/03/2017		100,000,000		99,922,542
U.S. Treasury Bill^(a)		0.890	%		09/21/2017		09/21/2017		575,000,000		573,696,342
U.S. Treasury Bill^(a)		0.905	%		08/17/2017		08/17/2017		100,000,000		99,881,847
U.S. Treasury Bill^(a)		0.908	%		08/10/2017		08/10/2017		100,000,000		99,899,361
U.S. Treasury Bill^(a)		0.910	%		09/14/2017		09/14/2017		625,000,000		623,721,870
U.S. Treasury Bill^(a)		0.928	%		08/24/2017		08/24/2017		250,000,000		249,654,167
U.S. Treasury Bill^(a)		0.980	%		09/07/2017		09/07/2017		100,000,000		99,814,889
U.S. Treasury Bill^(a)		1.060	%		11/30/2017		11/30/2017		100,000,000		99,552,444
U.S. Treasury Bill^(a)		1.070	%		12/07/2017		12/07/2017		75,000,000		74,645,563
U.S. Treasury Bill^(a)		1.100	%		12/14/2017		12/14/2017		50,000,000		49,745,524
U.S. Treasury Bill^(a)		1.120	%		12/21/2017		12/21/2017		150,000,000		149,192,667
U.S. Treasury Note^(a)		0.820	%		07/31/2017		07/31/2017		24,000,000		24,030,795
U.S. Treasury Note^(a)		0.825	%		07/31/2017		07/31/2017		24,000,000		23,996,030
U.S. Treasury Note^(a)		1.066	%		09/30/2017		09/30/2017		23,200,000		23,174,589
U.S. Treasury Note^(a)		1.073	%		10/31/2017		10/31/2017		100,000,000		99,893,060
U.S. Treasury Note^(a)		1.076	%		10/15/2017		10/15/2017		10,700,000		10,693,756
U.S. Treasury Note, 3 Month USD MMY + 0.08%^(b)		1.080	%		07/01/2017		07/31/2017		309,500,000		309,493,959
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.171	%		07/01/2017		10/31/2017		285,900,000		285,869,339
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.173	%		07/01/2017		10/31/2018		130,000,000		130,305,231
U.S. Treasury Note, 3 Month USD MMY + 0.17%^(b)		1.177	%		07/01/2017		07/31/2018		245,000,000		245,281,132
U.S. Treasury Note, 3 Month USD MMY + 0.19%^(b)		1.193	%		07/04/2017		04/30/2018		333,836,000		334,031,634
U.S. Treasury Note, 3 Month USD MMY + 0.27%^(b)		1.275	%		07/01/2017		01/31/2018		489,750,000		490,449,914

TOTAL TREASURY DEBT											5,196,657,495

TREASURY REPURCHASE AGREEMENTS – 47.2%
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 2.125% due 08/15/2021, valued at $10,307,146); expected proceeds $10,105,909		1.080	%		07/03/2017		07/03/2017		10,105,000		10,105,000

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.625% – 6.125% due 02/15/2029 – 02/15/2044, and a U.S. Treasury Inflation Index Bond, 3.375% due 04/15/2032, valued at $102,009,370); expected proceeds $100,009,167		1.100	%		07/03/2017		07/03/2017	$	100,000,000	$	100,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bond, 3.625% due 08/15/2043, U.S. Treasury Inflation Index Notes, 0.375% – 1.625% due 01/15/2018 – 07/15/2023, and U.S. Treasury Notes, 1.250% – 2.000% due 11/15/2018 – 11/30/2020 valued at $51,000,011); expected proceeds $50,004,167		1.000	%		07/03/2017		07/03/2017		50,000,000		50,000,000
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 6.625% due 02/15/2027 – 08/15/2044, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, U.S. Treasury Notes, 1.125% – 1.250% due 12/31/2018 – 02/28/2021, and U.S. Treasury Strips, 0.000% due 08/15/2017 – 02/15/2027, valued at $264,966,420); expected proceeds $259,794,379		1.080	%		07/03/2017		07/03/2017		259,771,000		259,771,000
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Notes, 1.625% due 08/31/2019 – 06/30/2020, valued at $67,320,082); expected proceeds $66,005,940		1.080	%		07/03/2017		07/03/2017		66,000,000		66,000,000
Agreement with Credit Agricole Corporate & Investment Bank, and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 1.875% due 02/28/2022, valued at $3,739,350); expected proceeds $3,666,324		1.060	%		07/03/2017		07/03/2017		3,666,000		3,666,000
Agreement with Credit Agricole Corporate & Investment Bank, and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 2.000% due 12/31/2021, valued at $35,700,059); expected proceeds $35,014,428^(c)		1.060	%		07/14/2017		07/14/2017		35,000,000		35,000,000

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)


Name of Issuer and Title of Issue	Interest Rate			Next Rate Reset Date		Maturity Date		Principal Amount		Value
TREASURY REPURCHASE AGREEMENTS – (continued)
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bonds, 3.125% – 8.000% due 11/15/2021 – 11/15/2041, and U.S. Treasury Notes, 1.625% – 2.750% due 11/15/2022 – 02/15/2024 valued at $4,519,376,613); expected proceeds $4,519,376,583		1.000	%		07/03/2017		07/03/2017	$	4,519,000,000	$	4,519,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/27/2017 (collateralized by a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $43,863,915); expected proceeds $43,010,033		1.050	%		07/05/2017		07/05/2017		43,000,000		43,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Note, 3.625% due 02/15/2021, valued at $30,709,613); expected proceeds $30,107,659		1.060	%		07/03/2017		07/03/2017		30,105,000		30,105,000
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by U.S. Treasury Bills, 0.000% due 12/21/2017 – 01/04/2018, U.S. Treasury Bonds, 2.875% – 9.125% due 05/15/2018 – 11/15/2045, U.S. Treasury Inflation Index Bonds 0.750% – 3.875% due 01/15/2027 – 02/15/2045, U.S. Treasury Inflation Index Notes 0.125% – 1.375% due 01/15/2020 – 04/15/2022, and U.S. Treasury Notes, 0.500% – 4.750% due 07/31/2017 – 08/15/2026 valued at $59,733,314); expected proceeds $58,567,368		1.100	%		07/03/2017		07/03/2017		58,562,000		58,562,000
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2017 (collateralized by a U.S. Treasury Bill, 0.000% due 07/20/2017, and U.S. Treasury Bonds, 3.125% – 4.500% due 05/15/2038 – 08/15/2044, valued at $244,822,461); expected proceeds $240,022,000		1.100	%		07/03/2017		07/03/2017		240,000,000		240,000,000

TOTAL TREASURY REPURCHASE AGREEMENTS											5,415,209,000

TOTAL INVESTMENTS – 92.5%^(d)(e)											10,611,866,495
Other Assets in Excess of Liabilities – 7.5%											859,321,054

NET ASSETS – 100.0%										$	11,471,187,549

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Schedule of Investments — (continued)

June 30, 2017 (Unaudited)

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

^(b)	Variable Rate Security – Interest rate shown is rate in effect at June 30, 2017.

^(c)	Illiquid security. This security represents $35,000,000 or 0.3% of net assets as of June 30, 2017.

^(d)	Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2).

^(e)	Also represents the cost for federal tax purposes.

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Statement of Assets and Liabilities

June 30, 2017 (Unaudited)


Assets
Investments in securities, at value and cost (Note 2)	$	5,196,657,495
Repurchase agreements, at amortized cost		5,415,209,000

Total investments		10,611,866,495
Cash		856,291,671
Interest receivable (Note 2)		4,118,100
Other receivable		20,213

Total assets		11,472,296,479

Liabilities
Advisory fee payable (Note 4)		418,659
Administration, custodian and transfer agent fees payable (Note 4)		588,799
Professional fees payable		35,336
Printing fees payable		11,573
Accrued expenses and other liabilities		54,563

Total liabilities		1,108,930

Net Assets	$	11,471,187,549

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Statement of Operations

For the Six Months Ended June 30, 2017 (Unaudited)


Investment Income
Interest income	$	33,832,675

Expenses
Advisory fee (Note 4)		2,446,761
Administration, custodian and transfer agent fees (Note 4)		622,456
Trustees’ fees and expenses (Note 5)		105,833
Professional fees		19,397
Insurance expense		254
Miscellaneous expenses		2,897

Total expenses		3,197,598

Net Investment Income (Loss)		30,635,077

Realized Gain (Loss)
Net realized gain (loss) on:
Investments		(1,167	)

Net Increase (Decrease) in Net Assets from Operations	$	30,633,910

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Statement of Changes in Net Assets


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16
Increase (Decrease) in Net Assets from Operations:
Net investment income (loss)	$	30,635,077		$	12,173,416
Net realized gain (loss)		(1,167	)		21,479

Net increase (decrease) in net assets resulting from operations		30,633,910			12,194,895

Capital Transactions:
Contributions		11,874,492,726			12,712,264,167
Proceeds in connection with Reorganization (Note 8)		–			7,471,889,450
Withdrawals		(11,062,891,061	)		(11,312,210,340	)

Net Increase (Decrease) in Net Assets from Capital Transactions		811,601,665			8,871,943,277

Net Increase (Decrease) in Net Assets During the Period		842,235,575			8,884,138,172

Net Assets at Beginning of Period		10,628,951,974			1,744,813,802

Net Assets at End of Period	$	11,471,187,549		$	10,628,951,974

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Financial Highlights

Selected data for a share outstanding throughout each period


	Six Months Ended 6/30/17 (Unaudited)			Year Ended 12/31/16			Year Ended 12/31/15			Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12
Total return^(a)		0.31	%		0.23	%		(0.01	)%		(0.02	)%		0.00	%^(b)		0.06	%
Ratios and Supplemental Data:
Net assets, end of period (in 000s)	$	11,471,188		$	10,628,952		$	1,744,814		$	2,765,530		$	2,753,017		$	2,298,541
Ratios to average net assets:
Total expenses		0.07	%^(c)		0.07	%		0.07	%		0.07	%		0.07	%		0.08	%
Net investment income (loss)		0.63	%^(c)		0.27	%		(0.01	)%		(0.02	)%		0.00	%^(b)		0.06	%

^(a)	Results represent past performance and are not indicative of future results. Total return for periods of less than one year is not annualized.

^(b)	Amount is less than 0.005%.

^(c)	Annualized.

See accompanying notes to financial statements.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Notes to Financial Statements

June 30, 2017 (Unaudited)

Organization

As of June 30, 2017, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Plus Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interest with no par value.

The financial statements herein relate only to the Portfolio.

Summary of Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:

Security Valuation

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

The three levels of the fair value hierarchy are as follows:

•

Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;

•

Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.

Investment Transactions and Income Recognition

Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.

Expenses

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Securities and Other Investments

Repurchase Agreements

The 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 sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.

As of June 30, 2017, the Portfolio had invested in repurchase agreements with the gross values of $5,415,209,000 and associated collateral equal to $5,433,548,354.

Fees and Transactions with Affiliates

Advisory Fee

Administrator, Sub-Administrator, Custodian and Transfer Agent Fees


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

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Trustees’ Fees

Income Tax Information

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, gains and losses of the Portfolio is 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 its tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

At June 30, 2017, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.

Risks

Concentration Risk

Market, Credit and Counterparty Risk

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Notes to Financial Statements — (continued)

June 30, 2017 (Unaudited)

Proceeds in Connection with Reorganization

On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.

New Accounting Pronouncement

10.

Subsequent Events

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information

June 30, 2017 (Unaudited)

Expense Example

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

•


				Actual				Hypothetical (assuming a 5% return before expenses)
	Annualized Expense Ratio			Ending Account Value		Expenses Paid During Period^(a)		Ending Account Value		Expenses Paid During Period^(a)
State Street Treasury Plus Money Market Portfolio		0.07	%	$	1,003.10	$	0.35	$	1,024.40	$	0.35

^(a)	Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 181, then divided by 365.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Proxy Voting Policies and Procedures and Records

The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Portfolio voted proxies, if any, during the most recent 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 SEC at www.sec.gov.

Quarterly Portfolio Schedule

The Portfolio will file its complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the SEC’s website at www.sec.gov, or (iii) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.

Monthly Portfolio Schedule

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Trustee Considerations in Approving Continuation of

Investment Advisory Agreement¹

Overview of the Contract Review Process

Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Master Funds (the “Trust”), met in person on April 24-25, 2017 and May 16-17, 2017, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to the State Street Treasury Plus Money Market Portfolio (the “Portfolio”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. Following the April 24-25, 2017 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 16-17, 2017 meeting. The Independent Trustees considered, among other things, the following:

Information about Performance, Expenses and Fees

•

Comparisons of the Fund’s performance over the past one-, three- and five-year periods ended December 31, 2016, to the performance of an appropriate benchmark constructed by

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

•

A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five calendar years; and

•

Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels.

•

Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and

•

Profitability analyses for (a) the Adviser with respect to the Portfolio and (b) affiliates of the Adviser that provide services to the Portfolio (“Affiliated Service Providers”).

Information about Portfolio Management

•

Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes;

•

Information concerning the allocation of brokerage; and

•

Information regarding the procedures and processes used to value the assets of the Portfolio.

Information about the Adviser

•

Reports detailing the financial results and condition of the Adviser and its affiliates;

•

Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolio of the Portfolio;

•

Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser;

•

A copy of the Adviser’s proxy voting policies and procedures;

•

A description of the business continuity and disaster recovery plans of the Adviser; and

•

Information regarding the Adviser’s risk management processes.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Other Relevant Information

•

Information concerning the nature, extent, quality and cost of services provided to the Portfolio by SSGA FM in its capacity as the Portfolio’s administrator (the “Administrator”);

•

Information concerning the nature, extent, quality and cost of various non-investment management services provided to the Portfolio by affiliates of the Adviser, including the custodian, sub-administrator, transfer agent and fund accountant of the Portfolio, and the role of the Adviser in managing the Portfolio’s relationship with these service providers;

•

Copies of the Advisory Agreement and agreements with other service providers of the Portfolio;

•

State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian and transfer agent for the Portfolio, with respect to its operations relating to the Portfolio; and

•

Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund; and

•

A summary of the foregoing materials prepared by Independent Counsel.

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

Results of the Process

Nature, Extent and Quality of Services

In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Portfolio by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the Portfolio, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Portfolio. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various funds that invest primarily in money market instruments. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board considered the Adviser’s success in maintaining the constant dollar value of the Portfolio through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Portfolio by senior management.

Portfolio Performance

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield.

State Street Institutional Treasury Plus Money Market Fund and State Street Treasury Plus Money Market Portfolio. The Board considered that the Fund (a) outperformed the medians of its Performance Group and Performance Universe for the 1-, 3- and 5-year periods and its Lipper Index for the 1-year period, and (b) equaled its Lipper Index for the 3- and 5-year periods.

Management Fees and Expenses

The Board reviewed the contractual investment advisory fee rates payable by the Portfolio and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses to limit the total expenses borne by shareholders. For the Portfolio, the Board considered the investment advisory fee in the context of the overall master-feeder arrangement. Among other information, the Board considered the following expense information in its evaluation of the Portfolio:

State Street Institutional Treasury Plus Money Market Fund and State Street Treasury Plus Money Market Portfolio. The Board considered that the Fund’s actual management fee was above the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.

Profitability

State Street Master Funds

State Street Treasury Plus Money Market Portfolio

Other Information — (continued)

June 30, 2017 (Unaudited)

entrepreneurial risk. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Portfolio’s investments.

Economies of Scale

Conclusions

Trustees

Michael F. Holland

William L. Marshall

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Michael A. Jessee

Investment Adviser and Administrator

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Custodian, Sub-Administrator 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

SSITTRPLMMSAR

The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Investments.

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

(b) Not applicable to the Registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

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 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 have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

(a) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable; this Form N-CSR is a Semi-Annual Report.

(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 are attached hereto.

(a)(3) Not applicable to the Registrant.

(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 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:		September 5, 2017

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:		September 5, 2017


By:		/s/ Bruce S. Rosenberg
		Bruce S. Rosenberg
		Treasurer (Principal Financial and Accounting Officer)

Date:		September 5, 2017

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