UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-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 Iron Street, Boston, Massachusetts 02210
(Address of principal executive offices)(Zip code)
| | |
| (Name and Address of Agent for Service) | | Copy to: |
| |
Sean O’Malley, Esq. Senior Vice President and Deputy General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | | Timothy W. Diggins, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199-3600 |
Registrant’s telephone number, including area code: (617)664-1465
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Item 1. Reports to Stockholders.
Annual Report
December 31, 2019
State Street Master Funds
| State Street Money Market Portfolio |
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.
TABLE OF CONTENTS
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 Money Market Portfolio
PORTFOLIO STATISTICS (UNAUDITED)
Portfolio Composition as of December 31, 2019
| | | |
| | | % of Net Assets | |
| | Certificates of Deposit | 30.9% | |
| | Financial Company Commercial Paper | 20.8 | |
| | Other Notes | 13.4 | |
| | Asset Backed Commercial Paper | 9.6 | |
| | Treasury Repurchase Agreements | 9.4 | |
| | Other Repurchase Agreements | 9.0 | |
| | Government Agency Repurchase Agreements | 2.6 | |
| | Other Assets in Excess of Liabilities | 4.3 | |
| | TOTAL | 100.0% | |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
Maturity Ladder as of December 31, 2019
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 40.8% | |
| | 31 to 60 Days | 8.1 | |
| | 61 to 90 Days | 14.7 | |
| | Over 90 Days | 32.1 | |
| | Total | 95.7% | |
| | Average days to maturity | 29 | |
| | Weighted average life | 75 | |
(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
See accompanying notes to financial statements.
1
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| ASSET BACKED COMMERCIAL PAPER—9.6% | | | | | | | | | | |
Antalis SA(a)
| | 1.700% | | 01/03/2020 | | 01/03/2020 | | $101,000,000 | | $100,984,640 |
Antalis SA(a)
| | 1.950% | | 03/09/2020 | | 03/09/2020 | | 88,500,000 | | 88,180,596 |
Atlantic Asset Securitization LLC(a)
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 125,000,000 | | 124,988,410 |
Barton Capital SA(a)
| | 1.620% | | 01/02/2020 | | 01/02/2020 | | 70,000,000 | | 69,993,412 |
Bedford Row Funding Corp., 1 Month USD LIBOR + 0.13%%(b)
| | 1.870% | | 01/16/2020 | | 01/16/2020 | | 50,000,000 | | 50,004,563 |
Bedford Row Funding Corp., 3 Month USD LIBOR + 0.13%%(b)
| | 2.030% | | 03/17/2020 | | 09/17/2020 | | 65,000,000 | | 65,009,216 |
Collateralized Commercial Paper FLEX Co. LLC(a)
| | 1.880% | | 03/25/2020 | | 03/25/2020 | | 75,000,000 | | 74,676,823 |
Collateralized Commercial Paper FLEX Co. LLC(a)
| | 1.950% | | 03/24/2020 | | 03/24/2020 | | 100,000,000 | | 99,574,400 |
Collateralized Commercial Paper FLEX Co. LLC(a)
| | 2.120% | | 02/10/2020 | | 02/10/2020 | | 130,000,000 | | 129,733,500 |
Collateralized Commercial Paper V Co. LLC(a)
| | 1.880% | | 03/25/2020 | | 03/25/2020 | | 50,000,000 | | 49,778,646 |
Columbia Funding Co. LLC(a)
| | 1.950% | | 01/02/2020 | | 01/02/2020 | | 150,000,000 | | 149,985,575 |
Columbia Funding Co. LLC(a)
| | 2.170% | | 01/17/2020 | | 01/17/2020 | | 75,000,000 | | 74,936,639 |
Kells Funding LLC(a)
| | 1.940% | | 01/08/2020 | | 01/08/2020 | | 63,525,000 | | 63,501,228 |
Kells Funding LLC(a)
| | 1.940% | | 01/28/2020 | | 01/28/2020 | | 100,000,000 | | 99,862,256 |
Kells Funding LLC(a)
| | 2.000% | | 02/14/2020 | | 02/14/2020 | | 67,000,000 | | 66,850,925 |
Kells Funding LLC(a)
| | 2.000% | | 02/18/2020 | | 02/18/2020 | | 15,000,000 | | 14,963,597 |
Kells Funding LLC(a)
| | 2.000% | | 02/24/2020 | | 02/24/2020 | | 120,000,000 | | 119,672,383 |
Kells Funding LLC(a)
| | 2.020% | | 02/28/2020 | | 02/28/2020 | | 23,260,000 | | 23,191,802 |
Kells Funding LLC(a)
| | 2.050% | | 03/23/2020 | | 03/23/2020 | | 60,000,000 | | 59,740,763 |
LMA Americas LLC(a)
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 200,000,000 | | 199,984,400 |
LMA Americas LLC(a)
| | 2.090% | | 03/25/2020 | | 03/25/2020 | | 100,000,000 | | 99,545,486 |
Nieuw Amsterdam Receivables Corp.(a)
| | 1.540% | | 01/02/2020 | | 01/02/2020 | | 116,261,000 | | 116,250,744 |
Nieuw Amsterdam Receivables Corp.(a)
| | 2.180% | | 01/10/2020 | | 01/10/2020 | | 100,000,000 | | 99,948,667 |
Ridgefield Funding Co. LLC, 1 Month USD LIBOR + 0.25%%(b)
| | 1.965% | | 01/10/2020 | | 06/10/2020 | | 35,000,000 | | 34,997,402 |
TOTAL ASSET BACKED COMMERCIAL PAPER
| | | | | | | | | | 2,076,356,073 |
| CERTIFICATES OF DEPOSIT—30.9% | | | | | | | | | | |
Bank of Montreal(a)
| | 1.540% | | 01/07/2020 | | 01/07/2020 | | 115,000,000 | | 115,000,000 |
Bank of Montreal(a)
| | 1.920% | | 01/01/2020 | | 09/08/2020 | | 180,000,000 | | 180,036,265 |
Bank of Montreal, 3 Month USD LIBOR + 0.05%%(b)
| | 1.957% | | 03/02/2020 | | 03/02/2020 | | 100,000,000 | | 100,004,370 |
Bank of Nova Scotia(a)
| | 1.910% | | 06/17/2020 | | 06/17/2020 | | 125,000,000 | | 125,014,891 |
Bank of Nova Scotia, 1 Month USD LIBOR + 0.30%%(b)
| | 2.040% | | 01/16/2020 | | 01/16/2020 | | 20,000,000 | | 20,003,334 |
Bank of Nova Scotia, 3 Month USD LIBOR + 0.10%%(b)
| | 2.047% | | 03/30/2020 | | 09/28/2020 | | 150,000,000 | | 149,999,778 |
Bank of Nova Scotia, 3 Month USD LIBOR + 0.14%%(b)
| | 2.141% | | 01/16/2020 | | 01/16/2020 | | 23,000,000 | | 23,001,424 |
BNP Paribas, 1 Month USD LIBOR + 0.21%%(b)
| | 1.974% | | 01/21/2020 | | 05/19/2020 | | 100,000,000 | | 100,007,554 |
Canadian Imperial Bank of Commerce(a)
| | 1.900% | | 01/01/2020 | | 09/15/2020 | | 150,000,000 | | 150,010,377 |
Canadian Imperial Bank of Commerce(a)
| | 1.950% | | 09/17/2020 | | 09/17/2020 | | 100,000,000 | | 100,055,672 |
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%%(b)
| | 1.935% | | 03/09/2020 | | 09/08/2020 | | 145,000,000 | | 144,970,037 |
Credit Industriel et Commercial(a)
| | 1.850% | | 01/01/2020 | | 05/15/2020 | | 150,000,000 | | 150,005,435 |
Credit Industriel et Commercial(a)
| | 2.260% | | 03/11/2020 | | 03/11/2020 | | 100,000,000 | | 100,085,893 |
Credit Suisse(a)
| | 1.940% | | 06/26/2020 | | 06/26/2020 | | 150,000,000 | | 149,999,616 |
Credit Suisse(a)
| | 1.980% | | 04/17/2020 | | 04/17/2020 | | 175,000,000 | | 175,020,951 |
Credit Suisse, 1 Month USD LIBOR + 0.29%%(b)
| | 1.999% | | 01/02/2020 | | 08/28/2020 | | 150,000,000 | | 149,993,576 |
Credit Suisse, Secured Overnight Financing Rate + 0.23%%(b)
| | 1.770% | | 01/01/2020 | | 02/14/2020 | | 150,000,000 | | 150,016,765 |
KBC Bank NV(a)
| | 1.650% | | 01/06/2020 | | 01/06/2020 | | 200,000,000 | | 200,001,056 |
Mitsubishi UFJ Trust & Banking Corp.(a)
| | 1.900% | | 03/03/2020 | | 03/03/2020 | | 150,000,000 | | 149,998,557 |
Mizuho Bank Ltd.(a)
| | 1.930% | | 02/14/2020 | | 02/14/2020 | | 102,000,000 | | 102,008,130 |
Mizuho Bank Ltd.(a)
| | 1.950% | | 04/20/2020 | | 04/20/2020 | | 172,000,000 | | 172,043,793 |
Mizuho Bank Ltd.(a)
| | 2.060% | | 03/16/2020 | | 03/16/2020 | | 163,000,000 | | 163,066,411 |
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.19%%(b)
| | 1.894% | | 01/06/2020 | | 02/05/2020 | | 150,000,000 | | 150,025,156 |
MUFG Bank Ltd.(a)
| | 2.030% | | 05/29/2020 | | 05/29/2020 | | 65,000,000 | | 65,029,060 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Nordea Bank AB, 1 Month USD LIBOR + 0.23%%(b)
| | 1.940% | | 01/09/2020 | | 07/09/2020 | | $155,000,000 | | $154,993,385 |
Nordea Bank AB , 1 Month USD LIBOR + 0.27%%(b)
| | 2.062% | | 01/27/2020 | | 06/26/2020 | | 130,000,000 | | 130,036,382 |
Norinchukin Bank(a)
| | 1.880% | | 02/19/2020 | | 02/19/2020 | | 75,000,000 | | 75,003,737 |
Norinchukin Bank(a)
| | 2.010% | | 02/07/2020 | | 02/07/2020 | | 96,850,000 | | 96,872,915 |
Oversea-Chinese Banking Corp. Ltd.(a)
| | 2.070% | | 03/19/2020 | | 03/19/2020 | | 175,000,000 | | 175,065,712 |
Royal Bank of Canada, 3 Month USD LIBOR + 0.05%%(b)
| | 2.135% | | 01/02/2020 | | 04/02/2020 | | 150,000,000 | | 150,011,157 |
Royal Bank of Canada, 3 Month USD LIBOR + 0.08%%(b)
| | 2.090% | | 01/10/2020 | | 07/10/2020 | | 135,000,000 | | 135,020,756 |
Standard Chartered Bank(a)
| | 1.930% | | 05/27/2020 | | 05/27/2020 | | 175,000,000 | | 175,028,266 |
Standard Chartered Bank(a)
| | 2.050% | | 03/02/2020 | | 03/02/2020 | | 100,000,000 | | 100,033,285 |
Standard Chartered Bank, 1 Month USD LIBOR + 0.21%%(b)
| | 1.995% | | 01/22/2020 | | 01/22/2020 | | 75,000,000 | | 75,011,962 |
Sumitomo Mitsui Banking Corp.(a)
| | 2.050% | | 01/06/2020 | | 01/06/2020 | | 79,100,000 | | 79,100,959 |
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.20%%(b)
| | 1.894% | | 01/06/2020 | | 03/04/2020 | | 150,000,000 | | 150,001,868 |
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.27%%(b)
| | 1.979% | | 01/02/2020 | | 05/01/2020 | | 160,000,000 | | 160,003,165 |
Sumitomo Mitsui Banking Corp., 1 Month USD LIBOR + 0.27%%(b)
| | 2.062% | | 01/27/2020 | | 04/27/2020 | | 150,000,000 | | 150,004,976 |
Sumitomo Mitsui Trust Bank(a)
| | 2.020% | | 02/14/2020 | | 02/14/2020 | | 82,375,000 | | 82,394,099 |
Sumitomo Mitsui Trust Bank(a)
| | 2.250% | | 01/07/2020 | | 01/07/2020 | | 100,000,000 | | 100,011,974 |
Sumitomo Mitsui Trust Bank(a)
| | 2.250% | | 01/08/2020 | | 01/08/2020 | | 125,000,000 | | 125,016,926 |
Sumitomo Mitsui Trust Bank, 1 Month USD LIBOR + 0.18%%(b)
| | 1.965% | | 01/22/2020 | | 01/22/2020 | | 77,000,000 | | 77,010,872 |
Svenska Handelsbanken(a)
| | 1.870% | | 07/01/2020 | | 07/01/2020 | | 150,000,000 | | 150,003,735 |
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.20%%(b)
| | 1.964% | | 01/21/2020 | | 05/19/2020 | | 150,000,000 | | 150,005,524 |
Svenska Handelsbanken AB, 3 Month USD LIBOR + 0.04%%(b)
| | 2.083% | | 01/06/2020 | | 07/06/2020 | | 155,000,000 | | 154,992,118 |
Toronto-Dominion Bank(a)
| | 1.920% | | 01/01/2020 | | 09/14/2020 | | 150,000,000 | | 150,031,047 |
Toronto-Dominion Bank(a)
| | 2.000% | | 03/25/2020 | | 03/25/2020 | | 100,000,000 | | 100,026,688 |
Toronto-Dominion Bank(a)
| | 2.200% | | 01/15/2020 | | 01/15/2020 | | 70,000,000 | | 70,013,479 |
Toronto-Dominion Bank(a)
| | 2.260% | | 01/08/2020 | | 01/08/2020 | | 100,000,000 | | 100,012,943 |
Toronto-Dominion Bank, 3 Month USD LIBOR + 0.03%%(b)
| | 1.965% | | 03/24/2020 | | 03/24/2020 | | 125,000,000 | | 125,005,311 |
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.18%%(b)
| | 1.890% | | 01/08/2020 | | 04/08/2020 | | 100,000,000 | | 100,021,126 |
Wells Fargo Bank NA, 1 Month USD LIBOR + 0.34%%(b)
| | 2.053% | | 01/06/2020 | | 10/06/2020 | | 105,000,000 | | 105,075,598 |
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.17%%(b)
| | 2.171% | | 01/14/2020 | | 01/15/2020 | | 75,000,000 | | 75,004,780 |
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.23%%(b)
| | 2.319% | | 01/06/2020 | | 01/06/2020 | | 50,000,000 | | 50,001,083 |
Wells Fargo Bank NA, 3 Month USD LIBOR + 0.24%%(b)
| | 2.329% | | 01/03/2020 | | 02/03/2020 | | 75,000,000 | | 75,016,765 |
TOTAL CERTIFICATES OF DEPOSIT
| | | | | | | | | | 6,681,230,694 |
| FINANCIAL COMPANY COMMERCIAL PAPER—20.8% | | | | | | | | | | |
Australia & New Zealand Banking Group Ltd., 3 Month USD LIBOR + 0.09%%(b)
| | 2.009% | | 02/27/2020 | | 08/27/2020 | | 200,000,000 | | 199,999,340 |
Bank of Nova Scotia, 1 Month USD LIBOR + 0.14%%(b)
| | 1.837% | | 01/03/2020 | | 02/03/2020 | | 90,000,000 | | 90,010,651 |
Bank of Nova Scotia, 1 Month USD LIBOR + 0.19%%(b)
| | 1.982% | | 01/27/2020 | | 04/27/2020 | | 145,000,000 | | 145,003,393 |
Bank of Nova Scotia, 3 Month USD LIBOR + 0.06%%(b)
| | 1.952% | | 03/05/2020 | | 06/05/2020 | | 100,000,000 | | 100,008,115 |
BPCE(a)
| | 1.950% | | 03/26/2020 | | 03/26/2020 | | 175,000,000 | | 174,211,964 |
BPCE(a)
| | 2.270% | | 02/18/2020 | | 02/18/2020 | | 125,000,000 | | 124,685,242 |
Caisse des Depots et Consignations(a)
| | 2.190% | | 01/29/2020 | | 01/29/2020 | | 61,000,000 | | 60,915,678 |
Canadian Imperial Bank of Commerce, 1 Month USD LIBOR + 0.26%%(b)
| | 2.024% | | 01/20/2020 | | 06/19/2020 | | 155,000,000 | | 155,024,532 |
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.04%%(b)
| | 1.942% | | 02/03/2020 | | 02/03/2020 | | 50,000,000 | | 50,002,316 |
DBS Bank Ltd.(a)
| | 1.850% | | 03/25/2020 | | 03/25/2020 | | 60,000,000 | | 59,738,908 |
DBS Bank Ltd.(a)
| | 1.980% | | 02/24/2020 | | 02/24/2020 | | 100,000,000 | | 99,725,000 |
DBS Bank Ltd.(a)
| | 2.030% | | 03/27/2020 | | 03/27/2020 | | 100,000,000 | | 99,553,883 |
Erste Abwicklungsanstalt(a)
| | 2.000% | | 02/18/2020 | | 02/18/2020 | | 100,000,000 | | 99,766,842 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Federation des Caisses Desjardins du Quebec(a)
| | 1.740% | | 01/06/2020 | | 01/06/2020 | | $50,000,000 | | $49,986,967 |
HSBC Bank PLC, 1 Month USD LIBOR + 0.24%%(b)
| | 1.976% | | 01/13/2020 | | 05/12/2020 | | 125,000,000 | | 125,013,279 |
HSBC Bank PLC, 3 Month USD LIBOR + 0.23%%(b)
| | 2.232% | | 01/15/2020 | | 10/15/2020 | | 175,000,000 | | 175,135,376 |
ING US Funding LLC, 1 Month USD LIBOR + 0.20%%(b)
| | 1.940% | | 01/15/2020 | | 05/15/2020 | | 185,000,000 | | 185,006,120 |
Lloyds Bank PLC, 1 Month USD LIBOR + 0.26%%(b)
| | 2.024% | | 01/20/2020 | | 03/19/2020 | | 50,000,000 | | 50,021,178 |
Lloyds Bank PLC, 1 Month USD LIBOR + 0.33%%(b)
| | 2.094% | | 01/20/2020 | | 05/15/2020 | | 50,000,000 | | 50,026,098 |
Lloyds Bank PLC, 3 Month USD LIBOR + 0.09%%(b)
| | 1.992% | | 02/04/2020 | | 02/04/2020 | | 115,000,000 | | 115,008,535 |
National Australia Bank Ltd., 1 Month USD LIBOR + 0.18%%(b)
| | 1.889% | | 01/02/2020 | | 07/01/2020 | | 176,000,000 | | 175,985,246 |
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%%(b)
| | 2.027% | | 02/24/2020 | | 11/24/2020 | | 100,000,000 | | 99,999,690 |
National Australia Bank Ltd., 3 Month USD LIBOR + 0.11%%(b)
| | 2.027% | | 02/25/2020 | | 11/25/2020 | | 125,000,000 | | 125,010,684 |
Nederlandse Waterschapsbank NV(a)
| | 1.970% | | 02/18/2020 | | 02/18/2020 | | 66,000,000 | | 65,843,420 |
NRW.Bank(a)
| | 2.030% | | 03/26/2020 | | 03/26/2020 | | 180,000,000 | | 179,204,501 |
Oversea-Chinese Banking Corp. Ltd.(a)
| | 1.890% | | 03/13/2020 | | 03/13/2020 | | 60,000,000 | | 59,772,605 |
Oversea-Chinese Banking Corp. Ltd.(a)
| | 1.950% | | 04/20/2020 | | 04/20/2020 | | 175,000,000 | | 173,956,445 |
Skandinaviska Enskilda Banken AB(a)
| | 1.880% | | 07/22/2020 | | 07/22/2020 | | 150,000,000 | | 148,412,200 |
Skandinaviska Enskilda Banken AB(a)
| | 1.885% | | 06/01/2020 | | 06/01/2020 | | 140,000,000 | | 138,898,655 |
Toronto-Dominion Bank(a)
| | 1.650% | | 01/03/2020 | | 01/03/2020 | | 200,000,000 | | 199,969,366 |
Toronto-Dominion Bank, 1 Month USD LIBOR + 0.20%%(b)
| | 1.985% | | 01/23/2020 | | 05/22/2020 | | 167,000,000 | | 167,007,159 |
Toyota Credit Canada, Inc., 1 Month USD LIBOR + 0.17%%(b)
| | 1.880% | | 01/08/2020 | | 03/23/2020 | | 50,000,000 | | 50,012,135 |
Toyota Finance Australia(a)
| | 1.920% | | 04/09/2020 | | 04/09/2020 | | 100,000,000 | | 99,477,778 |
Toyota Motor Credit Corp., 1 Month USD LIBOR + 0.24%%(b)
| | 1.953% | | 01/06/2020 | | 09/01/2020 | | 141,000,000 | | 140,968,295 |
UBS AG, 1 Month USD LIBOR + 0.34%%(b)
| | 2.053% | | 01/06/2020 | | 08/06/2020 | | 160,000,000 | | 160,010,862 |
UBS AG, 3 Month USD LIBOR + 0.05%%(b)
| | 1.959% | | 02/03/2020 | | 02/03/2020 | | 50,000,000 | | 50,001,024 |
Westpac Banking Corp.(a)
| | 1.890% | | 01/01/2020 | | 08/28/2020 | | 120,000,000 | | 120,023,627 |
Westpac Banking Corp., 3 Month USD LIBOR + 0.13%%(b)
| | 2.066% | | 01/23/2020 | | 10/23/2020 | | 140,000,000 | | 140,010,891 |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER
| | | | | | | | | | 4,503,408,000 |
| OTHER NOTES—13.4% | | | | | | | | | | |
ABN Amro Bank NV(a)
| | 1.700% | | 01/06/2020 | | 01/06/2020 | | 300,000,000 | | 300,000,000 |
Australia & New Zealand Banking Group Ltd.(a)
| | 1.560% | | 01/02/2020 | | 01/02/2020 | | 255,000,000 | | 255,000,000 |
Bank of America NA(a)
| | 1.850% | | 01/01/2020 | | 03/06/2020 | | 140,000,000 | | 140,009,125 |
Bank of America NA, 1 Month USD LIBOR + 0.19%%(b)
| | 1.884% | | 01/06/2020 | | 05/04/2020 | | 54,000,000 | | 53,999,997 |
Bank of Nova Scotia(a)
| | 1.700% | | 01/03/2020 | | 01/03/2020 | | 225,000,000 | | 225,000,000 |
Citibank NA(a)
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 200,000,000 | | 200,000,000 |
Cooperatieve Rabobank UA(a)
| | 1.530% | | 01/02/2020 | | 01/02/2020 | | 300,000,000 | | 300,000,000 |
Credit Agricole Corporate and Investment Bank(a)
| | 1.540% | | 01/02/2020 | | 01/02/2020 | | 128,323,000 | | 128,323,000 |
Mizuho Bank Ltd.(a)
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 375,000,000 | | 375,000,000 |
National Australia Bank Ltd.(a)
| | 1.530% | | 01/02/2020 | | 01/02/2020 | | 205,000,000 | | 205,000,000 |
National Bank of Canada(a)
| | 1.650% | | 01/02/2020 | | 01/02/2020 | | 300,000,000 | | 300,000,000 |
Royal Bank of Canada(a)
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 225,000,000 | | 225,000,000 |
Royal Bank of Canada(a)
| | 1.750% | | 01/06/2020 | | 01/06/2020 | | 200,000,000 | | 200,000,000 |
TOTAL OTHER NOTES
| | | | | | | | | | 2,907,332,122 |
| GOVERNMENT AGENCY REPURCHASE AGREEMENTS—2.6% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/16/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 05/01/2047, and a Federal National Mortgage Association, 3.500% due 01/01/2048, valued at $204,000,001); expected proceeds $200,248,611
| | 1.790% | | 01/01/2020 | | 01/07/2020 | | 200,000,000 | | 200,000,000 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 2.750% due 12/20/2047, valued at $82,080,001); expected proceeds $76,006,629
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | $76,000,000 | | $76,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Farm Credit Banks, 3.350% – 3.980% due 02/23/2035 – 04/05/2038, Federal Home Loan Mortgage Corporations, 4.000% – 6.000% due 10/01/2027 – 02/01/2049, Federal National Mortgage Associations, 3.000% – 4.500% due 12/01/2032 – 12/01/2049, and Government National Mortgage Associations, 2.500% – 4.125% due 10/20/2023 – 04/15/2049, valued at $144,840,000); expected proceeds $142,012,386
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 142,000,000 | | 142,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/10/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.617% due 01/01/2031 – 10/01/2049, and Federal National Mortgage Associations, 3.213% – 5.000% due 03/01/2034 – 10/01/2049, valued at $141,780,000); expected proceeds $139,187,650
| | 1.800% | | 01/07/2020 | | 01/07/2020 | | 139,000,000 | | 139,000,000 |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS
| | | | | | | | | | 557,000,000 |
| TREASURY REPURCHASE AGREEMENTS—9.4% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and a U.S. Treasury Note, 1.875% due 07/31/2026, valued at $232,560,002); expected proceeds $228,017,733
| | 1.400% | | 01/02/2020 | | 01/02/2020 | | 228,000,000 | | 228,000,000 |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048, valued at $76,500,063); expected proceeds $75,006,042
| | 1.450% | | 01/02/2020 | | 01/02/2020 | | 75,000,000 | | 75,000,000 |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/02/2020, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and a U.S. Treasury Note, 1.750% due 06/30/2022, valued at $30,600,019); expected proceeds $30,002,617
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 30,000,000 | | 30,000,000 |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 2.750% due 08/15/2042, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2022 – 01/15/2026, and U.S. Treasury Notes, 1.375% – 2.750% due 05/31/2021 – 02/29/2024, valued at $1,020,000,001); expected proceeds $1,000,086,111
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 1,000,000,000 | | 1,000,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by a U.S. Treasury Note, 2.625% due 06/30/2023, valued at $568,304,688); expected proceeds $557,463144
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 557,414,216 | | 557,414,216 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, valued at $102,000,041); expected proceeds $100,008,667
| | 1.560% | | 01/02/2020 | | 01/02/2020 | | 100,000,000 | | 100,000,000 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/11/2020 – 03/26/2020, U.S. Treasury Bonds, 2.375% – 8.000% due 11/15/2021 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 3.875% due 04/15/2029 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 01/15/2023 – 07/15/2028, and U.S. Treasury Notes, 1.375% – 2.875% due 01/15/2020 – 02/15/2025, valued at $43,860,000); expected proceeds $43,003,774
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | $43,000,000 | | $43,000,000 |
TOTAL TREASURY REPURCHASE AGREEMENTS
| | | | | | | | | | 2,033,414,216 |
| OTHER REPURCHASE AGREEMENTS—9.0% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by various Corporate Bonds, 2.820% – 6.500% due 01/19/2022 – 07/31/2047, valued at $91,800,509); expected proceeds $85,422,875(c)
| | 1.990% | | 01/01/2020 | | 03/26/2020 | | 85,000,000 | | 85,000,000 |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $162,000,011); expected proceeds $150,013,833
| | 1.990% | | 01/02/2020 | | 04/03/2020 | | 150,000,000 | | 150,000,000 |
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Corporate Bonds, 2.250% – 7.000% due 12/06/2021 – 03/01/2050, valued at $108,820,695); expected proceeds $100,009,389
| | 1.690% | | 01/02/2020 | | 01/02/2020 | | 100,000,000 | | 100,000,000 |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 11.000% due 11/04/2024 – 05/15/2060, valued at $216,000,005); expected proceeds $200,067,667
| | 1.740% | | 01/07/2020 | | 01/07/2020 | | 200,000,000 | | 200,000,000 |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $189,475,084); expected proceeds $175,870,625(c)
| | 1.990% | | 01/01/2020 | | 03/30/2020 | | 175,000,000 | | 175,000,000 |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $567,000,000); expected proceeds $525,049,292
| | 1.690% | | 01/02/2020 | | 01/02/2020 | | 525,000,000 | | 525,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by various Corporate Bonds, 0.000% – 9.500% due 01/22/2020 – 06/01/2050, valued at $115,001,390); expected proceeds $100,497,500(c)
| | 1.990% | | 01/01/2020 | | 03/05/2020 | | 100,000,000 | | 100,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by various Corporate Bonds, 0.000% – 6.200% due 07/22/2022 – 06/25/2059, valued at $221,989,086); expected proceeds $200,970,000(c)
| | 1.940% | | 01/01/2020 | | 03/19/2020 | | 200,000,000 | | 200,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2019 (collateralized by various Common Stocks, and various Corporate Bonds, 0.000% – 4.000% due 08/01/2023 – 01/01/2049, valued at $81,199,630); expected proceeds $75,130,521(c)
| | 1.790% | | 01/01/2020 | | 04/17/2020 | | 75,000,000 | | 75,000,000 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Common Stocks, valued at $91,800,008); expected proceeds $85,007,886
| | 1.670% | | 01/02/2020 | | 01/02/2020 | | $85,000,000 | | $85,000,000 |
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by various Corporate Bonds, 3.500% – 7.950% due 04/01/2021 – 02/15/2045, valued at $57,500,000); expected proceeds $50,036,328(c)
| | 1.868% | | 01/14/2020 | | 01/14/2020 | | 50,000,000 | | 50,000,000 |
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by various Common Stocks, valued at $162,223,605); expected proceeds $150,690,000(c)
| | 1.840% | | 01/01/2020 | | 03/05/2020 | | 150,000,000 | | 150,000,000 |
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2019 (collateralized by various Common Stocks, valued at $54,007,913); expected proceeds $50,016,917
| | 1.740% | | 01/06/2020 | | 01/06/2020 | | 50,000,000 | | 50,000,000 |
TOTAL OTHER REPURCHASE AGREEMENTS
| | | | | | | | | | 1,945,000,000 |
TOTAL INVESTMENTS –95.7%
(Cost $20,702,308,756)(d)
| | | | | | | | | | 20,703,741,105 |
Other Assets in Excess of Liabilities —4.3%
| | | | | | | | | | 922,417,645 |
NET ASSETS –100.0%
| | | | | | | | | | $21,626,158,750 |
| (a) | Rate represents annualized yield at date of purchase. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Illiquid security. These securities represent $835,000,000 or 3.9% of net assets as of December 31, 2019. |
| (d) | Also represents the cost for federal tax purposes. |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2019.
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
| Assets: | | | | | | | | |
| Investments: | | | | | | | | |
Asset Backed Commercial Paper
| | $— | | $2,076,356,073 | | $— | | $2,076,356,073 |
Certificates of Deposit
| | — | | 6,681,230,694 | | — | | 6,681,230,694 |
Financial Company Commercial Paper
| | — | | 4,503,408,000 | | — | | 4,503,408,000 |
Other Notes
| | — | | 2,907,332,122 | | — | | 2,907,332,122 |
Government Agency Repurchase Agreements
| | — | | 557,000,000 | | — | | 557,000,000 |
Treasury Repurchase Agreements
| | — | | 2,033,414,216 | | — | | 2,033,414,216 |
Other Repurchase Agreements
| | — | | 1,945,000,000 | | — | | 1,945,000,000 |
Total Investments
| | $— | | $20,703,741,105 | | $— | | $20,703,741,105 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value*
| $16,168,326,889 |
Repurchase agreements, at value
| 4,535,414,216 |
Total Investments
| 20,703,741,105 |
Cash
| 896,096,435 |
Interest receivable — unaffiliated issuers
| 27,475,953 |
Other Receivable
| 37,414 |
Prepaid expenses and other assets
| 3,427 |
TOTAL ASSETS
| 21,627,354,334 |
| LIABILITIES | |
Advisory and administrator fee payable
| 907,346 |
Custody, sub-administration and transfer agent fees payable
| 241,776 |
Trustees’ fees and expenses payable
| 3,369 |
Professional fees payable
| 33,202 |
Printing fees payable
| 8,218 |
Accrued expenses and other liabilities
| 1,673 |
TOTAL LIABILITIES
| 1,195,584 |
NET ASSETS
| $21,626,158,750 |
| COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
| $16,166,894,540 |
Repurchase agreements
| 4,535,414,216 |
Total cost of investments
| $20,702,308,756 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2019
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $406,519,300 |
| EXPENSES | |
Advisory and administrator fee
| 8,651,875 |
Custodian, sub-administrator and transfer agent fees
| 2,242,265 |
Trustees’ fees and expenses
| 261,888 |
Professional fees and expenses
| 194,274 |
Printing and postage fees
| 9,690 |
Insurance expense
| 6,442 |
Miscellaneous expenses
| 25,045 |
TOTAL EXPENSES
| 11,391,479 |
NET INVESTMENT INCOME (LOSS)
| $395,127,821 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| 206,342 |
| Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
| 1,566,595 |
NET REALIZED AND UNREALIZED GAIN (LOSS)
| 1,772,937 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $396,900,758 |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/19 | | Year Ended
12/31/18 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $395,127,821 | | $247,714,372 |
Net realized gain (loss)
| 206,342 | | 99,189 |
Net change in unrealized appreciation/depreciation
| 1,566,595 | | 11,343 |
Net increase (decrease) in net assets resulting from operations
| 396,900,758 | | 247,824,904 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 32,519,193,299 | | 38,864,723,746 |
Withdrawals
| (22,486,319,974) | | (37,857,969,929) |
Net increase (decrease) in net assets from capital transactions
| 10,032,873,325 | | 1,006,753,817 |
Net increase (decrease) in net assets during the period
| 10,429,774,083 | | 1,254,578,721 |
Net assets at beginning of period
| 11,196,384,667 | | 9,941,805,946 |
NET ASSETS AT END OF PERIOD
| $21,626,158,750 | | $11,196,384,667 |
See accompanying notes to financial statements.
10
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/19 | | Year
Ended
12/31/18 | | Year
Ended
12/31/17 | | Year
Ended
12/31/16 | | Year
Ended
12/31/15 |
Total return (a)
| 2.38% | | 2.06% | | 0.96% | | 0.51% | | 0.17% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $21,626,159 | | $11,196,385 | | $9,941,806 | | $8,272,653 | | $47,683,856 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.07% | | 0.07% | | 0.06% | | 0.07% | | 0.07% |
Net investment income (loss)
| 2.29% | | 2.05% | | 1.11% | | 0.49% | | 0.17% |
| (a) | Results represent past performance and are not indicative of future results. |
See accompanying notes to financial statements.
11
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. The State Street Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interests with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as a floating net asset value (“NAV”) money market fund. As a floating NAV money market fund, the Portfolio (1) 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 NAV calculated to four decimal places; and (2) 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 fall below a designated threshold.
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.
2. 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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the 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 overseeing the determination of the fair value of investments.
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 prices.
• Repurchase agreements are valued at the repurchase price as of valuation date.
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.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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
• 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 premiums and discounts are amortized/accreted for financial reporting purposes.
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.
3. 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 December 31, 2019, the Portfolio had invested in repurchase agreements with the gross values of $4,535,414,216 and associated collateral equal to $4,765,342,752.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
4. Fees and Transactions with Affiliates
Advisory and Administrator 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 objective, 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. SSGA FM also serves as administrator.
Custodian, Sub-Administrator and Transfer Agent Fees
State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator and transfer agent, the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
5. 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.
6. 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 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. 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.
As of December 31, 2019, 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
| $20,702,308,756 | | $1,664,664 | | $232,315 | | $1,432,349 |
7. 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 was more broadly diversified.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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, the 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.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest of State Street Money Market Portfolio and the Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 July 1, 2019 to December 31, 2019.
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 the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the 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.
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 Money Market Portfolio
| 0.07% | | $1,010.60 | | $0.35 | | $1,024.90 | | $0.36 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
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 has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
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 on the SEC’s website at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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
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.
Annual Report
December 31, 2019
State Street Master Funds
| State Street ESG Liquid Reserves Portfolio |
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.
TABLE OF CONTENTS
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 ESG Liquid Reserves Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition as of December 31, 2019
| | | |
| | | % of Net Assets | |
| | Certificates of Deposit | 30.7% | |
| | Financial Company Commercial Paper | 20.8 | |
| | Government Agency Repurchase Agreements | 18.7 | |
| | Other Notes | 9.7 | |
| | Treasury Repurchase Agreements | 8.0 | |
| | Other Repurchase Agreements | 7.9 | |
| | Asset Backed Commercial Paper | 4.1 | |
| | Other Assets in Excess of Liabilities | 0.1 | |
| | TOTAL | 100.0% | |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
Maturity Ladder as of December 31, 2019
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 45.9% | |
| | 31 to 60 Days | 1.4 | |
| | 61 to 90 Days | 14.7 | |
| | Over 90 Days | 37.9 | |
| | Total | 99.9% | |
| | Average days to maturity | 30 | |
| | Weighted average life | 89 | |
(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
See accompanying notes to financial statements.
1
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| ASSET BACKED COMMERCIAL PAPER—4.1% | | | | | | | | | | |
Antalis SA(a)
| | 1.700% | | 01/03/2020 | | 01/03/2020 | | $4,000,000 | | $3,999,392 |
Antalis SA(a)
| | 1.950% | | 03/03/2020 | | 03/03/2020 | | 10,000,000 | | 9,967,135 |
Antalis SA(a)
| | 1.950% | | 03/09/2020 | | 03/09/2020 | | 3,500,000 | | 3,487,368 |
Barton Capital SA(a)
| | 1.870% | | 01/14/2020 | | 01/14/2020 | | 10,721,000 | | 10,713,107 |
Barton Capital SA(a)
| | 2.000% | | 01/28/2020 | | 01/28/2020 | | 7,500,000 | | 7,489,057 |
TOTAL ASSET BACKED COMMERCIAL PAPER
| | | | | | | | | | 35,656,059 |
| CERTIFICATES OF DEPOSIT—30.7% | | | | | | | | | | |
Bank of Montreal(a)
| | 1.840% | | 01/10/2020 | | 01/10/2020 | | 10,000,000 | | 10,000,475 |
Bank of Montreal(a)
| | 1.880% | | 04/02/2020 | | 04/02/2020 | | 10,000,000 | | 9,999,981 |
Bank of Montreal(a)
| | 2.000% | | 03/18/2020 | | 03/18/2020 | | 7,000,000 | | 7,001,671 |
Bank of Nova Scotia(a)
| | 1.900% | | 04/13/2020 | | 04/13/2020 | | 9,000,000 | | 9,001,403 |
Bank of Nova Scotia, 1 Month USD LIBOR + 0.22%%(b)
| | 1.914% | | 01/06/2020 | | 07/06/2020 | | 12,000,000 | | 11,998,503 |
Canadian Imperial Bank of Commerce(a)
| | 2.000% | | 01/13/2020 | | 01/13/2020 | | 11,000,000 | | 11,001,164 |
Canadian Imperial Bank of Commerce, 3 Month USD LIBOR + 0.12%%(b)
| | 2.020% | | 03/04/2020 | | 12/04/2020 | | 12,000,000 | | 11,999,964 |
Credit Suisse, 1 Month USD LIBOR + 0.29%%(b)
| | 1.987% | | 01/03/2020 | | 09/03/2020 | | 10,000,000 | | 9,999,092 |
Credit Suisse, Secured Overnight Financing Rate + 0.34%%(b)
| | 1.880% | | 01/01/2020 | | 07/06/2020 | | 12,000,000 | | 11,998,747 |
Mizuho Bank Ltd.(a)
| | 1.920% | | 01/24/2020 | | 01/24/2020 | | 6,500,000 | | 6,501,568 |
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.21%%(b)
| | 1.907% | | 01/03/2020 | | 04/03/2020 | | 10,000,000 | | 9,999,618 |
Mizuho Bank Ltd., 1 Month USD LIBOR + 0.22%%(b)
| | 1.914% | | 01/06/2020 | | 05/06/2020 | | 10,000,000 | | 10,000,000 |
Natixis(a)
| | 1.870% | | 03/03/2020 | | 03/03/2020 | | 13,000,000 | | 13,000,007 |
Natixis, 3 Month USD LIBOR + 0.11%%(b)
| | 2.010% | | 03/04/2020 | | 09/04/2020 | | 12,000,000 | | 11,999,965 |
Natixis, 3 Month USD LIBOR + 0.20%%(b)
| | 2.147% | | 03/30/2020 | | 12/29/2020 | | 7,000,000 | | 7,000,000 |
Nordea Bank AB, 1 Month USD LIBOR + 0.20%%(b)
| | 1.894% | | 01/06/2020 | | 06/04/2020 | | 10,000,000 | | 9,999,166 |
Nordea Bank AB, 1 Month USD LIBOR + 0.23%%(b)
| | 1.940% | | 01/09/2020 | | 07/09/2020 | | 10,000,000 | | 9,999,573 |
Nordea Bank AB, 3 Month USD LIBOR + 0.13%%(b)
| | 2.018% | | 03/11/2020 | | 12/11/2020 | | 5,000,000 | | 4,999,987 |
Royal Bank of Canada, 3 Month USD LIBOR + 0.11%%(b)
| | 2.016% | | 03/03/2020 | | 12/03/2020 | | 10,000,000 | | 9,999,970 |
Skandinaviska Enskilda Banken AB(a)
| | 1.870% | | 04/14/2020 | | 04/14/2020 | | 1,600,000 | | 1,601,312 |
Skandinaviska Enskilda Banken AB, 1 Month USD LIBOR + 0.20%%(b)
| | 1.965% | | 01/21/2020 | | 07/20/2020 | | 9,500,000 | | 9,495,954 |
Sumitomo Mitsui Trust Bank(a)
| | 1.890% | | 04/07/2020 | | 04/07/2020 | | 10,000,000 | | 9,997,809 |
Sumitomo Mitsui Trust Bank(a)
| | 1.950% | | 03/13/2020 | | 03/13/2020 | | 10,000,000 | | 10,000,710 |
Swedbank AB(a)
| | 2.030% | | 03/02/2020 | | 03/02/2020 | | 6,000,000 | | 6,000,854 |
Swedbank AB, 3 Month USD LIBOR + 0.11%%(b)
| | 1.995% | | 03/09/2020 | | 06/09/2020 | | 7,000,000 | | 7,001,488 |
Toronto Dominion Bank(a)
| | 1.850% | | 02/06/2020 | | 02/06/2020 | | 12,000,000 | | 11,999,848 |
Toronto Dominion Bank(a)
| | 1.880% | | 03/23/2020 | | 03/23/2020 | | 15,000,000 | | 14,999,802 |
Toronto Dominion Bank(a)
| | 1.900% | | 03/27/2020 | | 03/27/2020 | | 5,000,000 | | 5,000,132 |
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%%(b)
| | 2.035% | | 03/09/2020 | | 12/09/2020 | | 8,000,000 | | 8,000,715 |
TOTAL CERTIFICATES OF DEPOSIT
| | | | | | | | | | 270,599,478 |
| FINANCIAL COMPANY COMMERCIAL PAPER—20.8% | | | | | | | | | | |
Australia & New Zealand Banking Group Ltd.(a)
| | 1.840% | | 03/10/2020 | | 03/10/2020 | | 12,000,000 | | 11,957,230 |
Australia & New Zealand Banking Group Ltd.(a)
| | 1.840% | | 04/14/2020 | | 04/14/2020 | | 12,000,000 | | 11,934,550 |
Australia & New Zealand Banking Group Ltd.(a)
| | 1.860% | | 03/12/2020 | | 03/12/2020 | | 5,000,000 | | 4,981,640 |
Banco Santander(a)
| | 1.920% | | 03/05/2020 | | 03/05/2020 | | 20,000,000 | | 19,930,017 |
Banco Santander(a)
| | 1.930% | | 03/13/2020 | | 03/13/2020 | | 7,000,000 | | 6,972,520 |
Bank of Nova Scotia(a)
| | 1.860% | | 04/03/2020 | | 04/03/2020 | | 8,000,000 | | 7,961,690 |
Canadian Imperial Bank of Commerce(a)
| | 1.760% | | 01/08/2020 | | 01/08/2020 | | 8,000,000 | | 7,996,953 |
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.05%%(b)
| | 1.941% | | 03/10/2020 | | 06/10/2020 | | 12,000,000 | | 11,999,970 |
Commonwealth Bank of Australia, 3 Month USD LIBOR + 0.11%%(b)
| | 1.997% | | 02/28/2020 | | 11/30/2020 | | 12,000,000 | | 11,999,980 |
Credit Suisse(a)
| | 1.910% | | 04/01/2020 | | 04/01/2020 | | 5,000,000 | | 4,975,582 |
HSBC Bank PLC, 3 Month USD LIBOR + 0.19%%(b)
| | 2.090% | | 03/02/2020 | | 12/02/2020 | | 9,000,000 | | 9,003,225 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
HSBC Bank PLC, 3 Month USD LIBOR + 0.20%%(b)
| | 2.091% | | 03/09/2020 | | 12/08/2020 | | $7,000,000 | | $7,003,209 |
National Australia Bank Ltd., 3 Month USD LIBOR + 0.12%%(b)
| | 2.012% | | 03/03/2020 | | 12/03/2020 | | 10,000,000 | | 9,999,973 |
Nestle Finance International Ltd.(a)
| | 1.750% | | 03/19/2020 | | 03/19/2020 | | 10,000,000 | | 9,962,738 |
Royal Bank of Canada(a)
| | 2.000% | | 03/19/2020 | | 03/19/2020 | | 6,000,000 | | 5,975,681 |
Svenska Handelsbanken AB, 1 Month USD LIBOR + 0.19%%(b)
| | 1.903% | | 01/06/2020 | | 06/05/2020 | | 10,000,000 | | 9,999,376 |
Toronto Dominion Bank(a)
| | 2.000% | | 01/15/2020 | | 01/15/2020 | | 5,000,000 | | 4,996,160 |
Toyota Motor Credit Corp., 3 Month USD LIBOR + 0.10%%(b)
| | 2.006% | | 03/03/2020 | | 08/28/2020 | | 10,000,000 | | 9,999,976 |
UBS AG, 3 Month USD LIBOR + 0.07%%(b)
| | 1.998% | | 01/29/2020 | | 04/29/2020 | | 8,000,000 | | 7,999,979 |
Westpac Banking Corp., 3 Month USD LIBOR + 0.15%%(b)
| | 2.042% | | 02/25/2020 | | 11/25/2020 | | 8,000,000 | | 8,002,824 |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER
| | | | | | | | | | 183,653,273 |
| OTHER NOTES—9.7% | | | | | | | | | | |
Bank of America NA, 1 Month USD LIBOR + 0.19%%(b)
| | 1.884% | | 01/02/2020 | | 07/01/2020 | | 10,000,000 | | 10,000,000 |
Credit Agricole Corporate and Investment Bank(a)
| | 1.540% | | 01/02/2020 | | 01/02/2020 | | 5,758,000 | | 5,758,000 |
Mizuho Bank Ltd.(a)
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 10,000,000 | | 10,000,000 |
National Australia Bank Ltd.(a)
| | 1.530% | | 01/02/2020 | | 01/02/2020 | | 20,000,000 | | 20,000,000 |
National Bank of Canada(a)
| | 1.650% | | 01/02/2020 | | 01/02/2020 | | 20,000,000 | | 20,000,000 |
Royal Bank of Canada(a)
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 20,000,000 | | 20,000,000 |
TOTAL OTHER NOTES
| | | | | | | | | | 85,758,000 |
| GOVERNMENT AGENCY REPURCHASE AGREEMENTS—18.7% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 3.588% due 11/20/2069, valued at $5,100,001); expected proceeds $5,000,436
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 5,000,000 | | 5,000,000 |
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal Home Loan Mortgage Corporation, 3.000% due 02/01/2047, Federal National Mortgage Associations, 3.000% – 4.000% due 06/01/2039 – 09/01/2049, and a Government National Mortgage Association, 2.500% due 12/20/2049, valued at $25,500,460); expected proceeds $25,002,181
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 25,000,000 | | 25,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 4.500% due 09/01/2047 – 08/01/2048, valued at $71,400,000); expected proceeds $70,006,106
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 70,000,000 | | 70,000,000 |
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $66,300,001); expected proceeds $65,005,669
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 65,000,000 | | 65,000,000 |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS
| | | | | | | | | | 165,000,000 |
| TREASURY REPURCHASE AGREEMENTS—8.0% | | | | | | | | | | |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal Farm Credit Bank, 3.540% due 01/25/2038, a Federal Home Loan Mortgage Corporation, 2.500% due 12/01/2049, a U.S. Treasury Bill, 0.000% due 01/02/2020, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, and a U.S. Treasury Note, 1.750% due 12/31/2024, valued at $71,399,811); expected proceeds $70,006,106
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 70,000,000 | | 70,000,000 |
| OTHER REPURCHASE AGREEMENTS—7.9% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/06/2019 (collateralized by a Common Stock, valued at $10,800,613); expected proceeds $10,065,781(c)
| | 1.990% | | 01/01/2020 | | 04/03/2020 | | 10,000,000 | | 10,000,000 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by various Common Stocks, valued at $32,386,273); expected proceeds $30,018,308
| | 1.690% | | 01/02/2020 | | 01/02/2020 | | $30,000,000 | | $30,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2019 (collateralized by various Common Stocks, valued at $32,400,015); expected proceeds $30,214,600(c)
| | 1.790% | | 01/01/2020 | | 04/17/2020 | | 30,000,000 | | 30,000,000 |
TOTAL OTHER REPURCHASE AGREEMENTS
| | | | | | | | | | 70,000,000 |
TOTAL INVESTMENTS –99.9%
(Cost $880,666,059)(d)
| | | | | | | | | | 880,666,810 |
Other Assets in Excess of Liabilities —0.1%
| | | | | | | | | | 629,793 |
NET ASSETS –100.0%
| | | | | | | | | | $881,296,603 |
| (a) | Rate represents annualized yield at date of purchase. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Illiquid security. These securities represent $40,000,000 or 4.5% of net assets as of December 31, 2019. |
| (d) | Also represents the cost for federal tax purposes. |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2019.
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
| Assets: | | | | | | | | |
| Investments: | | | | | | | | |
Asset Backed Commercial Paper
| | $— | | $35,656,059 | | $— | | $35,656,059 |
Certificates of Deposit
| | — | | 270,599,478 | | — | | 270,599,478 |
Financial Company Commercial Paper
| | — | | 183,653,273 | | — | | 183,653,273 |
Other Notes
| | — | | 85,758,000 | | — | | 85,758,000 |
Government Agency Repurchase Agreements
| | — | | 165,000,000 | | — | | 165,000,000 |
Treasury Repurchase Agreements
| | — | | 70,000,000 | | — | | 70,000,000 |
Other Repurchase Agreements
| | — | | 70,000,000 | | — | | 70,000,000 |
Total Investments
| | $— | | $880,666,810 | | $— | | $880,666,810 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value
| $575,666,810 |
Repurchase agreements, at value and amortized cost
| 305,000,000 |
Total Investments
| 880,666,810 |
Cash
| 678 |
Receivable for Contributions
| 1,000 |
Interest receivable — unaffiliated issuers
| 680,500 |
TOTAL ASSETS
| 881,348,988 |
| LIABILITIES | |
Advisory fee payable
| 35,403 |
Custodian, sub-administrator and transfer agent fees payable
| 8,538 |
Trustees’ fees and expenses payable
| 1,470 |
Professional fees payable
| 6,106 |
Printing and postage fees payable
| 28 |
Accrued expenses and other liabilities
| 840 |
TOTAL LIABILITIES
| 52,385 |
NET ASSETS
| $881,296,603 |
| COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
| $575,666,059 |
Repurchase agreements
| 305,000,000 |
Total cost of investments
| $880,666,059 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
STATEMENT OF OPERATIONS
For the Period Ended December 31, 2019(a)
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $1,253,210 |
| EXPENSES | |
Advisory fee
| 35,403 |
Custodian, sub-administrator and transfer agent fees
| 8,824 |
Trustees’ fees and expenses
| 1,470 |
Professional fees and expenses
| 24,000 |
Printing and postage fees
| 4,876 |
Miscellaneous expenses
| 840 |
TOTAL EXPENSES
| 75,413 |
NET INVESTMENT INCOME (LOSS)
| $1,177,797 |
| UNREALIZED GAIN (LOSS) | |
| Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
| 751 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $1,178,548 |
(a) For the period December 3, 2019 (inception date) through December 31, 2019.
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | For the Period
12/03/19*-
12/31/19 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | |
Net investment income (loss)
| $1,177,797 |
Net change in unrealized appreciation/depreciation
| 751 |
Net increase (decrease) in net assets resulting from operations
| 1,178,548 |
| CAPITAL TRANSACTIONS | |
Contributions
| 884,807,715 |
Withdrawals
| (4,689,660) |
Net increase (decrease) in net assets from capital transactions
| 880,118,055 |
Net increase (decrease) in net assets during the period
| 881,296,603 |
Net assets at beginning of period
| — |
NET ASSETS AT END OF PERIOD
| $881,296,603 |
See accompanying notes to financial statements.
7
STATE STREET ESG LIQUID RESERVES PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | For the
Period
12/04/19*-
12/31/19 |
Total return (a)
| 0.13% |
| Ratios and Supplemental Data: | |
Net assets, end of period (in 000s)
| $881,297 |
| Ratios to average net assets: | |
Total expenses
| 0.11%(b) |
Net investment income (loss)
| 1.72%(b) |
| * | Commencement of operations. |
| (a) | Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
| (b) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding affiliated portfolio.
8
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. The State Street ESG Liquid Reserves Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares of beneficial interests with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as a floating net asset value (“NAV”) money market fund. As a floating NAV money market fund, the Portfolio (1) 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 NAV calculated to four decimal places; and (2) 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 fall below a designated threshold.
The Portfolio was formed on December 3, 2019 and commenced operations on December 4, 2019.
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.
2. 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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the 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 overseeing the determination of the fair value of investments.
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 prices.
• Repurchase agreements are valued at the repurchase price as of valuation date.
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.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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
• 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.
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.
3. 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 December 31, 2019, the Portfolio had invested in repurchase agreements with the gross values of $305,000,000 and associated collateral equal to $315,287,173.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
4. Fees and Transactions with Affiliates
Advisory and Administrator 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 objective, 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. SSGA FM also serves as administrator.
Custodian, Sub-Administrator and Transfer Agent Fees
State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator and transfer agent, the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
5. 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.
6. 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 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 (“the IRS”) for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. 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.
As of December 31, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. 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 was more broadly diversified.
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, the 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).
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of State Street ESG Liquid Reserves Portfolio and the Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street ESG Liquid Reserves Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations and statement of changes in net assets for the period from December 3, 2019 (inception date) through December 31, 2019, and the financial highlights for the period from December 4, 2019 (commencement of operations) through December 31, 2019 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, and the results of its operations and changes in its net assets for the period from December 3, 2019 (inception date) through December 31, 2019 and its financial highlights for the period from December 4, 2019 (commencement of operations) through December 31, 2019, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION
December 31, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 July 1, 2019 to December 31, 2019.
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 the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the 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.
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 | | Ending Account
Value | | Expenses Paid
During Period |
State Street ESG Liquid Reserves Portfolio(a)
| 0.11% | | $1,001.30 | | $0.55 | | $1,003.90 | | $0.09 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio, multiplied by the average account value of the period, multiplied by 29, then divided by 365. |
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 has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
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 on the SEC’s website at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEE CONSIDERATIONS IN APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended, an investment advisory agreement between a mutual fund and its investment adviser must be approved 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 (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 and State Street Institutional Investment Trust (each, a “Trust” and together, the “Trusts”), including a majority of the Independent Trustees, met in-person on May 15, 2019, to consider a proposal to approve the investment advisory agreements (the “Advisory Agreements”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) on behalf of State Street ESG Liquid Reserves Fund and State Street ESG Liquid Reserves Portfolio, each a new series of the applicable Trust (each, a “New Fund,” and together, the “New Funds”). 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 counsel that is independent (“Independent Counsel”) of the Adviser in connection with their consideration of approval of the Advisory Agreements. The Independent Trustees reviewed the proposed Advisory Agreements with respect to the New Funds in private sessions with Independent Counsel at which no representatives of management were present. The Independent Trustees considered the information provided with respect to the Adviser and other service providers of the New Funds at the in-person meeting of the Board held on May 15, 2019, as well as at other meetings of the Board and its committees held throughout the year. The Independent Trustees also received a presentation from the Adviser regarding the New Funds at an in-person meeting held on April 10, 2019. At the May 15, 2019 in-person Board meeting, the Independent Trustees also considered the investment advisory agreement with the Adviser on behalf of certain other funds in the fund complex (the “Other Funds”). This information included, among other things, the following:
Information about Comparable Fund Performance, Fees and Expenses
The Independent Trustees considered performance information about other money market funds managed by the Adviser, including the performance of the State Street Institutional Liquid Reserves Fund, on which the investment strategy of the New Funds will be closely based.
A report prepared by an independent third-party provider of investment company data, which included:
| • | A comparison of the New Funds’ estimated 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 comparison of the New Funds’ contractual and estimated actual management fees and estimated total expense ratio to the contractual and actual management fees and total expense ratios of the Expense Group and Expense Universe; |
| • | Comparative information concerning the fees charged by the Adviser for managing other money market funds; and |
| • | Profitability analyses for (a) the Adviser with respect to Other Funds and (b) affiliates of the Adviser that provide services to the Other Funds. |
Information about Portfolio Management
| • | Descriptions of the investment management services to be provided by the Adviser to the New Funds as well as services provided to the Other Funds, including their investment strategies and processes; |
| • | Information concerning the allocation of brokerage; and |
| • | Information regarding the procedures and processes to be used to value the assets of the New Funds. |
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
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 who will be responsible for managing the New Funds; |
| • | Information relating to compliance with and the administration of the Code of Ethics adopted by the Adviser; |
| • | Information about the Adviser’s proxy voting policies and procedures and information regarding the Adviser’s practices for overseeing proxy vendors; |
| • | Information concerning the resources to be devoted by the Adviser to overseeing compliance by the New Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
| • | 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 various services to be provided to the New Funds by SSGA FM in its capacity as administrator; |
| • | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Funds by affiliates of SSGA FM, including the custodian, sub-administrator and fund accountant of the New Funds, and the role of SSGA FM in managing the New Funds’ relationships with these service providers; |
| • | Copies of the Advisory Agreements and agreements with other service providers of the New Funds; |
| • | Draft responses to a letter from Independent Counsel reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Funds, from each of: |
o SSGA FM, in its capacity as the Other Funds’ Adviser and Administrator, with respect to its operations relating to the Other Funds and its approximate profit margins before taxes from such operations for the calendar year ended December 31, 2018; and the relevant operations of other affiliated service providers to the Other Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2018;
o State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, and fund accountant for the Other Funds with respect to its operations relating to the Other Funds; and
o State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds.
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 Other Funds throughout the year at meetings of the Board and its committees.
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 Agreements, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreements 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 New Funds.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
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 15, 2019, the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreements with respect to the New Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services to be provided to the New Funds by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments to be held by the New Funds, including the education, experience and number of investment professionals and other personnel who will provide portfolio management, investment research, and similar services to the New Funds. The Independent Trustees took into account a detailed presentation provided by the Adviser at the April 10, 2019 in-person meeting on the R-Factor score, which will be incorporated into the New Funds’ investment process. The Board also considered the Adviser’s success in maintaining the constant dollar value, even through extraordinary market conditions, of the Other Funds that operate as money market funds with stable net asset values. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board considered the 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 Trustees also considered the significant risks assumed by the Adviser in connection with the services to be provided to the New Funds, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention to be devoted to the New Funds by senior management.
The Board had previously reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to provide high quality investment management and related services for the New Funds.
Fund Performance
Because the New Funds have not yet commenced operations, the Board noted that it could not draw any conclusions regarding the performance of the New Funds. However, the Board took into account management’s discussion of the favorable performance track record of the State Street Institutional Liquid Reserves Fund, which utilizes a similar investment strategy as the investment strategy to be utilized by the New Funds. The Board also noted that it reviews at its regularly scheduled meetings information about the performance of the Other Funds, and concluded that it was generally satisfied with the performance of these Other Funds.
Management Fees and Expenses
The Board reviewed the contractual management fee rate to be paid by the New Funds. As part of its review, the Board considered the New Funds’ management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM, as compared to New Fund’s Expense Group and Expense Universe. Among other information, the Board considered the following expense information in its evaluation of the New Funds:
The Board considered that the proposed contractual management fee for the New Funds was below the median of the New Funds’ Expense Group. The Board also considered that the New Funds’ total expenses were below the medians of its Expense Group and Expense Universe. The Board also took into account that the Adviser had agreed to waive a portion of its advisory fee and/or reimburse expenses of the New Funds under certain circumstances. The Board also considered that the State Street ESG Liquid Reserves Portfolio serves as a master fund in a master-feeder structure, and considered the New Funds’ investment advisory fees in the context of the overall master-feeder arrangement.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Profitability
Because the New Funds have not yet commenced operations, the Board noted that it could not draw any conclusions regarding the profitability of the New Funds. The Board, however, reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Other Funds. The Board considered other direct and indirect benefits received by the Adviser and the affiliated service providers in connection with their relationships with the Other Funds, together with the profitability of each of the affiliated service providers with respect to their services to the Other Funds. The Board also considered the various risks borne by the Adviser and the affiliated service providers in connection with their various roles in servicing the New Funds and the Other Funds, including enterprise, litigation, business, operational and entrepreneurial risk.
The Board concluded that the expected profitability of the Adviser with respect to the New Funds, and the expected profitability range of each of the affiliated service providers with respect to its services to the New Funds, were expected to be reasonable in relation to the services provided.
Economies of Scale
In reviewing expected management fees and anticipated profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the New Funds, on the other hand, can expect to realize benefits from economies of scale as the New Funds’ assets increase. The Board acknowledged the difficulty in accurately measuring the expected benefits resulting from the economies of scale with respect to the management of the New Funds in view of the fact that the New Funds have not yet commenced operations. The Board concluded that, in light of the fact that the New Funds have not yet commenced operations, and the comparative management fee and expense ratio of the New Funds, it did not appear that the Adviser or its affiliates expected to realize benefits from economies of scale in managing the assets of the New Funds to such an extent that the proposed advisory fee should be reduced or that breakpoints in such fee should be implemented for the New Funds at this time.
Conclusions
In reaching its decision to approve the Advisory Agreements, 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 their 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 Agreements.
Further, based upon its review of the Advisory Agreements, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreements are reasonable, fair, and in the best interests of the New Funds and their shareholders, and (2) the rates to be payable under the Advisory Agreements are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET ESG LIQUID RESERVES PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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
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.
Annual Report
December 31, 2019
State Street Master Funds
| State Street U.S. Government Money Market Portfolio |
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.
TABLE OF CONTENTS
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 U.S. Government Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition as of December 31, 2019
| | | |
| | | % of Net Assets | |
| | Government Agency Debt | 39.5% | |
| | Treasury Debt | 23.1 | |
| | Treasury Repurchase Agreements | 15.6 | |
| | Government Agency Repurchase Agreements | 11.8 | |
| | Treasury Debt | 3.2 | |
| | Other Assets in Excess of Liabilities | 6.8 | |
| | TOTAL | 100.0% | |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
Maturity Ladder as of December 31, 2019
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 34.0% | |
| | 31 to 60 Days | 13.5 | |
| | 61 to 90 Days | 13.6 | |
| | Over 90 Days | 32.1 | |
| | Total | 93.2% | |
| | Average days to maturity | 35 | |
| | Weighted average life | 100 | |
(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
See accompanying notes to financial statements.
1
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| GOVERNMENT AGENCY DEBT—39.5% | | | | | | | | | | |
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.03%(a)
| | 1.570% | | 01/01/2020 | | 02/06/2020 | | $115,000,000 | | $115,000,000 |
Federal Farm Credit Bank, Secured Overnight Financing Rate + 0.04%(a)
| | 1.575% | | 01/01/2020 | | 09/11/2020 | | 149,000,000 | | 149,000,000 |
Federal Farm Credit Bank, 3 Month USD MMY + 0.11%(a)
| | 1.636% | | 01/01/2020 | | 12/28/2020 | | 16,000,000 | | 15,988,869 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.04%(a)
| | 1.675% | | 01/10/2020 | | 02/10/2020 | | 200,000,000 | | 199,997,690 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a)
| | 1.695% | | 01/16/2020 | | 09/16/2020 | | 146,000,000 | | 145,995,411 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a)
| | 1.700% | | 01/10/2020 | | 06/10/2020 | | 290,800,000 | | 290,793,642 |
Federal Farm Credit Bank, 1 Month USD LIBOR(a)
| | 1.736% | | 01/13/2020 | | 11/12/2020 | | 358,400,000 | | 358,369,043 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a)
| | 1.742% | | 01/27/2020 | | 02/25/2020 | | 150,000,000 | | 149,998,060 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.05%(a)
| | 1.747% | | 01/27/2020 | | 02/25/2020 | | 240,000,000 | | 239,993,631 |
Federal Farm Credit Bank, 1 Month USD LIBOR(a)
| | 1.764% | | 01/19/2020 | | 03/17/2021 | | 165,000,000 | | 164,978,700 |
Federal Farm Credit Bank, 1 Month USD LIBOR - 0.02%(a)
| | 1.765% | | 01/22/2020 | | 05/22/2020 | | 179,600,000 | | 179,597,477 |
Federal Farm Credit Bank, 1 Month USD LIBOR(a)
| | 1.785% | | 01/23/2020 | | 04/23/2020 | | 272,600,000 | | 272,598,324 |
Federal Farm Credit Bank, 3 Month USD LIBOR - 0.12%(a)
| | 1.816% | | 01/27/2020 | | 01/27/2020 | | 25,000,000 | | 25,000,474 |
Federal Home Loan Bank(b)
| | 1.547% | | 02/05/2020 | | 02/05/2020 | | 200,000,000 | | 199,707,789 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.01%(a)
| | 1.550% | | 01/01/2020 | | 01/24/2020 | | 450,000,000 | | 450,000,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.01%(a)
| | 1.550% | | 01/01/2020 | | 02/21/2020 | | 301,000,000 | | 301,000,000 |
Federal Home Loan Bank(b)
| | 1.560% | | 03/11/2020 | | 03/11/2020 | | 200,000,000 | | 199,402,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 02/21/2020 | | 300,000,000 | | 300,000,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 05/14/2020 | | 147,000,000 | | 147,000,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 05/22/2020 | | 213,200,000 | | 213,200,000 |
Federal Home Loan Bank(b)
| | 1.569% | | 02/19/2020 | | 02/19/2020 | | 199,000,000 | | 198,583,692 |
Federal Home Loan Bank(b)
| | 1.569% | | 05/20/2020 | | 05/20/2020 | | 177,840,000 | | 176,762,630 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.03%(a)
| | 1.570% | | 01/01/2020 | | 08/21/2020 | | 143,700,000 | | 143,700,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.03%(a)
| | 1.570% | | 01/01/2020 | | 11/06/2020 | | 109,000,000 | | 109,000,000 |
Federal Home Loan Bank(b)
| | 1.571% | | 02/21/2020 | | 02/21/2020 | | 400,000,000 | | 399,127,222 |
Federal Home Loan Bank(b)
| | 1.572% | | 02/12/2020 | | 02/12/2020 | | 200,000,000 | | 199,641,933 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.04%(a)
| | 1.575% | | 01/01/2020 | | 02/21/2020 | | 267,500,000 | | 267,500,000 |
Federal Home Loan Bank(b)
| | 1.578% | | 06/17/2020 | | 06/17/2020 | | 250,000,000 | | 248,169,958 |
Federal Home Loan Bank(b)
| | 1.580% | | 02/11/2020 | | 02/11/2020 | | 300,000,000 | | 299,473,333 |
Federal Home Loan Bank(b)
| | 1.580% | | 03/18/2020 | | 03/18/2020 | | 954,000,000 | | 950,817,880 |
Federal Home Loan Bank(b)
| | 1.585% | | 06/19/2020 | | 06/19/2020 | | 300,000,000 | | 297,767,792 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.05%(a)
| | 1.585% | | 01/01/2020 | | 01/17/2020 | | 270,000,000 | | 270,000,000 |
Federal Home Loan Bank(b)
| | 1.586% | | 03/04/2020 | | 03/04/2020 | | 400,500,000 | | 399,406,057 |
Federal Home Loan Bank(b)
| | 1.590% | | 02/14/2020 | | 02/14/2020 | | 250,000,000 | | 249,525,208 |
Federal Home Loan Bank(b)
| | 1.590% | | 03/23/2020 | | 03/23/2020 | | 400,000,000 | | 398,569,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.05%(a)
| | 1.590% | | 01/01/2020 | | 01/17/2020 | | 54,700,000 | | 54,700,000 |
Federal Home Loan Bank(b)
| | 1.596% | | 02/26/2020 | | 02/26/2020 | | 300,000,000 | | 299,268,500 |
Federal Home Loan Bank(b)
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 100,000,000 | | 100,000,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.06%(a)
| | 1.600% | | 01/01/2020 | | 05/06/2020 | | 170,800,000 | | 170,800,000 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.08%(a)
| | 1.615% | | 01/01/2020 | | 06/11/2021 | | 145,000,000 | | 145,000,000 |
Federal Home Loan Bank(b)
| | 1.620% | | 04/08/2020 | | 04/08/2020 | | 228,000,000 | | 227,004,780 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Federal Home Loan Bank(b)
| | 1.620% | | 05/28/2020 | | 05/28/2020 | | $250,000,000 | | $251,003,663 |
Federal Home Loan Bank(b)
| | 1.630% | | 01/29/2020 | | 01/29/2020 | | 250,000,000 | | 249,694,375 |
Federal Home Loan Bank, Secured Overnight Financing Rate + 0.10%(a)
| | 1.640% | | 01/01/2020 | | 12/23/2020 | | 311,000,000 | | 311,000,000 |
Federal Home Loan Bank(b)
| | 1.645% | | 04/13/2020 | | 04/13/2020 | | 200,000,000 | | 199,067,833 |
Federal Home Loan Bank(b)
| | 1.647% | | 03/02/2020 | | 03/02/2020 | | 350,000,000 | | 349,989,395 |
Federal Home Loan Bank(b)
| | 1.647% | | 03/03/2020 | | 03/03/2020 | | 200,000,000 | | 199,993,876 |
Federal Home Loan Bank(b)
| | 1.650% | | 01/22/2020 | | 01/22/2020 | | 116,000,000 | | 115,893,667 |
Federal Home Loan Bank(b)
| | 1.650% | | 06/26/2020 | | 06/26/2020 | | 430,000,000 | | 429,965,475 |
Federal Home Loan Bank(b)
| | 1.680% | | 01/10/2020 | | 01/10/2020 | | 300,000,000 | | 299,888,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a)
| | 1.680% | | 01/07/2020 | | 08/07/2020 | | 555,500,000 | | 555,500,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.06%(a)
| | 1.686% | | 01/13/2020 | | 08/13/2020 | | 312,000,000 | | 312,000,000 |
Federal Home Loan Bank(b)
| | 1.692% | | 07/14/2020 | | 07/14/2020 | | 250,000,000 | | 250,000,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.02%(a)
| | 1.693% | | 01/06/2020 | | 01/06/2020 | | 324,400,000 | | 324,400,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a)
| | 1.693% | | 01/11/2020 | | 01/11/2021 | | 249,500,000 | | 249,500,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.04%(a)
| | 1.697% | | 01/17/2020 | | 12/17/2020 | | 300,000,000 | | 300,000,000 |
Federal Home Loan Bank(b)
| | 1.700% | | 02/10/2020 | | 02/10/2020 | | 250,000,000 | | 249,991,730 |
Federal Home Loan Bank(b)
| | 1.702% | | 02/19/2020 | | 02/19/2020 | | 250,000,000 | | 249,989,323 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.03%(a)
| | 1.740% | | 01/21/2020 | | 04/20/2020 | | 200,000,000 | | 200,000,000 |
Federal Home Loan Bank(b)
| | 1.741% | | 07/09/2020 | | 07/09/2020 | | 300,000,000 | | 300,000,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.05%(a)
| | 1.749% | | 01/31/2020 | | 05/28/2020 | | 400,000,000 | | 400,000,000 |
Federal Home Loan Bank, 1 Month USD LIBOR - 0.01%(a)
| | 1.782% | | 01/27/2020 | | 03/27/2020 | | 250,000,000 | | 250,000,000 |
Federal Home Loan Bank(b)
| | 1.810% | | 03/27/2020 | | 03/27/2020 | | 120,000,000 | | 119,487,167 |
Federal Home Loan Bank(b)
| | 1.860% | | 02/12/2020 | | 02/12/2020 | | 15,000,000 | | 14,968,225 |
Federal Home Loan Bank(b)
| | 1.870% | | 03/06/2020 | | 03/06/2020 | | 250,000,000 | | 249,168,889 |
Federal Home Loan Bank(b)
| | 1.878% | | 03/25/2020 | | 03/25/2020 | | 150,000,000 | | 149,350,525 |
Federal Home Loan Bank(b)
| | 1.890% | | 03/20/2020 | | 03/20/2020 | | 491,500,000 | | 489,613,857 |
Federal Home Loan Bank(b)
| | 1.932% | | 06/12/2020 | | 06/12/2020 | | 380,000,000 | | 380,000,000 |
Federal Home Loan Bank(b)
| | 1.940% | | 09/04/2020 | | 09/04/2020 | | 300,000,000 | | 300,000,000 |
Federal Home Loan Bank(b)
| | 2.096% | | 01/17/2020 | | 01/17/2020 | | 400,900,000 | | 400,895,785 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate(a)
| | 1.540% | | 01/01/2020 | | 02/12/2020 | | 215,000,000 | | 215,000,000 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.01%(a)
| | 1.545% | | 01/01/2020 | | 05/13/2020 | | 200,000,000 | | 200,000,000 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 07/08/2020 | | 400,000,000 | | 400,000,000 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 07/10/2020 | | 300,000,000 | | 299,897,470 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.02%(a)
| | 1.560% | | 01/01/2020 | | 11/20/2020 | | 249,000,000 | | 249,000,000 |
Federal Home Loan Mortgage Corp.(b)
| | 1.570% | | 02/27/2020 | | 02/27/2020 | | 556,900,000 | | 555,534,375 |
Federal Home Loan Mortgage Corp.(b)
| | 1.570% | | 05/19/2020 | | 05/19/2020 | | 205,000,000 | | 203,766,242 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.03%(a)
| | 1.570% | | 01/01/2020 | | 06/02/2020 | | 200,000,000 | | 200,000,000 |
Federal Home Loan Mortgage Corp.(b)
| | 1.579% | | 03/06/2020 | | 03/06/2020 | | 328,828,000 | | 327,904,943 |
Federal Home Loan Mortgage Corp., Secured Overnight Financing Rate + 0.04%(a)
| | 1.580% | | 01/01/2020 | | 09/10/2020 | | 200,000,000 | | 200,000,000 |
Federal Home Loan Mortgage Corp.(b)
| | 1.589% | | 06/01/2020 | | 06/01/2020 | | 106,341,000 | | 105,632,240 |
Federal Home Loan Mortgage Corp.(b)
| | 1.650% | | 03/18/2020 | | 03/18/2020 | | 600,000,000 | | 597,910,000 |
Federal Home Loan Mortgage Corp.(b)
| | 1.874% | | 01/21/2020 | | 01/21/2020 | | 75,000,000 | | 74,925,821 |
Federal Home Loan Mortgage Corp.(b)
| | 1.874% | | 04/23/2020 | | 04/23/2020 | | 360,000,000 | | 360,679,805 |
Federal Home Loan Mortgage Corp.(b)
| | 1.880% | | 01/03/2020 | | 01/03/2020 | | 381,000,000 | | 380,980,103 |
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.01%(a)
| | 1.545% | | 01/01/2020 | | 02/24/2020 | | 350,000,000 | | 350,000,000 |
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.01%(a)
| | 1.550% | | 01/01/2020 | | 05/22/2020 | | 466,600,000 | | 466,586,598 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Federal National Mortgage Assoc.(b)
| | 1.553% | | 03/04/2020 | | 03/04/2020 | | $300,000,000 | | $299,197,617 |
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.04%(a)
| | 1.580% | | 01/01/2020 | | 01/29/2021 | | 134,000,000 | | 134,000,000 |
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.08%(a)
| | 1.615% | | 01/01/2020 | | 10/30/2020 | | 181,100,000 | | 181,100,000 |
Federal National Mortgage Assoc.(b)
| | 1.630% | | 01/06/2020 | | 01/06/2020 | | 300,000,000 | | 299,945,667 |
Federal National Mortgage Assoc., Secured Overnight Financing Rate + 0.10%(a)
| | 1.640% | | 01/01/2020 | | 04/30/2020 | | 50,000,000 | | 50,000,000 |
TOTAL GOVERNMENT AGENCY DEBT
| | | | | | | | | | 24,025,861,761 |
| TREASURY DEBT—23.1% | | | | | | | | | | |
U.S. Treasury Bill(b)
| | 1.498% | | 01/28/2020 | | 01/28/2020 | | 544,300,000 | | 543,671,031 |
U.S. Treasury Bill(b)
| | 1.500% | | 01/07/2020 | | 01/07/2020 | | 75,000,000 | | 74,984,115 |
U.S. Treasury Bill(b)
| | 1.515% | | 06/04/2020 | | 06/04/2020 | | 400,000,000 | | 397,320,400 |
U.S. Treasury Bill(b)
| | 1.521% | | 02/06/2020 | | 02/06/2020 | | 475,350,000 | | 474,578,085 |
U.S. Treasury Bill(b)
| | 1.532% | | 01/14/2020 | | 01/14/2020 | | 150,000,000 | | 149,924,250 |
U.S. Treasury Bill(b)
| | 1.540% | | 05/21/2020 | | 05/21/2020 | | 300,000,000 | | 298,198,057 |
U.S. Treasury Bill(b)
| | 1.550% | | 05/14/2020 | | 05/14/2020 | | 448,850,000 | | 446,283,856 |
U.S. Treasury Bill(b)
| | 1.580% | | 05/28/2020 | | 05/28/2020 | | 150,000,000 | | 149,032,250 |
U.S. Treasury Bill(b)
| | 1.610% | | 04/30/2020 | | 04/30/2020 | | 500,225,000 | | 497,546,303 |
U.S. Treasury Bill(b)
| | 1.620% | | 04/16/2020 | | 04/16/2020 | | 500,800,000 | | 498,432,144 |
U.S. Treasury Bill(b)
| | 1.680% | | 04/09/2020 | | 04/09/2020 | | 140,000,000 | | 139,358,644 |
U.S. Treasury Bill(b)
| | 1.795% | | 04/02/2020 | | 04/02/2020 | | 600,000,000 | | 597,267,472 |
U.S. Treasury Bill(b)
| | 1.825% | | 03/05/2020 | | 03/05/2020 | | 1,100,000,000 | | 1,096,598,000 |
U.S. Treasury Bill(b)
| | 1.825% | | 03/12/2020 | | 03/12/2020 | | 750,000,000 | | 747,336,719 |
U.S. Treasury Bill(b)
| | 1.840% | | 02/20/2020 | | 02/20/2020 | | 335,000,000 | | 334,161,011 |
U.S. Treasury Bill(b)
| | 1.860% | | 03/26/2020 | | 03/26/2020 | | 600,000,000 | | 597,396,000 |
U.S. Treasury Bill(b)
| | 1.870% | | 03/19/2020 | | 03/19/2020 | | 600,000,000 | | 597,600,167 |
U.S. Treasury Bill(b)
| | 2.010% | | 01/16/2020 | | 01/16/2020 | | 200,000,000 | | 199,843,667 |
U.S. Treasury Bill(b)
| | 2.010% | | 01/23/2020 | | 01/23/2020 | | 200,000,000 | | 199,764,800 |
U.S. Treasury Bill(b)
| | 2.035% | | 01/30/2020 | | 01/30/2020 | | 200,000,000 | | 199,683,444 |
U.S. Treasury Note, 3 Month USD MMY(a)
| | 1.526% | | 01/01/2020 | | 01/31/2020 | | 541,400,000 | | 541,393,923 |
U.S. Treasury Note, 3 Month USD MMY + 0.03%(a)
| | 1.559% | | 01/01/2020 | | 04/30/2020 | | 1,338,922,000 | | 1,338,904,956 |
U.S. Treasury Note, 3 Month USD MMY + 0.04%(a)
| | 1.569% | | 01/01/2020 | | 07/31/2020 | | 89,400,000 | | 89,370,773 |
U.S. Treasury Note(b)
| | 1.616% | | 08/31/2020 | | 08/31/2020 | | 178,497,000 | | 178,214,705 |
U.S. Treasury Note, 3 Month USD MMY + 0.12%(a)
| | 1.641% | | 01/01/2020 | | 01/31/2021 | | 280,800,000 | | 280,505,351 |
U.S. Treasury Note, 3 Month USD MMY + 0.14%(a)
| | 1.665% | | 01/01/2020 | | 04/30/2021 | | 840,000,000 | | 839,135,797 |
U.S. Treasury Note, 3 Month USD MMY + 0.05%(a)
| | 1.672% | | 01/31/2020 | | 10/31/2020 | | 124,100,000 | | 124,041,416 |
U.S. Treasury Note, 3 Month USD MMY + 0.22%(a)
| | 1.746% | | 01/01/2020 | | 07/31/2021 | | 1,577,300,000 | | 1,576,594,409 |
U.S. Treasury Note, 3 Month USD MMY + 0.30%(a)
| | 1.826% | | 01/01/2020 | | 10/31/2021 | | 835,509,200 | | 836,111,210 |
TOTAL TREASURY DEBT
| | | | | | | | | | 14,043,252,955 |
| GOVERNMENT AGENCY REPURCHASE AGREEMENTS—11.8% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/13/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 11/01/2029 – 01/01/2050, and Federal National Mortgage Associations, 2.540% – 5.000% due 04/01/2024 – 09/01/2051, valued at $918,000,001); expected proceeds $901,155,000
| | 1.650% | | 01/07/2020 | | 01/07/2020 | | 900,000,000 | | 900,000,000 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.218% due 09/01/2039 – 12/01/2049, Federal National Mortgage Associations, 2.500% – 5.500% due 06/01/2049 – 12/01/2049, and Government National Mortgage Associations, 2.000% – 5.500% due 08/15/2043 – 12/20/2049, valued at $102,000,001); expected proceeds $100,008,722
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | $100,000,000 | | $100,000,000 |
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.000% due 12/01/2034 – 11/01/2049, and Federal National Mortgage Associations, 2.500% – 4.500% due 06/01/2029 – 01/01/2050, valued at $502,860,000); expected proceeds $493,043,001
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 493,000,000 | | 493,000,000 |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.208% due 06/25/2038, and a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2022, valued at $10,200,009); expected proceeds $10,000,872
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 10,000,000 | | 10,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by Federal Farm Credit Banks, 1.600% – 3.220% due 04/06/2020 – 04/01/2027, Federal Home Loan Mortgage Corporations, 0.000% – 16.485% due 04/20/2020 – 07/25/2056, Federal Home Loan Mortgage Corporation Strips, 3.500% - 4.240% due 09/15/2027 - 03/15/2044, Federal National Mortgage Associations, 0.000% – 9.000% due 01/30/2020 – 12/25/2059, Federal National Mortgage Associations Strips, 0.000% – 10.000% due 01/25/2020 – 07/01/2042, Government National Mortgage Associations, 0.000% – 64.160% due 03/15/2025 – 10/20/2069, Resolution Funding Strips, 0.000% due 01/15/2021 – 10/15/2029, U.S. Treasury Bills, 0.000% due 01/30/2020 – 07/16/2020, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2042, a U.S. Treasury Inflation Index Note, 0.125% due 10/15/2024, and U.S. Treasury Strips, 0.000% due 02/15/2020 – 11/15/2049, valued at $1,026,980,116); expected proceeds $1,000,334,444
| | 1.720% | | 01/03/2020 | | 01/03/2020 | | 1,000,000,000 | | 1,000,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by Federal Farm Credit Banks, 1.840% – 5.750% due 01/06/2020 – 08/01/2036, Federal Home Loan Banks, 2.125% – 5.625% due 01/24/2028 – 06/22/2043, Federal Home Loan Mortgage Corporations, 0.000% – 6.750% due 09/15/2029 – 07/15/2032, Federal National Mortgage Associations, 0.000% – 7.250% due 05/15/2029 – 08/06/2038, Tennessee Valley Authorities, 2.250% – 7.125% due 03/15/2020 – 09/15/2065, and a U.S. Treasury Inflation Index Bond, 2.500% due 01/15/2029, valued at $510,000,115); expected proceeds $500,166,250
| | 1.710% | | 01/03/2020 | | 01/03/2020 | | 500,000,000 | | 500,000,000 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal Farm Credit Bank, 2.100% due 06/24/2021, Federal Home Loan Banks, 1.625% – 2.500% due 07/07/2021 – 08/05/2022, a Federal Home Loan Mortgage Corporation, 2.375% due 01/13/2022, and Federal National Mortgage Associations, 1.375% – 2.750% due 06/22/2021 – 09/06/2022, valued at $99,964,563); expected proceeds $98,008,493
| | 1.560% | | 01/02/2020 | | 01/02/2020 | | $98,000,000 | | $98,000,000 |
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Government National Mortgage Associations, 3.000% – 7.500% due 12/15/2023 – 12/20/2049, a U.S. Treasury Bond, 6.125% due 11/15/2027, a U.S. Treasury Note, 1.750% due 05/31/2022, and a U.S. Treasury Strip, 0.000% due 08/15/2026, valued at $459,000,000); expected proceeds $450,134,750
| | 1.540% | | 01/07/2020 | | 01/07/2020 | | 450,000,000 | | 450,000,000 |
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/17/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.768% – 6.000% due 01/01/2026 – 11/01/2049, and Federal National Mortgage Associations, 3.000% – 5.000% due 01/01/2027 – 09/01/2057, valued at $306,000,000); expected proceeds $300,835,833(c)
| | 1.700% | | 02/14/2020 | | 02/14/2020 | | 300,000,000 | | 300,000,000 |
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.000% due 11/01/2029 – 11/01/2049, valued at $51,000,000); expected proceeds $50,144,028(c)
| | 1.700% | | 02/19/2020 | | 02/19/2020 | | 50,000,000 | | 50,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Government National Mortgage Association, 7.500% due 10/20/2026, and a U.S. Treasury Note, 1.500% due 01/31/2022, valued at $74,460,000); expected proceeds $73,006,367
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 73,000,000 | | 73,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Farm Credit Banks, 3.190% – 3.500% due 06/27/2033 – 01/26/2037, Federal Home Loan Banks, 3.100% – 4.170% due 05/18/2028 – 06/09/2036, a Federal Home Loan Mortgage Corporation, 0.000% due 03/15/2031, Federal National Mortgage Associations, 0.000% due 01/15/2025 – 11/15/2030, and a Resolution Funding Strip, 0.000% due 01/15/2030, valued at $112,200,131); expected proceeds $110,009,533
| | 1.560% | | 01/02/2020 | | 01/02/2020 | | 110,000,000 | | 110,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 10/04/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.410% – 5.000% due 08/01/2027 – 01/01/2050, and Federal National Mortgage Associations, 2.771% – 5.000% due 01/01/2024 – 08/01/2049, valued at $204,948,600); expected proceeds $200,992,000(c)
| | 1.860% | | 01/08/2020 | | 01/08/2020 | | 200,000,000 | | 200,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/10/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.904% – 6.000% due 02/01/2022 – 12/01/2049, and Federal National Mortgage Associations, 2.586% – 5.500% due 03/01/2020 – 11/01/2049, valued at $334,944,744); expected proceeds $328,442,800
| | 1.800% | | 01/07/2020 | | 01/07/2020 | | 328,000,000 | | 328,000,000 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.000% due 10/01/2027 – 12/01/2049, and Federal National Mortgage Associations, 2.500% – 6.000% due 11/01/2022 – 12/01/2049, valued at $204,017,793); expected proceeds $200,017,444
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | $200,000,000 | | $200,000,000 |
Agreement with Morgan Stanley and Co., Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 8.000% due 09/01/2024 – 12/01/2049, and Federal National Mortgage Associations, 2.500% – 6.000% due 05/01/2034 – 01/01/2050, valued at $209,100,000); expected proceeds $205,017,881
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 205,000,000 | | 205,000,000 |
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 3.000% due 09/01/2049 – 12/01/2049, Federal National Mortgage Associations, 3.000% – 3.500% due 06/01/2049 – 08/01/2049, Government National Mortgage Associations, 2.500% – 3.500% due 03/20/2047 – 11/20/2049, a U.S. Treasury Bill, 0.000% due 01/02/2020, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 01/15/2021 – 10/15/2024, and U.S. Treasury Notes, 1.375% – 2.875% due 10/31/2020 – 08/15/2024, valued at $147,900,075); expected proceeds $145,012,647
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 145,000,000 | | 145,000,000 |
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.140% – 5.955% due 02/15/2020 – 11/01/2030, Federal National Mortgage Associations, 2.242% – 4.000% due 06/25/2021 – 05/01/2058, Government National Mortgage Associations, 1.885% – 2.215% due 02/16/2032 – 05/20/2037, a U.S. Treasury Bill, 0.000% due 03/19/2020, a U.S. Treasury Bond, 2.250% due 08/15/2046, a U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2049, and U.S. Treasury Notes, 1.375% – 2.875% due 02/15/2020 – 02/15/2029, valued at $71,604,705); expected proceeds $70,006,067
| | 1.560% | | 01/02/2020 | | 01/02/2020 | | 70,000,000 | | 70,000,000 |
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 10/08/2019 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% – 4.000% due 05/01/2049 – 12/01/2049, Federal National Mortgage Associations, 3.000% – 5.500% due 06/01/2027 – 10/01/2049, U.S. Treasury Bills, 0.000% due 03/26/2020 – 05/21/2020, U.S. Treasury Bonds, 2.250% – 6.250% due 08/15/2023 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 2.375% due 01/15/2027 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2024, and U.S. Treasury Notes, 1.125% – 3.500% due 03/31/2020 – 08/15/2028, valued at $306,000,005); expected proceeds $301,441,333(c)
| | 1.840% | | 01/10/2020 | | 01/10/2020 | | 300,000,000 | | 300,000,000 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 10/01/2047, U.S. Treasury Bonds, 2.250% – 4.500% due 05/15/2039 – 11/15/2049, a U.S. Treasury Inflation Index Bond, 3.625% due 04/15/2028, U.S. Treasury Inflation Index Notes, 0.500% – 0.875% due 04/15/2024 – 01/15/2029, and U.S. Treasury Notes, 1.500% – 2.875% due 10/31/2023 – 02/15/2028, valued at $576,300,030); expected proceeds $565,048,653
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | $565,000,000 | | $565,000,000 |
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $35,700,000); expected proceeds $35,003,053
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 35,000,000 | | 35,000,000 |
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a Federal National Mortgage Association, 4.000% due 03/01/2049, valued at $88,740,001); expected proceeds $87,007,492
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 87,000,000 | | 87,000,000 |
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.500% due 06/01/2030 – 05/01/2049, and Federal National Mortgage Associations, 2.500% – 5.500% due 12/01/2028 – 06/01/2057, valued at $1,020,088,967); expected proceeds $1,000,087,222
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 1,000,000,000 | | 1,000,000,000 |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS
| | | | | | | | | | 7,219,000,000 |
| TREASURY REPURCHASE AGREEMENTS—15.6% | | | | | | | | | | |
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.500% – 4.250% due 11/15/2040 – 05/15/2047, U.S. Treasury Inflation Index Bonds, 1.000% – 2.125% due 02/15/2041 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2021 – 07/15/2025, and U.S. Treasury Notes, 1.375% – 2.125% due 08/31/2020 – 02/29/2024, valued at $180,540,012); expected proceeds $177,015,242
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 177,000,000 | | 177,000,000 |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and a U.S. Treasury Note, 2.125% due 12/31/2022, valued at $255,000,088); expected proceeds $250,021,528
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 250,000,000 | | 250,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/27/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.625% due 02/15/2042 – 08/15/2043, U.S. Treasury Inflation Index Bonds, 0.625% – 0.750% due 02/15/2042 – 02/15/2043, and a U.S. Treasury Note, 1.676% due 01/31/2021, valued at $255,000,046); expected proceeds $250,082,639
| | 1.700% | | 01/03/2020 | | 01/03/2020 | | 250,000,000 | | 250,000,000 |
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $500,040,312); expected proceeds $500,040,278
| | 1.450% | | 01/02/2020 | | 01/02/2020 | | 500,000,000 | | 500,000,000 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.500% – 1.750% due 09/30/2024 – 12/31/2026, valued at $2,550,000,055); expected proceeds $2,500,215,278
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | $2,500,000,000 | | $2,500,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.500% due 04/15/2024, and U.S. Treasury Notes, 1.875% - 2.875% due 03/15/2022 – 06/30/2026, valued at $1,427,606,955); expected proceeds $1,400,123,852
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 1,400,000,963 | | 1,400,000,963 |
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2021 – 11/15/2028, valued at $323,340,004); expected proceeds $317,027,297
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 317,000,000 | | 317,000,000 |
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.125% due 11/15/2041 – 02/15/2047, valued at $204,000,099); expected proceeds $200,017,444
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 200,000,000 | | 200,000,000 |
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 4.500% due 02/15/2036 – 11/15/2045, and U.S. Treasury Notes, 1.375% – 2.625% due 03/15/2020 – 08/15/2029, valued at $51,000,015); expected proceeds $50,004,306
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 50,000,000 | | 50,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/01/2019 (collateralized by a U.S. Treasury Inflation Index Note, 0.625% due 01/15/2026, and a U.S. Treasury Note, 1.250% due 08/31/2024, valued at $484,500,089); expected proceeds $477,465,118(c)
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 475,000,000 | | 475,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by U.S. Treasury Bonds, 2.375% – 6.750% due 08/15/2026 – 11/15/2049, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 07/15/2026 – 07/15/2027, and U.S. Treasury Notes, 1.625% – 2.875% due 02/29/2020 – 05/15/2028, valued at $137,784,533); expected proceeds $135,165,750(c)
| | 1.700% | | 01/15/2020 | | 01/15/2020 | | 135,000,000 | | 135,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 3.000% – 3.625% due 02/15/2044 – 05/15/2047, U.S. Treasury Notes, 1.625% – 2.875% due 01/31/2022 – 05/15/2028, and U.S. Treasury Strips, 0.000% due 08/15/2027 – 05/15/2028, valued at $359,070,917); expected proceeds $352,030,311
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 352,000,000 | | 352,000,000 |
Agreement with MUFG Securities., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.250% - 2.875% due 10/31/2020 – 05/15/2029, valued at $1,045,425,726); expected proceeds $1,025,085,417
| | 1.500% | | 01/02/2020 | | 01/02/2020 | | 1,025,000,000 | | 1,025,000,000 |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 10/16/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $76,500,000); expected proceeds $75,345,000(c)
| | 1.800% | | 01/16/2020 | | 01/16/2020 | | 75,000,000 | | 75,000,000 |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 11/13/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $367,200,000); expected proceeds $361,564,000(c)
| | 1.700% | | 02/13/2020 | | 02/13/2020 | | $360,000,000 | | $360,000,000 |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $188,700,000); expected proceeds $185,821,194(c)
| | 1.700% | | 03/23/2020 | | 03/23/2020 | | 185,000,000 | | 185,000,000 |
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.875% - 3.750% due 05/15/2043 – 05/15/2049, valued at $173,317,617); expected proceeds $169,837,595
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 169,822,500 | | 169,822,500 |
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2026 – 08/15/2029, valued at $106,804,750); expected proceeds $104,415,531
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 104,406,250 | | 104,406,250 |
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 01/02/2020 – 01/16/2020, U.S. Treasury Bonds, 2.500% – 4.250% due 05/15/2039 – 05/15/2049, U.S. Treasury Inflation Index Bonds, 0.750% – 1.375% due 02/15/2044 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 07/15/2027, and U.S. Treasury Notes, 1.375% – 3.625% due 12/31/2020 – 02/15/2027, valued at $714,000,087); expected proceeds $700,060,278
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 700,000,000 | | 700,000,000 |
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/05/2020, and U.S. Treasury Notes, 2.000% – 2.250% due 09/30/2020 – 12/31/2023, valued at $115,260,017); expected proceeds $113,009,731
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 113,000,000 | | 113,000,000 |
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/13/2020 – 04/16/2020, U.S. Treasury Bonds, 2.875% – 8.500% due 02/15/2020 – 11/15/2046, a U.S. Treasury Inflation Index Bond, 0.625% due 02/15/2043, U.S. Treasury Inflation Index Notes, 0.250% – 0.625% due 07/15/2021 – 01/15/2028, U.S. Treasury Notes, 1.125% – 2.875% due 01/31/2020 – 12/31/2026, and a U.S. Treasury Strip, 0.000% due 02/15/2025, valued at $153,000,054); expected proceeds $150,012,917
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 150,000,000 | | 150,000,000 |
TOTAL TREASURY REPURCHASE AGREEMENTS
| | | | | | | | | | 9,488,229,713 |
TOTAL INVESTMENTS –93.2% (d)(e)
| | | | | | | | | | 56,724,263,868 |
Other Assets in Excess of Liabilities —6.8%
| | | | | | | | | | 4,163,519,766 |
NET ASSETS –100.0%
| | | | | | | | | | $60,887,783,634 |
| (a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (b) | Rate shown is the discount rate at time of purchase. |
| (c) | Illiquid security. These securities represent $2,080,000,000 or 3.4% of net assets as of December 31, 2019. |
| (d) | Also represents the cost for federal tax purposes. |
| (e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
10
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $40,017,034,155 |
Repurchase agreements, at value and amortized cost
| 16,707,229,713 |
Total Investments
| 56,724,263,868 |
Cash
| 4,109,146,097 |
Interest receivable — unaffiliated issuers
| 57,411,077 |
Other Receivable
| 174,803 |
Prepaid expenses and other assets
| 10,967 |
TOTAL ASSETS
| 60,891,006,812 |
| LIABILITIES | |
Advisory and administrator fee payable
| 2,665,597 |
Custody, sub-administration and transfer agent fees payable
| 488,202 |
Trustees’ fees and expenses payable
| 11,307 |
Professional fees payable
| 33,202 |
Printing fees payable
| 15,897 |
Accrued expenses and other liabilities
| 8,973 |
TOTAL LIABILITIES
| 3,223,178 |
NET ASSETS
| $60,887,783,634 |
See accompanying notes to financial statements.
11
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2019
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $1,157,964,867 |
| EXPENSES | |
Advisory and administrator fee
| 26,420,660 |
Custodian, sub-administrator and transfer agent fees
| 6,713,595 |
Trustees’ fees and expenses
| 834,004 |
Professional fees and expenses
| 194,314 |
Printing and postage fees
| 32,028 |
Insurance expense
| 23,604 |
Miscellaneous expenses
| 75,128 |
TOTAL EXPENSES
| 34,293,333 |
NET INVESTMENT INCOME (LOSS)
| $1,123,671,534 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| 61,113 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $1,123,732,647 |
See accompanying notes to financial statements.
12
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/19 | | Year Ended
12/31/18 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $1,123,671,534 | | $882,055,252 |
Net realized gain (loss)
| 61,113 | | 20,763 |
Net increase (decrease) in net assets resulting from operations
| 1,123,732,647 | | 882,076,015 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 177,701,232,695 | | 142,050,377,534 |
Withdrawals
| (159,158,963,953) | | (150,375,688,545) |
Net increase (decrease) in net assets from capital transactions
| 18,542,268,742 | | (8,325,311,011) |
Net increase (decrease) in net assets during the period
| 19,666,001,389 | | (7,443,234,996) |
Net assets at beginning of period
| 41,221,782,245 | | 48,665,017,241 |
NET ASSETS AT END OF PERIOD
| $60,887,783,634 | | $41,221,782,245 |
See accompanying notes to financial statements.
13
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/19 | | Year
Ended
12/31/18 | | Year
Ended
12/31/17 | | Year
Ended
12/31/16 | | Year
Ended
12/31/15 |
Total return (a)
| 2.20% | | 1.81% | | 0.74% | | 0.31% | | 0.03% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $60,887,784 | | $41,221,782 | | $48,665,017 | | $50,925,227 | | $16,023,491 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.07% | | 0.07% | | 0.06% | | 0.07% | | 0.07% |
Net investment income (loss)
| 2.13% | | 1.78% | | 0.85% | | 0.32% | | 0.03% |
| (a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
See accompanying notes to financial statements.
14
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, 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.
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.
2. 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 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 overseeing the determination of 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.
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
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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.
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 premiums and discounts are amortized/accreted for financial reporting purposes.
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
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.
3. 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 December 31, 2019, the Portfolio had invested in repurchase agreements with the gross values of $16,707,229,713 and associated collateral equal to $17,040,101,232.
4. Fees and Transactions with Affiliates
Advisory and Administrator 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 objective, 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. SSGA FM also serves as administrator.
Custodian, Sub-Administrator and Transfer Agent Fees
State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator and transfer agent, the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
5. 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.
6. 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 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 (“the IRS”) for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. 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.
As of December 31, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. 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 was more broadly diversified.
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, the 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.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest State Street U.S. Government Money Market Portfolio and the Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street U.S. Government Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2019 (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 July 1, 2019 to December 31, 2019.
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 the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio's actual return, the results do not apply to your investment. The example is useful in making comparisons because the 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.
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 U.S. Government Money Market Portfolio
| 0.06% | | $1,009.90 | | $0.30 | | $1,024.90 | | $0.31 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
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 has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
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 on the SEC’s website at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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
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.
Annual Report
December 31, 2019
State Street Master Funds
| State Street Treasury Money Market Portfolio |
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.
TABLE OF CONTENTS
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 Treasury Money Market Portfolio
PORTFOLIO STATISTICS (UNAUDITED)
Portfolio Composition as of December 31, 2019
| | | |
| | | % of Net Assets | |
| | Treasury Debt | 100.5% | |
| | Liabilities in Excess of Other Assets | (0.5) | |
| | TOTAL | 100.0% | |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
Maturity Ladder as of December 31, 2019
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 18.4% | |
| | 31 to 60 Days | 29.4 | |
| | 61 to 90 Days | 10.4 | |
| | Over 90 Days | 42.3 | |
| | Total | 100.5% | |
| | Average days to maturity | 54 | |
| | Weighted average life | 106 | |
(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
See accompanying notes to financial statements.
1
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| TREASURY DEBT—100.5% | | | | | | | | | | |
U.S. Treasury Bill(a)
| | 1.420% | | 01/09/2020 | | 01/09/2020 | | $1,850,000 | | $1,849,489 |
U.S. Treasury Bill(a)
| | 1.498% | | 01/28/2020 | | 01/28/2020 | | 200,000,000 | | 199,775,389 |
U.S. Treasury Bill(a)
| | 1.500% | | 01/07/2020 | | 01/07/2020 | | 144,284,000 | | 144,253,447 |
U.S. Treasury Bill(a)
| | 1.515% | | 06/04/2020 | | 06/04/2020 | | 50,000,000 | | 49,665,050 |
U.S. Treasury Bill(a)
| | 1.520% | | 02/04/2020 | | 02/04/2020 | | 195,556,000 | | 195,283,525 |
U.S. Treasury Bill(a)
| | 1.521% | | 02/06/2020 | | 02/06/2020 | | 334,905,000 | | 334,347,551 |
U.S. Treasury Bill(a)
| | 1.532% | | 01/14/2020 | | 01/14/2020 | | 500,668,000 | | 500,410,928 |
U.S. Treasury Bill(a)
| | 1.535% | | 05/07/2020 | | 05/07/2020 | | 100,000,000 | | 99,462,750 |
U.S. Treasury Bill(a)
| | 1.540% | | 01/21/2020 | | 01/21/2020 | | 483,098,000 | | 482,710,005 |
U.S. Treasury Bill(a)
| | 1.540% | | 02/11/2020 | | 02/11/2020 | | 800,000,000 | | 798,633,889 |
U.S. Treasury Bill(a)
| | 1.540% | | 05/21/2020 | | 05/21/2020 | | 200,000,000 | | 198,796,990 |
U.S. Treasury Bill(a)
| | 1.550% | | 05/14/2020 | | 05/14/2020 | | 200,000,000 | | 198,854,722 |
U.S. Treasury Bill(a)
| | 1.550% | | 06/18/2020 | | 06/18/2020 | | 50,000,000 | | 49,638,333 |
U.S. Treasury Bill(a)
| | 1.555% | | 02/18/2020 | | 02/18/2020 | | 326,568,000 | | 325,905,728 |
U.S. Treasury Bill(a)
| | 1.560% | | 07/02/2020 | | 07/02/2020 | | 179,758,000 | | 178,340,309 |
U.S. Treasury Bill(a)
| | 1.570% | | 06/25/2020 | | 06/25/2020 | | 152,800,000 | | 151,633,839 |
U.S. Treasury Bill(a)
| | 1.580% | | 05/28/2020 | | 05/28/2020 | | 186,000,000 | | 184,799,990 |
U.S. Treasury Bill(a)
| | 1.610% | | 04/30/2020 | | 04/30/2020 | | 200,225,000 | | 199,152,788 |
U.S. Treasury Bill(a)
| | 1.620% | | 04/16/2020 | | 04/16/2020 | | 100,000,000 | | 99,527,500 |
U.S. Treasury Bill(a)
| | 1.680% | | 04/09/2020 | | 04/09/2020 | | 126,000,000 | | 125,422,780 |
U.S. Treasury Bill(a)
| | 1.795% | | 04/02/2020 | | 04/02/2020 | | 251,657,000 | | 250,619,300 |
U.S. Treasury Bill(a)
| | 1.825% | | 03/05/2020 | | 03/05/2020 | | 498,740,000 | | 497,326,245 |
U.S. Treasury Bill(a)
| | 1.825% | | 03/12/2020 | | 03/12/2020 | | 427,326,000 | | 425,961,804 |
U.S. Treasury Bill(a)
| | 1.832% | | 02/13/2020 | | 02/13/2020 | | 331,461,000 | | 330,775,855 |
U.S. Treasury Bill(a)
| | 1.840% | | 01/02/2020 | | 01/02/2020 | | 5,685,000 | | 5,685,000 |
U.S. Treasury Bill(a)
| | 1.840% | | 02/20/2020 | | 02/20/2020 | | 528,450,000 | | 527,289,179 |
U.S. Treasury Bill(a)
| | 1.840% | | 02/27/2020 | | 02/27/2020 | | 382,775,000 | | 381,807,902 |
U.S. Treasury Bill(a)
| | 1.860% | | 03/26/2020 | | 03/26/2020 | | 262,800,000 | | 261,768,191 |
U.S. Treasury Bill(a)
| | 1.870% | | 03/19/2020 | | 03/19/2020 | | 151,125,000 | | 150,555,834 |
U.S. Treasury Bill(a)
| | 2.010% | | 01/16/2020 | | 01/16/2020 | | 340,634,000 | | 340,399,414 |
U.S. Treasury Bill(a)
| | 2.010% | | 01/23/2020 | | 01/23/2020 | | 125,000,000 | | 124,853,437 |
U.S. Treasury Bill(a)
| | 2.035% | | 01/30/2020 | | 01/30/2020 | | 276,606,500 | | 276,219,231 |
U.S. Treasury Note, 3 Month USD MMY(b)
| | 1.526% | | 01/01/2020 | | 01/31/2020 | | 670,000,000 | | 669,986,644 |
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b)
| | 1.559% | | 01/01/2020 | | 04/30/2020 | | 697,400,000 | | 697,327,755 |
U.S. Treasury Note(a)
| | 1.564% | | 01/15/2020 | | 01/15/2020 | | 283,000,000 | | 282,979,176 |
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b)
| | 1.569% | | 01/01/2020 | | 07/31/2020 | | 714,800,000 | | 714,536,670 |
U.S. Treasury Note(a)
| | 1.598% | | 06/30/2020 | | 06/30/2020 | | 100,000,000 | | 100,441,783 |
U.S. Treasury Note(a)
| | 1.608% | | 04/30/2020 | | 04/30/2020 | | 88,700,000 | | 88,632,620 |
U.S. Treasury Note(a)
| | 1.616% | | 08/31/2020 | | 08/31/2020 | | 33,590,000 | | 33,536,877 |
U.S. Treasury Note(a)
| | 1.632% | | 02/15/2020 | | 02/15/2020 | | 150,000,000 | | 150,353,455 |
U.S. Treasury Note(a)
| | 1.636% | | 05/15/2020 | | 05/15/2020 | | 137,000,000 | | 136,931,704 |
U.S. Treasury Note(a)
| | 1.638% | | 05/15/2020 | | 05/15/2020 | | 329,100,000 | | 331,378,179 |
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b)
| | 1.641% | | 01/01/2020 | | 01/31/2021 | | 299,600,000 | | 299,418,692 |
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b)
| | 1.665% | | 01/01/2020 | | 04/30/2021 | | 208,400,000 | | 208,171,003 |
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b)
| | 1.672% | | 01/31/2020 | | 10/31/2020 | | 270,955,000 | | 270,769,913 |
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b)
| | 1.746% | | 01/01/2020 | | 07/31/2021 | | 121,387,000 | | 121,387,678 |
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b)
| | 1.826% | | 01/01/2020 | | 10/31/2021 | | 90,250,000 | | 90,297,558 |
U.S. Treasury Note(a)
| | 1.861% | | 03/31/2020 | | 03/31/2020 | | 477,000,000 | | 476,403,219 |
U.S. Treasury Note(a)
| | 1.870% | | 03/31/2020 | | 03/31/2020 | | 53,500,000 | | 53,548,860 |
U.S. Treasury Note(a)
| | 1.912% | | 01/31/2020 | | 01/31/2020 | | 62,500,000 | | 62,473,649 |
TOTAL INVESTMENTS –100.5% (c)(d)
| | | | | | | | | | 12,880,301,829 |
Liabilities in Excess of Other Assets —(0.5)%
| | | | | | | | | | (63,660,102) |
NET ASSETS –100.0%
| | | | | | | | | | $12,816,641,727 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| (a) | Rate shown is the discount rate at time of purchase. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Also represents the cost for federal tax purposes. |
| (d) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $12,880,301,829 |
Cash
| 378 |
Receivable for investments sold
| 249,734,583 |
Interest receivable — unaffiliated issuers
| 16,782,721 |
Other Receivable
| 50 |
Prepaid expenses and other assets
| 2,491 |
TOTAL ASSETS
| 13,146,822,052 |
| LIABILITIES | |
Payable for investments purchased
| 329,414,609 |
Advisory and administrator fee payable
| 538,635 |
Custody, sub-administration and transfer agent fees payable
| 185,425 |
Trustees’ fees and expenses payable
| 2,598 |
Professional fees payable
| 33,201 |
Printing fees payable
| 1,896 |
Accrued expenses and other liabilities
| 3,961 |
TOTAL LIABILITIES
| 330,180,325 |
NET ASSETS
| $12,816,641,727 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2019
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $244,630,978 |
| EXPENSES | |
Advisory and administrator fee
| 5,588,882 |
Custodian, sub-administrator and transfer agent fees
| 1,400,939 |
Trustees’ fees and expenses
| 202,779 |
Professional fees
| 194,271 |
Printing and postage fees
| 2,875 |
Insurance expense
| 5,347 |
Miscellaneous expenses
| 19,555 |
TOTAL EXPENSES
| 7,414,648 |
NET INVESTMENT INCOME (LOSS)
| $237,216,330 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| 283,242 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $237,499,572 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/19 | | Year Ended
12/31/18 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $237,216,330 | | $201,067,470 |
Net realized gain (loss)
| 283,242 | | (90,111) |
Net increase (decrease) in net assets resulting from operations
| 237,499,572 | | 200,977,359 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 22,575,489,084 | | 23,045,517,549 |
Withdrawals
| (20,369,315,642) | | (25,879,128,300) |
Net increase (decrease) in net assets from capital transactions
| 2,206,173,442 | | (2,833,610,751) |
Net increase (decrease) in net assets during the period
| 2,443,673,014 | | (2,632,633,392) |
Net assets at beginning of period
| 10,372,968,713 | | 13,005,602,105 |
NET ASSETS AT END OF PERIOD
| $12,816,641,727 | | $10,372,968,713 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/19 | | Year
Ended
12/31/18 | | Year
Ended
12/31/17 | | Year
Ended
12/31/16 | | Year
Ended
12/31/15 |
Total return (a)
| 2.18% | | 1.80% | | 0.73% | | 0.25% | | (0.04)% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $12,816,642 | | $10,372,969 | | $13,005,602 | | $14,004,301 | | $11,837,128 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.07% | | 0.07% | | 0.07% | | 0.07% | | 0.07% |
Net investment income (loss)
| 2.13% | | 1.76% | | 0.81% | | 0.25% | | (0.03)% |
| (a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, 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 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.
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.
2. 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 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 overseeing the determination of 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.
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
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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.
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 premiums and discounts are amortized/accreted for financial reporting purposes.
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
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.
3. Fees and Transactions with Affiliates
Advisory and Administrator 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 objective, 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. SSGA FM also serves as administrator.
Custodian, Sub-Administrator and Transfer Agent Fees
State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator and transfer agent, the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
4. 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.
5. 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 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. 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 TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
As of December 31, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. 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 was more broadly diversified.
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, the 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.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest of State Street Treasury Money Market Portfolio and the Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Treasury Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 July 1, 2019 to December 31, 2019.
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 the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio's actual return, the results do not apply to your investment. The example is useful in making comparisons because the 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.
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 Treasury Money Market Portfolio
| 0.07% | | $1,001.40 | | $0.35 | | $1,024.90 | | $0.36 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
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 has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
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 on the SEC’s website at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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
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.
Annual Report
December 31, 2019
State Street Master Funds
| State Street Treasury Plus Money Market Portfolio |
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.
TABLE OF CONTENTS
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 Treasury Plus Money Market Portfolio
PORTFOLIO STATISTICS (UNAUDITED)
Portfolio Composition as of December 31, 2019
| | | |
| | | % of Net Assets | |
| | Treasury Debt | 56.0% | |
| | Treasury Repurchase Agreements | 38.6 | |
| | Other Assets in Excess of Liabilities | 5.4 | |
| | TOTAL | 100.0% | |
(The composition is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
Maturity Ladder as of December 31, 2019
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 43.9% | |
| | 31 to 60 Days | 15.4 | |
| | 61 to 90 Days | 7.2 | |
| | Over 90 Days | 28.1 | |
| | Total | 94.6% | |
| | Average days to maturity | 31 | |
| | Weighted average life | 86 | |
(The maturity ladder is expressed as a percentage of net assets as of the date indicated. The composition will vary over time.)
See accompanying notes to financial statements.
1
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| TREASURY DEBT—56.0% | | | | | | | | | | |
U.S. Treasury Bill(a)
| | 1.420% | | 01/09/2020 | | 01/09/2020 | | $75,350,000 | | $75,319,598 |
U.S. Treasury Bill(a)
| | 1.498% | | 01/28/2020 | | 01/28/2020 | | 628,100,000 | | 627,374,195 |
U.S. Treasury Bill(a)
| | 1.500% | | 01/07/2020 | | 01/07/2020 | | 518,643,600 | | 518,534,403 |
U.S. Treasury Bill(a)
| | 1.515% | | 06/04/2020 | | 06/04/2020 | | 250,000,000 | | 248,325,250 |
U.S. Treasury Bill(a)
| | 1.520% | | 02/04/2020 | | 02/04/2020 | | 450,800,000 | | 450,171,885 |
U.S. Treasury Bill(a)
| | 1.521% | | 02/06/2020 | | 02/06/2020 | | 160,000,000 | | 159,740,405 |
U.S. Treasury Bill(a)
| | 1.535% | | 05/07/2020 | | 05/07/2020 | | 85,000,000 | | 84,543,338 |
U.S. Treasury Bill(a)
| | 1.540% | | 05/21/2020 | | 05/21/2020 | | 250,000,000 | | 248,496,545 |
U.S. Treasury Bill(a)
| | 1.550% | | 05/14/2020 | | 05/14/2020 | | 350,000,000 | | 347,998,997 |
U.S. Treasury Bill(a)
| | 1.580% | | 05/28/2020 | | 05/28/2020 | | 250,000,000 | | 248,387,083 |
U.S. Treasury Bill(a)
| | 1.620% | | 04/16/2020 | | 04/16/2020 | | 185,000,000 | | 184,125,293 |
U.S. Treasury Bill(a)
| | 1.680% | | 04/09/2020 | | 04/09/2020 | | 70,000,000 | | 69,679,322 |
U.S. Treasury Bill(a)
| | 1.795% | | 04/02/2020 | | 04/02/2020 | | 350,000,000 | | 348,407,500 |
U.S. Treasury Bill(a)
| | 1.825% | | 03/05/2020 | | 03/05/2020 | | 675,000,000 | | 672,979,953 |
U.S. Treasury Bill(a)
| | 1.825% | | 03/12/2020 | | 03/12/2020 | | 250,000,000 | | 249,112,240 |
U.S. Treasury Bill(a)
| | 1.832% | | 02/13/2020 | | 02/13/2020 | | 299,850,000 | | 299,302,524 |
U.S. Treasury Bill(a)
| | 1.840% | | 01/02/2020 | | 01/02/2020 | | 200,618,300 | | 200,618,300 |
U.S. Treasury Bill(a)
| | 1.840% | | 02/20/2020 | | 02/20/2020 | | 665,000,000 | | 663,479,367 |
U.S. Treasury Bill(a)
| | 1.840% | | 02/27/2020 | | 02/27/2020 | | 570,000,000 | | 568,520,978 |
U.S. Treasury Bill(a)
| | 1.860% | | 03/26/2020 | | 03/26/2020 | | 400,000,000 | | 398,264,000 |
U.S. Treasury Bill(a)
| | 1.870% | | 03/19/2020 | | 03/19/2020 | | 275,000,000 | | 273,900,076 |
U.S. Treasury Bill(a)
| | 2.010% | | 01/16/2020 | | 01/16/2020 | | 75,000,000 | | 74,941,375 |
U.S. Treasury Bill(a)
| | 2.010% | | 01/23/2020 | | 01/23/2020 | | 100,000,000 | | 99,882,400 |
U.S. Treasury Bill(a)
| | 2.035% | | 01/30/2020 | | 01/30/2020 | | 80,000,000 | | 79,873,378 |
U.S. Treasury Note, 3 Month USD MMY(b)
| | 1.526% | | 01/01/2020 | | 01/31/2020 | | 965,200,000 | | 965,190,438 |
U.S. Treasury Note, 3 Month USD MMY + 0.03%(b)
| | 1.559% | | 01/01/2020 | | 04/30/2020 | | 810,900,000 | | 810,901,889 |
U.S. Treasury Note, 3 Month USD MMY + 0.04%(b)
| | 1.569% | | 01/01/2020 | | 07/31/2020 | | 470,550,000 | | 470,498,947 |
U.S. Treasury Note(a)
| | 1.598% | | 04/30/2020 | | 04/30/2020 | | 117,000,000 | | 116,819,776 |
U.S. Treasury Note(a)
| | 1.608% | | 04/30/2020 | | 04/30/2020 | | 209,500,000 | | 209,342,645 |
U.S. Treasury Note(a)
| | 1.616% | | 08/31/2020 | | 08/31/2020 | | 60,057,000 | | 59,962,019 |
U.S. Treasury Note(a)
| | 1.638% | | 05/15/2020 | | 05/15/2020 | | 720,800,000 | | 725,782,156 |
U.S. Treasury Note, 3 Month USD MMY + 0.12%(b)
| | 1.641% | | 01/01/2020 | | 01/31/2021 | | 157,200,000 | | 157,050,552 |
U.S. Treasury Note, 3 Month USD MMY + 0.14%(b)
| | 1.665% | | 01/01/2020 | | 04/30/2021 | | 767,000,000 | | 766,243,718 |
U.S. Treasury Note, 3 Month USD MMY + 0.05%(b)
| | 1.672% | | 01/31/2020 | | 10/31/2020 | | 144,500,000 | | 144,406,880 |
U.S. Treasury Note, 3 Month USD MMY + 0.22%(b)
| | 1.746% | | 01/01/2020 | | 07/31/2021 | | 818,500,000 | | 818,317,894 |
U.S. Treasury Note, 3 Month USD MMY + 0.30%(b)
| | 1.826% | | 01/01/2020 | | 10/31/2021 | | 225,000,000 | | 225,221,780 |
U.S. Treasury Note(a)
| | 1.861% | | 03/31/2020 | | 03/31/2020 | | 300,000,000 | | 299,468,256 |
U.S. Treasury Note(a)
| | 1.870% | | 03/31/2020 | | 03/31/2020 | | 92,000,000 | | 92,084,022 |
U.S. Treasury Note(a)
| | 1.912% | | 01/31/2020 | | 01/31/2020 | | 302,000,000 | | 301,873,842 |
TOTAL TREASURY DEBT
| | | | | | | | | | 13,355,143,219 |
| TREASURY REPURCHASE AGREEMENTS—38.6% | | | | | | | | | | |
Agreement with Bank of Montreal and Bank of New York Mellon (Tri-Party), dated 12/23/2019 (collateralized by U.S. Treasury Bonds, 2.500% – 7.875% due 02/15/2021 – 05/15/2046, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2025, and U.S. Treasury Notes, 1.750% – 2.250% due 07/31/2021 – 08/15/2027, valued at $76,500,054); expected proceeds $75,063,750(c)
| | 1.700% | | 01/10/2020 | | 01/10/2020 | | 75,000,000 | | 75,000,000 |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 05/15/2044, and U.S. Treasury Notes, 1.750% – 3.125% due 12/31/2026 – 11/15/2028, valued at $255,000,039); expected proceeds $250,021,528
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 250,000,000 | | 250,000,000 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Inflation Index Bonds, 2.125% – 3.375% due 01/15/2029 – 02/15/2040, and U.S. Treasury Notes, 1.750% – 2.875% due 10/15/2021 – 12/31/2026, valued at $1,020,000,090); expected proceeds $1,000,083,333
| | 1.500% | | 01/02/2020 | | 01/02/2020 | | $1,000,000,000 | | $1,000,000,000 |
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.000% due 05/15/2045, U.S. Treasury Inflation Index Notes, 0.375% due 07/15/2023 – 07/15/2025, and a U.S. Treasury Strip, 0.000% due 02/15/2037, valued at $79,560,000); expected proceeds $78,006,717
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 78,000,000 | | 78,000,000 |
Agreement with Credit Agricole Corporate and Investment Bank., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.500% - 1.875% due 07/31/2022 – 09/30/2024, valued at $305,958,130); expected proceeds $300,026,167
| | 1.570% | | 01/02/2020 | | 01/02/2020 | | 300,000,000 | | 300,000,000 |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.625% – 2.375% due 03/15/2022 – 02/15/2026, valued at $1,530,000,072); expected proceeds $1,500,129,167
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 1,500,000,000 | | 1,500,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/31/2019 (collateralized by U.S. Treasury Notes, 2.625% – 2.875% due 06/30/2023 – 10/31/2023, valued at $863,177,731); expected proceeds $846,704,872
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 846,630,556 | | 846,630,556 |
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/18/2020 – 05/14/2020, U.S. Treasury Notes, 1.500% – 3.000% due 07/31/2020 – 11/15/2029, and U.S. Treasury Strips, 0.000% due 11/15/2022 – 02/15/2029, valued at $678,300,007); expected proceeds $665,196,544
| | 1.550% | | 01/07/2020 | | 01/02/2020 | | 665,000,000 | | 665,000,000 |
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Strip, 0.000% due 02/15/2023, valued at $7,140,000); expected proceeds $7,000,603
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 7,000,000 | | 7,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 11/01/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/27/2020 – 08/13/2020, a U.S. Treasury Bond, 6.250% due 05/15/2030, a U.S. Treasury Inflation Index Note, 0.500% due 01/15/2028, and U.S. Treasury Notes, 1.250% – 1.625% due 06/30/2020 – 11/15/2022, valued at $178,500,001); expected proceeds $175,908,201(c)
| | 1.570% | | 01/01/2020 | | 02/28/2020 | | 175,000,000 | | 175,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.375% – 5.375% due 02/15/2031 – 11/15/2049, and a U.S. Treasury Note, 2.625% due 03/31/2025, valued at $221,340,021); expected proceeds $217,018,686
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 217,000,000 | | 217,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bonds, 2.750% – 3.000% due 11/15/2042 – 02/15/2049, and U.S. Treasury Inflation Index Notes, 0.125% – 0.750% due 07/15/2023 – 07/15/2028, valued at $258,060,069); expected proceeds $253,022,208
| | 1.580% | | 01/02/2020 | | 01/02/2020 | | 253,000,000 | | 253,000,000 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by U.S. Treasury Notes, 2.000% – 2.750% due 07/31/2022 – 02/15/2028, valued at $117,372,054); expected proceeds $115,141,194(c)
| | 1.700% | | 01/15/2020 | | 01/15/2020 | | $115,000,000 | | $115,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Notes, 1.375% – 2.750% due 07/31/2022 – 02/15/2028, valued at $329,488,431); expected proceeds $323,027,814
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 323,000,000 | | 323,000,000 |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 10/16/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and U.S. Treasury Notes, 2.000% – 2.625% due 11/15/2020 – 11/15/2026, valued at $25,500,001); expected proceeds $25,115,000(c)
| | 1.800% | | 01/16/2020 | | 01/16/2020 | | 25,000,000 | | 25,000,000 |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 11/13/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $142,800,000); expected proceeds $140,608,222(c)
| | 1.700% | | 02/13/2020 | | 03/23/2020 | | 140,000,000 | | 140,000,000 |
Agreement with Norinchukin Bank and Bank of New York Mellon (Tri-Party), dated 12/20/2019 (collateralized by a U.S. Treasury Bond, 6.125% due 08/15/2029, U.S. Treasury Inflation Index Notes, 0.375% – 1.125% due 01/15/2021 – 01/15/2027, and a U.S. Treasury Note, 2.000% due 11/15/2026, valued at $66,300,002); expected proceeds $65,288,528(c)
| | 1.700% | | 03/23/2020 | | 02/13/2020 | | 65,000,000 | | 65,000,000 |
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by a U.S. Treasury Bond, 3.375% due 11/15/2048 and U.S. Treasury Notes, 2.125% - 2.250% due 11/15/2024 – 11/15/2025, valued at $110,124,147); expected proceeds $107,913,341
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 107,903,750 | | 107,903,750 |
Agreement with Prudential Insurance Co., dated 12/31/2019 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2027 – 05/15/2029, valued at $92,861,100); expected proceeds $90,758,067
| | 1.600% | | 01/02/2020 | | 01/02/2020 | | 90,750,000 | | 90,750,000 |
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 01/16/2020 – 12/03/2020, U.S. Treasury Bonds, 2.875% – 4.375% due 05/15/2041 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.625% – 1.375% due 02/15/2043 – 02/15/2045, U.S. Treasury Inflation Index Notes, 0.125% – 1.125% due 04/15/2020 – 07/15/2027, and U.S. Treasury Notes, 1.250% – 2.875% due 01/31/2020 – 11/15/2027, valued at $510,000,059); expected proceeds $500,043,056
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 500,000,000 | | 500,000,000 |
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 11/05/2020, U.S. Treasury Bonds, 2.875% – 6.250% due 05/15/2030 – 11/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2020 – 07/15/2025, and U.S. Treasury Notes, 1.375% – 2.875% due 05/31/2020 – 05/15/2028, valued at $833,340,049); expected proceeds $817,070,353
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 817,000,000 | | 817,000,000 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 10/08/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 04/23/2020, U.S. Treasury Bonds, 2.250% – 4.750% due 02/15/2036 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 1.000% – 3.625% due 04/15/2028 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.250% – 0.375% due 07/15/2025 – 07/15/2029, and U.S. Treasury Notes, 1.125% – 2.875% due 03/31/2020 – 08/15/2028, valued at $102,000,000); expected proceeds $100,480,444(c)
| | 1.840% | | 01/10/2020 | | 01/10/2020 | | $100,000,000 | | $100,000,000 |
Agreement with Standard Chartered Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 03/26/2020 – 05/21/2020, U.S. Treasury Bonds, 2.375% – 6.250% due 08/15/2023 – 11/15/2049, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2025 – 02/15/2047, U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2021 – 01/15/2028, and U.S. Treasury Notes, 1.250% – 3.125% due 08/15/2020 – 08/15/2028, valued at $663,000,000); expected proceeds $650,055,972
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 650,000,000 | | 650,000,000 |
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by U.S. Treasury Bills, 0.000% due 02/20/2020 – 09/10/2020, U.S. Treasury Bonds, 2.250% – 8.750% due 05/15/2020 – 05/15/2048, U.S. Treasury Inflation Index Bonds, 0.875% – 3.875% due 01/15/2026 – 02/15/2048, U.S. Treasury Inflation Index Notes, 0.125% – 1.250% due 07/15/2020 – 01/15/2027, U.S. Treasury Notes, 1.125% – 3.500% due 01/15/2020 – 11/15/2026, and U.S. Treasury Strips, 0.000% due 02/15/2020 – 02/15/2029, valued at $153,000,058); expected proceeds $150,012,917
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 150,000,000 | | 150,000,000 |
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/31/2019 (collateralized by a U.S. Treasury Bill, 0.000% due 01/02/2020, and U.S. Treasury Notes, 1.125% – 1.625% due 03/31/2020 – 10/31/2023, valued at $765,065,934); expected proceeds $750,064,583
| | 1.550% | | 01/02/2020 | | 01/02/2020 | | 750,000,000 | | 750,000,000 |
TOTAL TREASURY REPURCHASE AGREEMENTS
| | | | | | | | | | 9,200,284,306 |
TOTAL INVESTMENTS –94.6% (d)(e)
| | | | | | | | | | 22,555,427,525 |
Other Assets in Excess of Liabilities —5.4%
| | | | | | | | | | 1,279,507,246 |
NET ASSETS –100.0%
| | | | | | | | | | $23,834,934,771 |
| (a) | Rate shown is the discount rate at time of purchase. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (c) | Illiquid security. These securities represent $695,000,000 or 2.9% of net assets as of December 31, 2019. |
| (d) | Also represents the cost for federal tax purposes. |
| (e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $13,355,143,219 |
Repurchase agreements, at value and amortized cost
| 9,200,284,306 |
Total Investments
| 22,555,427,525 |
Cash
| 1,258,303,421 |
Interest receivable — unaffiliated issuers
| 22,319,197 |
Other Receivable
| 53,507 |
Prepaid expenses and other assets
| 3,745 |
TOTAL ASSETS
| 23,836,107,395 |
| LIABILITIES | |
Advisory and administrator fee payable
| 956,987 |
Custody, sub-administration and transfer agent fees payable
| 150,836 |
Trustees’ fees and expenses payable
| 3,751 |
Professional fees payable
| 33,202 |
Printing fees payable
| 23,377 |
Accrued expenses and other liabilities
| 4,471 |
TOTAL LIABILITIES
| 1,172,624 |
NET ASSETS
| $23,834,934,771 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2019
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $404,652,212 |
| EXPENSES | |
Advisory and administrator fee
| 9,225,128 |
Custodian, sub-administrator and transfer agent fees
| 2,376,885 |
Trustees’ fees and expenses
| 304,376 |
Professional fees
| 194,276 |
Printing and postage fees
| 61,145 |
Insurance expense
| 7,123 |
Miscellaneous expenses
| 26,725 |
TOTAL EXPENSES
| 12,195,658 |
NET INVESTMENT INCOME (LOSS)
| $392,456,554 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| (7,190) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $392,449,364 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/19 | | Year Ended
12/31/18 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $392,456,554 | | $250,070,855 |
Net realized gain (loss)
| (7,190) | | 1,950 |
Net increase (decrease) in net assets resulting from operations
| 392,449,364 | | 250,072,805 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 62,686,916,978 | | 39,817,102,235 |
Withdrawals
| (56,691,696,503) | | (36,800,190,630) |
Net increase (decrease) in net assets from capital transactions
| 5,995,220,475 | | 3,016,911,605 |
Net increase (decrease) in net assets during the period
| 6,387,669,839 | | 3,266,984,410 |
Net assets at beginning of period
| 17,447,264,932 | | 14,180,280,522 |
NET ASSETS AT END OF PERIOD
| $23,834,934,771 | | $17,447,264,932 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/19 | | Year
Ended
12/31/18 | | Year
Ended
12/31/17 | | Year
Ended
12/31/16 | | Year
Ended
12/31/15 |
Total return (a)
| 2.19% | | 1.82% | | 0.82% | | 0.23% | | (0.01)% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $23,834,935 | | $17,447,265 | | $14,180,281 | | $10,628,952 | | $1,744,814 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.07% | | 0.07% | | 0.07% | | 0.07% | | 0.07% |
Net investment income (loss)
| 2.13% | | 1.79% | | 0.84% | | 0.27% | | (0.01)% |
| (a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, 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.
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.
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.
2. 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 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 overseeing the determination of 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.
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
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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.
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 premiums and discounts are amortized/accreted for financial reporting purposes.
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
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.
3. 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 December 31, 2019, the Portfolio had invested in repurchase agreements with the gross values of $9,200,284,306 and associated collateral equal to $9,384,388,052.
4. Fees and Transactions with Affiliates
Advisory and Administrator 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 objective, 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. SSGA FM also serves as administrator.
Custodian, Sub-Administrator and Transfer Agent Fees
State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator and transfer agent the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
5. 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.
6. 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 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, 2019, 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.
As of December 31, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. 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 was more broadly diversified.
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, the 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.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Owners of Beneficial Interest State Street Treasury Plus Money Market Portfolio and the Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street Treasury Plus Money Market Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2019 (Unaudited)
Expense Example
As a shareholder of the 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 July 1, 2019 to December 31, 2019.
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 the Portfolio's actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
Based on hypothetical 5% return ——This section is intended to help you compare your Portfolio's costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio's actual return, the results do not apply to your investment. The example is useful in making comparisons because the 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.
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 Treasury Plus Money Market Portfolio
| 0.07% | | $1,009.90 | | $0.35 | | $1,024.90 | | $0.36 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
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 has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
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 on the SEC’s website at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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
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.
Annual Report
December 31, 2019
State Street Master Funds
| State Street International Developed Equity Index Portfolio |
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.
TABLE OF CONTENTS
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 INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
Management’s Discussion Of Fund Performance (Unaudited)
The State Street International Developed Equity Index Portfolio (the “Portfolio”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid-capitalization equity index over the long term. The Portfolio’s benchmark is the MSCI EAFE (Europe, Australasia, Far East) Index (the “Index”).
For the 12-month period ended December 31, 2019 (the “Reporting Period”), the total return for the Portfolio was 22.11%, and the Index was 22.01%. The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and the currencies in the Fund and the Index contributed to the difference between the Portfolio’s performance and that of the Index.
The Portfolio had positive performance for the Reporting Period. The Portfolio’s performance was driven by progress on US and China trade relations, accommodative monetary policy and progress in the UK regarding Brexit. In the first calendar quarter of the Reporting Period, positive factors such as optimism about progress in trade talks between the US and China, a strong earnings season, an accommodative Federal Reserve and a deal to temporarily reopen the US government helped performance and offset negative factors such as geopolitical tensions between India and Pakistan, Brexit and slowing economic growth. The second quarter of the Reporting Period had also had positive performance driven by dovish comments from central banks, a trade deal between the US and Mexico, and strong earnings data and despite concerns about global trade, Brexit and tensions with Iran. Performance in the third quarter was negative on the back of weak macroeconomic data, escalating trade hostilities between the US and China, unrest in the Middle East and a strong dollar. Performance in the fourth quarter was positive and driven by a partial trade agreement between the US and China, a new Brexit deal between the UK and EU, a strong earnings season and interest rate cuts in the US despite geopolitical concerns like North Korea’s test-firing of ballistic missiles and China threatening to retaliate against the US for supporting Hong Kong protesters.
The Portfolio used MSCI EAFE Index futures contracts in order to gain exposure to the index during the Reporting Period. The Portfolio ’s use of index futures helped the Portfolio track the Index.
On an individual security level, the top positive contributors to the Portfolio’s performance during the Reporting Period were Nestle S.A., Roche Holding AG, and ASML Holding NV. The top negative contributors to the Fund’s performance during the Reporting Period were Glencore plc, Swedbank AB Class A, and Nokia Oyj.
The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
See accompanying notes to financial statements.
1
State Street International Developed Equity Index Portfolio
Performance Summary (Unaudited)
Comparison of Change in Value of a $10,000 Investment
(Based on Net Asset Value)
Line graph is based on cumulative total return.
Performance as of December 31, 2019
| | | | |
| | | Total Return
One Year Ended
December 31, 2019 |
Total Return
Inception Date* to
December 31, 2019 | |
| | State Street International Developed Equity Index Portfolio | 22.11% | 8.09% | |
| | MSCI EAFE (Europe, Australasia, Far East) Index(1) | 22.01% | 8.10% | |
| | | | |
| * | Inception date is April 28, 2016. |
| (1) | The MSCI EAFE (Europe, Australasia, Far East) Index is a free float-adjusted market capitalization index that is designed to capture large and mid-cap securities in developed market countries, excluding the United States and Canada. Index returns are net of dividend withholding taxes. |
Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares.
See accompanying notes to financial statements.
2
State Street International Developed Equity Index Portfolio
PORTFOLIO STATISTICS (UNAUDITED)
Top Five Holdings as of December 31, 2019
| | | | |
| | Description | Market Value | % of Net Assets | |
| | Nestle SA | 79,514,424 | 2.1% | |
| | Roche Holding AG | 56,287,179 | 1.5 | |
| | Novartis AG | 50,382,572 | 1.3 | |
| | Toyota Motor Corp. | 40,083,697 | 1.1 | |
| | HSBC Holdings PLC | 39,148,851 | 1.1 | |
| | TOTAL | 265,416,723 | 7.1% | |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
Top Five Sectors as of December 31, 2019
| | | |
| | Description | % of Net Assets | |
| | Banks | 10.4% | |
| | Pharmaceuticals | 8.7 | |
| | Insurance | 5.7 | |
| | Food | 4.9 | |
| | Oil & Gas | 4.7 | |
| | TOTAL | 34.4% | |
(The top five sectors are expressed as a percentage of net assets and may change over time.)
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2019
| Security Description | | | Shares | | Value |
| COMMON STOCKS — 98.7% | | | | |
| AUSTRALIA — 6.8% | | | | | |
AGL Energy, Ltd.
| | | 168,878 | | $2,437,174 |
Alumina, Ltd.
| | | 579,490 | | 936,911 |
AMP, Ltd.
| | | 892,260 | | 1,201,115 |
APA Group
| | | 297,145 | | 2,318,547 |
Aristocrat Leisure, Ltd.
| | | 145,695 | | 3,448,358 |
ASX, Ltd.
| | | 47,442 | | 2,614,923 |
Aurizon Holdings, Ltd.
| | | 507,008 | | 1,863,979 |
AusNet Services
| | | 539,911 | | 645,202 |
Australia & New Zealand Banking Group, Ltd.
| | | 692,108 | | 11,982,924 |
Bendigo & Adelaide Bank, Ltd.
| | | 116,926 | | 803,849 |
BHP Group PLC
| | | 523,368 | | 12,319,125 |
BHP Group, Ltd.
| | | 720,287 | | 19,706,202 |
BlueScope Steel, Ltd.
| | | 128,543 | | 1,360,811 |
Boral, Ltd.
| | | 278,445 | | 876,884 |
Brambles, Ltd.
| | | 401,036 | | 3,303,965 |
Caltex Australia, Ltd.
| | | 61,250 | | 1,461,741 |
Challenger, Ltd.
| | | 131,897 | | 750,081 |
CIMIC Group, Ltd.
| | | 24,790 | | 577,502 |
Coca-Cola Amatil, Ltd.
| | | 124,122 | | 965,002 |
Cochlear, Ltd.
| | | 14,876 | | 2,350,021 |
Coles Group, Ltd.
| | | 278,524 | | 2,905,501 |
Commonwealth Bank of Australia
| | | 436,597 | | 24,521,783 |
Computershare, Ltd.
| | | 127,081 | | 1,498,984 |
Crown Resorts, Ltd.
| | | 91,949 | | 776,273 |
CSL, Ltd.
| | | 111,851 | | 21,681,817 |
Dexus REIT
| | | 281,105 | | 2,311,953 |
Flight Centre Travel Group, Ltd. (a)
| | | 14,844 | | 459,748 |
Fortescue Metals Group, Ltd.
| | | 352,725 | | 2,650,565 |
Goodman Group REIT
| | | 402,262 | | 3,780,637 |
GPT Group REIT
| | | 481,330 | | 1,894,766 |
Harvey Norman Holdings, Ltd. (a)
| | | 169,194 | | 484,065 |
Incitec Pivot, Ltd.
| | | 390,151 | | 872,136 |
Insurance Australia Group, Ltd.
| | | 579,092 | | 3,118,178 |
LendLease Group Stapled Security (a)
| | | 134,854 | | 1,668,403 |
Macquarie Group, Ltd.
| | | 79,526 | | 7,706,203 |
Magellan Financial Group, Ltd.
| | | 32,572 | | 1,303,955 |
Medibank Pvt, Ltd.
| | | 644,191 | | 1,430,956 |
Mirvac Group REIT
| | | 962,862 | | 2,152,364 |
National Australia Bank, Ltd.
| | | 709,988 | | 12,292,492 |
Newcrest Mining, Ltd.
| | | 189,169 | | 4,022,535 |
Oil Search, Ltd.
| | | 353,144 | | 1,799,759 |
Orica, Ltd.
| | | 89,224 | | 1,378,586 |
Origin Energy, Ltd.
| | | 450,630 | | 2,676,710 |
Qantas Airways, Ltd.
| | | 178,931 | | 894,293 |
QBE Insurance Group, Ltd.
| | | 329,690 | | 2,985,013 |
Ramsay Health Care, Ltd.
| | | 41,132 | | 2,097,114 |
REA Group, Ltd.
| | | 13,915 | | 1,013,369 |
Santos, Ltd.
| | | 444,145 | | 2,553,892 |
Scentre Group REIT
| | | 1,344,493 | | 3,619,777 |
| Security Description | | | Shares | | Value |
SEEK, Ltd.
| | | 79,431 | | $1,259,103 |
Sonic Healthcare, Ltd.
| | | 111,593 | | 2,255,274 |
South32, Ltd.
| | | 1,269,043 | | 2,408,600 |
Stockland REIT
| | | 562,237 | | 1,825,938 |
Suncorp Group, Ltd.
| | | 319,478 | | 2,910,519 |
Sydney Airport Stapled Security
| | | 259,881 | | 1,582,038 |
Tabcorp Holdings, Ltd.
| | | 519,729 | | 1,655,006 |
Telstra Corp., Ltd.
| | | 1,065,564 | | 2,651,596 |
TPG Telecom, Ltd.
| | | 98,984 | | 466,887 |
Transurban Group Stapled Security
| | | 658,525 | | 6,901,992 |
Treasury Wine Estates, Ltd.
| | | 180,891 | | 2,065,035 |
Vicinity Centres REIT
| | | 761,248 | | 1,332,447 |
Washington H Soul Pattinson & Co., Ltd.
| | | 28,102 | | 424,718 |
Wesfarmers, Ltd.
| | | 278,610 | | 8,108,146 |
Westpac Banking Corp.
| | | 863,209 | | 14,702,592 |
WiseTech Global, Ltd. (a)
| | | 35,073 | | 576,177 |
Woodside Petroleum, Ltd.
| | | 229,646 | | 5,549,953 |
Woolworths Group, Ltd.
| | | 312,973 | | 7,955,360 |
Worley, Ltd.
| | | 79,653 | | 857,239 |
| | | | | | 253,964,763 |
| AUSTRIA — 0.2% | | | | | |
ANDRITZ AG
| | | 17,424 | | 751,044 |
Erste Group Bank AG
| | | 71,957 | | 2,710,698 |
OMV AG
| | | 34,411 | | 1,934,407 |
Raiffeisen Bank International AG
| | | 34,387 | | 864,240 |
Verbund AG
| | | 15,343 | | 770,535 |
Voestalpine AG
| | | 26,238 | | 732,180 |
| | | | | | 7,763,104 |
| BELGIUM — 1.0% | | | | | |
Ageas
| | | 42,731 | | 2,526,824 |
Anheuser-Busch InBev SA
| | | 186,306 | | 15,205,725 |
Colruyt SA
| | | 13,634 | | 711,337 |
Galapagos NV (b)
| | | 10,623 | | 2,223,884 |
Groupe Bruxelles Lambert SA
| | | 18,967 | | 2,000,451 |
KBC Group NV
| | | 60,638 | | 4,564,515 |
Proximus SADP
| | | 40,640 | | 1,164,181 |
Solvay SA
| | | 17,373 | | 2,014,472 |
Telenet Group Holding NV
| | | 10,840 | | 487,446 |
UCB SA
| | | 32,204 | | 2,562,962 |
Umicore SA
| | | 48,894 | | 2,379,748 |
| | | | | | 35,841,545 |
| CHILE — 0.0% (c) | | | | | |
Antofagasta PLC
| | | 94,425 | | 1,146,821 |
| CHINA — 0.1% | | | | | |
BeiGene, Ltd. ADR (a)(b)
| | | 9,000 | | 1,491,840 |
BOC Hong Kong Holdings, Ltd.
| | | 926,500 | | 3,216,436 |
Yangzijiang Shipbuilding Holdings, Ltd.
| | | 576,000 | | 479,768 |
| | | | | | 5,188,044 |
| DENMARK — 1.8% | | | | | |
AP Moller - Maersk A/S Class A
| | | 887 | | 1,203,186 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
AP Moller - Maersk A/S Class B
| | | 1,657 | | $2,391,536 |
Carlsberg A/S Class B
| | | 26,887 | | 4,013,865 |
Chr. Hansen Holding A/S
| | | 26,096 | | 2,075,293 |
Coloplast A/S Class B
| | | 28,393 | | 3,524,707 |
Danske Bank A/S
| | | 158,109 | | 2,560,335 |
Demant A/S (a)(b)
| | | 26,000 | | 819,408 |
DSV Panalpina A/S
| | | 54,280 | | 6,260,505 |
Genmab A/S (b)
| | | 16,082 | | 3,579,012 |
H Lundbeck A/S
| | | 15,024 | | 574,148 |
ISS A/S
| | | 38,781 | | 931,222 |
Novo Nordisk A/S Class B
| | | 432,643 | | 25,128,649 |
Novozymes A/S Class B
| | | 53,917 | | 2,640,370 |
Orsted A/S (d)
| | | 46,688 | | 4,832,212 |
Pandora A/S
| | | 25,242 | | 1,098,863 |
Tryg A/S
| | | 27,932 | | 828,687 |
Vestas Wind Systems A/S
| | | 45,590 | | 4,610,363 |
| | | | | | 67,072,361 |
| FINLAND — 1.1% | | | | | |
Elisa Oyj
| | | 34,462 | | 1,905,166 |
Fortum Oyj
| | | 108,598 | | 2,681,826 |
Kone Oyj Class B
| | | 83,754 | | 5,479,126 |
Metso Oyj (a)
| | | 26,240 | | 1,036,205 |
Neste Oyj
| | | 103,443 | | 3,601,879 |
Nokia Oyj (a)
| | | 1,378,044 | | 5,098,430 |
Nokian Renkaat Oyj
| | | 32,627 | | 938,668 |
Nordea Bank Abp
| | | 810,322 | | 6,547,637 |
Orion Oyj Class B
| | | 24,454 | | 1,132,845 |
Sampo Oyj Class A
| | | 109,563 | | 4,785,324 |
Stora Enso Oyj Class R
| | | 149,182 | | 2,171,076 |
UPM-Kymmene Oyj
| | | 130,503 | | 4,527,992 |
Wartsila OYJ Abp
| | | 104,158 | | 1,151,635 |
| | | | | | 41,057,809 |
| FRANCE — 11.0% | | | | | |
Accor SA
| | | 42,977 | | 2,014,089 |
Aeroports de Paris
| | | 7,865 | | 1,554,692 |
Air Liquide SA
| | | 116,774 | | 16,542,139 |
Airbus SE
| | | 143,453 | | 21,010,662 |
Alstom SA
| | | 48,182 | | 2,283,979 |
Amundi SA (d)
| | | 16,165 | | 1,268,350 |
Arkema SA
| | | 18,001 | | 1,913,519 |
Atos SE
| | | 25,458 | | 2,123,812 |
AXA SA
| | | 480,350 | | 13,539,127 |
BioMerieux
| | | 10,343 | | 921,254 |
BNP Paribas SA
| | | 277,934 | | 16,481,944 |
Bollore SA (e)
| | | 199,792 | | 872,396 |
Bollore SA (b)(e)
| | | 1,161 | | 4,944 |
Bouygues SA
| | | 56,992 | | 2,423,316 |
Bureau Veritas SA
| | | 73,174 | | 1,910,525 |
Capgemini SE
| | | 39,086 | | 4,777,880 |
Carrefour SA
| | | 146,367 | | 2,456,238 |
Casino Guichard Perrachon SA (a)
| | | 13,917 | | 651,430 |
Cie de Saint-Gobain
| | | 121,676 | | 4,985,216 |
Cie Generale des Etablissements Michelin SCA
| | | 41,913 | | 5,132,863 |
| Security Description | | | Shares | | Value |
CNP Assurances
| | | 47,490 | | $945,142 |
Covivio REIT
| | | 11,359 | | 1,290,348 |
Credit Agricole SA
| | | 288,892 | | 4,191,334 |
Danone SA
| | | 152,833 | | 12,677,912 |
Dassault Aviation SA
| | | 605 | | 794,561 |
Dassault Systemes SE
| | | 32,954 | | 5,421,009 |
Edenred
| | | 58,747 | | 3,039,994 |
Eiffage SA
| | | 20,205 | | 2,313,370 |
Electricite de France SA
| | | 148,104 | | 1,650,497 |
Engie SA
| | | 448,423 | | 7,248,306 |
EssilorLuxottica SA
| | | 70,280 | | 10,713,162 |
Eurazeo SE
| | | 11,024 | | 754,841 |
Eutelsat Communications SA (a)
| | | 41,976 | | 682,740 |
Faurecia SE
| | | 19,469 | | 1,049,645 |
Gecina SA REIT
| | | 11,847 | | 2,122,401 |
Getlink SE
| | | 112,207 | | 1,953,520 |
Hermes International
| | | 7,922 | | 5,924,144 |
ICADE REIT
| | | 8,381 | | 913,014 |
Iliad SA (a)
| | | 7,398 | | 959,556 |
Ingenico Group SA
| | | 15,284 | | 1,660,728 |
Ipsen SA
| | | 9,549 | | 846,781 |
JCDecaux SA
| | | 19,153 | | 590,799 |
Kering SA
| | | 18,860 | | 12,388,883 |
Klepierre SA REIT
| | | 47,094 | | 1,789,412 |
Legrand SA
| | | 65,644 | | 5,352,504 |
L'Oreal SA
| | | 62,152 | | 18,418,115 |
LVMH Moet Hennessy Louis Vuitton SE
| | | 68,784 | | 31,980,384 |
Natixis SA
| | | 222,855 | | 990,112 |
Orange SA
| | | 489,495 | | 7,208,888 |
Pernod Ricard SA
| | | 52,719 | | 9,432,822 |
Peugeot SA
| | | 147,984 | | 3,538,185 |
Publicis Groupe SA
| | | 55,765 | | 2,526,382 |
Remy Cointreau SA
| | | 5,928 | | 728,632 |
Renault SA
| | | 47,770 | | 2,261,768 |
Safran SA
| | | 80,969 | | 12,510,687 |
Sanofi
| | | 279,008 | | 28,067,760 |
Sartorius Stedim Biotech
| | | 6,864 | | 1,138,004 |
Schneider Electric SE
| | | 136,847 | | 14,055,378 |
SCOR SE
| | | 41,578 | | 1,746,439 |
SEB SA
| | | 6,268 | | 931,544 |
Societe Generale SA
| | | 198,579 | | 6,913,393 |
Sodexo SA
| | | 21,311 | | 2,527,316 |
Suez
| | | 89,128 | | 1,349,122 |
Teleperformance
| | | 14,830 | | 3,618,986 |
Thales SA
| | | 26,547 | | 2,757,003 |
TOTAL SA
| | | 591,302 | | 32,655,821 |
Ubisoft Entertainment SA (b)
| | | 20,143 | | 1,392,355 |
Unibail-Rodamco-Westfield
| | | 73,380 | | 577,208 |
Unibail-Rodamco-Westfield REIT
| | | 30,850 | | 4,870,584 |
Valeo SA
| | | 61,829 | | 2,179,949 |
Veolia Environnement SA
| | | 133,452 | | 3,551,753 |
Vinci SA
| | | 126,179 | | 14,021,951 |
Vivendi SA
| | | 209,186 | | 6,062,825 |
Wendel SA
| | | 7,128 | | 948,139 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Worldline SA (b)(d)
| | | 26,282 | | $1,863,022 |
| | | | | | 410,967,505 |
| GERMANY — 8.6% | | | | | |
adidas AG
| | | 44,635 | | 14,519,781 |
Allianz SE
| | | 105,109 | | 25,767,880 |
Aroundtown SA
| | | 230,810 | | 2,068,528 |
BASF SE
| | | 226,757 | | 17,142,906 |
Bayer AG
| | | 230,224 | | 18,816,021 |
Bayerische Motoren Werke AG
| | | 81,600 | | 6,699,328 |
Bayerische Motoren Werke AG Preference Shares
| | | 13,069 | | 807,581 |
Beiersdorf AG
| | | 25,058 | | 2,999,808 |
Brenntag AG
| | | 39,729 | | 2,162,004 |
Carl Zeiss Meditec AG
| | | 10,275 | | 1,311,380 |
Commerzbank AG
| | | 242,433 | | 1,501,346 |
Continental AG
| | | 27,756 | | 3,591,052 |
Covestro AG (d)
| | | 43,724 | | 2,034,373 |
Daimler AG
| | | 226,121 | | 12,531,128 |
Delivery Hero SE (b)(d)
| | | 28,152 | | 2,229,739 |
Deutsche Bank AG
| | | 495,723 | | 3,848,956 |
Deutsche Boerse AG
| | | 46,650 | | 7,338,899 |
Deutsche Lufthansa AG
| | | 64,206 | | 1,182,688 |
Deutsche Post AG
| | | 245,596 | | 9,375,924 |
Deutsche Telekom AG
| | | 824,792 | | 13,489,323 |
Deutsche Wohnen SE
| | | 90,521 | | 3,700,628 |
E.ON SE
| | | 563,788 | | 6,027,280 |
Evonik Industries AG
| | | 46,539 | | 1,421,451 |
Fraport AG Frankfurt Airport Services Worldwide
| | | 10,591 | | 900,902 |
Fresenius Medical Care AG & Co. KGaA
| | | 52,340 | | 3,875,257 |
Fresenius SE & Co. KGaA
| | | 102,460 | | 5,771,267 |
Fuchs Petrolub SE Preference Shares
| | | 16,051 | | 795,641 |
GEA Group AG
| | | 40,937 | | 1,354,658 |
Hannover Rueck SE
| | | 15,442 | | 2,986,586 |
HeidelbergCement AG
| | | 37,100 | | 2,705,242 |
Henkel AG & Co. KGaA Preference Shares
| | | 44,743 | | 4,630,652 |
Henkel AG & Co. KGaA
| | | 26,031 | | 2,454,462 |
HOCHTIEF AG
| | | 6,344 | | 809,673 |
Infineon Technologies AG
| | | 308,306 | | 7,028,749 |
KION Group AG
| | | 16,364 | | 1,130,770 |
Knorr-Bremse AG
| | | 12,094 | | 1,231,977 |
Lanxess AG
| | | 20,021 | | 1,344,368 |
Merck KGaA
| | | 32,599 | | 3,855,005 |
METRO AG
| | | 46,138 | | 743,185 |
MTU Aero Engines AG
| | | 12,873 | | 3,678,954 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
| | | 35,957 | | 10,615,131 |
Porsche Automobil Holding SE Preference Shares
| | | 38,236 | | 2,860,181 |
Puma SE
| | | 21,755 | | 1,669,105 |
RWE AG
| | | 146,978 | | 4,512,278 |
SAP SE
| | | 243,124 | | 32,836,118 |
| Security Description | | | Shares | | Value |
Sartorius AG Preference Shares
| | | 8,674 | | $1,857,736 |
Siemens AG
| | | 189,461 | | 24,784,547 |
Siemens Healthineers AG (d)
| | | 36,386 | | 1,748,909 |
Symrise AG
| | | 32,823 | | 3,455,949 |
Telefonica Deutschland Holding AG
| | | 202,170 | | 586,402 |
Thyssenkrupp AG
| | | 100,059 | | 1,352,287 |
TUI AG
| | | 110,526 | | 1,396,548 |
Uniper SE
| | | 49,780 | | 1,648,960 |
United Internet AG
| | | 30,546 | | 1,003,949 |
Volkswagen AG
| | | 7,916 | | 1,539,449 |
Volkswagen AG Preference Shares
| | | 45,529 | | 9,006,971 |
Vonovia SE
| | | 128,514 | | 6,924,331 |
Wirecard AG (a)
| | | 28,864 | | 3,482,981 |
Zalando SE (b)(d)
| | | 35,450 | | 1,797,830 |
| | | | | | 318,945,014 |
| HONG KONG — 3.3% | | | | | |
AIA Group, Ltd.
| | | 2,976,600 | | 31,248,990 |
ASM Pacific Technology, Ltd.
| | | 81,800 | | 1,134,857 |
Bank of East Asia, Ltd.
| | | 350,839 | | 783,464 |
Budweiser Brewing Co. APAC, Ltd. (b)(d)
| | | 291,400 | | 983,575 |
CK Asset Holdings, Ltd.
| | | 624,679 | | 4,509,638 |
CK Hutchison Holdings, Ltd.
| | | 665,500 | | 6,345,985 |
CK Infrastructure Holdings, Ltd.
| | | 156,000 | | 1,110,167 |
CLP Holdings, Ltd.
| | | 394,000 | | 4,141,354 |
Dairy Farm International Holdings, Ltd.
| | | 77,000 | | 439,670 |
Galaxy Entertainment Group, Ltd.
| | | 541,000 | | 3,985,395 |
Hang Lung Properties, Ltd.
| | | 486,000 | | 1,066,583 |
Hang Seng Bank, Ltd.
| | | 188,700 | | 3,899,061 |
Henderson Land Development Co., Ltd.
| | | 339,436 | | 1,666,294 |
HK Electric Investments & HK Electric Investments, Ltd. Class SS, Stapled Security
| | | 618,990 | | 610,108 |
HKT Trust & HKT, Ltd.
| | | 937,000 | | 1,320,396 |
Hong Kong & China Gas Co., Ltd.
| | | 2,492,785 | | 4,869,246 |
Hong Kong Exchanges & Clearing, Ltd.
| | | 290,805 | | 9,442,448 |
Hongkong Land Holdings, Ltd.
| | | 277,400 | | 1,595,050 |
Jardine Matheson Holdings, Ltd.
| | | 55,100 | | 3,063,560 |
Jardine Strategic Holdings, Ltd.
| | | 52,400 | | 1,606,060 |
Kerry Properties, Ltd.
| | | 146,000 | | 463,757 |
Link REIT
| | | 516,000 | | 5,463,436 |
Melco Resorts & Entertainment, Ltd. ADR
| | | 55,923 | | 1,351,659 |
MTR Corp., Ltd.
| | | 385,601 | | 2,278,925 |
New World Development Co., Ltd.
| | | 1,463,077 | | 2,005,398 |
NWS Holdings, Ltd.
| | | 356,810 | | 500,060 |
PCCW, Ltd.
| | | 1,072,000 | | 634,246 |
Power Assets Holdings, Ltd.
| | | 334,500 | | 2,446,996 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Sands China, Ltd.
| | | 609,600 | | $3,258,533 |
Sino Land Co., Ltd.
| | | 803,387 | | 1,167,168 |
SJM Holdings, Ltd.
| | | 457,000 | | 520,238 |
Sun Hung Kai Properties, Ltd.
| | | 393,000 | | 6,017,210 |
Swire Pacific, Ltd. Class A
| | | 116,500 | | 1,082,497 |
Swire Properties, Ltd.
| | | 280,600 | | 930,916 |
Techtronic Industries Co., Ltd.
| | | 344,000 | | 2,805,667 |
Vitasoy International Holdings, Ltd. (a)
| | | 172,000 | | 623,604 |
WH Group, Ltd. (d)
| | | 2,323,309 | | 2,400,297 |
Wharf Real Estate Investment Co., Ltd.
| | | 312,000 | | 1,904,002 |
Wheelock & Co., Ltd.
| | | 199,000 | | 1,326,786 |
Yue Yuen Industrial Holdings, Ltd.
| | | 212,500 | | 627,262 |
| | | | | | 121,630,558 |
| IRELAND — 0.7% | | | | | |
AerCap Holdings NV (b)
| | | 32,314 | | 1,986,342 |
AIB Group PLC
| | | 205,023 | | 714,809 |
Bank of Ireland Group PLC
| | | 229,848 | | 1,259,577 |
CRH PLC
| | | 195,072 | | 7,810,596 |
Flutter Entertainment PLC
| | | 19,452 | | 2,365,807 |
James Hardie Industries PLC
| | | 114,006 | | 2,233,517 |
Kerry Group PLC Class A
| | | 38,390 | | 4,787,605 |
Kingspan Group PLC
| | | 36,131 | | 2,208,330 |
Smurfit Kappa Group PLC
| | | 57,747 | | 2,220,767 |
| | | | | | 25,587,350 |
| ISRAEL — 0.5% | | | | | |
Azrieli Group, Ltd.
| | | 10,695 | | 781,844 |
Bank Hapoalim BM
| | | 275,519 | | 2,285,356 |
Bank Leumi Le-Israel BM
| | | 360,144 | | 2,621,315 |
Check Point Software Technologies, Ltd. (a)(b)
| | | 29,510 | | 3,274,430 |
CyberArk Software, Ltd. (b)
| | | 9,300 | | 1,084,194 |
Elbit Systems, Ltd.
| | | 6,111 | | 951,150 |
Israel Chemicals, Ltd.
| | | 162,743 | | 765,655 |
Israel Discount Bank, Ltd. Class A
| | | 293,896 | | 1,362,268 |
Mizrahi Tefahot Bank, Ltd.
| | | 33,833 | | 901,169 |
Nice, Ltd. (b)
| | | 15,007 | | 2,327,084 |
Teva Pharmaceutical Industries, Ltd. ADR (a)(b)
| | | 140,328 | | 1,375,214 |
Teva Pharmaceutical Industries, Ltd. (b)
| | | 118,041 | | 1,169,132 |
Wix.com, Ltd. (b)
| | | 11,300 | | 1,382,894 |
| | | | | | 20,281,705 |
| ITALY — 2.1% | | | | | |
Assicurazioni Generali SpA
| | | 271,361 | | 5,603,164 |
Atlantia SpA
| | | 121,076 | | 2,825,522 |
Davide Campari-Milano SpA
| | | 154,038 | | 1,407,468 |
Enel SpA
| | | 2,011,023 | | 15,964,137 |
Eni SpA
| | | 631,561 | | 9,815,802 |
Ferrari NV
| | | 30,117 | | 4,999,954 |
FinecoBank Banca Fineco SpA
| | | 157,778 | | 1,893,260 |
Intesa Sanpaolo SpA
| | | 3,639,082 | | 9,593,312 |
| Security Description | | | Shares | | Value |
Leonardo SpA
| | | 97,959 | | $1,149,071 |
Mediobanca Banca di Credito Finanziario SpA
| | | 161,856 | | 1,783,040 |
Moncler SpA
| | | 44,149 | | 1,985,758 |
Pirelli & C SpA (d)
| | | 116,150 | | 670,144 |
Poste Italiane SpA (d)
| | | 124,750 | | 1,417,122 |
Prysmian SpA
| | | 57,950 | | 1,397,900 |
Recordati SpA
| | | 27,399 | | 1,155,479 |
Snam SpA
| | | 498,041 | | 2,619,712 |
Telecom Italia SpA (b)(e)
| | | 2,204,493 | | 1,376,835 |
Telecom Italia SpA (b)(e)
| | | 1,626,518 | | 996,503 |
Terna Rete Elettrica Nazionale SpA
| | | 362,156 | | 2,420,420 |
UniCredit SpA
| | | 498,769 | | 7,289,481 |
| | | | | | 76,364,084 |
| JAPAN — 24.2% | | | | | |
ABC-Mart, Inc.
| | | 8,800 | | 602,457 |
Acom Co., Ltd.
| | | 91,400 | | 417,997 |
Advantest Corp.
| | | 50,100 | | 2,839,807 |
Aeon Co., Ltd.
| | | 166,500 | | 3,455,631 |
AEON Financial Service Co., Ltd.
| | | 30,100 | | 478,332 |
Aeon Mall Co., Ltd.
| | | 24,100 | | 429,775 |
AGC, Inc.
| | | 43,200 | | 1,562,236 |
Air Water, Inc.
| | | 34,400 | | 506,464 |
Aisin Seiki Co., Ltd.
| | | 38,100 | | 1,426,888 |
Ajinomoto Co., Inc.
| | | 111,700 | | 1,865,521 |
Alfresa Holdings Corp.
| | | 45,600 | | 934,868 |
Alps Alpine Co., Ltd.
| | | 51,600 | | 1,183,227 |
Amada Holdings Co., Ltd.
| | | 91,300 | | 1,050,150 |
ANA Holdings, Inc.
| | | 28,500 | | 955,114 |
Aozora Bank, Ltd.
| | | 27,800 | | 739,543 |
Asahi Group Holdings, Ltd.
| | | 88,200 | | 4,044,174 |
Asahi Intecc Co., Ltd.
| | | 51,400 | | 1,513,504 |
Asahi Kasei Corp.
| | | 319,200 | | 3,624,502 |
Astellas Pharma, Inc.
| | | 461,900 | | 7,948,038 |
Bandai Namco Holdings, Inc.
| | | 49,700 | | 3,032,535 |
Bank of Kyoto, Ltd.
| | | 12,500 | | 540,603 |
Benesse Holdings, Inc.
| | | 20,100 | | 531,561 |
Bridgestone Corp. (a)
| | | 140,900 | | 5,276,862 |
Brother Industries, Ltd.
| | | 53,900 | | 1,126,357 |
Calbee, Inc.
| | | 20,900 | | 683,685 |
Canon, Inc. (a)
| | | 244,600 | | 6,721,858 |
Casio Computer Co., Ltd.
| | | 43,400 | | 874,989 |
Central Japan Railway Co.
| | | 35,400 | | 7,166,322 |
Chiba Bank, Ltd.
| | | 134,000 | | 780,511 |
Chubu Electric Power Co., Inc.
| | | 157,700 | | 2,236,895 |
Chugai Pharmaceutical Co., Ltd.
| | | 55,300 | | 5,129,275 |
Chugoku Electric Power Co., Inc. (a)
| | | 66,300 | | 872,409 |
Coca-Cola Bottlers Japan Holdings, Inc. (a)
| | | 29,100 | | 747,349 |
Concordia Financial Group, Ltd.
| | | 287,400 | | 1,195,351 |
Credit Saison Co., Ltd.
| | | 39,200 | | 685,707 |
CyberAgent, Inc.
| | | 25,800 | | 905,700 |
Dai Nippon Printing Co., Ltd.
| | | 58,000 | | 1,579,756 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Daicel Corp.
| | | 63,200 | | $610,046 |
Daifuku Co., Ltd.
| | | 24,400 | | 1,495,321 |
Dai-ichi Life Holdings, Inc.
| | | 260,200 | | 4,349,237 |
Daiichi Sankyo Co., Ltd.
| | | 140,300 | | 9,331,386 |
Daikin Industries, Ltd.
| | | 60,800 | | 8,643,754 |
Daito Trust Construction Co., Ltd.
| | | 18,300 | | 2,269,924 |
Daiwa House Industry Co., Ltd.
| | | 137,700 | | 4,295,404 |
Daiwa House REIT Investment Corp.
| | | 466 | | 1,216,081 |
Daiwa Securities Group, Inc.
| | | 376,300 | | 1,914,828 |
Denso Corp.
| | | 109,300 | | 4,994,560 |
Dentsu, Inc.
| | | 56,000 | | 1,945,250 |
Disco Corp.
| | | 6,500 | | 1,549,114 |
East Japan Railway Co.
| | | 74,600 | | 6,767,028 |
Eisai Co., Ltd.
| | | 62,600 | | 4,725,746 |
Electric Power Development Co., Ltd.
| | | 35,600 | | 867,110 |
FamilyMart Co., Ltd.
| | | 65,500 | | 1,582,126 |
FANUC Corp.
| | | 47,500 | | 8,885,898 |
Fast Retailing Co., Ltd.
| | | 14,600 | | 8,732,459 |
Fuji Electric Co., Ltd.
| | | 30,600 | | 941,863 |
FUJIFILM Holdings Corp.
| | | 90,400 | | 4,350,513 |
Fujitsu, Ltd.
| | | 47,900 | | 4,526,644 |
Fukuoka Financial Group, Inc.
| | | 40,900 | | 792,220 |
GMO Payment Gateway, Inc.
| | | 10,800 | | 743,354 |
Hakuhodo DY Holdings, Inc.
| | | 55,500 | | 902,912 |
Hamamatsu Photonics KK
| | | 36,900 | | 1,526,253 |
Hankyu Hanshin Holdings, Inc.
| | | 57,700 | | 2,484,803 |
Hikari Tsushin, Inc.
| | | 4,900 | | 1,236,779 |
Hino Motors, Ltd.
| | | 63,000 | | 673,623 |
Hirose Electric Co., Ltd.
| | | 8,010 | | 1,034,095 |
Hisamitsu Pharmaceutical Co., Inc.
| | | 13,200 | | 649,827 |
Hitachi Chemical Co., Ltd.
| | | 25,300 | | 1,065,079 |
Hitachi Construction Machinery Co., Ltd.
| | | 24,800 | | 749,648 |
Hitachi High-Technologies Corp.
| | | 15,800 | | 1,125,300 |
Hitachi Metals, Ltd.
| | | 57,400 | | 851,955 |
Hitachi, Ltd.
| | | 236,800 | | 10,079,934 |
Honda Motor Co., Ltd.
| | | 404,000 | | 11,520,552 |
Hoshizaki Corp.
| | | 14,400 | | 1,290,600 |
Hoya Corp.
| | | 94,900 | | 9,125,420 |
Hulic Co., Ltd.
| | | 68,000 | | 823,446 |
Idemitsu Kosan Co., Ltd.
| | | 48,540 | | 1,353,358 |
IHI Corp.
| | | 34,800 | | 824,248 |
Iida Group Holdings Co., Ltd.
| | | 35,900 | | 633,928 |
Inpex Corp.
| | | 262,100 | | 2,740,986 |
Isetan Mitsukoshi Holdings, Ltd.
| | | 80,300 | | 727,078 |
Isuzu Motors, Ltd.
| | | 128,900 | | 1,540,751 |
ITOCHU Corp.
| | | 334,200 | | 7,794,156 |
Itochu Techno-Solutions Corp.
| | | 22,200 | | 628,157 |
J Front Retailing Co., Ltd.
| | | 52,200 | | 734,907 |
Japan Airlines Co., Ltd.
| | | 28,300 | | 884,611 |
Japan Airport Terminal Co., Ltd.
| | | 12,400 | | 694,879 |
Japan Exchange Group, Inc.
| | | 128,900 | | 2,289,183 |
| Security Description | | | Shares | | Value |
Japan Post Bank Co., Ltd.
| | | 90,900 | | $878,261 |
Japan Post Holdings Co., Ltd.
| | | 389,800 | | 3,680,099 |
Japan Post Insurance Co., Ltd.
| | | 55,100 | | 944,064 |
Japan Prime Realty Investment Corp. REIT
| | | 191 | | 837,465 |
Japan Real Estate Investment Corp. REIT
| | | 325 | | 2,153,209 |
Japan Retail Fund Investment Corp. REIT
| | | 633 | | 1,358,904 |
Japan Tobacco, Inc. (a)
| | | 297,900 | | 6,667,971 |
JFE Holdings, Inc.
| | | 114,700 | | 1,489,227 |
JGC Holdings Corp.
| | | 49,900 | | 805,839 |
JSR Corp.
| | | 42,300 | | 783,139 |
JTEKT Corp.
| | | 49,700 | | 594,982 |
JXTG Holdings, Inc.
| | | 811,800 | | 3,719,303 |
Kajima Corp.
| | | 116,200 | | 1,558,957 |
Kakaku.com, Inc.
| | | 33,100 | | 850,686 |
Kamigumi Co., Ltd.
| | | 24,000 | | 529,800 |
Kansai Electric Power Co., Inc.
| | | 180,800 | | 2,103,718 |
Kansai Paint Co., Ltd.
| | | 47,600 | | 1,172,535 |
Kao Corp.
| | | 119,000 | | 9,882,448 |
Kawasaki Heavy Industries, Ltd.
| | | 33,000 | | 731,208 |
KDDI Corp.
| | | 435,500 | | 13,035,947 |
Keihan Holdings Co., Ltd.
| | | 23,800 | | 1,160,709 |
Keikyu Corp.
| | | 55,000 | | 1,067,863 |
Keio Corp.
| | | 26,300 | | 1,599,660 |
Keisei Electric Railway Co., Ltd.
| | | 33,100 | | 1,291,410 |
Keyence Corp.
| | | 45,000 | | 15,937,888 |
Kikkoman Corp.
| | | 37,100 | | 1,833,237 |
Kintetsu Group Holdings Co., Ltd.
| | | 44,000 | | 2,396,871 |
Kirin Holdings Co., Ltd.
| | | 199,800 | | 4,394,037 |
Kobayashi Pharmaceutical Co., Ltd.
| | | 13,300 | | 1,134,493 |
Koito Manufacturing Co., Ltd.
| | | 27,200 | | 1,276,467 |
Komatsu, Ltd.
| | | 230,000 | | 5,591,534 |
Konami Holdings Corp.
| | | 23,100 | | 953,333 |
Konica Minolta, Inc.
| | | 111,800 | | 733,503 |
Kose Corp.
| | | 8,700 | | 1,280,883 |
Kubota Corp.
| | | 265,300 | | 4,213,552 |
Kuraray Co., Ltd.
| | | 75,800 | | 928,363 |
Kurita Water Industries, Ltd.
| | | 23,800 | | 712,850 |
Kyocera Corp.
| | | 77,800 | | 5,354,902 |
Kyowa Kirin Co., Ltd.
| | | 59,900 | | 1,418,198 |
Kyushu Electric Power Co., Inc.
| | | 101,200 | | 880,000 |
Kyushu Railway Co.
| | | 42,600 | | 1,430,780 |
Lawson, Inc.
| | | 12,000 | | 683,506 |
LINE Corp. (b)
| | | 16,600 | | 817,207 |
Lion Corp.
| | | 51,200 | | 1,001,150 |
LIXIL Group Corp.
| | | 68,900 | | 1,197,627 |
M3, Inc.
| | | 110,600 | | 3,363,543 |
Makita Corp.
| | | 57,800 | | 2,026,391 |
Marubeni Corp.
| | | 375,300 | | 2,799,339 |
Marui Group Co., Ltd.
| | | 48,700 | | 1,195,598 |
Maruichi Steel Tube, Ltd.
| | | 16,600 | | 470,467 |
Mazda Motor Corp.
| | | 149,000 | | 1,286,055 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
McDonald's Holdings Co. Japan, Ltd.
| | | 16,000 | | $771,475 |
Mebuki Financial Group, Inc.
| | | 259,300 | | 668,084 |
Medipal Holdings Corp.
| | | 46,300 | | 1,028,037 |
MEIJI Holdings Co., Ltd.
| | | 27,500 | | 1,867,495 |
Mercari, Inc. (b)
| | | 17,200 | | 353,734 |
MINEBEA MITSUMI, Inc.
| | | 90,300 | | 1,892,000 |
MISUMI Group, Inc.
| | | 67,100 | | 1,680,664 |
Mitsubishi Chemical Holdings Corp.
| | | 322,600 | | 2,426,736 |
Mitsubishi Corp.
| | | 337,300 | | 9,000,874 |
Mitsubishi Electric Corp.
| | | 453,600 | | 6,254,609 |
Mitsubishi Estate Co., Ltd.
| | | 294,300 | | 5,658,522 |
Mitsubishi Gas Chemical Co., Inc.
| | | 35,900 | | 552,994 |
Mitsubishi Heavy Industries, Ltd.
| | | 77,300 | | 3,021,582 |
Mitsubishi Materials Corp.
| | | 28,100 | | 769,760 |
Mitsubishi Motors Corp.
| | | 149,700 | | 630,896 |
Mitsubishi Tanabe Pharma Corp.
| | | 61,500 | | 1,136,342 |
Mitsubishi UFJ Financial Group, Inc.
| | | 3,027,400 | | 16,524,994 |
Mitsubishi UFJ Lease & Finance Co., Ltd.
| | | 114,900 | | 746,440 |
Mitsui & Co., Ltd.
| | | 406,900 | | 7,286,196 |
Mitsui Chemicals, Inc.
| | | 42,100 | | 1,038,215 |
Mitsui Fudosan Co., Ltd.
| | | 222,100 | | 5,460,789 |
Mitsui OSK Lines, Ltd.
| | | 27,400 | | 762,687 |
Mizuho Financial Group, Inc.
| | | 6,017,300 | | 9,318,717 |
MonotaRO Co., Ltd.
| | | 28,200 | | 758,487 |
MS&AD Insurance Group Holdings, Inc.
| | | 114,200 | | 3,794,582 |
Murata Manufacturing Co., Ltd.
| | | 142,900 | | 8,870,517 |
Nabtesco Corp. (a)
| | | 31,100 | | 934,359 |
Nagoya Railroad Co., Ltd.
| | | 44,300 | | 1,381,891 |
NEC Corp.
| | | 60,700 | | 2,524,628 |
Nexon Co., Ltd. (b)
| | | 121,400 | | 1,619,784 |
NGK Insulators, Ltd.
| | | 65,800 | | 1,152,824 |
NGK Spark Plug Co., Ltd.
| | | 36,100 | | 708,879 |
NH Foods, Ltd.
| | | 21,000 | | 871,498 |
Nidec Corp.
| | | 54,600 | | 7,538,744 |
Nikon Corp.
| | | 75,900 | | 938,667 |
Nintendo Co., Ltd.
| | | 27,600 | | 11,166,984 |
Nippon Building Fund, Inc. REIT
| | | 324 | | 2,370,186 |
Nippon Express Co., Ltd.
| | | 19,100 | | 1,128,337 |
Nippon Paint Holdings Co., Ltd. (a)
| | | 36,100 | | 1,873,513 |
Nippon Prologis REIT, Inc.
| | | 499 | | 1,269,138 |
Nippon Shinyaku Co., Ltd.
| | | 11,200 | | 975,974 |
Nippon Steel Corp.
| | | 205,500 | | 3,127,647 |
Nippon Telegraph & Telephone Corp.
| | | 316,000 | | 8,016,674 |
Nippon Yusen KK
| | | 36,900 | | 672,638 |
Nissan Chemical Corp.
| | | 33,100 | | 1,399,535 |
Nissan Motor Co., Ltd.
| | | 585,900 | | 3,429,409 |
Nisshin Seifun Group, Inc.
| | | 46,800 | | 820,803 |
| Security Description | | | Shares | | Value |
Nissin Foods Holdings Co., Ltd.
| | | 14,700 | | $1,098,357 |
Nitori Holdings Co., Ltd.
| | | 19,900 | | 3,154,152 |
Nitto Denko Corp.
| | | 40,000 | | 2,274,672 |
Nomura Holdings, Inc.
| | | 803,700 | | 4,166,594 |
Nomura Real Estate Holdings, Inc.
| | | 31,100 | | 749,777 |
Nomura Real Estate Master Fund, Inc. REIT
| | | 1,068 | | 1,823,978 |
Nomura Research Institute, Ltd.
| | | 86,600 | | 1,863,085 |
NSK, Ltd.
| | | 92,100 | | 882,228 |
NTT Data Corp.
| | | 149,600 | | 2,019,445 |
NTT DOCOMO, Inc.
| | | 332,900 | | 9,306,190 |
Obayashi Corp.
| | | 166,800 | | 1,867,914 |
Obic Co., Ltd.
| | | 16,800 | | 2,281,739 |
Odakyu Electric Railway Co., Ltd.
| | | 69,000 | | 1,619,683 |
Oji Holdings Corp.
| | | 230,700 | | 1,263,092 |
Olympus Corp.
| | | 284,400 | | 4,420,075 |
Omron Corp.
| | | 48,500 | | 2,865,148 |
Ono Pharmaceutical Co., Ltd.
| | | 98,100 | | 2,258,534 |
Oracle Corp. Japan
| | | 9,900 | | 906,418 |
Oriental Land Co., Ltd.
| | | 49,600 | | 6,791,332 |
ORIX Corp.
| | | 327,500 | | 5,457,580 |
Orix JREIT, Inc.
| | | 642 | | 1,390,040 |
Osaka Gas Co., Ltd.
| | | 96,000 | | 1,847,122 |
Otsuka Corp.
| | | 27,800 | | 1,119,163 |
Otsuka Holdings Co., Ltd.
| | | 94,200 | | 4,232,607 |
Pan Pacific International Holdings Corp.
| | | 106,800 | | 1,779,754 |
Panasonic Corp.
| | | 536,300 | | 5,080,477 |
Park24 Co., Ltd.
| | | 25,300 | | 621,355 |
PeptiDream, Inc. (b)
| | | 23,400 | | 1,205,797 |
Persol Holdings Co., Ltd.
| | | 41,200 | | 777,559 |
Pigeon Corp. (a)
| | | 30,500 | | 1,126,823 |
Pola Orbis Holdings, Inc.
| | | 20,800 | | 500,310 |
Rakuten, Inc. (a)
| | | 205,900 | | 1,771,488 |
Recruit Holdings Co., Ltd.
| | | 336,000 | | 12,673,237 |
Renesas Electronics Corp. (b)
| | | 191,400 | | 1,320,911 |
Resona Holdings, Inc.
| | | 528,500 | | 2,329,436 |
Ricoh Co., Ltd.
| | | 175,200 | | 1,921,678 |
Rinnai Corp.
| | | 7,700 | | 605,797 |
Rohm Co., Ltd.
| | | 22,600 | | 1,825,885 |
Ryohin Keikaku Co., Ltd.
| | | 63,000 | | 1,481,739 |
Sankyo Co., Ltd.
| | | 9,200 | | 306,878 |
Santen Pharmaceutical Co., Ltd.
| | | 91,100 | | 1,748,651 |
SBI Holdings, Inc.
| | | 59,200 | | 1,261,081 |
Secom Co., Ltd.
| | | 51,700 | | 4,651,216 |
Sega Sammy Holdings, Inc.
| | | 45,300 | | 659,856 |
Seibu Holdings, Inc.
| | | 48,100 | | 794,474 |
Seiko Epson Corp.
| | | 74,900 | | 1,140,644 |
Sekisui Chemical Co., Ltd.
| | | 94,900 | | 1,662,660 |
Sekisui House, Ltd.
| | | 155,600 | | 3,341,087 |
Seven & i Holdings Co., Ltd.
| | | 186,900 | | 6,884,386 |
Seven Bank, Ltd.
| | | 126,400 | | 416,390 |
SG Holdings Co., Ltd.
| | | 36,900 | | 835,279 |
Sharp Corp. (a)
| | | 55,600 | | 862,075 |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Shimadzu Corp.
| | | 57,500 | | $1,820,106 |
Shimamura Co., Ltd.
| | | 5,100 | | 390,449 |
Shimano, Inc.
| | | 17,800 | | 2,910,568 |
Shimizu Corp.
| | | 150,400 | | 1,544,480 |
Shin-Etsu Chemical Co., Ltd.
| | | 89,000 | | 9,876,605 |
Shinsei Bank, Ltd.
| | | 42,900 | | 661,215 |
Shionogi & Co., Ltd.
| | | 65,400 | | 4,072,342 |
Shiseido Co., Ltd.
| | | 97,500 | | 6,981,781 |
Shizuoka Bank, Ltd.
| | | 100,700 | | 757,972 |
Showa Denko KK (a)
| | | 31,900 | | 850,960 |
SMC Corp.
| | | 14,200 | | 6,571,134 |
Softbank Corp.
| | | 410,200 | | 5,508,966 |
SoftBank Group Corp.
| | | 389,200 | | 17,032,760 |
Sohgo Security Services Co., Ltd.
| | | 19,700 | | 1,073,145 |
Sompo Holdings, Inc.
| | | 81,300 | | 3,216,839 |
Sony Corp.
| | | 312,500 | | 21,281,919 |
Sony Financial Holdings, Inc.
| | | 41,600 | | 1,005,979 |
Square Enix Holdings Co., Ltd.
| | | 22,500 | | 1,124,224 |
Stanley Electric Co., Ltd.
| | | 33,600 | | 983,188 |
Subaru Corp.
| | | 154,100 | | 3,847,714 |
SUMCO Corp. (a)
| | | 64,500 | | 1,083,754 |
Sumitomo Chemical Co., Ltd.
| | | 364,100 | | 1,668,478 |
Sumitomo Corp.
| | | 296,900 | | 4,436,767 |
Sumitomo Dainippon Pharma Co., Ltd.
| | | 37,000 | | 725,190 |
Sumitomo Electric Industries, Ltd.
| | | 192,400 | | 2,924,728 |
Sumitomo Heavy Industries, Ltd.
| | | 26,400 | | 760,359 |
Sumitomo Metal Mining Co., Ltd.
| | | 59,600 | | 1,943,615 |
Sumitomo Mitsui Financial Group, Inc.
| | | 329,100 | | 12,228,257 |
Sumitomo Mitsui Trust Holdings, Inc.
| | | 82,900 | | 3,308,372 |
Sumitomo Realty & Development Co., Ltd.
| | | 81,900 | | 2,872,812 |
Sumitomo Rubber Industries, Ltd. (a)
| | | 36,000 | | 442,899 |
Sundrug Co., Ltd.
| | | 16,700 | | 607,762 |
Suntory Beverage & Food, Ltd.
| | | 35,700 | | 1,493,043 |
Suzuken Co., Ltd.
| | | 17,400 | | 714,893 |
Suzuki Motor Corp.
| | | 92,700 | | 3,895,660 |
Sysmex Corp.
| | | 40,500 | | 2,776,025 |
T&D Holdings, Inc.
| | | 141,700 | | 1,818,923 |
Taiheiyo Cement Corp.
| | | 29,800 | | 881,592 |
Taisei Corp.
| | | 49,900 | | 2,086,915 |
Taisho Pharmaceutical Holdings Co., Ltd.
| | | 8,100 | | 604,472 |
Taiyo Nippon Sanso Corp.
| | | 34,900 | | 779,730 |
Takeda Pharmaceutical Co., Ltd.
| | | 367,517 | | 14,649,953 |
TDK Corp.
| | | 32,400 | | 3,693,913 |
Teijin, Ltd.
| | | 40,800 | | 767,757 |
Terumo Corp.
| | | 159,400 | | 5,698,357 |
THK Co., Ltd.
| | | 33,400 | | 912,180 |
Tobu Railway Co., Ltd.
| | | 49,200 | | 1,790,531 |
| Security Description | | | Shares | | Value |
Toho Co., Ltd.
| | | 29,700 | | $1,242,112 |
Toho Gas Co., Ltd.
| | | 17,900 | | 734,612 |
Tohoku Electric Power Co., Inc.
| | | 100,500 | | 1,000,607 |
Tokio Marine Holdings, Inc.
| | | 159,500 | | 8,980,727 |
Tokyo Century Corp.
| | | 9,800 | | 527,536 |
Tokyo Electric Power Co. Holdings, Inc. (b)
| | | 374,900 | | 1,611,026 |
Tokyo Electron, Ltd.
| | | 39,000 | | 8,585,921 |
Tokyo Gas Co., Ltd.
| | | 96,900 | | 2,364,208 |
Tokyu Corp.
| | | 127,500 | | 2,368,737 |
Tokyu Fudosan Holdings Corp.
| | | 158,700 | | 1,102,540 |
Toppan Printing Co., Ltd.
| | | 72,500 | | 1,508,374 |
Toray Industries, Inc.
| | | 352,600 | | 2,404,526 |
Toshiba Corp.
| | | 128,400 | | 4,377,474 |
Tosoh Corp.
| | | 70,500 | | 1,099,586 |
TOTO, Ltd.
| | | 33,300 | | 1,421,781 |
Toyo Seikan Group Holdings, Ltd.
| | | 37,200 | | 646,957 |
Toyo Suisan Kaisha, Ltd.
| | | 23,100 | | 984,155 |
Toyoda Gosei Co., Ltd.
| | | 16,800 | | 424,348 |
Toyota Industries Corp.
| | | 37,800 | | 2,201,739 |
Toyota Motor Corp.
| | | 564,700 | | 40,083,697 |
Toyota Tsusho Corp.
| | | 55,400 | | 1,967,739 |
Trend Micro, Inc.
| | | 31,700 | | 1,633,494 |
Tsuruha Holdings, Inc.
| | | 9,800 | | 1,264,283 |
Unicharm Corp.
| | | 100,400 | | 3,418,265 |
United Urban Investment Corp. REIT
| | | 684 | | 1,281,458 |
USS Co., Ltd.
| | | 53,400 | | 1,015,177 |
Welcia Holdings Co., Ltd.
| | | 10,600 | | 677,893 |
West Japan Railway Co.
| | | 39,100 | | 3,396,762 |
Yakult Honsha Co., Ltd.
| | | 28,300 | | 1,570,269 |
Yamada Denki Co., Ltd.
| | | 150,400 | | 799,919 |
Yamaha Corp.
| | | 35,700 | | 1,997,295 |
Yamaha Motor Co., Ltd. (a)
| | | 65,300 | | 1,323,726 |
Yamato Holdings Co., Ltd.
| | | 72,000 | | 1,236,936 |
Yamazaki Baking Co., Ltd.
| | | 30,000 | | 538,026 |
Yaskawa Electric Corp.
| | | 61,800 | | 2,371,346 |
Yokogawa Electric Corp.
| | | 54,700 | | 970,934 |
Yokohama Rubber Co., Ltd.
| | | 29,200 | | 572,581 |
Z Holdings Corp.
| | | 674,400 | | 2,860,809 |
ZOZO, Inc.
| | | 31,900 | | 612,609 |
| | | | | | 903,094,320 |
| LUXEMBOURG — 0.2% | | | | | |
ArcelorMittal SA
| | | 170,046 | | 2,985,691 |
Eurofins Scientific SE (a)
| | | 2,719 | | 1,508,336 |
Millicom International Cellular SA SDR
| | | 18,652 | | 893,841 |
SES SA
| | | 94,603 | | 1,327,398 |
Tenaris SA
| | | 125,773 | | 1,418,860 |
| | | | | | 8,134,126 |
| MACAU — 0.0% (c) | | | | | |
Wynn Macau, Ltd.
| | | 428,400 | | 1,055,633 |
| NETHERLANDS — 4.9% | | | | | |
ABN AMRO Bank NV (d)
| | | 108,292 | | 1,971,666 |
See accompanying notes to financial statements.
10
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Adyen NV (a)(b)(d)
| | | 2,479 | | $2,034,136 |
Aegon NV
| | | 446,111 | | 2,036,588 |
Akzo Nobel NV
| | | 56,995 | | 5,798,862 |
Altice Europe NV (b)
| | | 165,281 | | 1,066,414 |
ASML Holding NV
| | | 104,855 | | 31,037,407 |
EXOR NV
| | | 26,384 | | 2,045,875 |
Heineken Holding NV
| | | 28,962 | | 2,808,849 |
Heineken NV
| | | 63,788 | | 6,796,462 |
ING Groep NV
| | | 948,553 | | 11,380,051 |
Koninklijke Ahold Delhaize NV
| | | 290,971 | | 7,281,877 |
Koninklijke DSM NV
| | | 44,834 | | 5,842,865 |
Koninklijke KPN NV
| | | 870,982 | | 2,572,268 |
Koninklijke Philips NV
| | | 225,802 | | 11,030,694 |
Koninklijke Vopak NV
| | | 17,144 | | 930,069 |
NN Group NV
| | | 76,003 | | 2,885,297 |
NXP Semiconductors NV
| | | 70,072 | | 8,917,363 |
Prosus NV (b)
| | | 119,543 | | 8,927,458 |
Randstad NV
| | | 28,901 | | 1,766,108 |
Royal Dutch Shell PLC Class A
| | | 1,058,754 | | 31,347,777 |
Royal Dutch Shell PLC Class B
| | | 919,277 | | 27,272,919 |
Wolters Kluwer NV
| | | 68,716 | | 5,015,232 |
| | | | | | 180,766,237 |
| NEW ZEALAND — 0.3% | | | | | |
a2 Milk Co., Ltd. (a)(b)
| | | 171,718 | | 1,740,060 |
Auckland International Airport, Ltd.
| | | 231,249 | | 1,365,106 |
Fisher & Paykel Healthcare Corp., Ltd.
| | | 147,181 | | 2,204,364 |
Fletcher Building, Ltd.
| | | 197,701 | | 678,899 |
Mercury NZ, Ltd.
| | | 166,846 | | 568,442 |
Meridian Energy, Ltd.
| | | 305,752 | | 1,031,378 |
Ryman Healthcare, Ltd.
| | | 94,456 | | 1,040,625 |
Spark New Zealand, Ltd.
| | | 418,892 | | 1,223,682 |
| | | | | | 9,852,556 |
| NORWAY — 0.6% | | | | | |
Aker BP ASA
| | | 26,570 | | 870,820 |
DNB ASA
| | | 238,601 | | 4,453,082 |
Equinor ASA
| | | 247,660 | | 4,946,267 |
Gjensidige Forsikring ASA
| | | 44,759 | | 938,496 |
Mowi ASA
| | | 111,409 | | 2,893,213 |
Norsk Hydro ASA
| | | 356,213 | | 1,323,136 |
Orkla ASA
| | | 197,667 | | 2,001,122 |
Schibsted ASA Class B
| | | 24,544 | | 703,308 |
Telenor ASA
| | | 174,967 | | 3,135,042 |
Yara International ASA
| | | 41,484 | | 1,724,074 |
| | | | | | 22,988,560 |
| PORTUGAL — 0.2% | | | | | |
EDP - Energias de Portugal SA
| | | 651,344 | | 2,825,099 |
Galp Energia SGPS SA
| | | 117,125 | | 1,958,944 |
Jeronimo Martins SGPS SA
| | | 58,599 | | 964,625 |
| | | | | | 5,748,668 |
| RUSSIA — 0.0% (c) | | | | | |
Evraz PLC
| | | 129,609 | | 693,666 |
| Security Description | | | Shares | | Value |
| SINGAPORE — 1.2% | | | | | |
Ascendas Real Estate Investment Trust
| | | 721,230 | | $1,593,019 |
CapitaLand Commercial Trust REIT
| | | 661,238 | | 978,592 |
CapitaLand Mall Trust REIT
| | | 610,500 | | 1,116,893 |
CapitaLand, Ltd.
| | | 601,400 | | 1,677,202 |
City Developments, Ltd.
| | | 98,700 | | 803,752 |
ComfortDelGro Corp., Ltd.
| | | 544,900 | | 964,461 |
DBS Group Holdings, Ltd.
| | | 439,113 | | 8,451,452 |
Genting Singapore, Ltd.
| | | 1,435,400 | | 982,090 |
Jardine Cycle & Carriage, Ltd.
| | | 24,833 | | 555,887 |
Keppel Corp., Ltd. (a)
| | | 343,700 | | 1,730,449 |
Mapletree Commercial Trust REIT
| | | 493,800 | | 877,687 |
Oversea-Chinese Banking Corp., Ltd.
| | | 803,541 | | 6,561,470 |
SATS, Ltd.
| | | 171,200 | | 644,236 |
Sembcorp Industries, Ltd.
| | | 242,600 | | 413,159 |
Singapore Airlines, Ltd.
| | | 137,500 | | 924,404 |
Singapore Exchange, Ltd.
| | | 191,600 | | 1,262,467 |
Singapore Press Holdings, Ltd. (a)
| | | 397,400 | | 644,281 |
Singapore Technologies Engineering, Ltd.
| | | 369,900 | | 1,083,855 |
Singapore Telecommunications, Ltd.
| | | 1,996,300 | | 5,003,184 |
Suntec Real Estate Investment Trust
| | | 529,400 | | 724,423 |
United Overseas Bank, Ltd.
| | | 314,690 | | 6,180,763 |
UOL Group, Ltd.
| | | 128,632 | | 795,908 |
Venture Corp., Ltd.
| | | 67,800 | | 816,837 |
Wilmar International, Ltd.
| | | 456,600 | | 1,399,020 |
| | | | | | 46,185,491 |
| SOUTH AFRICA — 0.2% | | | | | |
Anglo American PLC
| | | 258,633 | | 7,445,225 |
| SPAIN — 2.8% | | | | | |
ACS Actividades de Construccion y Servicios SA
| | | 65,903 | | 2,637,247 |
Aena SME SA (d)
| | | 16,089 | | 3,079,212 |
Amadeus IT Group SA
| | | 107,322 | | 8,770,135 |
Banco Bilbao Vizcaya Argentaria SA
| | | 1,633,890 | | 9,139,025 |
Banco de Sabadell SA
| | | 1,406,161 | | 1,641,552 |
Banco Santander SA
| | | 4,070,560 | | 17,043,122 |
Bankia SA
| | | 304,766 | | 650,845 |
Bankinter SA
| | | 160,926 | | 1,179,936 |
CaixaBank SA
| | | 899,730 | | 2,825,830 |
Cellnex Telecom SA (d)
| | | 63,782 | | 2,747,110 |
Enagas SA
| | | 53,610 | | 1,368,430 |
Endesa SA
| | | 80,722 | | 2,155,622 |
Ferrovial SA
| | | 116,975 | | 3,541,279 |
Grifols SA
| | | 75,632 | | 2,668,309 |
Iberdrola SA
| | | 1,463,754 | | 15,083,320 |
Industria de Diseno Textil SA
| | | 266,701 | | 9,415,241 |
Mapfre SA
| | | 271,207 | | 718,454 |
See accompanying notes to financial statements.
11
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
Naturgy Energy Group SA
| | | 76,473 | | $1,922,836 |
Red Electrica Corp. SA
| | | 102,890 | | 2,070,229 |
Repsol SA
| | | 353,399 | | 5,525,894 |
Siemens Gamesa Renewable Energy SA
| | | 65,112 | | 1,142,734 |
Telefonica SA
| | | 1,144,700 | | 8,001,229 |
| | | | | | 103,327,591 |
| SWEDEN — 2.5% | | | | | |
Alfa Laval AB
| | | 77,504 | | 1,953,114 |
Assa Abloy AB Class B
| | | 249,451 | | 5,835,859 |
Atlas Copco AB Class A
| | | 165,448 | | 6,603,038 |
Atlas Copco AB Class B
| | | 98,686 | | 3,428,321 |
Boliden AB
| | | 71,106 | | 1,887,592 |
Electrolux AB Class B
| | | 56,183 | | 1,379,810 |
Epiroc AB Class A
| | | 170,887 | | 2,087,472 |
Epiroc AB Class B
| | | 96,382 | | 1,143,378 |
Essity AB Class B
| | | 152,264 | | 4,908,987 |
Hennes & Mauritz AB Class B (a)
| | | 196,431 | | 3,997,006 |
Hexagon AB Class B
| | | 64,581 | | 3,621,925 |
Husqvarna AB Class B
| | | 101,271 | | 811,592 |
ICA Gruppen AB
| | | 22,934 | | 1,071,113 |
Industrivarden AB Class C
| | | 45,559 | | 1,099,426 |
Investor AB Class B
| | | 113,315 | | 6,188,048 |
Kinnevik AB Class B
| | | 58,818 | | 1,438,869 |
L E Lundbergforetagen AB Class B
| | | 17,802 | | 781,603 |
Lundin Petroleum AB
| | | 44,572 | | 1,515,564 |
Sandvik AB
| | | 279,400 | | 5,451,569 |
Securitas AB Class B
| | | 77,801 | | 1,341,834 |
Skandinaviska Enskilda Banken AB Class A
| | | 412,398 | | 3,880,336 |
Skanska AB Class B
| | | 86,703 | | 1,960,787 |
SKF AB Class B
| | | 98,908 | | 2,001,183 |
Svenska Handelsbanken AB Class A
| | | 378,214 | | 4,076,657 |
Swedbank AB Class A
| | | 230,549 | | 3,434,450 |
Swedish Match AB
| | | 40,921 | | 2,110,517 |
Tele2 AB Class B
| | | 126,668 | | 1,838,239 |
Telefonaktiebolaget LM Ericsson Class B
| | | 751,228 | | 6,545,223 |
Telia Co. AB
| | | 662,446 | | 2,848,340 |
Volvo AB Class B
| | | 371,648 | | 6,229,170 |
| | | | | | 91,471,022 |
| SWITZERLAND — 9.6% | | | | | |
ABB, Ltd.
| | | 449,711 | | 10,853,251 |
Adecco Group AG
| | | 38,308 | | 2,421,868 |
Alcon, Inc. (b)
| | | 101,883 | | 5,765,672 |
Baloise Holding AG
| | | 12,003 | | 2,169,180 |
Barry Callebaut AG
| | | 795 | | 1,755,264 |
Chocoladefabriken Lindt & Spruengli AG (e)
| | | 280 | | 2,172,975 |
Chocoladefabriken Lindt & Spruengli AG (e)
| | | 24 | | 2,119,068 |
Cie Financiere Richemont SA
| | | 130,115 | | 10,220,010 |
| Security Description | | | Shares | | Value |
Clariant AG
| | | 50,343 | | $1,122,950 |
Coca-Cola HBC AG
| | | 49,968 | | 1,697,905 |
Credit Suisse Group AG
| | | 624,676 | | 8,453,946 |
Dufry AG
| | | 11,203 | | 1,110,871 |
EMS-Chemie Holding AG
| | | 2,053 | | 1,349,444 |
Geberit AG
| | | 9,193 | | 5,156,852 |
Givaudan SA
| | | 2,264 | | 7,086,471 |
Glencore PLC (b)
| | | 2,681,656 | | 8,360,869 |
Julius Baer Group, Ltd.
| | | 56,284 | | 2,902,112 |
Kuehne + Nagel International AG
| | | 13,905 | | 2,343,467 |
LafargeHolcim, Ltd.
| | | 123,568 | | 6,852,483 |
Lonza Group AG
| | | 18,360 | | 6,696,703 |
Nestle SA
| | | 734,852 | | 79,514,424 |
Novartis AG
| | | 530,881 | | 50,382,572 |
Pargesa Holding SA
| | | 10,136 | | 842,093 |
Partners Group Holding AG (a)
| | | 4,719 | | 4,324,511 |
Roche Holding AG
| | | 173,585 | | 56,287,179 |
Schindler Holding AG (e)
| | | 10,269 | | 2,610,862 |
Schindler Holding AG (e)
| | | 4,729 | | 1,158,382 |
SGS SA
| | | 1,353 | | 3,704,036 |
Sika AG
| | | 31,467 | | 5,909,303 |
Sonova Holding AG
| | | 14,086 | | 3,222,026 |
STMicroelectronics NV
| | | 167,089 | | 4,495,749 |
Straumann Holding AG
| | | 2,651 | | 2,601,859 |
Swatch Group AG (e)
| | | 7,069 | | 1,971,013 |
Swatch Group AG (e)
| | | 13,237 | | 699,202 |
Swiss Life Holding AG
| | | 8,610 | | 4,319,449 |
Swiss Prime Site AG (b)
| | | 19,666 | | 2,272,552 |
Swiss Re AG
| | | 74,493 | | 8,362,048 |
Swisscom AG (a)
| | | 6,479 | | 3,429,685 |
Temenos AG
| | | 16,698 | | 2,641,745 |
UBS Group AG (b)
| | | 960,365 | | 12,124,193 |
Vifor Pharma AG
| | | 11,253 | | 2,052,814 |
Zurich Insurance Group AG
| | | 37,413 | | 15,342,286 |
| | | | | | 358,879,344 |
| UNITED ARAB EMIRATES — 0.0% (c) | | | | | |
NMC Health PLC (a)
| | | 25,744 | | 602,624 |
| UNITED KINGDOM — 14.6% | | | | | |
3i Group PLC
| | | 245,281 | | 3,567,799 |
Admiral Group PLC
| | | 46,985 | | 1,437,200 |
Ashtead Group PLC
| | | 112,013 | | 3,582,118 |
Associated British Foods PLC
| | | 89,799 | | 3,090,614 |
AstraZeneca PLC
| | | 324,592 | | 32,710,365 |
Auto Trader Group PLC (d)
| | | 220,684 | | 1,738,321 |
AVEVA Group PLC
| | | 15,823 | | 975,969 |
Aviva PLC
| | | 982,380 | | 5,448,998 |
BAE Systems PLC
| | | 800,951 | | 5,992,869 |
Barclays PLC
| | | 4,301,409 | | 10,236,417 |
Barratt Developments PLC
| | | 262,383 | | 2,595,122 |
Berkeley Group Holdings PLC
| | | 29,018 | | 1,867,878 |
BP PLC
| | | 5,040,423 | | 31,490,166 |
British American Tobacco PLC
| | | 568,306 | | 24,328,793 |
See accompanying notes to financial statements.
12
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
British Land Co. PLC REIT
| | | 214,286 | | $1,813,397 |
BT Group PLC
| | | 2,080,300 | | 5,303,413 |
Bunzl PLC
| | | 86,604 | | 2,369,148 |
Burberry Group PLC
| | | 103,377 | | 3,019,720 |
Centrica PLC
| | | 1,387,500 | | 1,641,416 |
CNH Industrial NV
| | | 248,353 | | 2,729,218 |
Coca-Cola European Partners PLC (e)
| | | 24,400 | | 1,241,472 |
Coca-Cola European Partners PLC (e)
| | | 35,366 | | 1,772,530 |
Compass Group PLC
| | | 395,527 | | 9,903,121 |
Croda International PLC
| | | 33,122 | | 2,246,574 |
DCC PLC
| | | 23,850 | | 2,067,597 |
Diageo PLC
| | | 583,335 | | 24,732,615 |
Direct Line Insurance Group PLC
| | | 364,371 | | 1,508,440 |
easyJet PLC
| | | 44,752 | | 844,518 |
Experian PLC
| | | 227,875 | | 7,703,916 |
Fiat Chrysler Automobiles NV
| | | 265,398 | | 3,930,613 |
G4S PLC
| | | 393,013 | | 1,135,005 |
GlaxoSmithKline PLC
| | | 1,234,785 | | 29,100,567 |
GVC Holdings PLC
| | | 139,499 | | 1,634,014 |
Halma PLC
| | | 92,053 | | 2,580,404 |
Hargreaves Lansdown PLC
| | | 72,826 | | 1,866,816 |
HSBC Holdings PLC
| | | 4,992,712 | | 39,148,851 |
Imperial Brands PLC
| | | 234,196 | | 5,798,597 |
Informa PLC
| | | 317,729 | | 3,607,214 |
InterContinental Hotels Group PLC
| | | 44,129 | | 3,044,593 |
Intertek Group PLC
| | | 41,291 | | 3,201,061 |
ITV PLC
| | | 948,250 | | 1,896,854 |
J Sainsbury PLC
| | | 440,863 | | 1,342,693 |
JD Sports Fashion PLC
| | | 107,276 | | 1,190,062 |
Johnson Matthey PLC
| | | 49,525 | | 1,965,624 |
Kingfisher PLC
| | | 559,595 | | 1,608,673 |
Land Securities Group PLC REIT
| | | 172,937 | | 2,268,074 |
Legal & General Group PLC
| | | 1,470,731 | | 5,903,506 |
Lloyds Banking Group PLC
| | | 17,329,309 | | 14,348,134 |
London Stock Exchange Group PLC
| | | 78,017 | | 8,009,863 |
M&G PLC (b)
| | | 631,607 | | 1,984,704 |
Marks & Spencer Group PLC
| | | 463,710 | | 1,311,531 |
Meggitt PLC
| | | 202,959 | | 1,765,939 |
Melrose Industries PLC
| | | 1,227,736 | | 3,905,092 |
Micro Focus International PLC ADR (a)
| | | 43,670 | | 612,690 |
Micro Focus International PLC
| | | 38,878 | | 547,896 |
Mondi PLC
| | | 124,129 | | 2,914,699 |
National Grid PLC
| | | 863,686 | | 10,804,385 |
Next PLC
| | | 32,521 | | 3,023,510 |
Ocado Group PLC (b)
| | | 111,452 | | 1,888,394 |
Pearson PLC
| | | 204,658 | | 1,727,040 |
Persimmon PLC
| | | 81,441 | | 2,907,609 |
Prudential PLC
| | | 644,516 | | 12,371,896 |
Reckitt Benckiser Group PLC
| | | 172,058 | | 13,970,072 |
RELX PLC (e)
| | | 299,801 | | 7,567,914 |
| Security Description | | | Shares | | Value |
RELX PLC (e)
| | | 176,822 | | $4,457,919 |
Rentokil Initial PLC
| | | 447,973 | | 2,688,340 |
Rio Tinto PLC
| | | 279,602 | | 16,679,245 |
Rio Tinto, Ltd.
| | | 92,764 | | 6,546,930 |
Rolls-Royce Holdings PLC
| | | 423,929 | | 3,836,853 |
Royal Bank of Scotland Group PLC
| | | 1,206,151 | | 3,839,632 |
RSA Insurance Group PLC
| | | 251,345 | | 1,883,275 |
Sage Group PLC
| | | 279,344 | | 2,771,758 |
Schroders PLC
| | | 29,656 | | 1,309,822 |
Segro PLC REIT
| | | 278,813 | | 3,313,878 |
Severn Trent PLC
| | | 61,952 | | 2,064,085 |
Smith & Nephew PLC
| | | 214,689 | | 5,211,802 |
Smiths Group PLC
| | | 102,649 | | 2,294,056 |
Spirax-Sarco Engineering PLC
| | | 17,903 | | 2,108,442 |
SSE PLC
| | | 255,917 | | 4,876,892 |
St James's Place PLC
| | | 127,093 | | 1,960,628 |
Standard Chartered PLC
| | | 687,994 | | 6,492,960 |
Standard Life Aberdeen PLC
| | | 598,144 | | 2,599,837 |
Taylor Wimpey PLC
| | | 844,503 | | 2,163,674 |
Tesco PLC
| | | 2,396,332 | | 8,101,433 |
Unilever NV
| | | 356,376 | | 20,493,633 |
Unilever PLC
| | | 273,041 | | 15,736,248 |
United Utilities Group PLC
| | | 166,753 | | 2,084,029 |
Vodafone Group PLC
| | | 6,608,161 | | 12,847,614 |
Weir Group PLC
| | | 64,978 | | 1,299,372 |
Whitbread PLC
| | | 32,301 | | 2,073,641 |
Wm Morrison Supermarkets PLC
| | | 586,128 | | 1,551,394 |
WPP PLC
| | | 312,089 | | 4,409,339 |
| | | | | | 544,541,044 |
| UNITED STATES — 0.2% | | | | | |
Carnival PLC
| | | 39,049 | | 1,885,048 |
Ferguson PLC
| | | 57,571 | | 5,224,305 |
QIAGEN NV (b)
| | | 58,454 | | 1,998,620 |
| | | | | | 9,107,973 |
TOTAL COMMON STOCKS
(Cost $3,187,053,700)
| | | | | 3,679,704,743 |
| | | | |
| RIGHTS — 0.0% (c) | | |
| SPAIN — 0.0% (c) | | | |
Repsol SA, (expiring 1/21/20) (b)
(Cost: $166,886)
| | 353,399 | 167,800 |
| SHORT-TERM INVESTMENTS — 1.0% | |
State Street Institutional Liquid Reserves Fund, Premier Class 1.73% (f) (g)
| 18,248,665 | 18,250,489 |
See accompanying notes to financial statements.
13
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
| Security Description | | | Shares | | Value |
State Street Navigator Securities Lending Portfolio II (h) (i)
| | 18,362,622 | | $18,362,622 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $36,612,503)
| | 36,613,111 | |
TOTAL INVESTMENTS — 99.7%
(Cost $3,223,833,089)
| | 3,716,485,654 | |
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3%
| | 9,920,429 | |
NET ASSETS — 100.0%
| | $3,726,406,083 | |
| (a) | All or a portion of the shares of the security are on loan at December 31, 2019. |
| (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 0.9% of net assets as of December 31, 2019, 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 December 31, 2019 are shown in the Affiliate Table below. |
| (g) | The rate shown is the annualized seven-day yield at December 31, 2019. |
| (h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2019 are shown in the Affiliate Table below. |
| (i) | Investment of cash collateral for securities loaned. |
| ADR | American Depositary Receipt |
| REIT | Real Estate Investment Trust |
| SDR | Swedish Depositary Receipt |
At December 31, 2019, open futures contracts were as follows:
| Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value | | Unrealized
Appreciation/
Depreciation |
| Mini MSCI EAFE (long) | | 438 | | 03/20/2020 | | $43,467,462 | | $44,599,350 | | $1,131,888 |
During thefiscal year endedDecember 31, 2019, average notional value related to futures contracts was $42,377,013 or1% of net assets.
The following table summarizes the value of the Portfolio's investments according to the fair value hierarchy as of December 31, 2019.
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | | |
| INVESTMENTS: | | | | | | | | |
Common Stocks
| | $3,679,704,743 | | $— | | $— | | $3,679,704,743 |
Rights
| | 167,800 | | — | | — | | 167,800 |
Short-Term Investments
| | 36,613,111 | | — | | — | | 36,613,111 |
TOTAL INVESTMENTS
| | $3,716,485,654 | | $— | | $— | | $3,716,485,654 |
| OTHER FINANCIAL INSTRUMENTS: | | | | | | | | |
Futures Contracts
| | 1,131,888 | | — | | — | | 1,131,888 |
TOTAL OTHER FINANCIAL INSTRUMENTS:
| | $1,131,888 | | $— | | $— | | $1,131,888 |
TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS
| | $3,717,617,542 | | $— | | $— | | $3,717,617,542 |
See accompanying notes to financial statements.
14
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2019
Affiliate Table
| | Number of
Shares Held
at
12/31/18 | | Value at
12/31/18 | | Cost of
Purchases | | Proceeds
from
Shares Sold | | Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
Depreciation | | Number of
Shares Held
at
12/31/19 | | Value at
12/31/19 | | Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier Class
| — | | $— | | $186,252,357 | | $168,001,339 | | $(1,137) | | $608 | | 18,248,665 | | $18,250,489 | | $165,811 |
State Street Navigator Securities Lending Portfolio II
| 28,671,050 | | 28,671,050 | | 764,185,446 | | 774,493,874 | | — | | — | | 18,362,622 | | 18,362,622 | | 663,068 |
Total
| | | $28,671,050 | | $950,437,803 | | $942,495,213 | | $(1,137) | | $608 | | | | $36,613,111 | | $828,879 |
See accompanying notes to financial statements.
15
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2019
| ASSETS | |
Investments in unaffiliated issuers, at value*
| $3,679,872,543 |
Investments in affiliated issuers, at value
| 36,613,111 |
Total Investments
| 3,716,485,654 |
Foreign currency, at value
| 14,751,616 |
Net cash at broker
| 1,061,254 |
Cash
| 1 |
Receivable from broker — accumulated variation margin on open futures contracts
| 1,133,150 |
Receivable for investments sold
| 25,834 |
Dividends receivable — unaffiliated issuers
| 3,293,909 |
Dividends receivable — affiliated issuers
| 31,687 |
Securities lending income receivable — unaffiliated issuers
| 16,647 |
Securities lending income receivable — affiliated issuers
| 12,365 |
Receivable for foreign taxes recoverable
| 8,418,628 |
Prepaid expenses and other assets
| 8,574 |
TOTAL ASSETS
| 3,745,239,319 |
| LIABILITIES | |
Payable upon return of securities loaned
| 18,362,622 |
Advisory fee payable
| 391,269 |
Custodian fees payable
| 36,201 |
Trustees’ fees and expenses payable
| 694 |
Professional fees payable
| 34,888 |
Printing and postage fees payable
| 7,162 |
Accrued expenses and other liabilities
| 400 |
TOTAL LIABILITIES
| 18,833,236 |
NET ASSETS
| $3,726,406,083 |
| COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
| $3,187,220,586 |
Investments in affiliated issuers
| 36,612,503 |
Total cost of investments
| $3,223,833,089 |
Foreign currency, at cost
| $14,577,680 |
* Includes investments in securities on loan, at value
| $55,686,987 |
See accompanying notes to financial statements.
16
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2019
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $505,493 |
Dividend income — unaffiliated issuers
| 116,574,535 |
Dividend income — affiliated issuers
| 165,811 |
Unaffiliated securities lending income
| 184,726 |
Affiliated securities lending income
| 663,068 |
Foreign taxes withheld
| (9,254,824) |
TOTAL INVESTMENT INCOME (LOSS)
| 108,838,809 |
| EXPENSES | |
Advisory fee
| 4,024,761 |
Administration and custody fees
| 413,414 |
Trustees’ fees and expenses
| 79,020 |
Professional fees and expenses
| 209,431 |
Printing and postage fees
| 21,319 |
Insurance expense
| 17,158 |
Miscellaneous expenses
| 26,648 |
TOTAL EXPENSES
| 4,791,751 |
NET INVESTMENT INCOME (LOSS)
| $104,047,058 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| (20,463,337) |
Investments — affiliated issuers
| (1,137) |
Foreign currency transactions
| 95,501 |
Futures contracts
| 5,964,157 |
Net realized gain (loss)
| (14,404,816) |
| Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
| 556,622,587 |
Investments — affiliated issuers
| 608 |
Foreign currency translations
| 197,073 |
Futures contracts
| 2,242,585 |
Net change in unrealized appreciation/depreciation
| 559,062,853 |
NET REALIZED AND UNREALIZED GAIN (LOSS)
| 544,658,037 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $648,705,095 |
See accompanying notes to financial statements.
17
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/19 | | Year Ended
12/31/18 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $104,047,058 | | $88,501,943 |
Net realized gain (loss)
| (14,404,816) | | (25,894,912) |
Net change in unrealized appreciation/depreciation
| 559,062,853 | | (497,102,616) |
Net increase (decrease) in net assets resulting from operations
| 648,705,095 | | (434,495,585) |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | | | |
Contributions
| 566,042,704 | | 960,880,616 |
Withdrawals
| (297,852,001) | | (572,543,741) |
Net increase (decrease) in net assets from capital transactions
| 268,190,703 | | 388,336,875 |
Net increase (decrease) in net assets during the period
| 916,895,798 | | (46,158,710) |
Net assets at beginning of period
| 2,809,510,285 | | 2,855,668,995 |
NET ASSETS AT END OF PERIOD
| $3,726,406,083 | | $2,809,510,285 |
See accompanying notes to financial statements.
18
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/19 | | Year
Ended
12/31/18 | | Year
Ended
12/31/17 | | For the
Period
04/29/16* -
12/31/16 |
Total return (a)
| 22.11% | | (13.83)% | | 25.25% | | 1.00% |
| Ratios and Supplemental Data: | | | | | | | |
Net assets, end of period (in 000s)
| $3,726,406 | | $2,809,510 | | $2,855,669 | | $1,981,065 |
| Ratios to average net assets: | | | | | | | |
Total expenses
| 0.15% | | 0.15% | | 0.14% | | 0.15%(b) |
Net investment income (loss)
| 3.17% | | 2.96% | | 2.80% | | 2.57%(b) |
Portfolio turnover rate
| 3% | | 14% | | 4% | | 1%(c) |
| * | Commencement of operations. |
| (a) | Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results. |
| (b) | Annualized. |
| (c) | Not annualized. |
See accompanying notes to financial statements.
19
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2019
1. 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 December 31, 2019, 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 is classified as a diversified investment company under the 1940 Act.
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.
2. 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 New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the 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 overseeing the determination of the fair value of investments.
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.
• 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.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
• 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
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
procedures approved by the Board.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of the Portfolio's portfolio securities to no longer reflect their value at the time of the Portfolio's NAV calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
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
• 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 December 31, 2019 is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, or when the information becomes available, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock, if any, 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 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.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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 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.
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 December 31, 2019, if any, are disclosed in the Portfolio's Statement of Assets and Liabilities.
3. 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, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The 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 with the movement of the assets underlying such contracts.
For the period ended December 31, 2019, the Portfolio entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
The following summarizes the value of the Portfolio's derivative instruments as of December 31, 2019, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
| | Asset Derivatives |
| | Interest Rate
Contracts
Risk | | Foreign
Exchange
Contracts
Risk | | Credit
Contracts
Risk | | Equity
Contracts
Risk | | Commodity
Contracts
Risk | | Total |
Futures Contracts
| $— | | $— | | $— | | $1,133,150 | | $— | | $1,133,150 |
| | Net Realized Gain (Loss) |
| | Interest Rate
Contracts
Risk | | Foreign
Exchange
Contracts
Risk | | Credit
Contracts
Risk | | Equity
Contracts
Risk | | Commodity
Contracts
Risk | | Total |
Futures Contracts
| $— | | $— | | $— | | $5,964,157 | | $— | | $5,964,157 |
| | 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
| $— | | $— | | $— | | $2,242,585 | | $— | | $2,242,585 |
4. 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, Custodian, Sub-Administrator and Transfer Agent Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent to the Portfolio. For its services as custodian, sub-administrator, and transfer agent, the Portfolio pays State Street an annual fee. The fees are accrued daily and paid monthly.
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, as amended December 7, 2018.
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 Portfolio II, an affiliated fund, for which SSGA FM serves as investment adviser. See Note 8 for additional information regarding securities lending.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2019, are disclosed in the Schedule of Investments.
5. 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.
6. Investment Transactions
Purchases and sales of investments (excluding in-kind transactions, derivative contracts and short term investments) for the period ended December 31, 2019, were as follows:
| | Purchases | | Sales |
State Street International Developed Equity Index Portfolio
| $507,602,292 | | $96,802,492 |
7. 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 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 (“the IRS”) for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. 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.
As of December 31, 2019, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
| | Tax
Cost | | Gross
Unrealized
Appreciation | | Gross
Unrealized
Depreciation | | Net Unrealized
Appreciation
(Depreciation) |
State Street International Developed Equity Index Portfolio
| $3,285,979,549 | | $668,163,421 | | $236,525,428 | | $431,637,993 |
8. 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)
December 31, 2019
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 December 31, 2019, 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 December 31, 2019:
| Portfolio | | Market Value of
Securities on Loan | | Cash
Collateral
Received | | Non-Cash
Collateral
Received* | | Total
Collateral
Received |
State Street International Developed Equity Index Portfolio
| | $ 55,686,987 | | $ 18,362,622 | | $ 40,093,709 | | $ 58,456,331 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
The following table reflects 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 December 31, 2019:
| | | | | Remaining Contractual Maturity of the Agreements
As of December 31, 2019 |
| Portfolio | | Securities
Lending
Transactions | | Overnight
and
Continuous | | <30 Days | | Between
30 & 90
Days | | >90 Days | | Total
Borrowings | | Gross Amount
of Recognized
Liabilities for
Securities Lending Transactions |
State Street International Developed Equity Index Portfolio
| | Common Stocks | | $18,362,622 | | $— | | $— | | $— | | $18,362,622 | | $18,362,622 |
9. Line of Credit
The Portfolio and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $500 million revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2020 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 December 31, 2019.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2019
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 the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into 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. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of State Street International Developed Equity Index Portfolio and Board of Trustees of State Street Master Funds
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of State Street International Developed Equity Index Portfolio (the “Portfolio”) (one of the portfolios constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and the period from April 29, 2016 (commencement of operations) through December 31, 2016 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the three years in the period then ended and the period from April 29, 2016 (commencement of operations) through December 31, 2016, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financials reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
February 27, 2020
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION
December 31, 2019 (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 a 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 July 1, 2019 to December 31, 2019.
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 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.
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 | | Ending Account
Value | | Expenses Paid
During Period(a) |
State Street International Developed Equity Index Portfolio
| 0.15% | | $1,069.10 | | $0.78 | | $1,024.40 | | $0.77 |
| (a) | Expenses are equal to the Portfolio's annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 365. |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Liquidity Risk Management Program
Pursuant to Rule 22e-4 under the 1940 Act, the Funds have adopted a liquidity risk management program. SSGA FM has been designated by the Board to administer the Funds’ liquidity risk management program. The program’s principal objectives include assessing, managing and periodically reviewing each Fund’s liquidity risk, based on factors specific to the circumstances of the Fund. Liquidity risk is defined as the risk that a Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund. During the fiscal year, SSGA FM provided the Board with a report addressing the operations of the program and assessing its adequacy and effectiveness of implementation.
During the period covered by the liquidity program report to the Board, the program supported each Fund’s ability to honor redemption requests timely and SSGA FM’s management of each Fund’s liquidity profile, including during periods of market volatility and net redemptions. SSGA FM reported that the program operated adequately and that the implementation of the program was effective to manage the Fund’s liquidity risk.
There can be no assurance that the program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
Proxy Voting Policies and Procedures and Records
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio has 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 (toll free) or (ii) on the SEC’s website at www.sec.gov. Information regarding how the Portfolio voted proxies, if any, during the 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
TRUSTEES AND OFFICERS INFORMATION
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
| Trustees | | | | | | | | | | |
| Independent Trustees | | | | | | | | | | |
Michael F. Holland
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1944 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 7/99 | | Chairman, Holland & Company L.L.C. (investment adviser) (1995- present). | | 67 | | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992-2017); Director, The Taiwan Fund, Inc. (2007-2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. |
Patrick J. Riley
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and
Co-
Chairperson
of the Board | | Term: Indefinite
Elected: 1/14 | | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | | 67 | | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). |
John R. Costantino
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | | 67 | | Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director, Muscular Dystrophy Association (since 2019); and Trustee of Gregorian University Foundation (1992 – 2007). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Co-
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 1/14 | | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | | 67 | | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. |
Rina K. Spence
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1948 | | Trustee and Co-
Chairperson of the Audit Committee,
Co-Chairperson of the Nominating Committee and
Co-
Chairperson of the Governance Committee | | Term: Indefinite
Elected: 7/99 | | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | | 67 | | None. |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation During the Past Five Years and Relevant Experience | | Number of Funds in Fund Complex Overseen by Trustee† | | Other
Directorships
Held by Trustee
During the
Past Five Years |
Bruce D. Taber
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1943 | | Trustee and Co-
Chairperson of the Valuation Committee, Co-
Chairperson of the Nominating Committee and Co
-Chairperson of the Governance Committee | | Term: Indefinite
Elected: 1/14 | | Retired; 1999 to 2016, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies). | | 49 | | None. |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and Co-
Chairperson
of the Valuation Committee | | Term: Indefinite
Appointed: 7/16
Elected: 12/18 | | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004-2016). | | 67 | | None. |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and Co-
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | | 67 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 – 2019). |
| Interested Trustees(1) | | | | | | | | | | |
James E. Ross(2)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1965 | | Trustee | | Term: Indefinite
Appointed: 2/07
Elected: 12/18 | | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Executive Vice President, State Street Global Advisors (2012-present); Chief Executive Officer and Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director, State Street Global Markets, LLC (2013 - April 2017); President, SSGA Funds Management, Inc. (2005 – 2012), Principal, State Street Global Advisors (2000-2005). | | 187 | | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee and President | | Term: Indefinite
Elected 12/18 | | President and Director, SSGA FM (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | | 67 | | None. |
| † For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
| (1) The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trusts (“Interested Trustees”). |
| (2) Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
| The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations: |
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
| Officers | | | | | | |
ELLEN M. NEEDHAM
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | President,
Trustee | | Term: Indefinite
Elected: 10/12 | | President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present); Director, State Street Global Advisors Funds Distributors, LLC (May 2017 - present).* |
BRUCE S. ROSENBERG
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1961 | | Treasurer | | Term: Indefinite
Elected: 2/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 - present); Director, Credit Suisse (April 2008 - July 2015). |
ANN M. CARPENTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1966 | | Vice
President
and Deputy
Treasurer | | Term: Indefinite
Elected: 10/12
Term: Indefinite
Elected: 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present) *; Managing Director, State Street Global Advisors (2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
ARTHUR A. JENSEN
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, CT 06905
YOB: 1966 | | Deputy Treasurer | | Term: Indefinite
Elected: 11/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011– July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). |
SUJATA UPRETI
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1974 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). |
DANIEL FOLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1972 | | Assistant
Treasurer | | Term: Indefinite
Elected: 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
DANIEL G. PLOURDE
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1980 | | Assistant
Treasurer | | Term: Indefinite
Elected: 5/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). |
BRIAN HARRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1973 | | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | | Term: Indefinite
Elected: 11/13
Term: Indefinite
Elected: 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013—present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2019 (Unaudited)
Name, Address
and Year of Birth | | Position(s) Held with Trust | | Term of
Office and
Length of
Time Served | | Principal Occupation(s) During the Past 5 Years |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Elected: 8/19 | | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
ANDREW DELORME
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1975 | | Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). |
KEVIN MORRIS
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 – April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1985 | | Assistant Secretary | | Term: Indefinite
Elected: 8/19 | | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
| * Served in various capacities and/or with various affiliated entities during noted time period. |
| Statement of Additional Information (SAI) includes additional information about the Portfolio's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| | | | | | | |
[This Page Intentionally Left Blank]
[This Page Intentionally Left Blank]
Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Ellen M. Needham
Donna M. Rapaccioli
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
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 02199
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.
As of the end of the period covered by this report, State Street Master Funds (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of FormN-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of FormN-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this FormN-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of FormN-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of FormN-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $154,182 and $187,052, respectively.
For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $42,218 and $45,420, respectively.
For the fiscal years ended December 31, 2019 and December 31, 2018, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) werepre-approved by the Audit Committee were approximately $6,939,666 and $6,581,832, respectively.
| | (e)(1) | Audit CommitteePre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect topre-approval procedures:
The Audit Committee shall have the following duties and powers:
| | • | | To pre-approve engagements by a Trust’s independent auditor fornon-audit services to be rendered to the Fund’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
| | • | | To establish, if deemed necessary or appropriate as an alternative to Audit Committeepre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to bepre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated topre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
AlternatePre-Approval Procedure:
| | • | | The Chairperson, or aCo-Chairperson, of the Audit Committee is authorized topre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Anypre-approval decision by the Chairperson, or aCo-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
| | (e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X during the period of time for which such rule was effective.
| | (g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2019 and December 31, 2018, the aggregatenon-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,152,927 and $36,297,003, respectively.
| | (h) | E&Y notified the Trust’s Audit Committee of allnon-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to bepre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this FormN-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities byClosed-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 Rule30a-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 FormN-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. Exhibits.
| | | | | | |
| (a)(1) | | Code of Ethics pursuant to Item 2 of FormN-CSR is attached hereto. | | | | |
| | |
| (a)(2) | | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-2(a) under the 1940 Act are attached hereto. | | | | |
| | |
| (a)(3) | | Not applicable to the Registrant. | | | | |
| | |
| (a)(4) | | Not applicable. | | | | |
| | |
| (b) | | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-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: March 6, 2020 |
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: March 6, 2020 |
| |
| By: | | /s/ Bruce S. Rosenberg |
| | Bruce S. Rosenberg |
| | |
| | | Treasurer (Principal Financial and Accounting Officer) |
