Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
P.O. Box 5501
Boston, Massachusetts 02206
Boston, Massachusetts 02206
(Name and Address of Agent for Service) | Copy to: | |
David James, Vice President and Managing Counsel State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, Massachusetts 02116 | Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 662-1742
Date of fiscal year end: December 31
Date of reporting period: December 31, 2010
TABLE OF CONTENTS
Table of Contents
Item 1. Shareholder Report.
Table of Contents
STATE STREET INSTITUTIONAL INVESTMENT TRUST
ANNUAL REPORT
December 31, 2010
State Street Institutional Liquid Reserves Fund
State Street Institutional Tax Free Money Market Fund
State Street Institutional U.S. Government Money Market Fund
State Street Institutional Treasury Money Market Fund
State Street Institutional Treasury Plus Money Market Fund
Table of Contents
State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the below listed funds (the “Funds”), you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others, in addition to the Fund’s proportionate share of expenses of each series of the State Street Master Funds, in which each respective Fund invests substantially all of its assets (their respective “Portfolio”). This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Fund’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’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 Fund. 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 Fund under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund 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 Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
Institutional Class Shares | July 1, 2010 | December 31, 2010 | Period * | ||||||
Based on Actual Fund Return | |||||||||
Liquid Reserves Fund | $1,000.00 | $1,001.20 | $0.61 | ||||||
Tax Free Money Market Fund | $1,000.00 | $1,000.60 | $0.86 | ||||||
U.S. Government Money Market Fund | $1,000.00 | $1,000.50 | $0.61 | ||||||
Treasury Money Market Fund | $1,000.00 | $1,000.10 | $0.66 | ||||||
Treasury Plus Money Market Fund | $1,000.00 | $1,000.30 | $0.61 | ||||||
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Table of Contents
State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE (continued)
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
Institutional Class Shares | July 1, 2010 | December 31, 2010 | Period * | ||||||
Based on Hypothetical (5% return before expenses) | |||||||||
Liquid Reserves Fund | $1,000.00 | $1,024.60 | $0.61 | ||||||
Tax Free Money Market Fund | $1,000.00 | $1,024.35 | $0.87 | ||||||
U.S. Government Money Market Fund | $1,000.00 | $1,024.60 | $0.61 | ||||||
Treasury Money Market Fund | $1,000.00 | $1,024.55 | $0.66 | ||||||
Treasury Plus Money Market Fund | $1,000.00 | $1,024.60 | $0.61 | ||||||
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Institutional Class Shares’ annualized average weighted expense ratio as of December 31, 2010, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
Liquid Reserves Fund | 0.12% | |
Tax Free Money Market Fund | 0.17% | |
U.S. Government Money Market Fund | 0.12% | |
Treasury Money Market Fund | 0.13% | |
Treasury Plus Money Market Fund | 0.12% | |
The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
Investment Class Shares | July 1, 2010 | December 31, 2010 | Period * | ||||||
Based on Actual Fund Return | |||||||||
Liquid Reserves Fund | $1,000.00 | $1,000.00 | $1.81 | ||||||
Tax Free Money Market Fund | $1,000.00 | $1,000.20 | $1.26 | ||||||
U.S. Government Money Market Fund | $1,000.00 | $1,000.00 | $1.11 | ||||||
Treasury Money Market Fund | $1,000.00 | $1,000.00 | $0.76 | ||||||
Treasury Plus Money Market Fund | $1,000.00 | $1,000.00 | $0.91 | ||||||
3
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State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE (continued)
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
Investment Class Shares | July 1, 2010 | December 31, 2010 | Period * | ||||||
Based on Hypothetical (5% return before expenses) | |||||||||
Liquid Reserves Fund | $1,000.00 | $1,023.39 | $1.84 | ||||||
Tax Free Money Market Fund | $1,000.00 | $1,023.95 | $1.28 | ||||||
U.S. Government Money Market Fund | $1,000.00 | $1,024.10 | $1.12 | ||||||
Treasury Money Market Fund | $1,000.00 | $1,024.45 | $0.77 | ||||||
Treasury Plus Money Market Fund | $1,000.00 | $1,024.30 | $0.92 | ||||||
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Investment Class Shares’ annualized average weighted expense ratio as of December 31, 2010, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
Liquid Reserves Fund | 0.36% | |
Tax Free Money Market Fund | 0.25% | |
U.S. Government Money Market Fund | 0.22% | |
Treasury Money Market Fund | 0.15% | |
Treasury Plus Money Market Fund | 0.18% | |
The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).
4
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2010
Liquid | Tax Free | U.S. Government | Treasury | Treasury Plus | ||||||||||||||||
Reserves | Money Market | Money Market | Money Market | Money Market | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in corresponding Portfolio, at market value and cost (Note 1) | $ | 26,118,295,385 | $ | 405,327,347 | $ | 4,909,594,692 | $ | 3,656,737,948 | $ | 933,746,878 | ||||||||||
Receivable from Adviser and Distributor (Note 3) | 889,817 | 67,433 | 184,773 | 315,493 | 74,672 | |||||||||||||||
Prepaid expenses | 9,667 | 1,891 | 3,373 | 2,951 | 2,154 | |||||||||||||||
Total assets | 26,119,194,869 | 405,396,671 | 4,909,782,838 | 3,657,056,392 | 933,823,704 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Administration and custody fees (Note 3) | 4,199 | 4,199 | 4,199 | 4,199 | 4,199 | |||||||||||||||
Distribution fees (Note 3) | 71,346 | 25,125 | 43,120 | 76,833 | 12,806 | |||||||||||||||
Dividends payable | 324,886 | 585 | 22,946 | 53 | 57 | |||||||||||||||
Registration and filing fees | 1,490,368 | 1,345 | 103,737 | 149,131 | 20,957 | |||||||||||||||
Shareholder servicing fee (Note 3) | 178,368 | 62,812 | 107,801 | 192,081 | 31,496 | |||||||||||||||
Professional fees | 16,457 | 16,459 | 16,459 | 16,459 | 16,460 | |||||||||||||||
Transfer agent fees | 1,203 | 1,456 | 2,894 | 1,996 | 2,180 | |||||||||||||||
Accrued expenses and other liabilities | 15,632 | 6,850 | 20,931 | 7,672 | 14,233 | |||||||||||||||
Total liabilities | 2,102,459 | 118,831 | 322,087 | 448,424 | 102,388 | |||||||||||||||
Net Assets | $ | 26,117,092,410 | $ | 405,277,840 | $ | 4,909,460,751 | $ | 3,656,607,968 | $ | 933,721,316 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid in capital | $ | 26,117,088,152 | $ | 405,277,742 | $ | 4,909,631,393 | $ | 3,656,571,991 | $ | 933,721,406 | ||||||||||
Undistributed net investment income | – | 98 | – | – | – | |||||||||||||||
Accumulated net realized gain (loss) | 4,258 | – | (170,642 | ) | 35,977 | (90 | ) | |||||||||||||
Net Assets | $ | 26,117,092,410 | $ | 405,277,840 | $ | 4,909,460,751 | $ | 3,656,607,968 | $ | 933,721,316 | ||||||||||
Total Net Assets | ||||||||||||||||||||
Institutional Class | $ | 25,211,487,935 | $ | 114,404,314 | $ | 4,430,327,487 | $ | 2,790,266,829 | $ | 811,143,862 | ||||||||||
Investment Class | $ | 905,604,475 | $ | 290,873,526 | $ | 479,133,264 | $ | 866,341,139 | $ | 122,577,454 | ||||||||||
Shares of Beneficial Interest Outstanding | ||||||||||||||||||||
Institutional Class | 25,211,495,998 | 114,398,438 | 4,430,696,727 | 2,790,335,708 | 811,267,895 | |||||||||||||||
Investment Class | 905,589,773 | 290,883,597 | 479,204,900 | 866,337,046 | 122,601,659 | |||||||||||||||
Offering, Net Asset Value and Redemption Price Per Share | ||||||||||||||||||||
Institutional Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Investment Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
See Notes to Financial Statements.
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State Street Institutional Investment Trust
Statements of Operations
Year Ended December 31, 2010
Liquid | Tax Free | U.S. Government | Treasury | Treasury Plus | ||||||||||||||||
Reserves | Money Market | Money Market | Money Market | Money Market | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
Income and Expenses allocated from Portfolio | ||||||||||||||||||||
Interest income allocated from Portfolio (Note 2) | $ | 65,017,534 | $ | 932,879 | $ | 7,700,907 | $ | 3,615,997 | $ | 1,370,070 | ||||||||||
Expenses allocated from Portfolio (Note 2) | (23,806,380 | ) | (519,802 | ) | (4,695,885 | ) | (3,352,403 | ) | (1,112,879 | ) | ||||||||||
41,211,154 | 413,077 | 3,005,022 | 263,594 | 257,191 | ||||||||||||||||
Expenses | ||||||||||||||||||||
Administration and custody fees (Note 3) | 37,298 | 37,298 | 37,297 | 37,298 | 37,298 | |||||||||||||||
Transfer agent fees (Note 3) | 31,279 | 15,282 | 28,161 | 19,065 | 19,781 | |||||||||||||||
Professional fees | 20,961 | 20,960 | 20,960 | 20,960 | 20,959 | |||||||||||||||
Registration and filing fees | 1,549,119 | 32,907 | 107,480 | 157,565 | 52,848 | |||||||||||||||
Shareholder servicing fee – Investment Class (Note 3) | 2,173,191 | 696,088 | 1,413,191 | 1,917,652 | 362,626 | |||||||||||||||
Distribution fees – Investment Class (Note 3) | 869,276 | 278,435 | 565,277 | 767,061 | 145,051 | |||||||||||||||
Printing fees | 47,863 | 14,063 | 55,438 | 14,600 | 40,434 | |||||||||||||||
Other expenses | 107,882 | 18,930 | 40,660 | 35,360 | 21,689 | |||||||||||||||
Total expenses | 4,836,869 | 1,113,963 | 2,268,464 | 2,969,561 | 700,686 | |||||||||||||||
Less: Adviser fees waived (Note 3) | (1,342,321 | ) | (177,017 | ) | (558,807 | ) | (899,944 | ) | (344,615 | ) | ||||||||||
Shareholder servicing fees waived – Investment Class (Note 3) | (250,284 | ) | (331,513 | ) | (662,885 | ) | (1,324,946 | ) | (249,033 | ) | ||||||||||
Distribution fees waived – Investment Class (Note 3) | (765,592 | ) | (278,435 | ) | (565,277 | ) | (767,061 | ) | (145,051 | ) | ||||||||||
Total net expenses | 2,478,672 | 326,998 | 481,495 | (22,390 | ) | (38,013 | ) | |||||||||||||
Net Investment Income | $ | 38,732,482 | $ | 86,079 | $ | 2,523,527 | $ | 285,984 | $ | 295,204 | ||||||||||
Net realized gain (loss) allocated from Portfolio on investments | $ | 64,628 | $ | 77,445 | $ | – | $ | 38,516 | $ | (90 | ) | |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 38,797,110 | $ | 163,524 | $ | 2,523,527 | $ | 324,500 | $ | 295,114 | ||||||||||
See Notes to Financial Statements.
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State Street Institutional Investment Trust
Statements of Changes in Net Assets
Liquid Reserves Fund | Tax Free Money Market Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 38,732,482 | $ | 43,119,077 | $ | 86,079 | $ | 1,056,976 | ||||||||
Net realized gain on investments | 64,628 | 37,239 | 77,445 | 500 | ||||||||||||
Net increase in net assets from operations | 38,797,110 | 43,156,316 | 163,524 | 1,057,476 | ||||||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (38,930,708 | ) | (41,661,478 | ) | (82,346 | ) | (320,033 | ) | ||||||||
Investment Class | (6,931 | ) | (1,468,788 | ) | (20,089 | ) | (736,943 | ) | ||||||||
Net realized gain on investments | ||||||||||||||||
Institutional Class | – | – | (17,453 | ) | – | |||||||||||
Investment Class | – | – | (54,704 | ) | – | |||||||||||
Total dividends declared | (38,937,639 | ) | (43,130,266 | ) | (174,592 | ) | (1,056,976 | ) | ||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 95,214,543,942 | 31,476,546,181 | 922,508,794 | 950,264,895 | ||||||||||||
Reinvestment of distributions | 35,304,775 | 38,441,721 | 85,577 | 279,345 | ||||||||||||
Shares redeemed | (84,546,633,951 | ) | (24,781,096,274 | ) | (908,169,139 | ) | (915,740,010 | ) | ||||||||
Net increase (decrease) from capital share transactions | 10,703,214,766 | 6,733,891,628 | 14,425,232 | 34,804,230 | ||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 3,238,336,381 | 4,072,388,460 | 394,193,679 | 464,760,616 | ||||||||||||
Reinvestment of distribution | 1,607 | 696 | – | – | ||||||||||||
Shares redeemed | (3,219,717,186 | ) | (3,954,687,450 | ) | (379,451,834 | ) | (511,595,805 | ) | ||||||||
Net increase (decrease) from capital share transactions | 18,620,802 | 117,701,706 | 14,741,845 | (46,835,189 | ) | |||||||||||
Net Increase (Decrease) in Net Assets | 10,721,695,039 | 6,851,619,384 | 29,156,009 | (12,030,459 | ) | |||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 15,395,397,371 | 8,543,777,987 | 376,121,831 | 388,152,290 | ||||||||||||
End of year | $ | 26,117,092,410 | $ | 15,395,397,371 | $ | 405,277,840 | $ | 376,121,831 | ||||||||
Undistributed net investment income | $ | – | $ | 118,461 | $ | 98 | $ | 16,454 | ||||||||
Changes in Shares: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 95,214,543,942 | 31,476,546,181 | 922,508,794 | 950,264,895 | ||||||||||||
Reinvestment of distributions | 35,304,775 | 38,441,721 | 85,577 | 279,345 | ||||||||||||
Shares redeemed | (84,546,633,951 | ) | (24,781,096,274 | ) | (908,169,139 | ) | (915,740,010 | ) | ||||||||
Net increase in shares | 10,703,214,766 | 6,733,891,628 | 14,425,232 | 34,804,230 | ||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 3,238,336,381 | 4,072,388,460 | 394,193,679 | 464,760,616 | ||||||||||||
Reinvestment of distributions | 1,607 | 696 | – | – | ||||||||||||
Shares redeemed | (3,219,717,186 | ) | (3,954,687,450 | ) | (379,451,834 | ) | (511,595,805 | ) | ||||||||
Net increase (decrease) in shares | 18,620,802 | 117,701,706 | 14,741,845 | (46,835,189 | ) | |||||||||||
See Notes to Financial Statements.
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State Street Institutional Investment Trust
Statements of Changes in Net Assets
U.S. Government Money Market Fund | Treasury Money Market Fund | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 2,523,527 | $ | 4,904,349 | $ | 285,984 | $ | 494,405 | ||||||||
Net realized gain on investments | – | 8,555 | 38,516 | 33,178 | ||||||||||||
Net increase in net assets from operations | 2,523,527 | 4,912,904 | 324,500 | 527,583 | ||||||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (2,528,276 | ) | (4,818,376 | ) | (299,078 | ) | (560,368 | ) | ||||||||
Investment Class | (548 | ) | (530,107 | ) | (3,890 | ) | (34,800 | ) | ||||||||
Net realized gain on investments | ||||||||||||||||
Institutional Class | – | – | – | (31,722 | ) | |||||||||||
Investment Class | – | – | – | (13,134 | ) | |||||||||||
Total dividends declared | (2,528,824 | ) | (5,348,483 | ) | (302,968 | ) | (640,024 | ) | ||||||||
Net Increase (Decrease) from Capital Share Transactions: | �� | |||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 17,291,852,056 | 10,081,190,580 | 8,613,618,981 | 4,574,920,668 | ||||||||||||
Reinvestment of distributions | 2,212,768 | 4,098,460 | 290,711 | 577,210 | ||||||||||||
Shares redeemed | (15,742,940,386 | ) | (8,865,292,334 | ) | (7,405,183,807 | ) | (4,030,154,624 | ) | ||||||||
Net increase from capital share transactions | 1,551,124,438 | 1,219,996,706 | 1,208,725,885 | 545,343,254 | ||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 1,733,284,244 | 3,751,517,622 | 2,844,731,831 | 1,670,078,060 | ||||||||||||
Reinvestment of distribution | 40 | 6,383 | – | – | ||||||||||||
Shares redeemed | (1,806,007,832 | ) | (4,498,088,762 | ) | (2,674,849,470 | ) | (2,058,092,820 | ) | ||||||||
Net increase (decrease) from capital share transactions | (72,723,548 | ) | (746,564,757 | ) | 169,882,361 | (388,014,760 | ) | |||||||||
Net Increase in Net Assets | 1,478,395,593 | 472,996,370 | 1,378,629,778 | 157,216,053 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 3,431,065,158 | 2,958,068,788 | 2,277,978,190 | 2,120,762,137 | ||||||||||||
End of year | $ | 4,909,460,751 | $ | 3,431,065,158 | $ | 3,656,607,968 | $ | 2,277,978,190 | ||||||||
Undistributed net investment income | $ | – | $ | – | $ | – | $ | – | ||||||||
Changes in Shares: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 17,291,852,056 | 10,081,190,580 | 8,613,618,981 | 4,574,920,668 | ||||||||||||
Reinvestment of distributions | 2,212,768 | 4,098,460 | 290,711 | 577,210 | ||||||||||||
Shares redeemed | (15,742,940,386 | ) | (8,865,292,334 | ) | (7,405,183,807 | ) | (4,030,154,624 | ) | ||||||||
Net increase in shares | 1,551,124,438 | 1,219,996,706 | 1,208,725,885 | 545,343,254 | ||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 1,733,284,244 | 3,751,517,622 | 2,844,731,831 | 1,670,078,060 | ||||||||||||
Reinvestment of distributions | 40 | 6,383 | – | – | ||||||||||||
Shares redeemed | (1,806,007,832 | ) | (4,498,088,762 | ) | (2,674,849,470 | ) | (2,058,092,820 | ) | ||||||||
Net increase (decrease) in shares | (72,723,548 | ) | (746,564,757 | ) | 169,882,361 | (388,014,760 | ) | |||||||||
See Notes to Financial Statements.
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State Street Institutional Investment Trust
Statements of Changes in Net Assets
Treasury Plus Money Market Fund | ||||||||
Year Ended | Year Ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations | ||||||||
Net investment income | $ | 295,204 | $ | 214,297 | ||||
Net realized gain (loss) on investments | (90 | ) | 4,611 | |||||
Net increase in net assets from operations | 295,114 | 218,908 | ||||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Institutional Class | (295,204 | ) | (332,933 | ) | ||||
Investment Class | – | (29,512 | ) | |||||
Net realized gain on investments | ||||||||
Institutional Class | – | (13,738 | ) | |||||
Investment Class | – | (2,913 | ) | |||||
Total dividends declared | (295,204 | ) | (379,096 | ) | ||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Institutional Class | ||||||||
Shares sold | 5,050,984,230 | 2,439,058,438 | ||||||
Reinvestment of distributions | 287,439 | 268,350 | ||||||
Shares redeemed | (4,894,671,156 | ) | (2,522,288,095 | ) | ||||
Net increase (decrease) from capital share transactions | 156,600,513 | (82,961,307 | ) | |||||
Investment Class | ||||||||
Shares sold | 498,218,778 | 1,186,918,735 | ||||||
Reinvestment of distribution | – | 8,757 | ||||||
Shares redeemed | (521,740,509 | ) | (1,256,385,677 | ) | ||||
Net decrease from capital share transactions | (23,521,731 | ) | (69,458,185 | ) | ||||
Net Increase (Decrease) in Net Assets | 133,078,692 | (152,579,680 | ) | |||||
Net Assets | ||||||||
Beginning of year | 800,642,624 | 953,222,304 | ||||||
End of year | $ | 933,721,316 | $ | 800,642,624 | ||||
Undistributed net investment income | $ | – | $ | – | ||||
Changes in Shares: | ||||||||
Institutional Class | ||||||||
Shares sold | 5,050,984,230 | 2,439,058,438 | ||||||
Reinvestment of distributions | 287,439 | 268,350 | ||||||
Shares redeemed | (4,894,671,156 | ) | (2,522,288,095 | ) | ||||
Net increase (decrease) in shares | 156,600,513 | (82,961,307 | ) | |||||
Investment Class | ||||||||
Shares sold | 498,218,778 | 1,186,918,735 | ||||||
Reinvestment of distributions | – | 8,757 | ||||||
Shares redeemed | (521,740,509 | ) | (1,256,385,677 | ) | ||||
Net decrease in shares | (23,521,731 | ) | (69,458,185 | ) | ||||
See Notes to Financial Statements.
9
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each period is presented below (a):
Net Asset | Gain | Distributions | ||||||||||||||||||||||||||
Value | Net | (Loss) | Total from | from Net | Distributions | |||||||||||||||||||||||
Beginning | Investment | on | Investment | Investment | from Capital | Total | ||||||||||||||||||||||
Period Ended December 31, | of Period | Income/(Loss) | Investments | Operations | Income | Gains | Distributions | |||||||||||||||||||||
Liquid Reserves Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0019 | $ | 0.0000 | (d) | $ | 0.0019 | $ | (0.0019 | ) | $ | – | $ | (0.0019 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0049 | $ | 0.0000 | (d) | $ | 0.0049 | $ | (0.0049 | ) | $ | – | $ | (0.0049 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0278 | $ | 0.0000 | (d) | $ | 0.0278 | $ | (0.0278 | ) | $ | – | $ | (0.0278 | ) | |||||||||||
2007 | $ | 1.0000 | $ | 0.0516 | $ | 0.0000 | (d) | $ | 0.0516 | $ | (0.0516 | ) | $ | – | $ | (0.0516 | ) | |||||||||||
2006 | $ | 1.0000 | $ | 0.0496 | $ | – | $ | 0.0496 | $ | (0.0496 | ) | $ | – | $ | (0.0496 | ) | ||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | |||||||||
2009 | $ | 1.0000 | $ | 0.0019 | $ | 0.0000 | (d) | $ | 0.0019 | $ | (0.0019 | ) | $ | – | $ | (0.0019 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0243 | $ | 0.0000 | (d) | $ | 0.0243 | $ | (0.0243 | ) | $ | – | $ | (0.0243 | ) | |||||||||||
2007(f) | $ | 1.0000 | $ | 0.0097 | $ | – | $ | 0.0097 | $ | (0.0097 | ) | $ | – | $ | (0.0097 | ) | ||||||||||||
Tax Free Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0007 | $ | 0.0003 | $ | 0.0010 | $ | (0.0008 | ) | $ | (0.0002 | ) | $ | (0.0010 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0043 | $ | 0.0000 | (d) | $ | 0.0043 | $ | (0.0043 | ) | $ | – | $ | (0.0043 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0229 | $ | 0.0000 | (d) | $ | 0.0229 | $ | (0.0229 | ) | $ | – | $ | (0.0229 | ) | |||||||||||
2007(g) | $ | 1.0000 | $ | 0.0309 | $ | 0.0000 | (d) | $ | 0.0309 | $ | (0.0309 | ) | $ | – | $ | (0.0309 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0001 | $ | 0.0002 | $ | 0.0003 | $ | (0.0001 | ) | $ | (0.0002 | ) | $ | (0.0003 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0022 | $ | 0.0000 | (d) | $ | 0.0022 | $ | (0.0022 | ) | $ | – | $ | (0.0022 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0194 | $ | 0.0000 | (d) | $ | 0.0194 | $ | (0.0194 | ) | $ | – | $ | (0.0194 | ) | |||||||||||
2007(h) | $ | 1.0000 | $ | 0.0065 | $ | 0.0000 | (d) | $ | 0.0065 | $ | (0.0065 | ) | $ | – | $ | (0.0065 | ) | |||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0007 | $ | 0.0000 | $ | 0.0007 | $ | (0.0007 | ) | $ | – | $ | (0.0007 | ) | ||||||||||||
2009 | $ | 1.0000 | $ | 0.0025 | $ | 0.0001 | $ | 0.0026 | $ | (0.0026 | ) | $ | – | $ | (0.0026 | ) | ||||||||||||
2008 | $ | 1.0000 | $ | 0.0215 | $ | – | $ | 0.0215 | $ | (0.0215 | ) | $ | – | $ | (0.0215 | ) | ||||||||||||
2007(i) | $ | 1.0000 | $ | 0.0081 | $ | – | $ | 0.0081 | $ | (0.0081 | ) | $ | – | $ | (0.0081 | ) | ||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0001 | $ | (0.0001 | ) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | ||||||||||
2009 | $ | 1.0000 | $ | 0.0006 | $ | (0.0001 | ) | $ | 0.0005 | $ | (0.0005 | ) | $ | – | $ | (0.0005 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0180 | $ | – | $ | 0.0180 | $ | (0.0180 | ) | $ | – | $ | (0.0180 | ) | ||||||||||||
2007(j) | $ | 1.0000 | $ | 0.0084 | $ | – | $ | 0.0084 | $ | (0.0084 | ) | $ | – | $ | (0.0084 | ) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio. | |
(b) | Total return is calculated assuming a purchase of shares at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at the net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. | |
(c) | This expense waiver is reflected in both the net expense and the net income ratios shown above. Without these waivers, net investment income would have been lower. | |
(d) | Amount is less than $0.00005 per share. | |
(e) | Amount is less than 0.005%. | |
(f) | The Fund’s Investment shares commenced operations on October 15, 2007. | |
(g) | The Fund’s Institutional shares commenced operations on February 7, 2007. | |
(h) | The Fund’s Investment shares commenced operations on October 12, 2007. | |
(i) | The Fund’s Institutional shares commenced operations on October 25, 2007. | |
(j) | The Fund’s Investment shares commenced operations on October 17, 2007. | |
* | Annualized. |
See Notes to Financial Statements.
10
Table of Contents
Net Asset | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets | ||||||||||||||||||||||||||
Value | Net | End of | ||||||||||||||||||||||||||
End | Total | Gross | Net | Investment | Expense | Period | ||||||||||||||||||||||
Period Ended December 31, | of Period | Return(b) | Expenses | Expenses | Income | Waiver(c) | (000s omitted) | |||||||||||||||||||||
Liquid Reserves Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.19 | % | 0.12 | % | 0.12 | % | 0.20 | % | 0.00 | %(e) | $ | 25,211,488 | ||||||||||||||
2009 | $ | 1.0000 | 0.49 | % | 0.14 | % | 0.14 | % | 0.43 | % | 0.00 | %(e) | $ | 14,508,409 | ||||||||||||||
2008 | $ | 1.0000 | 2.82 | % | 0.11 | % | 0.11 | % | 2.78 | % | – | $ | 7,774,494 | |||||||||||||||
2007 | $ | 1.0000 | 5.28 | % | 0.13 | % | 0.11 | % | 5.14 | % | 0.02 | % | $ | 6,203,162 | ||||||||||||||
2006 | $ | 1.0000 | 5.07 | % | 0.17 | % | 0.12 | % | 5.07 | % | 0.03 | % | $ | 6,194,720 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.31 | % | 0.00 | %(e) | 0.16 | % | $ | 905,604 | ||||||||||||||
2009 | $ | 1.0000 | 0.19 | % | 0.49 | % | 0.44 | % | 0.16 | % | 0.05 | % | $ | 886,988 | ||||||||||||||
2008 | $ | 1.0000 | 2.46 | % | 0.46 | % | 0.46 | % | 2.41 | % | – | $ | 769,284 | |||||||||||||||
2007(f) | $ | 1.0000 | 0.97 | % | 0.45 | % * | 0.45 | % * | 4.52 | % * | – | $ | 658,816 | |||||||||||||||
Tax Free Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.10 | % | 0.17 | % | 0.17 | % | 0.07 | % | 0.00 | %(e) | $ | 114,404 | ||||||||||||||
2009 | $ | 1.0000 | 0.43 | % | 0.19 | % | 0.19 | % | 0.33 | % | – | $ | 99,976 | |||||||||||||||
2008 | $ | 1.0000 | 2.31 | % | 0.14 | % | 0.14 | % | 2.29 | % | – | $ | 65,171 | |||||||||||||||
2007(g) | $ | 1.0000 | 3.14 | % | 0.25 | % * | 0.16 | % * | 3.39 | % * | 0.03 | % | $ | 146,569 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.02 | % | 0.52 | % | 0.24 | % | 0.00 | %(e) | 0.28 | % | $ | 290,874 | ||||||||||||||
2009 | $ | 1.0000 | 0.22 | % | 0.54 | % | 0.41 | % | 0.23 | % | 0.13 | % | $ | 276,146 | ||||||||||||||
2008 | $ | 1.0000 | 1.96 | % | 0.49 | % | 0.49 | % | 1.91 | % | – | $ | 322,981 | |||||||||||||||
2007(h) | $ | 1.0000 | 0.65 | % | 0.49 | % * | 0.49 | % * | 2.90 | % * | – | $ | 300,210 | |||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.07 | % | 0.13 | % | 0.12 | % | 0.07 | % | 0.01 | % | $ | 4,430,327 | ||||||||||||||
2009 | $ | 1.0000 | 0.26 | % | 0.13 | % | 0.12 | % | 0.21 | % | 0.01 | % | $ | 2,879,208 | ||||||||||||||
2008 | $ | 1.0000 | 2.17 | % | 0.14 | % | 0.14 | % | 1.70 | % | – | $ | 1,659,576 | |||||||||||||||
2007(i) | $ | 1.0000 | 0.82 | % | 0.18 | % * | 0.18 | % * | 4.43 | % * | – | $ | 63,190 | |||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.19 | % | 0.00 | %(e) | 0.29 | % | $ | 479,133 | ||||||||||||||
2009 | $ | 1.0000 | 0.05 | % | 0.48 | % | 0.37 | % | 0.05 | % | 0.11 | % | $ | 551,857 | ||||||||||||||
2008 | $ | 1.0000 | 1.81 | % | 0.49 | % | 0.49 | % | 1.75 | % | – | $ | 1,298,493 | |||||||||||||||
2007(j) | $ | 1.0000 | 0.84 | % | 0.53 | % * | 0.53 | % * | 4.01 | % * | – | $ | 1,008,936 |
See Notes to Financial Statements.
11
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each period is presented below(a):
Net Asset | Gain | Distributions | Distributions | |||||||||||||||||||||||||
Value | Net | (Loss) | Total from | from Net | from | |||||||||||||||||||||||
Beginning | Investment | on | Investment | Investment | Capital | Total | ||||||||||||||||||||||
Period Ended December 31, | of Period | Income/(Loss) | Investments | Operations | Income | Gains | Distributions | |||||||||||||||||||||
Treasury Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0002 | $ | (0.0001 | ) | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0003 | $ | 0.0001 | $ | 0.0004 | $ | (0.0004 | ) | $ | (0.0000 | )(d) | $ | (0.0004 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0123 | $ | 0.0000 | (d) | $ | 0.0123 | $ | (0.0123 | ) | $ | (0.0000 | )(d) | $ | (0.0123 | ) | ||||||||||
2007(f) | $ | 1.0000 | $ | 0.0058 | $ | 0.0000 | (d) | $ | 0.0058 | $ | (0.0058 | ) | $ | – | $ | (0.0058 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | |||||||||
2009 | $ | 1.0000 | $ | 0.0001 | $ | 0.0000 | (d) | $ | 0.0001 | $ | (0.0001 | ) | $ | (0.0000 | )(d) | $ | (0.0001 | ) | ||||||||||
2008 | $ | 1.0000 | $ | 0.0092 | $ | 0.0000 | (d) | $ | 0.0092 | $ | (0.0092 | ) | $ | (0.0000 | )(d) | $ | (0.0092 | ) | ||||||||||
2007(f) | $ | 1.0000 | $ | 0.0053 | $ | 0.0000 | (d) | $ | 0.0053 | $ | (0.0053 | ) | $ | – | $ | (0.0053 | ) | |||||||||||
Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0004 | $ | (0.0000 | )(d) | $ | 0.0004 | $ | (0.0004 | ) | $ | – | $ | (0.0004 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0004 | $ | 0.0002 | $ | 0.0006 | $ | (0.0006 | ) | $ | (0.0000 | )(d) | $ | (0.0006 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0154 | $ | 0.0000 | (d) | $ | 0.0154 | $ | (0.0154 | ) | $ | – | $ | (0.0154 | ) | |||||||||||
2007(g) | $ | 1.0000 | $ | 0.0074 | $ | – | $ | 0.0074 | $ | (0.0074 | ) | $ | – | $ | (0.0074 | ) | ||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2010 | $ | 1.0000 | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2009 | $ | 1.0000 | $ | 0.0001 | $ | 0.0001 | $ | 0.0002 | $ | (0.0002 | ) | $ | (0.0000 | )(d) | $ | (0.0002 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0126 | $ | 0.0000 | (d) | $ | 0.0126 | $ | (0.0126 | ) | $ | – | $ | (0.0126 | ) | |||||||||||
2007(g) | $ | 1.0000 | $ | 0.0068 | $ | – | $ | 0.0068 | $ | (0.0068 | ) | $ | – | $ | (0.0068 | ) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio. | |
(b) | Total return is calculated assuming a purchase of shares at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at the net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. | |
(c) | This expense waiver is reflected in both the net expense and the net income ratios shown above. Without these waivers, net investment income would have been lower. | |
(d) | Amount is less than $0.00005 per share. | |
(e) | Amount is less than 0.005%. | |
(f) | The Fund’s shares commenced operations on October 25, 2007. | |
(g) | The Fund’s shares commenced operations on October 24, 2007. | |
* | Annualized. |
See Notes to Financial Statements.
12
Table of Contents
Net Asset | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets | ||||||||||||||||||||||||||||||
Value | Net | End of | ||||||||||||||||||||||||||||||
End | Total | Gross | Net | Investment | Expense | Period | ||||||||||||||||||||||||||
Period Ended December 31, | of Period | Return(b) | Expenses | Expenses | Income | Waiver(c) | (000s omitted) | |||||||||||||||||||||||||
Treasury Money Market Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.01 | % | 0.13 | % | 0.11 | % | 0.01 | % | 0.02 | % | $ | 2,790,267 | ||||||||||||||||||
2009 | $ | 1.0000 | 0.04 | % | 0.13 | % | 0.11 | % | 0.03 | % | 0.02 | % | $ | 1,581,525 | ||||||||||||||||||
2008 | $ | 1.0000 | 1.24 | % | 0.14 | % | 0.13 | % | 0.80 | % | 0.01 | % | $ | 1,036,263 | ||||||||||||||||||
2007(f) | $ | 1.0000 | 0.59 | % | 0.28 | % * | 0.28 | % * | 3.16 | % * | – | $ | 36,999 | |||||||||||||||||||
Investment Class | ||||||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.13 | % | 0.00 | %(e) | 0.35 | % | $ | 866,341 | ||||||||||||||||||
2009 | $ | 1.0000 | 0.01 | % | 0.48 | % | 0.14 | % | 0.00 | %(e) | 0.34 | % | $ | 696,453 | ||||||||||||||||||
2008 | $ | 1.0000 | 0.93 | % | 0.49 | % | 0.42 | % | 0.76 | % | 0.08 | % | $ | 1,084,500 | ||||||||||||||||||
2007(f) | $ | 1.0000 | 0.53 | % | 0.63 | % * | 0.63 | % * | 2.77 | % * | – | $ | 491,981 | |||||||||||||||||||
Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.04 | % | 0.15 | % | 0.11 | % | 0.04 | % | 0.04 | % | $ | 811,144 | ||||||||||||||||||
2009 | $ | 1.0000 | 0.06 | % | 0.15 | % | 0.13 | % | 0.04 | % | 0.02 | % | $ | 654,543 | ||||||||||||||||||
2008 | $ | 1.0000 | 1.55 | % | 0.16 | % | 0.13 | % | 0.92 | % | 0.03 | % | $ | 737,637 | ||||||||||||||||||
2007(g) | $ | 1.0000 | 0.74 | % | 0.25 | % * | 0.25 | % * | 3.87 | % * | – | $ | 207,901 | |||||||||||||||||||
Investment Class | ||||||||||||||||||||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.50 | % | 0.15 | % | 0.00 | %(e) | 0.35 | % | $ | 122,577 | ||||||||||||||||||
2009 | $ | 1.0000 | 0.02 | % | 0.50 | % | 0.17 | % | 0.00 | %(e) | 0.33 | % | $ | 146,099 | ||||||||||||||||||
2008 | $ | 1.0000 | 1.27 | % | 0.51 | % | 0.40 | % | 1.06 | % | 0.11 | % | $ | 215,585 | ||||||||||||||||||
2007(g) | $ | 1.0000 | 0.68 | % | 0.60 | % * | 0.60 | % * | 3.55 | % * | – | $ | 253,745 |
See Notes to Financial Statements.
13
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements
December 31, 2010
1. | Organization |
State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of the following series: the State Street Equity 500 Index Fund, the State Street Equity 400 Index Fund, the State Street Equity 2000 Index Fund, the State Street Aggregate Bond Index Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional Limited Duration Bond Fund, the State Street Institutional Short-Term Tax Exempt Bond Fund, the State Street Institutional U.S. Government Money Market Fund, the State Street Institutional Treasury Money Market Fund and the State Street Institutional Treasury Plus Money Market Fund, each of which is a separate diversified series of the Trust. Information presented in these financial statements pertains only to the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional U.S. Government Money Market Fund, the State Street Institutional Treasury Money Market Fund and the State Street Institutional Treasury Plus Money Market Fund (the “Funds”). The Funds offer three classes of shares: Institutional Class, Investment Class and Service Class, all of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. Service Class Shares are not yet offered for sale.
The Funds’ Institutional Classes commenced operations as follows:
State Street Institutional Liquid Reserves Fund | August 12, 2004 | ||
State Street Institutional Tax Free Money Market Fund | February 7, 2007 | ||
State Street Institutional U.S. Government Money Market Fund | October 25, 2007 | ||
State Street Institutional Treasury Money Market Fund | October 25, 2007 | ||
State Street Institutional Treasury Plus Money Market Fund | October 24, 2007 | ||
The Funds’ Investment Classes commenced operations as follows:
State Street Institutional Liquid Reserves Fund | October 15, 2007 | ||
State Street Institutional Tax Free Money Market Fund | October 12, 2007 | ||
State Street Institutional U.S. Government Money Market Fund | October 17, 2007 | ||
State Street Institutional Treasury Money Market Fund | October 25, 2007 | ||
State Street Institutional Treasury Plus Money Market Fund | October 24, 2007 | ||
As of December 31, 2010, the following series of the Trust had commenced operations: the State Street Equity 500 Index Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional Short-Term Tax Exempt Bond Fund, the State Street Institutional U.S. Government Money Market Fund, the State Street Institutional Treasury Money Market Fund and the State Street Institutional Treasury Plus Money Market Fund.
14
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
It is the policy of the Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Funds will be able to maintain a stable net asset value per share.
Each Fund invests all of its investable assets in interests of its respective Portfolio, each of which is a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of each Portfolio are substantially similar to those of its respective Fund. The value of each Fund’s investment in its respective Portfolio reflects the Fund’s proportionate interest in the net assets of that Portfolio (98.55% for State Street Institutional Liquid Reserves Fund, 99.97% for State Street Institutional U.S. Government Money Market Fund, and 99.99% for State Street Institutional Tax Free Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund, at December 31, 2010). The performance of each Fund is directly affected by the performance of its respective Portfolio. The financial statements of the Portfolios, including their Portfolios of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.
Fund | Respective Portfolio | ||
State Street Institutional Liquid Reserves Fund | State Street Money Market Portfolio | ||
State Street Institutional Tax Free Money Market Fund | State Street Tax Free Money Market Portfolio | ||
State Street Institutional U.S. Government Money Market Fund | State Street U.S. Government Money Market Portfolio | ||
State Street Institutional Treasury Money Market Fund | State Street Treasury Money Market Portfolio | ||
State Street Institutional Treasury Plus Money Market Fund | State Street Treasury Plus Money Market Portfolio | ||
An investment in the Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of shareholders’ investment at $1.00 per share, it is possible to lose money by investing in the Funds.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements.
Security valuation – Each Fund records its investment in its respective Portfolio at value. The valuation policies of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.
The Portfolios adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The
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Notes to Financial Statements (continued)
December 31, 2010
summary of the inputs used for each Portfolio, as of December 31, 2010, in valuing each Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
Security transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Net investment income consists of a Fund’s pro-rata share of the net investment income of its respective Portfolio, less all expenses of the Fund. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its respective Portfolio’s realized gains and losses. Realized gains and losses from security transactions are recorded on the basis of identified cost. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets.
Dividends and distributions – Dividends from net investment income are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.
For the year ended December 31, 2010, permanent differences identified and reclassified among the components of net assets were as follows:
Undistributed | |||||||||||||||
Accumulated | Net Investment | ||||||||||||||
Fund | Paid-In Capital | Gain (Loss) | Income (Loss) | ||||||||||||
State Street Institutional Liquid Reserves Fund | – | $ | (86,696 | ) | $ | 86,696 | |||||||||
State Street Institutional Tax Free Money Market Fund | – | – | – | ||||||||||||
State Street Institutional U.S. Government Money Market Fund | – | $ | (5,297 | ) | $ | 5,297 | |||||||||
State Street Institutional Treasury Money Market Fund | – | (16,984 | ) | 16,984 | |||||||||||
State Street Institutional Treasury Plus Money Market Fund | – | – | – | ||||||||||||
These differences were primarily attributable to distribution redesignations. Net investment income (loss), net realized gains (losses), and net assets were not affected by this reclassification.
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
The tax character of distributions paid to shareholders from ordinary income, tax exempt income and long term capital gain during the years ended December 31, 2010 and December 31, 2009 was as follows:
December 31, 2010 | December 31, 2009 | |||||||||||||||||||||||||||||
Long Term | Long Term | |||||||||||||||||||||||||||||
Ordinary | Tax Exempt | Capital | Ordinary | Tax Exempt | Capital | |||||||||||||||||||||||||
Income | Income | Gain | Income | Income | Gain | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 38,937,639 | – | – | $ | 43,130,266 | – | – | ||||||||||||||||||||||
State Street Institutional Tax Free Money Market Fund | – | $ | 102,435 | $ | 72,157 | – | $ | 1,056,976 | – | |||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund | $ | 2,528,824 | – | – | $ | 5,348,483 | – | – | ||||||||||||||||||||||
State Street Institutional Treasury Money Market Fund | $ | 302,968 | – | – | $ | 640,024 | – | – | ||||||||||||||||||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 295,204 | – | – | $ | 379,096 | – | – | ||||||||||||||||||||||
At December 31, 2010, the components of distributable earnings on a tax basis were as follows:
Undistributed | ||||||||||||||||||||
Undistributed | Tax Exempt | Capital Loss | ||||||||||||||||||
Ordinary income | Income | Carryover | Total | |||||||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 4,258 | – | – | $ | 4,258 | ||||||||||||||
State Street Institutional Tax Free Money Market Fund | – | $ | 98 | – | $ | 98 | ||||||||||||||
State Street Institutional U.S. Government Money Market Fund | – | – | $ | (170,642 | ) | $ | (170,642 | ) | ||||||||||||
State Street Institutional Treasury Money Market Fund | $ | 35,977 | – | – | $ | 35,977 | ||||||||||||||
State Street Institutional Treasury Plus Money Market Fund | – | – | $ | (90 | ) | $ | (90 | ) | ||||||||||||
Federal income taxes – Each Fund intends to continue to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Funds will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Funds will not be subject to federal excise tax.
At December 31, 2010, the State Street Institutional Tax Free Money Market Fund used a capital loss carryover in the amount of $188. The State Street Institutional U.S. Government Money Market Fund and the State Street Institutional Treasury Plus Money Market Fund had capital loss carryovers in the amounts of $170,642 and $90, respectively, all of which may be utilized to offset future net realized capital gains until expiration date of December 31, 2015 and 2018, respectively.
The Funds have reviewed the tax positions for open years as of December 31, 2010, and determined they did not have a liability for any unrecognized tax expenses. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of December 31, 2010, tax years 2007 (or since inception, for Funds formed subsequent to 2007) through 2010 remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
Expense allocation: Certain expenses are applicable to multiple Funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made fairly.
Use of estimates: The Funds’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
3. | Related Party and Other Fees |
The Portfolios retained SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. Until January 31, 2011, each Portfolio paid SSgA FM a management fee at the annual rate of 0.10% of the respective Portfolio’s average daily net assets for investment advisory services. The Funds have also retained SSgA FM to serve as their investment adviser and until January 31, 2011, each Fund paid SSgA FM a management fee at an annual rate of 0.10% of the respective Fund’s average daily net assets for investment advisory services. Effective February 1, 2011, SSgA FM agreed to contractually waive 0.05% of the 0.10% payable by each Portfolio and each Fund for investment advisory services through January 31, 2012. On February 18, 2011, the Boards of Trustees of State Street Institutional Investment Trust and State Street Master Funds approved revised investment advisory agreements of each of the Portfolios and each of the Funds to amend the management fee payable to SSgA FM by each Portfolio and each Fund to an annual rate of 0.05% of the average daily net assets of the respective Portfolio or Fund. Pursuant to the agreements of February 1, 2011 and February 18, 2011, each Portfolio and each Fund will pay a fee at an annual rate of 0.05% of its respective average daily net assets for investment advisory services received from the Adviser. The Funds will pay no management fee to SSgA FM as long as each Fund invests substantially all of the respective Fund’s assets in a corresponding Portfolio or another investment company.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional Liquid Reserves Fund (“ILR”) (exclusive of interest, taxes, extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2011. For the year ended December 31, 2010, SSgA FM reimbursed ILR $984,749 under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2010, SSgA FM voluntarily waived fees of $357,572 on ILR.
The Adviser may reimburse expenses or waive fees of the State Street Institutional Tax Free Money Market Fund in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2010, SSgA FM voluntarily waived fees of $177,017 on the State Street Institutional Tax Free Money Market Fund.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional U.S. Government Money Market Fund (excluding taxes, interest and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2011. For the year ended December 31, 2010, SSgA FM reimbursed the Fund $210,397 under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2010, SSgA FM voluntarily waived fees of $348,410 on the State Street Institutional U.S. Government Money Market Fund.
The Adviser may reimburse expenses or waive fees of the State Street Institutional Treasury Money Market Fund in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2010, SSgA FM voluntarily waived fees of $899,944 on the State Street Institutional Treasury Money Market Fund.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional Treasury Plus Money Market Fund (excluding taxes, interest and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2011. For the year ended December 31, 2010, SSgA FM reimbursed the Fund $237,223 under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the year ended December 31, 2010, SSgA FM voluntarily waived fees of $107,392 on the State Street Institutional Treasury Plus Money Market Fund.
State Street serves as the Funds’ custodian and until January 31, 2011, as the Funds’ administrator. The Funds each paid State Street annual fees of $12,600 for custody and accounting services and $25,000 for administration services for the year ended December 31, 2010. Effective February 1, 2011, the Funds retained SSgA FM as administrator. Pursuant to the administration agreement, each Fund will pay a fee at an annual rate of 0.05% of the respective Fund’s net assets accrued daily to SSgA FM. Also effective February 1, 2011, the Funds and SSgA FM retained State Street as the Fund’s sub-administrator. Pursuant to the sub-administration agreement, SSgA FM will pay an annual fee of $25,000 for each Fund serviced by State
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
Street. State Street will remain as the Funds’ custodian, without any changes in the terms of the relationship.
The Funds’ Investment Class has adopted a plan of distribution pursuant to Rule 12b-1 under the 1940 Act (the “Rule 12b-1 Plan”). Under the Rule 12b-1 Plan, the Funds compensate financial intermediaries in connection with the distribution of Fund shares and for services provided to the Funds’ shareholders. The Funds’ Investment Class Shares, first offered in October 2007, made payments under the Rule 12b-1 Plan at an annual rate up to 0.10% of eligible average daily net assets of the Investment Class Shares. State Street Global Markets LLC (“SSGM” or the “Distributor”), a subsidiary of State Street Corporation, is the Funds’ Distributor. During the year ended December 31, 2010, the Funds made the following payments to SSGM under the Rule 12b-1 Plan:
Fund | Amount | ||||
State Street Institutional Liquid Reserves Fund | $ | 103,684 | |||
State Street Institutional Tax Free Money Market Fund | – | ||||
State Street Institutional U.S. Government Money Market Fund | – | ||||
State Street Institutional Treasury Money Market Fund | – | ||||
State Street Institutional Treasury Plus Money Market Fund | – | ||||
During the year ended December 31, 2010, SSGM voluntarily agreed to waive Rule 12b-1 fees in the following amounts:
Amount | |||||
Fund | Waived | ||||
State Street Institutional Liquid Reserves Fund | $ | 765,592 | |||
State Street Institutional Tax Free Money Market Fund | 278,435 | ||||
State Street Institutional U.S. Government Money Market Fund | 565,277 | ||||
State Street Institutional Treasury Money Market Fund | 767,061 | ||||
State Street Institutional Treasury Plus Money Market Fund | 145,051 | ||||
Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Rule 12b-1 Plan. For the year ended December 31, 2010, the Funds made the following payments to WMS under the Rule 12b-1 Plan:
Fund | Amount | ||||
State Street Institutional Liquid Reserves Fund | $ | 61,427 | |||
State Street Institutional Tax Free Money Market Fund | – | ||||
State Street Institutional U.S. Government Money Market Fund | – | ||||
State Street Institutional Treasury Money Market Fund | – | ||||
State Street Institutional Treasury Plus Money Market Fund | – | ||||
Under the Funds’ Shareholder Servicing Plan, the Funds compensate financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Funds’
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
Investment Class Shares made payments under the Shareholder Servicing Plan at an annual rate up to 0.25% of the eligible average daily net assets of the Investment Class Shares. During the year ended December 31, 2010, the Funds paid SSGM the following fees under the shareholder servicing agreement and SSGM subsequently passed the payments on to financial intermediaries:
Fund | Amount | ||||
State Street Institutional Liquid Reserves Fund | $ | 1,922,907 | |||
State Street Institutional Tax Free Money Market Fund | 364,575 | ||||
State Street Institutional U.S. Government Money Market Fund | 750,306 | ||||
State Street Institutional Treasury Money Market Fund | 592,706 | ||||
State Street Institutional Treasury Plus Money Market Fund | 113,593 | ||||
During the year ended December 31, 2010, SSGM voluntarily agreed to waive shareholder services fees in the following amounts:
Amount | |||||
Fund | Waived | ||||
State Street Institutional Liquid Reserves Fund | $ | 250,284 | |||
State Street Institutional Tax Free Money Market Fund | 331,513 | ||||
State Street Institutional U.S. Government Money Market Fund | 662,885 | ||||
State Street Institutional Treasury Money Market Fund | 1,324,946 | ||||
State Street Institutional Treasury Plus Money Market Fund | 249,033 | ||||
WMS is among the financial intermediaries who may receive fees under the shareholder serving agreement. For the year ended December 31, 2010, WMS received the following payments:
Fund | Amount | ||||
State Street Institutional Liquid Reserves Fund | $ | 1,453,272 | |||
State Street Institutional Tax Free Money Market Fund | 364,576 | ||||
State Street Institutional U.S. Government Money Market Fund | 695,799 | ||||
State Street Institutional Treasury Money Market Fund | 592,706 | ||||
State Street Institutional Treasury Plus Money Market Fund | 74,453 | ||||
Boston Financial Data Services (“BFDS”), a joint venture of DST systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200 for each Fund.
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State Street Institutional Investment Trust
Notes to Financial Statements (continued)
December 31, 2010
4. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
5. | Subsequent Events |
In accordance with provisions surrounding Subsequent Events adopted by the Funds, management has evaluated the possibility of subsequent events existing in the Funds’ financial statements.
Effective February 1, 2011, SSgA FM agreed to contractually waive 0.05% of the 0.10% payable by each Portfolio and each Fund for investment advisory services through January 31, 2012. On February 18, 2011, the Boards of Trustees of State Street Institutional Investment Trust and State Street Master Funds approved revised investment advisory agreements of each of the Portfolios and each of the Funds to amend the management fee payable to SSgA FM by each Portfolio and each Fund to an annual rate of 0.05% of the average daily net assets of the respective Portfolio or Fund. Pursuant to the agreements of February 1, 2011 and February 18, 2011, each Portfolio and each Fund will pay a fee at an annual rate of 0.05% of its respective average daily net assets for investment advisory services received from the Adviser. SSgA FM does not receive any management fees from a Fund under the investment advisory agreement so long as the Fund continues to invest substantially all of its assets in a corresponding Portfolio or in another investment company.
Effective February 1, 2011, the Funds retained SSgA FM as administrator for a fee of 0.05% of each Fund’s average daily net assets. Also effective February 1, 2011, the Funds and SSgA FM have retained State Street as sub-administrator for the Funds. Pursuant to the sub-administration agreement, SSgA FM will pay an annual fee of $25,000 for each Fund serviced by State Street.
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State Street Institutional Investment Trust
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of
State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities of State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund (five of the funds constituting State Street Institutional Investment Trust) (the “Funds”) as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund, of State Street Institutional Investment Trust, at December 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
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State Street Institutional Investment Trust
General Information
December 31, 2010 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the Funds’ distributions for their fiscal year ended December 31, 2010:
For the State Street Institutional Tax Free Money Market Fund for the year ended December 31, 2010, 100% of the distributions from net investment income are exempt from federal income tax, other than the federal AMT.
Listed below is the percentage of distributions considered qualified interest income eligible for reduced tax withholding rates for foreign shareholders, pursuant to the Internal Revenue Code.
Fund | Percentage | |||
State Street Institutional Liquid Reserves Fund | 16.74 | % | ||
State Street Institutional U.S. Government Money Market Fund | 100 | % | ||
State Street Institutional Treasury Money Market Fund | 100 | % | ||
State Street Institutional Treasury Plus Money Market Fund | 100 | % | ||
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Funds. A description of the policies and procedures is available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements”) for State Street Institutional Liquid Reserves Fund (the “ILR Fund”), State Street Institutional Tax Free Money Market Fund (the “Tax Free Fund”), State Street Institutional U.S. Government Money Market Fund (the “U.S. Government Fund”), State Street Institutional Treasury Money Market Fund (the “Treasury Fund”) and State Street Institutional Treasury Plus Money Market Fund (the “Treasury Plus Fund”) (collectively, the “Funds”). In preparation for considering the Advisory Agreements, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreements, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreements, (ii) the investment performance of the Funds, (iii) the costs to the Adviser of its services and
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State Street Institutional Investment Trust
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreements reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreements and noted the experience and expertise that would be appropriate to expect of an adviser to the Funds, which are feeder money market funds in a master-feeder structure. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Funds, and the responsibilities of the latter with respect to the Funds. They also considered the resources, operational structures and practices of the Adviser in managing the Funds’ investments, in monitoring and securing the Funds’ compliance with their investment objectives and policies with respect to their investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of money market products are exceptional. As discussed more fully below, they also determined that the advisory fees for the Funds were fair and reasonable and that their performance and expense ratios were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the master portfolios and indirectly to the Funds were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objectives of the Funds and the available data, the investment performances were acceptable. The Trustees noted that materials provided by Lipper Inc. at the Meeting indicated that the performances of the Funds’ Institutional Shares relative to their Lipper peer groups have been above average for almost all of the applicable reported periods (five years, three years, one year and year-to-date as applicable) ended September 30, 2010, although the performances of the Investor Shares were generally below average. The Trustees determined that the reported performances of the Funds supported a finding that the performances were acceptable, albeit subject to ongoing review at future meetings. The Board concluded that, to the extent that meaningful performance data were available, the performances of the Funds were satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships to the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the Funds). The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Funds individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data
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State Street Institutional Investment Trust
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fees excessive.
In order better to evaluate the Funds’ advisory fees, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that that the Funds’ advisory fees and total expense ratio were all lower than the average for their respective Lipper peer groups; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fees. (The Trustees noted that the Adviser does not receive any advisory fees from a Fund so long as the Fund invests substantially all of its assets in a master portfolio or in another investment company). The Trustees also considered that to help limit expenses of each of the master portfolios and the Funds, the Adviser had reduced its advisory fee or otherwise reimbursed expenses for the Funds.
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the master portfolios and, indirectly, by the Funds. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the master portfolios; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the master portfolios by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with those of the master portfolios, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fees were fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as the principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the master portfolios’ brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fees excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Funds as assets grow and whether the Funds’ fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Funds by virtue of advisory fees of comparatively low levels that subsumed economies of scale in the fees themselves. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreements.
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Institutional Investment Trust, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||||
Funds in Fund | ||||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||||
and Date of Birth | Held with | and Length of | Overseen by | |||||||||
(“DOB”) | Trust | Time Served | Principal Occupation During Past Five Years | Trustee* | Other Directorships Held by Trustee | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993 – 2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008 | |||||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002 – 2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
27
Table of Contents
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust; Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
28
Table of Contents
Number of | ||||||||||
Funds in Fund | ||||||||||
Position(s) | Term of Office | Complex | ||||||||
Name, Address, | Held with | and Length of | Overseen by | |||||||
and Date of Birth (“DOB”) | Trust | Time Served | Principal Occupation During Past Five Years | Trustee* | Other Directorships Held by Trustee | |||||
Officers: (continued) | ||||||||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — | |||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
29
Table of Contents
Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser and Administrator
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Sub-Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
Transfer Agent
Boston Financial Data Services
Two Heritage Drive
North Quincy, MA 02171
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Center
Boston, MA 02111
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 Institutional Investment Trust
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
Table of Contents
STATE STREET MASTER FUNDS
ANNUAL REPORT
December 31, 2010
State Street Money Market Portfolio
State Street Tax Free Money Market Portfolio
State Street U.S. Government Money Market Portfolio
State Street Treasury Money Market Portfolio
State Street Treasury Plus Money Market Portfolio
Table of Contents
State Street Master Funds (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the below listed portfolios (the “Portfolios”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Portfolio’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | ||||
Account Value | Account Value | During | ||||
July 1, 2010 | December 31, 2010 | Period * | ||||
Based on Actual Portfolio Return | ||||||
Money Market Portfolio | $1,000.00 | $1,001.20 | $0.61 | |||
Tax Free Money Market Portfolio | $1,000.00 | $1,000.60 | $0.66 | |||
U.S. Government Money Market Portfolio | $1,000.00 | $1,000.50 | $0.61 | |||
Treasury Money Market Portfolio | $1,000.00 | $1,000.20 | $0.60 | |||
Treasury Plus Money Market Portfolio | $1,000.00 | $1,000.30 | $0.61 | |||
31
Table of Contents
State Street Master Funds (Unaudited)
EXPENSE EXAMPLE (continued)
Beginning | Ending | Expenses Paid | ||||
Account Value | Account Value | During | ||||
July 1, 2010 | December 31, 2010 | Period * | ||||
Based on Hypothetical (5% return before expenses) | ||||||
Money Market Portfolio | $1,000.00 | $1,024.60 | $0.61 | |||
Tax Free Money Market Portfolio | $1,000.00 | $1,024.55 | $0.66 | |||
U.S. Government Money Market Portfolio | $1,000.00 | $1,024.60 | $0.61 | |||
Treasury Money Market Portfolio | $1,000.00 | $1,024.60 | $0.61 | |||
Treasury Plus Money Market Portfolio | $1,000.00 | $1,024.60 | $0.61 | |||
* | The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized average weighted expense ratio as of December 31, 2010 was as follows: |
Money Market Portfolio | 0.12% | |||
Tax Free Money Market Portfolio | 0.13% | |||
U.S. Government Money Market Portfolio | 0.12% | |||
Treasury Money Market Portfolio | 0.12% | |||
Treasury Plus Money Market Portfolio | 0.12% | |||
The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period).
32
Table of Contents
State Street Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Certificates of Deposit | 43.1 | % | ||
Government Agency Repurchase Agreements | 17.5 | |||
Treasury Repurchase Agreements | 16.3 | |||
Asset Backed Commercial Paper | 7.7 | |||
Financial Company Commercial Paper | 7.7 | |||
Other Notes | 7.7 | |||
Other Assets In Excess of Liabilities | 0.0 | |||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Overnight (1 Day) | 35.7 | % | ||
2-30 Days | 22.1 | |||
31-60 Days | 13.1 | |||
61-90 Days | 17.9 | |||
Over 90 Days | 11.2 | |||
Total | 100.0 | % | ||
Average days to maturity | 29 | |||
Weighted average life | 45 | |||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
33
Table of Contents
State Street Money Market Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
ASSET BACKED COMMERCIAL PAPER – 7.7% | ||||||||||||||||||||
Alpine Securitization Corp.(a) | 0.280 | % | 01/05/2011 | 01/05/2011 | $ | 275,000,000 | $ | 274,991,445 | ||||||||||||
Argento Variable Funding Co. LLC(a) | 0.325 | % | 01/18/2011 | 01/18/2011 | 100,000,000 | 99,984,889 | ||||||||||||||
Argento Variable Funding Co. LLC(a) | 0.325 | % | 02/02/2011 | 02/02/2011 | 175,000,000 | 174,950,222 | ||||||||||||||
Aspen Funding Corp.(a) | 0.284 | % | 01/07/2011 | 01/07/2011 | 175,000,000 | 174,991,833 | ||||||||||||||
Gemini Securitization Corp. LLC(a) | 0.284 | % | 01/26/2011 | 01/26/2011 | 175,000,000 | 174,965,972 | ||||||||||||||
Newport Funding Corp.(a) | 0.284 | % | 01/10/2011 | 01/10/2011 | 150,000,000 | 149,989,500 | ||||||||||||||
Royal Park Investments Funding Corp.(a) | 0.325 | % | 01/07/2011 | 01/07/2011 | 72,500,000 | 72,496,133 | ||||||||||||||
Royal Park Investments Funding Corp.(a) | 0.325 | % | 01/11/2011 | 01/11/2011 | 120,000,000 | 119,989,333 | ||||||||||||||
Solitaire Funding LLC(a) | 0.304 | % | 01/04/2011 | 01/04/2011 | 112,000,000 | 111,997,200 | ||||||||||||||
Solitaire Funding LLC(a) | 0.304 | % | 01/12/2011 | 01/12/2011 | 56,000,000 | 55,994,867 | ||||||||||||||
Solitaire Funding LLC(a) | 0.300 | % | 01/18/2011 | 01/18/2011 | 60,000,000 | 59,991,500 | ||||||||||||||
Solitaire Funding LLC(a) | 0.304 | % | 01/19/2011 | 01/19/2011 | 125,000,000 | 124,981,250 | ||||||||||||||
Solitaire Funding LLC(a) | 0.304 | % | 01/24/2011 | 01/24/2011 | 199,000,000 | 198,961,859 | ||||||||||||||
Solitaire Funding LLC(a) | 0.325 | % | 03/07/2011 | 03/07/2011 | 50,000,000 | 49,971,111 | ||||||||||||||
Straight-A Funding LLC(a) | 0.264 | % | 01/24/2011 | 01/24/2011 | 25,874,000 | 25,869,702 | ||||||||||||||
Straight-A Funding LLC(a) | 0.264 | % | 01/25/2011 | 01/25/2011 | 173,382,000 | 173,351,947 | ||||||||||||||
TOTAL ASSET BACKED COMMERCIAL PAPER | 2,043,478,763 | |||||||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – 7.7% | ||||||||||||||||||||
Credit Suisse | 0.274 | % | 01/27/2011 | 01/27/2011 | 600,000,000 | 599,883,000 | ||||||||||||||
DnB NOR Bank ASA(a) | 0.381 | % | 01/04/2011 | 01/04/2011 | 148,500,000 | 148,495,360 | ||||||||||||||
DnB NOR Bank ASA(a) | 0.345 | % | 03/28/2011 | 03/28/2011 | 300,000,000 | 299,756,333 | ||||||||||||||
General Electric Capital Corp. | 0.406 | % | 01/27/2011 | 01/27/2011 | 225,000,000 | 224,935,000 | ||||||||||||||
General Electric Capital Corp. | 0.270 | % | 03/09/2011 | 03/09/2011 | 100,000,000 | 99,949,750 | ||||||||||||||
General Electric Capital Corp. | 0.320 | % | 04/11/2011 | 04/11/2011 | 50,000,000 | 49,955,556 | ||||||||||||||
General Electric Capital Corp. | 0.325 | % | 04/13/2011 | 04/13/2011 | 100,000,000 | 99,909,333 | ||||||||||||||
Nationwide Building Society(a) | 0.360 | % | 03/01/2011 | 03/01/2011 | 150,000,000 | 149,913,958 | ||||||||||||||
Societe Generale North America, Inc. | 0.508 | % | 02/01/2011 | 02/01/2011 | 175,000,000 | 174,924,653 | ||||||||||||||
Svenska Handelsbanken, Inc. | 0.284 | % | 01/10/2011 | 01/10/2011 | 200,000,000 | 199,986,000 | ||||||||||||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER | 2,047,708,943 | |||||||||||||||||||
CERTIFICATES OF DEPOSIT – 43.1% | ||||||||||||||||||||
Bank of Montreal | 0.270 | % | 01/24/2011 | 01/24/2011 | 135,000,000 | 135,000,000 | ||||||||||||||
Bank of Nova Scotia(b) | 0.354 | % | 02/16/2011 | 12/16/2011 | 38,000,000 | 38,000,000 | ||||||||||||||
Barclays Bank(b) | 0.491 | % | 01/19/2011 | 01/19/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Barclays Bank(b) | 0.592 | % | 01/13/2011 | 06/13/2011 | 100,000,000 | 100,000,000 | ||||||||||||||
Barclays Bank(b) | 0.580 | % | 01/18/2011 | 07/15/2011 | 450,000,000 | 450,000,000 | ||||||||||||||
BNP Paribas | 0.480 | % | 01/10/2011 | 01/10/2011 | 175,000,000 | 175,000,000 | ||||||||||||||
BNP Paribas | 0.335 | % | 03/02/2011 | 03/02/2011 | 150,000,000 | 150,000,000 | ||||||||||||||
BNP Paribas | 0.410 | % | 05/19/2011 | 05/19/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Canadian Imperial Bank of Commerce(b) | 0.307 | % | 01/13/2011 | 02/14/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Commonwealth Bank of Australia | 0.270 | % | 02/14/2011 | 02/14/2011 | 200,000,000 | 200,000,000 |
See Notes to Financial Statements.
34
Table of Contents
State Street Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||||||||||||||
Credit Agricole Corporate and Investment Bank(b) | 0.471 | % | 01/26/2011 | 02/28/2011 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||
Credit Agricole Corporate and Investment Bank | 0.500 | % | 03/02/2011 | 03/02/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Credit Agricole Corporate and Investment Bank(b) | 0.365 | % | 01/04/2011 | 03/03/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.330 | % | 03/10/2011 | 03/10/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Credit Agricole Corporate and Investment Bank | 0.350 | % | 04/01/2011 | 04/01/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Deutsche Bank AG(b) | 0.468 | % | 01/10/2011 | 01/10/2011 | 100,000,000 | 99,999,890 | ||||||||||||||
Deutsche Bank AG | 0.280 | % | 01/13/2011 | 01/13/2011 | 75,000,000 | 75,000,000 | ||||||||||||||
Deutsche Bank AG | 0.400 | % | 02/14/2011 | 02/14/2011 | 100,000,000 | 100,000,000 | ||||||||||||||
Deutsche Bank AG | 0.280 | % | 03/04/2011 | 03/04/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
DnB NOR Bank ASA(b) | 0.355 | % | 01/04/2011 | 03/03/2011 | 90,000,000 | 90,000,000 | ||||||||||||||
DnB NOR Bank ASA | 0.340 | % | 03/14/2011 | 03/14/2011 | 500,000,000 | 500,000,000 | ||||||||||||||
HSBC Bank PLC | 0.330 | % | 03/23/2011 | 03/23/2011 | 150,000,000 | 150,000,000 | ||||||||||||||
ING Bank NV | 0.560 | % | 01/11/2011 | 01/11/2011 | 100,000,000 | 100,000,000 | ||||||||||||||
ING Bank NV | 0.590 | % | 02/11/2011 | 02/11/2011 | 175,000,000 | 175,000,000 | ||||||||||||||
ING Bank NV | 0.550 | % | 03/01/2011 | 03/01/2011 | 150,000,000 | 150,000,000 | ||||||||||||||
ING Bank NV | 0.470 | % | 03/28/2011 | 03/28/2011 | 225,000,000 | 225,000,000 | ||||||||||||||
ING Bank NV | 0.390 | % | 04/05/2011 | 04/05/2011 | 400,000,000 | 400,000,000 | ||||||||||||||
Lloyds TSB Bank | 0.500 | % | 01/19/2011 | 01/19/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Lloyds TSB Bank | 0.350 | % | 01/28/2011 | 01/28/2011 | 500,000,000 | 500,000,000 | ||||||||||||||
Lloyds TSB Bank | 0.390 | % | 04/11/2011 | 04/11/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
National Australia Bank Ltd. | 0.270 | % | 01/28/2011 | 01/28/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
National Australia Bank Ltd. | 0.275 | % | 03/11/2011 | 03/11/2011 | 350,000,000 | 350,003,351 | ||||||||||||||
Nordea Bank Finland | 0.280 | % | 02/11/2011 | 02/11/2011 | 350,000,000 | 350,000,000 | ||||||||||||||
Nordea Bank Finland | 0.280 | % | 03/17/2011 | 03/17/2011 | 150,000,000 | 150,000,000 | ||||||||||||||
Rabobank Nederland NV | 0.520 | % | 01/21/2011 | 01/21/2011 | 100,000,000 | 100,000,000 | ||||||||||||||
Rabobank Nederland NV(b) | 0.345 | % | 01/07/2011 | 12/07/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Royal Bank of Canada(b) | 0.261 | % | 01/24/2011 | 03/23/2011 | 180,000,000 | 180,000,213 | ||||||||||||||
Royal Bank of Scotland | 0.560 | % | 02/15/2011 | 02/15/2011 | 300,000,000 | 300,000,000 | ||||||||||||||
Royal Bank of Scotland | 0.550 | % | 02/16/2011 | 02/16/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Royal Bank of Scotland | 0.425 | % | 03/14/2011 | 03/14/2011 | 175,000,000 | 175,000,000 | ||||||||||||||
Royal Bank of Scotland(b) | 0.439 | % | 01/18/2011 | 04/15/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Societe Generale(b) | 0.360 | % | 01/14/2011 | 01/14/2011 | 54,000,000 | 54,000,000 | ||||||||||||||
Societe Generale(b) | 0.365 | % | 01/04/2011 | 03/03/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Societe Generale | 0.420 | % | 03/21/2011 | 03/21/2011 | 375,000,000 | 375,000,000 | ||||||||||||||
Svenska Handelsbanken AB | 0.270 | % | 02/07/2011 | 02/07/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Toronto Dominion Bank(b) | 0.266 | % | 01/04/2011 | 02/04/2011 | 50,000,000 | 50,000,000 | ||||||||||||||
Toronto Dominion Bank(b) | 0.263 | % | 01/10/2011 | 03/10/2011 | 44,000,000 | 44,000,000 | ||||||||||||||
Toronto Dominion Bank(b) | 0.331 | % | 01/28/2011 | 10/28/2011 | 72,000,000 | 72,000,000 | ||||||||||||||
UBS AG | 0.340 | % | 03/17/2011 | 03/17/2011 | 270,000,000 | 270,000,000 | ||||||||||||||
UBS AG | 0.350 | % | 03/18/2011 | 03/18/2011 | 230,000,000 | 230,000,000 |
See Notes to Financial Statements.
35
Table of Contents
State Street Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
CERTIFICATES OF DEPOSIT (continued) | ||||||||||||||||||||
UBS AG | 0.350 | % | 03/28/2011 | 03/28/2011 | $ | 250,000,000 | $ | 250,000,000 | ||||||||||||
UBS AG | 0.380 | % | 04/11/2011 | 04/11/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
UniCredit SpA | 0.380 | % | 01/10/2011 | 01/10/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
UniCredit SpA | 0.380 | % | 01/14/2011 | 01/14/2011 | 350,000,000 | 350,000,000 | ||||||||||||||
UniCredit SpA | 0.380 | % | 01/18/2011 | 01/18/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT | 11,413,003,454 | |||||||||||||||||||
OTHER NOTES – 7.7% | ||||||||||||||||||||
Bank of America NA(b) | 0.361 | % | 01/27/2011 | 01/27/2011 | 171,000,000 | 171,000,000 | ||||||||||||||
Bank of America NA | 0.600 | % | 02/04/2011 | 02/04/2011 | 227,000,000 | 227,000,000 | ||||||||||||||
Bank of America NA | 0.300 | % | 02/24/2011 | 02/24/2011 | 500,000,000 | 500,000,000 | ||||||||||||||
Bank of America NA | 0.360 | % | 03/14/2011 | 03/14/2011 | 100,000,000 | 100,000,000 | ||||||||||||||
Bank of America NA(b) | 0.588 | % | 01/24/2011 | 05/20/2011 | 8,526,000 | 8,526,000 | ||||||||||||||
BNP Paribas | 0.040 | % | 01/03/2011 | 01/03/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Citibank NA | 0.150 | % | 01/03/2011 | 01/03/2011 | 76,043,000 | 76,043,000 | ||||||||||||||
Commonwealth Bank of Australia(b)(c) | 0.358 | % | 01/27/2011 | 01/27/2012 | 31,000,000 | 31,000,000 | ||||||||||||||
Nordea Bank AB(b)(c) | 0.314 | % | 02/18/2011 | 01/18/2012 | 174,000,000 | 174,000,000 | ||||||||||||||
PNC Bank NA | 0.030 | % | 01/03/2011 | 01/03/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Rabobank Nederland NV(b)(c) | 0.354 | % | 02/16/2011 | 12/16/2011 | 107,000,000 | 107,000,000 | ||||||||||||||
Svenska Handelsbanken AB(b)(c) | 0.319 | % | 01/15/2011 | 02/11/2011 | 123,000,000 | 123,000,000 | ||||||||||||||
Svenska Handelsbanken AB(b)(c) | 0.386 | % | 02/09/2011 | 02/10/2012 | 40,000,000 | 40,000,000 | ||||||||||||||
Westpac Banking Corp.(b) | 0.358 | % | 01/28/2011 | 01/27/2012 | 35,000,000 | 35,000,000 | ||||||||||||||
TOTAL OTHER NOTES | 2,042,569,000 | |||||||||||||||||||
Market | ||||||||||||||||||||
Value | ||||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 17.5% | ||||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a Federal Home Loan Bank, 0.500% due 06/30/11 valued at $20,498,124); proceeds $20,094,435 | 0.260 | % | 01/03/2011 | 01/03/2011 | 20,094,000 | 20,094,000 | ||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal Home Loan Mortgage Corporations, 4.000% – 5.000% due 03/01/38 – 12/01/40 and Federal National Mortgage Associations, 3.500% – 5.500% due 04/01/24 – 11/01/40 valued at $2,040,000,001); proceeds $2,000,043,333 | 0.260 | % | 01/03/2011 | 01/03/2011 | 2,000,000,000 | 2,000,000,000 |
See Notes to Financial Statements.
36
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State Street Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS (continued) | ||||||||||||||||||||
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal National Mortgage Associations, 0.685% – 23.719% due 10/25/27 – 01/25/41 valued at $510,000,000); proceeds $500,011,667 | 0.280 | % | 01/03/2011 | 01/03/2011 | $ | 500,000,000 | $ | 500,000,000 | ||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a Government National Mortgage Association, 6.250% due 12/20/39 valued at $408,000,000); proceeds $400,005,333 | 0.160 | % | 01/03/2011 | 01/03/2011 | 400,000,000 | 400,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/10 (collateralized by Federal Home Loan Mortgage Corporations, 4.000% – 6.000% due 08/01/20 – 12/01/40 and Federal National Mortgage Associations, 4.000% – 4.500% due 01/01/26 – 11/01/40 valued at $208,404,360); proceeds $204,322,257 | 0.250 | % | 01/03/2011 | 01/03/2011 | 204,318,000 | 204,318,000 | ||||||||||||||
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal National Mortgage Associations, 0.000% – 7.269% due 03/15/11 – 05/15/29 valued at $765,000,750); proceeds $750,012,500 | 0.200 | % | 01/03/2011 | 01/03/2011 | 750,000,000 | 750,000,000 | ||||||||||||||
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal National Mortgage Associations, 0.800% – 3.200% due 11/18/13 – 09/10/20 valued at $255,000,014); proceeds $250,003,750 | 0.180 | % | 01/03/2011 | 01/03/2011 | 250,000,000 | 250,000,000 | ||||||||||||||
Agreement with Societe Generale and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal Home Loan Mortgage Corporations, 4.000% – 6.500% due 08/01/17 – 09/01/40 and Federal National Mortgage Associations, 4.000% – 6.000% due 12/01/17 – 05/01/40 valued at $510,000,000); proceeds $500,010,417 | 0.250 | % | 01/03/2011 | 01/03/2011 | 500,000,000 | 500,000,000 | ||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 4,624,412,000 | |||||||||||||||||||
See Notes to Financial Statements.
37
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State Street Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 16.3% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 1.250% – 4.875% due 03/31/11 – 10/31/15 valued at $688,500,036); proceeds $675,008,438 | 0.150 | % | 01/03/2011 | 01/03/2011 | $ | 675,000,000 | $ | 675,000,000 | ||||||||||||
Agreement with Credit Agricole Corporate & Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 0.750% – 4.875% due 08/31/11 – 05/15/20 valued at $714,000,087); proceeds $700,010,500 | 0.180 | % | 01/03/2011 | 01/03/2011 | 700,000,000 | 700,000,000 | ||||||||||||||
Agreement with ING Financial Markets, LLC and JP Morgan Chase & Co. (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Bills, 0.000% due 06/23/11 – 11/17/11 valued at $204,000,010); proceeds $200,001,667 | 0.100 | % | 01/03/2011 | 01/03/2011 | 200,000,000 | 200,000,000 | ||||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Bond, 4.250% due 05/15/39 and U.S Treasury Notes, 0.750% – 4.125% due 03/15/12 – 05/15/15 valued at $765,004,722); proceeds $750,012,500 | 0.200 | % | 01/03/2011 | 01/03/2011 | 750,000,000 | 750,000,000 | ||||||||||||||
Agreement with UBS Securities, LLC and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 1.000% – 6.250% due 10/31/11 – 05/15/30 valued at $2,040,000,069); proceeds $2,000,033,333 | 0.200 | % | 01/03/2011 | 01/03/2011 | 2,000,000,000 | 2,000,000,000 | ||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 4,325,000,000 | |||||||||||||||||||
TOTAL INVESTMENTS(d)† – 100.0% | 26,496,172,160 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 0.00% | 7,653,493 | |||||||||||||||||||
NET ASSETS – 100.0% | $ | 26,503,825,653 | ||||||||||||||||||
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund’s Portfolio Manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $2,641,644,414 or 9.97% of net assets as of December 31, 2010. | |
(b) | Variable Rate Security – Interest rate is in effect as of December 31, 2010. |
See Notes to Financial Statements.
38
Table of Contents
State Street Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
(c) | Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. These securities represent $475,000,000 or 1.79% of net assets as of December 31, 2010. | |
(d) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) | |
† | See Note 2 of the Notes to Financial Statements. |
See Notes to Financial Statements.
39
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Cash/Money Market Fund | 18.6 | % | ||
Education | 17.4 | |||
Health | 16.2 | |||
General Obligations | 15.4 | |||
Transportation | 10.0 | |||
Housing | 5.6 | |||
Tax Revenue | 3.7 | |||
Water | 2.7 | |||
Lease Revenue | 2.6 | |||
Development | 2.3 | |||
Industrial Revenue/Pollution Control Revenue | 2.0 | |||
Utility | 1.9 | |||
Public Agency | 0.9 | |||
Electric Power | 0.4 | |||
Stadium | 0.3 | |||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Overnight (1 Day) | 23.2 | % | ||
2-30 Days | 76.8 | |||
31-60 Days | 0.0 | |||
61-90 Days | 0.0 | |||
Over 90 Days | 0.0 | |||
Total | 100.0 | % | ||
Average days to maturity | 6 | |||
Weighted average life | 6 | |||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
40
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – 81.4% | ||||||||||||||||||||
Alabama – 0.9% | ||||||||||||||||||||
Lower Alabama Gas District, Revenue Bonds, Series A, LIQ: Societe Generale(a) | 1.750 | % | 01/07/2011 | 01/07/2011 | $ | 3,772,000 | $ | 3,772,000 | ||||||||||||
Arizona – 1.1% | ||||||||||||||||||||
Arizona State Board of Regents, Revenue Bonds, Series A, LOC: Lloyds TSB Bank PLC(a) | 0.280 | % | 01/07/2011 | 01/07/2011 | 4,315,000 | 4,315,000 | ||||||||||||||
California – 2.3% | ||||||||||||||||||||
Eastern Municipal Water District, COP, Series E, LIQ: Lloyds TSB Bank(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 3,780,000 | 3,780,000 | ||||||||||||||
Metropolitan Water District of Southern California, Revenue Bonds, Series A-2, SPA: Banco Bilbao Vizcaya(a) | 0.450 | % | 01/07/2011 | 01/07/2011 | 2,990,000 | 2,990,000 | ||||||||||||||
Oakland-Alameda County Coliseum Authority, Revenue Bonds, Coliseum Project, Series C-1, LOC: Bank of New York & California State Teachers Retirement(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 2,700,000 | 2,700,000 | ||||||||||||||
9,470,000 | ||||||||||||||||||||
Colorado – 4.7% | ||||||||||||||||||||
Colorado Health Facilities Authority, Revenue Bonds, Craig Hospital Project, LOC: Wells Fargo Bank N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 1,820,000 | 1,820,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Multi Family Project, Class I-B3, SPA: Calyon Bank(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | 4,630,000 | 4,630,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Single Family Mortgage, Class 1-A3, SPA: Federal Home Loan Bank(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 2,255,000 | 2,255,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Class 1 B-2 RMKT, SPA: Barclays Bank PLC(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 2,000,000 | 2,000,000 | ||||||||||||||
Southern Ute Indian Tribe of Southern Ute Indian Reservation, Revenue Bonds(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 3,700,000 | 3,700,000 | ||||||||||||||
University of Colorado Hospital Authority, Revenue Bonds, Series A, LOC: AGM, SPA: Wells Fargo Bank N.A.(a) | 0.380 | % | 01/07/2011 | 01/07/2011 | 4,535,000 | 4,535,000 | ||||||||||||||
18,940,000 | ||||||||||||||||||||
Connecticut – 4.3% | ||||||||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Greenwich Hospital, Series C, LOC: Bank of America N.A.(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | 6,000,000 | 6,000,000 | ||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series T-2(a) | 0.250 | % | 01/07/2011 | 01/07/2011 | 2,500,000 | 2,500,000 | ||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series U2(a) | 0.270 | % | 01/07/2011 | 01/07/2011 | 3,750,000 | 3,750,000 |
See Notes to Financial Statements.
41
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
Connecticut (continued) | ||||||||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale-New Haven Hospital, Series K2, LOC: JP Morgan Chase Bank(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | $ | 2,920,000 | $ | 2,920,000 | ||||||||||||
State of Connecticut, GO Unlimited, Series A, SPA: Landesbank Hessen – Thrgn,(a) | 0.410 | % | 01/07/2011 | 01/07/2011 | 2,200,000 | 2,200,000 | ||||||||||||||
17,370,000 | ||||||||||||||||||||
Delaware – 1.1% | ||||||||||||||||||||
Delaware River & Bay Authority, Revenue Bonds, LOC: TD Bank N.A.(a) | 0.270 | % | 01/07/2011 | 01/07/2011 | 4,400,000 | 4,400,000 | ||||||||||||||
District of Columbia – 2.3% | ||||||||||||||||||||
District of Columbia, Revenue Bonds, ROCs RR II R-11247, INS: BHAC-CR NATL-RE, LIQ: Citibank N.A.(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 9,420,000 | 9,420,000 | ||||||||||||||
Florida – 1.0% | ||||||||||||||||||||
Austin Trust Various States, Revenue Bonds, Series 2008-1114, INS: FSA-CR AMBAC, LIQ: Bank of America N.A.(a) | 0.440 | % | 01/07/2011 | 01/07/2011 | 4,205,000 | 4,205,000 | ||||||||||||||
Georgia – 3.6% | ||||||||||||||||||||
Cobb County Development Authority, Revenue Bonds, American Heart Association, Inc., LOC: Wells Fargo Bank N.A.(a) | 0.430 | % | 01/07/2011 | 01/07/2011 | 1,135,000 | 1,135,000 | ||||||||||||||
Municipal Electric Authority Georgia, Revenue Bonds, GO of Participants, LOC: Bayerische Landesbank(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 1,500,000 | 1,500,000 | ||||||||||||||
Roswell Georgia Housing Authority Multifamily, Revenue Bonds, Chambrel Roswell, INS: Fannie Mae, LIQ: Fannie Mae(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 11,980,000 | 11,980,000 | ||||||||||||||
14,615,000 | ||||||||||||||||||||
Illinois – 2.2% | ||||||||||||||||||||
Chicago Board of Education, GO Unlimited, Dedicated Revenue, Series A, LOC: JP Morgan Chase Bank(a) | 0.280 | % | 01/03/2011 | 01/03/2011 | 3,000,000 | 3,000,000 | ||||||||||||||
Illinois Development Finance Authority Revenue Bonds, World Communications, Inc., LOC: Bank of America N.A.(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 1,500,000 | 1,500,000 | ||||||||||||||
Illinois Educational Facilities Authority, Revenue Bonds, National-Louis University, LOC: JP Morgan Chase Bank, Series B(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 4,110,000 | 4,110,000 | ||||||||||||||
Illinois Finance Authority, Revenue Bonds, Revolving Fund Pooled Financing Program, LOC: Bank One N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 500,000 | 500,000 | ||||||||||||||
9,110,000 | ||||||||||||||||||||
See Notes to Financial Statements.
42
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
Indiana – 1.8% | ||||||||||||||||||||
Indiana Finance Authority, Revenue Bonds, Clarian Health Partners, Series D, LOC: Northern Trust Company(a) | 0.280 | % | 01/07/2011 | 01/07/2011 | $ | 7,105,000 | $ | 7,105,000 | ||||||||||||
Kansas – 2.9% | ||||||||||||||||||||
Kansas State Department of Transportation, Revenue Bonds, Series B-1, SPA: Barclays Bank PLC(a) | 0.250 | % | 01/07/2011 | 01/07/2011 | 4,000,000 | 4,000,000 | ||||||||||||||
Kansas State Department of Transportation, Revenue Bonds, Series B-2, SPA: Barclays Bank PLC(a) | 0.250 | % | 01/07/2011 | 01/07/2011 | 5,000,000 | 5,000,000 | ||||||||||||||
Kansas State Department of Transportation, Revenue Bonds, Series C-1, SPA: JP Morgan Chase Bank(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 2,810,000 | 2,810,000 | ||||||||||||||
11,810,000 | ||||||||||||||||||||
Louisiana – 0.4% | ||||||||||||||||||||
Louisiana State Offshore Terminal Authority Deep Water Port, Revenue Bond, Series B, LOC: Bank One N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 1,500,000 | 1,500,000 | ||||||||||||||
Maryland – 2.2% | ||||||||||||||||||||
Baltimore Industrial Development Authority Industrial Dev Rev, Revenue Bonds, Baltimore Capital Acquisition, LOC: Bayerische Landesbank(a) | 0.400 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
Maryland State Economic Development Corporation, Revenue Bonds, Howard Hughes Medical Institution, Series B(a) | 0.280 | % | 01/07/2011 | 01/07/2011 | 3,000,000 | 3,000,000 | ||||||||||||||
Maryland State Health & Higher Educational Facilities Authority Revenue Bonds, University of Maryland Medical System, Class A, LOC: Wachovia Bank N.A.(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 3,710,000 | 3,710,000 | ||||||||||||||
Maryland State Stadium Authority Lease, Revenue Bonds, Baltimore Convention, SPA: Bank of New York(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 1,215,000 | 1,215,000 | ||||||||||||||
8,925,000 | ||||||||||||||||||||
Massachusetts – 5.1% | ||||||||||||||||||||
Commonwealth of Massachusetts, GO Limited, Series B, SPA: Landesbank Hessen-Thrgn(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 2,900,000 | 2,900,000 | ||||||||||||||
Dexia Credit Local Certificates Trust, Revenue Bonds, LIQ: Dexia Credit Local(a) | 0.380 | % | 01/07/2011 | 01/07/2011 | 3,820,000 | 3,820,000 | ||||||||||||||
Massachusetts Bay Transportation Authority, Revenue Bonds, Senior Series A-1, SPA: JP Morgan Chase Bank(a) | 0.420 | % | 01/07/2011 | 01/07/2011 | 6,000,000 | 6,000,000 | ||||||||||||||
Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Museum Fine A-2, RMKT, 04/02/08, SPA: Bank of America N.A.(a) | 0.300 | % | 01/03/2011 | 01/03/2011 | 2,575,000 | 2,575,000 |
See Notes to Financial Statements.
43
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
Massachusetts (continued) | ||||||||||||||||||||
Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Partners Healthcare System, Series D-4, INS: GO of INSTN, SPA: Citibank N.A.(a) | 0.310 | % | 01/07/2011 | 01/07/2011 | $ | 1,285,000 | $ | 1,285,000 | ||||||||||||
Massachusetts State Department of Transportation, Revenue Bonds, Contract Assistance, Series A-4, INS: GO of Commonwealth, SPA: Barclays Bank PLC(a) | 0.280 | % | 01/07/2011 | 01/07/2011 | 4,000,000 | 4,000,000 | ||||||||||||||
20,580,000 | ||||||||||||||||||||
Michigan – 0.5% | ||||||||||||||||||||
Michigan State University, Revenue Bonds, Series 2000-A, SPA: Bank of America N.A.(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 1,825,000 | 1,825,000 | ||||||||||||||
Minnesota – 3.0% | ||||||||||||||||||||
University of Minnesota, Revenue Bonds, Series A RMKT 06/11/09, INS: GO of University, SPA: U.S. Bank N.A.(a) | 0.340 | % | 01/07/2011 | 01/07/2011 | 12,000,000 | 12,000,000 | ||||||||||||||
Missouri – 2.4% | ||||||||||||||||||||
City of Kansas City, Revenue Bonds, Chouteau I-35 Project-C, LOC: JP Morgan Chase & Co.(a) | 0.400 | % | 01/07/2011 | 01/07/2011 | 5,825,000 | 5,825,000 | ||||||||||||||
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Washington University, Series B, SPA: JP Morgan Chase Bank(a) | 0.280 | % | 01/03/2011 | 01/03/2011 | 4,000,000 | 4,000,000 | ||||||||||||||
9,825,000 | ||||||||||||||||||||
New Hampshire – 1.7% | ||||||||||||||||||||
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College Issue, SPA: JP Morgan Chase Bank(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 3,125,000 | 3,125,000 | ||||||||||||||
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, Series B, SPA: JP Morgan Chase Bank(a) | 0.330 | % | 01/03/2011 | 01/03/2011 | 1,100,000 | 1,100,000 | ||||||||||||||
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 2,690,000 | 2,690,000 | ||||||||||||||
6,915,000 | ||||||||||||||||||||
New Jersey – 0.4% | ||||||||||||||||||||
Essex County New Jersey Improvement Authority, Revenue Bonds, Pooled Governmental Loan Program, LOC: Wells Fargo Bank N.A.(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 1,700,000 | 1,700,000 | ||||||||||||||
New York – 7.0% | ||||||||||||||||||||
City of New York, GO Unlimited, Subseries A-5, LOC: Bank of Nova Scotia(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 |
See Notes to Financial Statements.
44
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
New York (continued) | ||||||||||||||||||||
City of New York, GO Unlimited, Subseries H-4, LOC: Bank of New York(a) | 0.250 | % | 01/03/2011 | 01/03/2011 | $ | 2,600,000 | $ | 2,600,000 | ||||||||||||
City of New York, GO Unlimited, Subseries H-2, LOC: Bank of New York(a) | 0.280 | % | 01/07/2011 | 01/07/2011 | 1,350,000 | 1,350,000 | ||||||||||||||
Metropolitan Transportation Authority, Revenue Bonds, SubSeries B-3, LOC: Lloyds TSB Bank PLC(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 5,045,000 | 5,045,000 | ||||||||||||||
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series B, SPA: U.S. Bank N.A.(a) | 0.290 | % | 01/07/2011 | 01/07/2011 | 1,300,000 | 1,300,000 | ||||||||||||||
New York State Local Government Assistance Corp., Revenue Bonds, Series C, LOC: Landesbank Hessen-Thrgn(a) | 0.340 | % | 01/07/2011 | 01/07/2011 | 4,600,000 | 4,600,000 | ||||||||||||||
New York State Urban Development Corp., Revenue Bonds, Service Contract, Series A-5, LOC: TD Bank North N.A.(a) | 0.290 | % | 01/07/2011 | 01/07/2011 | 2,400,000 | 2,400,000 | ||||||||||||||
Suffolk County Water Authority, Revenue Bonds, Anticipation Notes, SPA: Bank of Nova Scotia(a) | 0.290 | % | 01/07/2011 | 01/07/2011 | 4,700,000 | 4,700,000 | ||||||||||||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Bridges Tunnels, Series AB, INS: AGM, SPA: JP Morgan Chase Bank(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | 1,220,000 | 1,220,000 | ||||||||||||||
Triborough Bridge & Tunnel Authority, Revenue Bonds, Series CD RMKT, 06/20/07, INS: AGM, SPA: Lloyds TSB Bank PLC(a) | 0.310 | % | 01/07/2011 | 01/07/2011 | 4,205,000 | 4,205,000 | ||||||||||||||
28,420,000 | ||||||||||||||||||||
North Carolina – 9.9% | ||||||||||||||||||||
Charlotte COPs, Governmental Facilities, Series F, SPA: Bank of America N.A.(a) | 0.400 | % | 01/07/2011 | 01/07/2011 | 965,000 | 965,000 | ||||||||||||||
City of Greensboro, GO Unlimited, Public Improvement, Series B, SPA: Wachovia Bank N.A.(a) | 0.690 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
City of Greensboro, Revenue Bonds, Series B, SPA: Bank of America N.A.,(a) | 0.460 | % | 01/07/2011 | 01/07/2011 | 1,175,000 | 1,175,000 | ||||||||||||||
City of Raleigh, Revenue Bonds, Combined Enterprise, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 2,000,000 | 2,000,000 | ||||||||||||||
County of Guilford, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.310 | % | 01/07/2011 | 01/07/2011 | 2,840,000 | 2,840,000 | ||||||||||||||
County of Wake, GO Unlimited, Series A, SPA: Bank of America N.A.(a) | 0.390 | % | 01/07/2011 | 01/07/2011 | 1,800,000 | 1,800,000 | ||||||||||||||
County of Wake, GO Unlimited, Series B, SPA: Bank of America N.A.(a) | 0.390 | % | 01/07/2011 | 01/07/2011 | 4,000,000 | 4,000,000 | ||||||||||||||
County of Wake, GO Unlimited, Series B, SPA: | ||||||||||||||||||||
Landesbank Hessen-Thrgn(a) | 0.390 | % | 01/07/2011 | 01/07/2011 | 6,220,000 | 6,220,000 |
See Notes to Financial Statements.
45
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
North Carolina (continued) | ||||||||||||||||||||
Mecklenburg County, GO Unlimited, Public Implements, Series C, SPA: Bank of America N.A.(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | $ | 2,000,000 | $ | 2,000,000 | ||||||||||||
Mecklenburg County, GO Unlimited, Public Implements, Series C, SPA: Bank of America N.A.(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
Mecklenburg County, GO Unlimited, Series B, SPA: Landesbank Hessen-Thrgn(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 6,760,000 | 6,760,000 | ||||||||||||||
New Hanover County, GO Unlimited, School, SPA: Wells Fargo Bank N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 2,315,000 | 2,315,000 | ||||||||||||||
State of North Carolina, GO Unlimited, Public Implements, Series E, SPA: Landesbank Hessen-Thrgn(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 5,000,000 | 5,000,000 | ||||||||||||||
State of North Carolina, GO Unlimited, Public Implements, Series G, SPA: Landesbank Hessen-Thrgn(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 3,050,000 | 3,050,000 | ||||||||||||||
40,125,000 | ||||||||||||||||||||
Ohio – 0.8% | ||||||||||||||||||||
Ohio State University, Revenue Bonds, Series B(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 2,110,000 | 2,110,000 | ||||||||||||||
State of Ohio, Revenue Bonds, Oberlin College Project, SPA: U.S. Bank N.A.(a) | 0.340 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
3,110,000 | ||||||||||||||||||||
Oklahoma – 0.4% | ||||||||||||||||||||
Oklahoma Capital Improvement Authority, Revenue Bonds, Higher Education D3 RMKT 09/19/08, SPA: Bank of America N.A.(a) | 0.360 | % | 01/03/2011 | 01/03/2011 | 1,600,000 | 1,600,000 | ||||||||||||||
Oregon – 0.8% | ||||||||||||||||||||
Oregon State Facilities Authority, Revenue Bonds, PeaceHealth, LOC: U.S. Bank N.A.(a) | 0.270 | % | 01/03/2011 | 01/03/2011 | 3,050,000 | 3,050,000 | ||||||||||||||
Pennsylvania – 0.7% | ||||||||||||||||||||
Delaware County Industrial Development Authority, Revenue Bonds, Sun Inc., LOC: Bank of America N.A.(a) | 0.400 | % | 01/07/2011 | 01/07/2011 | 3,000,000 | 3,000,000 | ||||||||||||||
Rhode Island – 0.9% | ||||||||||||||||||||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Bryant University, LOC: TD Bank N.A.(a) | 0.320 | % | 01/07/2011 | 01/07/2011 | 3,690,000 | 3,690,000 | ||||||||||||||
South Carolina – 2.7% | ||||||||||||||||||||
City of North Charleston, COP, Public Facilities Convention, LOC: Bank of America N.A.(a) | 0.440 | % | 01/07/2011 | 01/07/2011 | 3,185,000 | 3,185,000 | ||||||||||||||
City of Rock Hill, Revenue Bonds, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 7,755,000 | 7,755,000 | ||||||||||||||
10,940,000 | ||||||||||||||||||||
See Notes to Financial Statements.
46
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
Texas – 4.5% | ||||||||||||||||||||
Austin County Industrial Development Corp., Revenue Bonds, Justin Industries, Inc. Project, LOC: JP Morgan Chase Bank(a) | 0.310 | % | 01/07/2011 | 01/07/2011 | $ | 3,500,000 | $ | 3,500,000 | ||||||||||||
City of Austin, Revenue Bonds, Series B, LOC: Dexia Credit Local(a) | 0.450 | % | 01/07/2011 | 01/07/2011 | 9,415,000 | 9,415,000 | ||||||||||||||
Denton Independent School District, School Building, Series B, INS: PSF-GTD, SPA: Bank of America N.A.(a) | 0.350 | % | 01/07/2011 | 01/07/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
San Antonio Education Facilities Corp., Revenue Bonds, University Incarnate Word Project, LOC: JP Morgan Chase Bank(a) | 0.440 | % | 01/07/2011 | 01/07/2011 | 2,195,000 | 2,195,000 | ||||||||||||||
University of Texas, University Revenue Bonds, Financing Systems, Series A(a) | 0.270 | % | 01/07/2011 | 01/07/2011 | 2,200,000 | 2,200,000 | ||||||||||||||
18,310,000 | ||||||||||||||||||||
Utah – 4.1% | ||||||||||||||||||||
City of Murray, Revenue Bonds, IHC Health Services, Inc., Series A, INS: JP Morgan Securities(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 1,500,000 | 1,500,000 | ||||||||||||||
County of Weber, Revenue Bonds, IHC Health Services, Inc., Series B, SPA: U.S. Bank N.A.(a) | 0.300 | % | 01/07/2011 | 01/07/2011 | 12,000,000 | 12,000,000 | ||||||||||||||
Utah State Board of Regents, Revenue Bonds, Hospital University of Utah, LOC: Wells Fargo Bank N.A.(a) | 0.340 | % | 01/07/2011 | 01/07/2011 | 2,960,000 | 2,960,000 | ||||||||||||||
16,460,000 | ||||||||||||||||||||
Vermont – 0.2% | ||||||||||||||||||||
Vermont Educational & Health Buildings Financing Agency, Revenue Bonds, Northeastern Vermont Hospital, Series A, LOC: TD Bank N.A.(a) | 0.280 | % | 01/03/2011 | 01/03/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
Virginia – 4.6% | ||||||||||||||||||||
Alexandria Industrial Development Authority, Revenue Bonds, Series A, SPA: Bank of America N.A.(a) | 0.540 | % | 01/07/2011 | 01/07/2011 | 2,115,000 | 2,115,000 | ||||||||||||||
Fairfax County Economic Development Authority, Revenue Bonds, Trinity Christian School Project, LOC: Wells Fargo Bank N.A.(a) | 0.430 | % | 01/07/2011 | 01/07/2011 | 1,065,000 | 1,065,000 | ||||||||||||||
Loudoun County Industrial Development Authority, Revenue Bonds, Howard Hughes Medical, Series E(a) | 0.270 | % | 01/07/2011 | 01/07/2011 | 14,300,000 | 14,300,000 | ||||||||||||||
Loudoun County Industrial Development Authority, Revenue Bonds, Jack Kent Cooke Foundation Project, LOC: Wells Fargo Bank N.A.(a) | 0.330 | % | 01/07/2011 | 01/07/2011 | 1,360,000 | 1,360,000 | ||||||||||||||
18,840,000 | ||||||||||||||||||||
See Notes to Financial Statements.
47
Table of Contents
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES (continued) | ||||||||||||||||||||
Washington – 0.9% | ||||||||||||||||||||
Tulalip Tribes of the Tulalip Reservation Special Revenue, Revenue Bonds Capital Projects, LOC: Wells Fargo Bank N.A.(a) | 0.380 | % | 01/07/2011 | 01/07/2011 | $ | 3,720,000 | $ | 3,720,000 | ||||||||||||
TOTAL VARIABLE RATE DEMAND NOTES | 330,067,000 | |||||||||||||||||||
Market | ||||||||||||||||||||
Shares | Value | |||||||||||||||||||
INVESTMENT COMPANY – 18.6% | ||||||||||||||||||||
Dreyfus Tax Exempt Cash Management Fund(b) | 75,192,001 | 75,192,001 | ||||||||||||||||||
TOTAL INVESTMENTS(c)† – 100.0% | 405,259,001 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 0.00% | 69,391 | |||||||||||||||||||
NET ASSETS – 100.0% | $ | 405,328,392 | ||||||||||||||||||
(a) | Variable Rate Security – Interest Rate is in effect as of December 31, 2010. |
(b) | Value determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. |
(c) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
† | See Note 2 of the Notes to Financial Statements. |
Acronym | Name | |
AGM | Assured Guaranty Municipal | |
AMBAC | American Municipal Bond Assurance Corporation | |
BHAC | Berkshire Hathaway Assurance Company | |
COP | Certificates of Participation | |
CR | Custodial Receipts | |
FSA | Financial Security Assurance | |
GO | General Obligation | |
GTD | Guaranteed | |
INS | Insured | |
INSTN | Institution | |
LIQ | Liquidity Agreement | |
LOC | Letter of Credit | |
NATL-RE | National Public Finance Guarantee Corporation | |
PLC | Public Limited Company | |
PSF | Permanent School Fund | |
RMKT | Remarketable | |
ROC | Reset Option Certificates | |
SPA | Standby Purchase Agreement |
See Notes to Financial Statements.
48
Table of Contents
State Street U.S. Government Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Government Agency Debt | 55.0 | % | ||
Treasury Repurchase Agreements | 16.3 | |||
Treasury Debt | 16.0 | |||
Government Agency Repurchase Agreements | 12.7 | |||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Overnight (1 Day) | 29.0 | % | ||
2-30 Days | 22.6 | |||
31-60 Days | 18.5 | |||
61-90 Days | 8.9 | |||
Over 90 Days | 21.0 | |||
Total | 100.0 | % | ||
Average days to maturity | 43 | |||
Weighted average life | 53 | |||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
49
Table of Contents
State Street U.S. Government Money Market Portfolio
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
GOVERNMENT AGENCY DEBT – 55.0% | ||||||||||||||||||||
Federal Home Loan Bank(a) | 0.183 | % | 01/07/2011 | 01/07/2011 | $ | 55,040,000 | $ | 55,038,349 | ||||||||||||
Federal Home Loan Bank(a) | 0.183 | % | 01/12/2011 | 01/12/2011 | 45,000,000 | 44,997,525 | ||||||||||||||
Federal Home Loan Bank(a) | 0.183 | % | 01/14/2011 | 01/14/2011 | 40,000,000 | 39,997,400 | ||||||||||||||
Federal Home Loan Bank(a) | 0.249 | % | 01/19/2011 | 01/19/2011 | 18,000,000 | 17,997,795 | ||||||||||||||
Federal Home Loan Bank(b) | 0.151 | % | 01/25/2011 | 01/25/2011 | 36,000,000 | 35,999,053 | ||||||||||||||
Federal Home Loan Bank(a) | 0.244 | % | 01/26/2011 | 01/26/2011 | 66,000,000 | 65,989,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.172 | % | 02/02/2011 | 02/02/2011 | 215,000,000 | 214,967,511 | ||||||||||||||
Federal Home Loan Bank(a) | 0.210 | % | 02/25/2011 | 02/25/2011 | 66,500,000 | 66,478,665 | ||||||||||||||
Federal Home Loan Bank(a) | 0.200 | % | 04/20/2011 | 04/20/2011 | 71,000,000 | 70,957,005 | ||||||||||||||
Federal Home Loan Bank(b) | 0.191 | % | 01/25/2011 | 05/25/2011 | 55,000,000 | 54,989,781 | ||||||||||||||
Federal Home Loan Bank(b) | 0.166 | % | 01/20/2011 | 07/20/2011 | 75,000,000 | 74,987,453 | ||||||||||||||
Federal Home Loan Bank(b) | 0.166 | % | 01/25/2011 | 07/25/2011 | 100,000,000 | 99,965,934 | ||||||||||||||
Federal Home Loan Bank(b) | 0.181 | % | 01/26/2011 | 08/26/2011 | 42,000,000 | 41,984,807 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.244 | % | 01/18/2011 | 01/18/2011 | 36,000,000 | 35,995,920 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.244 | % | 01/19/2011 | 01/19/2011 | 50,000,000 | 49,994,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.249 | % | 01/24/2011 | 01/24/2011 | 65,000,000 | 64,989,826 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.223 | % | 01/27/2011 | 01/27/2011 | 125,000,000 | 124,980,139 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.223 | % | 01/28/2011 | 01/28/2011 | 125,000,000 | 124,979,375 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.249 | % | 01/31/2011 | 01/31/2011 | 65,000,000 | 64,986,729 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.223 | % | 02/14/2011 | 02/14/2011 | 85,000,000 | 84,977,144 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.203 | % | 02/22/2011 | 02/22/2011 | 15,008,000 | 15,003,664 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.210 | % | 02/22/2011 | 02/22/2011 | 78,914,000 | 78,890,063 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.193 | % | 02/23/2011 | 02/23/2011 | 100,000,000 | 99,972,028 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.209 | % | 02/28/2011 | 02/28/2011 | 75,000,000 | 74,974,625 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.213 | % | 02/28/2011 | 02/28/2011 | 40,000,000 | 39,986,467 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.193 | % | 03/15/2011 | 03/15/2011 | 70,000,000 | 69,973,031 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.200 | % | 04/20/2011 | 04/20/2011 | 100,000,000 | 99,939,444 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.200 | % | 04/25/2011 | 04/25/2011 | 25,000,000 | 24,984,167 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.203 | % | 05/27/2011 | 05/27/2011 | 68,238,000 | 68,182,651 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.203 | % | 05/31/2011 | 05/31/2011 | 150,000,000 | 149,875,000 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.183 | % | 01/18/2011 | 01/18/2011 | 75,000,000 | 74,992,917 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.203 | % | 01/18/2011 | 01/18/2011 | 25,000,000 | 24,997,639 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.180 | % | 02/14/2011 | 02/14/2011 | 70,000,000 | 69,984,600 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.213 | % | 02/23/2011 | 02/23/2011 | 99,364,000 | 99,333,280 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.223 | % | 03/02/2011 | 03/02/2011 | 40,000,000 | 39,985,333 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.210 | % | 03/16/2011 | 03/16/2011 | 50,000,000 | 49,978,417 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.200 | % | 03/23/2011 | 03/23/2011 | 79,170,000 | 79,134,373 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.200 | % | 05/02/2011 | 05/02/2011 | 106,000,000 | 105,928,744 | ||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT | 2,701,369,854 | |||||||||||||||||||
TREASURY DEBT – 16.0% | ||||||||||||||||||||
U.S. Treasury Bill | 0.145 | % | 01/06/2011 | 01/06/2011 | 150,000,000 | 149,997,031 | ||||||||||||||
U.S. Treasury Bill | 0.133 | % | 01/13/2011 | 01/13/2011 | 100,000,000 | 99,995,583 | ||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/20/2011 | 01/20/2011 | 100,000,000 | 99,992,611 | ||||||||||||||
U.S. Treasury Bill | 0.183 | % | 03/31/2011 | 03/31/2011 | 158,000,000 | 157,929,690 | ||||||||||||||
U.S. Treasury Bill | 0.188 | % | 03/31/2011 | 03/31/2011 | 42,000,000 | 41,980,791 | ||||||||||||||
U.S. Treasury Bill | 0.193 | % | 05/26/2011 | 05/26/2011 | 150,000,000 | 149,883,698 | ||||||||||||||
U.S. Treasury Bill | 0.206 | % | 06/02/2011 | 06/02/2011 | 35,000,000 | 34,970,075 | ||||||||||||||
U.S. Treasury Bill | 0.228 | % | 06/30/2011 | 06/30/2011 | 50,000,000 | 49,943,750 | ||||||||||||||
TOTAL TREASURY DEBT | 784,693,229 | |||||||||||||||||||
See Notes to Financial Statements.
50
Table of Contents
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset date | Date | Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 12.7% | ||||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal Home Loan Banks 0.489% – 0.550% due 10/26/12 – 12/03/12 valued at $127,500,585); proceeds $125,002,708 | 0.260 | % | 01/03/2011 | 01/03/2011 | $ | 125,000,000 | $ | 125,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal Home Loan Banks, 0.000% – 5.400% due 05/02/13 – 12/11/20 and a Federal Home Loan Discount Note, 4.700% due 07/15/33 valued at $127,503,177); proceeds $125,001,875 | 0.180 | % | 01/03/2011 | 01/03/2011 | 125,000,000 | 125,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by Federal Farm Credit Banks, 0.000% – 5.750% due 01/12/11-09/09/24 , Federal Home Loan Banks, 0.000% – 6.000% due 01/04/11 – 07/15/36, Federal Home Loan Mortgage Corporations, 0.000% – 5.875% due 03/21/11 – 08/26/25, Federal National Mortgage Associations, 0.000% – 5.125% due 01/15/11 – 01/02/14, Resolution Funding Strips, 0.000% due 01/15/11 – 04/15/30 and Tenn Valley Authorities, 0.000% – 7.125% due 01/18/11 – 09/15/39 valued at $382,504,293); proceeds $375,007,813 | 0.250 | % | 01/03/2011 | 01/03/2011 | 375,000,000 | 375,000,000 | ||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS | 625,000,000 | |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 16.3% | ||||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Strip, 0.000% due 05/15/15 valued at $44,773,921); proceeds $43,896,732 | 0.200 | % | 01/03/2011 | 01/03/2011 | 43,896,000 | 43,896,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Strip, 2.375% due 08/31/14 valued at $76,500,013); proceeds $75,000,938 | 0.150 | % | 01/03/2011 | 01/03/2011 | 75,000,000 | 75,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate & Investment Bank and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 1.125% – 4.250% due 01/15/12 – 04/15/29 valued at $382,500,072); proceeds $375,005,625 | 0.180 | % | 01/03/2011 | 01/03/2011 | 375,000,000 | 375,000,000 |
See Notes to Financial Statements.
51
Table of Contents
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset date | Date | Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENT(continued) | ||||||||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 12/31/10 (collateralized by a Federal Home Loan Mortgage Corporation, 0.000% due 04/15/14 – 08/25/15, a Federal National Mortgage Association, 1.500% due 07/28/15, a U.S. Treasury Strip, 0.000% due 10/20/11 valued at $185,016,807); proceeds $181,391,570 | 0.170 | % | 01/03/2011 | 01/03/2011 | $ | 181,389,000 | $ | 181,389,000 | ||||||||||||
Agreement with UBS Securities, LLC and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Strip, 2.375% due 02/28/15 valued at $127,500,049); proceeds $125,002,604 | 0.250 | % | 01/03/2011 | 01/03/2011 | 125,000,000 | 125,000,000 | ||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 800,285,000 | |||||||||||||||||||
TOTAL INVESTMENTS(c)† – 100.0% | 4,911,348,083 | |||||||||||||||||||
Liabilities in Excess of Assets – 0.00% | (448,451 | ) | ||||||||||||||||||
NET ASSETS – 100.0% | $ | 4,910,899,632 | ||||||||||||||||||
(a) | Discount rate at time of purchase. | |
(b) | Variable Rate Security – Interest Rate is in effect as of December 31, 2010. | |
(c) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) | |
† | See Note 2 of the Notes to Financial Statements. |
See Notes to Financial Statements.
52
Table of Contents
State Street Treasury Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Treasury Debt | 100.0 | % | ||
Liabilities in Excess of Assets | (0.0 | ) | ||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Overnight (1 Day) | 0.0 | % | ||
2-30 Days | 45.0 | |||
31-60 Days | 27.7 | |||
61-90 Days | 20.5 | |||
Over 90 Days | 6.8 | |||
Total | 100.0 | % | ||
Average days to maturity | 45 | |||
Weighted average life | 45 | |||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
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Table of Contents
State Street Treasury Money Market Portfolio
Portfolio of Investments
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
TREASURY DEBT – 100.0% | ||||||||||||||||||||
U.S. Treasury Bill | 0.010 | % | 01/06/2011 | 01/06/2011 | $ | 59,000,000 | $ | 58,999,918 | ||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/06/2011 | 01/06/2011 | 98,554,000 | 98,552,084 | ||||||||||||||
U.S. Treasury Bill | 0.145 | % | 01/06/2011 | 01/06/2011 | 250,000,000 | 249,995,052 | ||||||||||||||
U.S. Treasury Bill | 0.133 | % | 01/13/2011 | 01/13/2011 | 271,553,000 | 271,541,006 | ||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/13/2011 | 01/13/2011 | 150,000,000 | 149,993,000 | ||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/20/2011 | 01/20/2011 | 400,000,000 | 399,970,445 | ||||||||||||||
U.S. Treasury Bill | 0.051 | % | 01/27/2011 | 01/27/2011 | 49,199,000 | 49,197,223 | ||||||||||||||
U.S. Treasury Bill | 0.137 | % | 01/27/2011 | 01/27/2011 | 250,000,000 | 249,975,625 | ||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/27/2011 | 01/27/2011 | 116,436,000 | 116,424,227 | ||||||||||||||
U.S. Treasury Bill | 0.132 | % | 02/03/2011 | 02/03/2011 | 313,082,000 | 313,044,691 | ||||||||||||||
U.S. Treasury Bill | 0.132 | % | 02/10/2011 | 02/10/2011 | 200,000,000 | 199,971,111 | ||||||||||||||
U.S. Treasury Bill | 0.139 | % | 02/17/2011 | 02/17/2011 | 300,000,000 | 299,946,146 | ||||||||||||||
U.S. Treasury Bill | 0.140 | % | 02/24/2011 | 02/24/2011 | 200,000,000 | 199,958,000 | ||||||||||||||
U.S. Treasury Bill | 0.167 | % | 03/03/2011 | 03/03/2011 | 200,000,000 | 199,944,083 | ||||||||||||||
U.S. Treasury Bill | 0.152 | % | 03/10/2011 | 03/10/2011 | 200,000,000 | 199,943,333 | ||||||||||||||
U.S. Treasury Bill | 0.147 | % | 03/17/2011 | 03/17/2011 | 150,000,000 | 149,954,688 | ||||||||||||||
U.S. Treasury Bill | 0.132 | % | 03/24/2011 | 03/24/2011 | 50,000,000 | 49,985,194 | ||||||||||||||
U.S. Treasury Bill | 0.183 | % | 03/31/2011 | 03/31/2011 | 119,000,000 | 118,947,045 | ||||||||||||||
U.S. Treasury Bill | 0.188 | % | 03/31/2011 | 03/31/2011 | 31,000,000 | 30,985,822 | ||||||||||||||
U.S. Treasury Bill | 0.183 | % | 05/19/2011 | 05/19/2011 | 50,000,000 | 49,965,500 | ||||||||||||||
U.S. Treasury Bill | 0.157 | % | 05/26/2011 | 05/26/2011 | 50,000,000 | 49,968,785 | ||||||||||||||
U.S. Treasury Bill | 0.206 | % | 06/02/2011 | 06/02/2011 | 50,000,000 | 49,957,250 | ||||||||||||||
U.S. Treasury Bill | 0.188 | % | 06/23/2011 | 06/23/2011 | 50,000,000 | 49,955,549 | ||||||||||||||
U.S. Treasury Bill | 0.228 | % | 06/30/2011 | 06/30/2011 | 50,000,000 | 49,943,750 | ||||||||||||||
TOTAL TREASURY DEBT | 3,657,119,527 | |||||||||||||||||||
TOTAL INVESTMENTS(a)† – 100.0% | 3,657,119,527 | |||||||||||||||||||
Liabilities in Excess of Assets – 0.00% | (380,563 | ) | ||||||||||||||||||
NET ASSETS – 100.0% | $ | 3,656,738,964 | ||||||||||||||||||
(a) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
† | See Note 2 of the Notes to Financial Statements. |
See Notes to Financial Statements.
54
Table of Contents
State Street Treasury Plus Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Treasury Debt | 81.9 | % | ||
Treasury Repurchase Agreements | 18.1 | |||
Liabilities in Excess of Assets | (0.0 | ) | ||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Overnight (1 Day) | 18.1 | % | ||
2-30 Days | 45.5 | |||
31-60 Days | 10.7 | |||
61-90 Days | 5.4 | |||
Over 90 Days | 20.3 | |||
Total | 100.0 | % | ||
Average days to maturity | 48 | |||
Weighted average life | 48 | |||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
55
Table of Contents
State Street Treasury Plus Money Market Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Amortized | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Cost | |||||||||||||||
TREASURY DEBT – 81.9% | ||||||||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/06/2011 | 01/06/2011 | $ | 50,000,000 | $ | 49,999,028 | ||||||||||||
U.S. Treasury Bill | 0.145 | % | 01/06/2011 | 01/06/2011 | 75,000,000 | 74,998,516 | ||||||||||||||
U.S. Treasury Bill | 0.133 | % | 01/13/2011 | 01/13/2011 | 100,000,000 | 99,995,583 | ||||||||||||||
U.S. Treasury Bill | 0.142 | % | 01/20/2011 | 01/20/2011 | 100,000,000 | 99,992,611 | ||||||||||||||
U.S. Treasury Bill | 0.137 | % | 01/27/2011 | 01/27/2011 | 100,000,000 | 99,990,250 | ||||||||||||||
U.S. Treasury Bill | 0.132 | % | 02/03/2011 | 02/03/2011 | 50,000,000 | 49,994,042 | ||||||||||||||
U.S. Treasury Bill | 0.139 | % | 02/17/2011 | 02/17/2011 | 50,000,000 | 49,991,024 | ||||||||||||||
U.S. Treasury Bill | 0.183 | % | 03/31/2011 | 03/31/2011 | 40,000,000 | 39,982,200 | ||||||||||||||
U.S. Treasury Bill | 0.188 | % | 03/31/2011 | 03/31/2011 | 10,000,000 | 9,995,426 | ||||||||||||||
U.S. Treasury Bill | 0.160 | % | 05/05/2011 | 05/05/2011 | 30,000,000 | 29,983,467 | ||||||||||||||
U.S. Treasury Bill | 0.183 | % | 05/19/2011 | 05/19/2011 | 50,000,000 | 49,965,500 | ||||||||||||||
U.S. Treasury Bill | 0.193 | % | 05/26/2011 | 05/26/2011 | 30,000,000 | 29,976,739 | ||||||||||||||
U.S. Treasury Bill | 0.206 | % | 06/02/2011 | 06/02/2011 | 30,000,000 | 29,974,350 | ||||||||||||||
U.S. Treasury Bill | 0.228 | % | 06/30/2011 | 06/30/2011 | 50,000,000 | 49,943,750 | ||||||||||||||
TOTAL TREASURY DEBT | 764,782,486 | |||||||||||||||||||
Market | ||||||||||||||||||||
Value | ||||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 18.1% | ||||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/13 – 05/15/15 valued at $44,961,600); proceeds $44,080,735 | 0.200 | % | 01/03/2011 | 01/03/2011 | 44,080,000 | 44,080,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/11 – 11/15/20 valued at $25,500,000); proceeds $25,000,313 | 0.150 | % | 01/03/2011 | 01/03/2011 | 25,000,000 | 25,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Strip, 3.250% due 12/31/16 valued at $25,500,104); proceeds $25,000,479 | 0.230 | % | 01/03/2011 | 01/03/2011 | 25,000,000 | 25,000,000 | ||||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co., (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Note, 4.250% due 11/15/14 valued at $25,501,745); proceeds $25,000,313 | 0.150 | % | 01/03/2011 | 01/03/2011 | 25,000,000 | 25,000,000 | ||||||||||||||
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 12/31/10 (collateralized by a U.S. Treasury Strip, 2.125% due 12/31/15 valued at $25,500,091); proceeds $25,000,375 | 0.180 | % | 01/03/2011 | 01/03/2011 | 25,000,000 | 25,000,000 |
See Notes to Financial Statements.
56
Table of Contents
State Street Treasury Plus Money Market Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset date | Date | Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS (continued) | ||||||||||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co., (Tri-Party), dated 12/31/10 (collateralized by U.S. Treasury Notes, 1.000% – 2.375% due 10/31/11 – 07/31/17 valued at $25,503,939); proceeds $25,000,417 | 0.200 | % | 01/03/2011 | 01/03/2011 | $ | 25,000,000 | $ | 25,000,000 | ||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS | 169,080,000 | |||||||||||||||||||
TOTAL INVESTMENTS(a)† – 100.0% | 933,862,486 | |||||||||||||||||||
Liabilities in Excess of Assets – 0.00% | (114,584 | ) | ||||||||||||||||||
NET ASSETS – 100.0% | $ | 933,747,902 | ||||||||||||||||||
(a) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) | |
† | See Note 2 of the Notes to Financial Statements. |
See Notes to Financial Statements.
57
Table of Contents
State Street Master Funds
Statements of Assets and Liabilities
December 31, 2010
Tax Free | U.S. Government | Treasury | Treasury Plus | |||||||||||||||||
Money Market | Money | Money Market | Money Market | Money Market | ||||||||||||||||
Portfolio | Market Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in unaffiliated issuers, at amortized cost (Note 2) | $ | 17,546,760,160 | $ | 405,259,001 | $ | 3,486,063,083 | $ | 3,657,119,527 | $ | 764,782,486 | ||||||||||
Repurchase Agreements, at market value and cost (Note 2) | 8,949,412,000 | – | 1,425,285,000 | – | 169,080,000 | |||||||||||||||
Total investments | 26,496,172,160 | 405,259,001 | 4,911,348,083 | 3,657,119,527 | 933,862,486 | |||||||||||||||
Cash | 1 | – | 784 | 491 | 720 | |||||||||||||||
Interest receivable | 10,355,506 | 129,175 | 20,032 | – | 877 | |||||||||||||||
Prepaid expense and other assets | 9,686 | 1,892 | 3,372 | 2,951 | 2,157 | |||||||||||||||
Total assets | 26,506,537,353 | 405,390,068 | 4,911,372,271 | 3,657,122,969 | 933,866,240 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Management fee (Note 3) | 2,357,663 | 32,820 | 398,903 | 317,290 | 83,429 | |||||||||||||||
Administration and custody fees (Note 3) | 328,256 | 4,146 | 49,026 | 42,005 | 10,199 | |||||||||||||||
Professional fees | 24,301 | 24,302 | 24,302 | 24,302 | 24,302 | |||||||||||||||
Accrued expenses and other liabilities | 1,480 | 408 | 408 | 408 | 408 | |||||||||||||||
Total liabilities | 2,711,700 | 61,676 | 472,639 | 384,005 | 118,338 | |||||||||||||||
Net Assets | $ | 26,503,825,653 | $ | 405,328,392 | $ | 4,910,899,632 | $ | 3,656,738,964 | $ | 933,747,902 | ||||||||||
See Notes to Financial Statements.
58
Table of Contents
State Street Master Funds
Statements of Operations
Year Ended December 31, 2010
Tax Free | U.S. Government | Treasury | Treasury Plus | |||||||||||||||||
Money Market | Money Market | Money Market | Money Market | Money Market | ||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Interest | $ | 65,752,620 | $ | 932,881 | $ | 7,701,520 | $ | 3,615,997 | $ | 1,370,071 | ||||||||||
Expenses | ||||||||||||||||||||
Management fees (Note 3) | 20,689,317 | 388,566 | 3,980,299 | 2,823,352 | 896,878 | |||||||||||||||
Administration and custody fees (Note 3) | 3,196,865 | 60,467 | 614,450 | 433,737 | 138,235 | |||||||||||||||
Professional fees | 37,399 | 37,398 | 37,398 | 37,398 | 37,398 | |||||||||||||||
Trustees’ fees (Note 4) | 62,759 | 12,597 | 22,769 | 19,147 | 14,046 | |||||||||||||||
Printing fees | 1,968 | 662 | 662 | 662 | 662 | |||||||||||||||
Other expenses | 75,372 | 20,113 | 40,648 | 38,108 | 25,661 | |||||||||||||||
Total expenses | 24,063,680 | 519,803 | 4,696,226 | 3,352,404 | 1,112,880 | |||||||||||||||
Net Investment Income | $ | 41,688,940 | $ | 413,078 | $ | 3,005,294 | $ | 263,593 | $ | 257,191 | ||||||||||
Realized Gain (Loss) | ||||||||||||||||||||
Net realized gain (loss) on investments | $ | 65,219 | $ | 77,445 | $ | – | $ | 38,516 | $ | (90 | ) | |||||||||
Net Increase in Net Assets Resulting from Operations | $ | 41,754,159 | $ | 490,523 | $ | 3,005,294 | $ | 302,109 | $ | 257,101 | ||||||||||
See Notes to Financial Statements.
59
Table of Contents
State Street Master Funds
Statements of Changes in Net Assets
Tax Free Money | ||||||||||||||||
Money Market Portfolio | Market Portfolio | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Increase (Decrease) in Net Assets from: Operations: | ||||||||||||||||
Net investment income | $ | 41,688,940 | $ | 48,751,157 | $ | 413,078 | $ | 2,026,388 | ||||||||
Net realized gain on investments | 65,219 | 37,660 | 77,445 | 500 | ||||||||||||
Net increase in net assets from operations | 41,754,159 | 48,788,817 | 490,523 | 2,026,888 | ||||||||||||
Capital Transactions: | ||||||||||||||||
Contributions | 57,811,748,486 | 26,809,693,228 | 1,015,973,380 | 1,090,386,252 | ||||||||||||
Withdrawals | (46,837,758,144 | ) | (19,976,306,032 | ) | (987,317,049 | ) | (1,104,678,398 | ) | ||||||||
Net increase (decrease) in net assets from capital transactions | 10,973,990,342 | 6,833,387,196 | 28,656,331 | (14,292,146 | ) | |||||||||||
Net Increase (Decrease) in Net Assets | 11,015,744,501 | 6,882,176,013 | 29,146,854 | (12,265,258 | ) | |||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 15,488,081,152 | 8,605,905,139 | 376,181,538 | 388,446,796 | ||||||||||||
End of year | $ | 26,503,825,653 | $ | 15,488,081,152 | $ | 405,328,392 | $ | 376,181,538 | ||||||||
See Notes to Financial Statements.
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Table of Contents
State Street Master Funds
Statements of Changes in Net Assets
U.S. Government Money | Treasury Money | |||||||||||||||
Market Portfolio | Market Portfolio | |||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Increase (Decrease) in Net Assets from: Operations: | ||||||||||||||||
Net investment income | $ | 3,005,294 | $ | 7,182,218 | $ | 263,593 | $ | 513,089 | ||||||||
Net realized gain on investments | – | 8,555 | 38,516 | 33,178 | ||||||||||||
Net increase in net assets from operations | 3,005,294 | 7,190,773 | 302,109 | 546,267 | ||||||||||||
Capital Transactions: | ||||||||||||||||
Contributions | 12,483,113,177 | 8,675,438,195 | 9,018,189,810 | 4,593,553,712 | ||||||||||||
Withdrawals | (11,006,371,349 | ) | (8,210,512,018 | ) | (7,639,683,807 | ) | (4,436,864,167 | ) | ||||||||
Net increase in net assets from capital transactions | 1,476,741,828 | 464,926,177 | 1,378,506,003 | 156,689,545 | ||||||||||||
Net Increase in Net Assets | 1,479,747,122 | 472,116,950 | 1,378,808,112 | 157,235,812 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 3,431,152,510 | 2,959,035,560 | 2,277,930,852 | 2,120,695,040 | ||||||||||||
End of year | $ | 4,910,899,632 | $ | 3,431,152,510 | $ | 3,656,738,964 | $ | 2,277,930,852 | ||||||||
See Notes to Financial Statements.
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Table of Contents
State Street Master Funds
Statements of Changes in Net Assets
Treasury Plus Money | ||||||||
Market Portfolio | ||||||||
Year Ended | Year Ended | |||||||
December 31, | December 31, | |||||||
2010 | 2009 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 257,191 | $ | 242,807 | ||||
Net realized gain (loss) on investments | (90 | ) | 4,611 | |||||
Net increase in net assets from operations | 257,101 | 247,418 | ||||||
Capital Transactions: | ||||||||
Contributions | 3,996,124,623 | 2,238,410,690 | ||||||
Withdrawals | (3,863,271,000 | ) | (2,391,190,447 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 132,853,623 | (152,779,757 | ) | |||||
Net Increase (Decrease) in Net Assets | 133,110,724 | (152,532,339 | ) | |||||
Net Assets | ||||||||
Beginning of year | 800,637,178 | 953,169,517 | ||||||
End of year | $ | 933,747,902 | $ | 800,637,178 | ||||
See Notes to Financial Statements.
62
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State Street Master Funds
Financial Highlights
Ratios to Average Net Assets | Net Assets | |||||||||||||||||||
Gross | Net | Net | End of | |||||||||||||||||
Total | Operating | Operating | Investment | Period | ||||||||||||||||
Period Ended December 31, | Return (a) | Expenses | Expenses | Income | (000s omitted) | |||||||||||||||
Money Market Portfolio | ||||||||||||||||||||
2010 | 0.20 | % | 0.12 | % | 0.12 | % | 0.20 | % | $ | 26,503,826 | ||||||||||
2009 | 0.52 | % | 0.12 | % | 0.11 | %(b) | 0.46 | %(b) | $ | 15,488,081 | ||||||||||
2008 | 2.75 | % | 0.12 | % | 0.10 | % | 2.79 | % | $ | 8,605,905 | ||||||||||
2007 | 5.30 | % | 0.12 | % | 0.10 | % | 5.14 | % | $ | 6,918,263 | ||||||||||
2006 | 5.09 | % | 0.13 | % | 0.10 | % | 5.08 | % | $ | 6,197,117 | ||||||||||
Tax Free Money Market Portfolio | ||||||||||||||||||||
2010 | 0.13 | % | 0.13 | % | 0.13 | % | 0.11 | % | $ | 405,328 | ||||||||||
2009 | 0.49 | % | 0.14 | % | 0.13 | %(b) | 0.48 | %(b) | $ | 376,182 | ||||||||||
2008 | 2.35 | % | 0.14 | % | 0.10 | % | 2.32 | % | $ | 388,447 | ||||||||||
2007(c) | 3.19 | % | 0.17 | %* | 0.10 | %* | 3.42 | %* | $ | 447,679 | ||||||||||
U.S. Government Money Market Portfolio | ||||||||||||||||||||
2010 | 0.07 | % | 0.12 | % | 0.12 | % | 0.08 | % | $ | 4,910,900 | ||||||||||
2009 | 0.25 | % | 0.12 | % | 0.12 | % | 0.23 | % | $ | 3,431,153 | ||||||||||
2008 | 2.19 | % | 0.13 | % | 0.13 | % | 1.97 | % | $ | 2,959,036 | ||||||||||
2007(d) | 0.92 | % | 0.14 | %* | 0.14 | %* | 4.39 | %* | $ | 1,076,794 | ||||||||||
Treasury Money Market Portfolio | ||||||||||||||||||||
2010 | 0.01 | % | 0.12 | % | 0.12 | % | 0.01 | % | $ | 3,656,739 | ||||||||||
2009 | 0.02 | % | 0.12 | % | 0.12 | % | 0.02 | % | $ | 2,277,931 | ||||||||||
2008 | 1.28 | % | 0.13 | % | 0.13 | % | 0.93 | % | $ | 2,120,695 | ||||||||||
2007(e) | 0.61 | % | 0.19 | %* | 0.19 | %* | 3.21 | %* | $ | 530,104 | ||||||||||
Treasury Plus Money Market Portfolio | ||||||||||||||||||||
2010 | 0.03 | % | 0.12 | % | 0.12 | % | 0.03 | % | $ | 933,748 | ||||||||||
2009 | 0.04 | % | 0.13 | % | 0.13 | % | 0.03 | % | $ | 800,637 | ||||||||||
2008 | 1.57 | % | 0.13 | % | 0.13 | % | 1.07 | % | $ | 953,170 | ||||||||||
2007(f) | 0.75 | % | 0.17 | %* | 0.17 | %* | 3.95 | %* | $ | 463,190 |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. | |
(b) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been 0.01% lower. | |
(c) | The Portfolio commenced operations on February 7, 2007. | |
(d) | The Portfolio commenced operations on October 17, 2007. | |
(e) | The Portfolio commenced operations on October 25, 2007. | |
(f) | The Portfolio commenced operations on October 24, 2007. | |
* | Annualized. |
See Notes to Financial Statements.
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State Street Master Funds
Notes to Financial Statements
December 31, 2010
Notes to Financial Statements
December 31, 2010
1. | Organization |
The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. At December 31, 2010, the following Portfolios were in operation: the State Street Equity 500 Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio (the “Portfolios”). The Portfolios commenced operations as follows:
Portfolio Name | Commencement Date | ||
State Street Money Market Portfolio | August 12, 2004 | ||
State Street Tax Free Money Market Portfolio | February 7, 2007 | ||
State Street U.S. Government Money Market Portfolio | October 17, 2007 | ||
State Street Treasury Money Market Portfolio | October 25, 2007 | ||
State Street Treasury Plus Money Market Portfolio | October 24, 2007 | ||
The Portfolios are authorized to issue an unlimited number of non-transferable beneficial interests.
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State Street Master Funds
Notes to Financial Statements (continued)
December 31, 2010
The Portfolios’ investment objectives are as follows:
Portfolio Name | Investment Objective | ||
State Street Money Market Portfolio | To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. dollar-denominated money market securities. | ||
State Street Tax Free Money Market Portfolio | To seek to maximize current income, exempt from federal income taxes, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value. | ||
State Street U.S. Government Money Market Portfolio | To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. government securities and in repurchase agreements collateralized by U.S. government securities. | ||
State Street Treasury Money Market Portfolio | To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value. | ||
State Street Treasury Plus Money Market Portfolio | To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in a portfolio consisting principally of U.S. Treasury securities and repurchase agreements collateralized by such securities. | ||
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements.
Security valuation – As permitted under Rule 2a-7 of the 1940 Act and certain conditions therein, securities of the Portfolios are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium.
The Portfolios adopted provisions surrounding Fair Value Measurements and Disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolios’ investments.
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State Street Master Funds
Notes to Financial Statements (continued)
December 31, 2010
The three tier hierarchy of inputs is summarized below:
• | Level 1 — quoted prices in active markets for identical securities | |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |
• | Level 3 — significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolios’ assets carried at fair value:
Investments in | |||||||||||||||||||||||||
Securities | |||||||||||||||||||||||||
State Street Tax | State Street U.S. | State Street | State Street | ||||||||||||||||||||||
State Street Money | Free Money | Government Money | Treasury Money | Treasury Plus Money | |||||||||||||||||||||
Valuation Inputs | Market Portfolio | Market Portfolio | Market Portfolio | Market Portfolio | Market Portfolio | ||||||||||||||||||||
Level 1 — Quoted Prices | $ | – | $ | 75,192,001 | $ | – | $ | – | $ | – | |||||||||||||||
Level 2 — Other Significant Observable Inputs | 26,496,172,160 | 330,067,000 | 4,911,348,083 | 3,657,119,527 | 933,862,486 | ||||||||||||||||||||
Level 3 — Significant Unobservable Inputs | – | – | – | – | – | ||||||||||||||||||||
Total Investments | $ | 26,496,172,160 | $ | 405,259,001 | $ | 4,911,348,083 | $ | 3,657,119,527 | $ | 933,862,486 | |||||||||||||||
The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in each Portfolio of Investments, which also includes a breakdown of the Portfolios’ investments by category.
The Portfolios adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolios’ disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.
As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
Securities transactions, investment income and expenses: Securities transactions are recorded on a trade date basis for financial statement purposes. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily.
All of the net investment income and realized gains and losses from the security transactions of the Portfolios are allocated pro rata among the partners in the Portfolios based on each partner’s daily ownership percentage.
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State Street Master Funds
Notes to Financial Statements (continued)
December 31, 2010
Federal income taxes: The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolios have reviewed the tax positions for open years as of December 31, 2010, and determined they did not have a liability for any unrecognized tax expenses. The Portfolios recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 (or since inception, for Portfolios formed subsequent to 2007) through 2010 remain subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At December 31, 2010, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
Repurchase Agreements: A repurchase agreement customarily obligates the seller at the time it sells securities to a Portfolio to repurchase the securities at a mutually agreed upon price and time which, in the case of the Portfolios’ transactions, is generally within seven days. The total amount received by a Portfolio on repurchase is calculated to exceed the price paid by the Portfolio, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities, but may consist of other securities in which a Portfolio is permitted to invest. Repurchase agreements are fully collateralized at all times. The use of repurchase agreements involves certain risks. For example, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) a Portfolio will seek to dispose of such securities; this action could involve costs or delays. In addition, the proceeds of any such disposition may be less than the amount a Portfolio is owed under the repurchase agreement. A Portfolio may enter into repurchase agreements maturing within seven days with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).
Expense allocation: Certain expenses are applicable to multiple Portfolios. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly attributed to a Portfolio are allocated among the Portfolios, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Portfolios can otherwise be made fairly.
Use of estimates: The Portfolios’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
3. | Related Party Fees |
The Portfolios have entered into investment advisory agreements with the Adviser. The Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, until January 31, 2011, each Portfolio paid the Adviser a management fee at an annual rate of 0.10% of the respective Portfolio’s average daily
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State Street Master Funds
Notes to Financial Statements (continued)
December 31, 2010
net assets. Effective February 1, 2011, SSgA FM agreed to contractually waive 0.05% of the 0.10% payable by each Portfolio for investment advisory services through January 31, 2012. On February 18, 2011, the Board of Trustees approved revised investment advisory agreements of each of the Portfolios to amend the management fee payable by each Portfolio to an annual rate of 0.05% of the respective Portfolio’s average daily net assets. Pursuant to the agreements of February 1, 2011 and February 18, 2011, each Portfolio will pay a fee at an annual rate of 0.05% of its average daily net assets for investment advisory services received from the Adviser.
State Street is the administrator, custodian and transfer agent for the Portfolios. In compensation for State Street’s services as administrator, custodian and transfer agent beginning February 1, 2007, the Trust pays State Street an annual fee, which is accrued daily and payable monthly at the applicable fee rate described below, of the following annual percentages of the Trust’s average aggregate daily net assets, exclusive of the Equity 500 Index Portfolio, during the month as follows:
Annual percentage of | ||||
Asset Levels | average aggregate daily net assets | |||
First $400 million | 0.03% | |||
Next $15 billion | 0.02% | |||
Thereafter | 0.01% | |||
Minimum annual fee per Portfolio | $150,000 |
4. | Trustees’ Fees |
The Trust pays each Trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each in-person meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also pays each Trustee an annual retainer of $30,000. Each Trustee is reimbursed for out-of-pocket and travel expenses.
5. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements in unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
6. | Subsequent Events |
In accordance with provisions surrounding Subsequent Events adopted by the Portfolios, management has evaluated the possibility of subsequent events existing in the Portfolios’ financial statements.
Effective February 1, 2011, SSgA FM agreed to contractually to waive 0.05% of the 0.10% of the average daily net assets paid by each of the Portfolios for investment advisory services through January 31, 2012. On February 18, 2011, the Board of Trustees approved revised investment advisory agreements with each of the Portfolios to amend the management fee paid by each Portfolio to an annual rate of 0.05% of the respective Portfolio’s average daily net assets. Pursuant to the agreements of February 1, 2011 and February 18, 2011, each Portfolio will pay the Adviser a fee at an annual rate of 0.05% of its average daily net assets for investment advisory services received from the Adviser.
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State Street Master Funds
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Owners of Beneficial Interest and Board of Trustees of
State Street Master Funds:
We have audited the accompanying statements of assets and liabilities of State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (five of the portfolios constituting State Street Master Funds) (the “Portfolios”), including the portfolios of investments, as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolios’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolios’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial positions of State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio, of State Street Master Funds, at December 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
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State Street Master Funds
General Information
December 31, 2010 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolios. A description of the policies and procedures is available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the approval of the investment advisory agreements (the “Advisory Agreements”) for State Street Money Market Portfolio (the “Money Market Portfolio”), State Street Tax Free Money Market Portfolio (the “Tax Free Portfolio”), State Street U.S. Government Money Market Portfolio (the “U.S. Government Portfolio”), State Street Treasury Money Market Fund (the “Treasury Portfolio”) and State Street Treasury Plus Money Market Portfolio (the “Treasury Plus Portfolio”) (collectively, the “Portfolios”). In preparation for considering the Advisory Agreements, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreements, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreements, (ii) the investment performance of the Portfolios, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreements reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreements and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolios, which are money market funds. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolios, and the responsibilities of the latter with respect to the Portfolios. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolios’ investments, in monitoring and securing the Portfolios’ compliance with their investment objectives and policies with respect to their investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered
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State Street Master Funds
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of money market products are exceptional. As discussed more fully below, they also determined that the advisory fees for the Portfolios were fair and reasonable and that their performance and expense ratios were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolios were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objectives of the Portfolios and the available data, the investment performances were acceptable. The Trustees noted that materials provided by Lipper Inc. at the Meeting indicated that the performances of the Portfolios’ feeder funds’ Institutional Shares relative to their Lipper peer groups have been above average for almost all of the applicable reported periods (five years, three years, one year and year-to-date as applicable) ended September 30, 2010, although the performances of the feeder funds’ Investor Shares were generally below average. The Trustees determined that the reported performances of the feeder funds, and, by implication, the Portfolios supported a finding that the performances were acceptable, albeit subject to ongoing review at future meetings.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships to the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder funds and, by implication, the Portfolios.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolios individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fees excessive.
In order better to evaluate the Portfolios’ advisory fees, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolios’ advisory fees and total expense ratios were all lower than the average for their respective Lipper peer groups; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fees. The Trustees also considered that to help limit expenses of each of the Money Market Portfolio, the U.S. Government Money Market Portfolio, the Tax Free Money Market Portfolio, the Treasury Money Market Portfolio and the Treasury Plus Money Market Portfolio, the Adviser had reduced its advisory fee or otherwise reimbursed expenses for those Portfolios.
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State Street Master Funds
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolios and, indirectly, by the feeder funds. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolios; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolios by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with those of the Portfolios, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fees were fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolios’ brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fees excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolios as assets grow and whether the Portfolios’ fee levels reflect such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolios by virtue of advisory fees of comparatively low levels that subsumed economies of scale in the fees themselves. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreements.
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||
Name, Address, | Position(s) | Term of Office | Funds in Fund | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Complex Overseen | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | by Trustee* | Held by Trustee | |||||
Independent Trustees | ||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984-1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993-2009; Director, IEmily.com, Inc. 2000-present; and Trustee, National Osteoporosis Foundation 2005-2008 | |||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002-2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
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Number of | ||||||||||
Name, Address, | Position(s) | Term of Office | Funds in Fund | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Complex Overseen | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | by Trustee* | Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust;Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. | |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
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Number of | ||||||||||
Position(s) | Term of Office | Funds in Fund | ||||||||
Name, Address, | Held with | and Length of | Principal Occupation During | Complex Overseen | ||||||
and Date of Birth (“DOB”) | Trust | Time Served | Past Five Years | by Trustee* | Other Directorships Held by Trustee | |||||
Officers: (continued) | ||||||||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — | |||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
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Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
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
Table of Contents
STATE STREET EQUITY 500 INDEX FUND
ANNUAL REPORT
December 31, 2010
Table of Contents
State Street Equity 500 Index Fund
Administrative Shares
Administrative Shares
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2010
For the Year Ended December 31, 2010
Total Return | |||||||||
Average | |||||||||
Annualized Since | |||||||||
Total Return | Total Return | Commencement | |||||||
One Year Ended | Five Years Ended | of Operations | |||||||
December 31, 2010 | December 31, 2010 | (April 18, 2001) | |||||||
State Street Equity 500 Index Fund Administrative Shares(b) | 14.81% | 2.16% | 2.30% | ||||||
S&P 500® Index(c) | 15.06% | 2.29% | 2.50% | ||||||
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that 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. | |
(b) | The performance of the Service and R Shares will differ from this example due to their varying expense structures. | |
(c) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in an index. |
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State Street Equity 500 Index Fund (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Fund (the “Fund”), you incur ongoing costs, which include costs for administrative services and distribution (12b-1) fees, among others, in addition to the Fund’s proportionate share of expenses of the State Street Equity 500 Index Portfolio. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Fund’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the actual return of each class of the Fund, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the indicated Class. 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 Class under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Class’ costs with those of other mutual funds. It assumes that the Class 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 Class’ actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Class’ costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
July 1, 2010 | December 31, 2010 | Period * | |||||||
Based on Actual Class Return | |||||||||
Administrative Shares | $1,000.00 | $1,231.40 | $1.38 | ||||||
Service Shares | $1,000.00 | $1,230.40 | $1.94 | ||||||
Class R Shares | $1,000.00 | $1,227.60 | $3.90 | ||||||
Based on Hypothetical (5% return before expenses) | |||||||||
Administrative Shares | $1,000.00 | $1,023.97 | $1.25 | ||||||
Service Shares | $1,000.00 | $1,023.47 | $1.76 | ||||||
Class R Shares | $1,000.00 | $1,021.70 | $3.54 | ||||||
3
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State Street Equity 500 Index Fund (Unaudited)
EXPENSE EXAMPLE (continued)
* | The calculations are based on expenses incurred in the most recent fiscal period of each Class. The Administrative Shares, Service Shares and Class R Shares annualized average weighted expense ratios as of December 31, 2010 were 0.245%, 0.345% and 0.695%, respectively, which include each Class’ proportionate share of the expenses of the State Street Equity 500 Index Portfolio. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period). |
4
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State Street Equity 500 Index Fund
Statement of Assets and Liabilities
December 31, 2010
Assets | ||||
Investment in State Street Equity 500 Index Portfolio, at market value (identified cost $207,344,827) (Note 1) | $ | 257,898,751 | ||
Receivable for Fund shares sold | 211,207 | |||
Total assets | 258,109,958 | |||
Liabilities | ||||
Payable for Fund shares repurchased | 107,251 | |||
Distribution fees payable (Note 3) | 44,020 | |||
Administration fees payable (Note 3) | 11,316 | |||
Total liabilities | 162,587 | |||
Net Assets | $ | 257,947,371 | ||
Net assets consist of: | ||||
Paid-in capital | $ | 239,650,614 | ||
Undistributed net investment income | 99,640 | |||
Accumulated net realized loss | (32,509,738 | ) | ||
Net unrealized appreciation on investments and futures | 50,706,855 | |||
Net Assets | $ | 257,947,371 | ||
Administrative Shares: | ||||
Net Assets | $ | 165,882,702 | ||
Shares of beneficial interest outstanding | 15,766,899 | |||
Offering, net asset value, and redemption price per share | $ | 10.52 | ||
Service Shares: | ||||
Net Assets | $ | 78,203,022 | ||
Shares of beneficial interest outstanding | 7,439,929 | |||
Offering, net asset value, and redemption price per share | $ | 10.51 | ||
Class R Shares: | ||||
Net Assets | $ | 13,861,647 | ||
Shares of beneficial interest outstanding | 1,318,505 | |||
Offering, net asset value, and redemption price per share | $ | 10.51 | ||
See Notes to Financial Statements.
5
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State Street Equity 500 Index Fund
Statement of Operations
Year Ended December 31, 2010
Income and Expenses allocated from Portfolio | ||||
Dividend income allocated from Portfolio (Note 2) | $ | 4,607,920 | ||
Interest income allocated from Portfolio (Note 2) | 8,060 | |||
Expenses allocated from Portfolio (Note 3) | (102,326 | ) | ||
4,513,654 | ||||
Expenses | ||||
Distribution Fees (Note 3) | ||||
Administrative Shares | 220,170 | |||
Service Shares | 171,730 | |||
Class R Shares | 67,736 | |||
Administration fees (Note 3) | 113,381 | |||
573,017 | ||||
Net Investment Income | $ | 3,940,637 | ||
Realized and Unrealized Gain | ||||
Net realized gain allocated from Portfolio on: | ||||
Investments | $ | 2,454,614 | ||
Futures | 671,541 | |||
3,126,155 | ||||
Change in net unrealized appreciation (depreciation) allocated from Portfolio on: | ||||
Investments | 25,651,477 | |||
Futures | 7,182 | |||
25,658,659 | ||||
Net realized and unrealized gain | 28,784,814 | |||
Net Increase in Net Assets Resulting from Operations | $ | 32,725,451 | ||
See Notes to Financial Statements.
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State Street Equity 500 Index Fund
Statements of Changes in Net Assets
For The | For The | |||||||
Year Ended | Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets Resulting From Operations: | ||||||||
Net investment income | $ | 3,940,637 | $ | 3,647,094 | ||||
Net realized gain (loss) on investments and futures | 3,126,155 | (9,643,296 | ) | |||||
Change in net unrealized appreciation on investments and futures | 25,658,659 | 52,377,394 | ||||||
Net increase in net assets resulting from operations | 32,725,451 | 46,381,192 | ||||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Administrative Shares | (2,619,321 | ) | (2,418,095 | ) | ||||
Service Shares | (1,150,431 | ) | (1,053,872 | ) | ||||
Class R Shares | (157,647 | ) | (121,207 | ) | ||||
Total distributions | (3,927,399 | ) | (3,593,174 | ) | ||||
Net Increase (Decrease) from Capital Share Transactions: Administrative Shares | ||||||||
Shares sold | 11,828,124 | 13,952,674 | ||||||
Reinvestment of distributions | 2,619,321 | 2,418,095 | ||||||
Shares redeemed | (9,814,850 | ) | (11,295,890 | ) | ||||
Net increase from capital share transactions | 4,632,595 | 5,074,879 | ||||||
Service Shares | ||||||||
Shares sold | 9,211,179 | 20,280,541 | ||||||
Reinvestment of distributions | 1,150,431 | 1,053,872 | ||||||
Shares redeemed | (7,058,941 | ) | (10,857,206 | ) | ||||
Net increase from capital share transactions | 3,302,669 | 10,477,207 | ||||||
Class R Shares | ||||||||
Shares sold | 3,173,011 | 4,228,561 | ||||||
Reinvestment of distributions | 157,647 | 121,207 | ||||||
Shares redeemed | (765,828 | ) | (1,323,076 | ) | ||||
Net increase from capital share transactions | 2,564,830 | 3,026,692 | ||||||
Net Increase in Net Assets | 39,298,146 | 61,366,796 | ||||||
Net Assets | ||||||||
Beginning of year | 218,649,225 | 157,282,429 | ||||||
End of year | $ | 257,947,371 | $ | 218,649,225 | ||||
Undistributed net investment income | $ | 99,640 | $ | 88,564 | ||||
Changes in Shares: | ||||||||
Administrative Shares | ||||||||
Shares sold | 1,212,978 | 1,735,173 | ||||||
Reinvestment of distributions | 248,749 | 257,249 | ||||||
Shares redeemed | (1,031,432 | ) | (1,470,616 | ) | ||||
Net increase in shares | 430,295 | 521,806 | ||||||
Service Shares | ||||||||
Shares sold | 952,802 | 2,859,125 | ||||||
Reinvestment of distributions | 109,357 | 112,233 | ||||||
Shares redeemed | (738,333 | ) | (1,360,114 | ) | ||||
Net increase in shares | 323,826 | 1,611,244 | ||||||
Class R Shares | ||||||||
Shares sold | 335,984 | 536,313 | ||||||
Reinvestment of distributions | 14,985 | 12,894 | ||||||
Shares redeemed | (79,663 | ) | (166,119 | ) | ||||
Net increase in shares | 271,306 | 383,088 | ||||||
See Notes to Financial Statements.
7
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Financial Highlights
Selected data for an Administrative Share of beneficial interest outstanding throughout each year is presented below:
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07 | 12/31/06 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.31 | $ | 7.50 | $ | 12.24 | $ | 11.83 | $ | 10.41 | ||||||||||
Investment Operations: | ||||||||||||||||||||
Net investment income* | 0.17 | 0.17 | 0.21 | 0.22 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and futures | 1.21 | 1.80 | (4.73 | ) | 0.41 | 1.42 | ||||||||||||||
Total from investment operations | 1.38 | 1.97 | (4.52 | ) | 0.63 | 1.61 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.17 | ) | (0.16 | ) | (0.22 | ) | (0.22 | ) | (0.19 | ) | ||||||||||
Net increase (decrease) in net assets | 1.21 | 1.81 | (4.74 | ) | 0.41 | 1.42 | ||||||||||||||
Net Asset Value, End of Year | $ | 10.52 | $ | 9.31 | $ | 7.50 | $ | 12.24 | $ | 11.83 | ||||||||||
Total Return(b) | 14.81 | % | 26.25 | % | (36.89 | )% | 5.35 | % | 15.52 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (000s) | $ | 165,883 | $ | 142,739 | $ | 111,075 | $ | 192,718 | $ | 206,607 | ||||||||||
Ratios to average net assets(a): | ||||||||||||||||||||
Operating expenses | 0.245 | % | 0.245 | % | 0.245 | % | 0.245 | % | 0.245 | % | ||||||||||
Net investment income | 1.79 | % | 2.08 | % | 2.09 | % | 1.76 | % | 1.75 | % | ||||||||||
Portfolio turnover rate(c) | 12 | % | 19 | % | 14 | % | 12 | % | 10 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. | |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. | |
(c) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. | |
* | Net investment income per share is calculated using the average shares method. |
See Notes to Financial Statements.
8
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Service Share of beneficial interest outstanding throughout each year is presented below:
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07 | 12/31/06 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.30 | $ | 7.49 | $ | 12.22 | $ | 11.82 | $ | 10.40 | ||||||||||
Investment Operations: | ||||||||||||||||||||
Net investment income* | 0.16 | 0.16 | 0.20 | 0.21 | 0.18 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and futures | 1.21 | 1.80 | (4.72 | ) | 0.40 | 1.42 | ||||||||||||||
Total from investment operations | 1.37 | 1.96 | (4.52 | ) | 0.61 | 1.60 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.16 | ) | (0.15 | ) | (0.21 | ) | (0.21 | ) | (0.18 | ) | ||||||||||
Net increase (decrease) in net assets | 1.21 | 1.81 | (4.73 | ) | 0.40 | 1.42 | ||||||||||||||
Net Asset Value, End of Year | $ | 10.51 | $ | 9.30 | $ | 7.49 | $ | 12.22 | $ | 11.82 | ||||||||||
Total Return(b) | 14.71 | % | 26.16 | % | (36.93 | )% | 5.16 | % | 15.41 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (000s) | $ | 78,203 | $ | 66,171 | $ | 41,232 | $ | 70,965 | $ | 59,792 | ||||||||||
Ratios to average net assets(a): | ||||||||||||||||||||
Operating expenses | 0.345 | % | 0.345 | % | 0.345 | % | 0.345 | % | 0.345 | % | ||||||||||
Net investment income | 1.69 | % | 1.96 | % | 1.98 | % | 1.67 | % | 1.65 | % | ||||||||||
Portfolio turnover rate(c) | 12 | % | 19 | % | 14 | % | 12 | % | 10 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. | |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. | |
(c) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. | |
* | Net investment income per share is calculated using the average shares method. |
See Notes to Financial Statements.
9
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Class R Share of beneficial interest outstanding throughout each year is presented below:
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07 | 12/31/06 | ||||||||||||||||
Per Share Operating Performance(a): | ||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 9.30 | $ | 7.49 | $ | 12.23 | $ | 11.82 | $ | 10.40 | ||||||||||
Investment Operations: | ||||||||||||||||||||
Net investment income* | 0.13 | 0.13 | 0.17 | 0.16 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and futures | 1.20 | 1.80 | (4.72 | ) | 0.42 | 1.41 | ||||||||||||||
Total from investment operations | 1.33 | 1.93 | (4.55 | ) | 0.58 | 1.56 | ||||||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.12 | ) | (0.12 | ) | (0.19 | ) | (0.17 | ) | (0.14 | ) | ||||||||||
Net increase (decrease) in net assets | 1.21 | 1.81 | (4.74 | ) | 0.41 | 1.42 | ||||||||||||||
Net Asset Value, End of Year | $ | 10.51 | $ | 9.30 | $ | 7.49 | $ | 12.23 | $ | 11.82 | ||||||||||
Total Return(b) | 14.31 | % | 25.72 | % | (37.20 | )% | 4.88 | % | 15.02 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net Assets, End of Year (000s) | $ | 13,862 | $ | 9,740 | $ | 4,975 | $ | 5,914 | $ | 3,104 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.695 | % | 0.695 | % | 0.695 | % | 0.695 | % | 0.695 | % | ||||||||||
Net investment income | 1.35 | % | 1.60 | % | 1.67 | % | 1.33 | % | 1.33 | % | ||||||||||
Portfolio turnover rate(c) | 12 | % | 19 | % | 14 | % | 12 | % | 10 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. | |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. | |
(c) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. | |
* | Net investment income per share is calculated using the average shares method. |
See Notes to Financial Statements.
10
Table of Contents
State Street Equity 500 Index Fund
Notes to Financial Statements
December 31, 2010
1. | Organization |
State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of the following series: the State Street Equity 500 Index Fund, the State Street Equity 400 Index Fund, the State Street Equity 2000 Index Fund, the State Street Aggregate Bond Index Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional Short-Term Tax Exempt Bond Fund, the State Street Institutional Limited Duration Bond Fund, the State Street Institutional Treasury Money Market Fund, the State Street Institutional Treasury Plus Money Market Fund and the State Street Institutional U.S. Government Money Market Fund, each of which is a separate diversified series of the Trust. Information presented in these financial statements pertains only to the State Street Equity 500 Index Fund (the “Fund”). The Fund is authorized to issue an unlimited number of shares, with no par value.
The Fund commenced operations on April 18, 2001. As of December 31, 2010, the following series of the Trust had commenced operations: the Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional Short-Term Tax Exempt Bond Fund, the State Street Institutional Treasury Money Market Fund, the State Street Institutional Treasury Plus Money Market Fund and the State Street U.S. Government Money Market Fund. The Fund offers Administrative Shares, Service Shares and Class R Shares, respectively. Administrative Shares commenced operations on April 18, 2001, Service Shares commenced operations on March 10, 2003 and Class R Shares commenced operations on June 7, 2005.
The Fund invests all of its investable assets in interests of the State Street Equity 500 Index Portfolio (the “Portfolio”), a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of the Portfolio are substantially similar to those of the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (12.29% at December 31, 2010). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the portfolio of investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Fund in preparation of its financial statements.
Security valuation – The Fund records its investment in the Portfolio at value. The valuation policies of the Portfolio are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for the Portfolio, as of December 31, 2010, in valuing the Portfolio’s assets
11
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State Street Equity 500 Index Fund
Notes to Financial Statements (continued)
Notes to Financial Statements (continued)
December 31, 2010
carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The Portfolio adopted provisions surrounding Disclosures about Derivatives and Hedging which require qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The disclosures as of December 31, 2010, are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
Security transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio, less all expenses of the Fund. Realized and unrealized gains and losses from security transactions consist of the Fund’s pro-rata share of the Portfolio’s realized and unrealized gains and losses. Realized gains and losses from security transactions are recorded on the basis of identified cost. Class specific distribution fees are borne by each class. Income, non-class specific expenses, and realized and unrealized gains and losses are allocated to the respective classes daily on the basis of relative net assets.
Dividends and distributions – Dividends, if any, are declared and paid, at least annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.
Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles. These differences are due in part to differing treatments for reallocation of tax gains/losses on securities and futures, REIT adjustments for securities sold, REIT capital gain distributions adjustment, and unused capital loss carryover expired.
For the year ended December 31, 2010, permanent differences identified and reclassified among the components of net assets were as follows:
Undistributed | ||||||
Accumulated | Net Investment | |||||
Paid-In Capital | Gain (Loss) | Income (Loss) | ||||
$(6,628,044) | $6,630,206 | $(2,162) | ||||
Net investment income (loss), net realized gains (losses) and net assets were not affected by this reclassification.
The tax character of distributions paid to shareholders during the years ended December 31, for ordinary income, was as follows:
2010 | 2009 | |||||||||
Ordinary income | $ | 3,927,399 | $ | 3,593,174 | ||||||
12
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State Street Equity 500 Index Fund
Notes to Financial Statements (continued)
Notes to Financial Statements (continued)
December 31, 2010
At December 31, 2010, the components of distributable earnings on a tax basis were as follows:
Undistributed ordinary income | $ | — | |||
Capital loss carryover | (19,319,390 | ) | |||
Post-October 2010 loss deferral | (1,132,942 | ) | |||
Unrealized appreciation | 38,749,089 | ||||
Total | $ | 18,296,757 | |||
At December 31, 2010 the differences between book basis and tax basis components of net assets were primarily attributable to wash sale deferrals, mark to market of futures contracts for tax purposes, REIT dividend income reallocations, current year post-October losses deferred, and capital loss carryover.
Federal income taxes – The Fund intends to continue to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so electing and qualifying, the Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of its net taxable income and capital gains, if any, the Fund will not be subject to federal excise tax.
At December 31, 2010, the Fund had capital loss carry forwards in the amount of $19,319,390, which may be utilized to offset future net realized capital gains in the amounts and until the expiration dates noted below:
Expiration Year | ||||||||||||||||||
2011 | 2012 | 2013 | 2014 | 2016 | 2017 | 2018 | ||||||||||||
$78,263 | $357,924 | $216,052 | $634,808 | $4,728,997 | $10,205,807 | $3,097,539 | ||||||||||||
During the year ended December 31, 2010, capital loss carryover in the amount of $7,776,419 expired unused. The Fund has elected to defer Post-October losses of $1,132,942 until the first day of fiscal year 2011.
At December 31, 2010, the cost of investments computed on a federal income tax basis was $219,243,007 resulting in $38,655,744 of unrealized appreciation.
The Fund has reviewed the tax positions for open years as of December 31, 2010 and determined it did not have a liability for any unrecognized tax expenses. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
Expense allocation: Certain expenses are applicable to multiple Funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made fairly.
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State Street Equity 500 Index Fund
Notes to Financial Statements (continued)
Notes to Financial Statements (continued)
December 31, 2010
Use of estimates: The Fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
3. | Related Party Fees and Transactions |
The Fund has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”). In addition, the Portfolio has entered into an investment advisory agreement with SSgA FM under which SSgA FM directs the investment of the Portfolio in accordance with the Portfolio’s investment objective, policies and limitations. The Fund pays no advisory fee to SSgA FM as long as the Fund invests all of its assets in the Portfolio or another investment company. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Fund. In compensation for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary legal and audit expenses), State Street receives a fee at the annual rate of 0.05% of average daily net assets of the Fund. For the year ended December 31, 2010, the Fund incurred fees of $113,381 for such services. The Portfolio pays State Street a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets in compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense). For the year ended December 31, 2010, the Fund’s pro-rata share of these expenses amounted to $102,326.
The Trust has adopted a plan of distribution pursuant to Rule 12b-1 under the 1940 Act (the “Rule 12b-1 Plan”). Under the Rule 12b-1 Plan, the Fund compensates financial intermediaries in connection with the distribution of Administrative, Service and Class R Shares and for services provided to the Fund’s shareholders. The Fund made payments under the Rule 12b-1 Plan at an annual rate of 0.15% of average daily net assets for Administrative Shares of the Fund, an annual rate of 0.25% of average daily net assets for Service Shares of the Fund and an annual rate of 0.60% of average daily net assets for Class R Shares of the Fund. For the year ended December 31, 2010, the Fund’s Administrative Shares, Service Shares and Class R Shares incurred $220,170, $171,730, and $67,736 of expenses, respectively, pursuant to the Rule 12b-1 plan.
4. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
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State Street Equity 500 Index Fund
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Institutional Investment Trust and
Shareholders of State Street Equity 500 Index Fund:
We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Fund, a fund of State Street Institutional Investment Trust, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
15
Table of Contents
State Street Equity 500 Index Fund
General Information
December 31, 2010 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the Fund’s distributions for its fiscal year ended December 31, 2010:
State Street Equity 500 Index Fund had 100% of 2010 ordinary dividends paid qualify for the corporate dividends received deduction. 100% of these distributions have also met the requirements needed to be considered qualified dividends under the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Fund. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by (i) calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement for the Fund (the “Advisory Agreement”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreement, (ii) the investment performance of the Fund, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Fund, which is a feeder index fund in a master-feeder structure. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Fund, and the responsibilities of the latter with respect to the Fund. They also considered the resources, operational structures and practices of the
16
Table of Contents
State Street Equity 500 Index Fund
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
Adviser in managing the Fund’s investments, in monitoring and securing the Fund’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of index products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Fund was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the master portfolio and indirectly to the Fund were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objective of the Fund and the available data, the investment performance was acceptable. The Trustees noted that the performance of the Fund in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Fund achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Fund had in fact tracked the index within an acceptable range of tracking error. They concluded that the performance of the Fund was satisfactory.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the Fund.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Fund individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.
In order better to evaluate the Fund’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Fund’s advisory fee and total expense ratio were all lower than the average for its respective Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee. (The Trustees noted that the Adviser does not receive any advisory fee from the Fund so long as the Fund invests substantially all of its assets in a master portfolio or in another investment company.)
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Table of Contents
State Street Equity 500 Index Fund
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the master portfolio and, indirectly, by the Fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the master portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the master portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the master portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as the principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the master portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Fund as assets grow and whether the Fund’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Fund by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.
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Table of Contents
Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Institutional Investment Trust, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||||
Funds in Fund | ||||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993-2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008 | |||||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002 – 2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
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Table of Contents
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||
(‘‘DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust;Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
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Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Officers: (continued) | ||||||||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — | |||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
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Table of Contents
Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Equity 500 Index Fund
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
Table of Contents
STATE STREET EQUITY 500 INDEX PORTFOLIO
ANNUAL REPORT
December 31, 2010
ANNUAL REPORT
December 31, 2010
Table of Contents
State Street Equity 500 Index Portfolio
The State Street Equity 500 Index Portfolio (the “Portfolio”) seeks to replicate as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “Index”). In seeking this objective, the Portfolio utilizes a passive management strategy designed to track the performance of the Index. The Portfolio also employs futures to maintain market exposure and otherwise assist in attempting to replicate the performance of the Index.
For the 12-month period ended December 31, 2010 (the “Reporting Period”), the total return for the Portfolio was 15.08%, and the total return for the Index was 15.06%. The Portfolio and Index returns reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of the 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.
Early 2010 was a period of positive sentiment; however, as the year progressed, investors faced significant challenges, including the European debt crisis, policy changes in China, and uncertainty about the strength and sustainability of the US recovery. However, despite the volatility, it was generally a good year for equities, bonds and commodities, while the US Dollar was mixed.
Despite a brief pause to celebrate apparent agreement on the main ingredients of the US financial reform, persistently high jobless claims and a downbeat report on consumer confidence kept buyers on the defensive, and the Index closed the first half of 2010 at its worst levels since November of 2009. Recovering sentiment in Europe and solid growth in Asia allowed US equities to hold their ground during the summer. Employment data looked a bit soft and cautious outlooks from some key technology firms put buyers back on the defensive. Despite some reversals in the last week of the month, US equities finished September with an uncharacteristically strong advance that lifted them to their best levels since mid-May. Apart from a temporary inversion that took hold during November, US share prices enjoyed a steady and largely undisturbed advance in the latter part of 2010.
In the US markets, small cap and midcap stocks outperformed the larger cap stocks for the year. Despite a negative start in January, the Index recovered nicely ending the first quarter up with a modest gain of 5.39%. The positive momentum was lost in the second quarter with a disappointing loss of 11.43%, but rebounded nicely in the third quarter with a positive 11.29% result. A strong fourth quarter return of 10.76% helped the Index end the year up 15.06%.
For the Reporting Period, all ten sectors of the Index experienced positive returns. The three top contributing sectors for the year were consumer discretionary, industrials and energy. Ford Motor Co. had the greatest contribution to the consumer discretionary sector. Other notable stocks were McDonald’s Corp. and Amazon.Com, Inc.. Two top performing securities within the industrials sector were General Electric Co. and Caterpillar, Inc. The two least positive contributing sectors were the health care and utilities sectors. The poor performance in the health care sector may have been caused by lack of clarity relating to the major health care legislation signed into law in the beginning of 2010, which still has major details to be determined. In the utilities sector, detractors that contributed negatively were FirstEnergy Corp. and Exelon Corp.
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.
24
Table of Contents
State Street Equity 500 Index Portfolio
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2010
For the Year Ended December 31, 2010
Total Return | |||||||||||||||
Average | |||||||||||||||
Annualized Since | |||||||||||||||
Total Return | Total Return | Commencement | |||||||||||||
One Year Ended | Five Years Ended | of Operations | |||||||||||||
December 31, 2010 | December 31, 2010 | (March 1, 2000) | |||||||||||||
State Street Equity 500 Index Portfolio | 15.08 | % | 2.29 | % | 1.07 | % | |||||||||
S&P 500® Index(b) | 15.06 | % | 2.29 | % | 1.20 | % | |||||||||
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that a partner’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes. | |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in an index. |
25
Table of Contents
State Street Equity 500 Index Portfolio (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Portfolio (the “Portfolio”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Portfolio’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the actual return of the Portfolio, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | ||||
Account Value | Account Value | During | ||||
July 1, 2010 | December 31, 2010 | Period* | ||||
Based on Actual Portfolio Return | $1,000.00 | $1,232.40 | $0.25 | |||
Based on Hypothetical (5% return before expenses) | $1,000.00 | $1,024.98 | $0.23 | |||
* | The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The annualized average weighted expense ratio as of December 31, 2010 was 0.045%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period). |
26
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
Common Stocks | 93.1 | % | ||
Money Market Funds | 1.6 | |||
U.S. Government Securities | 0.2 | |||
Other Assets in Excess of Liabilities | 5.1 | |||
Total | 100.0 | % | ||
Top Five Sectors (excluding short-term investments) * | December 31, 2010 | |||
Information Technology | 16.5 | % | ||
Financials | 15.3 | |||
Energy | 11.2 | |||
Industrials | 10.5 | |||
Consumer Discretionary | 10.3 | |||
Total | 63.8 | % | ||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
27
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS – 93.1% | ||||||||
Consumer Discretionary – 10.3% | ||||||||
Abercrombie & Fitch Co. Class A | 15,046 | $ | 867 | |||||
Amazon.Com, Inc.(a) | 60,592 | 10,907 | ||||||
Apollo Group, Inc. Class A(a) | 21,729 | 858 | ||||||
AutoNation, Inc.(a) | 9,763 | 275 | ||||||
AutoZone, Inc.(a) | 4,664 | 1,271 | ||||||
Bed Bath & Beyond, Inc.(a) | 44,245 | 2,175 | ||||||
Best Buy Co., Inc. | 56,419 | 1,935 | ||||||
Big Lots, Inc.(a) | 12,727 | 388 | ||||||
Cablevision Systems Corp. | 41,000 | 1,387 | ||||||
CarMax, Inc.(a) | 38,400 | 1,224 | ||||||
Carnival Corp. | 73,550 | 3,391 | ||||||
CBS Corp. Class B | 116,303 | 2,216 | ||||||
Coach, Inc. | 50,628 | 2,800 | ||||||
Comcast Corp. Class A | 476,748 | 10,474 | ||||||
D.R. Horton, Inc. | 47,976 | 572 | ||||||
Darden Restaurants, Inc. | 24,588 | 1,142 | ||||||
DeVry, Inc. | 10,400 | 499 | ||||||
Direct TV. Class A(a) | 142,477 | 5,689 | ||||||
Discovery Communications, Inc. Class A(a) | 48,600 | 2,027 | ||||||
eBay, Inc.(a) | 196,003 | 5,455 | ||||||
Expedia, Inc. | 34,515 | 866 | ||||||
Family Dollar Stores, Inc. | 21,658 | 1,077 | ||||||
Ford Motor Co.(a) | 640,198 | 10,749 | ||||||
Fortune Brands, Inc. | 26,045 | 1,569 | ||||||
GameStop Corp. Class A(a) | 26,800 | 613 | ||||||
Gannett Co., Inc. | 42,074 | 635 | ||||||
Gap, Inc. | 75,098 | 1,663 | ||||||
Genuine Parts Co. | 26,909 | 1,381 | ||||||
Goodyear Tire & Rubber Co.(a) | 42,357 | 502 | ||||||
H&R Block, Inc. | 52,715 | 628 | ||||||
Harley-Davidson, Inc. | 40,201 | 1,394 | ||||||
Harman International Industries, Inc.(a) | 12,621 | 584 | ||||||
Hasbro, Inc. | 23,225 | 1,096 | ||||||
Home Depot, Inc. | 280,012 | 9,817 | ||||||
Host Hotels & Resorts, Inc. | 113,821 | 2,034 | ||||||
International Game Technology | 53,619 | 948 | ||||||
Interpublic Group of Cos., Inc.(a) | 83,894 | 891 | ||||||
JC Penney Co., Inc. | 40,010 | 1,293 | ||||||
Johnson Controls, Inc. | 115,186 | 4,400 | ||||||
Kohl’s Corp.(a) | 49,933 | 2,713 | ||||||
Lennar Corp. Class A | 25,931 | 486 | ||||||
Limited Brands | 46,067 | 1,416 | ||||||
Lowe’s Cos., Inc. | 235,762 | 5,913 | ||||||
Macy’s, Inc. | 72,323 | 1,830 | ||||||
Marriot International, Inc. Class A | 49,150 | 2,042 | ||||||
Mattel, Inc. | 61,276 | 1,558 | ||||||
McDonald’s Corp. | 180,525 | 13,857 | ||||||
McGraw-Hill, Inc. | 52,466 | 1,910 | ||||||
Meredith Corp. | 6,189 | 214 | ||||||
NetFlix, Inc.(a) | 7,400 | 1,300 | ||||||
Newell Rubbermaid, Inc. | 50,693 | 922 | ||||||
News Corp. Class A | 390,209 | 5,681 | ||||||
NIKE, Inc. Class B | 65,352 | 5,582 | ||||||
Nordstrom, Inc. | 29,533 | 1,252 | ||||||
O’Reilly Automotive, Inc.(a) | 24,600 | 1,486 | ||||||
Omnicom Group, Inc. | 51,441 | 2,356 | ||||||
Polo Ralph Lauren Corp. | 11,115 | 1,233 | ||||||
Priceline.com, Inc.(a) | 8,390 | 3,352 | ||||||
Pulte Homes, Inc.(a) | 54,705 | 411 | ||||||
Radioshack Corp. | 20,103 | 372 | ||||||
Ross Stores, Inc. | 20,600 | 1,303 | ||||||
Scripps Networks Interactive, Inc. Class A | 15,435 | 799 | ||||||
Sears Holdings Corp.(a) | 7,474 | 551 | ||||||
Snap-On, Inc. | 9,212 | 521 | ||||||
Stanley Black & Decker, Inc. | 28,307 | 1,893 | ||||||
Staples, Inc. | 123,533 | 2,813 | ||||||
Starbucks Corp. | 126,661 | 4,070 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 32,547 | 1,978 | ||||||
Target Corp. | 121,016 | 7,277 | ||||||
Tiffany & Co. | 21,580 | 1,344 | ||||||
Time Warner Cable, Inc. | 60,771 | 4,013 | ||||||
Time Warner, Inc. | 189,591 | 6,099 | ||||||
TJX Cos., Inc. | 67,606 | 3,001 | ||||||
Urban Outfitters, Inc.(a) | 22,000 | 788 | ||||||
V.F. Corp. | 14,793 | 1,275 | ||||||
Viacom, Inc. Class B | 103,322 | 4,093 | ||||||
Walt Disney Co. | 323,545 | 12,136 | ||||||
Washington Post Co. Class B | 960 | 422 | ||||||
Whirlpool Corp. | 12,961 | 1,151 | ||||||
Wyndham Worldwide Corp. | 29,699 | 890 | ||||||
Wynn Resorts, Ltd. | 12,900 | 1,340 | ||||||
Yum! Brands, Inc. | 80,092 | 3,928 | ||||||
215,263 | ||||||||
Consumer Staples – 9.8% | ||||||||
Altria Group, Inc. | 356,799 | 8,784 | ||||||
Archer-Daniels-Midland Co. | 109,124 | 3,282 | ||||||
Avon Products, Inc. | 73,360 | 2,132 | ||||||
Brown-Forman Corp. Class B | 17,755 | 1,236 | ||||||
Campbell Soup Co. | 34,065 | 1,184 | ||||||
Clorox Co. | 23,843 | 1,509 | ||||||
Coca-Cola Co. | 396,811 | 26,098 | ||||||
Coca-Cola Enterprises, Inc. | 57,901 | 1,449 | ||||||
Colgate-Palmolive Co. | 82,501 | 6,631 | ||||||
ConAgra Foods, Inc. | 75,175 | 1,697 | ||||||
Constellation Brands, Inc. Class A(a) | 29,326 | 650 | ||||||
Costco Wholesale Corp. | 73,889 | 5,335 | ||||||
CVS Caremark Corp. | 232,232 | 8,075 | ||||||
Dean Foods Co.(a) | 33,458 | 296 | ||||||
Dr Pepper Snapple Group, Inc. | 38,800 | 1,364 | ||||||
Estee Lauder Cos., Inc. Class A | 19,452 | 1,570 | ||||||
General Mills, Inc. | 109,364 | 3,892 | ||||||
H.J. Heinz Co. | 54,769 | 2,709 | ||||||
Hormel Foods Corp. | 11,800 | 605 | ||||||
Kellogg Co. | 43,435 | 2,219 | ||||||
Kimberly-Clark Corp. | 69,700 | 4,394 | ||||||
Kraft Foods, Inc. Class A | 298,509 | 9,406 | ||||||
Kroger Co. | 108,976 | 2,437 | ||||||
Lorillard, Inc. | 25,561 | 2,097 | ||||||
McCormick & Co., Inc. | 22,753 | 1,059 | ||||||
Molson Coors Brewing Co., Class B | 27,062 | 1,358 | ||||||
PepsiCo, Inc. | 270,854 | 17,695 | ||||||
Philip Morris International, Inc. | 309,999 | 18,144 | ||||||
Procter & Gamble Co. | 478,319 | 30,770 | ||||||
Reynolds American, Inc. | 57,774 | 1,885 | ||||||
Safeway, Inc. | 64,364 | 1,448 | ||||||
Sara Lee Corp. | 109,234 | 1,913 | ||||||
SuperValu, Inc. | 34,848 | 336 |
See Notes to Financial Statements.
28
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Consumer Staples – (continued) | ||||||||
Sysco Corp. | 100,009 | $ | 2,940 | |||||
The Hershey Company | 27,282 | 1,286 | ||||||
The J.M. Smucker Co. | 20,460 | 1,343 | ||||||
Tyson Foods, Inc., Class A | 51,235 | 882 | ||||||
Wal-Mart Stores, Inc. | 334,802 | 18,056 | ||||||
Walgreen Co. | 158,218 | 6,164 | ||||||
Whole Foods Market, Inc.(a) | 25,533 | 1,292 | ||||||
205,622 | ||||||||
Energy – 11.2% | ||||||||
Anadarko Petroleum Corp. | 84,726 | 6,453 | ||||||
Apache Corp. | 65,325 | 7,789 | ||||||
Baker Hughes, Inc. | 73,673 | 4,212 | ||||||
Cabot Oil & Gas Corp. | 17,300 | 655 | ||||||
Cameron International Corp.(a) | 41,400 | 2,100 | ||||||
Chesapeake Energy Corp. | 111,782 | 2,896 | ||||||
Chevron Corp.(b) | 343,846 | 31,376 | ||||||
ConocoPhillips | 251,030 | 17,095 | ||||||
Consol Energy, Inc. | 38,573 | 1,880 | ||||||
Denbury Resources, Inc.(a) | 69,800 | 1,332 | ||||||
Devon Energy Corp. | 73,851 | 5,798 | ||||||
Diamond Offshore Drilling, Inc. | 11,900 | 796 | ||||||
El Paso Corp. | 120,292 | 1,655 | ||||||
EOG Resources, Inc. | 43,417 | 3,969 | ||||||
EQT Corp. | 25,500 | 1,143 | ||||||
ExxonMobil Corp.(b) | 861,647 | 63,004 | ||||||
FMC Technologies, Inc.(a) | 20,500 | 1,823 | ||||||
Halliburton Co. | 155,434 | 6,346 | ||||||
Helmerich & Payne, Inc. | 18,600 | 902 | ||||||
Hess Corp. | 51,301 | 3,926 | ||||||
Marathon Oil Corp. | 121,277 | 4,491 | ||||||
Massey Energy Co. | 17,500 | 939 | ||||||
Murphy Oil Corp. | 33,441 | 2,493 | ||||||
Nabors Industries, Ltd.(a) | 48,204 | 1,131 | ||||||
National Oilwell Varco, Inc. | 71,657 | 4,819 | ||||||
Newfield Exploration Co.(a) | 22,900 | 1,651 | ||||||
Noble Energy, Inc. | 29,910 | 2,575 | ||||||
Occidental Petroleum Corp. | 138,844 | 13,620 | ||||||
Peabody Energy Corp. | 46,124 | 2,951 | ||||||
Pioneer Natural Resources Co. | 19,800 | 1,719 | ||||||
QEP Resources, Inc. | 29,968 | 1,088 | ||||||
Range Resources Corp. | 27,400 | 1,232 | ||||||
Rowan Cos., Inc.(a) | 19,620 | 685 | ||||||
Schlumberger, Ltd. | 233,158 | 19,469 | ||||||
Southwestern Energy Co.(a) | 59,300 | 2,220 | ||||||
Spectra Energy Corp. | 110,798 | 2,769 | ||||||
Sunoco, Inc. | 20,384 | 822 | ||||||
Tesoro Corp.(a) | 26,365 | 489 | ||||||
Valero Energy Corp. | 96,709 | 2,236 | ||||||
Williams Cos., Inc. | 99,968 | 2,471 | ||||||
235,020 | ||||||||
Financials – 15.3% | ||||||||
ACE Ltd. | 58,000 | 3,611 | ||||||
AFLAC, Inc. | 80,490 | 4,542 | ||||||
Allstate Corp. | 92,006 | 2,933 | ||||||
American Express Co. | 178,964 | 7,681 | ||||||
American International Group, Inc.(a) | 24,133 | 1,391 | ||||||
Ameriprise Financial, Inc. | 42,407 | 2,441 | ||||||
AON Corp. | 56,347 | 2,593 | ||||||
Apartment Investment & Management Co. Class A | 21,052 | 544 | ||||||
Assurant, Inc. | 18,231 | 702 | ||||||
AvalonBay Communities, Inc. | 14,598 | 1,643 | ||||||
Bank of America Corp. | 1,723,371 | 22,990 | ||||||
Bank of New York Mellon Corp. | 211,985 | 6,402 | ||||||
BB&T Corp. | 118,570 | 3,117 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 295,703 | 23,689 | ||||||
Boston Properties, Inc. | 23,967 | 2,064 | ||||||
Capital One Financial Corp. | 78,063 | 3,322 | ||||||
CB Richard Ellis Group, Inc. Class A(a) | 47,275 | 968 | ||||||
Charles Schwab Corp. | 169,493 | 2,900 | ||||||
Chubb Corp. | 52,075 | 3,106 | ||||||
Cincinnati Financial Corp. | 27,114 | 859 | ||||||
Citigroup, Inc.(a)(b) | 4,964,002 | 23,480 | ||||||
CME Group, Inc. | 11,491 | 3,697 | ||||||
Comerica, Inc. | 30,144 | 1,273 | ||||||
Developers Diversified Realty Corp. | 1,532 | 22 | ||||||
Discover Financial Services | 93,105 | 1,725 | ||||||
E*Trade Financial Corp.(a) | 33,931 | 543 | ||||||
Equity Residential | 48,557 | 2,523 | ||||||
Federated Investors, Inc. Class B | 14,870 | 389 | ||||||
Fifth Third Bancorp | 136,116 | 1,998 | ||||||
First Horizon National Corp.(a) | 46,056 | 543 | ||||||
Franklin Resources, Inc. | 24,880 | 2,767 | ||||||
Genworth Financial, Inc. Class A(a) | 83,951 | 1,103 | ||||||
Goldman Sachs Group, Inc. | 87,334 | 14,686 | ||||||
Hartford Financial Services Group, Inc. | 75,997 | 2,013 | ||||||
HCP, Inc. | 55,100 | 2,027 | ||||||
Health Care REIT, Inc. | 20,800 | 991 | ||||||
Hudson City Bancorp, Inc. | 89,992 | 1,146 | ||||||
Huntington Bancshares, Inc. | 118,556 | 814 | ||||||
IntercontinentalExchange, Inc.(a) | 12,480 | 1,487 | ||||||
Invesco Ltd. | 79,000 | 1,901 | ||||||
J.P. Morgan Chase & Co. | 668,015 | 28,337 | ||||||
Janus Capital Group, Inc. | 31,407 | 407 | ||||||
KeyCorp | 150,475 | 1,332 | ||||||
Kimco Realty Corp. | 71,369 | 1,287 | ||||||
Legg Mason, Inc. | 26,842 | 974 | ||||||
Leucadia National Corp. | 33,636 | 981 | ||||||
Lincoln National Corp. | 54,092 | 1,504 | ||||||
Loews Corp. | 54,031 | 2,102 | ||||||
M & T Bank Corp. | 20,437 | 1,779 | ||||||
Marsh & McLennan Cos., Inc. | 92,853 | 2,539 | ||||||
Marshall & Ilsley Corp. | 86,593 | 599 | ||||||
Mastercard, Inc. Class A | 16,500 | 3,698 | ||||||
MetLife, Inc. | 154,896 | 6,884 | ||||||
Moody’s Corp. | 34,766 | 923 | ||||||
Morgan Stanley | 258,530 | 7,035 | ||||||
NASDAQ OMX Group, Inc.(a) | 25,400 | 602 | ||||||
Northern Trust Corp. | 41,406 | 2,294 | ||||||
NYSE Euronext | 44,600 | 1,337 | ||||||
Paychex, Inc. | 55,738 | 1,723 | ||||||
People’s United Financial, Inc. | 63,000 | 883 | ||||||
PNC Financial Services Group, Inc. | 89,817 | 5,454 | ||||||
Principal Financial Group, Inc. | 54,791 | 1,784 |
See Notes to Financial Statements.
29
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Financials – (continued) | ||||||||
Progressive Corp. | 113,401 | $ | 2,253 | |||||
ProLogis | 88,691 | 1,281 | ||||||
Prudential Financial, Inc. | 82,939 | 4,869 | ||||||
Public Storage, Inc. | 23,887 | 2,423 | ||||||
Regions Financial Corp. | 214,589 | 1,502 | ||||||
Simon Property Group, Inc. | 50,015 | 4,976 | ||||||
SLM Corp.(a) | 82,954 | 1,044 | ||||||
State Street Corp.(c) | 85,825 | 3,977 | ||||||
SunTrust Banks, Inc. | 85,418 | 2,521 | ||||||
T. Rowe Price Group, Inc. | 43,775 | 2,825 | ||||||
Torchmark Corp. | 13,721 | 820 | ||||||
Total System Services, Inc. | 27,675 | 426 | ||||||
Travelers Cos., Inc. | 78,404 | 4,368 | ||||||
U.S. Bancorp | 327,752 | 8,839 | ||||||
Unum Group | 54,229 | 1,313 | ||||||
Ventas, Inc. | 26,800 | 1,406 | ||||||
Visa, Inc. | 83,300 | 5,863 | ||||||
Vornado Realty Trust | 27,814 | 2,318 | ||||||
Wells Fargo Co. | 896,849 | 27,793 | ||||||
Western Union Co. | 112,085 | 2,081 | ||||||
XL Capital, Ltd. Class A | 55,268 | 1,206 | ||||||
Zions Bancorp | 30,453 | 738 | ||||||
321,926 | ||||||||
Health Care – 9.9% | ||||||||
Abbott Laboratories | 264,106 | 12,653 | ||||||
Aetna, Inc. | 68,350 | 2,085 | ||||||
Allergan, Inc. | 52,592 | 3,612 | ||||||
AmerisourceBergen Corp. | 47,186 | 1,610 | ||||||
Amgen, Inc.(a) | 161,436 | 8,863 | ||||||
Baxter International, Inc. | 99,561 | 5,040 | ||||||
Becton, Dickinson & Co. | 39,297 | 3,321 | ||||||
Biogen Idec, Inc.(a) | 40,731 | 2,731 | ||||||
Boston Scientific Corp.(a) | 259,734 | 1,966 | ||||||
Bristol-Myers Squibb Co. | 292,516 | 7,746 | ||||||
C.R. Bard, Inc. | 15,897 | 1,459 | ||||||
Cardinal Health, Inc. | 59,657 | 2,285 | ||||||
CareFusion Corp.(a) | 31,178 | 801 | ||||||
Celgene Corp.(a) | 80,418 | 4,756 | ||||||
Cephalon, Inc.(a) | 13,300 | 821 | ||||||
Cerner Corp.(a) | 11,700 | 1,108 | ||||||
CIGNA Corp. | 47,096 | 1,727 | ||||||
Coventry Health Care, Inc.(a) | 26,203 | 692 | ||||||
DaVita, Inc.(a) | 16,600 | 1,154 | ||||||
Dentsply International, Inc. | 24,300 | 830 | ||||||
Eli Lilly & Co. | 173,375 | 6,075 | ||||||
Express Scripts, Inc.(a) | 90,098 | 4,870 | ||||||
Forest Laboratories, Inc.(a) | 48,802 | 1,561 | ||||||
Genzyme Corp.(a) | 44,292 | 3,154 | ||||||
Gilead Sciences, Inc.(a) | 138,699 | 5,026 | ||||||
Hospira, Inc.(a) | 29,203 | 1,626 | ||||||
Humana, Inc.(a) | 28,807 | 1,577 | ||||||
Intuitive Surgical, Inc.(a) | 6,700 | 1,727 | ||||||
Johnson & Johnson | 469,249 | 29,023 | ||||||
Laboratory Corp. of America Holdings(a) | 17,422 | 1,532 | ||||||
Life Technologies Corp.(a) | 31,887 | 1,770 | ||||||
McKesson Corp. | 43,255 | 3,044 | ||||||
Mead Johnson Nutrition Co. | 34,918 | 2,174 | ||||||
Medco Health Solutions, Inc.(a) | 72,568 | 4,446 | ||||||
Medtronic, Inc. | 184,578 | 6,846 | ||||||
Merck & Co., Inc. | 526,470 | 18,974 | ||||||
Mylan, Inc.(a) | 74,409 | 1,572 | ||||||
Patterson Cos., Inc. | 16,494 | 505 | ||||||
Pfizer, Inc. | 1,368,711 | 23,966 | ||||||
Quest Diagnostics, Inc. | 24,200 | 1,306 | ||||||
St. Jude Medical, Inc.(a) | 59,626 | 2,549 | ||||||
Stryker Corp. | 58,389 | 3,135 | ||||||
Tenet Healthcare Corp.(a) | 73,370 | 491 | ||||||
UnitedHealth Group, Inc. | 187,996 | 6,789 | ||||||
Varian Medical Systems, Inc.(a) | 20,560 | 1,424 | ||||||
Watson Pharmaceuticals, Inc.(a) | 21,446 | 1,108 | ||||||
Wellpoint, Inc.(a) | 67,238 | 3,823 | ||||||
Zimmer Holdings, Inc.(a) | 33,752 | 1,812 | ||||||
207,165 | ||||||||
Industrials – 10.5% | ||||||||
3M Co. | 122,172 | 10,543 | ||||||
Amphenol Corp. Class A | 29,800 | 1,573 | ||||||
Avery Dennison Corp. | 18,488 | 783 | ||||||
Boeing Co. | 125,388 | 8,183 | ||||||
Caterpillar, Inc. | 108,479 | 10,160 | ||||||
CH Robinson Worldwide, Inc. | 28,361 | 2,274 | ||||||
Cintas Corp. | 21,588 | 604 | ||||||
CSX Corp. | 63,938 | 4,131 | ||||||
Cummins, Inc. | 33,758 | 3,714 | ||||||
Danaher Corp. | 91,672 | 4,324 | ||||||
Deere & Co. | 72,437 | 6,016 | ||||||
Dover Corp. | 31,895 | 1,864 | ||||||
Eaton Corp. | 28,795 | 2,923 | ||||||
Emerson Electric Co. | 128,648 | 7,355 | ||||||
Equifax, Inc. | 22,083 | 786 | ||||||
Expeditors International Washington, Inc. | 36,320 | 1,983 | ||||||
Fastenal Co. | 25,200 | 1,510 | ||||||
FedEx Corp. | 53,800 | 5,004 | ||||||
First Solar, Inc.(a) | 9,270 | 1,206 | ||||||
Flir Systems, Inc.(a) | 27,100 | 806 | ||||||
Flowserve Corp. | 9,500 | 1,133 | ||||||
Fluor Corp. | 30,560 | 2,025 | ||||||
General Dynamics Corp. | 64,561 | 4,581 | ||||||
General Electric Co.(b) | 1,820,633 | 33,299 | ||||||
Goodrich Co. | 21,445 | 1,889 | ||||||
Honeywell International, Inc. | 133,281 | 7,085 | ||||||
Illinois Tool Works, Inc. | 84,771 | 4,527 | ||||||
Ingersoll-Rand PLC | 55,400 | 2,609 | ||||||
Iron Mountain, Inc. | 32,200 | 805 | ||||||
ITT Industries, Inc. | 31,392 | 1,636 | ||||||
Jacobs Engineering Group, Inc.(a) | 22,300 | 1,023 | ||||||
L-3 Communications Holdings, Inc. | 19,303 | 1,361 | ||||||
Leggett & Platt, Inc. | 24,998 | 569 | ||||||
Lockheed Martin Corp. | 50,452 | 3,527 | ||||||
Masco Corp. | 64,323 | 814 | ||||||
Monster Worldwide, Inc.(a) | 22,609 | 534 | ||||||
Norfolk Southern Corp. | 62,055 | 3,898 | ||||||
Northrop Grumman Corp. | 49,911 | 3,233 | ||||||
PACCAR, Inc. | 62,274 | 3,576 | ||||||
Pall Corp. | 19,709 | 977 |
See Notes to Financial Statements.
30
Table of Contents
State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Industrials – (continued) | ||||||||
Parker-Hannifin Corp. | 27,603 | $ | 2,382 | |||||
Pitney Bowes, Inc. | 34,927 | 845 | ||||||
Precision Castparts Corp. | 24,407 | 3,398 | ||||||
Quanta Services, Inc.(a) | 36,800 | 733 | ||||||
R.R. Donnelley & Sons Co. | 36,109 | 631 | ||||||
Raytheon Co. | 62,282 | 2,886 | ||||||
Republic Services, Inc. | 52,503 | 1,568 | ||||||
Robert Half International, Inc. | 26,540 | 812 | ||||||
Rockwell Automation, Inc. | 24,705 | 1,772 | ||||||
Rockwell Collins, Inc. | 26,831 | 1,563 | ||||||
Roper Industries, Inc. | 16,200 | 1,238 | ||||||
Ryder Systems, Inc. | 7,921 | 417 | ||||||
Southwest Airlines Co. | 127,686 | 1,657 | ||||||
Stericycle, Inc.(a) | 14,800 | 1,198 | ||||||
Textron, Inc. | 46,939 | 1,110 | ||||||
Thermo Fisher Scientific, Inc.(a) | 67,924 | 3,760 | ||||||
Tyco International Ltd. | 83,600 | 3,464 | ||||||
Union Pacific Corp. | 84,268 | 7,808 | ||||||
United Parcel Service, Inc. Class B | 168,946 | 12,262 | ||||||
United Technologies Corp. | 157,778 | 12,420 | ||||||
W.W. Grainger, Inc. | 9,969 | 1,377 | ||||||
Waste Management, Inc. | 81,339 | 2,999 | ||||||
221,143 | ||||||||
Information Technology – 16.5% | ||||||||
Adobe Systems, Inc.(a) | 86,957 | 2,677 | ||||||
Advanced Micro Devices, Inc.(a) | 99,186 | 811 | ||||||
Agilent Technologies, Inc.(a) | 59,168 | 2,451 | ||||||
Akamai Technologies, Inc.(a) | 31,124 | 1,464 | ||||||
Altera Corp. | 52,854 | 1,881 | ||||||
Analog Devices, Inc. | 51,069 | 1,924 | ||||||
AOL, Inc.(a)(d) | 1 | – | ||||||
Apple, Inc.(a) | 156,784 | 50,572 | ||||||
Applied Materials, Inc. | 228,307 | 3,208 | ||||||
Autodesk, Inc.(a) | 38,876 | 1,485 | ||||||
Automatic Data Processing, Inc. | 84,317 | 3,902 | ||||||
BMC Software, Inc.(a) | 31,221 | 1,472 | ||||||
Broadcom Corp. Class A | 77,859 | 3,391 | ||||||
CA, Inc. | 67,099 | 1,640 | ||||||
Cisco Systems, Inc.(a) | 947,119 | 19,160 | ||||||
Citrix Systems, Inc.(a) | 32,067 | 2,194 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 51,884 | 3,803 | ||||||
Computer Sciences Corp. | 26,444 | 1,312 | ||||||
Compuware Corp.(a) | 37,450 | 437 | ||||||
Corning, Inc. | 267,076 | 5,160 | ||||||
Dell, Inc.(a) | 286,950 | 3,888 | ||||||
Dun & Bradstreet Corp. | 8,500 | 698 | ||||||
Electronic Arts, Inc.(a) | 56,700 | 929 | ||||||
EMC Corp.(a) | 352,084 | 8,063 | ||||||
F5 Networks, Inc.(a) | 13,800 | 1,796 | ||||||
Fidelity National Information Services, Inc. | 46,577 | 1,276 | ||||||
Fiserv, Inc.(a) | 25,452 | 1,490 | ||||||
Google, Inc. Class A(a) | 42,590 | 25,297 | ||||||
Harris Corp. | 21,900 | 992 | ||||||
Hewlett-Packard Co. | 387,516 | 16,314 | ||||||
Intel Corp. | 953,156 | 20,045 | ||||||
International Business Machines Corp. | 212,242 | 31,149 | ||||||
Intuit, Inc.(a) | 47,763 | 2,355 | ||||||
Jabil Circuit, Inc. | 31,651 | 636 | ||||||
Juniper Networks, Inc.(a) | 89,393 | 3,300 | ||||||
KLA-Tencor Corp. | 28,505 | 1,101 | ||||||
Lexmark International Group, Inc. Class A(a) | 12,642 | 440 | ||||||
Linear Technology Corp. | 39,863 | 1,379 | ||||||
LSI Corp.(a) | 105,362 | 631 | ||||||
McAfee, Inc.(a) | 26,300 | 1,218 | ||||||
MEMC Electronic Materials, Inc.(a) | 36,378 | 410 | ||||||
Microchip Technology, Inc. | 32,489 | 1,111 | ||||||
Micron Technology, Inc.(a) | 146,362 | 1,174 | ||||||
Microsoft Corp.(b) | 1,286,535 | 35,920 | ||||||
Molex, Inc. | 23,305 | 530 | ||||||
Motorola, Inc.(a) | 401,465 | 3,641 | ||||||
National Semiconductor Corp. | 42,096 | 579 | ||||||
NetApp, Inc.(a) | 61,757 | 3,394 | ||||||
Novell, Inc.(a) | 60,120 | 356 | ||||||
Novellus Systems, Inc.(a) | 15,230 | 492 | ||||||
NVIDIA Corp.(a) | 99,256 | 1,529 | ||||||
Oracle Corp. | 661,462 | 20,704 | ||||||
PerkinElmer, Inc. | 21,118 | 545 | ||||||
QLogic Corp.(a) | 17,922 | 305 | ||||||
QUALCOMM, Inc. | 276,411 | 13,680 | ||||||
Red Hat, Inc.(a) | 33,300 | 1,520 | ||||||
SAIC, Inc.(a) | 50,200 | 796 | ||||||
Salesforce.com, Inc.(a) | 20,200 | 2,666 | ||||||
SanDisk Corp.(a) | 40,667 | 2,028 | ||||||
Symantec Corp.(a) | 132,663 | 2,221 | ||||||
Tellabs, Inc. | 63,030 | 427 | ||||||
Teradata Corp.(a) | 28,920 | 1,190 | ||||||
Teradyne, Inc.(a) | 28,149 | 395 | ||||||
Texas Instruments, Inc. | 200,599 | 6,519 | ||||||
VeriSign, Inc. | 29,421 | 961 | ||||||
Waters Corp.(a) | 15,565 | 1,210 | ||||||
Western Digital Corp.(a) | 39,300 | 1,332 | ||||||
Xerox Corp. | 237,001 | 2,730 | ||||||
Xilinx, Inc. | 45,602 | 1,322 | ||||||
Yahoo!, Inc.(a) | 222,719 | 3,704 | ||||||
345,332 | ||||||||
Materials – 3.6% | ||||||||
Air Products & Chemicals, Inc. | 36,609 | 3,330 | ||||||
Airgas, Inc. | 14,300 | 893 | ||||||
AK Steel Holding Corp. | 20,000 | 327 | ||||||
Alcoa, Inc. | 174,549 | 2,686 | ||||||
Allegheny Technologies, Inc. | 17,228 | 951 | ||||||
Ball Corp. | 15,062 | 1,025 | ||||||
Bemis Co., Inc. | 18,462 | 603 | ||||||
CF Industries Holdings, Inc. | 12,150 | 1,642 | ||||||
Cliffs Natural Resources, Inc. | 23,400 | 1,825 | ||||||
Dow Chemical Co. | 198,328 | 6,771 | ||||||
E.I. Du Pont de Nemours & Co. | 156,012 | 7,782 | ||||||
Eastman Chemical Co. | 12,204 | 1,026 | ||||||
Ecolab, Inc. | 39,666 | 2,000 | ||||||
FMC Corp. | 12,600 | 1,007 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 80,452 | 9,661 |
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Market | ||||||||
Value | ||||||||
Shares | (000) | |||||||
COMMON STOCKS – (continued) | ||||||||
Materials – (continued) | ||||||||
International Flavors & Fragrances, Inc. | 13,031 | $ | 724 | |||||
International Paper Co. | 74,711 | 2,035 | ||||||
MeadWestvaco Corp. | 30,320 | 793 | ||||||
Monsanto Co. | 91,655 | 6,383 | ||||||
Newmont Mining Corp. | 84,206 | 5,173 | ||||||
Nucor Corp. | 53,954 | 2,364 | ||||||
Owens-Illinois, Inc.(a) | 28,000 | 860 | ||||||
Plum Creek Timber Co., Inc. | 27,611 | 1,034 | ||||||
PPG Industries, Inc. | 27,871 | 2,343 | ||||||
Praxair, Inc. | 52,311 | 4,994 | ||||||
Sealed Air Corp. | 27,292 | 695 | ||||||
Sherwin-Williams Co. | 15,296 | 1,281 | ||||||
Sigma-Aldrich Corp. | 20,934 | 1,393 | ||||||
Titanium Metals Corp.(a) | 16,600 | 285 | ||||||
United States Steel Corp. | 24,578 | 1,436 | ||||||
Vulcan Materials Co. | 22,561 | 1,001 | ||||||
Weyerhaeuser Co. | 91,574 | 1,734 | ||||||
76,057 | ||||||||
Telecommunication Services – 2.9% | ||||||||
American Tower Corp. Class A(a) | 68,200 | 3,522 | ||||||
AT&T, Inc. | 1,009,850 | 29,669 | ||||||
CenturyTel, Inc. | 51,773 | 2,390 | ||||||
Frontier Communications Corp. | 169,844 | 1,653 | ||||||
JDS Uniphase Corp.(a) | 38,023 | 550 | ||||||
MetroPCS Communications, Inc.(a) | 44,800 | 566 | ||||||
Qwest Communications International, Inc. | 297,790 | 2,266 | ||||||
Sprint Nextel Corp.(a) | 510,465 | 2,159 | ||||||
Verizon Communications, Inc. | 483,066 | 17,284 | ||||||
Windstream Corp. | 82,613 | 1,153 | ||||||
61,212 | ||||||||
Utilities – 3.1% | ||||||||
AES Corp.(a) | 115,195 | 1,403 | ||||||
Allegheny Energy, Inc. | 28,359 | 687 | ||||||
Ameren Corp. | 40,960 | 1,155 | ||||||
American Electric Power Co., Inc. | 82,052 | 2,952 | ||||||
CenterPoint Energy, Inc. | 72,311 | 1,137 | ||||||
CMS Energy Corp. | 37,956 | 706 | ||||||
Consolidated Edison, Inc. | 49,652 | 2,461 | ||||||
Constellation Energy Group, Inc. | 34,214 | 1,048 | ||||||
Dominion Resources, Inc. | 99,162 | 4,236 | ||||||
DTE Energy Co. | 29,884 | 1,354 | ||||||
Duke Energy Corp. | 226,320 | 4,031 | ||||||
Edison International | 55,719 | 2,151 | ||||||
Entergy Corp. | 30,898 | 2,188 | ||||||
Exelon Corp. | 113,021 | 4,706 | ||||||
FirstEnergy Corp. | 52,107 | 1,929 | ||||||
Integrys Energy Group, Inc. | 13,216 | 641 | ||||||
NextEra Energy, Inc. | 71,021 | 3,692 | ||||||
Nicor, Inc. | 7,800 | 389 | ||||||
NiSource, Inc. | 48,582 | 856 | ||||||
Northeast Utilities | 30,100 | 960 | ||||||
NRG Energy, Inc.(a) | 42,200 | 825 | ||||||
Oneok, Inc. | 18,600 | 1,032 | ||||||
Pepco Holdings, Inc. | 38,400 | 701 | ||||||
PG&E Corp. | 67,026 | 3,207 | ||||||
Pinnacle West Capital Corp. | 18,560 | 769 | ||||||
PPL Corp. | 82,575 | 2,173 | ||||||
Progress Energy, Inc. | 50,081 | 2,178 | ||||||
Public Service Enterprise Group, Inc. | 86,424 | 2,749 | ||||||
SCANA Corp. | 19,300 | 784 | ||||||
Sempra Energy | 40,986 | 2,151 | ||||||
Southern Co. | 143,343 | 5,480 | ||||||
TECO Energy, Inc. | 34,951 | 622 | ||||||
Wisconsin Energy Corp. | 20,100 | 1,183 | ||||||
Xcel Energy, Inc. | 78,651 | 1,852 | ||||||
64,388 | ||||||||
TOTAL COMMON STOCKS (Cost $1,230,336) | 1,953,128 | |||||||
Par | ||||||||
Amount | ||||||||
(000) | ||||||||
U.S. GOVERNMENT SECURITIES – 0.2% | ||||||||
United States Treasury Bill(b)(e)(f) 0.08% due 01/20/11 | $ | 3,765 | 3,765 | |||||
United States Treasury Bill(b)(e)(f) 0.11% due 03/10/11 | 350 | 350 | ||||||
TOTAL U.S. GOVERNMENT SECURITIES (Cost $4,115) | 4,115 | |||||||
Shares | ||||||||
(000) | ||||||||
MONEY MARKET FUNDS – 1.6% | ||||||||
AIM Short Term Investment Prime Portfolio | 33,049 | 33,049 | ||||||
Federated Money Market Obligations Trust | 576 | 576 | ||||||
TOTAL MONEY MARKET FUNDS (Cost $33,625) | 33,625 | |||||||
TOTAL INVESTMENTS(g)† – 94.9% (Identified cost $1,268,076) | 1,990,868 | |||||||
Other Assets in Excess of Liabilities – 5.1% | 107,269 | |||||||
NET ASSETS – 100.0% | $ | 2,098,137 | ||||||
(a) | Non-income producing security. | |
(b) | All or part of this security has been designated as collateral for futures contracts. | |
(c) | Affiliated issuer. See table that follows for more information. | |
(d) | Amount is less than $1,000. | |
(e) | Rate represents annualized yield at date of purchase. | |
(f) | Value determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
(g) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) | |
† | See Note 2 of the Notes to Financial Statements. |
Notional | Unrealized | |||||||||||
Number of | Value | Appreciation | ||||||||||
Contracts | (000) | (000) | ||||||||||
Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long) Expiration Date 03/2011 | 637 | $ | 39,366 | $ | 542 | |||||||
Total unrealized appreciation on open futures contracts purchased | $ | 542 | ||||||||||
Affiliate Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.
Income earned | ||||||||||||||||||||||||||||
Shares purchased | for the twelve | |||||||||||||||||||||||||||
for the twelve | Shares sold for | Value at | months ended | Realized loss | ||||||||||||||||||||||||
Security | Number of shares | months ended | the twelve months | Number of shares | 12/31/2010 | 12/31/2010 | on shares sold | |||||||||||||||||||||
Description | held at 12/31/09 | 12/31/2010 | ended 12/31/2010 | held at 12/31/2010 | (000) | (000) | (000) | |||||||||||||||||||||
State Street Corp. | 90,925 | 6,300 | 11,400 | 85,825 | $ | 3,977 | $ | 4 | $ | (225 | ) |
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Statement of Assets and Liabilities
December 31, 2010
(Amounts in thousands)
Statement of Assets and Liabilities
December 31, 2010
(Amounts in thousands)
Assets | ||||
Investments in unaffiliated issuers at market value (identified cost $1,265,072) | $ | 1,986,891 | ||
Investments in non-controlled affiliates at market value (identified cost $3,004) (Note 4) | 3,977 | |||
Total investments at market value (identified cost $1,268,076) | 1,990,868 | |||
Cash | 2 | |||
Receivable for Investment securities sold | 104,961 | |||
Dividends and interest receivable | 2,433 | |||
Total assets | 2,098,264 | |||
Liabilities | ||||
Daily variation margin on futures contracts | 47 | |||
Management fees (Note 4) | 80 | |||
Total liabilities | 127 | |||
Net Assets | $ | 2,098,137 | ||
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Statement of Operations
Year Ended December 31, 2010
(Amounts in thousands)
Statement of Operations
Year Ended December 31, 2010
(Amounts in thousands)
Investment Income | ||||
Interest | $ | 67 | ||
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $2) | 38,450 | |||
Dividend income — non-controlled affiliated issuer | 4 | |||
Total investment income | 38,521 | |||
Expenses | ||||
Management fees (Note 4) | 853 | |||
Total expenses | 853 | |||
Net Investment Income | $ | 37,668 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | $ | 20,628 | ||
Investments — non-controlled affiliated issuer | (225 | ) | ||
Futures contracts | 5,708 | |||
26,111 | ||||
Net change in net unrealized appreciation (depreciation) on: | ||||
Investments | 214,090 | |||
Futures contracts | (5 | ) | ||
214,085 | ||||
Net realized and unrealized gain | 240,196 | |||
Net Increase in Net Assets Resulting from Operations | $ | 277,864 | ||
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Statements of Changes in Net Assets
(Amounts in thousands)
For The Year Ended | For The Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income | $ | 37,668 | $ | 38,199 | ||||
Net realized gain (loss) on investments and futures contracts | 26,111 | (88,220 | ) | |||||
Net change in net unrealized appreciation on investments and futures contracts | 214,085 | 473,395 | ||||||
Net increase in net assets from operations | 277,864 | 423,374 | ||||||
Capital Transactions: | ||||||||
Contributions | 241,838 | 267,641 | ||||||
Withdrawals | (314,951 | ) | (319,837 | ) | ||||
Net decrease in net assets from capital transactions | (73,113 | ) | (52,196 | ) | ||||
Net Increase in Net Assets | 204,751 | 371,178 | ||||||
Net Assets | ||||||||
Beginning of year | 1,893,386 | 1,522,208 | ||||||
End of year | $ | 2,098,137 | $ | 1,893,386 | ||||
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Financial Highlights
Financial Highlights
The following table includes selected supplemental data and ratios to average net assets:
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07 | 12/31/06 | ||||||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||||||
Net assets, end of year (in thousands) | $ | 2,098,137 | $ | 1,893,386 | $ | 1,522,208 | $ | 2,422,377 | $ | 2,766,696 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Operating expenses | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | 0.045 | % | ||||||||||
Net investment income | 1.99 | % | 2.28 | % | 2.30 | % | 1.96 | % | 1.94 | % | ||||||||||
Portfolio turnover rate(a) | 12 | % | 19 | % | 14 | % | 12 | % | 10 | % | ||||||||||
Total return(b) | 15.08 | % | 26.50 | % | (37.02 | )% | 5.49 | % | 15.75 | % |
(a) | The portfolio turnover rate excludes in-kind security transactions. | |
(b) | Results represent past performance and are not indicative of future results. |
See Notes to Financial Statements.
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State Street Equity 500 Index Portfolio
Notes to Financial Statements
December 31, 2010
1. | Organization |
State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).
At December 31, 2010, the following Portfolios were in operation: the Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.
The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500® Index. The S&P 500® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.
Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued on the basis of the last sale price. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In
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State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.
The three tier hierarchy of inputs is summarized below:
• | Level 1 — quoted prices in active markets for identical securities | |
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |
• | Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolio’s assets carried at fair value (amounts in thousands):
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | ||||||||||||||
Identical Assets | Observable Inputs | Unobservable Inputs | ||||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 1,953,128 | $ | – | $ | – | $ | 1,953,128 | ||||||||
U.S. Government Securities | – | 4,115 | – | 4,115 | ||||||||||||
Money Market Funds | 33,625 | – | – | 33,625 | ||||||||||||
OTHER ASSETS: | ||||||||||||||||
Futures contracts | 542 | – | – | 542 | ||||||||||||
TOTAL ASSETS | $ | 1,987,295 | $ | 4,115 | $ | – | $ | 1,991,410 | ||||||||
The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.
The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.
As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and
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State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.
Federal income taxes: The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years 2007 through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At December 31, 2010, the book cost of investments was $1,268,075,887 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $791,849,304 and $69,056,837 respectively, resulting in net appreciation of $722,792,467 for all securities as computed on a federal income tax basis.
Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Portfolio and the prices of futures contracts and the possibility of an illiquid market.
The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an
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State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2010:
Asset Derivatives(1) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk* | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | – | $ | – | $ | – | $ | 542 | $ | – | $ | – | $ | 542 |
(1) | Portfolio of Investments: Unrealized appreciation of futures contracts. |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Transactions in derivative instruments during the year ended December 31, 2010, were as follows:
Realized Gain (Loss)(1) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | – | $ | – | $ | – | $ | 5,708 | $ | – | $ | – | $ | 5,708 |
Change in Appreciation (Depreciation)(2) (amounts in thousands)
Foreign | ||||||||||||||||||||||||||||
Interest Rate | Exchange | Credit | Equity | Commodity | Other | |||||||||||||||||||||||
Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Contracts Risk | Total | ||||||||||||||||||||||
Futures Contracts | $ | – | $ | – | $ | – | $ | (5 | ) | $ | – | $ | – | $ | (5 | ) | ||||||||||||
(1) | Statement of Operations location: Net realized gain (loss) on: Futures contracts | |
(2) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
The average notional of futures outstanding during the year ended December 31, 2010, was $51,379,065.
Use of estimates: The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
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State Street Equity 500 Index Portfolio
Notes to Financial Statements (continued)
December 31, 2010
3. | Securities Transactions |
For the year ended December 31, 2010, purchases and sales of investment securities, excluding short-term investments, futures contracts, and contributions in-kind and fair value of withdrawals, aggregated to $217,471,983 and $339,764,058 respectively.
4. | Related Party Fees and Transactions |
The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSgA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSgA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSgA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.
5. | Trustees’ Fees |
Pursuant to certain agreements with State Street and its affiliates, each Independent Trustee receives for his or her services a $30,000 retainer in addition to $2,500 for each in-person meeting and $500 for each telephonic meeting from State Street or its affiliates. These fees are paid through a unitary fee.
6. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
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Table of Contents
State Street Equity 500 Index Portfolio
Report of Independent Registered Public Accounting Firm
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio, a portfolio of State Street Master Funds, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
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Table of Contents
State Street Equity 500 Index Portfolio
December 31, 2010 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolio. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement for the Portfolio (the “Advisory Agreement”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the SSgA Funds Management, Inc. (the “Adviser”) under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is an index fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials
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State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)
provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of index products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Portfolio was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objective of the Portfolio and the available data, the investment performance was acceptable. The Trustees noted that the performance of the Portfolio in absolute terms was not of the importance that normally attaches to that of actively-managed funds. Of more importance to the Trustees was the extent to which the Portfolio achieved its objective of replicating, before expenses, the total return of the S&P 500 Index. Drawing upon information provided at the Meeting and upon reports provided to the Trustees by the Adviser throughout the preceding year, they determined that the Portfolio had in fact tracked the index within an acceptable range of tracking error. They concluded that the performance of the Portfolio was acceptable.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships with the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both of those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.
In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee.
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolio and, indirectly, by the feeder fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services
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State Street Equity 500 Index Portfolio
General Information (continued)
December 31, 2010 (Unaudited)
satisfactorily accounted for differences in the fees. The Board determined that the Adviser’s fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Overseen by | ||||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Other Directorships Held by Trustee | |||||
Independent Trustees | ||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993 – 2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008 | |||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002-2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
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Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | ||||||
(‘‘DOB”) | Trust | Time Served | Past Five Years | Trustee* | Other Directorships Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust;Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. | |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
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Number of | ||||||||||
Funds in Fund | ||||||||||
Position(s) | Term of Office | Complex | ||||||||
Name, Address, | Held with | and Length of | Principal Occupation During | Overseen by | ||||||
and Date of Birth (“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Other Directorships Held by Trustee | |||||
Officers: (continued) | ||||||||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — | |||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
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Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Equity 500 Index Portfolio
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
Table of Contents
STATE STREET INSTITUTIONAL SHORT-TERM TAX EXEMPT
BOND FUND
BOND FUND
ANNUAL REPORT
December 31, 2010
Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Fund
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Fiscal Year Ended December 31, 2010
Total Return | ||||||
Total Return | Average Annualized Since | |||||
For The Year Ended | Commencement of Operations | |||||
December 31, 2010 | (February 7, 2007) | |||||
State Street Institutional Short-Term Tax Exempt Bond Fund | 1.36% | 2.80% | ||||
Barclays Capital 1-Year Municipal Bond Index(b) | 1.17% | 3.40% | ||||
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that 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. Investment performance reflects fee waivers in effect. In the absence of fee waivers, total return would be lower. | |
(b) | Barclays Capital 1-Year Municipal Bond Index: A total return benchmark designed for tax-exempt assets. The index includes bonds with a minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, have maturities of 1 to 2-years, and have been issued after December 31, 1990. |
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Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Fund (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the State Street Institutional Short-Term Tax Exempt Bond Fund (the “Fund”), you incur ongoing costs, which include costs for administrative services and distribution (12b-1) fees, among others, in addition to the Fund’s proportionate share of expenses of the State Street Short-Term Tax Exempt Bond Portfolio. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Fund’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’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 Fund. 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 Fund under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund 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 Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
July 1, 2010 | December 31, 2010 | Period* | |||||||
Based on Actual Fund Return | $1,000.00 | $1,005.10 | $1.31 | ||||||
Based on Hypothetical (5% return before expenses) | $1,000.00 | $1,023.89 | $1.33 | ||||||
* | The calculations are based on expenses incurred in the most recent fiscal period of the Fund. The Fund’s annualized average weighted expense ratio as of December 31, 2010 was 0.26%, which includes the Fund’s proportionate share of the expenses of the State Street Short -Term Tax Exempt Bond Portfolio. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period). |
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Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Fund
Statement of Assets and Liabilities
December 31, 2010
Assets | ||||
Investments in corresponding Portfolio, at market value (identified cost $88,463,197) (Note 1) | $ | 89,046,784 | ||
Receivable from adviser (Note 3) | 10,232 | |||
Prepaid expenses | 1,750 | |||
Total assets | 89,058,766 | |||
Liabilities | ||||
Administration and custody fees (Note 3) | 4,199 | |||
Registration and filing fees | 1,000 | |||
Transfer agent fees | 697 | |||
Professional fees | 18,317 | |||
Accrued expenses and other liabilities | 7,772 | |||
Total liabilities | 31,985 | |||
Net Assets | $ | 89,026,781 | ||
Net assets consist of: | ||||
Paid-in capital | $ | 88,439,735 | ||
Undistributed net investment income | 60 | |||
Accumulated net realized gain | 3,399 | |||
Net unrealized appreciation on investments | 583,587 | |||
Net Assets | $ | 89,026,781 | ||
Shares of beneficial interest outstanding | 8,859,516 | |||
Offering, net asset value, and redemption price per share | $ | 10.05 | ||
See Notes to Financial Statements.
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Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Fund
Statement of Operations
Year Ended December 31, 2010
Income and Expenses allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 1,702,746 | ||
Expense allocated from Portfolio (Note 3) | (142,638 | ) | ||
1,560,108 | ||||
Expenses | ||||
Transfer agent fees (Note 3) | 4,801 | |||
Administration and custody fees (Note 3) | 37,298 | |||
Professional fees | 22,737 | |||
Insurance fees | 10,220 | |||
Registration and filing fees | 1,000 | |||
Printing fees | 19,169 | |||
Other expenses | 2,367 | |||
Total expenses | 97,592 | |||
Less: Fee waivers by Investment Adviser (Note 3) | (23,307 | ) | ||
Total net expenses | 74,285 | |||
Net Investment Income | $ | 1,485,823 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain allocated from Portfolio on investments | $ | 190,858 | ||
Change in net unrealized depreciation allocated from Portfolio on investments | (491,848 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 1,184,833 | ||
See Notes to Financial Statements.
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State Street Institutional Short-Term Tax Exempt Bond Fund
Statements of Changes in Net Assets
For the | For the | |||||||
Year Ended | Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,485,823 | $ | 1,831,683 | ||||
Net realized gain on investments | 190,858 | 522,710 | ||||||
Change in net unrealized appreciation (depreciation) on investments | (491,848 | ) | 472,419 | |||||
Net increase in net assets resulting from operations | 1,184,833 | 2,826,812 | ||||||
Distributions to Shareholders from: | ||||||||
Net investment income | (1,489,201 | ) | (1,831,683 | ) | ||||
Net realized gain on investments | (287,504 | ) | (422,665 | ) | ||||
Total distributions | (1,776,705 | ) | (2,254,348 | ) | ||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Shares sold | 14,052,532 | 2,150,000 | ||||||
Reinvestment of distributions | 1,776,705 | 2,254,345 | ||||||
Shares redeemed | (6,581,295 | ) | (25,913,223 | ) | ||||
Net increase (decrease) from capital share transactions | 9,247,942 | (21,508,878 | ) | |||||
Net Increase (Decrease) in Net Assets | 8,656,070 | (20,936,414 | ) | |||||
Net Assets | ||||||||
Beginning of year | 80,370,711 | 101,307,125 | ||||||
End of year | $ | 89,026,781 | $ | 80,370,711 | ||||
Undistributed net investment income | $ | 60 | $ | 3,438 | ||||
Changes in Shares: | ||||||||
Shares sold | 1,390,509 | 211,857 | ||||||
Reinvestment of distributions | 175,963 | 222,215 | ||||||
Shares redeemed | (650,382 | ) | (2,557,500 | ) | ||||
Net increase (decrease) in shares | 916,090 | (2,123,428 | ) | |||||
See Notes to Financial Statements.
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State Street Institutional Short-Term Tax Exempt Bond Fund
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each year is presented below:
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07(a) | |||||||||||||
Per Share Operating Performance(b): | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.12 | $ | 10.06 | $ | 10.01 | $ | 10.00 | ||||||||
Investment Operations: | ||||||||||||||||
Net investment income* | 0.17 | 0.22 | 0.23 | 0.31 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.03 | ) | 0.11 | 0.06 | 0.01 | |||||||||||
Total from investment operations | 0.14 | 0.33 | 0.29 | 0.32 | ||||||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | (0.18 | ) | (0.22 | ) | (0.24 | ) | (0.31 | ) | ||||||||
Capital gains | (0.03 | ) | (0.05 | ) | – | – | ||||||||||
Total distributions | (0.21 | ) | (0.27 | ) | (0.24 | ) | (0.31 | ) | ||||||||
Net Asset Value, End of Period | $ | 10.05 | $ | 10.12 | $ | 10.06 | $ | 10.01 | ||||||||
Total Return(c) | 1.36 | % | 3.32 | % | 2.93 | % | 3.29 | % *** | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 89,027 | $ | 80,371 | $ | 101,307 | $ | 40,438 | ||||||||
Ratios to average net assets(b): | ||||||||||||||||
Gross operating expenses | 0.28 | % | 0.21 | % | 0.33 | % | 0.46 | % ** | ||||||||
Net operating expenses | 0.25 | % | 0.20 | % | 0.20 | % | 0.18 | % ** | ||||||||
Net investment income | 1.71 | % | 2.14 | % | 2.34 | % | 3.51 | % ** | ||||||||
Expense waiver(d) | 0.03 | % | 0.01 | % | 0.13 | % | 0.02 | % ** | ||||||||
Portfolio turnover rate(e) | 17 | % | 50 | % | 89 | % | 31 | % *** |
(a) | The Fund commenced operations on February 7, 2007. | |
(b) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Short-Term Tax Exempt Bond Portfolio. | |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. | |
(d) | This expense waiver is reflected in both the net operating expense and the net investment income ratios shown above. Without these waivers, net investment income would have been lower. | |
(e) | Portfolio turnover rate is from the State Street Short-Term Tax Exempt Bond Portfolio. | |
* | Net investment income per share is calculated using the average shares method. | |
** | Annualized. | |
*** | Not annualized. |
See Notes to Financial Statements.
7
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State Street Institutional Short-Term Tax Exempt Bond Fund
1. | Organization |
State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of the following series: the State Street Equity 500 Index Fund, the State Street Equity 400 Index Fund, the State Street Equity 2000 Index Fund, the State Street Aggregate Bond Index Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional Short-Term Tax Exempt Bond Fund, the State Street Institutional Limited Duration Bond Fund, the State Street Institutional Treasury Money Market Fund, the State Street Institutional Treasury Plus Money Market Fund and the State Street Institutional U.S. Government Money Market Fund, each of which is a separate diversified series of the Trust. Information presented in these financial statements pertains only to the State Street Institutional Short-Term Tax Exempt Bond Fund (the “Fund”). The Fund commenced operations on February 7, 2007. The Fund is authorized to issue an unlimited number of shares, with no par value.
As of December 31, 2010, the following series of the Trust had commenced operations: the Fund, the State Street Equity 500 Index Fund, the State Street Institutional Liquid Reserves Fund, the State Street Institutional Tax Free Money Market Fund, the State Street Institutional U.S. Government Money Market Fund, the State Street Institutional Treasury Money Market Fund and the State Street Institutional Treasury Plus Money Market Fund.
The Fund invests all of its investable assets in interests of the State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”), a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of the Portfolio are substantially similar to those of the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (99.99% at December 31, 2010). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the Portfolio of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
Security valuation – The Fund records its investment in the Portfolio at value. The valuation policies of the Portfolio are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for each Portfolio, as of December 31, 2010, in valuing each Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
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State Street Institutional Short-Term Tax Exempt Bond Fund
Notes to Financial Statements (continued)
December 31, 2010
December 31, 2010
Security transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio, less all expenses of the Fund. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of the Portfolio’s realized gains and losses. Realized gains and losses from security transactions are recorded on the basis of identified cost.
Dividends and distributions – Dividends from net investment income are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles (“GAAP”).
For the year ended December 31, 2010, there were no permanent differences identified and reclassified among the components of net assets.
The tax character of distributions paid to shareholders during the year ended December 31, 2010 and December 31, 2009 was as follows:
2010 | 2009 | |||||||||
Tax exempt income | $ | 1,489,201 | $ | 1,831,683 | ||||||
Ordinary income | — | 209,564 | ||||||||
Long term gain | 287,504 | 213,101 | ||||||||
At December 31, 2010, the components of distributable earnings on a tax basis were as follows:
Undistributed tax exempt income | $ | 60 | |||
Undistributed capital gains | 3,399 | ||||
Unrealized appreciation | 583,587 | ||||
Total | $ | 587,046 | |||
Federal income taxes – The Fund intends to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of its net taxable income and capital gains, if any, the Fund will not be subject to federal excise tax.
At December 31, 2010, the cost of investments computed on a federal income tax basis was $88,463,197 resulting in $583,587 of unrealized appreciation.
The Fund has reviewed the tax positions for open years as of December 31, 2010 and determined it did not have a liability for any unrecognized tax expenses. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010,
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State Street Institutional Short-Term Tax Exempt Bond Fund
Notes to Financial Statements (continued)
December 31, 2010
December 31, 2010
tax years since inception through 2010 remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
Expense allocation – Certain expenses are applicable to multiple funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made fairly.
Use of estimates – The Fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
3. | Related Party Fees |
The Portfolio retains SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as its investment adviser. For such investment advisory services, the Portfolio pays SSgA FM a fee at the annual rate of 0.10% of its average daily net assets. The Adviser voluntarily agreed to cap the total operating expenses of the Portfolio at 0.10% of the Portfolio’s average daily net assets for the period January 1, 2010 through April 13, 2010. For the year ended December 31, 2010, the Adviser reimbursed the Portfolio $21,664 under this agreement. The Fund has also retained SSgA FM to serve as its investment adviser, but pays no advisory fee to SSgA FM as long as the Fund invests substantially all of its assets in the Portfolio or another investment company.
SSgA FM has contractually agreed to cap the total operating expenses of the Fund (exclusive of interest, taxes, extraordinary expenses) on an annual basis at 0.25% of the Fund’s average daily net assets through April 30, 2011. For the year ended December 31, 2010, SSgA FM reimbursed the Fund $23,307 under these agreements.
State Street serves as the Fund’s administrator and custodian. The Fund pays State Street annual fees of $25,000 for administration services and $12,600 for custody and accounting services.
The Trust has adopted a plan of distribution pursuant to Rule 12b-1 under the 1940 Act (the “Rule 12b-1 Plan”). Under the Rule 12b-1 Plan, the Fund compensates financial intermediaries in connection with the distribution of Fund shares and for services provided to the Fund’s shareholders. The Fund accrued fees under the Rule 12b-1 Plan at an annual rate of 0.05% of average daily net assets. State Street Global Markets LLC (“SSGM”), an affiliated company of State Street, is among the financial intermediaries who may receive fees from the Fund under the Rule 12b-1 Plan. There are currently no eligible financial intermediaries receiving payments under the Rule 12b-1 Plan, therefore, the Fund has not accrued any 12b-1 expenses during the year ended December 31, 2010.
Boston Financial Data Services (“BFDS”), a joint venture of DST systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200.
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State Street Institutional Short-Term Tax Exempt Bond Fund
Notes to Financial Statements (continued)
December 31, 2010
December 31, 2010
4. | Investment Sub-Adviser |
Effective April 1, 2010, Nuveen Asset Management (“Nuveen”) serves as the investment sub-adviser to the Portfolio and is responsible for the day-to-day management of the Portfolio’s investments, subject to supervision by the Adviser and the Board of Trustees. For its services, the Adviser pays Nuveen 50% of the management fee, net of waivers, paid by the Portfolio to the Adviser. The Portfolio is not responsible for the fees paid to Nuveen.
5. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
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State Street Institutional Short-Term Tax Exempt Bond Fund
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Institutional Investment Trust and
Shareholders of State Street Institutional Short-Term Tax Exempt Bond Fund:
We have audited the accompanying statement of assets and liabilities of State Street Institutional Short-Term Tax Exempt Bond Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the State Street Institutional Short-Term Tax Exempt Bond Fund, a fund of State Street Institutional Investment Trust, at December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
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State Street Institutional Short-Term Tax Exempt Bond Fund
A special meeting of shareholders of the State Street Institutional Short-Term Tax Exempt Bond Fund (the “Fund”), a series of the State Street Institutional Investment Trust, was held on March 26, 2010 at 11:00 a.m. (after being adjourned from the initial date of March 1, 2010) at State Street Bank and Trust Company (“State Street”), State Street Corporate Center, One Lincoln Street, Boston, Massachusetts, pursuant to notice duly given to shareholders of the Fund contained in the definitive proxy statement filed with the Securities and Exchange Commission on February 9, 2010 (the “Meeting”).
At the Meeting, the Shareholders of the Fund were asked to provide voting instructions to approve an investment sub-advisory agreement between SSgA Funds Management, Inc. (the “Adviser”) and Nuveen Asset Management (“NAM”), pursuant to which NAM will serve as sub-adviser to State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”), a series of the Master Trust. The results of the shareholder vote were as follows:
7,943,425.978 votes or 100% in favor of retaining NAM;
0 votes or 0% against retaining NAM; and
0 votes or 0% abstained.
At the Meeting, the Shareholders of the Fund were also asked to provide voting instructions to approve an amendment to the investment advisory agreement between the Adviser and the Portfolio (the “Agreement”). The results of the shareholder vote were as follows:
7,943,425.978 votes or 100% in favor of amending the Agreement;
0 votes or 0% against amending the Agreement; and
0 votes or 0% abstained.
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State Street Institutional Short-Term Tax Exempt Bond Fund
General Information
December 31, 2010 (Unaudited)
General Information
December 31, 2010 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the Fund’s distributions for its fiscal year ended December 31, 2010.
For the State Street Institutional Short-Term Tax Exempt Bond Fund for the year ended December 31, 2010, 100% of the distributions from net investment income is exempt from federal income tax, other than the federal AMT.
For the State Street Institutional Short-Term Tax Exempt Bond Fund for the year ended December 31, 2010, $287,504 is hereby designated as capital gain dividends, or, if subsequently determined to be different, the net capital gain for such year.
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Fund. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by (i) calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement (the “Advisory Agreement”) for the Short-Term Tax Exempt Bond Fund (the “Fund”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Fund, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Fund, which is a feeder short-term bond fund in a master-feeder structure. The Trustees reviewed the background and
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State Street Institutional Short-Term Tax Exempt Bond Fund
General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Fund, and the responsibilities of the latter with respect to the Fund. They also considered the resources, operational structures and practices of the Adviser in managing the Fund’s investments, in monitoring and securing the Fund’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of short-term bond products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Fund was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the master portfolio and indirectly to the Fund were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objectives of the Fund and the available data, the investment performance was acceptable. The Trustees determined that a performance evaluation would not be useful in as much as the master portfolio had been managed by a sub-adviser for less than one year.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships to the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the Fund.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Fund individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years. Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.
In order better to evaluate the Fund’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Fund’s advisory fee and total expense ratio were all lower than the average for the Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee. (The Trustees noted that the Adviser does not receive any advisory fee from the Fund so long as it invests substantially all of its assets in the master portfolio or in another investment company.) The Trustees also considered that to help limit expenses of the master portfolio and the Fund, the Adviser had reduced its advisory fee or otherwise reimbursed expenses for the Fund.
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State Street Institutional Short-Term Tax Exempt Bond Fund
General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the master portfolio and, indirectly, by the Fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the master portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the master portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the master portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Trustees determined that the Adviser’s fee was fair and reasonable.
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator and custodian and transfer agent and with SSGM, a wholly-owned subsidiary of State Street, as the principal underwriter for the Trust. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the master portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Fund as assets grow and whether the Fund’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Fund by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.
16
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Institutional Investment Trust, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Independent Trustees | ||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993 – 2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008 | |||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002 – 2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
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Table of Contents
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust; Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — | |||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
18
Table of Contents
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Complex | |||||||
and Date of Birth | Held with | and Length of | Principal Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Officers: (continued) | ||||||||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Master Funds. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
19
Table of Contents
Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
Transfer Agent
Boston Financial Data Services, Inc.
30 Dan Road
Canton, MA 02021
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
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 Institutional Short-Term Tax Exempt Bond Fund
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
Table of Contents
STATE STREET SHORT-TERM TAX EXEMPT
BOND PORTFOLIO
BOND PORTFOLIO
ANNUAL REPORT
December 31, 2010
Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Portfolio
The State Street Short-Term Tax Exempt Bond Portfolio (the “Fund”) seeks to provide federally tax-exempt current income and liquidity. The Fund is benchmarked to the Barclays Capital 1 Year Municipal Bond Index (the “Index”).
For the 12-month period ended December 31, 2010 (the “Reporting Period”), the total return for the Fund was 1.46%, and the total return for the Index was 1.17%. The Fund and Index returns reflect the reinvestment of dividends and other income.
The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The municipal market rallied nicely through much of the year as rates for 1, 2 and 3-year maturities fell by 3, 23, and 37 basis points respectively between January 1st 2010 and August 31st 2010. During the last four months of the year, municipal rates for these same maturities had backed up by 12, 27 and 47 basis points, respectively. Uncertainty regarding the tax code, year-end gains taking, the expiration of the Build America Bond Program and negative press surrounding municipal credit contributed to investors pulling away from the municipal market and leading to mutual fund redemptions.
The Fund outperformed its corresponding Index for both the quarter and the year by 0.11% and 0.29%, respectively. Generally, the Fund was well positioned from a duration and maturity standpoint throughout the year. For much of the year, the Fund was slightly long its benchmark with the exception of the last quarter when the Fund was slightly short. This proved beneficial as the municipal market experienced a sharp selloff beginning in mid-November. The Fund also benefitted from security selection with certain holdings contributing to positive performance. At year end, the Fund and Index had very comparable yields (1.01% – Fund vs. 1.02% – Index). Overall credit quality is similar as well (both Aa2), however, the mix is different with the Fund overweight A-rated bonds and under weighted BBB-rated bonds.
Some of the Fund’s best performers during the quarter were Fontana Unified School District (0% due 12/01/12) and Oakland County Michigan Economic Development Corp., a weekly reset note providing an outsized coupon and very short duration given its variable coupon added over 60 basis point of total return. Also helping performance were short maturity lower quality issues which threw off above Index income without the duration which was beneficial in a rising rate environment. Examples include California Statewide Communities Development Authority (4% due 12/01/11 rated A-) and City of Philadelphia Water & Wastewater (5% due 08/01/12 rated A1/A/A+). Detracting from performance were longer maturity “put” structures like Connecticut State Health & Educational Facility Authority for Yale University with a mandatory put in 2013. Another detractor was the Bi-State Development Agency of the Missouri-Illinois Metropolitan District which came new issue in mid-October shortly before the market weakened in November.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole.
22
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Fiscal Year Ended December 31, 2010
Total Return | ||||||
Total Return | Average Annualized Since | |||||
For The Year Ended | Commencement of Operations | |||||
December 31, 2010 | (February 7, 2007) | |||||
State Street Short-Term Tax Exempt Bond Portfolio | 1.46% | 3.22% | ||||
Barclays Capital 1-Year Municipal Bond Index(b) | 1.17% | 3.40% | ||||
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that 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. Investment performance reflects fee waivers in effect. In the absence of fee waivers, total return would be lower. | |
(b) | Barclays Capital 1-Year Municipal Bond Index: A total return benchmark designed for tax-exempt assets. The index includes bonds with a minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, have maturities of 1 to 2-years, and have been issued after December 31, 1990. |
23
Table of Contents
State Street Institutional Short-Term Tax Exempt Bond Portfolio (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from July 1, 2010 to December 31, 2010.
The table below illustrates your Portfolio’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. |
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended December 31, 2010
Beginning | Ending | Expenses Paid | |||||||
Account Value | Account Value | During | |||||||
July 1, 2010 | December 31, 2010 | Period* | |||||||
Based on Actual Portfolio Return | $1,000.00 | $1,005.40 | $0.96 | ||||||
Based on Hypothetical (5% return before expenses) | $1,000.00 | $1,024.25 | $0.97 | ||||||
* | The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The Portfolio’s annualized average weighted expense ratio as of December 31, 2010 was 0.19%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 184/365 (the most recent six month period). |
24
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2010 | |||
General Obligations | 27.8 | % | ||
Appropriation | 19.7 | |||
Other Revenue | 11.7 | |||
Hospital | 7.2 | |||
Water & Sewer | 7.0 | |||
Higher Education | 6.8 | |||
Other Utility | 5.1 | |||
Pre Refunded/Escrow to Maturity | 4.2 | |||
Public Power | 3.8 | |||
Student Loan | 2.4 | |||
Other Education | 2.3 | |||
Resource Recovery | 1.2 | |||
Airport | 0.6 | |||
Cash/Money Market Fund | 0.2 | |||
Total | 100.0 | % | ||
Maturity Ladder* | December 31, 2010 | |||
Less than 6 months | 18.5 | % | ||
6 months – 1 year | 16.3 | |||
1-2 years | 40.5 | |||
2+ years | 23.6 | |||
Total | 98.9 | % | ||
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
25
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments
December 31, 2010
Portfolio of Investments
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
TAX-EXEMPT OBLIGATIONS – 98.7% | ||||||||||||||||||||
Alaska – 3.0% | ||||||||||||||||||||
Juneau City & Boro GO Unlimited, School, Series A | 4.000 | % | 06/01/2011 | 06/01/2011 | $ | 2,660,000 | $ | 2,694,261 | ||||||||||||
California – 7.7% | ||||||||||||||||||||
California State Public Works Board Revenue Bonds, Department General Service Buildings 8 & 9 – A | 4.000 | % | 04/01/2012 | 04/01/2012 | 1,260,000 | 1,289,245 | ||||||||||||||
California Statewide Communities Development Authority Revenue Bonds, Lodi Memorial Hospital, Series A, INS: California Mortgage | 4.000 | % | 12/01/2011 | 12/01/2011 | 1,000,000 | 1,014,500 | ||||||||||||||
Fontana Unified School District Board Antic Notes, GO Unlimited, Antic Notes(a) | 0.580 | % | 12/01/2012 | 12/01/2012 | 2,500,000 | 2,472,550 | ||||||||||||||
Irvine Unified School District Special Tax Community Facilities District No. 86-1 | 5.000 | % | 09/01/2012 | 09/01/2012 | 1,460,000 | 1,544,461 | ||||||||||||||
San Bernardino County Transportation Authority Revenue Bonds, Notes – Series A | 4.000 | % | 05/01/2012 | 05/01/2012 | 500,000 | 519,515 | ||||||||||||||
6,840,271 | ||||||||||||||||||||
Colorado – 1.3% | ||||||||||||||||||||
Regional Transportation District, COP, Series A, INS:NPFGC | 5.000 | % | 06/01/2011 | 06/01/2011 | 1,165,000 | 1,183,943 | ||||||||||||||
Connecticut – 4.0% | ||||||||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University Series A-3(b) | 4.000 | % | 02/07/2013 | 07/01/2049 | 2,500,000 | 2,655,175 | ||||||||||||||
Town of Hamden, GO Unlimited, Unrefunded Bal-2005, INS: NPFGC | 4.500 | % | 08/15/2012 | 08/15/2012 | 830,000 | 865,673 | ||||||||||||||
3,520,848 | ||||||||||||||||||||
Delaware – 1.2% | ||||||||||||||||||||
Delaware State Solid Waste Authority Revenue Bonds, INS: NPFGC | 5.000 | % | 06/01/2012 | 06/01/2012 | 1,000,000 | 1,050,490 | ||||||||||||||
Florida – 6.2% | ||||||||||||||||||||
County of Marion Public Improvement, Revenue Bonds, Series 2010 | 3.000 | % | 12/01/2011 | 12/01/2011 | 870,000 | 886,356 | ||||||||||||||
County of Marion Public Improvement, Revenue Bonds, Series 2010 | 3.000 | % | 12/01/2012 | 12/01/2012 | 575,000 | 592,785 | ||||||||||||||
Hillsborough County School Board, COP, Series A, INS: NPFGC | 5.500 | % | 07/01/2012 | 07/01/2012 | 2,000,000 | 2,129,600 | ||||||||||||||
Palm Beach County School District, COP, INS: NPFGC | 5.000 | % | 08/01/2011 | 08/01/2011 | 1,880,000 | 1,921,153 | ||||||||||||||
5,529,894 | ||||||||||||||||||||
Georgia – 2.9% | ||||||||||||||||||||
Fulton-Dekalb Hospital Authority, Revenue Bonds, Certificates, INS: AGM | 5.000 | % | 01/01/2013 | 01/01/2013 | 1,025,000 | 1,101,957 | ||||||||||||||
Georgia Municipal Gas Authority Revenue Bonds, Gas Portfolio III Project, Series I | 2.000 | % | 05/17/2011 | 05/17/2011 | 1,500,000 | 1,507,890 | ||||||||||||||
2,609,847 | ||||||||||||||||||||
Illinois – 2.9% | ||||||||||||||||||||
Chicago Park District, Personal Property Replacement, Series D, GO Unlimited | 5.000 | % | 01/01/2011 | 01/01/2011 | 1,000,000 | 1,000,000 | ||||||||||||||
City of Chicago GO Unlimited, Series B, INS:AMBAC | 5.000 | % | 01/01/2011 | 01/01/2011 | 1,620,000 | 1,620,000 | ||||||||||||||
2,620,000 | ||||||||||||||||||||
See Notes to Financial Statements.
26
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
TAX-EXEMPT OBLIGATIONS (continued) | ||||||||||||||||||||
Indiana – 2.0% | ||||||||||||||||||||
Indiana Bond Bank Revenue Bonds, State Revolving Funding Progress, Series C | 5.000 | % | 02/01/2013 | 02/01/2013 | $ | 1,600,000 | $ | 1,732,304 | ||||||||||||
Iowa – 2.3% | ||||||||||||||||||||
Waterloo Community School District School Revenue Bonds, Antic Notes | 3.750 | % | 05/01/2012 | 05/01/2012 | 2,000,000 | 2,017,620 | ||||||||||||||
Kansas – 1.2% | ||||||||||||||||||||
Johnson County Unified School District No. 229 Blue Valley, GO Unlimited, Series A, INS: AGM | 5.000 | % | 10/01/2012 | 10/01/2012 | 1,000,000 | 1,073,460 | ||||||||||||||
Louisiana – 2.3% | ||||||||||||||||||||
Louisiana Office Facilities Corp. Revenue Bonds, Capitol Complex Program | 2.500 | % | 03/01/2012 | 03/01/2012 | 2,000,000 | 2,034,600 | ||||||||||||||
Massachusetts – 1.2% | ||||||||||||||||||||
Commonwealth of Massachusetts, GO Unlimited, Consolidated Loan, Series E, INS: FSA | 5.500 | % | 01/01/2013 | 01/01/2013 | 1,000,000 | 1,088,810 | ||||||||||||||
Michigan – 3.8% | ||||||||||||||||||||
Central Michigan University, Revenue Bonds | 5.000 | % | 10/01/2012 | 10/01/2012 | 1,315,000 | 1,387,614 | ||||||||||||||
Oakland County Economic Development Corp. Revenue Bonds, Pontiac Vision Schools Project, LOC: Allied Irish Bank PLC(b) | 4.300 | % | 01/06/2011 | 08/01/2020 | 2,000,000 | 2,000,000 | ||||||||||||||
3,387,614 | ||||||||||||||||||||
Missouri – 5.7% | ||||||||||||||||||||
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Revenue Bonds, Metrolink Cross County, Series B | 4.000 | % | 10/15/2013 | 10/15/2013 | 2,000,000 | 2,089,820 | ||||||||||||||
Missouri Public Utilities Commission Revenue Bonds, Interim Construction Notes | 2.000 | % | 08/01/2011 | 08/01/2011 | 3,000,000 | 3,022,230 | ||||||||||||||
5,112,050 | ||||||||||||||||||||
Montana – 0.7% | ||||||||||||||||||||
Whitefish Montana Tax Allocation, Emergency Services Contract Project | 3.000 | % | 07/15/2011 | 07/15/2011 | 605,000 | 610,457 | ||||||||||||||
Nebraska – 1.9% | ||||||||||||||||||||
City of Omaha Revenue Bonds, Refunding Series A | 2.000 | % | 12/01/2012 | 12/01/2012 | 1,095,000 | 1,118,958 | ||||||||||||||
Omaha Airport Authority Revenue Bonds, Refunding Facilities Series 1, GO Authority | 2.000 | % | 01/01/2013 | 01/01/2013 | 545,000 | 553,219 | ||||||||||||||
1,672,177 | ||||||||||||||||||||
Nevada – 1.2% | ||||||||||||||||||||
Clark County, Bond Bank, GO Limited, INS: FGIC(c) | 5.000 | % | 06/01/2011 | 06/01/2031 | 1,000,000 | 1,018,820 | ||||||||||||||
New Jersey – 4.6% | ||||||||||||||||||||
New Jersey Economic Development Authority Revenue Bonds, Transportation Project Sublease-Series A | 5.000 | % | 05/01/2012 | 05/01/2012 | 1,860,000 | 1,953,669 | ||||||||||||||
New Jersey Higher Education Assistance Authority Revenue Bonds, Series 1-A | 4.000 | % | 12/01/2011 | 12/01/2011 | 2,065,000 | 2,118,236 | ||||||||||||||
4,071,905 | ||||||||||||||||||||
See Notes to Financial Statements.
27
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
TAX-EXEMPT OBLIGATIONS (continued) | ||||||||||||||||||||
New York – 6.3% | ||||||||||||||||||||
City of New York GO Unlimited, Subseries B-1 | 4.000 | % | 09/01/2011 | 09/01/2011 | $ | 2,000,000 | $ | 2,046,540 | ||||||||||||
New York City Transitional Finance Authority Aid Revenue Bonds, Series S-2 | 5.000 | % | 01/15/2011 | 01/15/2011 | 1,500,000 | 1,501,890 | ||||||||||||||
New York State Dormitory Authority Revenue Bonds, Series B(b) | 5.250 | % | 05/15/2012 | 11/15/2023 | 2,000,000 | 2,097,860 | ||||||||||||||
5,646,290 | ||||||||||||||||||||
North Carolina – 2.6% | ||||||||||||||||||||
North Carolina Eastern Municipal Power Agency Revenue Bonds, Series D | 5.375 | % | 01/01/2011 | 01/01/2011 | 2,000,000 | 2,000,000 | ||||||||||||||
North Carolina Medical Care Commission, Revenue Bonds, Blue Ridge Healthcare, Series 2010 A | 3.000 | % | 01/01/2013 | 01/01/2013 | 325,000 | 329,969 | ||||||||||||||
2,329,969 | ||||||||||||||||||||
Ohio – 2.5% | ||||||||||||||||||||
Ohio Higher Educational Facility Commission Revenue Bonds, Cleveland Clinic Health, Series A | 4.000 | % | 01/01/2012 | 01/01/2012 | 1,000,000 | 1,029,150 | ||||||||||||||
Ohio State Water Development Authority Revenue Bonds, Loan Fund Water Quality | 5.000 | % | 06/01/2012 | 06/01/2012 | 1,155,000 | 1,224,000 | ||||||||||||||
2,253,150 | ||||||||||||||||||||
Oklahoma – 4.6% | ||||||||||||||||||||
Cleveland County Public Facilities Authority Revenue Bonds, Norman Public School Project, Series 2010 | 3.500 | % | 06/01/2012 | 06/01/2012 | 2,000,000 | 2,058,240 | ||||||||||||||
Oklahoma County Finance Authority Revenue Bonds, Putnam City Public School Project | 4.000 | % | 03/01/2013 | 03/01/2013 | 1,000,000 | 1,039,170 | ||||||||||||||
Rogers County Educational Facilities Authority, Revenue Bonds, Catoosa Public Schools Project | 3.000 | % | 09/01/2012 | 09/01/2012 | 1,000,000 | 1,026,080 | ||||||||||||||
4,123,490 | ||||||||||||||||||||
Pennsylvania – 8.1% | ||||||||||||||||||||
Allegheny County, HDA Revenue Bonds, University of Pittsburgh Medical Center, Series B | 5.000 | % | 06/15/2011 | 06/15/2011 | 1,000,000 | 1,019,950 | ||||||||||||||
City of Philadelphia Water & Wastewater Revenue Bonds, Series A, INS: AMBAC | 5.000 | % | 08/01/2012 | 08/01/2012 | 1,980,000 | 2,102,899 | ||||||||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds, Convention Center Project, Series A | 5.000 | % | 06/15/2012 | 06/15/2012 | 2,000,000 | 2,108,200 | ||||||||||||||
Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series AJ | 5.000 | % | 06/15/2012 | 06/15/2012 | 1,860,000 | 1,972,790 | ||||||||||||||
7,203,839 | ||||||||||||||||||||
South Carolina – 2.3% | ||||||||||||||||||||
South Carolina Transportation Infrastructure Bank Revenue Bonds, Series A, INS: AMBAC | 5.000 | % | 10/01/2011 | 10/01/2011 | 2,000,000 | 2,061,440 | ||||||||||||||
See Notes to Financial Statements.
28
Table of Contents
State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Name of Issuer | Interest | Next Rate | Maturity | Principal | Market | |||||||||||||||
and Title of Issue | Rate | Reset Date | Date | Amount | Value | |||||||||||||||
TAX-EXEMPT OBLIGATIONS (continued) | ||||||||||||||||||||
Texas – 9.6% | ||||||||||||||||||||
County of Harris Revenue Bonds, Tax and Subordinate Lien, Series B, INS: AGM(b) | 5.000 | % | 08/15/2012 | 08/15/2032 | $ | 2,525,000 | $ | 2,691,044 | ||||||||||||
County of Williamson, GO Unlimited, INS: FSA(c) | 5.300 | % | 02/15/2012 | 02/15/2024 | 2,500,000 | 2,634,500 | ||||||||||||||
Frisco Independent School District, GO Unlimited, INS: PSF GTD | 6.500 | % | 08/15/2012 | 08/15/2012 | 1,000,000 | 1,093,260 | ||||||||||||||
Harris County Cultural Education Facilities Finance Corp., Revenue Bonds, Methodist Hospital System | 5.000 | % | 06/01/2012 | 06/01/2012 | 2,000,000 | 2,110,780 | ||||||||||||||
8,529,584 | ||||||||||||||||||||
Utah – 1.5% | ||||||||||||||||||||
Utah Associated Municipal Power Systems Revenue Bonds, Payson Power Project, Series A, INS: AGM | 5.000 | % | 04/01/2012 | 04/01/2012 | 1,250,000 | 1,313,463 | ||||||||||||||
Virginia – 1.9% | ||||||||||||||||||||
Commonwealth of Virginia, Series B, GO Unlimited | 5.000 | % | 06/01/2011 | 06/01/2011 | 1,655,000 | 1,686,428 | ||||||||||||||
Washington – 0.9% | ||||||||||||||||||||
Washington Health Care Facilities Authority, Peacehealth Revenue Bonds | 5.000 | % | 11/01/2011 | 11/01/2011 | 795,000 | 822,165 | ||||||||||||||
Wisconsin – 2.3% | ||||||||||||||||||||
State of Wisconsin GO Unlimited, Series C | 4.000 | % | 05/01/2011 | 05/01/2011 | 2,000,000 | 2,023,280 | ||||||||||||||
TOTAL TAX-EXEMPT OBLIGATIONS (Cost: $87,278,877) | 87,862,469 | |||||||||||||||||||
MONEY MARKET FUND – 0.2% | Shares | |||||||||||||||||||
State Street Institutional Tax Free Money Market Fund, Institutional Shares (at net asset value)(d)(e) | 237,270 | 237,270 | ||||||||||||||||||
TOTAL MONEY MARKET FUND (Cost: $237,270) | 237,270 | |||||||||||||||||||
TOTAL INVESTMENTS(f)† – 98.9% (Cost $87,516,147) | 88,099,739 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 1.1% | 948,137 | |||||||||||||||||||
NET ASSETS – 100.0% | $ | 89,047,876 | ||||||||||||||||||
(a) | Zero-coupon bond – Interest rate represents current yield maturity. |
(b) | Floating Rate Note – Interest rate shown is rate in effect at December 31, 2010. |
(c) | Next Rate Reset Date shown is pre-refunded date. |
(d) | Affiliated issuer. See table that follows for more information. |
(e) | Value determined based on Level 1 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
(f) | Unless otherwise indicated, the values of the Securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding Fair Value Measurements and Disclosures. (Note 2) |
† | See Note 2 of the Notes to Financial Statements. |
See Notes to Financial Statements.
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State Street Short-Term Tax Exempt Bond Portfolio
Portfolio of Investments — (continued)
December 31, 2010
Portfolio of Investments — (continued)
December 31, 2010
Acronym | Name | |
AGM | Assured Guaranty Municipal | |
AMBAC | American Municipal Bond Assurance Corporation | |
COP | Certificates of Participation | |
FGIC | Financial Guaranty Insurance Company | |
FSA | Financial Security Assurance | |
GO | General Obligation | |
GTD | Guaranteed | |
HDA | Hospital Development Authority | |
INS | Insured | |
LOC | Letter of Credit | |
NPFGC | National Public Finance Guarantee Corporation | |
PLC | Public Limited Company | |
PSF | Permanent School Fund |
Affiliate Table
Certain investments made by the Portfolio were made in mutual funds affiliated with State Street and SSgA FM. The market value of this investment at December 31, 2010 is listed in the Portfolio of Investments.
Shares | ||||||||||||||||||||||||||||
Number of | purchased | Shares sold | Income earned | Realized | ||||||||||||||||||||||||
Shares | for the | for the | Number of | for the | gain | |||||||||||||||||||||||
held | twelve months | twelve months | shares | Value at | twelve months | on shares | ||||||||||||||||||||||
Security Description | at 12/31/09 | ended 12/31/10 | ended 12/31/10 | held at 12/31/10 | 12/31/10 | ended 12/31/10 | sold | |||||||||||||||||||||
State Street Institutional Tax Free Money Market Fund, Institutional Shares | 470,577 | 26,133,785 | 26,367,092 | 237,270 | $ | 237,270 | $ | 1,076 | $ | – |
See Notes to Financial Statements.
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State Street Short-Term Tax Exempt Bond Portfolio
Statement of Assets and Liabilities
December 31, 2010
Assets | ||||
Investments in unaffiliated issuers at market value (identified cost $87,278,877) | $ | 87,862,469 | ||
Investments in non-controlled affiliates at market value (identified cost $237,270) (Note 4) | 237,270 | |||
Total investments at market value (identified cost $87,516,147) | 88,099,739 | |||
Interest receivable | 983,145 | |||
Prepaid expenses | 1,750 | |||
Total assets | 89,084,634 | |||
Liabilities | ||||
Management fee (Note 4) | 7,560 | |||
Administration and custody fees (Note 4) | 1,010 | |||
Professional fees | 27,780 | |||
Accrued expenses and other liabilities | 408 | |||
Total liabilities | 36,758 | |||
Net Assets | $ | 89,047,876 | ||
See Notes to Financial Statements.
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State Street Short-Term Tax Exempt Bond Portfolio
Statement of Operations
Year Ended December 31, 2010
Investment Income | ||||
Interest | $ | 1,701,692 | ||
Dividend income – non-controlled affiliated issuer | 1,076 | |||
Total investment income | 1,702,768 | |||
Expenses | ||||
Management fees (Note 4) | 86,859 | |||
Professional fees | 40,845 | |||
Administration and custody fees (Note 4) | 13,555 | |||
Trustee’s fees (Note 6) | 11,680 | |||
Insurance fees | 10,221 | |||
Printing fees | 662 | |||
Other expenses | 484 | |||
Total expenses | 164,306 | |||
Less: Fee waivers by Investment Adviser (Note 4) | (21,664 | ) | ||
Total net expenses | 142,642 | |||
Net Investment Income | $ | 1,560,126 | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments | $ | 190,861 | ||
Net change in net unrealized depreciation on investments | (491,854 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 1,259,133 | ||
See Notes to Financial Statements.
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Statements of Changes in Net Assets
For the | For the | |||||||
Year Ended | Year Ended | |||||||
December 31, 2010 | December 31, 2009 | |||||||
Increase (Decrease) in Net Assets from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,560,126 | $ | 1,922,137 | ||||
Net realized gain on investments | 190,861 | 522,717 | ||||||
Net change in net unrealized appreciation (depreciation) on investments | (491,854 | ) | 472,423 | |||||
Net increase in net assets from operations | 1,259,133 | 2,917,277 | ||||||
Capital Transactions: | ||||||||
Contributions | 14,063,935 | 2,164,305 | ||||||
Withdrawals | (6,676,693 | ) | (26,009,977 | ) | ||||
Net increase (decrease) in net assets from capital transactions | 7,387,242 | (23,845,672 | ) | |||||
Net Increase (Decrease) in Net Assets | 8,646,375 | (20,928,395 | ) | |||||
Net Assets | ||||||||
Beginning of year | 80,401,501 | 101,329,896 | ||||||
End of year | $ | 89,047,876 | $ | 80,401,501 | ||||
See Notes to Financial Statements.
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Financial Highlights
The following table includes selected supplemental data and ratios to average net assets:
Year | Year | Year | Period | |||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||
12/31/10 | 12/31/09 | 12/31/08 | 12/31/07(c) | |||||||||||||
Supplemental Data and Ratios: | ||||||||||||||||
Net assets, end of period (000s) | $ | 89,048 | $ | 80,402 | $ | 101,330 | $ | 40,467 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross operating expenses | 0.19 | % | 0.21 | % | 0.23 | % | 0.35 | %* | ||||||||
Net operating expenses | 0.16 | % | 0.10 | % | 0.10 | % | 0.10 | %* | ||||||||
Net investment income | 1.80 | % | 2.25 | % | 2.44 | % | 3.58 | %* | ||||||||
Expense waiver(a) | 0.03 | % | 0.11 | % | 0.13 | % | 0.25 | %* | ||||||||
Portfolio turnover rate | 17 | % | 50 | % | 89 | % | 31 | %** | ||||||||
Total return(b) | 1.46 | % | 3.36 | % | 3.04 | % | 3.33 | %** |
(a) | This expense waiver is reflected in both the net operating expense and the net investment income ratios shown above. Without these waivers, net investment income would have been lower. | |
(b) | Results represent past performance and are not indicative of future results. | |
(c) | The Portfolio commenced operations on February 7, 2007. | |
* | Annualized. | |
** | Not annualized. |
See Notes to Financial Statements.
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State Street Short-Term Tax Exempt Bond Portfolio
December 31, 2010
1. | Organization |
The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises eleven investment portfolios: the State Street Equity 500 Index Portfolio, the State Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio, the State Street Aggregate Bond Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street Short-Term Tax Exempt Bond Portfolio, the State Street Limited Duration Bond Portfolio, the State Street Treasury Money Market Portfolio, the State Street Treasury Plus Money Market Portfolio and the State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Short-Term Tax Exempt Bond Portfolio (the “Portfolio”). The Portfolio commenced operations on February 7, 2007. At December 31, 2010, the following Portfolios were in operation: the Portfolio, the State Street Equity 500 Index Portfolio, the State Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio, the State Street U.S. Government Money Market Portfolio, the State Street Treasury Money Market Portfolio and the State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.
The Short-Term Tax Exempt Bond Portfolio’s investment objective is to seek to provide federally tax-exempt current income and liquidity. The Portfolio invests at least 80% of its assets in a diversified portfolio of investment grade municipal debt securities and maintains a dollar-weighted average portfolio duration of two years or less. The Portfolio is not a money market fund, and it is expected that the Portfolio will be managed in such a way that a feeder fund’s net asset value per share will fluctuate. There is no assurance that the Portfolio will achieve its investment objective, and you could lose money by investing in the Portfolio.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.
Security valuation – The Portfolio’s investments are valued each business day by independent pricing services. Fixed-income securities are valued on the basis of the closing bid price. Investments in other mutual funds are valued at the net asset value per share. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. The Portfolio may value securities for which market quotations are not readily available at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding Fair Value Measurements and Disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most
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Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.
The three tier hierarchy of inputs is summarized below:
• | Level 1 – quoted prices in active markets for identical securities | |
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |
• | Level 3 – significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the inputs used, as of December 31, 2010, in valuing the Portfolio’s assets carried at fair value:
Quoted Prices in | ||||||||||||||||
Active Markets for | Significant Other | Significant | ||||||||||||||
Identical Assets | Observable Inputs | Unobservable Inputs | ||||||||||||||
Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
TAX-EXEMPT OBLIGATIONS | $ | – | $ | 87,862,469 | $ | – | $ | 87,862,469 | ||||||||
MONEY MARKET FUND | 237,270 | – | – | 237,270 | ||||||||||||
TOTAL INVESTMENTS | $ | 237,270 | $ | 87,862,469 | $ | – | $ | 88,099,739 | ||||||||
The type of inputs used to value each security under the provisions surrounding Fair Value Measurement and Disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.
The Portfolio adopted updated provisions surrounding fair value measurements and disclosures effective March 31, 2010. This update applies to the Portfolio’s disclosures about transfers in and out of Level 1 and Level 2 of the fair value hierarchy and the reasons for the transfers as well as to disclosures about the valuation techniques and inputs used to measure fair value for investments that fall in either Level 2 or Level 3 fair value hierarchy.
As of the year ended December 31, 2010, there were no securities transferred from Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis for financial statement purposes. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio based on each partner’s daily ownership percentage.
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Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
Federal income taxes – The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of December 31, 2010, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2010, tax years since inception through 2010 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At December 31, 2010, the book cost of investments was $87,516,147 which approximates cost computed on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $636,883 and $53,291, respectively, resulting in net appreciation of $583,592 for all securities as computed on a federal income tax basis.
Use of Estimates – The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates.
3. | Securities Transactions |
For the year ended December 31, 2010, purchases and sales of investment securities, excluding short-term investments, futures contracts, and in-kind contributions and withdrawals, aggregated to $36,651,283 and $14,245,343, respectively.
4. | Related Party Fees |
The Portfolio has entered into an investment advisory agreement with SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”). The Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser an annual fee of 0.10% of the Portfolio’s average daily net assets. The Adviser voluntarily agreed to cap the total operating expenses of the Portfolio at 0.10% of the Portfolio’s average daily net assets for the period January 1, 2010 through April 13, 2010. For the year ended December 31, 2010, the Adviser reimbursed the Portfolio $21,664 under this agreement.
State Street is the administrator, custodian and transfer agent for the Portfolio. In compensation for State Street’s services as administrator, custodian and transfer agent, the Trust pays State Street an annual fee, which is accrued daily and payable monthly at the applicable fee rate described below, of the
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State Street Short-Term Tax Exempt Bond Portfolio
Notes to Financial Statements (continued)
December 31, 2010
Notes to Financial Statements (continued)
December 31, 2010
following annual percentages of the Trust’s average aggregate daily net assets, during the month as follows:
Annual percentage of | ||||
Asset Levels | average aggregate daily net assets | |||
First $400 million | 0.03% | |||
Next $15 billion | 0.02% | |||
Thereafter | 0.01% | |||
Minimum annual fee per Portfolio | $150,000 |
5. | Investment Sub-Adviser |
Effective April 1, 2010, Nuveen Asset Management (“Nuveen”) serves as the investment sub-adviser to the Portfolio and is responsible for the day-to-day management of the Portfolio’s investments, subject to supervision by the Adviser and the Board of Trustees. For its services, the Adviser pays Nuveen 50% of the management, net of waivers, fee paid by the Portfolio to the Adviser. The Portfolio is not responsible for the fees paid to Nuveen.
6. | Trustees’ Fees |
The Trust pays each trustee who is not an officer or employee of SSgA FM or State Street $2,500 for each meeting of the Board of Trustees and an additional $500 for each telephonic meeting attended. The Trust also pays each trustee an annual retainer of $30,000. Each trustee is reimbursed for out-of-pocket and travel expenses.
7. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
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State Street Short-Term Tax Exempt Bond Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Short-Term Tax Exempt Bond Portfolio:
We have audited the accompanying statement of assets and liabilities of State Street Short-Term Tax Exempt Bond Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”), including the portfolio of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Short-Term Tax Exempt Bond Portfolio, a portfolio of State Street Master Funds at December 31, 2010, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 22, 2011
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State Street Institutional Short-Term Tax Exempt Bond Portfolio
December 31, 2010 (Unaudited)
A meeting of the shareholders of State Street Institutional Short-Term Tax Exempt Bond Fund (the “Fund”), a series of the State Street Institutional Investment Trust was held at the offices of SSgA Funds Management, Inc., One Lincoln Street, 30th Floor, Boston, Massachusetts, on March 26, 2010 at 11:00 a.m. (after being adjourned from the initial date of March 1, 2010).
SSgA Funds Management, Inc. (“SSgA FM”) serves as investment adviser to both the Fund and the Short-Term Tax Exempt Bond Portfolio (the “Portfolio”). SSgA FM proposed that Nuveen Asset Management (“Nuveen”) be appointed to serve as sub-adviser to the Portfolio, providing day-to-day investment management services. At the Meeting, shareholders of the Fund were asked to:
- | Provide voting instructions relating to the approval of a proposed Investment Sub-Advisory Agreement between SSgA Funds Management, Inc. and Nuveen Asset Management relating to the Portfolio. |
The results of the shareholder vote were as follows: | ||
7,943,425.978 votes or 100% in favor; | ||
0 votes or 0% against; and | ||
0 votes or 0% abstained |
- | Provide voting instructions relating to the approval of a proposed amendment to the Investment Advisory Agreement dated March 1, 2001 between SSgA Funds Management, Inc. and State Street Master Funds, on behalf of the Portfolio. |
The results of the shareholder vote were as follows: | ||
7,943,425.978 votes or 100% in favor; | ||
0 votes or 0% against; and | ||
0 votes or 0% abstained |
- | Consider and act upon such other matters as may properly come before the Meeting or any adjournments thereof. |
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State Street Short-Term Tax Exempt Bond Portfolio
General Information
December 31, 2010 (Unaudited)
General Information
December 31, 2010 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolios. A description of the policies and procedures are available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on the website of the Securities and Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available by August 31 (i) without charge, upon request, by (i) calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
Advisory Agreement Renewal
The Board of Trustees of the Trust met on November 19, 2010 (the “Meeting”) to consider the renewal of the investment advisory agreement (the “Advisory Agreement”) for the Short-Term Tax Exempt Bond Portfolio (the “Portfolio”). In preparation for considering the Advisory Agreement, the Trustees had reviewed the renewal materials provided by the investment adviser, which they had requested through independent counsel. In deciding whether to renew the Advisory Agreement, the Trustees considered various factors, including (i) the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement, (ii) the investment performance of the Portfolio, (iii) the costs to the Adviser of its services and the profits realized by the Adviser and its affiliates from their relationship with the Trust, (iv) the extent to which economies of scale would be realized if and as the Trust grows and whether the fee levels in the Advisory Agreement reflect these economies of scale, and (v) any additional benefits to the Adviser from its relationship with the Trust.
In considering the nature, extent and quality of the services provided by the Adviser, the Trustees relied on their prior direct experience as Trustees of the Trust as well as on the materials provided at the Meeting. The Trustees reviewed the Adviser’s responsibilities under the Advisory Agreement and noted the experience and expertise that would be appropriate to expect of an adviser to the Portfolio, which is a short-term bond fund. The Trustees reviewed the background and experience of the Adviser’s senior management, including those individuals responsible for the investment and compliance operations relating to the investments of the Portfolio, and the responsibilities of the latter with respect to the Portfolio. They also considered the resources, operational structures and practices of the Adviser in managing the Portfolio’s investments, in monitoring and securing the Portfolio’s compliance with its investment objective and policies with respect to its investments and with applicable laws and regulations, and in seeking best execution of portfolio transactions. The Trustees also considered information about the Adviser’s overall investment management business, noting that the Adviser manages assets for a variety of institutional investors and that the Adviser and its affiliates had over $1.90 trillion in assets under management as of September 30, 2010, including over $183.40 billion managed by the Adviser. They reviewed information regarding State Street’s business continuity and disaster recovery program. Drawing upon the materials provided and their general knowledge of the business of
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State Street Short-Term Tax Exempt Bond Portfolio
General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
the Adviser, the Trustees determined that the experience, resources and strength of the Adviser in the management of short-term bond products are exceptional. As discussed more fully below, they also determined that the advisory fee for the Portfolio was fair and reasonable and that its performance and expense ratio were acceptable. On the basis of this review, the Trustees determined that the nature and extent of the services provided by the Adviser to the Portfolio were appropriate and had been of good quality.
The Trustees noted that, in view of the investment objectives of the Portfolio and the available data, the investment performance was acceptable. The Trustees determined that a performance evaluation would not be useful in as much as the master portfolio had been managed by a sub-adviser for less than one year.
The Trustees considered the profitability to the Adviser and its affiliate, State Street, of the advisory relationships to the Trust. (They noted at the outset that the issue of profitability would not arise with respect to State Street Global Markets LLC (“SSGM”), also an affiliate of the Adviser, because of the fact that SSGM receives no compensation from the feeder fund and, by implication, the Portfolio.) The Trustees had been provided with data regarding the profitability to the Adviser and State Street with respect to the Portfolio individually, and on an aggregate basis, for the year ended June 30, 2010, with additional data relating to prior years.
Having discussed with representatives of the Adviser the methodologies used in computing the costs that formed the bases of the profitability calculations, they concluded that these methodologies were reasonable and turned to the data provided. After discussion and analysis they concluded that, to the extent that the Adviser’s and State Street’s relationships with the Trust had been profitable to either or both those entities during the period for which information had been provided, the profitability was in no case such as to render the advisory fee excessive.
In order better to evaluate the Portfolio’s advisory fee, the Trustees had requested comparative information from Lipper Inc. with respect to fees paid by, and expense ratios of, similar funds not managed by the Adviser. The Trustees found that the Portfolio’s advisory fee and total expense ratio were all lower than the average for its Lipper peer group; after discussion, they concluded that the data available provided confirmation of the reasonableness of the Adviser’s fee. The Trustees also considered that to help limit expenses of the Portfolio, the Adviser had reduced its advisory fee or otherwise reimbursed expenses.
In addition, the Trustees considered other advisory fees paid to the Adviser. They noted that as a general matter fees paid to the Adviser by other, closely similar mutual funds sponsored by State Street were significantly higher than the fees paid by the Portfolio and, indirectly, by the feeder fund. As to fees paid by mutual funds for which the Adviser acted as sub-adviser and by institutional accounts managed by the Adviser, the Trustees noted that these were generally lower than those paid by the Portfolio; in considering these fees, the Trustees reviewed and discussed a memorandum prepared by the Adviser discussing the differences between the services provided to the Portfolio by the Adviser and those provided to the other two types of clients. The Trustees determined that, in light of these significant differences, in both cases the fees were of doubtful utility for purposes of comparison with that of the Portfolio, but that to the extent that meaningful comparison was practicable the differences in services satisfactorily accounted for differences in the fees. The Board determined that the Adviser’s fee was fair and reasonable.
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General Information (continued)
December 31, 2010 (Unaudited)
General Information (continued)
December 31, 2010 (Unaudited)
Advisory Agreement Renewal (continued)
In considering whether the Adviser benefits in other ways from its relationship with the Trust, the Trustees also considered whether the Adviser’s affiliates may benefit from the Trust’s relationship with State Street as fund administrator, custodian and transfer agent. They noted, among other things, that the Adviser utilizes no soft-dollar arrangements in connection with the Portfolio’s brokerage transactions to obtain third-party (non-proprietary research) services. The Trustees concluded that, to the extent that the Adviser or its affiliates derive other benefits from their relationships with the Trust, those benefits are not so significant as to render the Adviser’s fee excessive.
The Trustees also considered the extent to which economies of scale may be realized by the Portfolio as assets grow and whether the Portfolio’s fee level reflects such economies of scale, if any, for the benefit of investors. In considering the matter, the Trustees determined that, to the extent economies of scale were in fact realized, such economies of scale were shared with the Portfolio by virtue of an advisory fee of a comparatively low level that subsumed economies of scale in the fee itself. The Trustees also recognized, however, that should sustained, substantial asset growth be realized in the future, it might be appropriate to consider additional measures.
On the basis of the foregoing discussions and determinations, without any one factor being dispositive, the Trustees decided to approve the continuance of the Advisory Agreement.
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Trustees and Executive Officers (Unaudited)
The table below includes information about the Trustees and Executive Officers of the State Street Master Funds, including their:
• | business addresses and ages; | |
• | principal occupations during the past five years; and | |
• | other directorships of publicly traded companies or funds. |
Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||
(‘‘DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Independent Trustees | ||||||||||
Michael F. Holland Holland & Company, LLC 375 Park Avenue New York, NY 10152 DOB: 1944 | Trustee and Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 22 | Trustee, State Street Institutional Investment Trust; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; and Director, Reaves Utility Income Fund | |||||
William L. Boyan State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1937 | Trustee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999) Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – present); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1994 – 2008). | 22 | Trustee, State Street Institutional Investment Trust; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA; and Trustee, Florida Stage. | |||||
Rina K. Spence State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1948 | Trustee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1998 – present); Chief Executive Officer, IEmily.com (internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994); Trustee, Eastern Enterprise (utilities) (1988 – 2000). | 22 | Trustee, State Street Institutional Investment Trust; Director, Berkshire Life Insurance Company of America 1993 – 2009; Director, IEmily.com, Inc. 2000 – present; and Trustee, National Osteoporosis Foundation 2005 – 2008 | |||||
Douglas T. Williams State Street Master Funds P.O. Box 5049 Boston, MA 02206 DOB: 1940 | Trustee | Term: Indefinite Elected: 7/99 | Executive Vice President of Chase Manhattan Bank (1987 – 1999). Mr. Williams retired in 1999. | 22 | Trustee, State Street Institutional Investment Trust; Treasurer, Nantucket Educational Trust, 2002 – 2007 |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
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Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Interested Trustees(1) | ||||||||||
James E. Ross SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1965 | Trustee President | Term: Indefinite Elected Trustee: 2/07 Elected President: 4/05 | President, SSgA Funds Management Inc. (2005 – present); Principal, SSgA Funds Management, Inc. (2001 – 2005); Senior Managing Director, State Street Global Advisors (2006 – present); Principal, State Street Global Advisors (2000 – 2006). | 22 | Trustee, State Street Institutional Investment Trust;Trustee, SPDR® Series Trust; Trustee, SPDR® Index Shares Trust and Trustee, Select Sector SPDR® Trust | |||||
Officers: | ||||||||||
Ellen M. Needham SSgA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1967 | Vice President | Term: Indefinite Elected: 09/09 | Vice President, SSgA Funds Management, Inc. (investment adviser); July 2007 to Present, Managing Director (June 2006 to July 2007, Vice President; 2000 to June 2006, Principal), State Street Global Advisors. | — | — | |||||
Laura F. Healy State Street Bank and Trust Company 4 Copley Place 5th floor Boston, MA 02116 DOB: 1964 | Treasurer Assistant Treasurer | Term: Indefinite Elected: 11/10 11/08-11/10 | Vice President of State Street Bank and Trust Company (prior to July 2, 2008, Investors Financial Corporation) since 2002. | — | — | |||||
Brian D. O’Sullivan State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1975 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Vice President of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1997. | — | — | |||||
Peter T. Sattelmair State Street Bank and Trust Company 801 Pennsylvania Avenue Kansas City, MO 64105 DOB: 1977 | Assistant Treasurer | Term: Indefinite Elected: 11/08 | Director of Fund Administration of State Street Bank and Trust Company (2007 – present) with which he has been affiliated with since 1999. | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
(1) | Mr. Ross is an Interested Trustee because of his employment by SSgA Funds Management, Inc., an affiliate of the Trust. |
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Number of | ||||||||||
Funds in Fund | ||||||||||
Name, Address, | Position(s) | Term of Office | Principal | Complex | ||||||
and Date of Birth | Held with | and Length of | Occupation During | Overseen by | Other Directorships | |||||
(“DOB”) | Trust | Time Served | Past Five Years | Trustee* | Held by Trustee | |||||
Officers: (continued) | ||||||||||
David James State Street Bank and Trust Company 4 Copley Place 5th Floor Boston, MA 02116 DOB: 1970 | Secretary | Term: Indefinite Elected: 11/09 | Vice President and Managing Counsel, State Street Bank and Trust Company, 2009 to present; Vice President and Counsel, PNC Global Investment Servicing (US), Inc. 2006 to 2009; Assistant Vice President and Counsel, State Street Bank and Trust Company, October 2000 to December 2004 and was retired in 2005. | — | — | |||||
Cuan Coulter State Street Financial Center One Lincoln Street Boston, MA 02111-2900 DOB: 1972 | Chief Compliance Officer | Term: Indefinite Elected: 12/2010 | Senior Vice President, SSgA Global Chief Compliance Officer (2009 – present); Senior Vice President, SSgA U.S. Senior Compliance Officer (2008 – 2009); Partner, Pricewaterhouse Coopers, LLP (1999 – 2008) | — | — |
* | The “Fund Complex” consists of eleven series of the Trust and eleven series of State Street Institutional Investment Trust. |
The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.
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Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, MO 64105
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
One International Place
Boston, MA 02110
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Short-Term Tax Exempt Bond Portfolio
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
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Item 2. Code of Ethics.
As of the end of the period, December 31, 2010, State Street Institutional Investment Trust (the “Trust” or “Registrant“) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Trust’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). The Trust has made amendments to its Code of Ethics during the covered period. On November 19, 2010, the Code of Ethics was amended to include (i) a prohibition against the use of material non-public knowledge of portfolio transactions made or contemplated for the funds of the Trust to trade personally or cause others to trade personally in contemplation of the market effect of such transactions, (ii) a designation of the Covered Officers as persons responsible for promoting compliance with the standards and restrictions imposed by applicable laws, rules and for consulting with the appropriate designated parties in the event of any question of interpretation of the requirements under the Code of Ethics, (iii) a requirement to provide a list of affiliated persons of the Covered Officers and, (iv) a provision of sanctions for violations of the Code of Ethics. The Trust has not granted any waivers from any provisions of the code of ethics during the covered period. A copy of the Trust’s code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L. Boyan and Douglas T. Williams and Ms. Rina K. Spence. Each of the audit committee financial experts is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees | ||
For the fiscal years ended December 31, 2010 and December 31, 2009, 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 $92,400 and $89,600, respectively. | |||
(b) | Audit-Related Fees | ||
For the fiscal years ended December 31, 2010 and December 31, 2009, 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. |
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(c) | Tax Fees | ||
The aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns for the last two fiscal years ended December 31, 2010 and December 31, 2009 were $39,137 and $37,630, respectively. | |||
(d) | All Other Fees | ||
For the fiscal years ended December 31, 2010 and December 31, 2009, 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 year ended December 31, 2010, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to SSgA Funds Management, Inc. (the “Adviser”) and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Trust’s audit committee was approximately $5,669,230. No fees were billed for the fiscal year ended December 31, 2009. |
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
“Pre-Approval Requirements. Before the independent accountants are engaged by the Trust to render audit or non-audit services, either:
1. | The Audit Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) provided to the Trust. The Audit Committee may delegate to one or more of its members the authority to grant pre-approvals. Any decision of any member to whom authority is delegated under this section shall be presented to the full Audit Committee at its next regularly scheduled meeting; or | ||
2. | The engagement to render the auditing service or permissible non-audit service is entered into pursuant to pre-approval policies and procedures established by the Audit Committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the investment adviser. The Audit Committee must be informed of each service entered into pursuant to the policies and |
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procedures. A copy of any such policies and procedures shall be attached as an exhibit to the Audit Committee Charter. |
De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval for a service provided to the Trust other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Trust constitutes not more than 5 percent of the total amount of revenues paid by the Trust to the independent accountants during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Trust at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee prior to the completion of the audit.
Pre-Approval of Non-Audit Services Provided to the Adviser and Certain Control Persons. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the independent accountants to (a) the investment adviser and (b) any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Trust, if the independent accountants’ engagement with the investment adviser or any such control persons relates directly to the operations and financial reporting of the Trust. It shall be the responsibility of the independent accountants to notify the Audit Committee of any non-audit services that need to be pre-approved.
Application of De Minimis Exception: The De Minimis exception set forth above applies to pre-approvals under this Section as well, except that the “total amount of revenues” calculation is based on the total amount of revenues paid to the independent accountants by the Trust and any other entity that has its services approved under this Section (i.e., the investment adviser or any control person).”
(e)(2) | Percentages of Services | ||
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective. | |||
(f) | Not applicable. | ||
(g) | Total Fees Paid By Adviser and Certain Affiliates | ||
For the fiscal years ended December 31, 2010 and December 31, 2009, 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 |
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the Adviser that provided ongoing services to the Trust were approximately $17,600,000 and $9,300,000, respectively. | |||
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committees of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
(a) | Schedule of Investments is included as part of Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
The Registrant does not have formal procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees. While the Registrant does not have formal procedures, the Registrant’s Nominating Committee will consider nominees to the Board of Trustees recommended by shareholders. Recommendations should be submitted to the Nominating Committee in care of the Secretary of the Trust.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment
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Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this Form N-CSR filing that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto.
(a)(3) Not applicable to the Registrant.
(b) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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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 INSTITUTIONAL INVESTMENT TRUST | ||||
By: | /s/ James E. Ross | |||
President | ||||
Date: | March 4, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ James E. Ross | |||
President (Principal Executive Officer) | ||||
Date: | March 4, 2011 | |||
By: | /s/ Laura Healy | |||
Treasurer (Principal Financial and Accounting Officer) | ||||
Date: | March 4, 2011 |