UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09599
STATE STREET MASTER FUNDS
(Exact name of registrant as specified in charter)
One 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 General Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower, 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, 2022
Item 1. Reports to Stockholders.
| | (a) | The Report to Shareholders is attached herewith. |
Annual Report
December 31, 2022
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, 2022
| | | |
| | | % of Net Assets | |
| | Other Notes | 25.7% | |
| | Financial Company Commercial Paper | 21.8 | |
| | Certificates Of Deposit | 17.1 | |
| | Asset Backed Commercial Paper | 13.6 | |
| | Government Agency Repurchase Agreements | 10.4 | |
| | Other Repurchase Agreements | 5.2 | |
| | Treasury Repurchase Agreements | 4.2 | |
| | Other Assets in Excess of Liabilities | 2.0 | |
| | 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, 2022
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 57.7% | |
| | 31 to 60 Days | 16.1 | |
| | 61 to 90 Days | 8.1 | |
| | Over 90 Days | 16.1 | |
| | Total | 98.0% | |
| | Average days to maturity | 8 | |
| | Weighted average life | 36 | |
(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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| ASSET BACKED COMMERCIAL PAPER—13.6% | | | | | | | | | | |
Anglesea Funding LLC
| | 4.230% | | 01/06/2023 | | 01/06/2023 | | $ 200,000,000 | | $ 199,831,612 |
Anglesea Funding LLC
| | 4.340% | | 01/04/2023 | | 01/04/2023 | | 100,000,000 | | 99,939,903 |
Anglesea Funding LLC
| | 4.340% | | 02/01/2023 | | 02/01/2023 | | 100,000,000 | | 99,600,517 |
Antalis SA
| | 4.030% | | 01/06/2023 | | 01/06/2023 | | 100,000,000 | | 99,915,806 |
Antalis SA
| | 4.350% | | 01/24/2023 | | 01/24/2023 | | 60,200,000 | | 60,017,226 |
Barclays Bank PLC, SOFR + 0.55%(a),(b)
| | 4.850% | | 01/02/2023 | | 03/02/2023 | | 50,000,000 | | 50,016,932 |
Barton Capital SA
| | 4.020% | | 01/03/2023 | | 01/03/2023 | | 50,000,000 | | 49,975,967 |
Barton Capital SA
| | 4.250% | | 01/06/2023 | | 01/06/2023 | | 65,000,000 | | 64,945,274 |
Bennington Stark Capital Co. LLC
| | 4.300% | | 01/04/2023 | | 01/04/2023 | | 50,000,000 | | 49,969,952 |
Bennington Stark Capital Co. LLC
| | 4.350% | | 01/03/2023 | | 01/03/2023 | | 150,000,000 | | 149,927,899 |
Britannia Funding Co. LLC
| | 4.350% | | 01/06/2023 | | 01/06/2023 | | 37,300,000 | | 37,268,523 |
Chesham Finance, Ltd.
| | 4.200% | | 01/06/2023 | | 01/06/2023 | | 125,000,000 | | 124,894,757 |
Collateralized Commercial Paper FLEX Co. LLC
| | 4.840% | | 03/02/2023 | | 03/02/2023 | | 95,000,000 | | 94,255,733 |
Gotham Funding Corp.
| | 4.020% | | 01/11/2023 | | 01/11/2023 | | 69,947,000 | | 69,846,253 |
Legacy Capital Co. LLC, SOFR + 0.41%(a),(b)
| | 4.710% | | 01/02/2023 | | 02/15/2023 | | 75,000,000 | | 75,011,300 |
Legacy Capital Co. LLC, SOFR + 0.45%(a),(b)
| | 4.750% | | 01/02/2023 | | 02/21/2023 | | 50,000,000 | | 50,003,733 |
LMA-Americas LLC
| | 3.600% | | 01/12/2023 | | 01/12/2023 | | 33,750,000 | | 33,697,411 |
LMA-Americas LLC
| | 3.600% | | 01/13/2023 | | 01/13/2023 | | 50,000,000 | | 49,916,117 |
Mackinac Funding Co. LLC
| | 4.200% | | 01/11/2023 | | 01/11/2023 | | 100,000,000 | | 99,855,600 |
Versailles Commercial Paper LLC
| | 4.870% | | 04/06/2023 | | 04/06/2023 | | 60,000,000 | | 59,236,125 |
TOTAL ASSET BACKED COMMERCIAL PAPER
| | | | | | | | | | 1,618,126,640 |
| CERTIFICATES OF DEPOSIT—17.1% | | | | | | | | | | |
Bank of Nova Scotia, SOFR + 0.25%(b)
| | 4.550% | | 01/02/2023 | | 02/17/2023 | | 75,000,000 | | 74,996,554 |
Barclays Bank PLC, SOFR + 0.68%(b)
| | 4.980% | | 01/02/2023 | | 05/15/2023 | | 50,000,000 | | 50,043,508 |
Canadian Imperial Bank of Commerce, SOFR + 0.25%(b)
| | 4.550% | | 01/02/2023 | | 02/14/2023 | | 75,000,000 | | 75,000,385 |
Canadian Imperial Bank of Commerce, SOFR + 0.30%(b)
| | 4.600% | | 01/02/2023 | | 01/06/2023 | | 100,000,000 | | 100,004,220 |
Citibank NA
| | 2.670% | | 03/03/2023 | | 03/03/2023 | | 82,500,000 | | 82,217,815 |
Credit Agricole Corporate & Investment Bank
| | 4.580% | | 02/01/2023 | | 02/01/2023 | | 100,000,000 | | 100,022,753 |
Credit Agricole Corporate & Investment Bank SA, SOFR + 0.49%(b)
| | 4.790% | | 01/02/2023 | | 02/03/2023 | | 67,250,000 | | 67,275,484 |
Credit Agricole Corporate & Investment Bank SA, SOFR + 0.68%(b)
| | 4.980% | | 01/02/2023 | | 05/03/2023 | | 50,000,000 | | 50,046,047 |
KBC Bank NV
| | 4.200% | | 01/06/2023 | | 01/06/2023 | | 100,000,000 | | 99,998,018 |
Lloyds Bank Corporate Markets PLC, SOFR + 0.45%(b)
| | 4.750% | | 01/02/2023 | | 04/10/2023 | | 100,000,000 | | 99,980,937 |
Mizuho Bank, Ltd., SOFR + 0.78%(b)
| | 5.080% | | 01/02/2023 | | 04/26/2023 | | 50,000,000 | | 50,084,960 |
MUFG Bank, Ltd., SOFR + 0.34%(b)
| | 4.640% | | 01/02/2023 | | 05/01/2023 | | 100,000,000 | | 99,989,479 |
MUFG Bank, Ltd., SOFR + 0.55%(b)
| | 4.850% | | 01/02/2023 | | 02/14/2023 | | 50,000,000 | | 50,018,288 |
MUFG Bank, Ltd., SOFR + 0.60%(b)
| | 4.900% | | 01/02/2023 | | 03/01/2023 | | 65,000,000 | | 65,023,332 |
MUFG Bank, Ltd., SOFR + 0.60%(b)
| | 4.900% | | 01/02/2023 | | 04/14/2023 | | 50,000,000 | | 50,035,144 |
Norinchukin Bank
| | 4.400% | | 02/02/2023 | | 02/02/2023 | | 100,000,000 | | 99,999,798 |
Norinchukin Bank, SOFR + 0.50%(b)
| | 4.800% | | 01/02/2023 | | 01/17/2023 | | 50,000,000 | | 50,008,413 |
Standard Chartered Bank, SOFR + 0.55%(b)
| | 4.850% | | 01/02/2023 | | 02/06/2023 | | 75,250,000 | | 75,283,090 |
Sumitomo Mitsui Banking Corp., SOFR + 0.40%(b)
| | 4.700% | | 01/02/2023 | | 02/07/2023 | | 100,000,000 | | 99,979,842 |
Sumitomo Mitsui Banking Corp., SOFR + 0.80%(b)
| | 5.100% | | 01/02/2023 | | 05/04/2023 | | 75,000,000 | | 75,116,611 |
Svenska Handelsbanken, SOFR + 0.45%(b)
| | 4.750% | | 01/02/2023 | | 04/04/2023 | | 75,250,000 | | 75,269,729 |
Svenska Handelsbanken, SOFR + 0.61%(b)
| | 4.910% | | 01/02/2023 | | 06/16/2023 | | 50,000,000 | | 50,055,081 |
Svenska Handelsbanken, SOFR + 0.67%(b)
| | 4.970% | | 01/02/2023 | | 04/25/2023 | | 75,000,000 | | 75,070,930 |
Swedbank AB, SOFR + 0.50%(b)
| | 4.800% | | 01/02/2023 | | 02/21/2023 | | 63,250,000 | | 63,269,892 |
Toronto-Dominion Bank
| | 5.040% | | 01/02/2023 | | 08/14/2023 | | 50,000,000 | | 50,097,704 |
Toronto-Dominion Bank, SOFR + 0.48%(b)
| | 4.780% | | 01/02/2023 | | 02/28/2023 | | 80,000,000 | | 80,031,373 |
Westpac Banking Corp., SOFR + 0.20%(b)
| | 4.500% | | 01/02/2023 | | 01/20/2023 | | 125,000,000 | | 125,003,960 |
TOTAL CERTIFICATES OF DEPOSIT
| | | | | | | | | | 2,033,923,347 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| FINANCIAL COMPANY COMMERCIAL PAPER—21.8% | | | | | | | | | | |
Australia & New Zealand Banking Group, Ltd., SOFR + 0.36%(a),(b)
| | 4.660% | | 01/02/2023 | | 03/24/2023 | | $ 53,500,000 | | $ 53,503,656 |
Australia & New Zealand Banking Group, Ltd., SOFR + 0.40%(a),(b)
| | 4.700% | | 01/02/2023 | | 04/05/2023 | | 125,000,000 | | 125,020,201 |
Australia & New Zealand Banking Group, Ltd., SOFR + 0.58%(a),(b)
| | 4.880% | | 01/02/2023 | | 05/16/2023 | | 50,000,000 | | 50,032,919 |
Bank of Montreal, SOFR + 0.70%(b)
| | 5.000% | | 01/02/2023 | | 05/08/2023 | | 53,250,000 | | 53,310,634 |
Barclays Bank PLC
| | 4.520% | | 02/02/2023 | | 02/02/2023 | | 60,000,000 | | 59,752,310 |
CDP Financial, Inc., SOFR + 0.62%(a),(b)
| | 4.920% | | 01/02/2023 | | 05/05/2023 | | 55,750,000 | | 55,797,723 |
Chesham Finance, Ltd., SOFR + 0.15%(b)
| | 4.450% | | 01/02/2023 | | 02/03/2023 | | 150,000,000 | | 150,000,000 |
Commonwealth Bank of Australia, SOFR + 0.38%(a),(b)
| | 4.680% | | 01/02/2023 | | 03/07/2023 | | 100,000,000 | | 100,010,435 |
Commonwealth Bank of Australia, SOFR + 0.40%(a),(b)
| | 4.700% | | 01/02/2023 | | 04/06/2023 | | 100,000,000 | | 100,016,034 |
DBS Bank, Ltd.
| | 4.600% | | 03/01/2023 | | 03/01/2023 | | 75,000,000 | | 74,421,389 |
DBS Bank, Ltd.
| | 4.610% | | 03/13/2023 | | 03/13/2023 | | 50,000,000 | | 49,534,727 |
HSBC Bank PLC, SOFR + 0.25%(a),(b)
| | 4.550% | | 01/02/2023 | | 02/10/2023 | | 27,000,000 | | 27,000,473 |
ING US Funding LLC, SOFR + 0.52%(a),(b)
| | 4.820% | | 01/02/2023 | | 02/24/2023 | | 59,750,000 | | 59,768,419 |
Lloyds Bank PLC, SOFR + 0.50%(b)
| | 4.800% | | 01/02/2023 | | 02/13/2023 | | 68,500,000 | | 68,519,890 |
Macquarie Bank, Ltd., SOFR + 0.40%(a),(b)
| | 4.700% | | 01/02/2023 | | 02/08/2023 | | 65,000,000 | | 65,013,463 |
Macquarie Bank, Ltd., SOFR + 0.45%(a),(b)
| | 4.750% | | 01/02/2023 | | 04/06/2023 | | 90,000,000 | | 90,043,062 |
Macquarie Bank, Ltd., SOFR + 0.55%(a),(b)
| | 4.850% | | 01/02/2023 | | 06/01/2023 | | 68,000,000 | | 68,047,629 |
National Australia Bank, Ltd., SOFR + 0.38%(a),(b)
| | 4.680% | | 01/02/2023 | | 03/06/2023 | | 100,000,000 | | 100,010,302 |
National Australia Bank, Ltd., SOFR + 0.41%(a),(b)
| | 4.710% | | 01/02/2023 | | 04/06/2023 | | 100,000,000 | | 100,020,578 |
National Australia Bank, Ltd., SOFR + 0.47%(a),(b)
| | 4.770% | | 01/02/2023 | | 07/13/2023 | | 50,000,000 | | 50,019,818 |
National Bank of Canada, SOFR + 0.40%(a),(b)
| | 4.700% | | 01/02/2023 | | 03/16/2023 | | 50,000,000 | | 50,014,486 |
Oversea-Chinese Banking Corp., Ltd.
| | 4.610% | | 03/09/2023 | | 03/09/2023 | | 75,000,000 | | 74,327,394 |
Oversea-Chinese Banking Corp., Ltd., SOFR + 0.38%(a),(b)
| | 4.680% | | 01/02/2023 | | 03/07/2023 | | 125,000,000 | | 124,999,219 |
Oversea-Chinese Banking Corp., Ltd., SOFR + 0.52%(a),(b)
| | 4.820% | | 01/02/2023 | | 02/21/2023 | | 100,000,000 | | 100,027,566 |
Royal Bank of Canada, SOFR + 0.45%(a),(b)
| | 4.750% | | 01/02/2023 | | 04/03/2023 | | 125,000,000 | | 125,036,175 |
Skandinaviska Enskilda Banken AB, SOFR + 0.50%(a),(b)
| | 4.800% | | 01/02/2023 | | 02/21/2023 | | 59,500,000 | | 59,518,713 |
Toronto-Dominion Bank, SOFR + 0.50%(b)
| | 4.800% | | 01/02/2023 | | 03/29/2023 | | 50,000,000 | | 50,031,831 |
Toyota Finance Australia, Ltd.
| | 4.070% | | 01/09/2023 | | 01/09/2023 | | 100,000,000 | | 99,879,611 |
UBS AG, SOFR + 0.51%(a),(b)
| | 4.320% | | 01/02/2023 | | 02/17/2023 | | 56,500,000 | | 56,513,324 |
United Overseas Bank, Ltd.
| | 4.250% | | 01/09/2023 | | 01/09/2023 | | 125,000,000 | | 124,849,617 |
Westpac Banking Corp., SOFR + 0.50%(a),(b)
| | 4.800% | | 01/02/2023 | | 03/21/2023 | | 55,000,000 | | 55,021,074 |
Westpac Banking Corp., SOFR + 0.50%(a),(b)
| | 4.800% | | 01/02/2023 | | 03/24/2023 | | 50,000,000 | | 50,019,795 |
Westpac Banking Corp., SOFR + 0.63%(a),(b)
| | 4.930% | | 01/02/2023 | | 06/09/2023 | | 125,000,000 | | 125,147,544 |
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER
| | | | | | | | | | 2,595,230,011 |
| OTHER NOTES—25.7% | | | | | | | | | | |
ABN AMRO Bank NV
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 250,000,000 | | 250,000,000 |
ABN AMRO Bank NV
| | 4.330% | | 01/03/2023 | | 01/03/2023 | | 100,000,000 | | 100,000,000 |
Abu Dhabi Commercial Bank PJSC
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 294,571,000 | | 294,571,000 |
Australia & New Zealand Banking Group, Ltd.
| | 4.320% | | 01/03/2023 | | 01/03/2023 | | 300,000,000 | | 300,000,000 |
Bank of Nova Scotia
| | 4.350% | | 01/03/2023 | | 01/03/2023 | | 175,000,000 | | 175,000,000 |
Bank of Nova Scotia
| | 4.350% | | 01/05/2023 | | 01/05/2023 | | 100,000,000 | | 100,000,000 |
Banque Nationale du Canada
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 100,000,000 | | 100,000,000 |
Canadian Imperial Bank of Commerce
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 120,000,000 | | 120,000,000 |
Citibank NA
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 300,000,000 | | 300,000,000 |
KBC Bank NV
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 200,000,000 | | 200,000,000 |
Mizuho Bank, Ltd.
| | 4.320% | | 01/03/2023 | | 01/03/2023 | | 450,000,000 | | 450,000,000 |
Republic of Poland Government International Bond
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 125,000,000 | | 125,000,000 |
Royal Bank of Canada
| | 4.320% | | 01/03/2023 | | 01/03/2023 | | 350,000,000 | | 350,000,000 |
Skandinaviska Enskilda Banken AB
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 40,000,000 | | 40,000,000 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Toronto-Dominion Bank
| | 4.320% | | 01/04/2023 | | 01/04/2023 | | $ 150,000,000 | | $ 150,000,000 |
TOTAL OTHER NOTES
| | | | | | | | | | 3,054,571,000 |
| GOVERNMENT AGENCY REPURCHASE AGREEMENTS—10.4% | | | | | | | | | | |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal National Mortgage Associations, 2.000% – 2.500% due 08/01/2037 – 08/01/2051, valued at $88,740,000); expected proceeds $87,042,050
| | 4.350% | | 01/03/2023 | | 01/03/2023 | | 87,000,000 | | 87,000,000 |
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Government National Mortgage Associations, 3.000% – 4.500% due 06/20/2046 – 10/20/2052, valued at $147,663,360); expected proceeds $144,837,167
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 144,768,000 | | 144,768,000 |
Agreement with BNP Paribas and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 5.000% – 6.000% due 08/01/2049 – 10/01/2052, Federal Home Loan Mortgage Corporation Strips, 6.500% due 06/01/2031, and Government National Mortgage Association, 0.000% due 06/20/2052, valued at $29,580,329); expected proceeds $29,013,856
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 29,000,000 | | 29,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2022 (collateralized by a Corporate Bond, 3.829% due 01/13/2023, Federal National Mortgage Associations, 1.317% – 5.500% due 06/25/2050 – 12/25/2050 and Government National Mortgage Association, 4.500% due 10/16/2048, valued at $41,191,221); expected proceeds $40,467,000(c)
| | 4.670% | | 01/02/2023 | | 03/23/2023 | | 40,000,000 | | 40,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2022 (collateralized by a U.S. Treasury Notes, 0.250% – 2.875% due 02/15/2025 – 06/30/2025 and Federal National Mortgage Associations, 5.375% due 01/01/2049, valued at $29,791,457); expected proceeds $29,660,411(c)
| | 4.770% | | 01/02/2023 | | 04/21/2023 | | 29,200,000 | | 29,200,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2022 (collateralized by Federal Home Loan Mortgage Corporation, 2.500% due 05/25/2060, Federal National Mortgage Associations, 2.000% – 2.500% due 12/25/2050, and Government National Mortgage Association, 0.000% – 4.500% due 10/16/2048 – 12/20/2072, valued at $45,115,025); expected proceeds $44,490,617(c)
| | 4.770% | | 01/02/2023 | | 04/21/2023 | | 43,800,000 | | 43,800,000 |
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Government National Mortgage Association, 2.000% due 01/20/2051, valued at $7,140,000); expected proceeds $7,003,344
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 7,000,000 | | 7,000,000 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| 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 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 4.000% due 08/01/2027 – 02/01/2045, Federal Home Loan Mortgage Corporation Strip, 4.000% due 06/15/2049, Federal Home Loan Mortgage Associations, 1.500% – 7.500% due 03/01/2027 – 03/01/2061, and Government National Mortgage Associations, 3.000% – 6.500% due 06/20/2040 – 12/20/2052, valued at $880,260,000); expected proceeds $863,412,322
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | $ 863,000,000 | | $ 863,000,000 |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS
| | | | | | | | | | 1,243,768,000 |
| TREASURY REPURCHASE AGREEMENTS—4.2% | | | | | | | | | | |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Inflation Index Note, 0.125% due 01/15/2032, and U.S. Treasury Notes, 0.500% – 1.875% due 08/31/2027 – 02/15/2032, valued at $510,000,027); expected proceeds $500,227,778
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 500,000,000 | | 500,000,000 |
| OTHER REPURCHASE AGREEMENTS—5.2% | | | | | | | | | | |
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 04/07/2021 (collateralized by various Corporate Bonds, 0.500% – 8.375% due 05/15/2023 – 11/15/2054, valued at $110,533,087); expected proceeds $107,884,583
| | 4.480% | | 01/02/2023 | | 01/02/2023 | | 100,000,000 | | 100,000,000 |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by various Corporate Bonds, 3.400% – 11.750% due 06/01/2024 – 03/01/2050, valued at $143,750,143); expected proceeds $125,977,083(c)
| | 4.690% | | 01/02/2023 | | 02/28/2023 | | 125,000,000 | | 125,000,000 |
Agreement with BNP Paribas and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by various Common Stocks, valued at $30,797,081); expected proceeds $28,013,907
| | 4.470% | | 01/03/2023 | | 01/03/2023 | | 28,000,000 | | 28,000,000 |
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/27/2022 (collateralized by Government National Mortgage Association, 1.500% – 4.500%, due 02/20/2051 – 09/20/2052 , U.S. Treasury Notes, 2.000% – 2.375%, due 08/15/2024 – 02/15/2025, and various Corporate Bonds, 1.486% – 5.900%, due 05/02/2023 – 12/31/2042, valued at $82,453,936); expected proceeds $80,068,133
| | 4.380% | | 01/03/2023 | | 01/03/2023 | | 80,000,000 | | 80,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/23/2022 (collateralized by various Common Stocks, valued at $108,000,000); expected proceeds $101,530,472(c)
| | 4.630% | | 01/02/2023 | | 04/21/2023 | | 100,000,000 | | 100,000,000 |
Agreement with JP Morgan Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by various Common Stocks, valued at $43,200,000); expected proceeds $40,612,189(c)
| | 4.630% | | 01/02/2023 | | 04/28/2023 | | 40,000,000 | | 40,000,000 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by various Corporate Bonds, 1.322% – 7.750% due 03/15/2024 – 08/08/2062 valued at $156,072,557); expected proceeds $142,069,264
| | 4.390% | | 01/03/2023 | | 01/03/2023 | | $ 142,000,000 | | $ 142,000,000 |
TOTAL OTHER REPURCHASE AGREEMENTS
| | | | | | | | | | 615,000,000 |
TOTAL INVESTMENTS(d) –98.0%
(Cost $11,660,318,378)
| | | | | | | | | | 11,660,618,998 |
Other Assets in Excess of Liabilities —2.0%
| | | | | | | | | | 239,677,404 |
NET ASSETS –100.0%
| | | | | | | | | | $ 11,900,296,402 |
| (a) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 16.5% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (b) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. 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 $378,000,000 or 3.2% of net assets as of December 31, 2022. |
| (d) | Also represents the cost for federal tax purposes. |
| SOFR | Secured Overnight Financing Rate |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2022.
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
| Assets: | | | | | | | | |
| Investments: | | | | | | | | |
Asset Backed Commercial Paper
| | $— | | $ 1,618,126,640 | | $— | | $ 1,618,126,640 |
Certificates Of Deposit
| | — | | 2,033,923,347 | | — | | 2,033,923,347 |
Financial Company Commercial Paper
| | — | | 2,595,230,011 | | — | | 2,595,230,011 |
Other Notes
| | — | | 3,054,571,000 | | — | | 3,054,571,000 |
Government Agency Repurchase Agreements
| | — | | 1,243,768,000 | | — | | 1,243,768,000 |
Treasury Repurchase Agreements
| | — | | 500,000,000 | | — | | 500,000,000 |
Other Repurchase Agreements
| | — | | 615,000,000 | | — | | 615,000,000 |
Total Investments
| | $— | | $11,660,618,998 | | $— | | $11,660,618,998 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2022
| ASSETS | |
Investments in unaffiliated issuers, at value
| $ 9,301,850,998 |
Repurchase agreements, at value
| 2,358,768,000 |
Total Investments
| 11,660,618,998 |
Cash
| 220,064,334 |
Interest receivable — unaffiliated issuers
| 20,686,164 |
Prepaid expenses and other assets
| 2,632 |
TOTAL ASSETS
| 11,901,372,128 |
| LIABILITIES | |
Advisory and administrator fee payable
| 565,604 |
Custody, sub-administration and transfer agent fees payable
| 435,836 |
Trustees’ fees and expenses payable
| 637 |
Professional fees payable
| 45,321 |
Printing fees payable
| 24,269 |
Accrued expenses and other liabilities
| 4,059 |
TOTAL LIABILITIES
| 1,075,726 |
NET ASSETS
| $11,900,296,402 |
| COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
| $ 9,301,550,378 |
Repurchase agreements
| 2,358,768,000 |
Total cost of investments
| $11,660,318,378 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2022
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $221,592,879 |
| EXPENSES | |
Advisory and administrator fee
| 6,327,552 |
Custodian, sub-administrator and transfer agent fees
| 1,381,453 |
Trustees’ fees and expenses
| 95,468 |
Professional fees and expenses
| 129,589 |
Printing and postage fees
| 20,806 |
Insurance expense
| 4,671 |
Miscellaneous expenses
| 35,142 |
TOTAL EXPENSES
| 7,994,681 |
NET INVESTMENT INCOME (LOSS)
| $213,598,198 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| 316,326 |
| Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
| 828,132 |
NET REALIZED AND UNREALIZED GAIN (LOSS)
| 1,144,458 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $214,742,656 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/22 | | Year Ended
12/31/21 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $ 213,598,198 | | $ 16,569,254 |
Net realized gain (loss)
| 316,326 | | 328,885 |
Net change in unrealized appreciation/depreciation
| 828,132 | | (1,003,186) |
Net increase (decrease) in net assets resulting from operations
| 214,742,656 | | 15,894,953 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 40,261,574,037 | | 38,249,431,278 |
Withdrawals
| (41,512,296,729) | | (41,456,603,607) |
Net increase (decrease) in net assets from capital transactions
| (1,250,722,692) | | (3,207,172,329) |
Net increase (decrease) in net assets during the period
| (1,035,980,036) | | (3,191,277,376) |
Net assets at beginning of period
| 12,936,276,438 | | 16,127,553,814 |
NET ASSETS AT END OF PERIOD
| $ 11,900,296,402 | | $ 12,936,276,438 |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/22 | | Year
Ended
12/31/21 | | Year
Ended
12/31/20 | | Year
Ended
12/31/19 | | Year
Ended
12/31/18 |
Total return (a)
| 1.80% | | 0.10% | | 0.77% | | 2.38% | | 2.06% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $11,900,296 | | $12,936,276 | | $16,127,554 | | $21,626,159 | | $11,196,385 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.06% | | 0.07% | | 0.07% | | 0.07% | | 0.07% |
Net investment income (loss)
| 1.69% | | 0.11% | | 0.72% | | 2.29% | | 2.05% |
| (a) | Results represent past performance and are not indicative of future results. |
See accompanying notes to financial statements.
10
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
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, 2022, the Trust consists of five (5) 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 interest 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, 2022
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, 2022, the Portfolio had invested in repurchase agreements with the gross values of $2,358,768,000 and associated collateral equal to $2,454,288,223.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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.
Each of the Adviser and State Street Global Advisors Funds Distributors, LLC (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for the Portfolio to the extent necessary to maintain a certain minimum net yield, which may vary from time to time, in SSGA FM’s sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a “Voluntary Reduction”). The Adviser may, in its sole discretion, implement the Voluntary Reduction for some series of the Trust and not others. The amount of any Voluntary Reduction may differ between such series in the Adviser's sole discretion. The business objectives of the Adviser and its affiliates and their broader relationships with certain Portfolio shareholders, Financial Intermediaries or distribution channels could give the Adviser an incentive to implement the Voluntary Reduction for some series of the Trust and not others, or to implement it to a greater degree for some series or share classes than others. Under an agreement with the Service Providers relating to the Voluntary Reduction, the Portfolio has agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Portfolio.
A reimbursement to the Service Provider would increase fund expenses and may negatively impact the Portfolio's yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Portfolio will be able to avoid a negative yield.
There were no reimbursements for the period ended December 31, 2022.
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.
Due to Custodian
In certain circumstances, the Portfolio may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to custodian amount if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Portfolio.
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.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
As of December 31, 2022, 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
| $11,660,318,378 | | $1,543,276 | | $1,242,656 | | $300,620 |
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.
The Portfolio's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on the Portfolio and its investments.
8. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
9. 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 series constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2022, 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 series constituting State Street Master Funds) at December 31, 2022, 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, 2022, 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 24, 2023
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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
| 0.06% | | $1,015.80 | | $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. |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Proxy Voting Policies and Procedures and Records
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the Portfolio's proxy voting policies and procedures that are used by the Portfolio's Adviser to vote proxies relating to Portfolio's portfolio of securities are available (i) without charge, upon request, by calling 1-877-521-4083 (toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Portfolio voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Portfolio's website at www.ssga.com.
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, 2022 (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(1)
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). | | 55 | | 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 | | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisors Europe Limited (investment company) (1998 - present); Independent Director, SSGA Liquidity PLC (formerly, SSGA Cash Management Fund PLC) (1998 - present); Independent Director, SSGA Fixed Income PLC (January 2009 - present); Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | | 55 | | Board Director and Chairman, SPDR Europe I PLC 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
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | | 55 | | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | | Term: Indefinite
Elected: 1/14 | | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | | 55 | | Chairman and Board Member (December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member (2001 - 2017), Woodruff Arts Center; Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
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). | | 55 | | None. |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | | 55 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | | 55 | | Director, Manning & Napier Fund Inc. (2021 - present). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | | 55 | | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds PLC. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
| Interested Trustee(2) | | | | | |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and President | Term: Indefinite
Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 55 | Board Director, SSGA SPDR ETFs Europe I PLC (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II PLC (May 2020 - present). |
| † 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) Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, 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, 2022 (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
Served: Since 10/12 | | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, 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
Served: Since 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
Served: Since 10/12
Term: Indefinite
Served: Since 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Served: Since 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Served: Since 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
Served: Since 9/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | | Assistant
Treasurer | | Term: Indefinite
Served: Since 11/20 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
JOHN BETTENCOURT
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
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: Indifinite
Served: Since 11/13
Term: Indefinite
Served: Since 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Served: Since 8/19 | | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
STATE STREET MASTER FUNDS
STATE STREET MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1974 | | Secretary | | Term: Indefinite
Served: Since 9/20 | | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston,MA 02210
YOB:1985 | | Assistant Secretary | | Term: Indefinite
Served: Since 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. |
| The Statement of Additional Information (SAI) includes additional information about the Trust'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
Margaret McLaughlin
Ellen M. Needham
George M. Pereira
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
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, 2022
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, 2022
| | | |
| | | % of Net Assets | |
| | Treasury Repurchase Agreements | 63.7% | |
| | Government Agency Debt | 13.0 | |
| | Treasury Debt | 10.7 | |
| | Government Agency Repurchase Agreements | 5.5 | |
| | Other Assets in Excess of Liabilities | 7.1 | |
| | 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, 2022
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 71.0% | |
| | 31 to 60 Days | 5.7 | |
| | 61 to 90 Days | 1.6 | |
| | Over 90 Days | 14.6 | |
| | Total | 92.9% | |
| | Average days to maturity | 12 | |
| | Weighted average life | 47 | |
(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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| GOVERNMENT AGENCY DEBT—13.0% | | | | | | | | | | |
Federal Farm Credit Banks Funding Corp.
| | 2.158% | | 05/25/2023 | | 05/25/2023 | | $ 299,500,000 | | $ 299,433,370 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.02% (a)
| | 4.318% | | 12/31/2022 | | 07/14/2023 | | 162,800,000 | | 162,797,393 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.02% (a)
| | 4.320% | | 12/31/2022 | | 03/14/2023 | | 522,169,000 | | 522,156,633 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.02% (a)
| | 4.320% | | 12/31/2022 | | 08/21/2023 | | 379,450,000 | | 379,445,156 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.03% (a)
| | 4.325% | | 12/31/2022 | | 01/12/2023 | | 309,250,000 | | 309,249,614 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% (a)
| | 4.345% | | 12/31/2022 | | 05/24/2024 | | 178,700,000 | | 178,700,000 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% (a)
| | 4.345% | | 12/31/2022 | | 06/03/2024 | | 124,800,000 | | 124,800,000 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.05% (a)
| | 4.350% | | 12/31/2022 | | 05/09/2024 | | 135,000,000 | | 135,000,000 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.06% (a)
| | 4.355% | | 12/31/2022 | | 02/09/2023 | | 54,700,000 | | 54,700,000 |
Federal Farm Credit Banks Funding Corp., SOFR + 0.06% (a)
| | 4.360% | | 12/31/2022 | | 05/13/2024 | | 49,920,000 | | 49,928,500 |
Federal Farm Credit Banks Funding Corp., FFR + 0.06% (a)
| | 4.385% | | 12/31/2022 | | 01/19/2023 | | 150,000,000 | | 149,999,668 |
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03% (a)
| | 4.423% | | 12/31/2022 | | 07/13/2023 | | 75,000,000 | | 74,998,008 |
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03% (a)
| | 4.426% | | 12/31/2022 | | 10/12/2023 | | 275,000,000 | | 274,990,226 |
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.03% (a)
| | 4.427% | | 12/31/2022 | | 04/03/2023 | | 226,046,000 | | 226,046,000 |
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.04% (a)
| | 4.433% | | 12/31/2022 | | 05/03/2023 | | 318,080,000 | | 318,080,000 |
Federal Farm Credit Banks Funding Corp., 3 Month USD MMY + 0.04% (a)
| | 4.433% | | 12/31/2022 | | 11/01/2023 | | 300,000,000 | | 299,989,928 |
Federal Home Loan Bank
| | 2.238% | | 05/18/2023 | | 05/18/2023 | | 55,980,000 | | 55,957,156 |
Federal Home Loan Bank (b)
| | 3.026% | | 08/10/2023 | | 08/10/2023 | | 685,000,000 | | 685,000,000 |
Federal Home Loan Bank, SOFR + 0.04% (a)
| | 4.340% | | 12/31/2022 | | 01/26/2023 | | 400,000,000 | | 400,000,000 |
Federal Home Loan Bank, SOFR + 0.04% (a)
| | 4.340% | | 12/31/2022 | | 02/13/2023 | | 433,580,000 | | 433,580,000 |
Federal Home Loan Bank, SOFR + 0.05% (a)
| | 4.350% | | 12/31/2022 | | 04/03/2023 | | 652,050,000 | | 652,050,000 |
Federal Home Loan Bank, SOFR + 0.06% (a)
| | 4.360% | | 12/31/2022 | | 07/27/2023 | | 114,000,000 | | 114,000,000 |
Federal Home Loan Bank, SOFR + 0.07% (a)
| | 4.370% | | 12/31/2022 | | 03/27/2023 | | 501,500,000 | | 501,500,000 |
Federal Home Loan Bank Discount Notes
| | 1.200% | | 02/23/2023 | | 02/23/2023 | | 449,600,000 | | 448,835,680 |
Federal Home Loan Bank Discount Notes
| | 1.980% | | 04/20/2023 | | 04/20/2023 | | 431,549,000 | | 429,009,334 |
Federal Home Loan Bank Discount Notes
| | 2.100% | | 05/12/2023 | | 05/12/2023 | | 507,800,000 | | 503,855,352 |
Federal Home Loan Bank Discount Notes
| | 2.160% | | 05/18/2023 | | 05/18/2023 | | 147,700,000 | | 146,485,780 |
Federal Home Loan Bank Discount Notes
| | 2.600% | | 01/11/2023 | | 01/11/2023 | | 755,883,000 | | 755,446,268 |
Federal Home Loan Bank Discount Notes
| | 3.000% | | 02/01/2023 | | 02/01/2023 | | 17,130,000 | | 17,088,603 |
Federal Home Loan Bank Discount Notes
| | 3.060% | | 06/20/2023 | | 06/20/2023 | | 355,850,000 | | 350,764,306 |
Federal Home Loan Bank Discount Notes
| | 3.085% | | 07/13/2023 | | 07/13/2023 | | 690,750,000 | | 679,436,214 |
Federal Home Loan Bank Discount Notes
| | 3.120% | | 01/26/2023 | | 01/26/2023 | | 706,900,000 | | 705,490,161 |
Federal Home Loan Bank Discount Notes
| | 3.130% | | 02/28/2023 | | 02/28/2023 | | 443,530,000 | | 441,370,502 |
Federal Home Loan Bank Discount Notes
| | 3.155% | | 08/11/2023 | | 08/11/2023 | | 277,600,000 | | 272,247,718 |
Federal Home Loan Bank Discount Notes
| | 3.340% | | 02/22/2023 | | 02/22/2023 | | 400,000,000 | | 398,144,444 |
Federal Home Loan Bank Discount Notes
| | 3.405% | | 02/15/2023 | | 02/15/2023 | | 162,000,000 | | 161,341,133 |
Federal Home Loan Mortgage Corp.
| | 3.200% | | 06/26/2023 | | 06/26/2023 | | 202,425,000 | | 199,636,685 |
TOTAL GOVERNMENT AGENCY DEBT
| | | | | | | | | | 11,911,553,832 |
| TREASURY DEBT—10.7% | | | | | | | | | | |
U.S. Treasury Bill
| | 1.861% | | 04/20/2023 | | 04/20/2023 | | 1,387,000 | | 1,379,330 |
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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
U.S. Treasury Bill
| | 2.100% | | 05/18/2023 | | 05/18/2023 | | $ 10,400,000 | | $ 10,318,100 |
U.S. Treasury Bill
| | 2.900% | | 01/26/2023 | | 01/26/2023 | | 352,400,000 | | 351,736,950 |
U.S. Treasury Bill
| | 2.930% | | 01/10/2023 | | 01/10/2023 | | 188,800,000 | | 188,692,436 |
U.S. Treasury Bill
| | 3.035% | | 07/13/2023 | | 07/13/2023 | | 4,870,000 | | 4,791,581 |
U.S. Treasury Bill
| | 3.085% | | 08/10/2023 | | 08/10/2023 | | 48,200,000 | | 47,295,427 |
U.S. Treasury Bill
| | 3.110% | | 02/23/2023 | | 02/23/2023 | | 30,080,000 | | 29,947,473 |
U.S. Treasury Bill
| | 3.156% | | 02/16/2023 | | 02/16/2023 | | 890,000 | | 886,567 |
U.S. Treasury Bill
| | 3.195% | | 02/14/2023 | | 02/14/2023 | | 376,200,000 | | 374,782,988 |
U.S. Treasury Notes
| | 1.447% | | 03/31/2023 | | 03/31/2023 | | 450,360,000 | | 448,956,479 |
U.S. Treasury Notes, 3 Month USD MMY - 0.08% (a)
| | 4.323% | | 12/31/2022 | | 04/30/2024 | | 2,508,100,000 | | 2,505,836,491 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (a)
| | 4.372% | | 01/02/2023 | | 10/31/2023 | | 714,600,000 | | 714,676,831 |
U.S. Treasury Notes, 3 Month USD MMY - 0.02% (a)
| | 4.383% | | 12/31/2022 | | 01/31/2024 | | 40,300,000 | | 40,315,328 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (a)
| | 4.427% | | 12/31/2022 | | 07/31/2023 | | 1,287,605,000 | | 1,287,625,203 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (a)
| | 4.432% | | 12/31/2022 | | 04/30/2023 | | 1,440,672,000 | | 1,440,707,837 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (a)
| | 4.435% | | 12/31/2022 | | 07/31/2024 | | 699,000,000 | | 698,398,742 |
U.S. Treasury Notes, 3 Month USD MMY + 0.05% (a)
| | 4.447% | | 12/31/2022 | | 01/31/2023 | | 1,629,182,000 | | 1,629,215,180 |
TOTAL TREASURY DEBT
| | | | | | | | | | 9,775,562,943 |
| GOVERNMENT AGENCY REPURCHASE AGREEMENTS—5.5% | | | | | | | | | | |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 6.000% due 09/01/2042 – 11/01/2052, and Federal National Mortgage Associations, 3.000% – 6.000% due 02/01/2040 – 11/01/2052, valued at $204,000,000); expected proceeds $200,095,556
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 200,000,000 | | 200,000,000 |
Agreement with BNP Paribas and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 3.500% due 05/25/2051, and Government National Mortgage Associations, 1.673% – 7.514% due 02/15/2026 – 12/20/2052, valued at $4,120,000); expected proceeds $4,001,911
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 4,000,000 | | 4,000,000 |
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/29/2022 (collateralized by Government National Mortgage Associations, 0.000% – 15.746% due 10/20/2044 – 02/20/2072, valued at $757,050,000); expected proceeds $735,614,542
| | 4.300% | | 12/29/2022 | | 01/05/2023 | | 735,000,000 | | 735,000,000 |
Agreement with HSBC Securities USA, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal National Mortgage Association, 4.500% due 07/01/2052, valued at $3,060,001); expected proceeds $3,001,433
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 3,000,000 | | 3,000,000 |
Agreement with ING Financial Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/15/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.500% due 11/01/2029 – 11/01/2052, Federal National Mortgage Associations, 2.000% – 6.500% due 06/01/2027 – 05/01/2058, and Government National Mortgage Associations, 2.000% – 3.500% due 05/20/2049 – 05/20/2051, valued at $474,300,001); expected proceeds $467,727,871 (c)
| | 4.310% | | 12/15/2022 | | 02/02/2023 | | 465,000,000 | | 465,000,000 |
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, 2022
| 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 12/30/2022 (collateralized by Federal National Mortgage Associations, 1.000% – 5.000% due 10/01/2050 – 12/01/2052, valued at $804,780,000); expected proceeds $789,376,967
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | $ 789,000,000 | | $ 789,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 5.000% due 02/01/2037 – 06/01/2052, Federal National Mortgage Associations, 2.000% – 6.500% due 09/01/2036 – 12/01/2052, Government National Mortgage Associations, 3.000% – 6.500% due 09/20/2039 – 06/20/2051, U.S. Treasury Bonds, 2.000% – 3.375% due 02/15/2042 – 02/15/2050, U.S. Treasury Inflation Index Bond, 2.500% due 01/15/2029, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2030 – 07/15/2031, and U.S. Treasury Notes, 1.250% – 3.125% due 04/30/2024 – 05/15/2029, valued at $765,000,007); expected proceeds $754,399,792 (c)
| | 4.310% | | 12/15/2022 | | 02/02/2023 | | 750,000,000 | | 750,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 4.500% due 12/01/2031 – 06/01/2052, Federal National Mortgage Associations, 2.000% – 6.000% due 06/01/2036 – 12/01/2052, U.S. Treasury Bond, 2.500% due 02/15/2046, U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044, U.S. Treasury Inflation Index Notes, 0.125% due 01/15/2030 – 07/15/2031, and U.S. Treasury Notes, 0.250% – 2.875% due 01/31/2024 – 05/15/2030, valued at $255,000,000); expected proceeds $250,119,444
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 250,000,000 | | 250,000,000 |
Agreement with Royal Bank of Canada and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Bills, 0.000% due 01/05/2023 – 12/28/2023, U.S. Treasury Notes, 4.432% – 4.477% due 04/30/2023 – 10/31/2024, and Federal National Mortgage Associations, 3.500% – 4.500% due 02/01/2043 – 06/01/2052, valued at $40,800,065); expected proceeds $40,019,111
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 40,000,000 | | 40,000,000 |
Agreement with Santander and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.000% due 12/01/2029 – 10/01/2052, and Federal National Mortgage Associations, 2.000% – 6.500% due 01/01/2030 – 09/01/2057, valued at $255,000,000); expected proceeds $250,119,583
| | 4.305% | | 12/30/2022 | | 01/03/2023 | | 250,000,000 | | 250,000,000 |
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/29/2022 (collateralized by Federal National Mortgage Associations, 1.500% – 5.500% due 10/01/2036 – 01/01/2060, valued at $510,000,000); expected proceeds $500,418,056
| | 4.300% | | 12/29/2022 | | 01/05/2023 | | 500,000,000 | | 500,000,000 |
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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 4.500% – 5.318% due 08/15/2038 – 01/01/2049, Federal National Mortgage Associations, 5.089% – 5.389% due 05/25/2023 – 11/25/2039, and Government National Mortgage Associations, 1.750% – 4.876% due 11/26/23 – 09/20/2047, valued at $102,256,945); expected proceeds $100,047,778
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | $ 100,000,000 | | $ 100,000,000 |
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 0.250% – 6.750% due 04/20/2023 – 03/15/2031, valued at $45,901,044); expected proceeds $45,021,500
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 45,000,000 | | 45,000,000 |
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by Federal Home Loan Mortgage Corporations, 2.000% – 8.000% due 02/01/2023 – 012/01/2052, Federal National Mortgage Associations, 2.000% – 9.000% due 01/25/2023 – 04/01/2052, and Government National Mortgage Associations, 1.500% – 9.500% due 02/15/2023 – 08/20/2052, valued at $51,000,001); expected proceeds $50,023,889
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 50,000,000 | | 50,000,000 |
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury notes, 0.500% – 1.250% due 02/28/2026 – 04/30/2028, Federal Home Loan Mortgage Corporations, 1.788% – 5.029% due 10/01/2027 – 10/01/2052, and Federal National Mortgage Associations, 1.583% – 6.500% due 02/01/2025 – 11/01/2052, valued at $816,390,774); expected proceeds $800,383,111
| | 4.310% | | 12/30/2022 | | 01/03/2023 | | 800,000,000 | | 800,000,000 |
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS
| | | | | | | | | | 4,981,000,000 |
| TREASURY REPURCHASE AGREEMENTS—63.7% | | | | | | | | | | |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Notes, 1.125% – 3.250% due 08/31/2028 – 06/30/2029, valued at $346,800,071); expected proceeds $340,162,444
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 340,000,000 | | 340,000,000 |
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 2.125% due 05/15/2023 – 02/29/2028, valued at $41,219,684,513); expected proceeds $41,219,684,444
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 41,200,000,000 | | 41,200,000,000 |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.250% – 3.250% due 10/31/2025 – 03/31/2028, valued at $642,600,027); expected proceeds $630,301,000
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 630,000,000 | | 630,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.625% - 3.375% due 02/28/2027 – 05/15/2052, valued at $13,825,425,993); expected proceeds $13,500,000,564
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 13,500,000,564 | | 13,500,000,564 |
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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with Fixed Income Clearing Corp., dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.750% – 4.750% due 03/31/2026 – 11/15/2048, valued at $1,380,568,182); expected proceeds $1,350,000,000
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | $ 1,350,000,000 | | $ 1,350,000,000 |
Agreement with Mitsubishi UFJ Securities, Inc., dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.125% - 4.125% due 12/31/2023 – 05/15/2031, valued at $637,328,854); expected proceeds $625,000,000
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 625,000,000 | | 625,000,000 |
Agreement with National Australia Bank, Ltd., dated 12/30/2022 (collateralized by a U.S. Treasury Note, 1.000% due 07/31/2028, valued at $351,672,196); expected proceeds $345,000,000
| | 4.300% | | 12/30/2022 | | 01/03/2023 | | 345,000,000 | | 345,000,000 |
Agreement with Prudential Insurance Co., dated 12/30/2022 (collateralized by a U.S. Treasury Note, 0.000% - 3.750%, due 11/15/2029 – 02/15/2045, valued at $170,273,198); expected proceeds $166,349,875
| | 4.310% | | 12/30/2022 | | 01/03/2023 | | 166,349,875 | | 166,349,875 |
TOTAL TREASURY REPURCHASE AGREEMENTS
| | | | | | | | | | 58,156,350,439 |
TOTAL INVESTMENTS –92.9% (d)(e)
| | | | | | | | | | 84,824,467,214 |
Other Assets in Excess of Liabilities —7.1%
| | | | | | | | | | 6,514,138,481 |
NET ASSETS –100.0%
| | | | | | | | | | $ 91,338,605,695 |
| (a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (b) | Step-up bond - Coupon rate increases in increments to maturity. Rate shown as of December 31, 2022. Maturity date shown is the final maturity. |
| (c) | Illiquid security. These securities represent $1,215,000,000 or 1.3% of net assets as of December 31, 2022. |
| (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). |
| SOFR | Secured Overnight Financing Rate |
| MMY | Money Market Yield |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2022
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $ 21,687,116,775 |
Repurchase agreements, at value and amortized cost
| 63,137,350,439 |
Total Investments
| 84,824,467,214 |
Cash
| 6,387,606,139 |
Interest receivable — unaffiliated issuers
| 134,303,787 |
Prepaid expenses and other assets
| 21,015 |
TOTAL ASSETS
| 91,346,398,155 |
| LIABILITIES | |
Advisory and administrator fee payable
| 4,153,851 |
Custody, sub-administration and transfer agent fees payable
| 3,405,503 |
Trustees’ fees and expenses payable
| 6,571 |
Professional fees payable
| 171,671 |
Printing fees payable
| 31,697 |
Accrued expenses and other liabilities
| 23,167 |
TOTAL LIABILITIES
| 7,792,460 |
NET ASSETS
| $91,338,605,695 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2022
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| 1,735,197,187 |
| EXPENSES | |
Advisory and administrator fee
| 49,076,090 |
Custodian, sub-administrator and transfer agent fees
| 10,162,451 |
Trustees’ fees and expenses
| 574,907 |
Professional fees and expenses
| 832,386 |
Printing and postage fees
| 76,368 |
Insurance expense
| 32,729 |
Miscellaneous expenses
| 128,817 |
TOTAL EXPENSES
| 60,883,748 |
NET INVESTMENT INCOME (LOSS)
| $1,674,313,439 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| 14,224 |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $1,674,327,663 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/22 | | Year Ended
12/31/21 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $ 1,674,313,439 | | $ 8,581,856 |
Net realized gain (loss)
| 14,224 | | 75,720 |
Net increase (decrease) in net assets resulting from operations
| 1,674,327,663 | | 8,657,576 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 332,658,752,241 | | 228,927,239,917 |
Withdrawals
| (340,382,697,082) | | (211,159,621,770) |
Net increase (decrease) in net assets from capital transactions
| (7,723,944,841) | | 17,767,618,147 |
Net increase (decrease) in net assets during the period
| (6,049,617,178) | | 17,776,275,723 |
Net assets at beginning of period
| 97,388,222,873 | | 79,611,947,150 |
NET ASSETS AT END OF PERIOD
| $ 91,338,605,695 | | $ 97,388,222,873 |
See accompanying notes to financial statements.
9
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
12/31/22 | | Year
Ended
12/31/21 | | Year
Ended
12/31/20 | | Year
Ended
12/31/19 | | Year
Ended
12/31/18 |
Total return (a)
| 1.63% | | 0.01% | | 0.45% | | 2.20% | | 1.81% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $91,338,606 | | $97,388,223 | | $79,611,947 | | $60,887,784 | | $41,221,782 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.06% | | 0.06% | | 0.06% | | 0.07% | | 0.07% |
Net investment income (loss)
| 1.71% | | 0.01% | | 0.39% | | 2.13% | | 1.78% |
| (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.
10
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
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, 2022, the Trust consists of five (5) 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 on 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 asset or liability (such as exchange rates, financing terms, interest
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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, 2022, the Portfolio had invested in repurchase agreements with the gross values of $63,137,350,439 and associated collateral equal to $63,663,011,872.
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.
Each of the Adviser and State Street Global Advisors Funds Distributors, LLC (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for a Portfolio to the extent necessary to maintain a certain minimum net yield, which may vary from time to time, in SSGA FM's sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a “Voluntary Reduction”). The Adviser may, in its sole discretion, implement the Voluntary Reduction for some series of the Trust and not others. The amount of any Voluntary Reduction may differ between such series in the Adviser's sole discretion. The business objectives of the Adviser and its affiliates and their broader relationships with certain Portfolio shareholders, Financial Intermediaries or distribution channels could give the Adviser an incentive to implement
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
the Voluntary Reduction for some series of the Trust and not others, or to implement it to a greater degree for some series or share classes than others. Under an agreement with the Service Providers relating to the Voluntary Reduction, the Portfolios have agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from a Portfolio.
A reimbursement to the Service Provider would increase fund expenses and may negatively impact the Portfolio's yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Portfolio will be able to avoid a negative yield.
There were no reimbursements for the period ended December 31, 2022.
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, 2022, 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.
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
The Portfolio's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on the Portfolio and its investments.
8. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
9. 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 series constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2022, 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 series constituting State Street Master Funds) at December 31, 2022, 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 Funds’ 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 financial 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, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. 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 24, 2023
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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% | | $1,014.50 | | $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. |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Proxy Voting Policies and Procedures and Records
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the Portfolio's proxy voting policies and procedures that are used by the Portfolio's Adviser to vote proxies relating to Portfolio's portfolio of securities are available (i) without charge, upon request, by calling 1-877-521-4083 (toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Portfolio voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Portfolio's website at www.ssga.com.
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, 2022 (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(1)
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). | | 55 | | 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 | | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisors Europe Limited (investment company) (1998 - present); Independent Director, SSGA Liquidity PLC (formerly, SSGA Cash Management Fund PLC) (1998 - present); Independent Director, SSGA Fixed Income PLC (January 2009 - present); Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | | 55 | | Board Director and Chairman, SPDR Europe I PLC 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
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | | 55 | | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | | Term: Indefinite
Elected: 1/14 | | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | | 55 | | Chairman and Board Member (December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member (2001 - 2017), Woodruff Arts Center; Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
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). | | 55 | | None. |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | | 55 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | | 55 | | Director, Manning & Napier Fund Inc. (2021 - present). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | | 55 | | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds PLC. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
| Interested Trustee(2) | | | | | |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and President | Term: Indefinite
Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 55 | Board Director, SSGA SPDR ETFs Europe I PLC (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II PLC (May 2020 - present). |
| † 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) Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, 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, 2022 (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
Served: Since 10/12 | | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, 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
Served: Since 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
Served: Since 10/12
Term: Indefinite
Served: Since 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Served: Since 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Served: Since 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
Served: Since 9/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | | Assistant
Treasurer | | Term: Indefinite
Served: Since 11/20 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
JOHN BETTENCOURT
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
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: Indifinite
Served: Since 11/13
Term: Indefinite
Served: Since 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Served: Since 8/19 | | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
STATE STREET MASTER FUNDS
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1974 | | Secretary | | Term: Indefinite
Served: Since 9/20 | | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston,MA 02210
YOB:1985 | | Assistant Secretary | | Term: Indefinite
Served: Since 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. |
| The Statement of Additional Information (SAI) includes additional information about the Trust'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
Margaret McLaughlin
Ellen M. Needham
George M. Pereira
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
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, 2022
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, 2022
| | | |
| | | % of Net Assets | |
| | Treasury Debt | 106.7% | |
| | Liabilities in Excess of Other Assets | (6.7) | |
| | 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, 2022
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 41.5% | |
| | 31 to 60 Days | 41.4 | |
| | 61 to 90 Days | 7.1 | |
| | Over 90 Days | 16.7 | |
| | Total | 106.7% | |
| | Average days to maturity | 35 | |
| | Weighted average life | 74 | |
(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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| TREASURY DEBT—106.7% | | | | | | | | | | |
U.S. Treasury Bill (a)
| | 1.870% | | 04/20/2023 | | 04/20/2023 | | $ 66,530,000 | | $ 66,161,392 |
U.S. Treasury Bill (a)
| | 2.100% | | 05/18/2023 | | 05/18/2023 | | 150,400,000 | | 149,215,600 |
U.S. Treasury Bill (a)
| | 2.500% | | 01/05/2023 | | 01/05/2023 | | 150,000,000 | | 149,974,486 |
U.S. Treasury Bill (a)
| | 2.678% | | 01/12/2023 | | 01/12/2023 | | 207,800,000 | | 207,633,692 |
U.S. Treasury Bill (a)
| | 2.841% | | 02/02/2023 | | 02/02/2023 | | 546,011,000 | | 544,382,329 |
U.S. Treasury Bill (a)
| | 2.930% | | 01/10/2023 | | 01/10/2023 | | 1,115,900,000 | | 1,115,110,834 |
U.S. Treasury Bill (a)
| | 2.955% | | 01/17/2023 | | 01/17/2023 | | 1,396,300,000 | | 1,394,177,710 |
U.S. Treasury Bill (a)
| | 3.035% | | 07/13/2023 | | 07/13/2023 | | 99,260,000 | | 97,669,579 |
U.S. Treasury Bill (a)
| | 3.101% | | 01/03/2023 | | 01/03/2023 | | 1,565,848,000 | | 1,565,848,000 |
U.S. Treasury Bill (a)
| | 3.110% | | 02/23/2023 | | 02/23/2023 | | 368,620,000 | | 366,555,870 |
U.S. Treasury Bill (a)
| | 3.156% | | 02/16/2023 | | 02/16/2023 | | 51,200,000 | | 50,982,977 |
U.S. Treasury Bill (a)
| | 3.195% | | 02/14/2023 | | 02/14/2023 | | 687,800,000 | | 684,800,534 |
U.S. Treasury Bill (a)
| | 3.465% | | 03/16/2023 | | 03/16/2023 | | 335,000,000 | | 332,466,500 |
U.S. Treasury Bill (a)
| | 3.585% | | 01/24/2023 | | 01/24/2023 | | 762,711,000 | | 760,888,988 |
U.S. Treasury Bill (a)
| | 3.590% | | 01/31/2023 | | 01/31/2023 | | 525,000,000 | | 523,409,367 |
U.S. Treasury Bill (a)
| | 4.000% | | 01/26/2023 | | 01/26/2023 | | 72,734,000 | | 72,597,149 |
U.S. Treasury Bill (a)
| | 4.020% | | 02/07/2023 | | 02/07/2023 | | 250,000,000 | | 249,022,917 |
U.S. Treasury Bill (a)
| | 4.030% | | 02/21/2023 | | 02/21/2023 | | 753,903,000 | | 749,767,580 |
U.S. Treasury Bill (a)
| | 4.116% | | 02/09/2023 | | 02/09/2023 | | 225,000,000 | | 224,048,175 |
U.S. Treasury Bill (a)
| | 4.250% | | 02/28/2023 | | 02/28/2023 | | 744,000,000 | | 739,081,333 |
U.S. Treasury Bill (a)
| | 4.283% | | 03/02/2023 | | 03/02/2023 | | 110,000,000 | | 109,241,046 |
U.S. Treasury Bill (a)
| | 4.285% | | 03/23/2023 | | 03/23/2023 | | 130,000,000 | | 128,777,585 |
U.S. Treasury Bill (a)
| | 4.316% | | 03/21/2023 | | 03/21/2023 | | 141,000,000 | | 139,699,648 |
U.S. Treasury Bill (a)
| | 4.350% | | 03/30/2023 | | 03/30/2023 | | 120,000,000 | | 118,753,000 |
U.S. Treasury Bill (a)
| | 4.441% | | 04/18/2023 | | 04/18/2023 | | 120,000,000 | | 118,445,825 |
U.S. Treasury Bill (a)
| | 4.550% | | 05/02/2023 | | 05/02/2023 | | 125,500,000 | | 123,612,445 |
U.S. Treasury Bill (a)
| | 4.571% | | 06/08/2023 | | 06/08/2023 | | 135,000,000 | | 132,326,258 |
U.S. Treasury Notes
| | 1.447% | | 03/31/2023 | | 03/31/2023 | | 83,200,000 | | 82,940,714 |
U.S. Treasury Notes
| | 2.271% | | 05/15/2023 | �� | 05/15/2023 | | 49,600,000 | | 49,219,086 |
U.S. Treasury Notes
| | 4.089% | | 01/31/2023 | | 01/31/2023 | | 350,000,000 | | 349,158,944 |
U.S. Treasury Notes
| | 4.191% | | 02/15/2023 | | 02/15/2023 | | 261,449,000 | | 260,773,703 |
U.S. Treasury Notes, 3 Month USD MMY - 0.08% (b)
| | 4.323% | | 12/31/2022 | | 04/30/2024 | | 756,650,000 | | 756,110,161 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (b)
| | 4.372% | | 01/02/2023 | | 10/31/2023 | | 89,525,000 | | 89,578,863 |
U.S. Treasury Notes, 3 Month USD MMY - 0.02% (b)
| | 4.383% | | 12/31/2022 | | 01/31/2024 | | 21,750,000 | | 21,758,273 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (b)
| | 4.427% | | 12/31/2022 | | 07/31/2023 | | 238,500,000 | | 238,503,306 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (b)
| | 4.432% | | 12/31/2022 | | 04/30/2023 | | 150,000,000 | | 150,001,949 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (b)
| | 4.435% | | 12/31/2022 | | 07/31/2024 | | 100,000,000 | | 99,913,983 |
U.S. Treasury Notes, 3 Month USD MMY + 0.05% (b)
| | 4.447% | | 12/31/2022 | | 01/31/2023 | | 512,486,000 | | 512,601,495 |
TOTAL INVESTMENTS –106.7% (c)(d)
| | | | | | | | | | 13,525,211,296 |
Liabilities in Excess of Other Assets —(6.7)%
| | | | | | | | | | (846,302,339) |
NET ASSETS –100.0%
| | | | | | | | | | $ 12,678,908,957 |
| (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, 2022. 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.
2
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2022
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $ 13,525,211,296 |
Cash
| 19,526 |
Interest receivable — unaffiliated issuers
| 17,569,196 |
Prepaid expenses and other assets
| 3,352 |
TOTAL ASSETS
| 13,542,803,370 |
| LIABILITIES | |
Payable for investments purchased
| 862,693,778 |
Advisory and administrator fee payable
| 564,521 |
Custody, sub-administration and transfer agent fees payable
| 550,245 |
Trustees’ fees and expenses payable
| 985 |
Professional fees payable
| 57,345 |
Printing fees payable
| 22,123 |
Accrued expenses and other liabilities
| 5,416 |
TOTAL LIABILITIES
| 863,894,413 |
NET ASSETS
| $12,678,908,957 |
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2022
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $229,626,048 |
| EXPENSES | |
Advisory and administrator fee
| 7,513,540 |
Custodian, sub-administrator and transfer agent fees
| 1,591,789 |
Trustees’ fees and expenses
| 107,436 |
Professional fees
| 157,130 |
Printing and postage fees
| 19,959 |
Insurance expense
| 5,194 |
Miscellaneous expenses
| 53,461 |
TOTAL EXPENSES
| 9,448,509 |
NET INVESTMENT INCOME (LOSS)
| $220,177,539 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| (233,704) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $219,943,835 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/22 | | Year Ended
12/31/21 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $ 220,177,539 | | $ 367,418 |
Net realized gain (loss)
| (233,704) | | 47,649 |
Net increase (decrease) in net assets resulting from operations
| 219,943,835 | | 415,067 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 38,227,888,329 | | 22,872,089,825 |
Withdrawals
| (39,829,794,938) | | (25,583,136,317) |
Net increase (decrease) in net assets from capital transactions
| (1,601,906,609) | | (2,711,046,492) |
Net increase (decrease) in net assets during the period
| (1,381,962,774) | | (2,710,631,425) |
Net assets at beginning of period
| 14,060,871,731 | | 16,771,503,156 |
NET ASSETS AT END OF PERIOD
| $ 12,678,908,957 | | $ 14,060,871,731 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/22 | | Year
Ended
12/31/21 | | Year
Ended
12/31/20 | | Year
Ended
12/31/19 | | Year
Ended
12/31/18 |
Total return (a)
| 1.49% | | 0.00%(b) | | 0.48% | | 2.18% | | 1.80% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $12,678,909 | | $14,060,872 | | $16,771,503 | | $12,816,642 | | $10,372,969 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.06% | | 0.07% | | 0.06% | | 0.07% | | 0.07% |
Net investment income (loss)
| 1.46% | | 0.00%(b) | | 0.38% | | 2.13% | | 1.76% |
| (a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
| (b) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
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, 2022, the Trust consists of five (5) 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” and each member thereof, a "Trustee"). 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 asset or liability (such as exchange rates, financing terms, interest
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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.
Each of the Adviser and State Street Global Advisors Funds Distributors, LLC (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for the Portfolio to the extent necessary to attempt to maintain a certain minimum net yield, which may vary from time to time, in SSGA FM’s sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a “Voluntary Reduction”). The Adviser may, in its sole discretion, implement the Voluntary Reduction for some series of the Trust and not others. The amount of any Voluntary Reduction may differ between such series in the Adviser's sole discretion. The business objectives of the Adviser and its affiliates and their broader relationships with certain Portfolio shareholders, Financial Intermediaries or distribution channels could give the Adviser an incentive to implement the Voluntary Reduction for some series of the Trust and not others, or to implement it to a greater degree for some series or share classes than others. Under an agreement with the Service Providers relating to the Voluntary Reduction, the Portfolio has agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Portfolio.
A reimbursement to the Service Provider would increase fund expenses and may negatively impact the Portfolio’s yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that the Portfolio will be able to avoid a negative yield.
There were no reimbursements for the year ended December 31, 2022.
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 MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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.
As of December 31, 2022, 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.
The Portfolio's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on the Portfolio and its investments.
7. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
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 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 series constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2022, 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 series constituting State Street Master Funds) at December 31, 2022, 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 Funds’ 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 financial 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, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. 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 24, 2023
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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
| 0.06% | | $1,000.00 | | $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. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Proxy Voting Policies and Procedures and Records
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the Portfolio's proxy voting policies and procedures that are used by the Portfolio's Adviser to vote proxies relating to Portfolio's portfolio of securities are available (i) without charge, upon request, by calling 1-877-521-4083 (toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Portfolio voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Portfolio's website at www.ssga.com.
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, 2022 (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(1)
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). | | 55 | | 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 | | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisors Europe Limited (investment company) (1998 - present); Independent Director, SSGA Liquidity PLC (formerly, SSGA Cash Management Fund PLC) (1998 - present); Independent Director, SSGA Fixed Income PLC (January 2009 - present); Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | | 55 | | Board Director and Chairman, SPDR Europe I PLC 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
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | | 55 | | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | | Term: Indefinite
Elected: 1/14 | | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | | 55 | | Chairman and Board Member (December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member (2001 - 2017), Woodruff Arts Center; Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
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). | | 55 | | None. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | | 55 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | | 55 | | Director, Manning & Napier Fund Inc. (2021 - present). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | | 55 | | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds PLC. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
| Interested Trustee(2) | | | | | |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and President | Term: Indefinite
Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 55 | Board Director, SSGA SPDR ETFs Europe I PLC (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II PLC (May 2020 - present). |
| † 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) Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, 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, 2022 (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
Served: Since 10/12 | | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, 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
Served: Since 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
Served: Since 10/12
Term: Indefinite
Served: Since 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Served: Since 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Served: Since 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
Served: Since 9/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | | Assistant
Treasurer | | Term: Indefinite
Served: Since 11/20 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
JOHN BETTENCOURT
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
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: Indifinite
Served: Since 11/13
Term: Indefinite
Served: Since 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Served: Since 8/19 | | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
STATE STREET MASTER FUNDS
STATE STREET TREASURY MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1974 | | Secretary | | Term: Indefinite
Served: Since 9/20 | | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston,MA 02210
YOB:1985 | | Assistant Secretary | | Term: Indefinite
Served: Since 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. |
| The Statement of Additional Information (SAI) includes additional information about the Trust'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
Margaret McLaughlin
Ellen M. Needham
George M. Pereira
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
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, 2022
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, 2022
| | | |
| | | % of Net Assets | |
| | Treasury Repurchase Agreements | 76.6% | |
| | Treasury Debt | 14.5 | |
| | Other Assets in Excess of Liabilities | 8.9 | |
| | 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, 2022
| | | | |
| | | % of Net Assets | |
| | 2 to 30 Days | 78.5% | |
| | 31 to 60 Days | 2.7 | |
| | 61 to 90 Days | 0.3 | |
| | Over 90 Days | 9.6 | |
| | Total | 91.1% | |
| | Average days to maturity | 9 | |
| | Weighted average life | 37 | |
(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, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
| TREASURY DEBT—14.5% | | | | | | | | | | |
U.S. Treasury Bill
| | 0.000% | | 01/05/2023 | | 01/05/2023 | | $ 300,000,000 | | $ 299,957,650 |
U.S. Treasury Bill
| | 0.000% | | 01/10/2023 | | 01/10/2023 | | 75,500,000 | | 75,456,986 |
U.S. Treasury Bill
| | 0.000% | | 04/20/2023 | | 04/20/2023 | | 173,600,000 | | 172,637,848 |
U.S. Treasury Bill
| | 2.100% | | 05/18/2023 | | 05/18/2023 | | 274,600,000 | | 272,437,525 |
U.S. Treasury Bill
| | 2.841% | | 02/02/2023 | | 02/02/2023 | | 200,000,000 | | 199,526,500 |
U.S. Treasury Bill
| | 2.900% | | 01/26/2023 | | 01/26/2023 | | 423,800,000 | | 423,007,873 |
U.S. Treasury Bill
| | 3.020% | | 07/13/2023 | | 07/13/2023 | | 441,300,000 | | 434,216,097 |
U.S. Treasury Bill
| | 3.085% | | 08/10/2023 | | 08/10/2023 | | 137,000,000 | | 134,428,910 |
U.S. Treasury Bill
| | 3.110% | | 02/23/2023 | | 02/23/2023 | | 272,630,000 | | 271,429,072 |
U.S. Treasury Bill
| | 3.156% | | 02/16/2023 | | 02/16/2023 | | 75,050,000 | | 74,760,526 |
U.S. Treasury Bill
| | 3.260% | | 02/14/2023 | | 02/14/2023 | | 220,700,000 | | 219,868,711 |
U.S. Treasury Notes
| | 1.447% | | 03/31/2023 | | 03/31/2023 | | 156,600,000 | | 156,111,917 |
U.S. Treasury Notes
| | 2.271% | | 05/15/2023 | | 05/15/2023 | | 90,400,000 | | 89,705,753 |
U.S. Treasury Notes, 3 Month USD MMY - 0.08% (a)
| | 4.323% | | 12/31/2022 | | 04/30/2024 | | 1,355,200,000 | | 1,354,221,311 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (a)
| | 4.372% | | 01/02/2023 | | 10/31/2023 | | 433,900,000 | | 433,934,960 |
U.S. Treasury Notes, 3 Month USD MMY - 0.02% (a)
| | 4.383% | | 12/31/2022 | | 01/31/2024 | | 9,700,000 | | 9,703,689 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (a)
| | 4.427% | | 12/31/2022 | | 07/31/2023 | | 511,644,000 | | 511,650,433 |
U.S. Treasury Notes, 3 Month USD MMY + 0.03% (a)
| | 4.432% | | 12/31/2022 | | 04/30/2023 | | 389,941,000 | | 389,950,722 |
U.S. Treasury Notes, 3 Month USD MMY + 0.04% (a)
| | 4.435% | | 12/31/2022 | | 07/31/2024 | | 400,000,000 | | 399,655,932 |
U.S. Treasury Notes, 3 Month USD MMY + 0.05% (a)
| | 4.447% | | 12/31/2022 | | 01/31/2023 | | 425,406,000 | | 425,414,904 |
TOTAL TREASURY DEBT
| | | | | | | | | | 6,348,077,319 |
| TREASURY REPURCHASE AGREEMENTS—76.6% | | | | | | | | | | |
Agreement with Barclays Capital, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by a U.S. Treasury Bond, 2.000% due 11/15/2041, valued at $163,200,040); expected proceeds $160,076,444
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 160,000,000 | | 160,000,000 |
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Notes, 0.125% – 2.375% due 02/15/2024 – 05/15/2029, valued at $25,212,040,030); expected proceeds $25,212,040,000
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 25,200,000,000 | | 25,200,000,000 |
Agreement with Fixed Income Clearing Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S. Treasury Inflation Index Note, 0.375% due 07/15/2027, and U.S. Treasury Note, 3.500% due 09/15/2025, valued at $306,000,030); expected proceeds $300,143,333
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 300,000,000 | | 300,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/30/2022 (collateralized by U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, and U.S. Treasury Note, 0.750% due 04/30/2026, valued at $663,160,648); expected proceeds $650,310,556
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 650,000,000 | | 650,000,000 |
Agreement with Fixed Income Clearing Corp., dated 12/30/2022 (collateralized by U.S. Treasury Notes, 1.875% - 4.125% due 02/28/2027 – 11/30/2029, valued at $6,625,776,158); expected proceeds $6,503,106,375
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 6,500,000,819 | | 6,500,000,819 |
Agreement with Mitsubishi UFJ Securities, Inc., dated 12/30/2022 (collateralized by U.S. Treasury Notes, 1.250% - 4.250% due 08/15/2040 – 02/15/2052, valued at $305,902,559); expected proceeds $300,143,333
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 300,000,000 | | 300,000,000 |
See accompanying notes to financial statements.
2
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Name of Issuer and Title of Issue | | Interest Rate | | Next Rate Reset Date | | Maturity Date | | Principal Amount | | Value |
Agreement with National Australia Bank, Ltd., dated 12/30/2022 (collateralized by U.S. Treasury Note, 1.000% due 07/31/2028, valued at $157,981,790); expected proceeds $155,074,056
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | $ 155,000,000 | | $ 155,000,000 |
Agreement with Prudential Insurance Co., dated 12/30/2022 (collateralized by U.S. Treasury Note, 1.750% due 08/15/2041, and U.S. Treasury Strips, 0.000% due 05/15/2030 – 11/15/2037, valued at $101,304,377); expected proceeds $98,998,637
| | 4.310% | | 01/03/2023 | | 01/03/2023 | | 98,951,250 | | 98,951,250 |
Agreement with UBS Securities LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2022 (collateralized by U.S Treasury Bills, 0.000% due 01/12/2023 – 06/08/2023, U.S Treasury Bonds, 0.125% – 7.625% due 01/31/2023 – 08/15/2051, U.S Treasury Inflation Index Bonds, 0.125% – 2.375% due 04/15/2023 – 02/15/2046, U.S Treasury Notes, 4.323% – 4.477% due 07/31/2023 – 10/31/2024, and U.S. Treasury Strips, 0.000% due 02/15/2023 – 11/15/2050, valued at $102,000,088); expected proceeds $100,047,778
| | 4.300% | | 01/03/2023 | | 01/03/2023 | | 100,000,000 | | 100,000,000 |
TOTAL TREASURY REPURCHASE AGREEMENTS
| | | | | | | | | | 33,463,952,069 |
TOTAL INVESTMENTS (b)(c)–91.1%
| | | | | | | | | | 39,812,029,388 |
Other Assets in Excess of Liabilities —8.9%
| | | | | | | | | | 3,875,065,924 |
NET ASSETS –100.0%
| | | | | | | | | | $ 43,687,095,312 |
| (a) | Variable Rate Security - Interest rate shown is rate in effect at December 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
| (b) | Also represents the cost for federal tax purposes. |
| (c) | 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 PLUS MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2022
| ASSETS | |
Investments in unaffiliated issuers, at value and cost
| $ 6,348,077,319 |
Repurchase agreements, at value and amortized cost
| 33,463,952,069 |
Total Investments
| 39,812,029,388 |
Cash
| 3,835,699,240 |
Interest receivable — unaffiliated issuers
| 42,903,120 |
Prepaid expenses and other assets
| 8,924 |
TOTAL ASSETS
| 43,690,640,672 |
| LIABILITIES | |
Advisory and administrator fee payable
| 1,907,500 |
Custody, sub-administration and transfer agent fees payable
| 1,500,352 |
Trustees’ fees and expenses payable
| 3,425 |
Professional fees payable
| 99,535 |
Printing fees payable
| 27,576 |
Accrued expenses and other liabilities
| 6,972 |
TOTAL LIABILITIES
| 3,545,360 |
NET ASSETS
| $43,687,095,312 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2022
| INVESTMENT INCOME | |
Interest income — unaffiliated issuers
| $760,124,053 |
| EXPENSES | |
Advisory and administrator fee
| 19,365,971 |
Custodian, sub-administrator and transfer agent fees
| 4,025,642 |
Trustees’ fees and expenses
| 218,069 |
Professional fees
| 355,713 |
Printing and postage fees
| 32,456 |
Insurance expense
| 11,838 |
Miscellaneous expenses
| 69,117 |
TOTAL EXPENSES
| 24,078,806 |
NET INVESTMENT INCOME (LOSS)
| $736,045,247 |
| REALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| (971,357) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $735,073,890 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/22 | | Year Ended
12/31/21 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $ 736,045,247 | | $ 2,473,307 |
Net realized gain (loss)
| (971,357) | | 12,659 |
Net increase (decrease) in net assets resulting from operations
| 735,073,890 | | 2,485,966 |
| CAPITAL TRANSACTIONS | | | |
Contributions
| 170,908,030,378 | | 59,891,436,435 |
Withdrawals
| (155,017,320,210) | | (60,881,968,916) |
Net increase (decrease) in net assets from capital transactions
| 15,890,710,168 | | (990,532,481) |
Net increase (decrease) in net assets during the period
| 16,625,784,058 | | (988,046,515) |
Net assets at beginning of period
| 27,061,311,254 | | 28,049,357,769 |
NET ASSETS AT END OF PERIOD
| $ 43,687,095,312 | | $ 27,061,311,254 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/22 | | Year
Ended
12/31/21 | | Year
Ended
12/31/20 | | Year
Ended
12/31/19 | | Year
Ended
12/31/18 |
Total return (a)
| 1.65% | | 0.01% | | 0.46% | | 2.19% | | 1.82% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $43,687,095 | | $27,061,311 | | $28,049,358 | | $23,834,935 | | $17,447,265 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.06% | | 0.06% | | 0.06% | | 0.07% | | 0.07% |
Net investment income (loss)
| 1.91% | | 0.01% | | 0.41% | | 2.13% | | 1.79% |
| (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 PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
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, 2022, the Trust consists of five (5) 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 on 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 asset or liability (such as exchange rates, financing terms, interest
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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, 2022, the Portfolio had invested in repurchase agreements with the gross values of $33,463,952,069 and associated collateral equal to $33,637,365,720.
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.
Each of the Adviser and State Street Global Advisors Funds Distributors, LLC (each a “Service Provider”) also may voluntarily reduce all or a portion of its fees and/or reimburse expenses for the Portfolio to the extent necessary to maintain a certain minimum net yield, which may vary from time to time, in SSGA FM’s sole discretion (any such waiver or reimbursement of expenses by a Service Provider being referred to herein as a “Voluntary Reduction”). The Adviser may, in its sole discretion, implement the Voluntary Reduction for some series of the Trust and not others. The amount of any Voluntary Reduction may differ between such series in the Adviser's sole discretion. The business objectives of the Adviser and its affiliates and their broader relationships with certain Portfolio shareholders, Financial Intermediaries or distribution channels could give the Adviser an incentive to implement
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
the Voluntary Reduction for some series of the Trust and not others, or to implement it to a greater degree for some series or share classes than others. Under an agreement with the Service Providers relating to the Voluntary Reduction, the Portfolio has agreed to reimburse the Service Providers for the full dollar amount of any Voluntary Reduction beginning on May 1, 2020, subject to certain limitations. Each Service Provider may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from the Portfolio.
A reimbursement to the Service Provider would increase fund expenses and may negatively impact a Portfolio's yield during such period. There is no guarantee that the Voluntary Reduction will be in effect at any given time or that a Portfolio will be able to avoid a negative yield.
There were no reimbursements for the fiscal year ended December 31, 2022.
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, 2022, 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.
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
The Portfolio's investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on the Portfolio and its investments.
8. Recent Accounting Pronouncement
In March 2020, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848)”. In response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR, regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The relief provided is temporary and generally cannot be applied to contract modifications that occur after December 31, 2022, or hedging relationships entered into or evaluated after that date. However, the FASB has indicated that it will revisit the sunset date in Topic 848 after the LIBOR administrator makes a final decision on a phaseout date. On November 30, 2020, the LIBOR administrator proposed extending the publication of the overnight and the one-, three-, six- and 12-month USD LIBOR settings through June 30, 2023, when many existing contracts that reference LIBOR will have expired. Management is currently evaluating the impact of the guidance.
9. 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 series constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2022, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, 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 series constituting State Street Master Funds) at December 31, 2022, 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 Funds’ 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 financial 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, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. 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 24, 2023
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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
| 0.06% | | $1,014.50 | | $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. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (Unaudited)
Proxy Voting Policies and Procedures and Records
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the Portfolio's proxy voting policies and procedures that are used by the Portfolio's Adviser to vote proxies relating to Portfolio's portfolio of securities are available (i) without charge, upon request, by calling 1-877-521-4083 (toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Portfolio voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov. and on the Portfolio's website at www.ssga.com.
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, 2022 (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(1)
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). | | 55 | | 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 | | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisors Europe Limited (investment company) (1998 - present); Independent Director, SSGA Liquidity PLC (formerly, SSGA Cash Management Fund PLC) (1998 - present); Independent Director, SSGA Fixed Income PLC (January 2009 - present); Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | | 55 | | Board Director and Chairman, SPDR Europe I PLC 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
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | | 55 | | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | | Term: Indefinite
Elected: 1/14 | | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | | 55 | | Chairman and Board Member (December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member (2001 - 2017), Woodruff Arts Center; Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
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). | | 55 | | None. |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | | 55 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | | 55 | | Director, Manning & Napier Fund Inc. (2021 - present). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | | 55 | | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds PLC. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
| Interested Trustee(2) | | | | | |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and President | Term: Indefinite
Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 55 | Board Director, SSGA SPDR ETFs Europe I PLC (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II PLC (May 2020 - present). |
| † 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) Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, 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, 2022 (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
Served: Since 10/12 | | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, 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
Served: Since 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
Served: Since 10/12
Term: Indefinite
Served: Since 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Served: Since 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Served: Since 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
Served: Since 9/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | | Assistant
Treasurer | | Term: Indefinite
Served: Since 11/20 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
JOHN BETTENCOURT
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
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: Indifinite
Served: Since 11/13
Term: Indefinite
Served: Since 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Served: Since 8/19 | | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
STATE STREET MASTER FUNDS
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1974 | | Secretary | | Term: Indefinite
Served: Since 9/20 | | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston,MA 02210
YOB:1985 | | Assistant Secretary | | Term: Indefinite
Served: Since 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. |
| The Statement of Additional Information (SAI) includes additional information about the Trust'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
Margaret McLaughlin
Ellen M. Needham
George M. Pereira
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
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, 2022
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 Index (the “Index”).
For the 12-month period ended December 31, 2022 (the “Reporting Period”), the total return for the Portfolio was –14.64%, and the return for the Index was –14.45%. 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 Portfolio and the Index contributed to the difference between the Portfolio’s performance and that of the Index.
The Portfolio had negative performance in the Reporting Period. The first quarter of the Reporting Period had negative performance on the back of concerns around the Russia-Ukraine war, increased supply chain disruptions, global growth risks and surging inflation. Performance in the second quarter of the Reporting Period was also negative as concerns about the Russa-Ukraine war and inflation continued in addition to tighter monetary policy and recession fears. Negative performance for the Portfolio continued in the third quarter of the Reporting Period as economic growth expectations decreased amid monetary tightening and persistently high inflation. Performance in the fourth quarter of the Reporting Period was positive on the back of signs of slower inflation, easing of China’s zero-COVID policy and despite continued hawkish monetary policy.
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 on an absolute basis during the Reporting Period were Shell Plc, Total Energies SE and Novo Nordisk A/S. The top negative contributors to the Portfolio’s performance on an absolute basis during the Reporting Period were ASML Holding NV, Roche Holding Ltd, and Nestle SA.
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, 2022
| | Total Return
One Year Ended
December 31, 2022 | Average Annual
Total Return
Five Years Ended
December 31, 2022 |
Total Return
Inception Date* to
December 31, 2022 |
| State Street International Developed Equity Index Portfolio | (14.64%) | 1.53% | 4.77% |
| MSCI EAFE (Europe, Australasia, Far East) Index (1) | (14.45%) | 1.54% | 5.96% |
| * | 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. |
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, 2022
| | | | |
| | Description | Market Value | % of Net Assets | |
| | Nestle SA | 73,458,413 | 2.1% | |
| | Novo Nordisk A/S Class B | 51,374,645 | 1.5 | |
| | Roche Holding AG | 50,854,769 | 1.5 | |
| | ASML Holding NV | 50,383,334 | 1.4 | |
| | AstraZeneca PLC | 48,196,739 | 1.4 | |
| | TOTAL | 274,267,900 | 7.9% | |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
See accompanying notes to financial statements.
3
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
December 31, 2022
| Security Description | | | Shares | | Value |
| COMMON STOCKS — 94.9% | | | | |
| AUSTRALIA — 8.4% | |
Ampol, Ltd.
| | | 61,202 | | $ 1,173,737 |
ANZ Group Holdings, Ltd.
| | | 684,511 | | 10,982,999 |
APA Group Stapled Security
| | | 259,311 | | 1,892,165 |
Aristocrat Leisure, Ltd.
| | | 133,477 | | 2,762,592 |
ASX, Ltd.
| | | 45,674 | | 2,106,840 |
Aurizon Holdings, Ltd.
| | | 415,441 | | 1,050,858 |
BHP Group, Ltd.
| | | 1,166,922 | | 36,109,217 |
BlueScope Steel, Ltd.
| | | 116,227 | | 1,327,318 |
Brambles, Ltd.
| | | 308,292 | | 2,523,453 |
Cochlear, Ltd.
| | | 14,467 | | 2,002,580 |
Coles Group, Ltd.
| | | 317,246 | | 3,597,147 |
Commonwealth Bank of Australia
| | | 391,620 | | 27,248,211 |
Computershare, Ltd.
| | | 134,029 | | 2,381,364 |
CSL, Ltd.
| | | 110,756 | | 21,613,418 |
Dexus REIT
| | | 253,738 | | 1,333,561 |
Endeavour Group, Ltd.
| | | 320,555 | | 1,395,608 |
Fortescue Metals Group, Ltd.
| | | 384,008 | | 5,341,112 |
Glencore PLC
| | | 2,241,807 | | 14,896,408 |
Goodman Group REIT
| | | 382,489 | | 4,502,922 |
GPT Group REIT
| | | 452,934 | | 1,290,060 |
IDP Education, Ltd.
| | | 55,969 | | 1,031,627 |
IGO, Ltd.
| | | 152,612 | | 1,393,027 |
Insurance Australia Group, Ltd.
| | | 597,735 | | 1,925,432 |
LendLease Corp., Ltd. Stapled Security
| | | 153,833 | | 817,883 |
Lottery Corp., Ltd. (a)
| | | 535,431 | | 1,626,699 |
Macquarie Group, Ltd.
| | | 83,930 | | 9,502,884 |
Medibank Pvt, Ltd.
| | | 628,915 | | 1,258,171 |
Mineral Resources, Ltd.
| | | 37,534 | | 1,965,024 |
Mirvac Group REIT
| | | 906,922 | | 1,310,012 |
National Australia Bank, Ltd.
| | | 726,680 | | 14,813,509 |
Newcrest Mining, Ltd.
| | | 213,741 | | 2,991,736 |
Northern Star Resources, Ltd.
| | | 270,543 | | 2,001,644 |
Orica, Ltd.
| | | 107,058 | | 1,093,377 |
Origin Energy, Ltd.
| | | 405,211 | | 2,121,408 |
Pilbara Minerals, Ltd. (a)
| | | 568,996 | | 1,446,992 |
Qantas Airways, Ltd. (a)
| | | 205,394 | | 837,121 |
QBE Insurance Group, Ltd.
| | | 331,484 | | 3,019,009 |
Ramsay Health Care, Ltd.
| | | 40,015 | | 1,755,710 |
REA Group, Ltd.
| | | 13,296 | | 999,048 |
Reece, Ltd.
| | | 48,540 | | 465,781 |
Rio Tinto PLC
| | | 258,306 | | 18,015,337 |
Rio Tinto, Ltd.
| | | 87,484 | | 6,906,288 |
Santos, Ltd.
| | | 757,166 | | 3,666,191 |
Scentre Group REIT
| | | 1,187,043 | | 2,318,381 |
SEEK, Ltd.
| | | 86,138 | | 1,223,784 |
Sonic Healthcare, Ltd.
| | | 100,481 | | 2,042,192 |
South32, Ltd.
| | | 1,108,766 | | 3,007,639 |
Stockland REIT
| | | 532,060 | | 1,309,764 |
Suncorp Group, Ltd.
| | | 309,492 | | 2,526,979 |
Telstra Group, Ltd.
| | | 949,415 | | 2,568,945 |
| Security Description | | | Shares | | Value |
Transurban Group Stapled Security
| | | 724,562 | | $ 6,377,875 |
Treasury Wine Estates, Ltd.
| | | 172,937 | | 1,596,143 |
Vicinity, Ltd. REIT
| | | 963,990 | | 1,307,460 |
Washington H Soul Pattinson & Co., Ltd.
| | | 54,689 | | 1,025,836 |
Wesfarmers, Ltd.
| | | 258,776 | | 8,056,698 |
Westpac Banking Corp.
| | | 802,441 | | 12,706,495 |
WiseTech Global, Ltd.
| | | 34,530 | | 1,188,388 |
Woodside Energy Group, Ltd.
| | | 434,478 | | 10,442,086 |
Woolworths Group, Ltd.
| | | 276,075 | | 6,283,112 |
| | | | | | 290,477,257 |
| AUSTRIA — 0.2% | |
Erste Group Bank AG
| | | 76,314 | | 2,435,238 |
Mondi PLC
| | | 106,343 | | 1,803,033 |
OMV AG
| | | 33,198 | | 1,704,209 |
Verbund AG
| | | 17,287 | | 1,451,057 |
Voestalpine AG
| | | 23,088 | | 610,595 |
| | | | | | 8,004,132 |
| BELGIUM — 0.8% | |
Ageas SA/NV
| | | 35,037 | | 1,548,827 |
Anheuser-Busch InBev SA/NV
| | | 198,993 | | 11,950,352 |
D'ieteren Group
| | | 5,937 | | 1,135,458 |
Elia Group SA
| | | 7,549 | | 1,069,925 |
Groupe Bruxelles Lambert NV
| | | 23,311 | | 1,855,450 |
KBC Group NV
| | | 56,243 | | 3,606,321 |
Sofina SA
| | | 3,290 | | 721,913 |
Solvay SA
| | | 17,054 | | 1,719,255 |
UCB SA
| | | 30,272 | | 2,376,560 |
Umicore SA
| | | 51,844 | | 1,898,942 |
Warehouses De Pauw CVA REIT
| | | 42,698 | | 1,216,704 |
| | | | | | 29,099,707 |
| BRAZIL — 0.1% | |
Yara International ASA
| | | 39,830 | | 1,741,021 |
| CHILE — 0.0% (b) | |
Antofagasta PLC
| | | 90,497 | | 1,682,415 |
| CHINA — 0.6% | |
BOC Hong Kong Holdings, Ltd.
| | | 886,000 | | 3,019,571 |
Budweiser Brewing Co. APAC, Ltd. (c)
| | | 396,400 | | 1,246,852 |
ESR Group, Ltd. (c)
| | | 461,400 | | 968,325 |
Futu Holdings, Ltd. ADR (a)
| | | 13,900 | | 565,035 |
Prosus NV
| | | 190,152 | | 13,079,459 |
SITC International Holdings Co., Ltd.
| | | 374,000 | | 831,862 |
Wilmar International, Ltd.
| | | 483,600 | | 1,503,588 |
Xinyi Glass Holdings, Ltd.
| | | 457,000 | | 851,355 |
| | | | | | 22,066,047 |
See accompanying notes to financial statements.
4
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
| DENMARK — 2.8% | |
AP Moller - Maersk A/S Class A
| | | 697 | | $ 1,537,474 |
AP Moller - Maersk A/S Class B
| | | 1,195 | | 2,678,861 |
Carlsberg AS Class B
| | | 23,314 | | 3,088,971 |
Chr. Hansen Holding A/S
| | | 22,975 | | 1,647,654 |
Coloplast A/S Class B
| | | 28,564 | | 3,328,712 |
Danske Bank A/S
| | | 159,628 | | 3,145,436 |
Demant A/S (a)
| | | 21,378 | | 590,761 |
DSV A/S
| | | 42,607 | | 6,704,877 |
Genmab A/S (a)
| | | 14,972 | | 6,319,403 |
Novo Nordisk A/S Class B
| | | 381,632 | | 51,374,645 |
Novozymes A/S Class B
| | | 45,246 | | 2,285,076 |
Orsted A/S (c)
| | | 44,129 | | 3,998,168 |
Pandora A/S
| | | 22,763 | | 1,594,555 |
ROCKWOOL A/S Class B
| | | 2,413 | | 565,516 |
Tryg A/S
| | | 83,455 | | 1,980,422 |
Vestas Wind Systems A/S
| | | 229,823 | | 6,665,934 |
| | | | | | 97,506,465 |
| FINLAND — 1.2% | |
Elisa Oyj
| | | 32,758 | | 1,729,169 |
Fortum Oyj
| | | 109,333 | | 1,813,294 |
Kesko Oyj Class B
| | | 58,592 | | 1,289,416 |
Kone Oyj Class B
| | | 76,598 | | 3,948,485 |
Neste Oyj
| | | 95,592 | | 4,388,922 |
Nokia Oyj
| | | 1,272,905 | | 5,878,261 |
Nordea Bank Abp
| | | 767,361 | | 8,224,855 |
Orion Oyj Class B
| | | 26,149 | | 1,429,981 |
Sampo Oyj Class A
| | | 108,936 | | 5,675,906 |
Stora Enso Oyj Class R
| | | 125,100 | | 1,755,695 |
UPM-Kymmene Oyj
| | | 120,673 | | 4,498,572 |
Wartsila OYJ Abp
| | | 112,760 | | 946,859 |
| | | | | | 41,579,415 |
| FRANCE — 10.4% | |
Accor SA (a)
| | | 39,723 | | 989,908 |
Adevinta ASA (a)
| | | 87,235 | | 580,917 |
Aeroports de Paris (a)
| | | 6,344 | | 847,683 |
Air Liquide SA
| | | 120,179 | | 16,981,754 |
Airbus SE
| | | 135,709 | | 16,079,622 |
Alstom SA
| | | 69,847 | | 1,701,098 |
Amundi SA (c)
| | | 16,665 | | 942,643 |
Arkema SA
| | | 14,239 | | 1,274,688 |
AXA SA
| | | 428,221 | | 11,907,621 |
BioMerieux
| | | 10,678 | | 1,115,905 |
BNP Paribas SA
| | | 254,874 | | 14,484,754 |
Bollore SE
| | | 208,451 | | 1,161,289 |
Bouygues SA
| | | 53,902 | | 1,613,054 |
Bureau Veritas SA
| | | 69,518 | | 1,825,891 |
Capgemini SE
| | | 38,578 | | 6,420,828 |
Carrefour SA
| | | 142,046 | | 2,371,001 |
Cie de Saint-Gobain
| | | 116,099 | | 5,656,336 |
Cie Generale des Etablissements Michelin SCA
| | | 158,641 | | 4,399,508 |
| Security Description | | | Shares | | Value |
Covivio REIT
| | | 10,954 | | $ 648,247 |
Credit Agricole SA
| | | 279,592 | | 2,933,516 |
Danone SA
| | | 146,428 | | 7,693,429 |
Dassault Aviation SA
| | | 5,851 | | 987,876 |
Dassault Systemes SE
| | | 156,635 | | 5,599,313 |
Edenred
| | | 59,913 | | 3,253,375 |
Eiffage SA
| | | 19,566 | | 1,919,455 |
Electricite de France SA
| | | 147,701 | | 1,891,606 |
Engie SA
| | | 415,049 | | 5,930,360 |
EssilorLuxottica SA
| | | 66,632 | | 12,032,315 |
Eurazeo SE
| | | 9,467 | | 587,022 |
Gecina SA REIT
| | | 11,088 | | 1,125,973 |
Getlink SE
| | | 102,413 | | 1,636,771 |
Hermes International
| | | 7,252 | | 11,183,857 |
Ipsen SA
| | | 9,495 | | 1,018,420 |
Kering SA
| | | 17,101 | | 8,678,367 |
Klepierre SA REIT (a)
| | | 53,291 | | 1,224,514 |
La Francaise des Jeux SAEM (c)
| | | 25,288 | | 1,014,232 |
Legrand SA
| | | 60,404 | | 4,823,357 |
L'Oreal SA
| | | 55,512 | | 19,764,184 |
LVMH Moet Hennessy Louis Vuitton SE
| | | 63,799 | | 46,294,019 |
Orange SA
| | | 450,888 | | 4,466,110 |
Pernod Ricard SA
| | | 47,163 | | 9,248,999 |
Publicis Groupe SA
| | | 54,155 | | 3,434,292 |
Remy Cointreau SA
| | | 5,583 | | 939,052 |
Renault SA (a)
| | | 43,968 | | 1,467,574 |
Safran SA
| | | 78,169 | | 9,754,148 |
Sanofi
| | | 262,458 | | 25,164,919 |
Sartorius Stedim Biotech
| | | 6,314 | | 2,038,431 |
SEB SA
| | | 4,806 | | 401,360 |
Societe Generale SA
| | | 189,028 | | 4,736,856 |
Sodexo SA
| | | 20,846 | | 1,990,741 |
Teleperformance
| | | 13,699 | | 3,255,930 |
Thales SA
| | | 25,619 | | 3,261,885 |
TotalEnergies SE
| | | 573,160 | | 35,876,483 |
Ubisoft Entertainment SA (a)
| | | 25,676 | | 723,705 |
Unibail-Rodamco-Westfield REIT (a)
| | | 28,759 | | 1,492,602 |
Valeo
| | | 48,013 | | 855,739 |
Veolia Environnement SA
| | | 149,853 | | 3,838,333 |
Vinci SA
| | | 123,233 | | 12,269,535 |
Vivendi SE
| | | 155,977 | | 1,483,881 |
Wendel SE
| | | 6,806 | | 633,395 |
Worldline SA (a)(c)
| | | 58,818 | | 2,293,115 |
| | | | | | 360,221,793 |
| GERMANY — 7.5% | |
adidas AG
| | | 40,564 | | 5,517,987 |
Allianz SE
| | | 93,888 | | 20,130,566 |
Aroundtown SA
| | | 205,873 | | 479,644 |
BASF SE
| | | 210,158 | | 10,404,861 |
Bayer AG
| | | 225,003 | | 11,604,492 |
Bayerische Motoren Werke AG
| | | 78,084 | | 6,948,482 |
See accompanying notes to financial statements.
5
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Bayerische Motoren Werke AG Preference Shares
| | | 14,237 | | $ 1,208,717 |
Bechtle AG
| | | 22,797 | | 804,353 |
Beiersdorf AG
| | | 24,289 | | 2,778,884 |
Brenntag SE
| | | 36,926 | | 2,353,521 |
Carl Zeiss Meditec AG
| | | 10,060 | | 1,265,837 |
Commerzbank AG (a)
| | | 244,613 | | 2,306,754 |
Continental AG
| | | 27,986 | | 1,672,013 |
Covestro AG (c)
| | | 44,470 | | 1,734,684 |
Daimler Truck Holding AG (a)
| | | 101,403 | | 3,132,495 |
Deutsche Bank AG
| | | 468,702 | | 5,296,350 |
Deutsche Boerse AG
| | | 43,315 | | 7,461,185 |
Deutsche Lufthansa AG (a)
| | | 144,491 | | 1,197,425 |
Deutsche Post AG
| | | 226,314 | | 8,497,149 |
Deutsche Telekom AG
| | | 743,743 | | 14,794,087 |
E.ON SE
| | | 508,437 | | 5,064,900 |
Evonik Industries AG
| | | 55,830 | | 1,068,649 |
Fresenius Medical Care AG & Co. KGaA
| | | 48,848 | | 1,593,706 |
Fresenius SE & Co. KGaA
| | | 94,002 | | 2,633,494 |
GEA Group AG
| | | 33,847 | | 1,379,906 |
Hannover Rueck SE
| | | 14,190 | | 2,809,262 |
HeidelbergCement AG
| | | 34,858 | | 1,982,132 |
HelloFresh SE (a)
| | | 35,709 | | 782,407 |
Henkel AG & Co. KGaA Preference Shares
| | | 39,742 | | 2,757,799 |
Henkel AG & Co. KGaA
| | | 25,964 | | 1,669,532 |
Infineon Technologies AG
| | | 298,378 | | 9,053,357 |
Knorr-Bremse AG
| | | 19,335 | | 1,053,224 |
LEG Immobilien SE
| | | 16,200 | | 1,052,235 |
Mercedes-Benz Group AG
| | | 183,831 | | 12,046,284 |
Merck KGaA
| | | 30,387 | | 5,866,679 |
MTU Aero Engines AG
| | | 12,755 | | 2,752,502 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen
| | | 32,056 | | 10,400,372 |
Nemetschek SE
| | | 11,865 | | 603,894 |
Porsche Automobil Holding SE Preference Shares
| | | 35,504 | | 1,941,567 |
Puma SE
| | | 24,271 | | 1,468,712 |
Rational AG
| | | 1,075 | | 636,748 |
Rheinmetall AG
| | | 9,936 | | 1,972,910 |
RWE AG
| | | 151,424 | | 6,721,243 |
SAP SE
| | | 240,240 | | 24,714,013 |
Sartorius AG Preference Shares
| | | 5,356 | | 2,111,560 |
Scout24 SE (c)
| | | 17,219 | | 862,431 |
Siemens AG
| | | 175,982 | | 24,348,558 |
Siemens Energy AG (a)
| | | 107,782 | | 2,021,657 |
Siemens Healthineers AG (c)
| | | 67,836 | | 3,383,156 |
Symrise AG
| | | 29,768 | | 3,229,409 |
Telefonica Deutschland Holding AG
| | | 255,715 | | 628,516 |
United Internet AG
| | | 19,986 | | 402,925 |
Volkswagen AG
| | | 7,156 | | 1,127,638 |
Volkswagen AG Preference Shares
| | | 42,064 | | 5,226,418 |
| Security Description | | | Shares | | Value |
Vonovia SE
| | | 166,816 | | $ 3,920,315 |
Zalando SE (a)(c)
| | | 51,595 | | 1,823,194 |
| | | | | | 260,700,790 |
| HONG KONG — 2.7% | |
AIA Group, Ltd.
| | | 2,747,800 | | 30,558,689 |
CK Asset Holdings, Ltd.
| | | 461,899 | | 2,843,612 |
CK Infrastructure Holdings, Ltd.
| | | 136,000 | | 711,805 |
CLP Holdings, Ltd.
| | | 378,500 | | 2,761,783 |
Hang Lung Properties, Ltd.
| | | 527,000 | | 1,030,374 |
Hang Seng Bank, Ltd.
| | | 170,600 | | 2,837,158 |
Henderson Land Development Co., Ltd.
| | | 339,436 | | 1,185,098 |
HK Electric Investments & HK Electric Investments, Ltd. Stapled Security
| | | 796,490 | | 527,595 |
HKT Trust & HKT, Ltd. Stapled Security
| | | 881,000 | | 1,080,234 |
Hong Kong & China Gas Co., Ltd.
| | | 2,623,995 | | 2,494,576 |
Hong Kong Exchanges & Clearing, Ltd.
| | | 275,930 | | 11,921,101 |
Hongkong Land Holdings, Ltd.
| | | 253,600 | | 1,166,560 |
Jardine Matheson Holdings, Ltd.
| | | 38,300 | | 1,949,470 |
Link REIT
| | | 490,910 | | 3,604,013 |
MTR Corp., Ltd.
| | | 376,601 | | 1,995,202 |
New World Development Co., Ltd.
| | | 351,269 | | 990,130 |
Power Assets Holdings, Ltd.
| | | 334,500 | | 1,832,155 |
Prudential PLC
| | | 627,658 | | 8,512,739 |
Sino Land Co., Ltd.
| | | 820,113 | | 1,025,542 |
Sun Hung Kai Properties, Ltd.
| | | 339,000 | | 4,638,748 |
Swire Pacific, Ltd. Class A
| | | 122,000 | | 1,073,857 |
Swire Properties, Ltd.
| | | 294,600 | | 748,866 |
Techtronic Industries Co., Ltd.
| | | 320,500 | | 3,576,647 |
WH Group, Ltd. (c)
| | | 1,857,266 | | 1,080,338 |
Wharf Real Estate Investment Co., Ltd.
| | | 369,000 | | 2,151,135 |
| | | | | | 92,297,427 |
| IRELAND — 0.7% | |
AerCap Holdings NV (a)
| | | 32,000 | | 1,866,240 |
AIB Group PLC
| | | 280,574 | | 1,082,784 |
Bank of Ireland Group PLC
| | | 253,491 | | 2,407,789 |
CRH PLC
| | | 171,898 | | 6,789,783 |
Flutter Entertainment PLC (a)
| | | 37,872 | | 5,165,532 |
Kerry Group PLC Class A
| | | 37,756 | | 3,394,457 |
Kingspan Group PLC
| | | 36,735 | | 1,983,010 |
Smurfit Kappa Group PLC
| | | 57,588 | | 2,124,084 |
| | | | | | 24,813,679 |
| ISRAEL — 0.7% | |
Azrieli Group, Ltd.
| | | 11,856 | | 787,653 |
See accompanying notes to financial statements.
6
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Bank Hapoalim BM
| | | 298,613 | | $ 2,678,477 |
Bank Leumi Le-Israel BM
| | | 370,375 | | 3,073,067 |
Bezeq The Israeli Telecommunication Corp., Ltd.
| | | 504,899 | | 862,869 |
Check Point Software Technologies, Ltd. (a)
| | | 22,410 | | 2,827,246 |
Elbit Systems, Ltd.
| | | 6,010 | | 973,705 |
ICL Group, Ltd.
| | | 150,007 | | 1,079,753 |
Israel Discount Bank, Ltd. Class A
| | | 304,717 | | 1,593,665 |
Mizrahi Tefahot Bank, Ltd.
| | | 39,270 | | 1,262,635 |
Nice, Ltd. (a)
| | | 15,221 | | 2,917,066 |
Teva Pharmaceutical Industries, Ltd. ADR (a)
| | | 243,528 | | 2,220,975 |
Teva Pharmaceutical Industries, Ltd. (a)
| | | 15,600 | | 143,311 |
Tower Semiconductor, Ltd. (a)
| | | 25,717 | | 1,118,291 |
Wix.com, Ltd. (a)
| | | 15,000 | | 1,152,450 |
ZIM Integrated Shipping Services, Ltd.
| | | 24,000 | | 412,560 |
| | | | | | 23,103,723 |
| ITALY — 1.9% | |
Amplifon SpA
| | | 25,292 | | 750,942 |
Assicurazioni Generali SpA
| | | 260,089 | | 4,611,990 |
Coca-Cola HBC AG
| | | 49,015 | | 1,163,284 |
Davide Campari-Milano NV
| | | 124,344 | | 1,258,585 |
DiaSorin SpA
| | | 5,558 | | 773,503 |
Enel SpA
| | | 1,860,331 | | 9,986,750 |
Eni SpA
| | | 570,596 | | 8,090,753 |
Ferrari NV
| | | 29,689 | | 6,343,451 |
FinecoBank Banca Fineco SpA
| | | 144,663 | | 2,396,156 |
Infrastrutture Wireless Italiane SpA (c)
| | | 73,441 | | 737,868 |
Intesa Sanpaolo SpA ADR
| | | 3,814,195 | | 8,458,910 |
Mediobanca Banca di Credito Finanziario SpA
| | | 152,276 | | 1,460,048 |
Moncler SpA
| | | 49,394 | | 2,609,428 |
Nexi SpA (a)(c)
| | | 142,489 | | 1,120,157 |
Poste Italiane SpA (c)
| | | 114,945 | | 1,119,532 |
Prysmian SpA
| | | 60,882 | | 2,252,078 |
Recordati Industria Chimica e Farmaceutica SpA
| | | 25,093 | | 1,037,744 |
Snam SpA
| | | 445,575 | | 2,152,768 |
Telecom Italia SpA (a)
| | | 2,694,816 | | 622,088 |
Terna - Rete Elettrica Nazionale
| | | 323,295 | | 2,380,752 |
UniCredit SpA
| | | 436,727 | | 6,186,035 |
| | | | | | 65,512,822 |
| JAPAN — 20.9% | |
Advantest Corp.
| | | 46,000 | | 2,956,383 |
Aeon Co., Ltd.
| | | 157,000 | | 3,311,463 |
AGC, Inc.
| | | 41,700 | | 1,388,999 |
Aisin Corp.
| | | 36,600 | | 979,181 |
| Security Description | | | Shares | | Value |
Ajinomoto Co., Inc.
| | | 109,900 | | $ 3,357,512 |
ANA Holdings, Inc. (a)
| | | 39,200 | | 831,862 |
Asahi Group Holdings, Ltd.
| | | 108,100 | | 3,374,617 |
Asahi Intecc Co., Ltd.
| | | 49,600 | | 813,478 |
Asahi Kasei Corp.
| | | 304,400 | | 2,171,830 |
Astellas Pharma, Inc.
| | | 417,500 | | 6,348,962 |
Azbil Corp.
| | | 27,400 | | 690,477 |
Bandai Namco Holdings, Inc.
| | | 46,200 | | 2,911,113 |
Bridgestone Corp.
| | | 133,900 | | 4,760,505 |
Brother Industries, Ltd.
| | | 49,800 | | 757,502 |
Canon, Inc.
| | | 234,900 | | 5,083,610 |
Capcom Co., Ltd.
| | | 41,600 | | 1,327,341 |
Central Japan Railway Co.
| | | 32,500 | | 3,991,531 |
Chiba Bank, Ltd.
| | | 135,500 | | 987,919 |
Chubu Electric Power Co., Inc.
| | | 149,800 | | 1,546,308 |
Chugai Pharmaceutical Co., Ltd.
| | | 160,000 | | 4,084,126 |
Concordia Financial Group, Ltd.
| | | 235,000 | | 979,575 |
CyberAgent, Inc.
| | | 97,100 | | 859,546 |
Dai Nippon Printing Co., Ltd.
| | | 46,300 | | 929,895 |
Daifuku Co., Ltd.
| | | 23,900 | | 1,119,421 |
Dai-ichi Life Holdings, Inc.
| | | 221,900 | | 5,035,193 |
Daiichi Sankyo Co., Ltd.
| | | 401,600 | | 12,935,693 |
Daikin Industries, Ltd.
| | | 56,900 | | 8,711,054 |
Daito Trust Construction Co., Ltd.
| | | 15,000 | | 1,539,278 |
Daiwa House Industry Co., Ltd.
| | | 142,000 | | 3,270,590 |
Daiwa House REIT Investment Corp.
| | | 535 | | 1,189,655 |
Daiwa Securities Group, Inc.
| | | 329,500 | | 1,455,898 |
Denso Corp.
| | | 98,100 | | 4,859,461 |
Dentsu Group, Inc.
| | | 50,700 | | 1,592,720 |
Disco Corp.
| | | 6,300 | | 1,802,456 |
East Japan Railway Co.
| | | 72,000 | | 4,103,528 |
Eisai Co., Ltd.
| | | 56,700 | | 3,740,322 |
ENEOS Holdings, Inc.
| | | 735,800 | | 2,498,302 |
FANUC Corp.
| | | 43,600 | | 6,554,292 |
Fast Retailing Co., Ltd.
| | | 13,300 | | 8,117,390 |
Fuji Electric Co., Ltd.
| | | 29,100 | | 1,109,349 |
FUJIFILM Holdings Corp.
| | | 86,000 | | 4,318,087 |
Fujitsu, Ltd.
| | | 46,300 | | 6,181,170 |
GLP J-REIT
| | | 898 | | 1,029,728 |
GMO Payment Gateway, Inc.
| | | 9,300 | | 769,684 |
Hakuhodo DY Holdings, Inc.
| | | 55,500 | | 559,438 |
Hamamatsu Photonics KK
| | | 30,300 | | 1,451,332 |
Hankyu Hanshin Holdings, Inc.
| | | 53,700 | | 1,595,392 |
Hikari Tsushin, Inc.
| | | 4,900 | | 691,485 |
Hirose Electric Co., Ltd.
| | | 6,810 | | 856,766 |
Hitachi Construction Machinery Co., Ltd.
| | | 23,300 | | 522,526 |
Hitachi, Ltd.
| | | 221,800 | | 11,247,594 |
Honda Motor Co., Ltd.
| | | 372,200 | | 8,552,885 |
Hoshizaki Corp.
| | | 27,800 | | 980,780 |
See accompanying notes to financial statements.
7
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Hoya Corp.
| | | 82,400 | | $ 7,934,306 |
Hulic Co., Ltd.
| | | 105,600 | | 832,347 |
Ibiden Co., Ltd.
| | | 26,800 | | 971,905 |
Idemitsu Kosan Co., Ltd.
| | | 45,540 | | 1,059,591 |
Iida Group Holdings Co., Ltd.
| | | 35,900 | | 544,438 |
Inpex Corp.
| | | 250,300 | | 2,648,215 |
Isuzu Motors, Ltd.
| | | 136,000 | | 1,594,543 |
Ito En, Ltd.
| | | 15,800 | | 573,587 |
ITOCHU Corp.
| | | 271,400 | | 8,527,981 |
Itochu Techno-Solutions Corp.
| | | 21,900 | | 509,553 |
Japan Airlines Co., Ltd. (a)
| | | 39,300 | | 802,709 |
Japan Exchange Group, Inc.
| | | 109,000 | | 1,567,528 |
Japan Metropolitan Fund Invest REIT
| | | 1,609 | | 1,276,761 |
Japan Post Bank Co., Ltd.
| | | 87,100 | | 744,619 |
Japan Post Holdings Co., Ltd.
| | | 556,800 | | 4,682,024 |
Japan Post Insurance Co., Ltd.
| | | 42,100 | | 740,567 |
Japan Real Estate Investment Corp. REIT
| | | 318 | | 1,390,625 |
Japan Tobacco, Inc.
| | | 282,400 | | 5,695,300 |
JFE Holdings, Inc.
| | | 112,600 | | 1,310,801 |
JSR Corp.
| | | 41,100 | | 806,145 |
Kajima Corp.
| | | 92,300 | | 1,074,484 |
Kakaku.com, Inc.
| | | 33,100 | | 529,821 |
Kansai Electric Power Co., Inc.
| | | 152,000 | | 1,473,402 |
Kao Corp.
| | | 107,300 | | 4,273,459 |
KDDI Corp.
| | | 369,300 | | 11,145,194 |
Keio Corp.
| | | 27,500 | | 1,008,754 |
Keisei Electric Railway Co., Ltd.
| | | 34,100 | | 970,446 |
Keyence Corp.
| | | 44,700 | | 17,419,940 |
Kikkoman Corp.
| | | 34,100 | | 1,793,581 |
Kintetsu Group Holdings Co., Ltd.
| | | 39,400 | | 1,300,443 |
Kirin Holdings Co., Ltd.
| | | 197,100 | | 3,004,040 |
Kobayashi Pharmaceutical Co., Ltd.
| | | 14,100 | | 964,970 |
Kobe Bussan Co., Ltd.
| | | 35,500 | | 1,019,705 |
Koei Tecmo Holdings Co., Ltd.
| | | 26,540 | | 481,137 |
Koito Manufacturing Co., Ltd.
| | | 50,500 | | 760,495 |
Komatsu, Ltd.
| | | 209,000 | | 4,555,565 |
Konami Group Corp.
| | | 21,000 | | 950,169 |
Kose Corp.
| | | 8,400 | | 918,019 |
Kubota Corp.
| | | 241,900 | | 3,331,178 |
Kurita Water Industries, Ltd.
| | | 24,000 | | 993,141 |
Kyocera Corp.
| | | 74,800 | | 3,714,348 |
Kyowa Kirin Co., Ltd.
| | | 62,300 | | 1,425,943 |
Lasertec Corp.
| | | 17,500 | | 2,884,061 |
Lixil Corp.
| | | 59,800 | | 906,891 |
M3, Inc.
| | | 101,900 | | 2,763,259 |
Makita Corp.
| | | 53,900 | | 1,258,191 |
Marubeni Corp.
| | | 361,300 | | 4,148,467 |
| Security Description | | | Shares | | Value |
Mazda Motor Corp.
| | | 118,100 | | $ 899,545 |
McDonald's Holdings Co. Japan, Ltd.
| | | 21,100 | | 798,776 |
MEIJI Holdings Co., Ltd.
| | | 28,000 | | 1,430,293 |
MINEBEA MITSUMI, Inc.
| | | 83,300 | | 1,244,339 |
MISUMI Group, Inc.
| | | 66,000 | | 1,440,100 |
Mitsubishi Chemical Group Corp.
| | | 296,900 | | 1,540,698 |
Mitsubishi Corp.
| | | 288,600 | | 9,368,099 |
Mitsubishi Electric Corp.
| | | 436,400 | | 4,344,321 |
Mitsubishi Estate Co., Ltd.
| | | 280,900 | | 3,642,578 |
Mitsubishi HC Capital, Inc.
| | | 161,000 | | 791,913 |
Mitsubishi Heavy Industries, Ltd.
| | | 76,800 | | 3,046,506 |
Mitsubishi UFJ Financial Group, Inc.
| | | 2,746,400 | | 18,504,298 |
Mitsui & Co., Ltd.
| | | 327,700 | | 9,569,352 |
Mitsui Chemicals, Inc.
| | | 49,100 | | 1,107,071 |
Mitsui Fudosan Co., Ltd.
| | | 203,800 | | 3,733,257 |
Mitsui OSK Lines, Ltd.
| | | 81,700 | | 2,037,159 |
Mizuho Financial Group, Inc.
| | | 550,140 | | 7,738,526 |
MonotaRO Co., Ltd.
| | | 53,900 | | 758,591 |
MS&AD Insurance Group Holdings, Inc.
| | | 99,800 | | 3,194,931 |
Murata Manufacturing Co., Ltd.
| | | 130,700 | | 6,525,837 |
NEC Corp.
| | | 58,300 | | 2,047,978 |
Nexon Co., Ltd.
| | | 116,200 | | 2,608,544 |
NGK Insulators, Ltd.
| | | 63,900 | | 812,643 |
Nidec Corp.
| | | 105,200 | | 5,452,748 |
Nihon M&A Center Holdings, Inc.
| | | 77,900 | | 961,758 |
Nintendo Co., Ltd.
| | | 252,600 | | 10,590,649 |
Nippon Building Fund, Inc. REIT
| | | 377 | | 1,680,064 |
Nippon Express Holdings, Inc.
| | | 16,100 | | 920,035 |
Nippon Paint Holdings Co., Ltd.
| | | 190,000 | | 1,496,154 |
Nippon Prologis REIT, Inc.
| | | 470 | | 1,098,905 |
Nippon Sanso Holdings Corp.
| | | 47,100 | | 683,949 |
Nippon Shinyaku Co., Ltd.
| | | 10,200 | | 578,241 |
Nippon Steel Corp.
| | | 180,800 | | 3,140,654 |
Nippon Telegraph & Telephone Corp.
| | | 272,600 | | 7,772,338 |
Nippon Yusen KK
| | | 112,100 | | 2,642,245 |
Nissan Chemical Corp.
| | | 32,800 | | 1,436,841 |
Nissan Motor Co., Ltd.
| | | 535,400 | | 1,696,546 |
Nisshin Seifun Group, Inc.
| | | 45,100 | | 565,010 |
Nissin Foods Holdings Co., Ltd.
| | | 15,100 | | 1,192,482 |
Nitori Holdings Co., Ltd.
| | | 18,900 | | 2,442,268 |
Nitto Denko Corp.
| | | 31,200 | | 1,808,936 |
Nomura Holdings, Inc.
| | | 645,100 | | 2,388,843 |
Nomura Real Estate Holdings, Inc.
| | | 30,100 | | 645,595 |
See accompanying notes to financial statements.
8
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Nomura Real Estate Master Fund, Inc. REIT
| | | 899 | | $ 1,110,591 |
Nomura Research Institute, Ltd.
| | | 88,300 | | 2,084,615 |
NTT Data Corp.
| | | 155,500 | | 2,276,903 |
Obayashi Corp.
| | | 137,000 | | 1,036,235 |
Obic Co., Ltd.
| | | 16,600 | | 2,441,972 |
Odakyu Electric Railway Co., Ltd.
| | | 66,800 | | 866,231 |
Oji Holdings Corp.
| | | 162,700 | | 654,771 |
Olympus Corp.
| | | 276,700 | | 4,932,346 |
Omron Corp.
| | | 45,400 | | 2,203,850 |
Ono Pharmaceutical Co., Ltd.
| | | 90,200 | | 2,107,595 |
Open House Group Co., Ltd.
| | | 22,200 | | 810,974 |
Oracle Corp. Japan
| | | 10,800 | | 697,381 |
Oriental Land Co., Ltd.
| | | 45,500 | | 6,607,147 |
ORIX Corp.
| | | 270,000 | | 4,335,102 |
Osaka Gas Co., Ltd.
| | | 80,300 | | 1,296,290 |
Otsuka Corp.
| | | 28,100 | | 884,880 |
Otsuka Holdings Co., Ltd.
| | | 94,600 | | 3,086,536 |
Pan Pacific International Holdings Corp.
| | | 82,500 | | 1,533,764 |
Panasonic Holdings Corp.
| | | 498,400 | | 4,194,727 |
Persol Holdings Co., Ltd.
| | | 41,400 | | 887,333 |
Rakuten Group, Inc. (a)
| | | 179,400 | | 810,356 |
Recruit Holdings Co., Ltd.
| | | 329,900 | | 10,443,687 |
Renesas Electronics Corp. (a)
| | | 279,200 | | 2,504,325 |
Resona Holdings, Inc.
| | | 513,100 | | 2,812,338 |
Ricoh Co., Ltd.
| | | 138,000 | | 1,053,212 |
Rohm Co., Ltd.
| | | 20,300 | | 1,466,209 |
SBI Holdings, Inc.
| | | 55,200 | | 1,053,002 |
SCSK Corp.
| | | 38,200 | | 579,319 |
Secom Co., Ltd.
| | | 46,800 | | 2,675,451 |
Seiko Epson Corp.
| | | 57,900 | | 845,166 |
Sekisui Chemical Co., Ltd.
| | | 92,400 | | 1,292,038 |
Sekisui House, Ltd.
| | | 141,800 | | 2,507,790 |
Seven & i Holdings Co., Ltd.
| | | 171,700 | | 7,365,357 |
SG Holdings Co., Ltd.
| | | 68,100 | | 944,507 |
Sharp Corp.
| | | 43,600 | | 312,266 |
Shimadzu Corp.
| | | 55,700 | | 1,580,935 |
Shimano, Inc.
| | | 16,200 | | 2,568,525 |
Shimizu Corp.
| | | 113,000 | | 602,918 |
Shin-Etsu Chemical Co., Ltd.
| | | 85,800 | | 10,550,646 |
Shionogi & Co., Ltd.
| | | 62,600 | | 3,124,663 |
Shiseido Co., Ltd.
| | | 95,400 | | 4,678,718 |
Shizuoka Financial Group, Inc.
| | | 96,100 | | 768,392 |
SMC Corp.
| | | 13,500 | | 5,686,688 |
Softbank Corp.
| | | 654,600 | | 7,382,203 |
SoftBank Group Corp.
| | | 276,300 | | 11,818,843 |
Sompo Holdings, Inc.
| | | 72,600 | | 3,224,343 |
Sony Group Corp.
| | | 290,000 | | 22,055,781 |
Square Enix Holdings Co., Ltd.
| | | 21,300 | | 989,571 |
Subaru Corp.
| | | 146,200 | | 2,246,546 |
SUMCO Corp.
| | | 87,100 | | 1,159,837 |
| Security Description | | | Shares | | Value |
Sumitomo Chemical Co., Ltd.
| | | 328,200 | | $ 1,179,028 |
Sumitomo Corp.
| | | 268,800 | | 4,473,719 |
Sumitomo Electric Industries, Ltd.
| | | 156,300 | | 1,782,207 |
Sumitomo Metal Mining Co., Ltd.
| | | 57,300 | | 2,028,484 |
Sumitomo Mitsui Financial Group, Inc.
| | | 299,200 | | 12,009,270 |
Sumitomo Mitsui Trust Holdings, Inc.
| | | 80,300 | | 2,792,197 |
Sumitomo Realty & Development Co., Ltd.
| | | 69,800 | | 1,651,035 |
Suntory Beverage & Food, Ltd.
| | | 35,200 | | 1,200,500 |
Suzuki Motor Corp.
| | | 82,000 | | 2,654,303 |
Sysmex Corp.
| | | 37,100 | | 2,248,860 |
T&D Holdings, Inc.
| | | 115,500 | | 1,664,944 |
Taisei Corp.
| | | 43,500 | | 1,401,152 |
Takeda Pharmaceutical Co., Ltd.
| | | 344,017 | | 10,718,511 |
TDK Corp.
| | | 86,800 | | 2,851,779 |
Terumo Corp.
| | | 154,000 | | 4,372,155 |
TIS, Inc.
| | | 48,400 | | 1,276,532 |
Tobu Railway Co., Ltd.
| | | 45,400 | | 1,059,775 |
Toho Co., Ltd.
| | | 29,100 | | 1,120,376 |
Tokio Marine Holdings, Inc.
| | | 419,400 | | 8,987,483 |
Tokyo Electric Power Co. Holdings, Inc. (a)
| | | 359,000 | | 1,295,115 |
Tokyo Electron, Ltd.
| | | 34,200 | | 10,077,654 |
Tokyo Gas Co., Ltd.
| | | 98,200 | | 1,923,885 |
Tokyu Corp.
| | | 123,200 | | 1,552,780 |
TOPPAN, INC.
| | | 53,900 | | 798,216 |
Toray Industries, Inc.
| | | 334,500 | | 1,867,389 |
Toshiba Corp.
| | | 93,600 | | 3,265,306 |
Tosoh Corp.
| | | 67,700 | | 805,555 |
TOTO, Ltd.
| | | 33,900 | | 1,156,164 |
Toyota Industries Corp.
| | | 36,500 | | 2,002,804 |
Toyota Motor Corp.
| | | 2,442,200 | | 33,547,974 |
Toyota Tsusho Corp.
| | | 51,900 | | 1,921,494 |
Trend Micro, Inc. (a)
| | | 31,300 | | 1,456,531 |
Unicharm Corp.
| | | 90,600 | | 3,479,941 |
USS Co., Ltd.
| | | 47,000 | | 746,258 |
Welcia Holdings Co., Ltd.
| | | 21,500 | | 501,061 |
West Japan Railway Co.
| | | 52,400 | | 2,275,187 |
Yakult Honsha Co., Ltd.
| | | 30,200 | | 1,959,241 |
Yamaha Corp.
| | | 36,500 | | 1,361,022 |
Yamaha Motor Co., Ltd.
| | | 69,400 | | 1,583,190 |
Yamato Holdings Co., Ltd.
| | | 73,500 | | 1,162,564 |
Yaskawa Electric Corp.
| | | 52,400 | | 1,677,896 |
Yokogawa Electric Corp.
| | | 54,600 | | 871,067 |
Z Holdings Corp.
| | | 628,000 | | 1,580,174 |
ZOZO, Inc.
| | | 26,100 | | 644,860 |
| | | | | | 722,635,981 |
| JORDAN — 0.0% (b) | |
Hikma Pharmaceuticals PLC
| | | 36,364 | | 678,880 |
See accompanying notes to financial statements.
9
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
| LUXEMBOURG — 0.2% | |
ArcelorMittal SA
| | | 124,550 | | $ 3,266,655 |
Eurofins Scientific SE
| | | 29,712 | | 2,126,480 |
| | | | | | 5,393,135 |
| MACAU — 0.2% | |
Galaxy Entertainment Group, Ltd.
| | | 506,000 | | 3,345,262 |
Sands China, Ltd. (a)
| | | 549,600 | | 1,823,796 |
| | | | | | 5,169,058 |
| NETHERLANDS — 5.0% | |
ABN AMRO Bank NV (c)
| | | 96,771 | | 1,334,879 |
Adyen NV (a)(c)
| | | 5,116 | | 7,034,727 |
Aegon NV
| | | 438,256 | | 2,216,098 |
Akzo Nobel NV
| | | 41,927 | | 2,799,345 |
Argenx SE (a)
| | | 12,453 | | 4,629,067 |
ASM International NV
| | | 10,428 | | 2,622,614 |
ASML Holding NV
| | | 93,705 | | 50,383,334 |
Euronext NV (c)
| | | 21,706 | | 1,602,141 |
EXOR NV (a)
| | | 24,631 | | 1,795,431 |
Heineken Holding NV
| | | 22,874 | | 1,758,904 |
Heineken NV
| | | 60,943 | | 5,715,837 |
IMCD NV
| | | 12,486 | | 1,774,314 |
ING Groep NV
| | | 862,129 | | 10,478,176 |
JDE Peet's NV
| | | 20,587 | | 593,669 |
Koninklijke Ahold Delhaize NV
| | | 246,765 | | 7,068,578 |
Koninklijke DSM NV
| | | 41,001 | | 5,001,573 |
Koninklijke KPN NV
| | | 731,441 | | 2,256,021 |
Koninklijke Philips NV
| | | 205,090 | | 3,065,226 |
NN Group NV
| | | 62,161 | | 2,531,584 |
OCI NV
| | | 24,942 | | 889,618 |
Randstad NV
| | | 28,118 | | 1,709,308 |
Shell PLC
| | | 1,674,442 | | 46,849,990 |
Universal Music Group NV
| | | 169,279 | | 4,066,723 |
Wolters Kluwer NV
| | | 59,706 | | 6,229,384 |
| | | | | | 174,406,541 |
| NEW ZEALAND — 0.2% | |
Auckland International Airport, Ltd. (a)
| | | 297,654 | | 1,470,242 |
Fisher & Paykel Healthcare Corp., Ltd.
| | | 144,217 | | 2,061,347 |
Mercury NZ, Ltd.
| | | 173,721 | | 610,876 |
Meridian Energy, Ltd.
| | | 311,573 | | 1,032,565 |
Spark New Zealand, Ltd.
| | | 443,430 | | 1,514,415 |
Xero, Ltd. (a)
| | | 32,240 | | 1,536,352 |
| | | | | | 8,225,797 |
| NORWAY — 0.7% | |
Aker BP ASA
| | | 72,284 | | 2,231,404 |
DNB Bank ASA
| | | 217,211 | | 4,287,552 |
Equinor ASA
| | | 217,383 | | 7,763,206 |
Gjensidige Forsikring ASA
| | | 46,488 | | 907,014 |
Kongsberg Gruppen ASA
| | | 20,452 | | 862,841 |
Mowi ASA
| | | 99,378 | | 1,686,733 |
Norsk Hydro ASA
| | | 307,687 | | 2,290,083 |
| Security Description | | | Shares | | Value |
Orkla ASA
| | | 159,655 | | $ 1,149,723 |
Salmar ASA
| | | 17,102 | | 668,039 |
Telenor ASA
| | | 150,862 | | 1,402,798 |
| | | | | | 23,249,393 |
| PORTUGAL — 0.2% | |
EDP - Energias de Portugal SA
| | | 621,379 | | 3,087,703 |
Galp Energia SGPS SA
| | | 119,416 | | 1,607,103 |
Jeronimo Martins SGPS SA
| | | 63,099 | | 1,358,969 |
| | | | | | 6,053,775 |
| SAUDI ARABIA — 0.1% | |
Delivery Hero SE (a)(c)
| | | 39,232 | | 1,874,953 |
| SINGAPORE — 1.6% | |
CapitaLand Ascendas REIT
| | | 824,615 | | 1,684,644 |
CapitaLand Integrated Commercial Trust REIT
| | | 1,159,489 | | 1,763,613 |
Capitaland Investment, Ltd.
| | | 621,482 | | 1,714,497 |
City Developments, Ltd.
| | | 91,600 | | 562,085 |
DBS Group Holdings, Ltd.
| | | 414,457 | | 10,481,943 |
Genting Singapore, Ltd.
| | | 1,255,700 | | 894,120 |
Grab Holdings, Ltd. Class A (a)
| | | 313,800 | | 1,010,436 |
Jardine Cycle & Carriage, Ltd.
| | | 25,900 | | 552,296 |
Keppel Corp., Ltd.
| | | 350,700 | | 1,898,361 |
Mapletree Logistics Trust REIT
| | | 785,804 | | 931,575 |
Mapletree Pan Asia Commercial Trust REIT
| | | 656,900 | | 817,941 |
Oversea-Chinese Banking Corp., Ltd.
| | | 799,166 | | 7,257,562 |
Sea, Ltd. ADR (a)
| | | 81,500 | | 4,240,445 |
Singapore Airlines, Ltd.
| | | 339,949 | | 1,401,669 |
Singapore Exchange, Ltd.
| | | 208,100 | | 1,388,678 |
Singapore Technologies Engineering, Ltd.
| | | 410,500 | | 1,025,332 |
Singapore Telecommunications, Ltd.
| | | 1,922,200 | | 3,683,309 |
STMicroelectronics NV
| | | 155,069 | | 5,460,584 |
United Overseas Bank, Ltd.
| | | 277,990 | | 6,363,177 |
UOL Group, Ltd.
| | | 136,932 | | 686,089 |
Venture Corp., Ltd.
| | | 73,700 | | 937,460 |
| | | | | | 54,755,816 |
| SOUTH AFRICA — 0.3% | |
Anglo American PLC
| | | 290,971 | | 11,328,046 |
| SPAIN — 2.3% | |
Acciona SA
| | | 5,850 | | 1,073,242 |
ACS Actividades de Construccion y Servicios SA
| | | 48,154 | | 1,375,773 |
Aena SME SA (a)(c)
| | | 18,507 | | 2,316,861 |
Amadeus IT Group SA (a)
| | | 105,891 | | 5,486,738 |
Banco Bilbao Vizcaya Argentaria SA
| | | 1,384,974 | | 8,327,688 |
See accompanying notes to financial statements.
10
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Banco Santander SA
| | | 3,846,144 | | $ 11,503,689 |
CaixaBank SA
| | | 1,034,418 | | 4,053,822 |
Cellnex Telecom SA (c)
| | | 122,513 | | 4,042,850 |
Corp. ACCIONA Energias Renovables SA
| | | 17,277 | | 666,381 |
EDP Renovaveis SA
| | | 71,921 | | 1,579,673 |
Enagas SA
| | | 53,522 | | 886,809 |
Endesa SA
| | | 70,762 | | 1,331,808 |
Ferrovial SA
| | | 108,936 | | 2,844,929 |
Grifols SA (a)
| | | 69,944 | | 803,956 |
Iberdrola SA
| | | 1,387,512 | | 16,185,379 |
Industria de Diseno Textil SA
| | | 248,257 | | 6,584,061 |
Naturgy Energy Group SA
| | | 33,258 | | 862,873 |
Red Electrica Corp. SA
| | | 100,451 | | 1,743,174 |
Repsol SA
| | | 312,523 | | 4,953,069 |
Telefonica SA
| | | 1,173,019 | | 4,237,695 |
| | | | | | 80,860,470 |
| SWEDEN — 2.9% | |
Alfa Laval AB
| | | 63,536 | | 1,836,047 |
Assa Abloy AB Class B
| | | 226,956 | | 4,872,600 |
Atlas Copco AB Class A
| | | 612,154 | | 7,232,224 |
Atlas Copco AB Class B
| | | 351,318 | | 3,745,998 |
Boliden AB
| | | 60,570 | | 2,274,391 |
Electrolux AB Class B
| | | 50,198 | | 678,235 |
Embracer Group AB (a)
| | | 129,428 | | 587,423 |
Epiroc AB Class A
| | | 146,865 | | 2,675,975 |
Epiroc AB Class B
| | | 90,050 | | 1,448,907 |
EQT AB
| | | 67,811 | | 1,435,684 |
Essity AB Class B
| | | 136,914 | | 3,591,208 |
Evolution AB (c)
| | | 42,690 | | 4,160,221 |
Fastighets AB Balder Class B (a)
| | | 161,934 | | 754,071 |
Getinge AB Class B
| | | 58,281 | | 1,209,864 |
H & M Hennes & Mauritz AB Class B
| | | 181,959 | | 1,960,082 |
Hexagon AB Class B
| | | 440,249 | | 4,605,513 |
Holmen AB Class B
| | | 21,157 | | 840,432 |
Husqvarna AB Class B
| | | 96,287 | | 675,705 |
Industrivarden AB Class A
| | | 27,593 | | 671,321 |
Industrivarden AB Class C
| | | 32,804 | | 796,527 |
Indutrade AB
| | | 66,570 | | 1,348,714 |
Investment AB Latour Class B
| | | 36,812 | | 696,353 |
Investor AB Class A
| | | 109,907 | | 2,044,769 |
Investor AB Class B
| | | 415,412 | | 7,517,644 |
Kinnevik AB Class B (a)
| | | 60,644 | | 833,458 |
L E Lundbergforetagen AB Class B
| | | 16,895 | | 720,099 |
Lifco AB Class B
| | | 61,729 | | 1,031,729 |
Nibe Industrier AB Class B
| | | 364,595 | | 3,397,685 |
Sagax AB Class B
| | | 44,033 | | 999,453 |
Sandvik AB
| | | 254,702 | | 4,605,390 |
Securitas AB Class B
| | | 120,853 | | 1,008,626 |
Skandinaviska Enskilda Banken AB Class A
| | | 364,727 | | 4,198,762 |
Skanska AB Class B
| | | 85,209 | | 1,349,344 |
| Security Description | | | Shares | | Value |
SKF AB Class B
| | | 82,107 | | $ 1,254,122 |
Svenska Cellulosa AB SCA Class B
| | | 132,290 | | 1,675,288 |
Svenska Handelsbanken AB Class A
| | | 327,118 | | 3,299,592 |
Swedbank AB Class A
| | | 214,953 | | 3,657,677 |
Swedish Orphan Biovitrum AB (a)
| | | 37,852 | | 783,596 |
Tele2 AB Class B
| | | 133,723 | | 1,092,166 |
Telefonaktiebolaget LM Ericsson Class B
| | | 657,464 | | 3,842,752 |
Telia Co. AB
| | | 645,278 | | 1,651,050 |
Volvo AB Class A
| | | 41,104 | | 781,487 |
Volvo AB Class B
| | | 343,138 | | 6,207,078 |
Volvo Car AB Class B (a)
| | | 116,022 | | 527,580 |
| | | | | | 100,576,842 |
| SWITZERLAND — 7.3% | |
ABB, Ltd.
| | | 359,828 | | 10,913,072 |
Adecco Group AG
| | | 40,504 | | 1,333,498 |
Alcon, Inc.
| | | 113,964 | | 7,782,367 |
Bachem Holding AG Class B
| | | 8,450 | | 729,283 |
Baloise Holding AG
| | | 10,644 | | 1,641,698 |
Banque Cantonale Vaudoise
| | | 7,903 | | 758,097 |
Barry Callebaut AG
| | | 804 | | 1,589,403 |
BKW AG
| | | 5,541 | | 757,605 |
Chocoladefabriken Lindt & Spruengli AG (d)
| | | 231 | | 2,354,442 |
Chocoladefabriken Lindt & Spruengli AG (d)
| | | 24 | | 2,464,332 |
Cie Financiere Richemont SA Class A
| | | 119,810 | | 15,526,609 |
Clariant AG (a)
| | | 52,733 | | 834,996 |
Credit Suisse Group AG
| | | 799,709 | | 2,389,100 |
EMS-Chemie Holding AG
| | | 1,583 | | 1,071,074 |
Geberit AG
| | | 8,076 | | 3,801,446 |
Givaudan SA
| | | 2,100 | | 6,430,285 |
Holcim AG
| | | 126,142 | | 6,527,971 |
Julius Baer Group, Ltd.
| | | 47,683 | | 2,775,839 |
Kuehne + Nagel International AG
| | | 13,140 | | 3,056,343 |
Logitech International SA
| | | 42,328 | | 2,610,501 |
Lonza Group AG
| | | 16,997 | | 8,323,974 |
Novartis AG
| | | 498,606 | | 45,048,071 |
Partners Group Holding AG
| | | 5,314 | | 4,691,391 |
Roche Holding AG Bearer Shares
| | | 5,908 | | 2,288,616 |
Roche Holding AG
| | | 161,965 | | 50,854,769 |
Schindler Holding AG (d)
| | | 9,224 | | 1,733,737 |
Schindler Holding AG (d)
| | | 5,914 | | 1,066,208 |
SGS SA
| | | 1,533 | | 3,562,419 |
SIG Group AG (a)
| | | 76,223 | | 1,664,186 |
Sika AG
| | | 33,324 | | 7,985,226 |
Sonova Holding AG
| | | 13,020 | | 3,086,128 |
Straumann Holding AG
| | | 25,777 | | 2,942,122 |
Swatch Group AG Bearer Shares (d)
| | | 6,580 | | 1,870,450 |
See accompanying notes to financial statements.
11
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Swatch Group AG (d)
| | | 13,415 | | $ 696,559 |
Swiss Life Holding AG
| | | 7,324 | | 3,774,409 |
Swiss Prime Site AG
| | | 19,215 | | 1,664,594 |
Swisscom AG
| | | 6,131 | | 3,357,074 |
Temenos AG
| | | 14,894 | | 816,820 |
UBS Group AG
| | | 768,124 | | 14,284,018 |
VAT Group AG (c)
| | | 6,783 | | 1,853,375 |
Zurich Insurance Group AG
| | | 34,548 | | 16,515,975 |
| | | | | | 253,428,082 |
| UNITED KINGDOM — 11.3% | |
3i Group PLC
| | | 231,053 | | 3,728,481 |
Abrdn PLC
| | | 471,865 | | 1,074,195 |
Admiral Group PLC
| | | 41,914 | | 1,077,441 |
Ashtead Group PLC
| | | 100,040 | | 5,679,961 |
Associated British Foods PLC
| | | 86,465 | | 1,639,178 |
AstraZeneca PLC
| | | 357,168 | | 48,196,739 |
Auto Trader Group PLC (c)
| | | 235,016 | | 1,457,606 |
AVEVA Group PLC
| | | 28,680 | | 1,108,459 |
Aviva PLC
| | | 628,826 | | 3,349,406 |
BAE Systems PLC
| | | 713,413 | | 7,345,891 |
Barclays PLC
| | | 3,792,882 | | 7,232,411 |
Barratt Developments PLC
| | | 254,079 | | 1,212,747 |
Berkeley Group Holdings PLC
| | | 27,737 | | 1,258,856 |
BP PLC
| | | 4,328,880 | | 24,729,048 |
British American Tobacco PLC
| | | 491,195 | | 19,389,028 |
British Land Co. PLC REIT
| | | 225,039 | | 1,069,534 |
BT Group PLC
| | | 1,533,042 | | 2,066,311 |
Bunzl PLC
| | | 75,004 | | 2,489,234 |
Burberry Group PLC
| | | 86,453 | | 2,111,085 |
CK Hutchison Holdings, Ltd.
| | | 638,000 | | 3,829,659 |
CNH Industrial NV
| | | 238,512 | | 3,809,368 |
Coca-Cola Europacific Partners PLC (d)
| | | 38,200 | | 2,113,224 |
Coca-Cola Europacific Partners PLC (d)
| | | 9,101 | | 499,736 |
Compass Group PLC
| | | 403,637 | | 9,310,136 |
Croda International PLC
| | | 32,239 | | 2,561,051 |
DCC PLC
| | | 20,770 | | 1,019,357 |
Diageo PLC
| | | 523,684 | | 22,992,799 |
Entain PLC
| | | 129,710 | | 2,061,913 |
Experian PLC
| | | 209,703 | | 7,095,844 |
Haleon PLC (a)
| | | 1,147,730 | | 4,519,410 |
Halma PLC
| | | 93,679 | | 2,224,432 |
Hargreaves Lansdown PLC
| | | 89,571 | | 922,513 |
HSBC Holdings PLC
| | | 4,596,076 | | 28,511,103 |
Imperial Brands PLC
| | | 204,592 | | 5,096,810 |
Informa PLC
| | | 348,856 | | 2,600,083 |
InterContinental Hotels Group PLC
| | | 40,760 | | 2,325,994 |
Intertek Group PLC
| | | 36,462 | | 1,769,319 |
J Sainsbury PLC
| | | 395,938 | | 1,036,848 |
JD Sports Fashion PLC
| | | 613,667 | | 931,214 |
Johnson Matthey PLC
| | | 45,197 | | 1,156,397 |
| Security Description | | | Shares | | Value |
Just Eat Takeaway.com NV (a)(c)
| | | 43,530 | | $ 917,533 |
Kingfisher PLC
| | | 508,426 | | 1,443,954 |
Land Securities Group PLC REIT
| | | 155,421 | | 1,161,744 |
Legal & General Group PLC
| | | 1,424,274 | | 4,274,583 |
Lloyds Banking Group PLC
| | | 15,574,252 | | 8,507,234 |
London Stock Exchange Group PLC
| | | 74,861 | | 6,425,991 |
M&G PLC
| | | 636,034 | | 1,437,213 |
Melrose Industries PLC
| | | 990,407 | | 1,602,381 |
National Grid PLC
| | | 819,783 | | 9,835,534 |
NatWest Group PLC
| | | 1,239,771 | | 3,954,983 |
Next PLC
| | | 29,524 | | 2,061,968 |
Ocado Group PLC (a)
| | | 135,716 | | 1,006,943 |
Pearson PLC
| | | 149,421 | | 1,688,105 |
Persimmon PLC
| | | 69,777 | | 1,021,486 |
Phoenix Group Holdings PLC
| | | 184,958 | | 1,354,050 |
Reckitt Benckiser Group PLC
| | | 163,845 | | 11,340,514 |
RELX PLC (d)
| | | 445,227 | | 12,253,699 |
Rentokil Initial PLC
| | | 563,508 | | 3,443,448 |
Rolls-Royce Holdings PLC (a)
| | | 1,947,338 | | 2,183,167 |
Sage Group PLC
| | | 224,274 | | 2,011,474 |
Schroders PLC
| | | 183,151 | | 960,562 |
Segro PLC REIT
| | | 278,168 | | 2,555,070 |
Severn Trent PLC
| | | 54,976 | | 1,753,124 |
Smith & Nephew PLC
| | | 193,640 | | 2,584,354 |
Smiths Group PLC
| | | 88,955 | | 1,710,459 |
Spirax-Sarco Engineering PLC
| | | 16,231 | | 2,072,502 |
SSE PLC
| | | 241,788 | | 4,979,299 |
St James's Place PLC
| | | 134,575 | | 1,772,590 |
Standard Chartered PLC
| | | 584,797 | | 4,378,289 |
Taylor Wimpey PLC
| | | 764,908 | | 935,290 |
Tesco PLC
| | | 1,687,839 | | 4,551,938 |
Unilever PLC
| | | 585,964 | | 29,477,093 |
United Utilities Group PLC
| | | 155,320 | | 1,852,277 |
Vodafone Group PLC
| | | 6,219,922 | | 6,302,792 |
Whitbread PLC
| | | 45,292 | | 1,400,181 |
WPP PLC
| | | 259,824 | | 2,563,473 |
| | | | | | 390,378,118 |
| UNITED STATES — 3.7% | |
CyberArk Software, Ltd. (a)
| | | 9,300 | | 1,205,745 |
GSK PLC
| | | 933,807 | | 16,148,228 |
James Hardie Industries PLC CDI
| | | 105,109 | | 1,881,783 |
Nestle SA
| | | 634,345 | | 73,458,413 |
QIAGEN NV (a)
| | | 50,586 | | 2,537,971 |
Schneider Electric SE
| | | 124,614 | | 17,385,006 |
Stellantis NV (d)
| | | 83,110 | | 1,177,037 |
Stellantis NV (d)
| | | 436,308 | | 6,176,375 |
Swiss Re AG
| | | 68,620 | | 6,414,027 |
See accompanying notes to financial statements.
12
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Security Description | | | Shares | | Value |
Tenaris SA
| | | 114,203 | | $ 1,984,866 |
| | | | | | 128,369,451 |
TOTAL COMMON STOCKS
(Cost $2,820,373,303)
| | | | | 3,286,191,031 |
| | | | |
| PREFERRED STOCKS — 0.1% | |
| GERMANY — 0.1% | | | |
Dr. Ing. h.c. F. Porsche AG, (a)
| | 26,219 | 2,651,315 |
| RIGHTS — 0.0% (b) | | |
| AUSTRALIA — 0.0% (b) | | | |
Australia & New Zealand Banking Group, Ltd. (expiring 01/02/23) (a)(e)
| | 50,362 | — |
| SHORT-TERM INVESTMENTS — 5.4% | |
State Street Institutional Liquid Reserves Fund, Premier Class 4.42% (f)(g)
| 150,126,647 | 150,156,673 |
State Street Navigator Securities Lending Portfolio II (h)(i)
| 36,982,799 | 36,982,799 |
TOTAL SHORT-TERM INVESTMENTS
(Cost $187,143,303)
| 187,139,472 |
TOTAL INVESTMENTS — 100.4%
(Cost $3,009,718,838)
| 3,475,981,818 |
LIABILITIES IN EXCESS OF OTHER
ASSETS — (0.4)%
| (12,554,959) |
NET ASSETS — 100.0%
| $ 3,463,426,859 |
| (a) | Non-income producing security. |
| (b) | Amount is less than 0.05% of net assets. |
| (c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.4% of net assets as of December 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| (d) | Reflects separate holdings of the issuer's common stock traded on different securities exchanges. |
| (e) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of December 31, 2022, total aggregate fair value of the security is $0, representing 0.00% of the Portfolio's net assets. |
| (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, 2022 are shown in the Affiliate Table below. |
| (g) | The rate shown is the annualized seven-day yield at December 31, 2022. |
| (h) | The Portfolio invested in an affiliated entity. Amounts related to these transactions during the period ended December 31, 2022 are shown in the Affiliate Table below. |
| (i) | Investment of cash collateral for securities loaned. |
| ADR | American Depositary Receipt |
| CDI | CREST Depository Interest |
| REIT | Real Estate Investment Trust |
At December 31, 2022, open futures contracts were as follows:
| Description | | Number of
Contracts | | Expiration
Date | | Notional
Amount | | Value | | Unrealized
Appreciation
(Depreciation) |
| MSCI EAFE Index (long) | | 1,785 | | 03/17/2023 | | $175,569,498 | | $173,983,950 | | $(1,585,548) |
During the year ended December 31, 2022, the average notional value related to futures contracts was $94,573,923.
The following table summarizes the value of the Portfolio's investments according to the fair value hierarchy as of December 31, 2022.
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | | |
| INVESTMENTS: | | | | | | | | |
Common Stocks
| | $ 258,122,011 | | $3,028,069,020 | | $ — | | $3,286,191,031 |
Preferred Stocks
| | 2,651,315 | | — | | — | | 2,651,315 |
See accompanying notes to financial statements.
13
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
December 31, 2022
| Description | | Level 1 –
Quoted Prices | | Level 2 –
Other Significant
Observable Inputs | | Level 3 –
Significant
Unobservable Inputs | | Total |
Rights
| | $ — | | $ — | | $0 (a) | | $ — |
Short-Term Investments
| | 187,139,472 | | — | | — | | 187,139,472 |
TOTAL INVESTMENTS
| | $447,912,798 | | $3,028,069,020 | | $ — | | $3,475,981,818 |
| LIABILITIES: | | | | | | | | |
| OTHER FINANCIAL INSTRUMENTS: | | | | | | | | |
Futures Contracts(b)
| | (1,585,548) | | — | | — | | (1,585,548) |
TOTAL OTHER FINANCIAL INSTRUMENTS:
| | $ (1,585,548) | | $ — | | $ — | | $ (1,585,548) |
| (a) The Portfolio held a Level 3 security that was valued at $0 at December 31, 2022. | | | | |
| (b) Futures Contracts are valued at unrealized appreciation (depreciation). | | | | |
Sector Breakdown as of December 31, 2022
| | |
| | | % of Net Assets |
| | Financials | 17.7% |
| | Industrials | 14.3 |
| | Health Care | 12.8 |
| | Consumer Discretionary | 10.5 |
| | Consumer Staples | 10.0 |
| | Information Technology | 7.5 |
| | Materials | 7.4 |
| | Energy | 4.7 |
| | Communication Services | 4.3 |
| | Utilities | 3.3 |
| | Real Estate | 2.5 |
| | Short-Term Investments | 5.4 |
| | Liabilities in Excess of Other Assets | (0.4) |
| | TOTAL | 100.0% |
(The Fund's sector breakdown is expressed as a percentage of net assets and may change over time.)
Affiliate Table
| | Number of
Shares Held
at
12/31/21 | | Value at
12/31/21 | | Cost of
Purchases | | Proceeds
from
Shares Sold | | Realized
Gain (Loss) | | Change in
Unrealized
Appreciation/
Depreciation | | Number of
Shares Held
at
12/31/22 | | Value at
12/31/22 | | Dividend
Income |
State Street Institutional Liquid Reserves Fund, Premier Class
| 24,646,528 | | $24,648,993 | | $1,141,800,191 | | $1,016,317,583 | | $28,903 | | $(3,831) | | 150,126,647 | | $150,156,673 | | $ 966,521 |
State Street Navigator Securities Lending Portfolio II
| 21,854,737 | | 21,854,737 | | 665,007,875 | | 649,879,813 | | — | | — | | 36,982,799 | | 36,982,799 | | 909,784 |
Total
| | | $46,503,730 | | $1,806,808,066 | | $1,666,197,396 | | $28,903 | | $(3,831) | | | | $187,139,472 | | $1,876,305 |
See accompanying notes to financial statements.
14
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2022
| ASSETS | |
Investments in unaffiliated issuers, at value*
| $3,288,842,346 |
Investments in affiliated issuers, at value
| 187,139,472 |
Total Investments
| 3,475,981,818 |
Foreign currency, at value
| 2,725,627 |
Net cash at broker
| 10,266,223 |
Receivable for investments sold
| 272,436 |
Dividends receivable — unaffiliated issuers
| 3,481,251 |
Dividends receivable — affiliated issuers
| 251,329 |
Securities lending income receivable — unaffiliated issuers
| 5,729 |
Securities lending income receivable — affiliated issuers
| 24,363 |
Receivable for foreign taxes recoverable
| 11,724,983 |
Prepaid expenses and other assets
| 777 |
TOTAL ASSETS
| 3,504,734,536 |
| LIABILITIES | |
Due to custodian
| 1,979,336 |
Payable upon return of securities loaned
| 36,982,799 |
Payable for investments purchased
| 213 |
Payable to broker – accumulated variation margin on open futures contracts
| 1,581,465 |
Advisory fee payable
| 512,802 |
Custodian fees payable
| 168,297 |
Trustees’ fees and expenses payable
| 1,137 |
Professional fees payable
| 50,282 |
Printing and postage fees payable
| 25,461 |
Accrued expenses and other liabilities
| 5,885 |
TOTAL LIABILITIES
| 41,307,677 |
NET ASSETS
| $3,463,426,859 |
| COST OF INVESTMENTS: | |
Investments in unaffiliated issuers
| $2,822,575,535 |
Investments in affiliated issuers
| 187,143,303 |
Total cost of investments
| $3,009,718,838 |
Foreign currency, at cost
| $ 2,723,444 |
* Includes investments in securities on loan, at value
| $ 57,381,341 |
See accompanying notes to financial statements.
15
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENT OF OPERATIONS
For the Year Ended December 31, 2022
| INVESTMENT INCOME | |
Dividend income — unaffiliated issuers
| $ 137,598,962 |
Dividend income — affiliated issuers
| 966,521 |
Unaffiliated securities lending income
| 721,322 |
Affiliated securities lending income
| 909,784 |
Foreign taxes withheld
| (16,980,747) |
TOTAL INVESTMENT INCOME (LOSS)
| 123,215,842 |
| EXPENSES | |
Advisory fee
| 4,834,486 |
Custodian fees
| 563,228 |
Trustees’ fees and expenses
| 49,488 |
Professional fees and expenses
| 75,933 |
Printing and postage fees
| 15,881 |
Insurance expense
| 1,318 |
Interest expense
| 1,258 |
Miscellaneous expenses
| 38,836 |
TOTAL EXPENSES
| 5,580,428 |
NET INVESTMENT INCOME (LOSS)
| $ 117,635,414 |
| REALIZED AND UNREALIZED GAIN (LOSS) | |
| Net realized gain (loss) on: | |
Investments — unaffiliated issuers
| (168,402,901) |
Investments — affiliated issuers
| 28,903 |
Foreign currency transactions
| (1,984,491) |
Futures contracts
| (3,597,910) |
Net realized gain (loss)
| (173,956,399) |
| Net change in unrealized appreciation/depreciation on: | |
Investments — unaffiliated issuers
| (594,977,894) |
Investments — affiliated issuers
| (3,831) |
Foreign currency translations
| (697,238) |
Futures contracts
| (2,112,330) |
Net change in unrealized appreciation/depreciation
| (597,791,293) |
NET REALIZED AND UNREALIZED GAIN (LOSS)
| (771,747,692) |
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS
| $ (654,112,278) |
See accompanying notes to financial statements.
16
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
| | Year Ended
12/31/22 | | Year Ended
12/31/21 |
| INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | | | |
Net investment income (loss)
| $ 117,635,414 | | $ 106,772,031 |
Net realized gain (loss)
| (173,956,399) | | 16,660,236 |
Net change in unrealized appreciation/depreciation
| (597,791,293) | | 289,008,821 |
Net increase (decrease) in net assets resulting from operations
| (654,112,278) | | 412,441,088 |
| FROM BENEFICIAL INTEREST TRANSACTIONS: | | | |
Contributions
| 821,579,217 | | 673,180,166 |
Withdrawals
| (1,050,600,083) | | (394,883,626) |
Net increase (decrease) in net assets from capital transactions
| (229,020,866) | | 278,296,540 |
Net increase (decrease) in net assets during the period
| (883,133,144) | | 690,737,628 |
Net assets at beginning of period
| 4,346,560,003 | | 3,655,822,375 |
NET ASSETS AT END OF PERIOD
| $ 3,463,426,859 | | $4,346,560,003 |
See accompanying notes to financial statements.
17
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period
| | Year
Ended
12/31/22 | | Year
Ended
12/31/21 | | Year
Ended
12/31/20 | | Year
Ended
12/31/19 | | Year
Ended
12/31/18 |
Total return (a)
| (14.64)% | | 11.25% | | 7.96% | | 22.11% | | (13.83)% |
| Ratios and Supplemental Data: | | | | | | | | | |
Net assets, end of period (in 000s)
| $3,463,427 | | $4,346,560 | | $3,655,822 | | $3,726,406 | | $2,809,510 |
| Ratios to average net assets: | | | | | | | | | |
Total expenses
| 0.14% | | 0.14% | | 0.14% | | 0.15% | | 0.15% |
Net investment income (loss)
| 2.98% | | 2.67% | | 2.35% | | 3.17% | | 2.96% |
Portfolio turnover rate
| 18% | | 7% | | 8% | | 3% | | 14% |
| (a) | Total return for periods of less than one year are not annualized. Results represent past performance and is not indicative of future results. |
See accompanying notes to financial statements.
18
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
December 31, 2022
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, 2022, the Trust consists of five (5) 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.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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 a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value 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, 2022 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.
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.
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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, 2022, 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. Securities deposited, if any, are designated on the Portfolio’s Schedule of Investments and cash deposited, if any, is shown as Cash at Broker on the Portfolio’s Statement of Assets and Liabilities. 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, 2022, the Portfolio entered into futures contracts for cash equitization, to reduce tracking error and to facilitate daily liquidity.
The following summarizes the value of the Portfolio's derivative instruments as of December 31, 2022, and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
| | Liability Derivatives |
| | Interest
Rate
Risk | | Foreign
Exchange
Risk | | Credit
Risk | | Equity
Risk | | Commodity
Risk | | Total |
Futures Contracts
| $— | | $— | | $— | | $1,581,465 | | $— | | $1,581,465 |
| | Net Realized Gain (Loss) |
| | Interest
Rate
Risk | | Foreign
Exchange
Risk | | Credit
Risk | | Equity
Risk | | Commodity
Risk | | Total |
Futures Contracts
| $— | | $— | | $— | | (3,597,910) | | $— | | (3,597,910) |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
| | Net Change in Unrealized Appreciation (Depreciation) |
| | Interest
Rate
Risk | | Foreign
Exchange
Risk | | Credit
Risk | | Equity
Risk | | Commodity
Risk | | Total |
Futures Contracts
| $— | | $— | | $— | | (2,112,330) | | $— | | (2,112,330) |
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.
Net proceeds collected by State Street on investment of cash collateral or any fee income less rebates payable to borrowers, are paid as follows: If the calendar year to date net proceeds is below a specified threshold across participating affiliated funds, the Portfolio retains eighty five percent (85%) of the net proceeds and fifteen percent (15%) of such net proceeds is payable to State Street. Starting the business day following the date that calendar year to date net proceeds exceeds a specified threshold, each Fund/Portfolio retains ninety percent (90%) of the net proceeds and ten percent (10%) of such net proceeds is 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.
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, 2022, are disclosed in the Schedule of Investments.
5. Trustees’ Fees
The fees and expenses of the 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, 2022, were as follows:
| | Purchases | | Sales |
State Street International Developed Equity Index Portfolio
| $676,811,745 | | $875,927,965 |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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 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, 2022, 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
| $3,150,413,456 | | $697,359,757 | | $373,376,943 | | $323,982,814 |
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.
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, 2022, 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, 2022:
| Portfolio | | Market Value of
Securities on Loan | | Cash
Collateral
Received | | Non-Cash
Collateral
Received* | | Total
Collateral
Received |
State Street International Developed Equity Index Portfolio
| | $ 57,381,341 | | $ 36,982,799 | | $ 23,607,921 | | $ 60,590,720 |
| * | The non-cash collateral includes U.S. Treasuries and U.S. Government Agency securities. |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
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, 2022:
| | | | | Remaining Contractual Maturity of the Agreements
as of December 31, 2022 |
| 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 | | $36,982,799 | | $— | | $— | | $— | | $36,982,799 | | $36,982,799 |
9. Line of Credit
The Portfolio and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of a $1.275 billion ($1.1 billion prior to October 6,2022) revolving credit facility, provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2023 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 1.00% plus the greater of the New York Fed Bank Rate and the one-month SOFR Rate.
The Portfolio had no outstanding loans as of December 31, 2022.
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 Risks
The Portfolio’s investments are subject to changes in general economic conditions, general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Portfolio is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness, such as COVID-19, or other public health issues, or other events could have a significant impact on the Portfolio and its investments.
Russian Sanctions Risk
Sanctions threatened or imposed by a number of jurisdictions, including the United States, the European Union and the United Kingdom, and other intergovernmental actions that have been or may be undertaken in the future, against Russia, Russian entities or Russian individuals, may result in the devaluation of Russian currency, a downgrade in the country’s credit rating, an immediate freeze of Russian assets, a decline in the value and liquidity of Russian securities, property or interests, and/or other adverse consequences to the Russian economy or the Portfolio's. The scope and scale of sanctions in place at a particular time may be expanded or otherwise modified in a way that have negative effects on the Portfolio's. Sanctions, or the threat of new or modified sanctions, could impair the ability of the Portfolio's to buy, sell, hold, receive, deliver or otherwise transact in certain affected securities or other investment instruments. Sanctions could also result in Russia taking counter measures or other actions in response, which may further impair the value and liquidity of Russian securities. These sanctions, and the resulting disruption of the Russian economy, may cause volatility in other regional and global
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2022
markets and may negatively impact the performance of various sectors and industries, as well as companies in other countries, which could have a negative effect on the performance of the Portfolio's, even if the Portfolio's does not have direct exposure to securities of Russian issuers. As a collective result of the imposition of sanctions, Russian government countermeasures and the impact that they have had on the trading markets for Russian securities, certain Portfolio's have used, and may in the future use, fair valuation procedures approved by the Portfolio’s Board to value certain Russian securities, which could result in such securities being deemed to have a zero value.
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 Owners of Beneficial Interest 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 series constituting State Street Master Funds (the “Trust”)), including the schedule of investments, as of December 31, 2022, 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 series constituting State Street Master Funds) at December 31, 2022, 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 Funds’ 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 financial 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, 2022, by correspondence with the custodian, brokers and others; when replies were not received from brokers and others, we performed other auditing procedures. 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 24, 2023
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION
December 31, 2022 (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, 2022 to December 31, 2022.
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(a) | | Ending Account
Value | | Expenses Paid
During Period(a) |
State Street International Developed Equity Index Portfolio
| 0.14% | | $1,062.50 | | $0.73 | | $1,024.50 | | $0.71 |
| (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 Portfolio's proxy voting policies and procedures that are used by the Portfolio's Adviser to vote proxies relating to Portfolio's portfolio of securities are available (i) without charge, upon request, by calling 1-877-521-4083 (toll free) and (ii) on the SEC's website at www.sec.gov. Information regarding how the Portfolio voted for the prior 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC's website, at www.sec.gov, and on the Portfolio's website at www.ssga.com.
Quarterly Portfolio Schedule
Following the Portfolio's first and third fiscal quarter-ends, a complete Schedule of Investments is filed with the SEC as exhibits on Form N-PORT, which can be found on the SEC's website at www.sec.gov and on the Funds' website at www.ssga.com. The Portfolio's Schedules of Investments are available upon request, without charge, by calling 1-800-997-7327 (toll free).
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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(1)
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). | | 55 | | 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 | | Associate Justice of the Superior Court, Commonwealth of Massachusetts (2002 - May 2010); Partner, Riley, Burke & Donahue, L.L.P. (law firm) (1985 - 2002); Independent Director, State Street Global Advisors Europe Limited (investment company) (1998 - present); Independent Director, SSGA Liquidity PLC (formerly, SSGA Cash Management Fund PLC) (1998 - present); Independent Director, SSGA Fixed Income PLC (January 2009 - present); Independent Director, SSGA Qualified Funds PLC (January 2009 - 2019). | | 55 | | Board Director and Chairman, SPDR Europe I PLC 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
Chairperson
of the Qualified
Legal
Compliance Committee | | Term: Indefinite
Elected: 12/18 | | Senior Advisor to NGN Capital LLC (January 2020 - present); Managing General Partner, NGN Capital LLC (2006 - December 2019). | | 55 | | Director, Kleinfeld Bridal Corp. (January 2016 - present); Trustee of Neuroscience Research Institute (1986 - 2017); Trustee of Fordham University (1989 - 1995 and 2001 - 2007) and Trustee Emeritus (2007 - present); Trustee and Independent Chairperson of GE Funds (1993 - February 2011); Director, Muscular Dystrophy Association (2019 - present); Trustee of Gregorian University Foundation (1992 - 2007); Chairman of the Board of Directors, Vivaldi Biosciences Inc. (May 2017 - present); Chairman of the Supervisory Board, Vivaldi Biosciences AG. (May 2017 - present); Trustee, Gallim Dance (December 2021 - present). |
Richard D. Shirk
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1945 | | Trustee and
Chairperson of
the Nominating
Committee and
Chairperson of the
Governance Committee | | Term: Indefinite
Elected: 1/14 | | Chairman (March 2001 - April 2002), President and Chief Executive Officer (1996 - March 2001), Cerulean Companies, Inc. (holding company) (Retired); President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare) (1992 - March 2001). | | 55 | | Chairman and Board Member (December 2008) and Investment Committee Member (December 2008 - present), Healthcare Georgia Foundation (private foundation); Lead Director and Board Member, Amerigroup Corp. (managed health care) (September 2002 - 2012); Board Member (1999 - 2013) and Investment Committee Member (2001 - 2017), Woodruff Arts Center; Trustee, Gettysburg College (2003 - 2009); Board member, Aerocare Holdings (2003 - January 2021), Regenesis Biomedical Inc. (April 2012 - present). |
Michael A. Jessee
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1946 | | Trustee and
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). | | 55 | | None. |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
Donna M. Rapaccioli
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1962 | | Trustee and
Chairperson
of the Audit Committee | | Term: Indefinite
Elected: 12/18 | | Dean of the Gabelli School of Business (2007 - June 2022) and Accounting Professor (1987 - present) at Fordham University. | | 55 | | Director- Graduate Management Admissions Council (2015 - present); Trustee of Emmanuel College (2010 - 2019). |
Margaret McLaughlin
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Consultant (since 2020) Bates Group (consultants); Consultant (2019 - 2020) Madison Dearborn Partners (private equity); General Counsel/CCO (2011 - 2019) Kramer Van Kirk Credit Strategies L.P./Mariana Systems LLC (Investment Adviser/SaaS Technology). | | 55 | | Director, Manning & Napier Fund Inc. (2021 - present). |
George Pereira
c/o SSGA Funds
Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1964 | | Trustee | | Term: Indefinite
Appointed: 9/22 | | Chief Operating Officer (January 2011 - September 2020) and Chief Financial Officer (November 2004 - September 2020), Charles Schwab Investment Management. | | 55 | | Director, Pacific Premier Bancorp, Pacific Premier Bank (2021 - present); Director, Charles Schwab Asset Management (Ireland) Ltd., & Charles Schwab Worldwide Funds PLC. (2005 - 2020); Director, Rotaplast International, Inc. (non-profit providing free medical services to children worldwide) (2012 - 2018). |
| Interested Trustee(2) | | | | | |
Ellen M. Needham(3)
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1967 | Trustee and President | Term: Indefinite
Elected 12/18 | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 - present). | 55 | Board Director, SSGA SPDR ETFs Europe I PLC (May 2020 - present); Board Director, SSGA SPDR ETFs Europe II PLC (May 2020 - present). |
| † 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) Mr. Holland retired as a Trustee of the Trust effective December 31, 2022. |
| (2) The individual listed below is a Trustee who is an “interested person,” as defined in the 1940 Act, of the Trust (“Interested Trustee”). |
| (3) Ms. Needham is an Interested Trustee because of her employment by SSGA FM, 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, 2022 (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
Served: Since 10/12 | | Chairman, SSGA Funds Management, Inc. (March 2020 - present); President and Director, SSGA Funds Management, Inc. (2001 - present)*; Senior Managing Director, State Street Global Advisors (1992 - present)*; Manager, 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
Served: Since 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
Served: Since 10/12
Term: Indefinite
Served: Since 2/16 | | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 - present)*; Managing Director, State Street Global Advisors (April 2005 - present).* |
CHAD C. HALLETT
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Deputy Treasurer | | Term: Indefinite
Served: Since 2/16 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 - present). |
DARLENE ANDERSON-VASQUEZ
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1968 | | Deputy Treasurer | | Term: Indefinite
Served: Since 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
Served: Since 9/17 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 - present); Mutual Fund Controller, GE Asset Management Incorporated (April 2011 - July 2016). |
DAVID LANCASTER
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1971 | | Assistant
Treasurer | | Term: Indefinite
Served: Since 11/20 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 - present); Assistant Vice President, State Street Bank and Trust Company (November 2011 - July 2017).* |
RYAN HILL
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1982 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2017 - present); Assistant Vice President, State Street Bank and Trust Company (May 2014 - May 2017). |
JOHN BETTENCOURT
SSGA Funds Management, Inc.
One Iron Street,
Boston, MA 02210
YOB:1976 | | Assistant Treasurer | | Term: Indefinite
Served: Since 5/22 | | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (March 2020 - present); Assistant Vice President, State Street Global Advisors (June 2007 - March 2020). |
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: Indifinite
Served: Since 11/13
Term: Indefinite
Served: Since 9/16 | | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 - present).* |
SEAN O'MALLEY
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB: 1969 | | Chief Legal Officer | | Term: Indefinite
Served: Since 8/19 | | Senior Vice President and General Counsel, State Street Global Advisors (May 2022 - present); Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 - May 2022). |
STATE STREET MASTER FUNDS
STATE STREET INTERNATIONAL DEVELOPED EQUITY INDEX PORTFOLIO
OTHER INFORMATION (continued)
December 31, 2022 (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 |
DAVID BARR
SSGA Funds Management, Inc.
One Iron Street
Boston, MA 02210
YOB:1974 | | Secretary | | Term: Indefinite
Served: Since 9/20 | | Vice President and Senior Counsel, State Street Global Advisors (October 2019 - present); Vice President and Counsel, Eaton Vance Corp. (October 2010 - October 2019). |
DAVID URMAN
SSGA Funds Management, Inc.
One Iron Street
Boston,MA 02210
YOB:1985 | | Assistant Secretary | | Term: Indefinite
Served: Since 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. |
| The Statement of Additional Information (SAI) includes additional information about the Trust's trustees and officers and is available, without charge, upon request and by calling 1-877-521-4083. |
| |
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Trustees
John R. Costantino
Michael F. Holland
Michael A. Jessee
Margaret McLaughlin
Ellen M. Needham
George Pereira
Donna M. Rapaccioli
Patrick J. Riley
Richard D. Shirk
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
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.
| | (b) | Not Applicable to the Registrant. |
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 Form N-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 Form N-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 Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Richard D. Shirk, John R. Costantino and George M. Pereira 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 Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as 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, 2022 and December 31, 2021, 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 $169,819 and $179,484, respectively.
For the fiscal years ended December 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, the aggregate tax fees billed for professional services rendered by E&Y were $9,487 and $27,827, respectively. Tax services related to the review of year-end distribution requirements for the fiscal year ended December 31, 2022 and the review of year-end distribution requirements as well as tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the fiscal year ended December 31, 2021.
For the fiscal years ended December 31, 2022 and December 31, 2021, 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, 2022 and December 31, 2021, 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) were pre-approved by the Audit Committee were approximately $9,327,125 and $8,904,469, respectively.
| | (e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
| | • | | To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Trust’s investment adviser (not including any sub-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 Trust, if the engagement relates directly to the operations and financial reporting of the Trust; |
| | • | | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-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 to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
| | • | | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
| | (e)(2) | Percentage of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
| | (f) | Not applicable to the Registrant. |
| | (g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2022 and December 31, 2021, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $38,000,000 and $38,000,000, respectively.
| | (h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
| | (i) | Not applicable to the Registrant. |
| | (j) | Not applicable to the Registrant. |
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 Form N-CSR. |
| | (b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.
Item 11. Controls and Procedures.
| | (a) | The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
| | (b) | There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 for Closed-End Management Investment Companies.
| | (a) | Not applicable to the Registrant. |
| | (b) | Not applicable to the Registrant. |
Item 13. Exhibits.
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 8, 2023 |
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 8, 2023 |
| |
| By: | | /s/ Bruce S. Rosenberg |
| | Bruce S. Rosenberg |
| | Treasurer (Principal Financial and Accounting Officer) |
| |
| Date: | | March 8, 2023 |
