UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09599
----------
STATE STREET MASTER FUNDS
(Exact name of registrant as specified in charter)
P.O. Box 5501
Boston, Massachusetts 02206
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) Copy to:
Nancy L. Conlin, Secretary Timothy W. Diggins, Esq.
Vice President and Managing Counsel Ropes & Gray LLP
State Street Bank and Trust Company One International Place
4 Copley Place, 5th floor CPH 0326 Boston, Massachusetts 02110-2624
Boston, Massachusetts 02116
Registrant's telephone number, including area code: (617) 662-3966
Date of fiscal year end: December 31
Date of reporting period: June 30, 2009
ITEM 1: SHAREHOLDER REPORT
STATE STREET MASTER FUNDS
SEMI-ANNUAL REPORT
JUNE 30, 2009
(UNAUDITED)
STATE STREET MONEY MARKET PORTFOLIO
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
STATE STREET TREASURY MONEY MARKET PORTFOLIO
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
STATE STREET MASTER FUNDS
EXPENSE EXAMPLE (UNAUDITED)
As a shareholder of the below listed 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 January 1, 2009 to June 30,
2009.
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 June 30, 2009
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2009 JUNE 30, 2009 PERIOD *
--------------- ------------- -------------
BASED ON ACTUAL PORTFOLIO RETURN
Money Market Portfolio $1,000.00 $1,003.80 $0.55
Tax Free Money Market Portfolio $1,000.00 $1,004.20 $0.55
U.S. Government Money Market Portfolio $1,000.00 $1,001.90 $0.60
Treasury Money Market Portfolio $1,000.00 $1,000.10 $0.60
Treasury Plus Money Market Portfolio $1,000.00 $1,000.40 $0.64
2
STATE STREET MASTER FUNDS
EXPENSE EXAMPLE (UNAUDITED) (CONTINUED)
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2009 JUNE 30, 2009 PERIOD *
--------------- ------------- -------------
BASED ON HYPOTHETICAL (5% RETURN BEFORE EXPENSES)
Money Market Portfolio $1,000.00 $1,024.25 $0.55
Tax Free Money Market Portfolio $1,000.00 $1,024.25 $0.55
U.S. Government Money Market Portfolio $1,000.00 $1,024.20 $0.60
Treasury Money Market Portfolio $1,000.00 $1,024.20 $0.60
Treasury Plus Money Market Portfolio $1,000.00 $1,024.15 $0.65
* 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 June 30, 2009 was as follows:
Money Market Portfolio 0.11%
Tax Free Money Market Portfolio 0.11%
U.S. Government Money Market Portfolio 0.12%
Treasury Money Market Portfolio 0.12%
Treasury Plus Money Market Portfolio 0.13%
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 the number of days in the most recent six month
period, then divided by the number of days in the most recent 12 month
period.
3
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
Yankee Certificates of Deposit 38.8%
Commercial Paper 25.9
Repurchase Agreements 18.9
Eurodollar Certificates of Deposit 10.2
Certificates of Deposit 3.6
Bank Notes 1.1
U.S. Government Agency Obligations 1.1
Medium Term Notes 0.9
Liabilities in Excess of Assets (0.5)
-----
TOTAL 100.0%
=====
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
0-3 Days 20.0%
4-90 Days 53.0
90+ Days 27.5
-----
TOTAL 100.5%
=====
Average days to maturity 55
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
4
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
COMMERCIAL PAPER - 25.9%
ASSET BACKED COMMERCIAL PAPER CREDIT ARBITRAGE - 3.4%
Aspen Funding Corp.(a) 0.380% 09/22/2009 $ 75,000,000 $ 74,934,292
Solitaire Funding LLC(a) 0.500% 07/20/2009 100,000,000 99,973,611
Solitaire Funding LLC(a) 0.550% 09/14/2009 150,000,000 149,828,125
--------------
324,736,028
--------------
ASSET BACKED COMMERCIAL PAPER RECEIVABLES AND
SECURITIES - 5.2%
Alpine Securitization Corp.(a) 0.370% 09/08/2009 150,000,000 149,893,625
Gemini Securitization Corp. LLC(a) 0.600% 07/06/2009 100,000,000 99,991,667
Gemini Securitization Corp. LLC(a) 0.370% 09/22/2009 50,000,000 49,957,347
Gemini Securitization Corp. LLC(a) 0.370% 09/23/2009 100,000,000 99,913,667
Nieuw Amsterdam Receivables Corp.(a) 0.440% 09/23/2009 100,000,000 99,897,333
--------------
499,653,639
--------------
BANK DOMESTIC - 2.1%
JPMorgan Chase Funding, Inc.(a) 0.320% 09/01/2009 200,000,000 199,889,778
--------------
BANK FOREIGN - 11.6%
Banco Bilbao Vizcaya Argentaria/London(a) 0.630% 12/16/2009 150,000,000 149,559,000
Banco Bilbao Vizcaya Argentaria/London(a) 1.005% 11/16/2009 50,000,000 49,808,333
CBA Delaware Finance, Inc. 0.500% 12/14/2009 70,000,000 69,838,611
DnB NOR Bank ASA(a) 0.640% 12/03/2009 200,000,000 199,448,889
Societe Generale North America, Inc. 0.800% 07/08/2009 200,000,000 199,968,889
Societe Generale North America, Inc. 0.840% 11/06/2009 50,000,000 49,850,666
Westpac Banking Corp.(a) 0.530% 07/10/2009 150,000,000 149,980,125
Westpac Banking Corp.(a) 0.540% 07/10/2009 200,000,000 199,973,000
Westpac Banking Corp.(a) 0.650% 11/13/2009 45,000,000 44,890,313
--------------
1,113,317,826
--------------
FINANCE NON-CAPTIVE DIVERSIFIED - 3.6%
General Electric Capital Corp. 0.320% 07/22/2009 100,000,000 99,981,333
General Electric Co. 0.350% 09/22/2009 120,000,000 119,903,167
General Electric Co. 0.350% 09/24/2009 120,000,000 119,900,833
--------------
339,785,333
--------------
TOTAL COMMERCIAL PAPER 2,477,382,604
--------------
CERTIFICATES OF DEPOSIT - 3.6%
BANK DOMESTIC - 3.6%
Bank of America NA/Charlotte NC(b) 0.850% 07/10/2009 70,000,000 70,000,000
Bank of America NA/Charlotte NC(b) 0.530% 10/09/2009 150,000,000 150,000,000
Bank of America NA/Charlotte NC(b) 0.660% 12/01/2009 125,000,000 125,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT 345,000,000
--------------
See Notes to Financial Statements.
5
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
EURO CERTIFICATES OF DEPOSIT - 10.2%
BANK FOREIGN - 10.2%
Credit Agricole SA 0.900% 07/01/2009 $100,000,000 $ 100,000,000
ING Bank NV 1.110% 07/14/2009 175,000,000 175,000,000
ING Bank NV 0.730% 11/09/2009 150,000,000 150,000,000
ING Bank NV 0.830% 11/24/2009 150,000,000 150,000,000
National Australia Bank Ltd. 0.903% 11/09/2009 200,000,000 200,001,811
National Australia Bank Ltd. 0.510% 12/29/2009 200,000,000 200,005,015
--------------
TOTAL EURO CERTIFICATES OF DEPOSIT 975,006,826
--------------
YANKEE CERTIFICATES OF DEPOSIT - 38.8%
BANK FOREIGN - 38.8%
Banco Bilbao Vizcaya Argentaria 0.875% 07/09/2009 200,000,000 200,000,222
Bank of Nova Scotia/Houston 0.590% 07/06/2009 400,000,000 400,000,000
Bank of Nova Scotia/Houston 0.520% 12/23/2009 75,000,000 75,000,000
Barclays Bank PLC NY 1.150% 07/08/2009 200,000,000 200,000,000
Barclays Bank PLC NY 1.620% 07/13/2009 50,000,000 50,000,000
Barclays Bank PLC NY 1.305% 08/24/2009 75,000,000 75,000,000
BNP Paribas NY 0.900% 07/14/2009 100,000,000 100,000,000
BNP Paribas NY 0.870% 11/02/2009 150,000,000 150,000,000
Calyon NY 0.920% 07/09/2009 100,000,000 100,000,000
Calyon NY 0.650% 11/19/2009 225,000,000 225,000,000
Deutsche Bank AG NY 0.620% 07/20/2009 100,000,000 100,000,000
Lloyds TSB Bank PLC NY 0.840% 08/13/2009 100,000,000 100,000,000
Lloyds TSB Bank PLC NY 0.835% 10/05/2009 300,000,000 300,000,000
Lloyds TSB Bank PLC NY 0.920% 11/30/2009 100,000,000 100,000,000
Rabobank Nederland NV/NY 0.700% 07/07/2009 150,000,000 150,000,000
Rabobank Nederland NV/NY 0.700% 11/12/2009 75,000,000 75,000,000
Royal Bank of Scotland/NY 1.220% 07/23/2009 200,000,000 200,000,000
Royal Bank of Scotland/NY 1.040% 08/04/2009 200,000,000 200,000,000
Royal Bank of Scotland/NY 0.850% 10/23/2009 75,000,000 75,000,000
Societe Generale NY 0.940% 08/20/2009 200,000,000 200,000,000
Svenska Handelsbanken/NY 0.700% 07/09/2009 100,000,000 100,000,000
Svenska Handelsbanken/NY 0.600% 09/15/2009 100,000,000 100,000,000
Svenska Handelsbanken/NY 0.420% 11/02/2009 50,000,000 50,000,000
Toronto-Dominion Bank/NY 0.500% 12/18/2009 45,000,000 45,000,000
Toronto-Dominion Bank/NY 0.500% 07/14/2009 200,000,000 200,000,000
Toronto-Dominion Bank/NY 0.500% 07/15/2009 150,000,000 150,000,000
--------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 3,720,000,222
--------------
See Notes to Financial Statements.
6
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
BANK NOTES - 1.1%
BANK DOMESTIC - 1.1%
Bank of America NA/Charlotte NC(b) 0.861% 08/25/2009 $100,000,000 $ 100,000,000
--------------
TOTAL BANK NOTES 100,000,000
--------------
MEDIUM TERM NOTES - 0.9%
CONSUMER NON-CYCLICAL - 0.9%
Procter & Gamble Co.(b) 0.663% 09/09/2009 69,000,000 69,002,870
Procter & Gamble International Funding SCA(b) 0.996% 08/07/2009 20,000,000 20,000,000
--------------
TOTAL MEDIUM TERM NOTES 89,002,870
--------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.1%
SOVEREIGN - 1.1%
Federal National Mortgage Association(b) 1.029% 07/13/2009 100,000,000 100,000,000
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 100,000,000
--------------
REPURCHASE AGREEMENTS - 18.9%
Agreement with Bank of America and The Bank of New York, dated
06/30/09 (collateralized by a Federal National Mortgage
Association, 5.500% - 6.000% due 02/01/23 - 06/01/39 valued at
$319,427,281); proceeds $313,164,696 0.080% 07/01/2009 313,164,000 313,164,000
Agreement with Barclays Capital, Inc. and The Bank of New York,
dated 06/30/09 (collateralized by Government National Mortgage
Association, 4.500% - 6.000% due 11/20/37 - 04/15/39 valued at
$306,000,001); proceeds $300,000,667 0.080% 07/01/2009 300,000,000 300,000,000
Agreement with Citigroup and The Bank of New York, dated 06/30/09
(collateralized by a U.S. Treasury Notes, 3.125% - 5.000% due
08/15/11 - 04/30/13 and U.S. Treasury Bonds, 6.750% due
08/15/26 valued at $306,000,057); proceeds $300,000,083 0.010% 07/01/2009 300,000,000 300,000,000
Agreement with Deutsche Bank and The Bank of New York, dated
06/30/09 (collateralized by a Federal Home Loan Mortgage
Corporation, 0.694% - 6.500% due 01/15/31 - 03/15/37 and
Federal National Mortgage Association, 0.000% - 135.375% due
03/25/18 - 07/25/39 valued at $306,000,000); proceeds
$300,000,750 0.090% 07/01/2009 300,000,000 300,000,000
Agreement with Goldman Sachs and The Bank of New York, dated
06/30/09 (collateralized by Federal Home Loan Mortgage
Corporation, 4.000% due 06/01/24 and Federal National Mortgage
Association, 4.500% - 6.500% due 12/01/31 - 12/01/37 valued at
$306,000,001); proceeds $300,000,417 0.050% 07/01/2009 300,000,000 300,000,000
See Notes to Financial Statements.
7
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
REPURCHASE AGREEMENTS (CONTINUED)
Agreement with UBS Warburg and J P Morgan Chase & Co., dated
06/30/09 (collateralized by Federal National Mortgage
Association, 3.500% - 7.000% due 12/01/11 - 09/01/47 valued at
$306,002,180); proceeds $300,000,833 0.100% 07/01/2009 $300,000,000 $ 300,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,813,164,000
--------------
TOTAL INVESTMENTS(C) + - 100.5% 9,619,556,522
LIABILITIES IN EXCESS OF ASSETS - (0.5)% (43,601,700)
--------------
NET ASSETS - 100.0% $9,575,954,822
==============
- ----------
(a) 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.
(b) Variable Rate Security - Interest rate is in effect as of June 30, 2009.
(c) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
8
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
General Obligations 21.5%
Education 17.7
Health 13.3
Cash/Money Market Fund 11.1
Transportation 9.5
Tax Revenue 5.2
Development 3.9
Electric Power 3.4
Utility 3.4
Housing Revenue 3.0
Water Revenue 2.4
Industrial Revenue/Pollution Control Revenue 2.2
Pre Refunded/Escrow to Maturity 2.0
Public Agency 0.8
Lease Revenue 0.4
Portfolio Revenue 0.2
-----
TOTAL 100.0%
=====
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
0-3 Days 96.1%
4-90 Days 2.3
90+ Days 0.5
----
TOTAL 98.9%
====
Average days to maturity 3
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
9
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 87.8%
ALABAMA - 0.8%
Lower Alabama Gas District Supply Revenue Bonds, Series A, LIQ:
Societe Generale(a) 0.350% 07/02/2009 $ 3,796,000 $ 3,796,000
--------------
ARIZONA - 2.1%
Arizona School District, COP TaxAntic Notes 3.000% 07/30/2009 5,000,000 5,005,370
Arizona State Board of Regents, Revenue Bonds, Series A, LOC: Lloyds
TSB Bank PLC(a) 0.200% 07/01/2009 2,000,000 2,000,000
City of Scottsdale Arizona, GO Unlimited(b) 5.500% 07/01/2009 3,000,000 3,000,000
--------------
10,005,370
--------------
CALIFORNIA - 10.0%
Bay Area Toll Authority, Revenue Bonds, Series C RMKT 08/28/08(a) 0.170% 07/02/2009 2,500,000 2,500,000
Bay Area Toll Authority, Revenue Bonds, Series G-1, SPA:
BNP Paribas(a) 0.300% 07/02/2009 12,500,000 12,500,000
California School Cash Reserve Program Authority, COPs, Series A,
LOC: Bank NA 3.000% 07/06/2009 2,000,000 2,000,365
California State Department of Water Resources, Revenue Bonds,
Subseries G-2, LOC: Lloyds TSB Bank PLC(a) 0.200% 07/02/2009 1,640,000 1,640,000
California Statewide Communities Development Authority, Revenue
Bonds, Corporation Funding for Housing, Series A(b) 6.500% 12/01/2009 2,050,000 2,156,003
Eastern Municipal Water District, COP, Series E, LIQ:
Lloyds TSB Bank(a) 0.180% 07/01/2009 4,000,000 4,000,000
Metropolitan Water District of Southern California Waterworks
Revenue Bonds, Series A, SPA: Landesbank Baden-Wuerttemberg(a) 0.200% 07/02/2009 2,055,000 2,055,000
Metropolitan Water District of Southern California, Revenue Bonds,
Series A-2, SPA: Banco Bilbao Vizcaya(a) 0.100% 07/02/2009 3,000,000 3,000,000
Metropolitan Water District of Southern California, Revenue Bonds,
Series B-1, SPA: Citibank N.A.(a) 0.180% 07/02/2009 5,395,000 5,395,000
State of California, GO Unlimited, Series B-1, LOC: BNP Paribas,
Bank of New York(a) 0.170% 07/01/2009 13,400,000 13,400,000
--------------
48,646,368
--------------
COLORADO - 2.7%
City of Colorado Springs Colorado Utilities Revenue Bonds, Sub Lien
Improvement, Series A, SPA: Dexia Credit Local(a) 1.000% 07/02/2009 5,925,000 5,925,000
Colorado Housing & Finance Authority, Revenue Bonds, Single
Family Mortgage, Class 1-A3, SPA: Federal Home Loan Bank(a) 0.350% 07/01/2009 2,325,000 2,325,000
University of Colorado Hospital Authority Revenue Bonds, Series A,
SPA: Wachovia Bank N.A.(a) 0.530% 07/01/2009 4,700,000 4,700,000
--------------
12,950,000
--------------
CONNECTICUT - 2.9%
Connecticut State Health & Educational Facility Authority, Revenue
Bonds, The Hotchkiss School, Series A, SPA: Northen Trust Co.,(a) 0.200% 07/02/2009 1,400,000 1,400,000
Connecticut State Health & Educational Facility Authority, Revenue
Bonds, Yale University, Series U2(a) 0.170% 07/01/2009 2,000,000 2,000,000
See Notes to Financial Statements.
10
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
CONNECTICUT (CONTINUED)
Connecticut State Health & Educational Facility Authority, Revenue
Bonds, Yale University, Series X-2(a) 0.170% 07/02/2009 $ 5,700,000 $ 5,700,000
Connecticut State Health & Educational Facility Authority, Revenue
Bonds, Yale-New Haven Hospital, Series K2, LOC: JP Morgan
Chase Bank(a) 0.170% 07/01/2009 3,000,000 3,000,000
State of Connecticut, GO Unlimited, Series A, SPA:
Landesbank Hessen - Thrgn(a) 0.500% 07/02/2009 2,200,000 2,200,000
--------------
14,300,000
--------------
DELAWARE - 1.3%
Delaware River & Bay Authority, Revenue Bonds, LOC:
TD Bank N.A.(a) 0.120% 07/01/2009 4,400,000 4,400,000
Delaware State Economic Development Authority, Revenue Bonds,
St. Andrew's School, SPA: Bank of America N.A.(a) 0.320% 07/02/2009 2,000,000 2,000,000
--------------
6,400,000
--------------
DISTRICT OF COLUMBIA - 1.9%
District of Columbia Revenue Bonds, ROCs RR II R-11247, INS:
BHAC-CR MBIA, LIQ: Citibank N.A.(a) 0.450% 07/02/2009 9,465,000 9,465,000
--------------
FLORIDA - 2.0%
Austin Trust Various States, Revenue Bonds, Series 2008-1114, INS:
FSA-CR AMBAC(a) 0.500% 07/02/2009 4,205,000 4,205,000
Orlando Florida Utilities Commission Water & Electric Revenue
Bonds, Series B, SPA: Suntrust Bank(a) 1.500% 07/01/2009 5,400,000 5,400,000
--------------
9,605,000
--------------
GEORGIA - 3.7%
Municipal Electric Authority Georgia, GO
LOC: Bayerische Landesbank(a) 0.400% 07/01/2009 1,500,000 1,500,000
Municipal Electric Authority of Georgia, Revenue Bonds, INS: FSA,
SPA: Dexia Credit Local(a) 1.250% 07/01/2009 4,300,000 4,300,000
Roswell Georgia Housing Authority Multifamily Revenue Bonds,
Chambrel Roswell, INS: Fannie Mae, LIQ: Fannie Mae(a) 0.320% 07/02/2009 11,980,000 11,980,000
--------------
17,780,000
--------------
ILLINOIS - 5.3%
Champaign County IL, GO Unlimited, PUTTERS Series 2713, INS:
FSA, LIQ: JP Morgan Chase Bank(a) 0.550% 07/02/2009 4,895,000 4,895,000
Illinois Development Finance Authority Revenue Bonds, Chicago
Educational TV Assignment, Series A, LOC: Lasalle Bank N.A.(a) 0.350% 07/01/2009 1,900,000 1,900,000
Illinois Development Finance Authority Revenue Bonds, World
Communications, Inc., LOC: Lasalle Bank N.A.(a) 0.350% 07/01/2009 1,500,000 1,500,000
Illinois Educational Facilities Authority, Revenue Bonds, National-
Louis University, LOC: JP Morgan Chase Bank, Series B(a) 0.350% 07/02/2009 4,260,000 4,260,000
See Notes to Financial Statements.
11
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
ILLINOIS (CONTINUED)
Illinois State Toll Highway Authority, Revenue Bonds, Series A-1,
SPA: Dexia Credit Local(a) 0.650% 07/02/2009 $ 13,000,000 $ 13,000,000
--------------
25,555,000
--------------
INDIANA - 2.4%
Indiana Finance Authority Revenue Bonds, Clarian Health Partners,
Series D, LOC: Northern Trust Company(a) 0.160% 07/01/2009 7,305,000 7,305,000
Indiana State Development Finance Authority Revenue Bonds,
Educational Facilities, Indiana Historical Society, LOC: Bank One
Indiana N.A.(a) 0.350% 07/01/2009 4,200,000 4,200,000
--------------
11,505,000
--------------
IOWA - 0.2%
Iowa Finance Authority, Revenue Bonds, Mercy Medical Center, INS:
FSA MBIA - IBC(b) 5.750% 08/15/2009 1,000,000 1,015,432
--------------
KANSAS - 0.6%
Kansas State Department of Transportation Highway Revenue
Bonds(b) 5.750% 09/01/2009 3,000,000 3,020,993
--------------
LOUISIANA - 0.3%
Louisiana State Offshore Terminal Authority Deep Water Port
Revenue Bond, Series B, LOC: Bank One N.A.(a) 0.350% 07/01/2009 1,500,000 1,500,000
--------------
MARYLAND - 2.1%
Baltimore Industrial Development Authority Industrial Dev Rev,
Revenue Bonds, Baltimore Capital Acquisition, LOC: Bayerische
Landesbank(a) 0.450% 07/01/2009 1,200,000 1,200,000
Maryland State Economic Development Corporation Revenue Bonds,
Howard Hughes Medical Institution, Series B(a) 0.180% 07/01/2009 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) 0.250% 07/02/2009 6,000,000 6,000,000
--------------
10,200,000
--------------
MASSACHUSETTS - 5.2%
Commonwealth of Massachusetts, GO Limited, Series B, SPA:
Landesbank Hessen-Thrgn(a) 0.270% 07/02/2009 2,900,000 2,900,000
Dexia Credit Local Certificates Trust, Revenue Bonds, LIQ: Dexia
Credit Local(a) 1.250% 07/02/2009 3,835,000 3,835,000
Macon Trust Pooled Variable Rate Certificates Various Issuers,
Revenue Bonds, Series I, INS: MBIA, SPA: Bank of America
N.A.(a) 0.600% 07/02/2009 10,890,000 10,890,000
Massachusetts Health & Educational Facility Authority, Revenue
Bonds, Partners Healthcare System, Series D-4, SPA: Citibank
N.A.(a) 0.180% 07/02/2009 1,295,000 1,295,000
Massachusetts Health & Educational Facility Authority, Revenue
Bonds, Partners Healthcare System, Series D-5(a) 0.150% 07/01/2009 2,700,000 2,700,000
See Notes to Financial Statements.
12
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
MASSACHUSETTS (CONTINUED)
Massachusetts Health & Educational Facility Authority, Revenue
Bonds, Partners Healthcare System, Series F3, SPA:
Citibank N.A.(a) 0.180% 07/02/2009 $ 3,445,000 $ 3,445,000
--------------
25,065,000
--------------
MICHIGAN - 1.2%
Michigan State University, Revenue Bonds, Series A, SPA: JP Morgan
Chase Bank(a) 0.200% 07/01/2009 5,700,000 5,700,000
--------------
MISSOURI - 3.0%
City of Kansas City Missouri, Revenue Bonds, Chouteau I-35 PJ-C,
LOC: JP Morgan Chase & Co.,(a) 0.320% 07/01/2009 6,085,000 6,085,000
Kansas City Industrial Development Authority Revenue Bonds, Oak
Street West Student, LOC: Bank of America(a) 0.280% 07/01/2009 8,550,000 8,550,000
--------------
14,635,000
--------------
NEW HAMPSHIRE - 0.7%
New Hampshire Health & Educational Facility Authority, Revenue
Bonds, Dartmouth College, Series A, SPA: JP Morgan Chase
Bank(a) 0.250% 07/01/2009 3,195,000 3,195,000
--------------
NEW JERSEY - 0.3%
Essex County New Jersey Improvement Authority, Revenue Bonds,
Pooled Governmental Loan Program, LOC: First Union National
Bank(a) 0.230% 07/01/2009 1,700,000 1,700,000
--------------
NEW YORK - 8.6%
City of New York, New York, GO Unlimited, Subseries A-5, LOC:
Bank of Nova Scotia(a) 0.250% 07/01/2009 1,000,000 1,000,000
City of New York, New York, GO Unlimited, Subseries C-4, LOC:
BNP Paribas(a) 0.130% 07/01/2009 1,000,000 1,000,000
Metropolitan Transportation Authority, Revenue Bonds, SubSeries B-3
LOC: Lloyds TSB Bank PLC(a) 0.250% 07/02/2009 3,200,000 3,200,000
Nassau County Industrial Development Agency, Revenue Bonds, Cold
Spring Harbor Laboratory, SPA: TD Bank N. A.(a) 0.150% 07/01/2009 8,200,000 8,200,000
New York City Transitional Finance Authority Revenue Bonds, Future
Tax Secured, Series A, SPA: JP Morgan Chase Bank(a) 0.300% 07/01/2009 10,000,000 10,000,000
New York State Dormitory Authority Revenue Bonds, Mental Health
Services, Subseries D-2, SPA: HSBC Bank USA NA(a) 0.250% 07/02/2009 4,200,000 4,200,000
New York State Local Government Assistance Corp., Revenue Bonds,
Series C, LOC: Landesbank Hessen-Thrgn(a) 0.700% 07/01/2009 5,000,000 5,000,000
Tompkins County Industrial Development Agency, Revenue Bonds,
Civic Facility, Cornell-A, SPA: JP Morgan Chase & Co.(a) 0.180% 07/02/2009 3,000,000 3,000,000
Triborough Bridge & Tunnel Authority, Revenue Bonds, Bridges
Tunnels, Series AB, INS: FSA, SPA: JP Morgan Chase Bank(a) 0.650% 07/01/2009 1,325,000 1,325,000
See Notes to Financial Statements.
13
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
NEW YORK (CONTINUED)
Triborough Bridge & Tunnel Authority, Revenue Bonds, Series CD,
SPA: Lloyds TSB Bank PLC(a) 0.470% 07/01/2009 $ 4,735,000 $ 4,735,000
--------------
41,660,000
--------------
NORTH CAROLINA - 8.2%
Charlotte North Carolina COPs, Governmental Facilities, Series F,
SPA: Bank of America N.A.(a) 0.350% 07/02/2009 965,000 965,000
Charlotte-Mecklenburg Hospital Authority Revenue Bonds, Carolinas,
Series J, INS: FSA, SPA: Dexia Credit Local(a) 1.000% 07/02/2009 4,040,000 4,040,000
City of Charlotte North Carolina, COP, Central Yard Project,
Series A, SPA: Bank of America N.A.(a) 0.340% 07/02/2009 1,750,000 1,750,000
City of Charlotte North Carolina, COP, Convention Facility Project,
Series B, SPA: Wachovia Bank N.A.(a) 0.320% 07/02/2009 6,130,000 6,130,000
City of Greensboro North Carolina, GO Unlimited, Public
Improvement, Series B, SPA: Wachovia Bank N.A.(a) 0.350% 07/01/2009 1,000,000 1,000,000
City of Greensboro North Carolina, Revenue Bonds, Series B,
SPA: Bank of America N.A.(a) 0.350% 07/01/2009 1,175,000 1,175,000
County of Guilford North Carolina, GO Unlimited, SPA: Bank of
America N.A.(a) 0.300% 07/01/2009 1,650,000 1,650,000
County of Wake North Carolina, GO Unlimited, Series B, SPA:
Landesbank Hessen-Thrgn(a) 0.280% 07/02/2009 6,220,000 6,220,000
Fayetteville Public Works Commission, Revenue Bonds, Series A,
INS: FSA, SPA: Dexia Credit Local(a) 1.000% 07/01/2009 2,400,000 2,400,000
Mecklenburg County North Carolina, GO Unlimited, Series B, SPA:
Landesbank Hessen-Thrgn(a) 0.270% 07/02/2009 3,450,000 3,450,000
Mecklenburg County North Carolina, GO Unlimited, Series C, LIQ:
Bank of America N.A 0.320% 07/01/2009 1,000,000 1,000,000
Mecklenburg County North Carolina, GO Unlimited, Series C, SPA:
Bank of America N.A.(a) 0.300% 07/02/2009 1,800,000 1,800,000
Mecklenburg County North Carolina, GO Unlimited, Series E, SPA:
Bank of America N.A.(a) 0.320% 07/01/2009 2,425,000 2,425,000
New Hanover County North Carolina, GO Unlimited, School, SPA:
Wachovia Bank N.A.(a) 0.320% 07/02/2009 2,475,000 2,475,000
State of North Carolina, GO Unlimited, Public Implements, Series G,
SPA: Landesbank Hessen-Thrgn(a) 0.100% 07/01/2009 3,050,000 3,050,000
--------------
39,530,000
--------------
OHIO - 3.4%
Butler County Ohio Healthcare Facilities Revenue Bonds,
Improvement-Lifesphere Project, LOC: U.S. Bank NA(a) 0.300% 07/02/2009 1,300,000 1,300,000
City of Columbus Ohio, GO Unlimited, Series 1, SPA: JP Morgan
Chase Bank,(a) 0.170% 07/02/2009 2,200,000 2,200,000
Ohio State Higher Educational Facility Commission Revenue Bonds,
University Hospitals Health System, Series C, LOC: Wells Fargo
Bank N.A.(a) 0.200% 07/01/2009 1,000,000 1,000,000
See Notes to Financial Statements.
14
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
OHIO (CONTINUED)
Ohio State University Revenue Bonds, Series B(a) 0.170% 07/01/2009 $ 3,500,000 $ 3,500,000
State of Ohio, Revenue Bonds, Case Western, SPA: Landesbank
Hessen-Thrgn(a) 0.300% 07/01/2009 4,160,000 4,160,000
State of Ohio, Revenue Bonds, Oberlin College Project, Series A,
SPA: JP Morgan Chase Bank(a) 0.190% 07/01/2009 1,200,000 1,200,000
State of Ohio, Revenue Bonds, Oberlin College Project,
SPA: JP Morgan Chase Bank(a) 0.190% 07/01/2009 2,000,000 2,000,000
State of Ohio, Revenue Bonds, Oberlin College Project,
SPA: U.S. Bank N.A.(a) 0.190% 07/01/2009 1,000,000 1,000,000
--------------
16,360,000
--------------
OREGON - 1.3%
Oregon State, Series 73 G, SPA:
JP Morgan Chase Bank(a) 0.200% 07/01/2009 1,500,000 1,500,000
State of Oregon, GO Limited, Series 73 E, SPA:
JP Morgan Chase Co.(a) 0.170% 07/01/2009 5,000,000 5,000,000
--------------
6,500,000
--------------
PENNSYLVANIA - 2.5%
Delaware County Industrial Development Authority, Revenue Bonds,
Sun Inc., LOC: Bank of America N.A.(a) 0.320% 07/01/2009 3,000,000 3,000,000
Erie Pennsylvania Water Authority Revenue Bonds, Series A, INS:
FSA, SPA: JP Morgan Chase Bank(a) 0.800% 07/02/2009 920,000 920,000
Northampton County Higher Education Authority, Revenue Bonds,
Lehigh University, Series A, SPA: Wachovia Bank N.A.(a) 0.250% 07/02/2009 4,000,000 4,000,000
Washington County Pennsylvania Authority, Revenue Bonds,
University of Pennsylvania(a) 0.170% 07/02/2009 3,965,000 3,965,000
--------------
11,885,000
--------------
SOUTH CAROLINA - 2.3%
City of North Charleston South Carolina, COP, Public Facilities
Convention, LOC: Bank of America N.A.(a) 0.320% 07/01/2009 3,220,000 3,220,000
City of Rock Hill SC, Revenue Bonds Series B, INS: FSA, SPA: First
Union National Bank(a) 0.320% 07/01/2009 7,755,000 7,755,000
South Carolina Transportation Infrastructure Bank Revenue Bonds,
PUTTER Series 1283, INS: BHAC-CR, AMBAC, LIQ: JP Morgan
Chase Bank(a) 0.430% 07/02/2009 25,000 25,000
--------------
11,000,000
--------------
TENNESSEE - 1.0%
Shelby County Health Educational & Housing Facilities Board, Revenue
Bonds, PUTTERS Series 254, LIQ: JP Morgan Chase Bank(a) 0.350% 07/02/2009 4,995,000 4,995,000
TEXAS - 4.3%
Austin County Texas Industrial Development Corp Revenue Bonds,
Justin Industries, Inc. Project, LOC: Bank One N.A.(a) 0.290% 07/01/2009 3,500,000 3,500,000
See Notes to Financial Statements.
15
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
TEXAS (CONTINUED)
City of Austin, Revenue Bonds, Series B, LOC: Dexia Credit Local(a) 1.000% 07/02/2009 $ 10,000,000 $ 10,000,000
Denton Texas Independent School District, School Building, Series B,
INS: PSF-GTD, SPA: Bank of America N.A.(a) 0.350% 07/02/2009 1,000,000 1,000,000
San Antonio Education Facilities Corp., Revenue Bonds, University
Incarnate Word Project, LOC: J P Morgan Chase Bank(a) 0.220% 07/01/2009 2,355,000 2,355,000
University of Texas, University Revenue Bonds, Financing Systems,
Series A(a) 0.170% 07/01/2009 3,800,000 3,800,000
--------------
20,655,000
--------------
UTAH - 3.0%
County of Weber, Utah Revenue Bonds, IHC Health Services Inc,
Series B, SPA: U.S. Bank N.A.(a) 0.230% 07/01/2009 10,000,000 10,000,000
Murray City Utah Hospital Revenue Bonds, IHC Health Services,
Inc., Series A, INS: J.P. Morgan Securities(a) 0.170% 07/02/2009 1,500,000 1,500,000
Utah State Board of Regents, Revenue Bonds, Hospital University of
Utah, LOC: Wells Fargo Bank N.A.(a) 0.250% 07/02/2009 3,100,000 3,100,000
--------------
14,600,000
--------------
VIRGINIA - 0.5%
Fairfax County Economic Development Authority, Revenue Bonds,
Trinity Christian School Project, LOC: Wachovia Bank N.A.(a) 0.470% 07/02/2009 1,115,000 1,115,000
Loudoun County Industrial Development Authority, Revenue Bonds,
Jack Kent Cooke Foundation Project, LOC: Wachovia Bank N.A.(a) 0.320% 07/02/2009 1,360,000 1,360,000
--------------
2,475,000
--------------
WASHINGTON - 3.0%
Energy Northwest Washington Electric Revenue Bonds, Project
Number 3, Series E, LOC: JP Morgan Chase Bank(a) 0.200% 07/01/2009 3,600,000 3,600,000
Port Vancouver Washington Revenue Bonds, United Grain
Corporation, Series 84A, LOC: Bank of America N.A.(a) 0.320% 07/01/2009 2,000,000 2,000,000
Tulalip Tribes of the Tulalip Reservation Special Revenue, Revenue
Bonds Capital Projects, LOC: Wells Fargo Bank N.A.(a) 0.220% 07/02/2009 3,800,000 3,800,000
Washington Higher Education Facilities Authority, Revenue Bonds,
Whitman College Project, SPA: JP Morgan Chase Bank(a) 0.320% 07/02/2009 5,000,000 5,000,000
--------------
14,400,000
--------------
WISCONSIN - 1.0%
Wisconsin State Health & Educational Facility Authority, Revenue
Bonds, Gundersen Lutheran, Series A, LOC:
Wells Fargo Bank N.A.(a) 0.220% 07/02/2009 4,835,000 4,835,000
--------------
TOTAL SHORT-TERM TAX-EXEMPT OBLIGATIONS 424,934,163
--------------
See Notes to Financial Statements.
16
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER AMORTIZED
AND TITLE OF ISSUE SHARES COST
- ------------------ ------------ --------------
MONEY MARKET FUND - 11.0%
Dreyfus Tax Exempt Cash Management Fund(c) 53,256,559 $ 53,256,559
--------------
TOTAL MONEY MARKET FUND (at net asset value) 53,256,559
--------------
TOTAL INVESTMENTS(d) + - 98.8%
(COST $478,190,722) 478,190,722
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.2% 5,697,174
--------------
NET ASSETS - 100.0% $ 483,887,896
==============
- ----------
(a) Variable Rate Security - Interest Rate is in effect as of June 30, 2009.
(b) Date shown is pre-refunded date.
(c) Value determined based on Level 1 inputs established by FAS 157. (Note 2)
(d) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
ACRONYM NAME
- ------- ----
AMBAC American Municipal Bond Assurance Corporation
BHAC Berkshire Hathaway Assurance Corporation
COP Certificates of Participation
CR Custodial Receipts
FGIC Financial Guaranty Insurance Company
FSA Financial Security Assurance
GO General Obligation
GTD Guaranteed
INS Insured
LOC Letter of Credit
MBIA Municipal Bond Investors Assurance
PJ Project
PSF Permanent School Fund
PUTTER Puttable Tax Exempt Receipts
ROC Reset Option Certificates
SPA Standby Purchase Agreement
See Notes to Financial Statements.
17
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
U.S. Government Agency Securities 49.3%
Repurchase Agreements 48.1
U.S. Treasury Obligations 3.9
Liabilities in Excess of Assets (1.3)
TOTAL 100.0%
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
0-3 Days 55.9%
4-90 Days 24.8
90+ Days 20.6
TOTAL 101.3%
Average days to maturity 41
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
18
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 49.3%
Fannie Mae Discount Notes(a) 0.400% 07/06/2009 $ 45,000,000 $ 44,997,500
Fannie Mae Discount Notes(a) 0.500% 07/15/2009 25,000,000 24,995,139
Fannie Mae Discount Notes(a) 0.550% 07/30/2009 15,000,000 14,993,354
Fannie Mae Discount Notes(a) 0.505% 07/31/2009 81,000,000 80,965,912
Fannie Mae Discount Notes(a) 0.450% 08/05/2009 49,166,000 49,144,490
Fannie Mae Discount Notes(a) 0.580% 09/09/2009 52,115,000 52,056,226
Fannie Mae Discount Notes(a) 0.370% 09/25/2009 30,000,000 29,973,483
Fannie Mae Discount Notes(a) 0.310% 11/25/2009 41,000,000 40,948,101
Fannie Mae Discount Notes(a) 0.310% 12/02/2009 35,000,000 34,953,586
Fannie Mae Discount Notes(a) 0.380% 12/21/2009 28,000,000 27,948,869
Fannie Mae Discount Notes(a) 0.395% 12/31/2009 40,000,000 39,919,683
Fannie Mae Discount Notes(a) 0.345% 01/25/2010 13,770,000 13,742,552
Federal Home Loan Bank Discount Notes(a) 0.400% 07/07/2009 40,000,000 39,997,333
Federal Home Loan Bank Discount Notes(a) 0.300% 11/18/2009 40,000,000 39,953,333
Federal Home Loan Bank Discount Notes(a) 0.300% 11/25/2009 75,000,000 74,908,125
Federal Home Loan Bank Discount Notes(a) 0.311% 11/25/2009 22,000,000 21,972,152
Federal Home Loan Bank Discount Notes(a) 0.350% 12/16/2009 36,100,000 36,041,037
Federal Home Loan Banks(b) 0.321% 07/09/2009 50,000,000 50,000,000
Federal Home Loan Banks(b) 0.849% 07/30/2009 125,000,000 125,000,000
Federal Home Loan Mortgage Corporations(b) 0.630% 07/01/2009 150,000,000 150,000,000
Federal Home Loan Mortgage Corporations(b) 0.288% 07/20/2009 50,000,000 50,007,496
Federal National Mortgage Association(b) 1.029% 07/13/2009 150,000,000 150,000,000
Freddie Mac Discount Notes(a) 0.510% 07/01/2009 75,000,000 75,000,000
Freddie Mac Discount Notes(a) 0.300% 11/23/2009 15,000,000 14,981,875
Freddie Mac Discount Notes(a) 0.361% 12/21/2009 8,780,000 8,764,811
Freddie Mac Discount Notes(a) 0.360% 12/28/2009 49,500,000 49,410,900
Freddie Mac Discount Notes(a) 0.370% 12/31/2009 43,000,000 42,919,124
Freddie Mac Discount Notes(a) 0.340% 01/08/2010 31,000,000 30,944,079
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 1,414,539,160
--------------
U.S. TREASURY OBLIGATIONS - 3.9%
United States Treasury Bill 0.345% 12/10/2009 40,000,000 39,937,900
United States Treasury Bill 0.335% 12/24/2009 35,000,000 34,942,678
United States Treasury Bill 0.350% 12/31/2009 38,000,000 37,932,761
--------------
TOTAL U.S. TREASURY OBLIGATIONS 112,813,339
--------------
REPURCHASE AGREEMENTS - 48.1%
Agreement with BNP Paribas and The Bank of New York (Tri-Party),
dated 06/30/09 (collateralized by Federal Home Loan Bank,
1.250% - 3.500% due 03/19/10 - 07/02/13, Federal Home Loan
Mortgage Corporation, 0.000% due 05/12/21 - 07/11/22, Federal
National Mortgage Associations, 1.750% - 5.000% due 12/15/10 -
03/15/16 valued at $459,000,838); proceeds $450,000,375 0.030% 07/01/2009 450,000,000 450,000,000
See Notes to Financial Statements.
19
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
REPURCHASE AGREEMENTS (CONTINUED)
Agreement with Citigroup and The Bank of New York (Tri-Party), dated
06/30/09 (collateralized by Federal Farm Credit Bank, 4.350% due
06/17/16, Federal Home Loan Bank, 2.350% due 03/19/10, Resolution
Funding Strip Principal, 0.000% due 01/15/21 valued at
$102,000,778); proceeds $100,000,139 0.050% 07/01/2009 $100,000,000 $ 100,000,000
Agreement with Deutsche Bank and The Bank of New York (Tri-Party),
dated 06/30/09 (collateralized by Federal Home Loan Bank, 3.625%
due 05/29/13, Federal National Mortgage Association, 4.375% due
03/15/13 valued at $102,000,596); proceeds $100,000,222 0.080% 07/01/2009 100,000,000 100,000,000
Agreement with Goldman Sachs and The Bank of New York (Tri-Party),
dated 06/30/09 (collateralized by Federal Home Loan Bank, 1.375%
due 07/17/11, Federal Home Loan Mortgage Corporation, 0.000% due
09/28/09, Federal National Mortgage Associations, 1.375% due
06/15/11 valued at $439,619,661); proceeds $430,999,479 0.040% 07/01/2009 430,999,000 430,999,000
Agreement with HSBC and JP Morgan Chase & Co. (Tri-Party), dated
06/30/09 (collateralized by Federal Home Loan Bank, 0.560% due
06/18/10, Federal National Mortgage Association, 0.000% - 4.400%
due 10/28/09 - 07/11/13 valued at $102,000,737); proceeds
$100,000,722 0.050% 07/01/2009 100,000,000 100,000,000
Agreement with ING Financial Markets, LLC and JP Morgan Chase & Co.
(Tri-Party), dated 06/30/09 (collateralized by Federal National
Mortgage Association, 1.375% - 6.000% due 05/15/11 - 10/15/11
valued at $102,003,219); proceeds $100,003,158 0.090% 07/01/2009 100,000,000 100,000,000
Agreement with UBS Warburg and JP Morgan Chase & Co. (Tri-Party),
dated 06/30/09 (collateralized by Resolution Funding Strip
Principal, 8.625% - 8.875% due 07/15/20 - 04/15/30 valued at
$102,001,173); proceeds $100,001,147 0.100% 07/01/2009 100,000,000 100,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,380,999,000
--------------
TOTAL INVESTMENTS(c) + - 101.3% 2,908,351,499
LIABILITIES IN EXCESS OF ASSETS - (1.3)% (37,438,642)
--------------
NET ASSETS - 100.0% $2,870,912,857
==============
(a) Discount rate at time of purchase.
(b) Variable Rate Security - Interest rate is in effect as of June 30, 2009.
(c) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
20
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
U.S. Treasury Obligations 105.8%
Liabilities in Excess of Assets (5.8)
-----
TOTAL 100.0%
=====
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
0-3 Days 3.2%
4-90 Days 96.0
90+ Days 6.6
-----
TOTAL 105.8%
=====
Average days to maturity 41
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
21
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. TREASURY OBLIGATIONS - 105.8%
United States Treasury Bill 0.100% 07/02/2009 $ 43,713,000 $ 43,712,878
United States Treasury Bill 0.125% 07/02/2009 50,000,000 49,999,826
United States Treasury Bill 0.145% 07/02/2009 5,809,000 5,808,977
United States Treasury Bill 0.010% 07/09/2009 2,097,000 2,096,995
United States Treasury Bill 0.040% 07/09/2009 55,000,000 54,999,511
United States Treasury Bill 0.080% 07/09/2009 37,448,000 37,447,334
United States Treasury Bill 0.095% 07/09/2009 75,000,000 74,998,417
United States Treasury Bill 0.115% 07/09/2009 100,000,000 99,997,445
United States Treasury Bill 0.130% 07/09/2009 25,000,000 24,999,278
United States Treasury Bill 0.203% 07/09/2009 9,855,000 9,854,562
United States Treasury Bill 0.090% 07/16/2009 50,000,000 49,998,125
United States Treasury Bill 0.110% 07/16/2009 31,959,000 31,957,535
United States Treasury Bill 0.120% 07/16/2009 49,659,000 49,656,517
United States Treasury Bill 0.140% 07/16/2009 50,000,000 49,997,083
United States Treasury Bill 0.145% 07/16/2009 75,000,000 74,995,469
United States Treasury Bill 0.150% 07/16/2009 50,000,000 49,996,875
United States Treasury Bill 0.120% 07/23/2009 117,253,000 117,244,402
United States Treasury Bill 0.150% 07/23/2009 30,000,000 29,997,250
United States Treasury Bill 0.167% 07/23/2009 25,000,000 24,997,479
United States Treasury Bill 0.170% 07/23/2009 150,000,000 149,984,417
United States Treasury Bill 0.081% 07/30/2009 50,000,000 49,995,637
United States Treasury Bill 0.110% 07/30/2009 18,835,000 18,833,331
United States Treasury Bill 0.125% 07/30/2009 50,000,000 49,994,965
United States Treasury Bill 0.140% 07/30/2009 30,000,000 29,996,617
United States Treasury Bill 0.150% 07/30/2009 50,000,000 49,993,958
United States Treasury Bill 0.160% 07/30/2009 22,939,000 22,936,043
United States Treasury Bill 0.167% 07/30/2009 25,000,000 24,997,818
United States Treasury Bill 0.175% 07/30/2009 150,000,000 149,978,854
United States Treasury Bill 0.125% 08/06/2009 14,882,000 14,880,140
United States Treasury Bill 0.140% 08/06/2009 50,000,000 49,993,000
United States Treasury Bill 0.150% 08/06/2009 25,000,000 24,996,250
United States Treasury Bill 0.170% 08/06/2009 125,000,000 124,978,750
United States Treasury Bill 0.195% 08/06/2009 125,000,000 124,977,125
United States Treasury Bill 0.112% 08/13/2009 61,771,000 61,762,884
United States Treasury Bill 0.130% 08/13/2009 125,000,000 124,980,590
United States Treasury Bill 0.131% 08/13/2009 50,000,000 49,992,176
United States Treasury Bill 0.185% 08/13/2009 137,715,000 137,684,569
United States Treasury Bill 0.190% 08/13/2009 12,285,000 12,282,212
United States Treasury Bill 0.160% 08/20/2009 50,000,000 49,988,889
United States Treasury Bill 0.163% 08/20/2009 50,000,000 49,988,715
United States Treasury Bill 0.180% 08/20/2009 150,000,000 149,962,500
United States Treasury Bill 0.185% 08/20/2009 50,000,000 49,987,153
See Notes to Financial Statements.
22
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. TREASURY OBLIGATIONS (CONTINUED)
United States Treasury Bill 0.135% 08/27/2009 $100,000,000 $ 99,978,625
United States Treasury Bill 0.155% 08/27/2009 75,000,000 74,981,594
United States Treasury Bill 0.170% 08/27/2009 25,000,000 24,993,271
United States Treasury Bill 0.130% 09/03/2009 50,000,000 49,988,444
United States Treasury Bill 0.150% 09/03/2009 75,000,000 74,980,000
United States Treasury Bill 0.170% 09/03/2009 33,784,000 33,773,790
United States Treasury Bill 0.190% 09/10/2009 100,000,000 99,962,528
United States Treasury Bill 0.160% 09/17/2009 125,000,000 124,956,667
United States Treasury Bill 0.195% 09/24/2009 50,000,000 49,976,979
United States Treasury Bill 0.195% 10/01/2009 180,000,000 179,911,275
United States Treasury Bill 0.295% 10/01/2009 25,000,000 24,981,153
--------------
TOTAL U.S. TREASURY OBLIGATIONS 3,294,406,877
--------------
TOTAL INVESTMENTS(a) + - 105.8% 3,294,406,877
LIABILITIES IN EXCESS OF ASSETS - (5.8)% (180,214,238)
--------------
NET ASSETS - 100.0% $3,114,192,639
==============
(a) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
23
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
U.S. Treasury Obligations 75.1%
Repurchase Agreements 24.9
Liabilities in Excess of Assets 0.0
-----
TOTAL 100.0%
=====
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
0-3 Days 31.9%
4-90 Days 55.6
90+ Days 12.5
-----
TOTAL 100.0%
=====
Average days to maturity 39
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
24
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. TREASURY OBLIGATIONS - 75.1%
United States Treasury Bill 0.040% 07/02/2009 $ 25,000,000 $ 24,999,972
United States Treasury Bill 0.040% 07/09/2009 20,000,000 19,999,822
United States Treasury Bill 0.175% 07/30/2009 25,000,000 24,996,476
United States Treasury Bill 0.170% 08/06/2009 25,000,000 24,995,750
United States Treasury Bill 0.185% 08/13/2009 45,905,000 45,894,856
United States Treasury Bill 0.190% 08/13/2009 4,095,000 4,094,071
United States Treasury Bill 0.180% 08/20/2009 25,000,000 24,993,750
United States Treasury Bill 0.170% 08/27/2009 15,000,000 14,995,962
United States Treasury Bill 0.225% 09/03/2009 15,000,000 14,994,000
United States Treasury Bill 0.210% 09/17/2009 25,000,000 24,988,625
United States Treasury Bill 0.225% 10/08/2009 25,000,000 24,984,531
United States Treasury Bill 0.205% 10/22/2009 20,000,000 19,987,131
--------------
TOTAL U.S. TREASURY OBLIGATIONS 269,924,946
--------------
REPURCHASE AGREEMENTS - 24.9%
Agreement with Barclays Capital, Inc. and The Bank of New York,
Inc. (Tri-Party) dated 06/30/09 (collateralized by a U.S.
Treasury Note, 5.125% due 05/15/16 valued at $9,700,295);
proceeds $9,510,003 0.010% 07/01/2009 9,510,000 9,510,000
Agreement with BNP Paribas and The Bank of New York, Inc.
(Tri-Party) dated 06/30/09 (collateralized by a U.S. Treasury
Strip, 0.000% due 08/15/16 valued at $10,200,000); proceeds
$10,000,003 0.010% 07/01/2009 10,000,000 10,000,000
Agreement with Deutsche Bank and The Bank of New York, Inc.
(Tri-Party) dated 06/30/09 (collateralized by a U.S. Treasury
Strip, 0.000% due 05/05/17 valued at $10,200,000); proceeds
$10,000,003 0.010% 07/01/2009 10,000,000 10,000,000
Agreement with HSBC and JP Morgan Chase & Co. (Tri-Party) dated
06/30/09 (collateralized by Federal National Mortgage
Association, 1.250% due 07/28/10, valued at $10,201,688);
proceeds $10,000,003 0.010% 07/01/2009 10,000,000 10,000,000
Agreement with ING Financial Markets LLC and JP Morgan Chase & Co.
dated 06/30/09 (collateralized by U.S. Treasury Bill, 0.000%
due 11/19/09 - 12/10/09, valued at $40,802,579); proceeds
$40,000,011 0.010% 07/01/2009 40,000,000 40,000,000
Agreement with UBS Warburg and JP Morgan Chase & Co. (Tri-Party)
dated 06/30/09, (collateralized by a U.S. Treasury Bill, 0.000%
due 11/19/09 valued at $10,204,479); proceeds $10,000,006 0.020% 07/01/2009 10,000,000 10,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 89,510,000
--------------
TOTAL INVESTMENTS(a) + - 100.0% 359,434,946
LIABILITIES IN EXCESS OF ASSETS - 0.00% (56,754)
--------------
NET ASSETS - 100.0% $ 359,378,192
==============
(a) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
25
STATE STREET MASTER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED)
TAX FREE U.S. GOVERNMENT TREASURY TREASURY PLUS
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ --------------- -------------- -------------
ASSETS
Investments in unaffiliated issuers,
at amortized cost (Note 2) $7,806,392,522 $478,190,722 $1,527,352,499 $3,294,406,877 $269,924,946
Repurchase Agreements, at
amortized cost (Note 2) 1,813,164,000 -- 1,380,999,000 -- 89,510,000
-------------- ------------ -------------- -------------- ------------
Total investments 9,619,556,522 478,190,722 2,908,351,499 3,294,406,877 359,434,946
Cash 985 -- 114 656 775
Investments sold -- 5,005,207 -- -- --
Interest receivable 7,355,662 750,814 759,981 -- 28
Prepaid expense 28,917 12,303 14,889 11,825 8,172
-------------- ------------ -------------- -------------- ------------
Total assets 9,626,942,086 483,959,046 2,909,126,483 3,294,419,358 359,443,921
LIABILITIES
Investment securities purchased 50,000,000 -- 37,932,761 179,911,275 --
Management fee (Note 3) 795,187 39,255 214,999 242,061 33,908
Administration and custody fees
(Note 3) 161,193 7,829 41,678 47,984 6,167
Professional fees 22,956 21,902 22,168 22,250 22,296
Trustee's fees (Note 4) 348 -- -- 372 --
Accrued expenses and other
liabilities 7,580 2,164 2,020 2,777 3,358
-------------- ------------ -------------- -------------- ------------
Total liabilities 50,987,264 71,150 38,213,626 180,226,719 65,729
-------------- ------------ -------------- -------------- ------------
NET ASSETS $9,575,954,822 $483,887,896 $2,870,912,857 $3,114,192,639 $359,378,192
============== ============ ============== ============== ============
See Notes to Financial Statements.
26
STATE STREET MASTER FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED)
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 $ 35,993,168 $1,965,352 $6,977,478 $1,707,022 $653,328
------------ ---------- ---------- ---------- --------
EXPENSES
Management fees (Note 3) 4,218,030 209,788 1,363,903 1,129,696 320,440
Administration and custody fees
(Note 3) 856,091 42,561 276,172 229,017 64,873
Professional fees 22,972 22,324 22,811 22,733 22,722
Trustee's fees (Note 4) 25,101 6,597 12,605 11,520 8,609
Printing fees 1,539 1,479 1,340 1,337 1,338
Other expenses 26,058 8,292 19,043 13,945 10,958
------------ ---------- ---------- ---------- --------
Total Expenses 5,149,791 291,041 1,695,874 1,408,248 428,940
Less: Fee waivers/reimbursements by
Investment Adviser (Note 3) (589,262) (51,980) -- -- --
------------ ---------- ---------- ---------- --------
Total Net Expenses 4,560,529 239,061 1,695,874 1,408,248 428,940
------------ ---------- ---------- ---------- --------
NET INVESTMENT INCOME $ 31,432,639 $1,726,291 $5,281,604 $ 298,774 $224,388
============ ========== ========== ========== ========
REALIZED GAIN
Net realized gain on investments $ 34,655 $ -- $ -- $ 7,310 $ 4,611
------------ ---------- ---------- ---------- --------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 31,467,294 $1,726,291 $5,281,604 $ 306,084 $228,999
============ ========== ========== ========== ========
See Notes to Financial Statements.
27
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TAX FREE MONEY
MONEY MARKET PORTFOLIO MARKET PORTFOLIO
----------------------------------- ----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2009 DECEMBER 31, JUNE 30, 2009 DECEMBER 31,
(UNAUDITED) 2008 (UNAUDITED) 2008
---------------- ---------------- ---------------- ---------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 31,432,639 $ 226,704,311 $ 1,726,291 $ 10,798,702
Net realized gain (loss) on investments 34,655 126,859 -- (5,787)
--------------- ---------------- ------------- ---------------
Net increase in net assets from operations 31,467,294 226,831,170 1,726,291 10,792,915
--------------- ---------------- ------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from contributions 10,790,013,674 23,607,267,075 613,467,518 1,639,452,798
Fair value of withdrawals (9,851,431,285) (22,146,456,134) (519,752,709) (1,709,477,422)
--------------- ---------------- ------------- ---------------
Net increase (decrease) in net assets from
capital transactions 938,582,389 1,460,810,941 93,714,809 (70,024,624)
--------------- ---------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 970,049,683 1,687,642,111 95,441,100 (59,231,709)
NET ASSETS
Beginning of period 8,605,905,139 6,918,263,028 388,446,796 447,678,505
--------------- ---------------- ------------- ---------------
End of period $ 9,575,954,822 $ 8,605,905,139 $ 483,887,896 $ 388,446,796
=============== ================ ============= ===============
See Notes to Financial Statements.
28
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
U.S. GOVERNMENT MONEY TREASURY MONEY
MARKET PORTFOLIO MARKET PORTFOLIO
---------------------------------- ----------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2009 DECEMBER 31, JUNE 30, 2009 DECEMBER 31,
(UNAUDITED) 2008 (UNAUDITED) 2008
---------------- --------------- ---------------- ---------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 5,281,604 $ 36,766,455 $ 298,774 $ 11,875,047
Net realized gain on investments -- -- 7,310 251,491
--------------- --------------- --------------- ---------------
Net increase in net assets from operations 5,281,604 36,766,455 306,084 12,126,538
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from contributions 2,900,935,122 6,186,760,689 2,472,909,288 6,954,182,584
Fair value of withdrawals (2,994,339,429) (4,341,285,901) (1,479,717,773) (5,375,718,016)
--------------- --------------- --------------- ---------------
Net increase (decrease) in net assets from
capital transactions (93,404,307) 1,845,474,788 993,191,515 1,578,464,568
--------------- --------------- --------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (88,122,703) 1,882,241,243 993,497,599 1,590,591,106
NET ASSETS
Beginning of period 2,959,035,560 1,076,794,317 2,120,695,040 530,103,934
--------------- --------------- --------------- ---------------
End of period $ 2,870,912,857 $ 2,959,035,560 $ 3,114,192,639 $ 2,120,695,040
=============== =============== =============== ===============
See Notes to Financial Statements.
29
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
TREASURY PLUS MONEY
MARKET PORTFOLIO
----------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2009 DECEMBER 31,
(UNAUDITED) 2008
---------------- ---------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 224,388 $ 8,945,594
Net realized gain on investments 4,611 12,040
--------------- ---------------
Net increase in net assets from operations 228,999 8,957,634
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from contributions 613,373,365 3,572,872,637
Fair value of withdrawals (1,207,393,689) (3,091,850,797)
--------------- ---------------
Net increase (decrease) in net assets from capital transactions (594,020,324) 481,021,840
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS (593,791,325) 489,979,474
NET ASSETS
Beginning of period 953,169,517 463,190,043
--------------- ---------------
End of period $ 359,378,192 $ 953,169,517
=============== ===============
See Notes to Financial Statements.
30
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
2009* 0.38% 0.12%** 0.11%** 0.75%** $9,575,955
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
2005 3.31% 0.14% 0.10% 3.33% $1,639,871
2004(b) 0.68% 0.18%** 0.10%** 1.71%** $ 381,716
TAX FREE MONEY MARKET
PORTFOLIO
2009* 0.42% 0.14%** 0.11%** 0.82%** $ 483,888
2008 2.35% 0.14% 0.10% 2.32% $ 388,447
2007(b) 3.19% 0.17%** 0.10%** 3.42%** $ 447,679
U.S. GOVERNMENT MONEY
MARKET PORTFOLIO
2009* 0.19% 0.12%** 0.12%** 0.39%** $2,870,913
2008 2.19% 0.13% 0.13% 1.97% $2,959,036
2007(b) 0.92% 0.14%** 0.14%** 4.39%** $1,076,794
TREASURY MONEY MARKET
PORTFOLIO
2009* 0.01% 0.12%** 0.12%** 0.03%** $3,114,193
2008 1.28% 0.13% 0.13% 0.93% $2,120,695
2007(b) 0.61% 0.19%** 0.19%** 3.21%** $ 530,104
TREASURY PLUS MONEY
MARKET PORTFOLIO
2009* 0.04% 0.13%** 0.13%** 0.07%** $ 359,378
2008 1.57% 0.13% 0.13% 1.07% $ 953,170
2007(b) 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) The Portfolios commenced operations on August 12, 2004, February 7, 2007,
October 17, 2007, October 25, 2007 and October 24, 2007, respectively.
* For the six months ended June 30, 2009 (Unaudited).
** Annualized.
See Notes to Financial Statements.
31
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
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 June 30, 2009, only 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
were in operation. 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.
32
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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 by
investing in dollar denominated
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.
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 by
investing in U.S. government securities
with remaining maturities of one year or
less 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.
State Street Treasury Plus Money Market Portfolio To seek a high level of current income
consistent with preserving principal and
liquidity by investing in a portfolio
made up 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 Financial Accounting Standards Board ("FASB") Statement
of Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, 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. FAS 157
established a three tier hierarchy of inputs to establish a classification of
fair value measurements and disclosure. 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)
33
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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 June 30, 2009, 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 $ -- $ 53,256,559 $ -- $ -- $ --
Level 2 -- Other
Significant
Observable Inputs 9,619,556,522 424,934,163 2,908,351,499 3,294,406,877 359,434,946
Level 3 -- Significant
Unobservable Inputs -- -- -- -- --
Total $9,619,556,522 $478,190,722 $2,908,351,499 $3,294,406,877 $359,434,946
In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP
157-4"). FSP 157-4 provides additional guidance for estimating fair value in
accordance with FAS 157 when the volume and level of activity for the asset or
liability have significantly decreased as well as guidance on identifying
circumstances that indicate a transaction is not orderly. The type of inputs
used to value each security is identified in the Portfolio of Investments, which
also includes a breakdown of the Portfolios' investments by category.
On March 19, 2008, FASB released Statement of Financial Accounting Standards No.
161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS
161"). FAS 161 requires qualitative disclosures about objectives and strategies
for using derivatives, quantitative disclosures about fair value amounts of
gains and losses on derivative instruments, and disclosures about credit-risk
related contingent features in derivative agreements. The application of FAS 161
is required for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. Management has evaluated the implication of
FAS 161 and there is no impact on the Portfolios' Financial Statements.
In September 2008, FASB issued a FASB Staff Position No. 133-1 and FIN 45-4
"Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of
FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the
Effective Date of FASB Statement No. 161" ("FSP 133"). FSP 133 requires enhanced
transparency of the effect of credit derivatives and guarantees on an issuer's
financial position, financial performance and cash flows. FSP 133 is effective
for fiscal years ending after November 15, 2007. FSP 133 applies to certain
credit derivatives, hybrid instruments that have embedded credit derivatives
(for example, credit-linked notes), and certain guarantees and it requires
additional disclosures regarding credit derivatives with sold protection.
Management has evaluated the implication of FSP 133 and there is no impact to
the Portfolios.
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
34
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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.
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,
2008, 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 June
30, 2009, tax years 2005 (or since inception, for Portfolios formed subsequent
to 2005) through 2008 remain subject to examination by the Portfolios' major tax
jurisdictions, which include the United States of America and the Commonwealth
of Massachusetts.
At June 30, 2009, the cost of investments for federal income tax purposes was
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) the 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 the 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.
35
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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, each Portfolio pays the Adviser an
annual fee of 0.10% of the respective Portfolio's average daily net assets. The
Adviser contractually agreed to cap the total operating expenses of the State
Street Money Market Portfolio and the State Street Tax Free Money Market
Portfolio at 0.10% of the respective Portfolio's average daily net assets
through April 30, 2009. For the period ended June 30, 2009, SSgA FM reimbursed
the Portfolios under this agreement as follows:
FUND AMOUNT
- ---- --------
State Street Money Market Portfolio $589,262
State Street Tax Free Money Market Portfolio 51,980
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 at and payable monthly at the
applicable fee rate described below, of the 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%
Thereafter 0.02
Minimum annual fee for the trust: $150,000
Effective August 1, 2009, the annual fees paid by the Trust to State Street for
its services as administrator, custodian, and transfer agent for the Portfolios
were revised 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 for the trust: $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 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
36
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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 the provisions set forth in FASB Statement of Financial
Accounting Standards No. 165 "Subsequent Events," adopted by the Portfolios as
of June 30, 2009, management has evaluated the possibility of subsequent events
existing in the Portfolios' financial statements through August 20, 2009.
Management has determined that there are no material events that would require
disclosure in the Portfolios' financial statements through this date.
37
STATE STREET MASTER FUNDS
GENERAL INFORMATION (UNAUDITED)
JUNE 30, 2009
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.
38
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
STATE STREET EQUITY 500 INDEX PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2009
(UNAUDITED)
STATE STREET EQUITY 500 INDEX PORTFOLIO
EXPENSE EXAMPLE (UNAUDITED)
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 January 1, 2009 to June 30,
2009.
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 June 30, 2009
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2009 JUNE 30, 2009 PERIOD*
--------------- ------------- -------------
Based on Actual Portfolio Return $1,000.00 $1,032.00 $0.23
Based on Hypothetical (5% return before expenses) $1,000.00 $1,024.57 $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 June 30, 2009 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 the number of days
in the most recent six month period, then divided by the number of days in
the most recent 12 month period.
2
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
Common Stocks 97.6%
Money Market Funds 2.3
U.S. Government Securities 0.3
Liabilities in Excess of Assets (0.2)
-----
TOTAL 100.0%
=====
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* JUNE 30, 2009
- ---------------------------------------------------- -------------
Information Technology 17.3%
Financials 13.6
Health Care 13.3
Energy 12.2
Consumer Staples 11.7
----
TOTAL 68.1%
====
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS - 97.6%
CONSUMER DISCRETIONARY - 8.9%
Abercrombie & Fitch Co. Class A 19,246 $ 489
Amazon.Com, Inc.(a) 65,792 5,504
Apollo Group, Inc. Class A(a) 21,729 1,545
AutoNation, Inc.(a) 23,063 400
AutoZone, Inc.(a) 7,564 1,143
Bed Bath & Beyond, Inc.(a) 52,445 1,613
Best Buy Co., Inc. 70,719 2,368
Big Lots, Inc.(a) 16,227 341
Black & Decker Corp. 11,937 342
Carnival Corp. 87,950 2,266
CBS Corp. Class B 143,703 994
Centex Corp. 24,082 204
Coach, Inc. 67,028 1,802
Comcast Corp. Class A 587,648 8,515
D.R. Horton, Inc. 52,876 495
Darden Restaurants, Inc. 27,988 923
DeVry, Inc. 12,500 625
DIRECTV Group, Inc.(a) 109,477 2,705
Eastman Kodak Co. 54,482 161
eBay, Inc.(a) 221,403 3,793
Expedia, Inc.(a) 45,615 689
Family Dollar Stores, Inc. 26,858 760
Ford Motor Co.(a) 653,098 3,964
Fortune Brands, Inc. 30,545 1,061
GameStop Corp. Class A(a) 32,400 713
Gannett Co., Inc. 42,074 150
Gap, Inc. 93,698 1,537
Genuine Parts Co. 33,709 1,131
Goodyear Tire & Rubber Co.(a) 45,257 510
H&R Block, Inc. 66,915 1,153
Harley-Davidson, Inc. 48,001 778
Harman International Industries, Inc. 15,921 299
Hasbro, Inc. 24,425 592
Home Depot, Inc. 345,912 8,174
Host Hotels & Resorts, Inc. 123,665 1,038
International Game Technology 62,219 989
Interpublic Group of Cos., Inc.(a) 100,694 509
JC Penney Co., Inc. 44,310 1,272
MARKET
VALUE
SHARES (000)
----------- ----------
Johnson Controls, Inc. 123,186 $ 2,676
KB HOME 14,794 202
Kohl's Corp.(a) 62,833 2,686
Lennar Corp. Class A 27,931 271
Limited Brands 58,067 695
Lowe's Cos., Inc. 299,662 5,816
Macy's, Inc. 85,423 1,005
Marriot International, Inc. Class A 62,049 1,369
Mattel, Inc. 73,376 1,178
McDonald's Corp. 226,725 13,034
McGraw-Hill, Inc. 63,566 1,914
Meredith Corp. 7,889 202
New York Times Co. Class A 22,922 126
Newell Rubbermaid, Inc. 51,593 537
News Corp. Class A 471,209 4,293
NIKE, Inc. Class B 79,452 4,114
Nordstrom, Inc. 32,733 651
O'Reilly Automotive, Inc.(a) 28,700 1,093
Office Depot, Inc.(a) 51,256 234
Omnicom Group, Inc. 62,741 1,981
Polo Ralph Lauren Corp. 10,615 568
Pulte Homes, Inc. 41,426 366
Radioshack Corp. 26,203 366
Scripps Networks Interactive, Inc. Class A 16,835 469
Sears Holdings Corp.(a) 11,874 790
Snap-On, Inc. 11,612 334
Stanley Works 17,483 592
Staples, Inc. 148,033 2,986
Starbucks Corp.(a) 152,361 2,116
Starwood Hotels & Resorts Worldwide, Inc. 38,947 865
Target Corp. 153,916 6,075
Tiffany & Co. 26,380 669
Time Warner Cable, Inc. 70,971 2,248
Time Warner, Inc. 244,591 6,161
TJX Cos., Inc. 84,806 2,668
V.F. Corp. 18,193 1,007
Viacom, Inc. Class B(a) 125,122 2,840
Walt Disney Co. 378,445 8,829
Washington Post Co. Class B 1,260 444
Whirlpool Corp. 13,761 586
See Notes to Financial Statements.
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
CONSUMER DISCRETIONARY (CONTINUED)
Wyndham Worldwide Corp. 34,299 $ 416
Wynn Resorts, Ltd.(a) 14,300 505
Yum! Brands, Inc. 92,892 3,097
----------
150,621
----------
CONSUMER STAPLES - 11.7%
Altria Group, Inc. 421,999 6,917
Archer-Daniels-Midland Co. 132,324 3,542
Avon Products, Inc. 88,560 2,283
Brown-Forman Corp. Class B 21,055 905
Campbell Soup Co. 43,265 1,273
Clorox Co. 29,243 1,633
Coca-Cola Co. 407,411 19,552
Coca-Cola Enterprises, Inc. 62,501 1,041
Colgate-Palmolive Co. 102,401 7,244
ConAgra Foods, Inc. 89,175 1,700
Constellation Brands, Inc. Class A(a) 37,426 475
Costco Wholesale Corp. 89,489 4,090
CVS Caremark Corp. 296,832 9,460
Dean Foods Co.(a) 37,858 726
Dr Pepper Snapple Group, Inc.(a) 51,300 1,087
Estee Lauder Cos, Inc. Class A 23,252 760
General Mills, Inc. 66,432 3,721
H.J. Heinz Co. 63,269 2,259
Hormel Foods Corp. 13,400 463
Kellogg Co. 50,735 2,363
Kimberly-Clark Corp. 84,900 4,451
Kraft Foods, Inc. Class A 299,909 7,600
Kroger Co. 134,476 2,965
Lorillard, Inc. 33,861 2,295
McCormick & Co., Inc. 27,653 899
Molson Coors Brewing Co., Class B 31,062 1,315
Pepsi Bottling Group, Inc. 26,753 905
PepsiCo, Inc. 318,656 17,513
Philip Morris International, Inc. 400,499 17,470
Procter & Gamble Co. 595,119 30,411
Reynolds American, Inc. 33,187 1,282
Safeway, Inc. 89,664 1,826
MARKET
VALUE
SHARES (000)
----------- ----------
Sara Lee Corp. 139,034 $ 1,357
SuperValu, Inc. 41,948 543
Sysco Corp. 119,109 2,678
The Hershey Company 34,982 1,259
The J.M. Smucker Co. 25,260 1,229
Tyson Foods, Inc., Class A 57,835 729
Wal-Mart Stores, Inc. 456,802 22,127
Walgreen Co. 201,718 5,930
Whole Foods Market, Inc. 30,633 581
----------
196,859
----------
ENERGY - 12.2%
Anadarko Petroleum Corp. 101,026 4,586
Apache Corp. 68,525 4,944
Baker Hughes, Inc. 62,278 2,269
BJ Services Co. 60,448 824
Cabot Oil & Gas Corp. 20,300 622
Cameron International Corp.(a) 45,100 1,276
Chesapeake Energy Corp. 116,682 2,314
Chevron Corp.(d) 409,346 27,119
ConocoPhillips 303,730 12,775
Consol Energy, Inc. 35,773 1,215
Denbury Resources, Inc.(a) 47,800 704
Devon Energy Corp. 90,751 4,946
Diamond Offshore Drilling, Inc. 14,500 1,204
El Paso Corp. 146,692 1,354
ENSCO International, Inc. 29,177 1,017
EOG Resources, Inc. 50,617 3,438
EQT Corp. 26,800 936
ExxonMobil Corp.(d) 998,072 69,775
FMC Technologies, Inc.(a) 25,400 954
Halliburton Co. 180,834 3,743
Hess Corp. 57,501 3,091
Marathon Oil Corp. 142,977 4,308
Massey Energy Co. 19,300 377
Murphy Oil Corp. 39,041 2,121
Nabors Industries, Ltd.(a) 58,704 915
National Oilwell Varco, Inc.(a) 86,557 2,827
Noble Energy, Inc. 34,810 2,053
Occidental Petroleum Corp. 165,044 10,862
Peabody Energy Corp. 54,024 1,629
Pioneer Natural Resources Co. 25,300 645
See Notes to Financial Statements.
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
ENERGY (CONTINUED)
Questar Corp. 35,968 $ 1,117
Range Resources Corp. 31,400 1,300
Rowan Cos., Inc. 25,320 489
Schlumberger, Ltd. 245,175 13,266
Smith International, Inc. 42,934 1,106
Southwestern Energy Co.(a) 70,800 2,751
Spectra Energy Corp. 129,598 2,193
Sunoco, Inc. 24,884 577
Tesoro Corp. 26,365 336
Valero Energy Corp. 113,109 1,910
Williams Cos., Inc. 117,268 1,831
XTO Energy, Inc. 119,352 4,552
----------
206,271
----------
FINANCIALS - 13.6%
AFLAC, Inc. 96,490 3,000
Allstate Corp. 110,906 2,706
American Express Co. 244,064 5,672
American International Group, Inc. 556,666 646
Ameriprise Financial, Inc. 54,007 1,311
AON Corp. 57,247 2,168
Apartment Investment & Management Co. Class A 29,552 262
Assurant, Inc. 25,031 603
AvalonBay Communities, Inc. 15,398 861
Bank of America Corp. 1,651,371 21,798
Bank of New York Mellon Corp. 244,085 7,154
BB&T Corp. 131,270 2,885
Boston Properties, Inc. 28,767 1,372
Capital One Financial Corp. 90,363 1,977
CB Richard Ellis Group, Inc. Class A(a) 47,275 443
Charles Schwab Corp. 193,893 3,401
Chubb Corp. 70,575 2,815
Cincinnati Financial Corp. 31,214 698
CIT Group, Inc. 75,542 162
Citigroup, Inc. 1,128,102 3,350
CME Group, Inc. 13,391 4,166
Comerica, Inc. 31,744 671
MARKET
VALUE
SHARES (000)
----------- ----------
Developers Diversified Realty Corp. 1,467 $ 7
Discover Financial Services 95,905 985
E*Trade Financial Corp.(a) 232,015 297
Equity Residential 55,457 1,233
Federated Investors, Inc. Class B 18,970 457
Fifth Third Bancorp 150,016 1,065
First Horizon National Corp.(a) 41,999 504
Franklin Resources, Inc. 31,380 2,260
Genworth Financial, Inc. Class A 96,251 673
Goldman Sachs Group, Inc. 103,134 15,206
Hartford Financial Services Group, Inc. 67,797 805
HCP, Inc. 56,500 1,197
Health Care REIT, Inc. 21,400 730
Hudson City Bancorp, Inc. 103,492 1,375
Huntington Bancshares, Inc. 118,556 496
IntercontinentalExchange, Inc.(a) 14,980 1,711
Invesco Ltd. 84,800 1,511
J.P. Morgan Chase & Co. 796,615 27,173
Janus Capital Group, Inc. 36,007 410
KeyCorp 144,575 758
Kimco Realty Corp. 64,969 653
Legg Mason, Inc. 31,142 759
Leucadia National Corp.(a) 35,436 747
Lincoln National Corp. 62,492 1,075
Loews Corp. 72,831 1,996
M & T Bank Corp. 15,937 812
Marsh & McLennan Cos., Inc. 108,453 2,183
Marshall & Ilsley Corp. 80,193 385
Mastercard, Inc. Class A 14,500 2,426
MBIA, Inc.(a) 31,984 139
MetLife, Inc. 167,496 5,027
Moody's Corp. 38,966 1,027
Morgan Stanley 276,030 7,870
NASDAQ OMX Group, Inc.(a) 28,600 609
Northern Trust Corp. 48,506 2,604
NYSE Euronext 52,300 1,425
Paychex, Inc. 64,838 1,634
People's United Financial Inc. 68,100 1,024
PNC Financial Services Group, Inc. 94,017 3,649
See Notes to Financial Statements.
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
FINANCIALS (CONTINUED)
Principal Financial Group, Inc. 64,591 $ 1,217
Progressive Corp.(a) 140,601 2,124
ProLogis 87,391 704
Prudential Financial, Inc. 93,939 3,496
Public Storage, Inc. 25,387 1,662
Regions Financial Corp. 227,189 918
Simon Property Group, Inc. 56,883 2,926
SLM Corp.(a) 91,354 938
State Street Corp.(b) 100,825 4,759
SunTrust Banks, Inc. 97,418 1,603
T. Rowe Price Group, Inc. 53,375 2,224
Torchmark Corp. 18,421 682
Total System Services, Inc. 37,775 506
Travelers Cos, Inc. 120,104 4,929
U.S. Bancorp 386,952 6,934
Unum Group 67,029 1,063
Ventas, Inc. 32,100 959
Vornado Realty Trust 32,433 1,460
Wells Fargo Co. 950,749 23,065
Western Union Co. 146,885 2,409
XL Capital, Ltd. Class A 65,468 750
Zions Bancorp 21,753 251
----------
228,597
----------
HEALTH CARE - 13.3%
Abbott Laboratories 316,606 14,893
Aetna, Inc. 93,850 2,351
Allergan, Inc. 62,092 2,954
AmerisourceBergen Corp. 59,786 1,061
Amgen, Inc.(a) 206,736 10,945
Baxter International, Inc. 125,561 6,650
Becton, Dickinson & Co. 49,597 3,537
Biogen Idec, Inc.(a) 61,231 2,765
Boston Scientific Corp.(a) 303,534 3,078
Bristol-Myers Squibb Co. 403,938 8,204
C.R. Bard, Inc. 19,697 1,466
Cardinal Health, Inc. 72,357 2,210
Celgene Corp.(a) 95,018 4,546
Cephalon, Inc.(a) 15,600 884
CIGNA Corp. 53,596 1,291
MARKET
VALUE
SHARES (000)
----------- ----------
Coventry Health Care, Inc.(a) 27,603 $ 516
DaVita, Inc.(a) 20,300 1,004
Dentsply International Inc. 30,300 925
Eli Lilly & Co. 206,475 7,152
Express Scripts, Inc.(a) 54,999 3,781
Forest Laboratories, Inc.(a) 62,402 1,567
Genzyme Corp.(a) 56,192 3,128
Gilead Sciences, Inc.(a) 185,899 8,708
Hospira, Inc.(a) 31,703 1,221
Humana, Inc.(a) 35,107 1,133
Intuitive Surgical, Inc.(a) 8,100 1,326
Johnson & Johnson 564,749 32,078
King Pharmaceuticals, Inc.(a) 48,592 468
Laboratory Corp. of America Holdings(a) 22,222 1,506
Life Technologies Corp.(a) 36,587 1,526
McKesson Corp. 55,655 2,449
Medco Health Solutions, Inc.(a) 101,268 4,619
Medtronic, Inc. 228,178 7,961
Merck & Co., Inc. 429,319 12,004
Millipore Corp.(a) 11,135 782
Mylan Inc.(a) 60,109 784
Patterson Cos., Inc.(a) 18,294 397
Pfizer, Inc. 1,380,671 20,710
Quest Diagnostics, Inc. 31,800 1,794
Schering-Plough Corp. 331,855 8,336
St. Jude Medical, Inc.(a) 71,426 2,936
Stryker Corp. 48,789 1,939
Tenet Healthcare Corp.(a) 97,770 276
UnitedHealth Group, Inc. 248,296 6,202
Varian Medical Systems, Inc.(a) 25,560 898
Watson Pharmaceuticals, Inc.(a) 20,646 696
Wellpoint, Inc.(a) 100,638 5,121
Wyeth 273,387 12,409
Zimmer Holdings, Inc.(a) 46,252 1,970
----------
225,157
----------
INDUSTRIALS - 9.9%
3M Co. 141,572 8,509
Amphenol Corp. Class A 34,300 1,085
Avery Dennison Corp. 21,588 554
Boeing Co. 148,288 6,302
See Notes to Financial Statements.
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
INDUSTRIALS (CONTINUED)
Burlington Northern Santa Fe Corp. 57,282 $ 4,213
Caterpillar, Inc. 123,379 4,076
CH Robinson Worldwide, Inc. 33,761 1,761
Cintas Corp. 25,088 573
Cooper Industries, Ltd. Class A 35,334 1,097
CSX Corp. 82,438 2,855
Cummins, Inc. 40,358 1,421
Danaher Corp. 52,786 3,259
Deere & Co. 85,137 3,401
Dover Corp. 36,795 1,218
Eaton Corp. 34,595 1,543
Emerson Electric Co. 154,548 5,007
Equifax, Inc. 27,583 720
Expeditors International Washington, Inc. 43,020 1,434
Fastenal Co. 25,500 846
FedEx Corp. 63,000 3,504
Flir Systems, Inc.(a) 28,900 652
Flowserve Corp. 11,800 824
Fluor Corp. 37,860 1,942
General Dynamics Corp. 79,361 4,396
General Electric Co.(d) 2,167,833 25,407
Goodrich Co. 24,445 1,222
Honeywell International, Inc. 150,481 4,725
Illinois Tool Works, Inc. 78,071 2,915
Iron Mountain, Inc.(a) 37,500 1,078
ITT Industries, Inc. 37,992 1,691
Jacobs Engineering Group, Inc.(a) 25,500 1,073
L-3 Communications Holdings, Inc. 24,803 1,721
Leggett & Platt, Inc. 34,298 522
Lockheed Martin Corp. 67,952 5,480
Manitowoc Co., Inc. 24,000 126
Masco Corp. 77,723 745
Monster Worldwide, Inc.(a) 22,609 267
Norfolk Southern Corp. 75,855 2,857
Northrop Grumman Corp. 67,411 3,079
PACCAR, Inc. 73,874 2,402
Pall Corp. 22,209 590
MARKET
VALUE
SHARES (000)
----------- ----------
Parker-Hannifin Corp. 31,803 $ 1,366
Pitney Bowes, Inc. 40,027 878
Precision Castparts Corp. 28,507 2,082
Quanta Services, Inc.(a) 39,800 921
R.R. Donnelley & Sons Co. 38,309 445
Raytheon Co. 82,282 3,656
Republic Services, Inc. 66,303 1,618
Robert Half International, Inc. 30,640 724
Rockwell Automation, Inc. 27,505 883
Rockwell Collins, Inc. 32,831 1,370
Ryder Systems, Inc. 9,821 274
Southwest Airlines Co. 147,786 995
Stericycle, Inc.(a) 17,100 881
Textron, Inc. 56,939 550
Thermo Fisher Scientific, Inc.(a) 86,424 3,524
Union Pacific Corp. 102,968 5,361
United Parcel Service, Inc. Class B 202,846 10,140
United Technologies Corp. 191,978 9,975
W.W. Grainger, Inc. 13,569 1,111
Waste Management, Inc. 98,639 2,778
----------
166,624
----------
INFORMATION TECHNOLOGY - 17.3%
Adobe Systems, Inc.(a) 107,957 3,055
Advanced Micro Devices, Inc.(a) 114,986 445
Affiliated Computer Services, Inc. Class A(a) 18,737 832
Agilent Technologies, Inc.(a) 73,968 1,502
Akamai Technologies, Inc.(a) 34,224 656
Altera Corp. 58,354 950
Analog Devices, Inc. 58,969 1,461
Apple Inc.(a) 182,584 26,006
Applied Materials, Inc. 275,907 3,027
Autodesk, Inc.(a) 46,376 880
Automatic Data Processing, Inc. 103,917 3,683
BMC Software, Inc.(a) 38,821 1,312
Broadcom Corp. Class A(a) 88,159 2,186
CA, Inc. 78,299 1,365
CIENA Corp.(a) 14,529 150
Cisco Systems, Inc.(a) 1,177,719 21,953
Citrix Systems, Inc.(a) 36,867 1,176
See Notes to Financial Statements.
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
INFORMATION TECHNOLOGY (CONTINUED)
Cognizant Technology Solutions
Corp. Class A(a) 58,584 $ 1,564
Computer Sciences Corp.(a) 30,344 1,344
Compuware Corp.(a) 51,350 352
Convergys Corp.(a) 20,035 186
Corning, Inc. 318,576 5,116
Dell, Inc.(a) 357,950 4,915
Dun & Bradstreet Corp. 11,000 893
Electronic Arts, Inc.(a) 67,600 1,468
EMC Corp.(a) 413,084 5,411
Fidelity National Information Services, Inc. 36,777 734
Fiserv, Inc.(a) 32,352 1,479
Google, Inc. Class A(a) 48,990 20,654
Harris Corp. 26,400 749
Hewlett-Packard Co. 490,616 18,962
IMS Health, Inc. 34,832 442
Intel Corp. 1,138,656 18,845
International Business Machines Corp. 269,842 28,177
Intuit, Inc.(a) 65,563 1,846
Jabil Circuit, Inc. 39,951 296
Juniper Networks, Inc.(a) 106,193 2,506
KLA-Tencor Corp. 34,105 861
Lexmark International Group, Inc. Class A(a) 15,842 251
Linear Technology Corp. 43,763 1,022
LSI Corp.(a) 136,962 625
McAfee, Inc.(a) 31,200 1,316
MEMC Electronic Materials, Inc.(a) 45,478 810
Microchip Technology, Inc. 37,089 836
Micron Technology, Inc.(a) 170,662 864
Microsoft Corp.(d) 1,566,135 37,227
Molex, Inc. 31,305 487
Motorola, Inc. 473,765 3,141
National Semiconductor Corp. 39,396 494
NetApp, Inc.(a) 66,557 1,313
Novell, Inc.(a) 68,720 311
Novellus Systems, Inc.(a) 20,030 335
MARKET
VALUE
SHARES (000)
----------- ----------
NVIDIA Corp.(a) 108,256 $ 1,222
Oracle Corp. 773,362 16,565
PerkinElmer, Inc. 21,118 368
QLogic Corp.(a) 24,322 308
QUALCOMM, Inc. 339,111 15,328
Salesforce.com, Inc.(a) 21,200 809
SanDisk Corp.(a) 46,167 678
Sun Microsystems, Inc.(a) 153,941 1,419
Symantec Corp.(a) 165,863 2,581
Tellabs, Inc.(a) 73,830 423
Teradata Corp.(a) 33,520 785
Teradyne, Inc.(a) 27,649 190
Texas Instruments, Inc. 261,399 5,568
VeriSign, Inc.(a) 37,521 693
Waters Corp.(a) 20,865 1,074
Western Digital Corp.(a) 45,500 1,206
Xerox Corp. 180,034 1,167
Xilinx, Inc. 58,102 1,189
Yahoo!, Inc.(a) 281,919 4,415
----------
292,459
----------
MATERIALS - 3.3%
Air Products & Chemicals, Inc. 43,209 2,791
AK Steel Holding Corp. 20,000 384
Alcoa, Inc. 202,249 2,089
Allegheny Technologies, Inc. 20,328 710
Ball Corp. 19,662 888
Bemis Co., Inc. 21,162 533
CF Industries Holdings, Inc. 9,750 723
Dow Chemical Co. 222,028 3,584
E.I. Du Pont de Nemours & Co. 184,712 4,732
Eastman Chemical Co. 14,204 538
Ecolab, Inc. 32,966 1,285
Freeport-McMoRan Copper & Gold, Inc. Class B 84,352 4,227
International Flavors & Fragrances, Inc. 17,531 574
International Paper Co. 90,511 1,369
MeadWestvaco Corp. 32,320 530
Monsanto Co. 111,755 8,308
Newmont Mining Corp. 100,206 4,095
Nucor Corp. 64,954 2,886
See Notes to Financial Statements.
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
VALUE
SHARES (000)
----------- ----------
COMMON STOCKS (CONTINUED)
MATERIALS (CONTINUED)
Owens-Illinois, Inc.(a) 35,200 $ 986
Pactiv Corp.(a) 28,515 619
Plum Creek Timber Co., Inc. 33,011 983
PPG Industries, Inc. 34,371 1,509
Praxair, Inc. 63,411 4,507
Sealed Air Corp. 34,592 638
Sherwin-Williams Co. 20,096 1,080
Sigma-Aldrich Corp. 23,934 1,186
Titanium Metals Corp. 16,600 153
United States Steel Corp. 29,478 1,054
Vulcan Materials Co. 25,961 1,119
Weyerhaeuser Co. 41,537 1,264
----------
55,344
----------
TELECOMMUNICATION SERVICES - 3.5%
American Tower Corp. Class A(a) 79,700 2,513
AT&T, Inc. 1,207,550 29,996
CenturyTel, Inc. 19,441 597
Embarq Corp. 30,097 1,266
Fairpoint Communications, Inc.(c) 8 --
Frontier Communications Corp. 60,384 431
JDS Uniphase Corp.(a) 42,723 244
MetroPCS Communications, Inc.(a) 51,700 688
Qwest Communications International, Inc. 309,290 1,284
Sprint Nextel Corp.(a) 575,465 2,768
Verizon Communications, Inc. 581,666 17,875
Windstream Corp. 90,013 752
----------
58,414
----------
UTILITIES - 3.9%
AES Corp.(a) 139,895 1,624
Allegheny Energy, Inc. 33,059 848
Ameren Corp. 45,460 1,132
American Electric Power Co., Inc. 96,852 2,798
CenterPoint Energy, Inc. 75,611 838
CMS Energy Corp. 45,756 553
Consolidated Edison, Inc. 55,052 2,060
Constellation Energy Group, Inc. 38,914 1,034
MARKET
VALUE
SHARES (000)
----------- ----------
Dominion Resources, Inc. 121,562 $ 4,063
DTE Energy Co. 33,384 1,068
Duke Energy Corp. 264,020 3,852
Dynegy, Inc. Class A(a) 82,690 188
Edison International 65,719 2,068
Entergy Corp. 40,498 3,139
Exelon Corp. 134,521 6,889
FirstEnergy Corp. 63,507 2,461
FPL Group, Inc. 83,821 4,766
Integrys Energy Group, Inc. 14,716 441
Nicor, Inc. 9,400 325
NiSource, Inc. 58,782 685
Northeast Utilities 37,300 832
Pepco Holdings, Inc. 41,700 560
PG&E Corp. 75,526 2,903
Pinnacle West Capital Corp. 20,160 608
PPL Corp. 75,475 2,488
Progress Energy, Inc. 56,081 2,122
Public Service Enterprise Group, Inc. 102,624 3,349
SCANA Corp. 25,100 815
Sempra Energy 49,786 2,471
Southern Co. 159,443 4,968
TECO Energy, Inc. 42,151 503
Wisconsin Energy Corp. 22,800 928
Xcel Energy, Inc. 91,751 1,689
----------
65,068
----------
TOTAL COMMON STOCKS
(Cost $1,528,520,087) 1,645,414
----------
PAR AMOUNT
(000)
-----------
U.S. GOVERNMENT SECURITIES - 0.3%
United States Treasury Bill(d)(e)(f) 0.2% due
09/10/09 $ 4,815 4,813
----------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $4,813,481) 4,813
----------
See Notes to Financial Statements.
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
MARKET
SHARES VALUE
(000) (000)
----------- ----------
MONEY MARKET FUNDS - 2.3%
AIM Short Term Investment Prime Portfolio 38,830 $ 38,830
Federated Money Market Obligations Trust 575 575
----------
TOTAL MONEY MARKET FUNDS (Cost $39,405,105) 39,405
----------
TOTAL INVESTMENTS(g) + - 100.2%
(Cost $1,572,738,673) 1,689,632
----------
LIABILITIES IN EXCESS OF ASSETS - (0.2)% (2,776)
----------
NET ASSETS - 100.0% $1,686,856
==========
- ----------
(a) Non-income producing security.
(b) Affiliated issuer. See table that follows for more information.
(c) Amount is less than $1,000.
(d) All or part of this security has been designated as collateral for futures
contracts.
(e) Rate represents annualized yield at date of purchase.
(f) Value determined based on Level 2 inputs established by FAS 157. (Note 2)
(g) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 1 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
11
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NUMBER UNREALIZED
OF DEPRECIATION
CONTRACTS (000)
--------- ------------
Schedule of Futures Contracts S&P 500 Financial Futures Contracts (long)
Expiration Date 09/2009 926 $(1,165)
-------
Total unrealized depreciation on open futures contracts purchased $(1,165)
=======
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(R) Index. The market value of this investment at June 30, 2009 is
listed in the Portfolio of Investments.
SHARES INCOME EARNED
PURCHASED SHARES SOLD FOR THE REALIZED
NUMBER OF FOR THE FOR THE NUMBER OF VALUE SIX MONTHS ENDED GAIN
SECURITY SHARES HELD SIX MONTHS ENDED SIX MONTHS ENDED SHARES HELD AT 6/30/09 6/30/09 ON SHARES SOLD
DESCRIPTION AT 12/31/08 6/30/09 6/30/09 AT 6/30/09 (000) (000) (000)
- ----------- ------------ ---------------- ---------------- ----------- ---------- ---------------- --------------
State Street
Corp. 81,725 19,100 -- 100,825 $4,759 $21 $--
See Notes to Financial Statements.
12
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
ASSETS
Investments in unaffiliated issuers at market (identified cost $1,568,389) $1,684,873
----------
Investments in non-controlled affiliates at market (identified cost $4,350) (Note 4) 4,759
1,689,632
Investment securities sold 1,330
Dividends and interest 2,271
----------
Total assets 1,693,233
LIABILITIES
Investment securities purchased 6,050
Daily variation margin on futures contracts 265
Management fees (Note 4) 62
----------
Total liabilities 6,377
----------
NET ASSETS $1,686,856
==========
See Notes to Financial Statements.
13
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
INVESTMENT INCOME
Dividend income - unaffiliated issuers $ 19,392
Dividend income - non-controlled affiliated issuer 21
Interest 74
--------
Total Investment Income 19,487
--------
EXPENSES
Management fees (Note 4) 332
--------
Total Expenses 332
--------
NET INVESTMENT INCOME $ 19,155
========
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments - unaffiliated issuers $(49,381)
Futures contracts 3,942
--------
(45,439)
Net change in net unrealized appreciation (depreciation) on:
Investments 81,989
Futures contracts (2,116)
--------
79,873
--------
Net realized and unrealized gain 34,434
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 53,589
========
See Notes to Financial Statements.
14
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
FOR THE
SIX MONTHS ENDED FOR THE YEAR
JUNE 30, 2009 ENDED
(UNAUDITED) DECEMBER 31,2008
---------------- ----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ 19,155 $ 45,563
Net realized loss on investments and futures contracts (45,439) (19,853)
Net change in net unrealized appreciation (depreciation) 79,873 (897,802)
---------- ----------
Net increase (decrease) in net assets resulting from
operations 53,589 (872,092)
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions 162,539 288,497
Fair value of withdrawals (51,480) (316,574)
---------- ----------
Net increase (decrease) in net assets from capital
transactions 111,059 (28,077)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS 164,648 (900,169)
NET ASSETS
Beginning of Period 1,522,208 2,422,377
---------- ----------
End of Period $1,686,856 $1,522,208
========== ==========
See Notes to Financial Statements.
15
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED 6/30/09 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 12/31/08 12/31/07 12/31/06 12/31/05 12/31/04
------------- ---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of Period
(in thousands) $1,686,856 $1,522,208 $2,422,377 $2,766,696 $2,453,109 $2,767,467
Ratios to average net assets:
Operating expenses 0.045%** 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income 2.59%** 2.30% 1.96% 1.94% 1.84% 1.97%
Portfolio turnover rate* 5%*** 14% 12% 10% 8% 9%
Total return(a) 3.20%*** (37.02)% 5.49% 15.75% 4.87% 10.86%
- ----------
(a) Results represent past performance and are not indicative of future
results.
* The portfolio turnover rate excludes in-kind security transactions.
** Annualized.
*** Not Annualized.
See Notes to Financial Statements.
16
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
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 June
30, 2009, only the 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 Treasury Money Market Portfolio, the State
Street Treasury Plus Money Market Portfolio and the State Street U.S. Government
Money Market Portfolio were in operation. 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 Composite Stock
Price Index (the "S&P 500(R) Index"). The Portfolio uses a passive management
strategy designed to track the performance of the S&P 500(R) Index. The S&P
500(R) 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 Financial Accounting Standards Board ("FASB") Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, 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. FAS 157
established a three tier hierarchy of inputs to establish a
17
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
classification of fair value measurements and disclosure. 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 June 30, 2009, in valuing
the Portfolio's assets carried at fair value:
QUOTED
PRICES IN
ACTIVE SIGNIFICANT
MARKETS FOR OTHER SIGNIFICANT
IDENTICAL OBSERVABLE UNOBSERVABLE
ASSETS INPUTS INPUTS
DESCRIPTION (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL
- ----------- ----------- ----------- ------------ ----------
ASSETS:
COMMON STOCKS $1,645,414 $ -- $-- $1,645,414
U.S. GOVERNMENT SECURITIES -- 4,813 -- 4,813
MONEY MARKET FUNDS 39,405 -- -- 39,405
---------- ------- --- ----------
TOTAL INVESTMENTS 1,684,819 4,813 -- 1,689,632
LIABILITIES:
INVESTMENTS IN OTHER FINANCIAL INSTRUMENTS
Futures contracts (1,165) (1,165)
---------- ----------
TOTAL INVESTMENTS IN OTHER FINANCIAL
INSTRUMENTS (1,165) -- -- (1,165)
---------- ------- --- ----------
TOTAL $1,683,654 $ 4,813 $-- $1,688,467
========== ======= === ==========
In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP
157-4"). FSP 157-4 provides additional guidance for estimating fair value in
accordance with FAS 157 when the volume and level of activity for the asset or
liability have significantly decreased as well as guidance on identifying
circumstances that indicate a transaction is not orderly. The type of inputs
used to value each security is identified in the Portfolio of Investments, which
also includes a breakdown of the Portfolio's investments by category.
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 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.
18
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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, 2008, 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 June 30, 2009, tax years 2005 through 2008 remain subject to
examination by the Portfolio's major tax jurisdictions, which include the United
States of America and the Commonwealth of Massachusetts.
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the S&P 500(R) 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. The Portfolio recognizes a realized gain or loss when
the contract is closed. 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 the provisions of FASB Statement of Financial Accounting
Standards No. 161 "Disclosures about Derivative Instruments and Hedging
Activities" ("FAS 161"). FAS 161 has established improved financial reporting
about derivative instruments and hedging activities as it relates to disclosure
associated with these types of investments. The following table, grouped into
appropriate risk categories, discloses the amounts related to the Funds use of
derivative instruments and hedging activities at June 30, 2009:
LIABILITY 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 $-- $-- $-- $265 $-- $-- $265
(1) Statements of Assets and Liabilities location: Daily variation margin on
futures contracts
19
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
Transactions in derivative instruments during the six months ended June 30,
2009, 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 $-- $-- $-- $3,942 $-- $-- $3,942
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 $-- $-- $-- $(2,116) $-- $-- $(2,116)
(1) Statements of Operations location: Net realized gain (loss) on: Futures
contracts
(2) Statements of Operations location: Net change in unrealized appreciation
(depreciation) on: Futures contracts
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 period ended June 30, 2009, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and
contributions in-kind and fair value of withdrawals, aggregated to $202,423,545
and $66,166,854, respectively.
At June 30, 2009, the book cost of investments was $1,572,738,673 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $393,534,625 and
$276,641,660, respectively, resulting in net appreciation of $116,892,965 for
all securities as computed on a federal income tax basis.
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(R) Index. The market value of this investment at June 30,
2009 is listed in the Portfolio of Investments.
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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.
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.
7. SUBSEQUENT EVENTS
In accordance with the provisions set forth in FASB Statement of Financial
Accounting Standards No. 165 "Subsequent Events," adopted by the Portfolio as of
June 30, 2009, management has evaluated the possibility of subsequent events
existing in the Portfolio's financial statements through August 20, 2009.
Management has determined that there are no material events that would require
disclosure in the Portfolio's financial statements through this date.
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
JUNE 30, 2009 (UNAUDITED)
GENERAL INFORMATION
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.
22
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
STATE STREET SHORT-TERM TAX EXEMPT
BOND PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2009
(UNAUDITED)
STATE STREET INSTITUTIONAL SHORT-TERM TAX EXEMPT BOND PORTFOLIO
EXPENSE EXAMPLE (UNAUDITED)
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 January 1, 2009 to June 30,
2009.
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 June 30, 2009
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2009 JUNE 30, 2009 PERIOD *
--------------- ------------- -------------
Based on Actual Portfolio Return $1,000.00 $1,018.20 $0.50
Based on Hypothetical (5% return before expenses) $1,000.00 $1,024.30 $0.50
* 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 June 30, 2009 was 0.10%. 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 the
number of days in the most recent six month period, then divided by the
number of days in the most recent 12 month period.
2
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2009
- ---------------------- -------------
General Obligations 36.03%
Miscellaneous Revenue 16.29
Pre Refunded/Escrow to Maturity 11.30
General Obligation State 9.62
Hospital 6.25
Higher Education 4.80
Lease 4.52
Transportation Revenue 3.41
Cash 2.57
Water Revenue 1.42
Industrial Development Revenue/Pollution Control Revenue 1.26
Water & Sewer 1.20
Special Tax Revenue 0.72
Sales Tax Revenue 0.61
------
TOTAL 100.00%
======
MATURITY LADDER* JUNE 30, 2009
- ---------------- -------------
Less than 1 year 23.60%
1-2 years 55.67
2-3 years 20.73
------
TOTAL 100.00%
======
* The Portfolio's composition will vary over time.
See Notes to Financial Statements.
3
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- ----------
TAX-EXEMPT OBLIGATIONS - 102.9%
ALABAMA - 1.3%
City of Huntsville GO Unlimited, Series A, INS: FSA 5.400% 02/01/2010 $1,000,000 $1,024,620
----------
ALASKA - 7.4%
City of Anchorage GO Unlimited, Series B, INS: MBIA 5.250% 07/01/2010 3,000,000 3,132,390
Juneau City & Boro GO Unlimited, School, Series A 4.000% 06/01/2011 2,660,000 2,789,382
----------
5,921,772
----------
ARIZONA - 8.9%
City of Casa Grande Arizona, GO Unlimited, INS: FSA 3.500% 07/01/2010 1,000,000 1,027,770
Maricopa County Arizona School District No 11, Peoria, GO
Unlimited, INS: FSA 3.000% 07/01/2010 2,250,000 2,300,760
Maricopa County Arizona School District No 66, Roosevelt
Elementary, Series A, GO Unlimited, INS: FSA 4.000% 07/01/2010 2,380,000 2,440,381
Pinal County Union High School District No 82 Casa Grande
GO Unlimited, School Improvement - Project of 2006,
Series B 4.000% 07/01/2010 1,300,000 1,325,389
----------
7,094,300
----------
CALIFORNIA - 5.4%
California State Public Works Board Revenue Bonds,
Department General Service Buildings 8 & 9 - A 4.000% 04/01/2012 1,260,000 1,273,293
California Statewide Communities Development Authority
Revenue Bonds, Lodi Memorial Hospital, Series A, INS:
California Mortgage 4.000% 12/01/2011 1,000,000 1,024,160
Golden Empire Schools Financing Authority California Lease
Revenue Bonds, Kern High School District 4.000% 05/01/2010 1,500,000 1,521,645
San Bernardino County Transportation Authority Revenue
Bonds, Notes - Series A 4.000% 05/01/2012 500,000 519,035
----------
4,338,133
----------
COLORADO - 1.4%
Central Platte Valley Metropolitan District, Series A, GO
Unlimited, LOC: BNP Paribas(a) 5.000% 12/01/2009 1,110,000 1,122,765
----------
DELAWARE - 1.3%
Delaware State Solid Waste Authority Revenue Bonds,
INS: NPFGC 5.000% 06/01/2012 1,000,000 1,078,890
----------
GEORGIA - 5.2%
Macon Water Authority & Sewage Revenue Bonds 4.000% 10/01/2010 980,000 1,019,229
State of Georgia, Series B, GO Unlimited 5.000% 07/01/2010 3,000,000 3,135,060
----------
4,154,289
----------
See Notes to Financial Statements.
4
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- ----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
ILLINOIS - 4.8%
Chicago Illinois Park District, Personal Property Replacement,
Series D, GO Unlimited 5.000% 01/01/2011 $1,000,000 $1,049,130
City of Chicago Illinois GO Unlimited, Series B, INS: AMBAC 5.000% 01/01/2011 1,620,000 1,709,910
State of Illinois, First Series, GO Unlimited, INS: FSA 5.250% 05/01/2010 1,075,000 1,115,334
----------
3,874,374
----------
MARYLAND - 1.9%
Baltimore County Maryland, Construction Public Improvement,
GO Unlimited 5.250% 09/01/2010 1,170,000 1,233,238
Maryland Health & Higher Educational Facilities Authority
Revenue Bonds, University of Maryland Medical Systems,
Series F 4.000% 07/01/2010 310,000 312,809
----------
1,546,047
----------
MONTANA - 0.8%
Whitefish Montana Tax Allocation, Emergency Services
Contract Project 3.000% 07/15/2011 605,000 614,063
----------
NEVADA - 7.6%
Clark County Nevada, Bond Bank, GO Limited, INS: FGIC(b) 5.000% 06/01/2011 2,000,000 2,151,960
Clark County School District GO Limited, Limited Tax-
Building, Series A 5.000% 06/15/2010 2,700,000 2,794,473
Truckee Meadows Nevada Water Authority Revenue Bonds,
Series A, INS: FSA 5.500% 07/01/2009 1,180,000 1,180,000
----------
6,126,433
----------
NEW JERSEY - 6.0%
New Jersey Economic Development Authority Revenue Bonds,
School Facilities Construction, Series Y 5.000% 09/01/2010 850,000 878,798
New Jersey Economic Development Authority Revenue Bonds,
Transportation Project Sublease-Series A 5.000% 05/01/2012 1,860,000 1,964,420
New Jersey State Educational Facilities Authority Revenue
Bonds, Higher Education Cap Improvement, Series B(b) 5.000% 09/01/2010 1,850,000 1,947,107
----------
4,790,325
----------
NEW MEXICO - 1.9%
State of New Mexico Severance Tax Revenue Bonds, Series A-2 3.000% 07/01/2010 1,500,000 1,535,790
----------
See Notes to Financial Statements.
5
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
NEW YORK - 13.6%
City of New York GO Unlimited, Subseries B-1 4.000% 09/01/2011 $2,000,000 $ 2,085,980
City of New York, Series F, GO Unlimited 5.000% 08/01/2010 1,000,000 1,040,580
Erie County Industrial Development Agency Revenue Bonds,
City School District, Buffalo Project - Series A, INS: FSA 5.000% 05/01/2010 1,500,000 1,551,330
Nassau County GO Unlimited, Improvement, Series F,
INS: FSA 6.500% 03/01/2019 500,000 518,410
Nassau County GO Unlimited, Improvement, Series F,
INS: FSA 6.500% 03/01/2020 500,000 518,410
New York City Transitional Finance Authority Aid Revenue
Bonds, Series S-2, INS: State Aid Withholding 5.000% 01/15/2011 1,500,000 1,563,330
New York State Thruway Authority Service Contract Revenue
Bonds, Bridge Service Contract 3.000% 04/01/2010 750,000 762,360
New York State Urban Development Corporation Revenue
Bonds, State Personal Income Tax, Series A1 5.000% 12/15/2009 500,000 509,980
Tobacco Settlement Financing Authority Revenue Bonds, Asset
Backed, Series B 5.000% 06/01/2010 2,290,000 2,367,883
-----------
10,918,263
-----------
NORTH CAROLINA - 3.1%
Mecklenburg County North Carolina, Public Improvement,
Series A, GO Unlimited 4.500% 04/01/2011 2,305,000 2,447,172
-----------
OHIO - 1.3%
State of Ohio Revenue Bonds, Higher Education Facilities,
Series II-A 5.000% 12/01/2010 1,000,000 1,055,280
-----------
OKLAHOMA - 1.2%
Oklahoma State Capital Improvement Authority State Facilities
Revenue Bonds, Higher Education Projects, Series F,
INS: AMBAC 3.750% 07/01/2009 1,000,000 1,000,000
-----------
PENNSYLVANIA - 4.9%
Allegheny County Pennsylvania HDA Revenue Bonds,
University of Pittsburgh Medical Center, Series B 5.000% 06/15/2011 1,000,000 1,039,160
Lehigh County Pennsylvania General Purpose Hospital Revenue
Bonds, Lehigh Valley Health Network, Series A, INS: FSA 4.000% 07/01/2010 800,000 823,168
Pennsylvania Higher Educational Facilities Authority Revenue
Bonds, Series AJ 5.000% 06/15/2012 1,860,000 2,035,435
-----------
3,897,763
-----------
See Notes to Financial Statements.
6
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
SOUTH CAROLINA - 2.7%
South Carolina Transportation Infrastructure Bank Revenue
Bonds, Series A, INS: AMBAC 5.000% 10/01/2011 $2,000,000 $ 2,126,900
-----------
TEXAS - 11.3%
City of Austin Texas, Public Property Financial Contractual,
GO Limited 5.000% 09/01/2010 1,000,000 1,049,630
County of Williamson Texas, GO Unlimited, INS: FSA(b) 5.300% 02/15/2012 2,500,000 2,765,125
Harris County Cultural Education Facilities Finance Corp
Revenue Bonds, Methodist Hospital System 5.000% 06/01/2012 2,000,000 2,114,920
Texas A&M University Revenue Bonds, Financing System 3.700% 05/15/2011 1,000,000 1,046,930
Texas State Public Finance Authority Revenue Bonds,
INS: FGIC 4.000% 02/01/2011 1,955,000 2,040,786
-----------
9,017,391
-----------
VIRGINIA - 3.9%
Commonwealth of Virginia, Series B, GO Unlimited 5.000% 06/01/2011 1,655,000 1,781,740
Virginia State Public School Authority Revenue Bonds,
Series VII 5.000% 04/15/2011 1,290,000 1,378,649
-----------
3,160,389
-----------
WASHINGTON - 3.1%
Tacoma Washington Electrical Systems Revenue Bonds,
Series A, INS: FSA(b) 5.750% 01/01/2011 1,500,000 1,621,725
Whatcom County Washington School District No. 506 Nooksack
Valley, GO Unlimited, INS: School Building Guaranty 4.000% 12/01/2009 815,000 826,524
-----------
2,448,249
-----------
WISCONSIN - 3.9%
South Milwaukee Wisconsin Promissory Notes, GO Unlimited,
INS: MBIA 4.375% 06/01/2010 1,000,000 1,030,250
State of Wisconsin GO Unlimited, Series C 4.000% 05/01/2011 2,000,000 2,100,820
-----------
3,131,070
-----------
TOTAL TAX-EXEMPT OBLIGATIONS
(Cost $81,415,925) 82,424,278
-----------
SHARES
----------
MONEY MARKET FUND - 2.7%
State Street Institutional Tax Free Money Market Fund,
Institutional Shares (at net asset value)(c)(d) 2,203,260 2,203,260
-----------
TOTAL MONEY MARKET FUND
(Cost $2,203,260) 2,203,260
-----------
TOTAL INVESTMENTS(e) + - 105.6% (COST $83,619,185) 84,627,538
LIABILITIES IN EXCESS OF ASSETS - (5.6)% (4,482,343)
-----------
NET ASSETS - 100.0% $80,145,195
===========
See Notes to Financial Statements.
7
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
- ----------
(a) Floating Rate Note - Interest rate shown is rate in effect at June 30,
2009.
(b) Date shown is pre-refunded date.
(c) Affiliated issuer. See table that follows for more information.
(d) Value determined based on Level 1 inputs established by FAS 157. (Note 2)
(e) Unless otherwise indicated, the values of the securities of the Portfolio
are determined based on Level 2 inputs established by FAS 157. (Note 2)
+ See Note 2 of the Notes to financial statements.
ACRONYM NAME
- ------- ---------------------------------------------
AMBAC American Municipal Bond Assurance Corporation
FGIC Financial Guaranty Insurance Company
FSA Financial Security Assurance
GO General Obligation
HDA Hospital Development Authority
INS Insured
MBIA Municipal Bond Investors Assurance
NPFGC National Public Finance Guarantee Corporation
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 June 30,
2009 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 SIX MONTHS SIX MONTHS SHARES VALUE AT SIX MONTHS ON SHARES
SECURITY DESCRIPTION AT 12/31/2008 ENDED 6/30/09 ENDED 6/30/09 HELD AT 6/30/09 6/30/09 ENDED 6/30/09 SOLD
- -------------------- ------------- ------------- ------------- --------------- ---------- ------------- ---------
State Street
Institutional Tax
Free Money Market
Fund, Institutional
Shares 10,110,420 23,195,907 31,103,067 2,203,260 $2,203,260 $18,891 $--
See Notes to Financial Statements.
8
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2009 (UNAUDITED)
ASSETS
Investments in unaffiliated issuers, at market
(identified cost $81,415,925) $82,424,278
Investments in non-controlled affiliates at market
(identified cost $2,203,260) (Note 4) 2,203,260
-----------
Total investments at market (identified cost $83,619,185) 84,627,538
Interest receivable 1,007,728
Dividend receivable from non-controlled affiliates (Note 4) 155
Receivable from adviser (Note 4) 7,647
Prepaid expenses 6,316
-----------
Total assets 85,649,384
LIABILITIES
Investment securities purchased 5,468,598
Management fee (Note 4) 6,555
Administration and custody fees (Note 4) 1,295
Professional fees 24,843
Accrued expenses and other liabilities 2,898
-----------
Total Liabilities 5,504,189
-----------
NET ASSETS $80,145,195
===========
See Notes to Financial Statements.
9
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2009 (UNAUDITED)
INVESTMENT INCOME
Interest $1,039,609
Dividends - non-controlled affiliated issuer 18,891
----------
Total Investment Income 1,058,500
EXPENSES
Management fees (Note 4) 44,660
Professional fees 25,034
Administration and custody fees (Note 4) 9,058
Trustees' fees (Note 5) 5,931
Insurance fees 4,623
Printing fees 1,483
Other expenses 521
----------
Total Expenses 91,310
Less: Fee waivers/reimbursements by investment adviser
(Note 4) (46,650)
----------
Total Net Expenses 44,660
----------
NET INVESTMENT INCOME $1,013,840
==========
REALIZED AND UNREALIZED GAIN
Net gain on investments $ 277,489
Net change in net unrealized appreciation on investments 405,330
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,696,659
==========
See Notes to Financial Statements.
10
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2009 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2008
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 1,013,840 $ 1,672,162
Net realized gain on investments 277,489 --
Change in net unrealized appreciation of investments 405,330 577,705
------------ ------------
Net increase in net assets resulting from operations 1,696,659 2,249,867
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions 708,986 60,026,469
Fair value of withdrawals (23,590,346) (1,413,816)
------------ ------------
Net increase (decrease) in net assets from capital
transactions (22,881,360) 58,612,653
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS (21,184,701) 60,862,520
NET ASSETS
Beginning of period 101,329,896 40,467,376
------------ ------------
End of period $ 80,145,195 $101,329,896
============ ============
See Notes to Financial Statements.
11
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
SIX MONTHS
ENDED YEAR YEAR
JUNE 30, 2009 ENDED ENDED
(UNAUDITED) 12/31/2008 12/31/2007(b)
------------- ---------- -------------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (000s) $80,145 $101,330 $40,467
Ratios to average net assets:
Gross operating expenses 0.20%* 0.23% 0.35%*
Net operating expenses 0.10%* 0.10% 0.10%*
Net investment income 2.27%* 2.44% 3.58%*
Portfolio turnover rate 22.48%** 88.99% 31.18%**
Total return(a) 1.82% 3.04% 3.33%
- ----------
(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) The Portfolio commenced operations on February 7, 2007.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
12
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2009 (UNAUDITED)
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 June 30, 2009, only
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 Treasury Money Market Portfolio, the State Street Treasury Plus
Portfolio and the State Street U.S. Government Money Market Portfolio were in
operation. The Portfolio is authorized to issue an unlimited number of
non-transferable beneficial interests.
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 Financial Accounting Standards Board Statement of
Financial Accounting Standards No. 157, Fair Value Measurements ("FAS 157"),
effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. In accordance
with FAS 157, 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. FAS 157
established a three tier hierarchy of inputs to establish a classification of
fair value measurements and disclosure. 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)
13
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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 June 30, 2009, 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 ... $ -- $82,424,278 $-- $82,424,278
---------- ----------- --- -----------
MONEY MARKET FUND ........ 2,203,260 -- -- 2,203,260
---------- ----------- --- -----------
TOTAL INVESTMENTS ........ $2,203,260 $82,424,278 $-- $84,627,538
========== =========== === ===========
In April 2009, the FASB issued FASB Staff Position No. 157-4, "Determining Fair
Value When the Volume and Level of Activity for the Asset or Liability Have
Significantly Decreased and Identifying Transactions That Are Not Orderly" ("FSP
157-4"). FSP 157-4 provides additional guidance for estimating fair value in
accordance with FAS 157 when the volume and level of activity for the asset or
liability have significantly decreased as well as guidance on identifying
circumstances that indicate a transaction is not orderly. The type of inputs
used to value each security is identified in the Portfolio of Investments, which
also includes a breakdown of the Portfolio's investments by category.
On March 19, 2008, the FASB released Statement of Financial Accounting Standards
No. 161, "Disclosures about Derivative Instruments and Hedging Activities" ("FAS
161"). FAS 161 requires qualitative disclosures about objectives and strategies
for using derivatives, quantitative disclosures about fair value amounts of
gains and losses on derivative instruments, and disclosures about credit-risk
related contingent features in derivative agreements. The application of FAS 161
is required for fiscal years beginning after November 15, 2008 and interim
periods within those fiscal years. Management has evaluated the implication of
FAS 161 and there is no impact on the Portfolio's Financial Statements.
In September 2008, FASB issued a FASB Staff Position No. 133-1 and FIN 45-4
"Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of
FASB Statement No. 133 and FASB Interpretation No. 45; and Clarification of the
Effective Date of FASB Statement No. 161" ("FSP 133"). FSP 133 requires enhanced
transparency of the effect of credit derivatives and guarantees on an issuer's
financial position, financial performance and cash flows. FSP 133 is effective
for fiscal years ending after November 15, 2007. FSP 133 applies to certain
credit derivatives, hybrid instruments that have embedded credit derivatives
(for example, credit-linked notes), and certain guarantees and it requires
additional disclosures regarding credit derivatives with sold protection.
Management has evaluated the implication of FSP 133 and there is no impact to
the Portfolio.
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.
14
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
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 December 31,
2008, 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 June
30, 2009, tax years since inception through 2008 remain subject to examination
by the Portfolio's major tax jurisdictions, which include the United States of
America and the Commonwealth of Massachusetts.
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 six months ended June 30, 2009, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
contributions and withdrawals, aggregated to $18,835,793 and $27,308,817,
respectively.
At June 30, 2009, the book cost of investments was $83,619,185 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $1,063,896 and
$55,543, respectively, resulting in net appreciation of $1,008,353 for all
securities as computed on a federal income tax basis.
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
contractually agreed to cap the total operating expenses of the Portfolio at
0.10% of the Portfolio's average daily net assets through April 30, 2009. For
the six months ended June 30, 2009, the Adviser reimbursed the Portfolio $46,650
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,
15
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2009 (UNAUDITED)
which is accrued daily at the applicable fee rate described below and payable
monthly, of the 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%
Thereafter 0.02
Minimum annual fee for the trust: $150,000
Effective August 1, 2009, the annual fees paid by the Trust to State Street for
its services as administrator, custodian, and transfer agent for the Portfolios
were revised 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 for the trust: $150,000
5. 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.
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.
7. SUBSEQUENT EVENTS
In accordance with the provisions set forth in FASB Statement of Financial
Accounting Standards No. 165 "Subsequent Events," adopted by the Portfolio as of
June 30, 2009, management has evaluated the possibility of subsequent events
existing in the Portfolio's financial statements through August 20, 2009.
Management has determined that there are no material events that would require
disclosure in the Portfolio's financial statements through this date.
16
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
JUNE 30, 2009
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 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 Portfolio 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.
17
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
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
(a) Schedules of Investments are included as part of the reports to shareholders
filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable to the Registrant.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")) are effective to provide reasonable assurance that information required
to be disclosed by the registrant on Form N-CSR is recorded,
processed, summarized and reported as of a date within 90 days of the filing
date of the report that includes the disclosure required by this paragraph,
based on their evaluation of these controls and procedures required by Rule
30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the Trust's second fiscal quarter of the period covered by this Form N-CSR
filing that has materially affected, or is reasonably likely to materially
affect, the Trust's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(2) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act, as
amended.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act, as
amended, and Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(REGISTRANT): State Street Master Funds
By: /s/ James E. Ross
--------------------------------
James E. Ross
President
Date: September 1, 2009
By: /s/ Gary L. French
--------------------------------
Gary L. French
Treasurer
Date: September 1, 2009
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
--------------------------------
James E. Ross
President
(Principal Executive Officer)
Date: September 1, 2009
By: /s/ Gary L. French
--------------------------------
Gary L. French
Treasurer
(Principal Financial Officer)
Date: September 1, 2009