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:
David James, 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) 662-1742
Date of fiscal year end: December 31
Date of reporting period: June 30, 2010
ITEM 1: SHAREHOLDER REPORT
STATE STREET MASTER FUNDS
SEMI-ANNUAL REPORT
JUNE 30, 2010
(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 (the "Portfolios"), you incur
ongoing costs, which include costs for portfolio management and administrative
services, among others. This example is intended to help you understand your
ongoing costs (in dollars) of investing in the Portfolios and to compare these
costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from January 1, 2010 to June 30,
2010.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the Portfolio's actual return, and the third column
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the Portfolio. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result
by the number given for the Portfolio under the heading "Expenses Paid
During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case, because the return
used is not the Portfolio's actual return, the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended June 30, 2010
<Table>
<Caption>
- -----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2010 JUNE 30, 2010 PERIOD *
- -----------------------------------------------------------------------------------------
BASED ON ACTUAL PORTFOLIO RETURN
- -----------------------------------------------------------------------------------------
Money Market Portfolio $1,000.00 $1,000.70 $0.60
- -----------------------------------------------------------------------------------------
Tax Free Money Market Portfolio $1,000.00 $1,000.60 $0.64
- -----------------------------------------------------------------------------------------
U.S. Government Money Market Portfolio $1,000.00 $1,000.20 $0.60
- -----------------------------------------------------------------------------------------
Treasury Money Market Portfolio $1,000.00 $999.90 $0.60
- -----------------------------------------------------------------------------------------
Treasury Plus Money Market Portfolio $1,000.00 $1,000.00 $0.64
- -----------------------------------------------------------------------------------------
</Table>
23
STATE STREET MASTER FUNDS
EXPENSE EXAMPLE (UNAUDITED) (CONTINUED)
<Table>
<Caption>
- -----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2010 JUNE 30, 2010 PERIOD *
- -----------------------------------------------------------------------------------------
BASED ON HYPOTHETICAL (5% RETURN BEFORE
EXPENSES)
- -----------------------------------------------------------------------------------------
Money Market Portfolio $1,000.00 $1,024.20 $0.60
- -----------------------------------------------------------------------------------------
Tax Free Money Market Portfolio $1,000.00 $1,024.15 $0.65
- -----------------------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------------------
</Table>
* 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, 2010 was as follows:
<Table>
Money Market Portfolio 0.12%
----------------------------------------------------
Tax Free Money Market Portfolio 0.13%
----------------------------------------------------
U.S. Government Money Market Portfolio 0.12%
----------------------------------------------------
Treasury Money Market Portfolio 0.12%
----------------------------------------------------
Treasury Plus Money Market Portfolio 0.13%
----------------------------------------------------
</Table>
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 181/365 (the most recent six month period).
24
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
Yankee Certificates of Deposit 39.7%
- --------------------------------------------------------------------------------
Repurchase Agreements 31.9
- --------------------------------------------------------------------------------
Commercial Paper 15.1
- --------------------------------------------------------------------------------
Eurodollar Certificates of Deposit 6.6
- --------------------------------------------------------------------------------
Bank Notes 4.3
- --------------------------------------------------------------------------------
Time Deposit 1.3
- --------------------------------------------------------------------------------
U.S. Government Agency Obligations 0.9
- --------------------------------------------------------------------------------
Corporate Obligation 0.2
- --------------------------------------------------------------------------------
Other Assets In Excess of Liabilities 0.0
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- --------------------------------------------------------------------------------
Overnight (1 Day) 33.2%
- --------------------------------------------------------------------------------
2-30 Days 33.8
- --------------------------------------------------------------------------------
31-60 Days 14.5
- --------------------------------------------------------------------------------
61-90 Days 14.4
- --------------------------------------------------------------------------------
Over 90 Days 4.1
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
Average days to maturity 29
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
25
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- ---------------
COMMERCIAL PAPER - 15.1%
ASSET BACKED COMMERCIAL PAPER CREDIT
ARBITRAGE - 2.6%
Aspen Funding Corp.(a) 0.274% 07/06/2010 $ 175,000,000 $ 174,993,437
Solitaire Funding LLC(a) 0.304% 07/08/2010 112,000,000 111,993,467
Solitaire Funding LLC(a) 0.315% 07/16/2010 95,000,000 94,987,729
Solitaire Funding LLC(a) 0.315% 07/19/2010 60,000,000 59,990,700
Solitaire Funding LLC(a) 0.365% 08/02/2010 30,000,000 29,990,400
Solitaire Funding LLC(a) 0.589% 09/15/2010 30,000,000 29,963,267
---------------
501,919,000
---------------
ASSET BACKED COMMERCIAL PAPER
HYBRID - 1.9%
Argento Variable Funding Company LLC(b) 0.340% 07/26/2010 115,000,000 114,972,847
Cancara Asset Securitisation LLC(a) 0.508% 08/05/2010 65,000,000 64,968,403
Cancara Asset Securitisation LLC(a) 0.508% 08/16/2010 185,000,000 184,881,806
---------------
364,823,056
---------------
ASSET BACKED COMMERCIAL PAPER RECEIVABLES
AND SECURITIES - 3.1%
Gemini Securitization Corp.(a) 0.260% 07/06/2010 250,000,000 249,990,972
Royal Park Investments Funding Corp.(a) 0.183% 08/03/2010 85,000,000 84,968,833
Straight-A Funding (Series 1)(a) 0.396% 08/03/2010 251,589,000 251,499,057
---------------
586,458,862
---------------
BANK DOMESTIC - 0.5%
JPMorgan Chase & Co. 0.210% 07/06/2010 100,000,000 99,997,083
---------------
BANK FOREIGN - 4.5%
Australia & New Zealand Banking Group
Ltd.
(Next Rate Reset Date:
07/26/2010)(a)(c) 0.397% 11/23/2010 45,000,000 45,000,000
Commonwealth Bank of Australia(a) 0.274% 07/06/2010 256,000,000 255,990,400
DnB NOR Bank ASA(a) 0.452% 09/23/2010 450,000,000 449,532,750
Nordea North America, Inc./DE 0.300% 08/03/2010 100,000,000 99,972,500
---------------
850,495,650
---------------
FINANCE NON-CAPTIVE DIVERSIFIED - 2.5%
General Electric Capital Corp. 0.250% 07/22/2010 100,000,000 99,985,417
General Electric Capital Corp. 0.274% 07/28/2010 120,000,000 119,975,700
General Electric Capital Corp. 0.280% 08/05/2010 225,000,000 224,938,750
General Electric Capital Corp. 0.530% 10/13/2010 39,000,000 38,941,413
---------------
483,841,280
---------------
TOTAL COMMERCIAL PAPER 2,887,534,931
---------------
EURO CERTIFICATES OF DEPOSIT - 6.6%
BANK FOREIGN - 6.6%
Australia & New Zealand Banking Group
Ltd. 0.460% 09/20/2010 125,000,000 125,005,614
ING Bank NV 0.330% 08/03/2010 100,000,000 100,000,000
</Table>
See Notes to Financial Statements.
26
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- ---------------
EURO CERTIFICATES OF DEPOSIT (CONTINUED)
BANK FOREIGN (CONTINUED)
ING Bank NV 0.340% 08/16/2010 $ 150,000,000 $ 150,000,000
ING Bank NV 0.500% 08/18/2010 200,000,000 200,000,000
ING Bank NV 0.390% 09/01/2010 150,000,000 150,000,000
ING Bank NV 0.540% 09/27/2010 200,000,000 200,000,000
National Australia Bank Ltd. 0.463% 09/22/2010 200,000,000 200,001,152
National Australia Bank Ltd. 0.470% 10/04/2010 150,000,000 150,000,000
---------------
TOTAL EURO CERTIFICATES OF DEPOSIT 1,275,006,766
---------------
YANKEE CERTIFICATES OF DEPOSIT - 39.7%
BANK FOREIGN - 39.7%
Bank of Montreal/Chicago 0.270% 07/07/2010 95,000,000 95,000,000
Bank of Montreal/Chicago 0.290% 07/21/2010 100,000,000 100,000,000
Bank of Montreal/Chicago 0.280% 07/27/2010 150,000,000 150,000,000
Bank of Nova Scotia 0.270% 07/06/2010 400,000,000 400,000,000
Bank of Nova Scotia/Houston 0.380% 09/23/2010 100,000,000 100,000,000
Bank of Nova Scotia/Houston
(Next Rate Reset Date:
08/16/2010)(c) 0.436% 06/16/2011 38,000,000 38,000,000
Barclays Bank PLC NY 0.300% 07/16/2010 300,000,000 300,000,000
Barclays Bank PLC NY
(Next Rate Reset Date:
07/20/2010)(c) 0.468% 10/20/2010 450,000,000 450,000,000
Barclays Bank PLC NY
(Next Rate Reset Date:
07/06/2010)(c) 0.771% 12/03/2010 100,000,000 100,000,000
BNP Paribas NY 0.310% 07/21/2010 500,000,000 500,000,000
BNP Paribas NY 0.270% 08/02/2010 200,000,000 200,000,000
Credit Agricole Corporate and
Investment Bank NY 0.590% 08/24/2010 250,000,000 250,000,000
Credit Agricole Corporate and
Investment Bank NY
(Next Rate Reset Date:
07/06/2010)(c) 0.451% 03/03/2011 200,000,000 200,000,000
Deutsche Bank AG NY 0.300% 07/19/2010 100,000,000 100,000,000
Deutsche Bank AG NY 0.510% 09/15/2010 100,000,000 100,000,000
DnB NOR Bank ASA NY 0.400% 08/13/2010 100,000,000 100,000,000
DnB NOR Bank ASA NY
(Next Rate Reset Date:
07/06/2010)(c) 0.441% 03/03/2011 90,000,000 90,000,000
Lloyds TSB Bank PLC NY 0.550% 09/23/2010 200,000,000 200,000,000
Lloyds TSB Bank PLC NY 0.550% 09/24/2010 200,000,000 200,000,000
National Australia Bank Ltd. 0.220% 07/02/2010 300,000,000 300,000,000
National Australia Bank Ltd. 0.410% 09/16/2010 150,000,000 150,000,000
Nordea Bank Finland PLC NY 0.500% 10/25/2010 100,000,000 100,000,000
Rabobank Nederland NV NY 0.250% 07/19/2010 200,000,000 200,000,000
Royal Bank of Canada NY 0.220% 07/15/2010 100,000,000 100,000,000
Royal Bank of Canada NY 0.420% 09/29/2010 500,000,000 500,000,000
Royal Bank of Scotland PLC/Greenwich CT 0.500% 08/19/2010 150,000,000 150,000,000
</Table>
See Notes to Financial Statements.
27
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- ---------------
YANKEE CERTIFICATES OF DEPOSIT (CONTINUED)
BANK FOREIGN (CONTINUED)
Royal Bank of Scotland PLC/Greenwich CT 0.440% 09/03/2010 $ 300,000,000 $ 300,000,000
Royal Bank of Scotland PLC/Greenwich CT
(Next Rate Reset Date:
07/21/2010)(c) 0.455% 10/18/2010 200,000,000 200,000,000
Societe Generale NY 0.300% 07/09/2010 100,000,000 100,000,000
Societe Generale NY 0.250% 07/12/2010 200,000,000 200,000,000
Societe Generale NY 0.300% 08/06/2010 200,000,000 200,000,000
Societe Generale NY
(Next Rate Reset Date:
07/14/2010)(c) 0.450% 01/14/2011 54,000,000 54,000,000
Societe Generale NY
(Next Rate Reset Date:
07/06/2010)(c) 0.451% 03/03/2011 250,000,000 250,000,000
Svenska Handelsbanken NY 0.300% 07/28/2010 300,000,000 300,000,000
Svenska Handelsbanken NY 0.440% 08/19/2010 100,000,000 100,000,000
Svenska Handelsbanken NY 0.480% 09/22/2010 150,000,000 150,000,000
The Toronto-Dominion Bank NY 0.270% 08/18/2010 35,000,000 35,000,000
The Toronto-Dominion Bank NY
(Next Rate Reset Date:
07/06/2010)(c) 0.351% 11/05/2010 24,000,000 24,000,000
The Toronto-Dominion Bank NY
(Next Rate Reset Date:
07/09/2010)(c) 0.350% 12/09/2010 30,000,000 30,000,000
The Toronto-Dominion Bank NY
(Next Rate Reset Date:
07/06/2010)(c) 0.351% 02/04/2011 50,000,000 50,000,000
The Toronto-Dominion Bank NY
(Next Rate Reset Date:
07/12/2010)(c) 0.350% 03/10/2011 44,000,000 44,000,000
UBS AG/Stamford 0.555% 09/20/2010 400,000,000 400,000,000
---------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 7,610,000,000
---------------
BANK NOTES - 4.3%
BANK DOMESTIC - 1.8%
Bank of America NA/Charlotte NC 0.300% 07/22/2010 170,000,000 170,000,000
Bank of America NA/Charlotte NC
(Next Rate Reset Date:
07/27/2010)(c) 0.447% 01/27/2011 171,000,000 171,000,000
Bank of America NA/Charlotte NC
(Next Rate Reset Date:
07/22/2010)(c) 0.557% 05/20/2011 8,526,000 8,526,000
---------------
349,526,000
---------------
BANK FOREIGN - 2.5%
Commonwealth Bank of Australia
(Next Rate Reset Date:
07/27/2010)(b)(c) 0.321% 07/27/2011 31,000,000 31,000,000
Nordea Bank AB
(Next Rate Reset Date:
08/18/2010)(b)(c) 0.475% 07/18/2011 174,000,000 174,000,000
Rabobank Nederland (Coop Cent
Raiffeisen - Boerenleenbank B.A.)
(Next Rate Reset Date:
08/16/2010)(b)(c) 0.436% 06/16/2011 107,000,000 107,000,000
Svenska Handelsbanken
(Next Rate Reset Date:
07/15/2010)(b)(c) 0.333% 02/11/2011 123,000,000 123,000,000
</Table>
See Notes to Financial Statements.
28
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- -------------- ---------------
BANK NOTES (CONTINUED)
BANK FOREIGN (CONTINUED)
Svenska Handelsbanken
(Next Rate Reset Date:
08/09/2010)(b)(c) 0.404% 07/11/2011 $ 40,000,000 $ 40,000,000
---------------
475,000,000
---------------
TOTAL BANK NOTES 824,526,000
---------------
CORPORATE OBLIGATION - 0.2%
BANK FOREIGN - 0.2%
Westpac Banking Corp.
(Next Rate Reset Date:
07/28/2010)(c) 0.324% 07/28/2011 35,000,000 35,000,000
---------------
TOTAL CORPORATE OBLIGATION 35,000,000
---------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 0.9%
SOVEREIGN - 0.9%
Fannie Mae(c) 0.188% 07/13/2010 100,000,000 100,000,000
Freddie Mac (Next Rate Reset Date:
07/12/2010)(c) 0.094% 11/10/2010 80,000,000 80,000,000
---------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 180,000,000
---------------
<Caption>
MARKET
VALUE
---------------
REPURCHASE AGREEMENTS - 31.9%
Agreement with Bank of America
Securities, LLC and The Bank of New
York, Inc. (Tri-Party), dated 06/30/10
(collateralized by Federal Home Loan
Bank 0.000% due 07/06/10 - 09/22/10, a
Federal Home Mortgage Corporation
4.375% due 07/17/15 and Federal
National Mortgage Association
0.000% - 2.375% due 09/22/10 - 07/28/15
valued at $141,780,826); proceeds
$139,000,193 0.050% 07/01/2010 139,000,000 139,000,000
Agreement with Barclays Capital, Inc. and
The Bank of New York, Inc. (Tri-Party),
dated 06/30/10 (collateralized by a
U.S. Treasury Bill 0.000% due 08/12/10,
U.S. Treasury Bond 4.500% - 8.750% due
08/15/20 - 08/15/39 and U.S. Treasury
Note 0.750% - 4.500% due
11/15/10 - 10/31/13 valued at
$2,320,500,037); proceeds
$2,275,000,632 0.010% 07/01/2010 2,275,000,000 2,275,000,000
Agreement with BNP Paribas Securities
Corp. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by U.S. Treasury Note
1.000% - 3.625% due 04/30/12 - 08/15/19
valued at $2,550,000,054); proceeds
$2,500,000,694 0.010% 07/01/2010 2,500,000,000 2,500,000,000
</Table>
See Notes to Financial Statements.
29
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
---------------
REPURCHASE AGREEMENTS (CONTINUED)
Agreement with Citigroup Global Markets,
Inc. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by Federal Home
Mortgage Corporation 0.000% - 6.000%
due 12/15/19 - 12/15/39 and Federal
National Mortgage Association
0.677% - 6.000% due 06/25/19 - 06/25/40
valued at $612,000,000); proceeds
$600,001,333 0.080% 07/01/2010 $ 600,000,000 $ 600,000,000
Agreement with Morgan Stanley and Co.,
Inc. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by Federal Home
Mortgage Corporation 4.500% - 8.000%
due 12/01/13 - 06/01/40 and Federal
National Mortgage Association
5.000% - 8.500% due 05/01/16 - 07/01/37
valued at $612,169,904); proceeds
$600,000,667 0.040% 07/01/2010 600,000,000 600,000,000
---------------
TOTAL REPURCHASE AGREEMENTS 6,114,000,000
---------------
<Caption>
SHARES
--------------
TIME DEPOSIT - 1.3%
BANK DOMESTIC - 1.3%
Wells Fargo Bank NA 0.010% 07/01/2010 240,882,000 240,882,000
---------------
TOTAL TIME DEPOSIT 240,882,000
---------------
TOTAL INVESTMENTS(D)+ - 100.0% 19,166,949,697
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.00% 2,597,624
---------------
NET ASSETS - 100.0% $19,169,547,321
===============
</Table>
- --------
(a) Rule 144A, Section 4(2) or other security which is restricted as to
resale to institutional investors. The Fund's Portfolio Manager has
deemed this security to be liquid based upon procedures approved by the
Board of Trustees. These securities represent $2,088,751,221 or 10.90% of
net assets as of June 30, 2010.
(b) Security subject to restrictions on resale under federal securities laws,
which may only be resold upon registration under the Securities Act of
1933, as amended ("1933 Act") or in transactions exempt from
registration, including sales to qualified institutional buyers pursuant
to Rule 144A of the 1933 Act. The Portfolio does not have the right to
demand that this security be registered. These securities represent
$589,972,847 or 3.08% of net assets as of June 30, 2010.
(c) Variable Rate Security - Interest Rate is in effect as of June 30, 2010.
(d) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
30
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
General Obligations 21.2%
- --------------------------------------------------------------------------------
Education 21.2
- --------------------------------------------------------------------------------
Health 13.5
- --------------------------------------------------------------------------------
Transportation 9.1
- --------------------------------------------------------------------------------
Cash/Money Market Fund 8.1
- --------------------------------------------------------------------------------
Housing 5.3
- --------------------------------------------------------------------------------
Development 4.8
- --------------------------------------------------------------------------------
Water 4.1
- --------------------------------------------------------------------------------
Utility 4.0
- --------------------------------------------------------------------------------
Revenue 3.8
- --------------------------------------------------------------------------------
Industrial Revenue/Pollution Control Revenue 2.1
- --------------------------------------------------------------------------------
Public Agency 1.4
- --------------------------------------------------------------------------------
Electric Power 0.6
- --------------------------------------------------------------------------------
Airport 0.4
- --------------------------------------------------------------------------------
Stadium 0.4
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- --------------------------------------------------------------------------------
Overnight (1 Day) 59.8%
- --------------------------------------------------------------------------------
2-30 Days 40.2
- --------------------------------------------------------------------------------
31-60 Days 0.0
- --------------------------------------------------------------------------------
61-90 Days 0.0
- --------------------------------------------------------------------------------
Over 90 Days 0.0
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
Average days to maturity 3
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
31
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS - 91.9%
ALABAMA - 1.0%
Lower Alabama Gas District Supply, Revenue
Bonds, Series A, LIQ: Societe Generale
(Next Rate Reset Date: 07/01/2010)(a) 1.750% 11/01/2027 $ 3,789,000 $ 3,789,000
------------
ARIZONA - 0.5%
Arizona State Board of Regents, Revenue
Bonds, Series A, LOC: Lloyds TSB Bank PLC
(Next Rate Reset Date: 07/07/2010)(a) 0.180% 07/01/2034 2,000,000 2,000,000
------------
CALIFORNIA - 3.3%
California State Department of Water
Resources, Revenue Bonds, Subseries G-2,
LOC: Lloyds TSB Bank PLC
(Next Rate Reset Date: 07/01/2010)(a) 0.280% 05/01/2011 840,000 840,000
Eastern Municipal Water District, COP, Series
E, LIQ:
LLoyds TSB Bank (Next Rate Reset Date:
07/07/2010)(a) 0.170% 07/01/2033 3,885,000 3,885,000
Metropolitan Water District of Southern
California, Revenue Bonds, Series A-2, SPA:
Banco Bilbao Vizcaya
(Next Rate Reset Date: 07/01/2010)(a) 0.400% 07/01/2021 2,995,000 2,995,000
Metropolitan Water District of Southern
California, Revenue Bonds, Series B-1, SPA:
Citibank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.260% 07/01/2028 5,395,000 5,395,000
------------
13,115,000
------------
COLORADO - 6.9%
City of Colorado Springs Colorado Utilities,
Revenue Bonds, Sub Lien Improvement, Series
A, SPA: Dexia Credit Local
(Next Rate Reset Date: 07/01/2010)(a) 0.330% 11/01/2023 7,925,000 7,925,000
Colorado Health Facilities Authority, Revenue
Bonds, Craig Hospital Project, LOC: Wells
Fargo Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 12/01/2020 1,920,000 1,920,000
Colorado Housing & Finance Authority, Revenue
Bonds, Multi Family Project, Class I-B3,
SPA: Calyon Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.230% 04/01/2038 4,655,000 4,655,000
Colorado Housing & Finance Authority, Revenue
Bonds, Single Family Mortgage, Class 1-A3,
SPA: Federal Home Loan Bank (Next Rate
Reset Date: 07/07/2010)(a) 0.250% 11/01/2021 2,255,000 2,255,000
Colorado Housing & Finance Authority, Revenue
Bonds, Single Family, Class 1 B-2 RMKT
08/26/09, LIQ: Barclays Bank PLC
(Next Rate Reset Date: 07/07/2010)(a) 0.240% 05/01/2034 2,000,000 2,000,000
Southern Ute Indian Tribe of Southern Ute
Indian Reservation, Revenue Bonds (Next
Rate Reset Date: 07/01/2010)(a) 0.300% 11/01/2031 3,700,000 3,700,000
University of Colorado Hospital Authority,
Revenue Bonds, Series A, SPA: Wachovia Bank
N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.280% 11/15/2033 4,620,000 4,620,000
------------
27,075,000
------------
CONNECTICUT - 3.2%
Connecticut State Health & Educational
Facility Authority, Revenue Bonds, The
Hotchkiss School, Series A, SPA: Northen
Trust Co., (Next Rate Reset Date:
07/01/2010)(a) 0.300% 07/01/2030 1,400,000 1,400,000
</Table>
See Notes to Financial Statements.
32
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
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 T-2
(Next Rate Reset Date: 07/01/2010)(a) 0.200% 07/01/2029 $ 2,500,000 $ 2,500,000
Connecticut State Health & Educational
Facility Authority, Revenue Bonds, Yale
University, Series U2
(Next Rate Reset Date: 07/07/2010)(a) 0.180% 07/01/2033 2,000,000 2,000,000
Connecticut State Health & Educational
Facility Authority, Revenue Bonds, Yale
University, Series V-2
(Next Rate Reset Date: 07/01/2010)(a) 0.080% 07/01/2036 1,470,000 1,470,000
Connecticut State Health & Educational
Facility Authority, Revenue Bonds, Yale-New
Haven Hospital, Series K2, LOC: JP Morgan
Chase Bank (Next Rate Reset Date:
07/07/2010)(a) 0.220% 07/01/2025 3,000,000 3,000,000
State of Connecticut, GO Unlimited, Series A,
SPA:
Landesbank Hessen -- Thrgn,
(Next Rate Reset Date: 07/01/2010)(a) 0.420% 02/15/2021 2,200,000 2,200,000
------------
12,570,000
------------
DELAWARE - 1.6%
Delaware River & Bay Authority, Revenue
Bonds, LOC:
TD Bank N.A. (Next Rate Reset Date:
07/07/2010)(a) 0.170% 01/01/2030 4,400,000 4,400,000
Delaware State Economic Development
Authority, Revenue Bonds, St. Andrew's
School, SPA: Bank of America N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 09/01/2034 2,000,000 2,000,000
------------
6,400,000
------------
DISTRICT OF COLUMBIA - 3.7%
District of Columbia, Revenue Bonds,
Georgetown University, Series C, LOC: TD
Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.240% 04/01/2042 5,000,000 5,000,000
District of Columbia, Revenue Bonds, ROCs RR
II R-11247, INS: BHAC-CR MBIA, LIQ:
Citibank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.320% 04/01/2015 9,435,000 9,435,000
------------
14,435,000
------------
FLORIDA - 1.1%
Austin Trust Various States, Revenue Bonds,
Series 2008-1114, INS: FSA-CR AMBAC (Next
Rate Reset Date: 07/01/2010)(a) 0.340% 09/01/2023 4,205,000 4,205,000
------------
GEORGIA - 3.4%
Municipal Electric Authority Georgia, Revenue
Bonds, GO of Participants, LOC: Bayerische
Landesbank
(Next Rate Reset Date: 07/07/2010)(a) 0.270% 03/01/2020 1,500,000 1,500,000
Roswell Georgia Housing Authority
Multifamily, Revenue Bonds, Chambrel
Roswell, INS: Fannie Mae, LIQ: Fannie Mae
(Next Rate Reset Date: 07/01/2010)(a) 0.310% 11/15/2032 11,980,000 11,980,000
------------
13,480,000
------------
</Table>
See Notes to Financial Statements.
33
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
ILLINOIS - 2.6%
Chicago Board of Education, GO Unlimited,
Dedicated Revenue, Series A, LOC: JP Morgan
Chase Bank
(Next Rate Reset Date: 07/01/2010)(a) 0.130% 03/01/2035 $ 3,000,000 $ 3,000,000
Chicago O'Hare International Airport
Authority, Revenue Bonds, LOC: Dexia Credit
Support
(Next Rate Reset Date: 07/07/2010)(a) 0.270% 01/01/2035 1,750,000 1,750,000
Illinois Development Finance Authority
Revenue Bonds, World Communications, Inc.,
LOC: Lasalle Bank N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.270% 08/01/2015 1,500,000 1,500,000
Illinois Educational Facilities Authority,
Revenue Bonds, National-Louis University,
LOC: JP Morgan Chase Bank, Series B
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 06/01/2029 4,110,000 4,110,000
------------
10,360,000
------------
INDIANA - 2.9%
Indiana Finance Authority, Revenue Bonds,
Clarian Health Partners, Series D, LOC:
Northern Trust Company
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 03/01/2033 7,105,000 7,105,000
Indiana State Development Finance Authority,
Revenue Bonds, Educational Facilities,
Indiana Historical Society, LOC: Bank One
Indiana N.A. (Next Rate Reset Date:
07/07/2010)(a) 0.250% 08/01/2031 4,200,000 4,200,000
------------
11,305,000
------------
KANSAS - 4.0%
Kansas State Department of Transportation,
Revenue Bonds, Series B-1, SPA: Barclays
Bank PLC
(Next Rate Reset Date: 07/01/2010)(a) 0.240% 09/01/2019 4,000,000 4,000,000
Kansas State Department of Transportation,
Revenue Bonds, Series B-2, SPA: Barclays
Bank PLC
(Next Rate Reset Date: 07/01/2010)(a) 0.240% 09/01/2019 5,000,000 5,000,000
Kansas State Department of Transportation,
Revenue Bonds, Series B-3, SPA: Barclays
Bank PLC
(Next Rate Reset Date: 07/01/2010)(a) 0.220% 09/01/2019 4,000,000 4,000,000
Kansas State Department of Transportation,
Revenue Bonds, Series C-1, SPA:JP Morgan
Chase Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 09/01/2021 2,810,000 2,810,000
------------
15,810,000
------------
LOUISIANA - 0.4%
Louisiana State Offshore Terminal Authority
Deep Water Port, Revenue Bond, Series B,
LOC: Bank One N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.250% 09/01/2014 1,500,000 1,500,000
------------
MARYLAND - 1.9%
Baltimore Industrial Development Authority
Industrial Dev Rev, Revenue Bonds,
Baltimore Capital Acquisition, LOC:
Bayerische Landesbank (Next Rate Reset
Date: 07/07/2010)(a) 0.320% 08/01/2016 1,000,000 1,000,000
</Table>
See Notes to Financial Statements.
34
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
MARYLAND (CONTINUED)
Maryland State Economic Development
Corporation, Revenue Bonds, Howard Hughes
Medical Institution, Series B
(Next Rate Reset Date: 07/07/2010)(a) 0.190% 05/15/2043 $ 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. (Next Rate
Reset Date: 07/01/2010)(a) 0.260% 07/01/2034 2,000,000 2,000,000
Maryland State Stadium Authority Lease,
Revenue Bonds, Baltimore Convention, SPA:
Bank of New York
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 12/15/2014 1,480,000 1,480,000
------------
7,480,000
------------
MASSACHUSETTS - 3.8%
Commonwealth of Massachusetts, GO Limited,
Series B, SPA: Landesbank Hessen-Thrgn
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 01/01/2021 2,900,000 2,900,000
Dexia Credit Local Certificates Trust,
Revenue Bonds, LIQ: Dexia Credit Local
(Next Rate Reset Date: 07/01/2010)(a) 0.460% 07/01/2033 3,835,000 3,835,000
Massachusetts Health & Educational Facilities
Authority, Revenue Bonds, Museum Fine A-2,
RMKT, 04/02/08, SPA: Bank of America N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.150% 12/01/2037 1,075,000 1,075,000
Massachusetts Health & Educational Facilities
Authority, Revenue Bonds, Partners
Healthcare System, Series D-4, INS: GO of
INSTN, SPA: Citibank N.A. (Next Rate Reset
Date: 07/01/2010)(a) 0.260% 07/01/2038 1,290,000 1,290,000
Massachusetts Health & Educational Facilities
Authority. Revenue Bonds, Partners
Healthcare System, Series D-1
(Next Rate Reset Date: 07/01/2010)(a) 0.100% 07/01/2035 3,000,000 3,000,000
Massachusetts State Department of
Transportation, Revenue Bonds, Contract
Assistance, Series A-4, INS: GO of
Commonwealth, SPA: Barclays Bank PLC (Next
Rate Reset Date: 07/07/2010)(a) 0.200% 01/01/2039 3,000,000 3,000,000
------------
15,100,000
------------
MICHIGAN - 0.7%
Michigan State University, Revenue Bonds,
Series 2000-A, SPA:
Bank of America N.A. (Next Rate Reset Date:
07/07/2010)(a) 0.200% 08/15/2030 2,900,000 2,900,000
------------
MINNESOTA - 3.8%
City of Minneapolis, GO Unlimited, Convention
Center, SPA:
Dexia Credit Local (Next Rate Reset Date:
07/01/2010)(a) 0.350% 12/01/2018 2,990,000 2,990,000
City of Minneapolis, GO Unlimited, Guthrie
Package Ramp, SPA: Dexia Credit Local (Next
Rate Reset Date: 07/01/2010)(a) 0.350% 12/01/2033 3,105,000 3,105,000
University of Minnesota, Revenue Bonds,
Series A RMKT 06/11/09, INS: GO of
University, SPA: U.S. Bank N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.240% 01/01/2034 9,000,000 9,000,000
------------
15,095,000
------------
MISSOURI - 3.7%
City of Kansas City, Revenue Bonds, Chouteau
I-35 Project-C, LOC: JP Morgan Chase & Co.
(Next Rate Reset Date: 07/07/2010)(a) 0.350% 03/01/2024 5,825,000 5,825,000
</Table>
See Notes to Financial Statements.
35
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
MISSOURI (CONTINUED)
Kansas City Industrial Development Authority,
Revenue Bonds, Oak Street West Student,
LOC: Bank of America
(Next Rate Reset Date: 07/07/2010)(a) 0.230% 08/01/2038 $ 8,550,000 $ 8,550,000
------------
14,375,000
------------
NEW HAMPSHIRE - 2.7%
New Hampshire Health & Education Facilities
Authority, Revenue Bonds, Dartmouth College
Issue, SPA: JP Morgan Chase Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 06/01/2032 3,125,000 3,125,000
New Hampshire Health & Education Facilities
Authority, Revenue Bonds, Dartmouth
College, Series B, SPA: JP Morgan Chase
Bank (Next Rate Reset Date: 07/01/2010)(a) 0.160% 06/01/2041 1,100,000 1,100,000
New Hampshire Health & Education Facilities
Authority, Revenue Bonds, Dartmouth
College, SPA: JP Morgan Chase Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 06/01/2023 2,690,000 2,690,000
New Hampshire Health & Education Facilities
Authority, Revenue Bonds, University
System, Series B-1, SPA: JP Morgan Chase
Bank (Next Rate Reset Date: 07/01/2010)(a) 0.220% 07/01/2033 3,500,000 3,500,000
------------
10,415,000
------------
NEW JERSEY - 3.5%
Essex County New Jersey Improvement
Authority, Revenue Bonds, Pooled
Governmental Loan Program, LOC: First Union
National Bank (Next Rate Reset Date:
07/07/2010)(a) 0.180% 07/01/2026 1,700,000 1,700,000
New Jersey Economic Development Authority,
Revenue Bonds, Facilities Construcion,
Subseries R-1, LOC: Bank of Nova Scotia &
Llyods TSB Bank PLC (Next Rate Reset Date:
07/01/2010)(a) 0.120% 09/01/2031 12,000,000 12,000,000
------------
13,700,000
------------
NEW YORK - 6.4%
City of New York, GO Unlimited, Subseries
A-5, LOC:
Bank of Nova Scotia (Next Rate Reset Date:
07/07/2010)(a) 0.190% 08/01/2031 1,000,000 1,000,000
City of New York, GO Unlimited, Subseries
C-4, LOC:
BNP Paribas (Next Rate Reset Date:
07/07/2010)(a) 0.200% 08/01/2020 1,000,000 1,000,000
City of New York, GO Unlimited, Subseries
H-4, LOC:
Bank of New York (Next Rate Reset Date:
07/01/2010)(a) 0.150% 03/01/2034 2,600,000 2,600,000
Metropolitan Transportation Authority,
Revenue Bonds, SubSeries B-3 LOC: Lloyds
TSB Bank PLC (Next Rate Reset Date:
07/01/2010)(a) 0.280% 11/01/2034 3,185,000 3,185,000
New York State Local Government Assistance
Corp., Revenue Bonds, Series C, LOC:
Landesbank Hessen-Thrgn
(Next Rate Reset Date: 07/07/2010)(a) 0.240% 04/01/2025 4,800,000 4,800,000
New York State Urban Development Corp.,
Revenue Bonds, Service Contract,
Series A-5, LOC: TD Bank North N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.260% 01/01/2030 2,400,000 2,400,000
Suffolk County Water Authority, Revenue
Bonds, Anticipation Notes, SPA: Bank of
Nova Scotia (Next Rate Reset Date:
07/07/2010)(a) 0.180% 01/15/2013 4,700,000 4,700,000
</Table>
See Notes to Financial Statements.
36
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
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, Bridges Tunnels, Series AB, INS:
FSA, SPA: JP Morgan Chase Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.230% 01/01/2019 $ 1,220,000 $ 1,220,000
Triborough Bridge & Tunnel Authority, Revenue
Bonds, Series CD RMK, 06/20/07, SPA: Lloyds
TSB Bank PLC
(Next Rate Reset Date: 07/07/2010)(a) 0.220% 01/01/2019 4,205,000 4,205,000
------------
25,110,000
------------
NORTH CAROLINA - 10.2%
Charlotte COPs, Governmental Facilities,
Series F, SPA:
Bank of America N.A. (Next Rate Reset Date:
07/01/2010)(a) 0.300% 06/01/2033 965,000 965,000
City of Charlotte, COP, Convention Facility
Project, Series B, SPA: Wachovia Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 12/01/2021 6,130,000 6,130,000
City of Greensboro, GO Unlimited, Public
Improvement, Series B, SPA: Wachovia Bank
N.A. (Next Rate Reset Date: 07/07/2010)(a) 0.250% 04/01/2014 1,000,000 1,000,000
City of Greensboro, Revenue Bonds, Series B,
SPA:
Bank of America N.A. (Next Rate Reset Date:
07/07/2010)(a) 0.200% 06/01/2024 1,175,000 1,175,000
City of Raleigh, Revenue Bonds, Combined
Enterprise, Series B, SPA: Wells Fargo Bank
N.A. (Next Rate Reset Date: 07/07/2010)(a) 0.200% 03/01/2035 2,000,000 2,000,000
County of Wake, GO Unlimited, Series A, SPA:
Bank of America N.A. (Next Rate Reset Date:
07/01/2010)(a) 0.280% 03/01/2026 1,800,000 1,800,000
County of Wake, GO Unlimited, Series B, SPA:
Bank of America N.A. (Next Rate Reset Date:
07/01/2010)(a) 0.280% 03/01/2024 4,000,000 4,000,000
County of Wake, GO Unlimited, Series B, SPA:
Landesbank Hessen-Thrgn (Next Rate Reset
Date: 07/01/2010)(a) 0.280% 04/01/2021 6,220,000 6,220,000
Mecklenburg County, GO Unlimited, Public
Implements, Series C, SPA: Bank of America
N.A. (Next Rate Reset Date: 07/07/2010)(a) 0.240% 02/01/2012 1,000,000 1,000,000
Mecklenburg County, GO Unlimited, Series B,
SPA: Landesbank Hessen-Thrgn (Next Rate
Reset Date: 07/01/2010)(a) 0.300% 02/01/2024 3,450,000 3,450,000
New Hanover County, GO Unlimited, School,
SPA:
Wachovia Bank N.A. (Next Rate Reset Date:
07/01/2010)(a) 0.300% 02/01/2026 2,315,000 2,315,000
State of North Carolina, GO Unlimited, Public
Implements, Series E, SPA: Landesbank
Hessen-Thrgn
(Next Rate Reset Date: 07/07/2010)(a) 0.230% 05/01/2021 2,000,000 2,000,000
State of North Carolina, GO Unlimited, Public
Implements, Series G, SPA: Landesbank
Hessen-Thrgn
(Next Rate Reset Date: 07/07/2010)(a) 0.180% 05/01/2021 3,050,000 3,050,000
State of North Carolina, GO Unlimited, Series
C, SPA: Bayerische Landesbank (Next Rate
Reset Date: 07/07/2010)(a) 0.210% 06/01/2019 5,000,000 5,000,000
------------
40,105,000
------------
OHIO - 1.3%
Butler County Ohio Healthcare Facilities,
Revenue Bonds, Improvement-Lifesphere
Project, LOC: U.S. Bank NA
(Next Rate Reset Date: 07/01/2010)(a) 0.270% 05/01/2027 1,200,000 1,200,000
</Table>
See Notes to Financial Statements.
37
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
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 Higher Educational Facility
Commission, Revenue Bonds, University
Hospitals Health System, Series C, LOC:
Wells Fargo Bank N.A. (Next Rate Reset
Date: 07/07/2010)(a) 0.180% 01/15/2035 $ 970,000 $ 970,000
Ohio State University, Revenue Bonds,
Series B (Next Rate Reset Date:
07/07/2010)(a) 0.220% 06/01/2035 2,110,000 2,110,000
State of Ohio, Revenue Bonds, Oberlin College
Project, SPA:
U.S. Bank N.A. (Next Rate Reset Date:
07/07/2010)(a) 0.210% 10/01/2048 1,000,000 1,000,000
------------
5,280,000
------------
OKLAHOMA - 0.4%
Oklahoma Capital Improvement Authority,
Revenue Bonds, Higher Education D3 RMKT
09/19/08, SPA: Bank of America N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.190% 07/01/2033 1,600,000 1,600,000
------------
OREGON - 0.9%
Oregon State Facilities Authority, Revenue
Bonds, PeaceHealth, LOC: U.S. Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.150% 12/01/2015 3,500,000 3,500,000
------------
PENNSYLVANIA - 0.8%
Delaware County Industrial Development
Authority, Revenue Bonds, Sun Inc., LOC:
Bank of America N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 11/01/2033 3,000,000 3,000,000
------------
SOUTH CAROLINA - 2.8%
City of North Charleston, COP, Public
Facilities Convention, LOC: Bank of America
N.A. (Next Rate Reset Date: 07/07/2010)(a) 0.200% 09/01/2019 3,190,000 3,190,000
City of Rock Hill, Revenue Bonds Series B,
INS: FSA, SPA:
First Union National Bank (Next Rate Reset
Date: 07/07/2010)(a) 0.350% 01/01/2025 7,755,000 7,755,000
------------
10,945,000
------------
SOUTH DAKOTA - 0.3%
South Dakota State Health & Educational
Facilities Authority, Revenue Bonds,
University of Sioux Falls, LOC:
Wells Fargo Bank N.A. (Next Rate Reset
Date: 07/01/2010)(a) 0.400% 10/01/2016 1,100,000 1,100,000
------------
TEXAS - 5.9%
Austin County Industrial Development Corp.,
Revenue Bonds, Justin Industries, Inc.
Project, LOC: Bank One N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.230% 12/01/2014 3,500,000 3,500,000
City of Austin, Revenue Bonds, Series B, LOC:
Dexia Credit Local
(Next Rate Reset Date: 07/01/2010)(a) 0.410% 11/15/2029 9,745,000 9,745,000
Denton Independent School District, School
Building, Series B, INS: PSF-GTD, SPA: Bank
of America N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 08/01/2035 1,000,000 1,000,000
Harris County Cultural Education Facilities
Finance Corp., Revenue Bonds, Texas Medical
Center, Subseries B-1, LOC: JP Morgan Chase
Bank (Next Rate Reset Date: 07/01/2010)(a) 0.140% 09/01/2031 3,600,000 3,600,000
San Antonio Education Facilities Corp.,
Revenue Bonds, University Incarnate Word
Project, LOC: JP Morgan Chase Bank
(Next Rate Reset Date: 07/07/2010)(a) 0.200% 12/01/2027 2,270,000 2,270,000
</Table>
See Notes to Financial Statements.
38
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ----------- ------------
SHORT-TERM TAX-EXEMPT OBLIGATIONS (CONTINUED)
TEXAS (CONTINUED)
University of Texas, University Revenue
Bonds, Financing Systems, Series A (Next
Rate Reset Date: 07/07/2010)(a) 0.180% 08/15/2013 $ 3,000,000 $ 3,000,000
------------
23,115,000
------------
UTAH - 4.8%
City of Murray, Revenue Bonds, IHC Health
Services, Inc., Series A, INS: J.P. Morgan
Securities (Next Rate Reset Date:
07/01/2010)(a) 0.260% 05/15/2036 1,500,000 1,500,000
City of Murray, Revenue Bonds, IHC Health
Services, Inc., Series D, SPA: Wells Fargo
Bank N.A. (Next Rate Reset Date:
07/01/2010)(a) 0.120% 05/15/2037 5,300,000 5,300,000
County of Weber, Revenue Bonds, IHC Health
Services, Inc., Series B, SPA: U.S. Bank
N.A.
(Next Rate Reset Date: 07/07/2010)(a) 0.180% 02/15/2032 9,000,000 9,000,000
Utah State Board of Regents, Revenue Bonds,
Hospital University of Utah, LOC: Wells
Fargo Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.330% 08/01/2031 3,030,000 3,030,000
------------
18,830,000
------------
VIRGINIA - 1.2%
Alexandria Industrial Development Authority,
Revenue Bonds, Series A, SPA: Bank of
America N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.400% 07/01/2026 2,210,000 2,210,000
Fairfax County Economic Development
Authority, Revenue Bonds, Trinity Christian
School Project, LOC: Wachovia Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.400% 09/01/2028 1,085,000 1,085,000
Loudoun County Industrial Development
Authority, Revenue Bonds, Jack Kent Cooke
Foundation Project, LOC: Wachovia Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.300% 06/01/2034 1,360,000 1,360,000
------------
4,655,000
------------
WASHINGTON - 1.0%
Tulalip Tribes of the Tulalip Reservation
Special Revenue, Revenue Bonds Capital
Projects, LOC: Wells Fargo Bank N.A.
(Next Rate Reset Date: 07/01/2010)(a) 0.270% 06/01/2019 3,800,000 3,800,000
------------
WISCONSIN - 1.2%
Wisconsin State Health & Educational Facility
Authority, Revenue Bonds, Gundersen
Lutheran, Series A, LOC:
Wells Fargo Bank N.A. (Next Rate Reset
Date: 07/01/2010)(a) 0.300% 05/01/2020 4,710,000 4,710,000
------------
TOTAL SHORT-TERM TAX-EXEMPT OBLIGATIONS 360,859,000
------------
</Table>
See Notes to Financial Statements.
39
STATE STREET TAX FREE MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
SHARES VALUE
----------- ------------
MONEY MARKET FUND - 8.1%
Dreyfus Tax Exempt Cash Management Fund(b) $31,790,318 $ 31,790,318
------------
TOTAL MONEY MARKET FUND (at net asset value) 31,790,318
------------
TOTAL INVESTMENTS(C)+ - 100.0% 392,649,318
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.00% 66,111
------------
NET ASSETS - 100.0% $392,715,429
============
</Table>
- --------
(a) Variable Rate Security - Interest Rate is in effect as of June 30, 2010.
(b) Value determined based on Level 1 inputs established by provisions
surroundings Fair Value Measurements and Disclosures. (Note 2)
(c) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by provisions surrounding
Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
<Table>
<Caption>
ACRONYM NAME
- ------- ----
AMBAC American Municipal Bond Assurance Corporation
BHAC Berkshire Hathaway Assurance Company
COP Certificates of Participation
CR Custodial Receipts
FSA Financial Security Assurance
GO General Obligation
GTD Guaranteed
INS Insured
INSTN Institution
LIQ Liquidity Agreement
LOC Letter of Credit
MBIA Municipal Bond Investors Assurance
PLC Public Limited Company
PSF Permanent School Fund
RMKT Remarketable
ROC Reset Option Certificates
SPA Standby Purchase Agreement
</Table>
See Notes to Financial Statements.
40
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- -------------------------------------------------------------------------------
U.S. Government Agency Obligations 34.7%
- -------------------------------------------------------------------------------
Repurchase Agreements 65.3
- -------------------------------------------------------------------------------
Liabilities in Excess of Assets 0.0
- -------------------------------------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- -------------------------------------------------------------------------------
Overnight (1 Day) 65.3%
- -------------------------------------------------------------------------------
2-30 Days 22.9
- -------------------------------------------------------------------------------
31-60 Days 3.0
- -------------------------------------------------------------------------------
61-90 Days 4.4
- -------------------------------------------------------------------------------
Over 90 Days 4.4
- -------------------------------------------------------------------------------
TOTAL 100.0%
- -------------------------------------------------------------------------------
Average days to maturity 15
- -------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
41
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - 34.7%
Fannie Mae(a) 0.188% 07/13/2010 $150,000,000 $ 150,000,000
Fannie Mae Discount Note(b) 0.175% 07/07/2010 110,000,000 109,996,792
Fannie Mae Discount Note(b) 0.190% 08/02/2010 50,000,000 49,991,556
Fannie Mae Discount Note(b) 0.200% 08/19/2010 50,000,000 49,986,389
Fannie Mae Discount Note(b) 0.250% 09/20/2010 200,000,000 199,887,500
Federal Home Loan Bank System
(Next Rate Reset Date: 07/30/2010)(a) 0.148% 10/29/2010 125,000,000 125,000,000
Federal Home Loan Bank System
(Next Rate Reset Date: 07/26/2010)(a) 0.277% 11/26/2010 95,000,000 95,000,000
Federal Home Loan Bank System
(Next Rate Reset Date: 07/25/2010)(a) 0.237% 01/25/2011 36,000,000 35,991,794
Federal Home Loan Bank System
(Next Rate Reset Date: 07/20/2010)(a) 0.253% 07/20/2011 75,000,000 74,975,910
Freddie Mac (Next Rate Reset Date:
07/12/2010)(a) 0.094% 11/10/2010 15,000,000 15,000,000
Freddie Mac Discount Note(b) 0.175% 07/19/2010 93,000,000 92,991,862
Freddie Mac Discount Note(b) 0.200% 07/23/2010 175,000,000 174,978,611
Freddie Mac Discount Note(b) 0.175% 07/26/2010 41,000,000 40,995,017
Freddie Mac Discount Note(b) 0.180% 07/26/2010 51,000,000 50,993,625
Freddie Mac Discount Note(b) 0.210% 07/27/2010 50,000,000 49,992,417
Freddie Mac Discount Note(b) 0.200% 07/29/2010 35,000,000 34,994,556
Freddie Mac Discount Note(b) 0.200% 08/02/2010 20,000,000 19,996,444
Freddie Mac Discount Note(b) 0.200% 08/05/2010 20,000,000 19,996,111
Freddie Mac Discount Note(b) 0.250% 10/13/2010 200,000,000 199,855,556
--------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 1,590,624,140
--------------
<Caption>
MARKET
VALUE
--------------
REPURCHASE AGREEMENTS - 65.3%
Agreement with Bank of America Securities,
LLC and
The Bank of New York, Inc. (Tri-Party),
dated 06/30/10 (collateralized by a U.S.
Treasury Note, 1.875%
due 02/28/14 valued at $176,916,982);
proceeds $173,448,096 0.020% 07/01/2010 173,448,000 173,448,000
Agreement with Bank of America Securities,
LLC and
The Bank of New York, Inc. (Tri-Party),
dated 06/30/10 (collateralized by a U.S.
Treasury Note, 3.000%
due 08/31/16 valued at $7,836,713);
proceeds $7,683,002 0.010% 07/01/2010 7,683,000 7,683,000
Agreement with Barclays Capital, Inc. and
The Bank of New York, Inc. (Tri-Party),
dated 06/30/10 (collateralized by a
Federal Home Loan Bank, 0.000% due
08/01/11 and a Federal National Mortgage
Association, 5.250%
due 08/01/12 valued at $204,001,811);
proceeds $200,000,111 0.020% 07/01/2010 200,000,000 200,000,000
Agreement with BNP Paribas Securities
Corp. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by a Federal Farm Credit
Bank, 2.250% due 07/01/10, Federal Home
Loan Bank, 2.000% - 6.000%, due
10/05/12 - 02/20/29, Federal Home
Mortgage Corporation, 0.000% - 1.000%,
due 02/02/12 - 11/16/39 and Federal
National Mortgage Association, 4.000% -
6.130% due 02/08/16 - 10/17/36 valued at
$204,000,502); proceeds $200,000,111 0.020% 07/01/2010 200,000,000 200,000,000
</Table>
See Notes to Financial Statements.
42
STATE STREET U.S. GOVERNMENT MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ------------ --------------
REPURCHASE AGREEMENTS (CONTINUED)
Agreement with Citigroup Global Markets,
Inc. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by a U.S. Treasury Bond,
5.500% due 08/15/28 and U.S. Treasury
Note, 0.750% - 1.375% due
11/30/11 - 05/15/13 valued at
$816,000,052); proceeds $800,000,889 0.040% 07/01/2010 $800,000,000 $ 800,000,000
Agreement with Credit Agricole Corporate &
Investment Bank and The Bank of New
York, Inc. (Tri-Party), dated 06/30/10
(collateralized by a Federal Home Loan
Bank, 0.000% due 05/17/11 and Federal
National Mortgage Association, 0.000%
due 04/26/11 - 04/29/11 valued at
$816,000,257); proceeds $800,000,222 0.010% 07/01/2010 800,000,000 800,000,000
Agreement with Deutsche Bank Securities,
Inc. and The Bank of New York, Inc.
(Tri-Party), dated 06/30/10
(collateralized by Federal Home Loan
Bank, 0.750% - 2.375% due
11/21/11 - 03/14/14 and Federal Home
Mortgage Corporation, 0.000% due
02/01/11 - 03/31/11 valued at
$204,004,561); proceeds $200,000,167 0.030% 07/01/2010 200,000,000 200,000,000
Agreement with Goldman Sachs & Co. and The
Bank of New York, Inc. (Tri-Party),
dated 06/30/10 (collateralized by a
Federal Home Mortgage Corporation,
0.000% due 09/27/10 and a Federal
National Mortgage Association, 0.000%
due 08/25/10 valued at $204,000,506);
proceeds $200,000,111 0.020% 07/01/2010 200,000,000 200,000,000
Agreement with HSBC Securities USA, Inc.
and JP Morgan Chase & Co. (Tri-Party),
dated 06/30/10 (collateralized by a U.S.
Treasury Bond, 4.625% due 02/15/40,
valued at $210,120,591); proceeds
$206,000,057 0.010% 07/01/2010 206,000,000 206,000,000
Agreement with UBS Securities, LLC and JP
Morgan Chase & Co. (Tri-Party), dated
06/30/10 (collateralized by a Federal
Home Loan Bank, 0.000%, due 09/24/10 and
a Federal National Mortgage Association,
0.000% due 03/31/11 valued at
$204,004,840); proceeds $200,000,222 0.040% 07/01/2010 200,000,000 200,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 2,987,131,000
--------------
TOTAL INVESTMENTS(C)+ - 100.0% 4,577,755,140
LIABILITIES IN EXCESS OF ASSETS - 0.00% (321,061)
--------------
NET ASSETS - 100.0% $4,577,434,079
==============
</Table>
(a) Variable Rate Security - Interest Rate is in effect as of June 30, 2010.
(b) Discount rate at time of purchase.
(c) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by provisions
surroundings Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
43
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 118.1%
- --------------------------------------------------------------------------------
Liabilities in Excess of Assets (18.1)
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- --------------------------------------------------------------------------------
Overnight (1 Day) 18.2%
- --------------------------------------------------------------------------------
2-30 Days 84.5
- --------------------------------------------------------------------------------
31-60 Days 15.4
- --------------------------------------------------------------------------------
61-90 Days 0.0
- --------------------------------------------------------------------------------
Over 90 Days 0.0
- --------------------------------------------------------------------------------
TOTAL 118.1%
- --------------------------------------------------------------------------------
Average days to maturity 15
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
44
STATE STREET TREASURY MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- ---------- ------------ --------------
U.S. TREASURY OBLIGATIONS - 118.1%
United States Treasury Bill 0.020% 07/01/2010 $129,126,000 $ 129,126,000
United States Treasury Bill 0.110% 07/01/2010 100,000,000 100,000,000
United States Treasury Bill 0.145% 07/01/2010 200,000,000 200,000,000
United States Treasury Bill 0.165% 07/01/2010 75,000,000 75,000,000
United States Treasury Bill 0.015% 07/08/2010 78,422,000 78,421,771
United States Treasury Bill 0.020% 07/08/2010 122,830,000 122,829,522
United States Treasury Bill 0.100% 07/08/2010 200,000,000 199,996,112
United States Treasury Bill 0.136% 07/08/2010 45,000,000 44,998,810
United States Treasury Bill 0.143% 07/08/2010 20,000,000 19,999,446
United States Treasury Bill 0.145% 07/08/2010 50,000,000 49,998,591
United States Treasury Bill 0.146% 07/08/2010 30,000,000 29,999,148
United States Treasury Bill 0.150% 07/08/2010 150,000,000 149,995,624
United States Treasury Bill 0.020% 07/15/2010 50,000,000 49,999,611
United States Treasury Bill 0.045% 07/15/2010 191,142,000 191,138,655
United States Treasury Bill 0.091% 07/15/2010 100,000,000 99,996,461
United States Treasury Bill 0.150% 07/15/2010 75,000,000 74,995,625
United States Treasury Bill 0.170% 07/15/2010 225,000,000 224,985,125
United States Treasury Bill 0.067% 07/22/2010 70,559,000 70,553,978
United States Treasury Bill 0.085% 07/22/2010 150,000,000 149,995,625
United States Treasury Bill 0.145% 07/22/2010 25,000,000 24,997,886
United States Treasury Bill 0.150% 07/22/2010 122,132,000 122,117,498
United States Treasury Bill 0.153% 07/22/2010 108,000,000 107,990,361
United States Treasury Bill 0.155% 07/22/2010 20,000,000 19,998,192
United States Treasury Bill 0.150% 07/29/2010 325,000,000 324,962,082
United States Treasury Bill 0.153% 07/29/2010 55,000,000 54,993,455
United States Treasury Bill 0.155% 07/29/2010 120,000,000 119,985,533
United States Treasury Bill 0.145% 08/05/2010 25,000,000 24,996,476
United States Treasury Bill 0.150% 08/26/2010 50,000,000 49,987,556
United States Treasury Bill 0.160% 08/26/2010 50,000,000 49,988,334
United States Treasury Bill 0.180% 08/26/2010 300,000,000 299,916,000
--------------
TOTAL U.S. TREASURY OBLIGATIONS 3,261,963,477
--------------
TOTAL INVESTMENTS(A)+ - 118.1% 3,261,963,477
LIABILITIES IN EXCESS OF ASSETS - (18.1)% (500,169,919)
--------------
NET ASSETS - 100.0% $2,761,793,558
==============
</Table>
(a) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
45
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
U.S. Treasury Obligations 40.3%
- --------------------------------------------------------------------------------
Repurchase Agreements 62.2
- --------------------------------------------------------------------------------
Liabilities in Excess of Assets (2.5)
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- --------------------------------------------------------------------------------
Overnight (1 Day) 67.3%
- --------------------------------------------------------------------------------
2-30 Days 27.7
- --------------------------------------------------------------------------------
31-60 Days 7.5
- --------------------------------------------------------------------------------
61-90 Days 0.0
- --------------------------------------------------------------------------------
Over 90 Days 0.0
- --------------------------------------------------------------------------------
TOTAL 102.5%
- --------------------------------------------------------------------------------
Average days to maturity 9
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
46
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST
- ------------------ -------- -------- --------- --------------
U.S. TREASURY OBLIGATIONS - 40.3%
United States Treasury Bill 0.145% 07/01/2010 $ 50,000,000 $ 50,000,000
United States Treasury Bill 0.100% 07/08/2010 75,000,000 74,998,542
United States Treasury Bill 0.045% 07/15/2010 50,000,000 49,999,125
United States Treasury Bill 0.150% 07/22/2010 48,000,000 47,995,800
United States Treasury Bill 0.153% 07/22/2010 27,000,000 26,997,590
United States Treasury Bill 0.150% 07/29/2010 50,000,000 49,994,166
United States Treasury Bill 0.155% 07/29/2010 25,000,000 24,996,986
United States Treasury Bill 0.150% 08/26/2010 50,000,000 49,988,334
United States Treasury Bill 0.180% 08/26/2010 25,000,000 24,993,000
--------------
TOTAL U.S. TREASURY OBLIGATIONS 399,963,543
--------------
<Caption>
MARKET
VALUE
--------------
REPURCHASE AGREEMENTS - 62.2%
Agreement with Bank of America Securities,
LLC and The Bank of New York, Inc. (Tri-
Party) dated 06/30/10 (collateralized by
a U.S. Treasury Note, 2.750%
due 11/30/16 valued at $17,663,438);
proceeds $17,317,005 0.010% 07/01/2010 17,317,000 17,317,000
Agreement with BNP Paribas Securities,
Corp. and The Bank of New York, Inc.
(Tri-Party) dated 06/30/10
(collateralized by a U.S. Treasury Note,
4.500% due 03/31/12 valued at
$40,800,102); proceeds $40,000,011 0.010% 07/01/2010 40,000,000 40,000,000
Agreement with Citigroup Global Markets,
Inc. and The Bank of New York, Inc.
(Tri-Party) dated 06/30/10
(collateralized by a U.S. Treasury Note,
4.625% due 02/29/12 valued at
$163,200,093); proceeds $160,000,178 0.040% 07/01/2010 160,000,000 160,000,000
Agreement with Credit Agricole Corporate &
Investment Bank and The Bank of New
York, Inc. (Tri-Party) dated 06/30/10
(collateralized by U.S. Treasury Note,
1.375% - 4.250% due 02/15/13 - 08/15/13
valued at $163,200,022); proceeds
$160,000,044 0.010% 07/01/2010 160,000,000 160,000,000
Agreement with Credit Suisse Securities
(USA) LLC and JP Morgan Chase & Co.,
dated 06/30/10 (collateralized by a U.S.
Treasury Note, 2.625% due 04/30/16
valued at $40,803,466); proceeds
$40,000,011 0.010% 07/01/2010 40,000,000 40,000,000
Agreement with Deutsche Bank Securities,
Inc. and The Bank of New York, Inc.
(Tri-Party) dated 06/30/10
(collateralized by a U.S. Treasury
Strip, 0.000% due 11/15/16 valued at
$40,800,036); proceeds $40,000,011 0.010% 07/01/2010 40,000,000 40,000,000
Agreement with HSBC Securities USA, Inc.
and JP Morgan Chase & Co., dated
06/30/10 (collateralized by a U.S.
Treasury Bond, 4.625% due 02/15/40
valued at $40,800,060); proceeds
$40,000,000 0.000% 07/01/2010 40,000,000 40,000,000
Agreement with ING Financial Markets, LLC
and JP Morgan Chase & Co., dated
06/30/10 (collateralized by U.S.
Treasury Bond, 7.875% - 8.750% due
08/15/20 - 11/15/21 valued at
$40,804,990); proceeds $40,000,011 0.010% 07/01/2010 40,000,000 40,000,000
</Table>
See Notes to Financial Statements.
47
STATE STREET TREASURY PLUS MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- -------- --------- --------------
REPURCHASE AGREEMENTS (CONTINUED)
Agreement with Morgan Stanley & Co., Inc.
and The Bank of New York, Inc. (Tri-
Party) dated 06/30/10 (collateralized by
U.S. Treasury Strip, 0.000% due
08/15/10 - 02/15/20 valued at
$40,800,029); proceeds $40,000,006 0.005% 07/01/2010 $ 40,000,000 $ 40,000,000
Agreement with RBS Securities, Inc. and JP
Morgan Chase & Co., dated 06/30/10
(collateralized by a Federal Home Loan
Bank, 3.625% due 07/01/11 valued at
$40,803,503); proceeds $40,000,033 0.030% 07/01/2010 40,000,000 40,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 617,317,000
--------------
TOTAL INVESTMENTS(A)+ - 102.5% 1,017,280,543
LIABILITIES IN EXCESS OF ASSETS - (2.5)% (25,099,792)
--------------
NET ASSETS - 100.0% $ 992,180,751
==============
</Table>
(a) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by Provisions
Surrounding Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
See Notes to Financial Statements.
48
STATE STREET MASTER FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
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) $13,052,949,697 $392,649,318 $1,590,624,140 $3,261,963,477 $ 399,963,543
Repurchase Agreements, at
market value and cost
(Note 2) 6,114,000,000 - 2,987,131,000 - 617,317,000
--------------- ------------ -------------- -------------- --------------
Total investments 19,166,949,697 392,649,318 4,577,755,140 3,261,963,477 1,017,280,543
Cash 661 - 533 254 429
Interest receivable 4,239,225 119,666 109,679 3,018 310
Prepaid expense and other
assets 42,526 12,635 14,358 12,564 9,191
--------------- ------------ -------------- -------------- --------------
Total assets 19,171,232,109 392,781,619 4,577,879,710 3,261,979,313 1,017,290,473
LIABILITIES
Investment securities
purchased - - - 499,892,667 24,993,000
Management fee (Note 3) 1,404,674 32,722 349,631 217,773 70,132
Administration and custody
fees (Note 3) 239,679 5,490 58,731 37,952 12,102
Professional fees 27,349 27,350 27,351 27,351 27,350
Trustee's fees (Note 4) - 78 228 323 177
Accrued expenses and other
liabilities 13,086 550 9,690 9,689 6,961
--------------- ------------ -------------- -------------- --------------
Total liabilities 1,684,788 66,190 445,631 500,185,755 25,109,722
--------------- ------------ -------------- -------------- --------------
NET ASSETS $19,169,547,321 $392,715,429 $4,577,434,079 $2,761,793,558 $ 992,180,751
=============== ============ ============== ============== ==============
</Table>
See Notes to Financial Statements.
49
STATE STREET MASTER FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
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 $22,961,224 $425,764 $3,184,096 $1,243,692 $535,796
----------- -------- ---------- ---------- --------
EXPENSES
Management fees (Note 3) 8,561,803 190,932 1,897,734 1,219,855 423,045
Administration and custody
fees (Note 3) 1,423,288 31,773 315,298 202,240 70,218
Professional fees 15,605 15,605 15,606 15,605 15,605
Trustee's fees (Note 4) 29,611 6,422 11,747 10,153 7,283
Printing fees 3,204 644 644 644 644
Other expenses 32,495 9,169 18,602 17,435 12,439
----------- -------- ---------- ---------- --------
Total expenses 10,066,006 254,545 2,259,631 1,465,932 529,234
----------- -------- ---------- ---------- --------
NET INVESTMENT INCOME (LOSS) $12,895,218 $171,219 $ 924,465 $ (222,240) $ 6,562
=========== ======== ========== ========== ========
REALIZED GAIN (LOSS)
Net realized gain (loss) on
investments $ (42,500) $ 77,682 $ - $ 2,350 $ (90)
----------- -------- ---------- ---------- --------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS $12,852,718 $248,901 $ 924,465 $ (219,890) $ 6,472
=========== ======== ========== ========== ========
</Table>
See Notes to Financial Statements.
50
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
TAX FREE MONEY
MONEY MARKET PORTFOLIO MARKET PORTFOLIO
---------------------------------- ---------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2010 DECEMBER 31, JUNE 30, 2010 DECEMBER 31,
(UNAUDITED) 2009 (UNAUDITED) 2009
---------------- ---------------- ---------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
FROM:
OPERATIONS:
Net investment income $ 12,895,218 $ 48,751,157 $ 171,219 $ 2,026,388
Net realized gain (loss) on
investments (42,500) 37,660 77,682 500
---------------- ---------------- ------------- ---------------
Net increase in net assets
from operations 12,852,718 48,788,817 248,901 2,026,888
---------------- ---------------- ------------- ---------------
CAPITAL TRANSACTIONS:
Contributions 25,854,797,418 26,809,693,228 512,974,811 1,090,386,252
Withdrawals (22,186,183,967) (19,976,306,032) (496,689,821) (1,104,678,398)
---------------- ---------------- ------------- ---------------
Net increase (decrease) in
net assets from capital
transactions 3,668,613,451 6,833,387,196 16,284,990 (14,292,146)
---------------- ---------------- ------------- ---------------
NET INCREASE (DECREASE) IN NET
ASSETS 3,681,466,169 6,882,176,013 16,533,891 (12,265,258)
NET ASSETS
Beginning of period 15,488,081,152 8,605,905,139 376,181,538 388,446,796
---------------- ---------------- ------------- ---------------
End of period $ 19,169,547,321 $ 15,488,081,152 $ 392,715,429 $ 376,181,538
================ ================ ============= ===============
</Table>
See Notes to Financial Statements.
51
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
U.S. GOVERNMENT MONEY TREASURY MONEY
MARKET PORTFOLIO MARKET PORTFOLIO
--------------------------------- ---------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2010 DECEMBER 31, JUNE 30, 2010 DECEMBER 31,
(UNAUDITED) 2009 (UNAUDITED) 2009
---------------- --------------- ---------------- ---------------
INCREASE (DECREASE) IN NET ASSETS
FROM:
OPERATIONS:
Net investment income (loss) $ 924,465 $ 7,182,218 $ (222,240) $ 513,089
Net realized gain on investments - 8,555 2,350 33,178
--------------- --------------- --------------- ---------------
Net increase (decrease) in net
assets from operations 924,465 7,190,773 (219,890) 546,267
--------------- --------------- --------------- ---------------
CAPITAL TRANSACTIONS:
Contributions 5,391,139,092 8,675,438,195 3,526,348,072 4,593,553,712
Withdrawals (4,245,781,988) (8,210,512,018) (3,042,265,476) (4,436,864,167)
--------------- --------------- --------------- ---------------
Net increase in net assets
from capital transactions 1,145,357,104 464,926,177 484,082,596 156,689,545
--------------- --------------- --------------- ---------------
NET INCREASE IN NET ASSETS 1,146,281,569 472,116,950 483,862,706 157,235,812
NET ASSETS
Beginning of period 3,431,152,510 2,959,035,560 2,277,930,852 2,120,695,040
--------------- --------------- --------------- ---------------
End of period $ 4,577,434,079 $ 3,431,152,510 $ 2,761,793,558 $ 2,277,930,852
=============== =============== =============== ===============
</Table>
See Notes to Financial Statements.
52
STATE STREET MASTER FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
TREASURY PLUS MONEY
MARKET PORTFOLIO
---------------------------------
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2010 DECEMBER 31,
(UNAUDITED) 2009
---------------- ---------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 6,562 $ 242,807
Net realized gain (loss) on investments (90) 4,611
--------------- ---------------
Net increase in net assets from operations 6,472 247,418
--------------- ---------------
CAPITAL TRANSACTIONS:
Contributions 2,055,030,564 2,238,410,690
Withdrawals (1,863,493,463) (2,391,190,447)
--------------- ---------------
Net increase (decrease) in net assets from capital
transactions 191,537,101 (152,779,757)
--------------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS 191,543,573 (152,532,339)
NET ASSETS
Beginning of period 800,637,178 953,169,517
--------------- ---------------
End of period $ 992,180,751 $ 800,637,178
=============== ===============
</Table>
See Notes to Financial Statements.
53
STATE STREET MASTER FUNDS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RATIOS TO AVERAGE NET ASSETS
-------------------------------------- NET ASSETS
GROSS NET NET END OF
TOTAL OPERATING OPERATING INVESTMENT PERIOD
PERIOD ENDED DECEMBER 31, RETURN (A) EXPENSES EXPENSES INCOME (000S OMITTED)
- ------------------------- ---------- --------- --------- ---------- --------------
MONEY MARKET PORTFOLIO
2010* 0.07% 0.12%** 0.12%** 0.15%** $19,169,547
2009 0.52% 0.12% 0.11%(b) 0.46%(b) $15,488,081
2008 2.75% 0.12% 0.10% 2.79% $ 8,605,905
2007 5.30% 0.12% 0.10% 5.14% $ 6,918,263
2006 5.09% 0.13% 0.10% 5.08% $ 6,197,117
2005 3.31% 0.14% 0.10% 3.33% $ 1,639,871
TAX FREE MONEY MARKET
PORTFOLIO
2010* 0.06% 0.13%** 0.13%** 0.09%** $ 392,715
2009 0.49% 0.14% 0.13%(b) 0.48%(b) $ 376,182
2008 2.35% 0.14% 0.10% 2.32% $ 388,447
2007(c) 3.19% 0.17%** 0.10%** 3.42%** $ 447,679
U.S. GOVERNMENT MONEY
MARKET PORTFOLIO
2010* 0.02% 0.12%** 0.12%** 0.05%** $ 4,577,434
2009 0.25% 0.12% 0.12% 0.23% $ 3,431,153
2008 2.19% 0.13% 0.13% 1.97% $ 2,959,036
2007(d) 0.92% 0.14%** 0.14%** 4.39%** $ 1,076,794
TREASURY MONEY MARKET
PORTFOLIO
2010* (0.01)% 0.12%** 0.12%** (0.02)%** $ 2,761,794
2009 0.02% 0.12% 0.12% 0.02% $ 2,277,931
2008 1.28% 0.13% 0.13% 0.93% $ 2,120,695
2007(e) 0.61% 0.19%** 0.19%** 3.21%** $ 530,104
TREASURY PLUS MONEY MARKET
PORTFOLIO
2010* 0.00%(g) 0.13%** 0.13%** 0.00%(g)** $ 992,181
2009 0.04% 0.13% 0.13% 0.03% $ 800,637
2008 1.57% 0.13% 0.13% 1.07% $ 953,170
2007(f) 0.75% 0.17%** 0.17%** 3.95%** $ 463,190
</Table>
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not annualized.
(b) Results reflect the effect of expense waivers. Without these waivers, net
investment income would have been 0.01% lower.
(c) The Portfolio commenced operations on February 7, 2007.
(d) The Portfolio commenced operations on October 17, 2007.
(e) The Portfolio commenced operations on October 25, 2007.
(f) The Portfolio commenced operations on October 24, 2007.
(g) Amount is less than 0.005%.
* For the six months ended June 30, 2010 (Unaudited).
** Annualized.
See Notes to Financial Statements.
54
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2010 (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, 2010, the following Portfolios were in operation:
the State Street Equity 500 Index Portfolio, the State Street Money Market
Portfolio, the State Street Tax Free Money Market Portfolio, the State Street
Short-Term Tax Free Bond Portfolio, the State Street U.S. Government Money
Market Portfolio, the State Street Treasury Money Market Portfolio and the State
Street Treasury Plus Money Market Portfolio. Information presented in these
financial statements pertains only to the State Street Money Market Portfolio,
the State Street Tax Free Money Market Portfolio, the State Street U.S.
Government Money Market Portfolio, the State Street Treasury Money Market
Portfolio and the State Street Treasury Plus Money Market Portfolio (the
"Portfolios"). The Portfolios commenced operations as follows:
<Table>
<Caption>
- -----------------------------------------------------------------------------------
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
- -----------------------------------------------------------------------------------
</Table>
The Portfolios are authorized to issue an unlimited number of non-transferable
beneficial interests.
55
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
The Portfolios' investment objectives are as follows:
<Table>
<Caption>
- ----------------------------------------------------------------------------------
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 To seek to maximize current income,
Portfolio exempt from federal income taxes, to the
extent consistent with the preservation
of capital and liquidity.
- ----------------------------------------------------------------------------------
State Street U.S. Government Money To seek to maximize current income, to
Market Portfolio the extent consistent with the
preservation of capital and liquidity by
investing in U.S. government securities
and in repurchase agreements
collateralized by U.S. government
securities.
- ----------------------------------------------------------------------------------
State Street Treasury Money Market To seek a high level of current income
Portfolio consistent with preserving principal and
liquidity.
- ----------------------------------------------------------------------------------
State Street Treasury Plus Money Market To seek a high level of current income
Portfolio consistent with preserving principal and
liquidity by investing in a portfolio
consisting principally of U.S. Treasury
securities and repurchase agreements
collateralized by such securities.
- ----------------------------------------------------------------------------------
</Table>
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
SECURITY VALUATION - As permitted under Rule 2a-7 of the 1940 Act and certain
conditions therein, securities of the Portfolios are valued initially at cost
and thereafter assume a constant amortization to maturity of any discount or
premium.
The Portfolios adopted provisions surrounding Fair Value Measurements and
Disclosures that define fair value, establish a framework for measuring fair
value in generally accepted accounting principles and expand disclosures about
fair value measurements. This applies to fair value measurements that are
already required or permitted by other accounting standards and is intended to
increase consistency of those measurements and applies broadly to securities and
other types of assets and liabilities. In accordance with these provisions, fair
value is defined as the price that a Portfolio would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most advantageous market of the investment. Various inputs are used in
determining the value of the Portfolios' investments.
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.)
56
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
- Level 3 -- significant unobservable inputs (including a Portfolio's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2010, in valuing
the Portfolios' assets carried at fair value:
<Table>
<Caption>
- ----------------------------------------------------------------------------------------------------------------------------------
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 $ - $ 31,790,318 $ - $ - $ -
- ----------------------------------------------------------------------------------------------------------------------------------
Level 2 -- Other Significant
Observable Inputs 19,166,949,697 360,859,000 4,577,755,140 3,261,963,477 1,017,280,543
- ----------------------------------------------------------------------------------------------------------------------------------
Level 3 -- Significant
Unobservable Inputs - - - - -
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investments $19,166,949,697 $392,649,318 $4,577,755,140 $3,261,963,477 $1,017,280,543
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
The type of inputs used to value each security under the provisions surrounding
Fair Value Measurement and Disclosures is identified in each Portfolio of
Investments, which also includes a breakdown of the Portfolios' investments by
category.
The Portfolios adopted updated provisions surrounding Fair Value Measurements
and Disclosures effective March 31, 2010. This update applies to the Portfolios'
disclosures about transfers in and out of Level 1 and Level 2 of the fair value
hierarchy and the reasons for the transfers as well as disclosures about the
valuation techniques and inputs used to measure fair value for investments that
fall in either Level 2 or Level 3 fair value hierarchy.
As of the period ended June 30, 2010, there were no securities transferred from
Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES - Securities
transactions are recorded on a trade date basis for financial statement
purposes. Interest income is recorded daily on the accrual basis and includes
amortization of premium and accretion of discount on investments. Realized gains
and losses from securities transactions are recorded on the basis of identified
cost. Expenses are accrued daily.
All of the net investment income and realized gains and losses from the security
transactions of the Portfolios are allocated pro rata among the partners in the
Portfolios based on each partner's daily ownership percentage.
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.
57
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
The Portfolios have reviewed the tax positions for open years as of December 31,
2009, 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, 2010, tax years 2006 (or since inception, for Portfolios formed subsequent
to 2006) through 2009 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, 2010, the cost of investments for federal income tax purposes was
substantially the same as the cost for financial reporting purposes.
REPURCHASE AGREEMENTS - A repurchase agreement customarily obligates the seller
at the time it sells securities to a Portfolio to repurchase the securities at a
mutually agreed upon price and time which, in the case of the Portfolios'
transactions, is generally within seven days. The total amount received by a
Portfolio on repurchase is calculated to exceed the price paid by the Portfolio,
reflecting an agreed-upon market rate of interest for the period of time to the
settlement date, and is not necessarily related to the interest rate on the
underlying securities. The underlying securities are ordinarily United States
Government securities, but may consist of other securities in which a Portfolio
is permitted to invest. Repurchase agreements are fully collateralized at all
times. The use of repurchase agreements involves certain risks. For example, if
the seller of securities under a repurchase agreement defaults on its obligation
to repurchase the underlying securities (as a result of its bankruptcy or
otherwise) a Portfolio will seek to dispose of such securities; this action
could involve costs or delays. In addition, the proceeds of any such disposition
may be less than the amount a Portfolio is owed under the repurchase agreement.
A Portfolio may enter into repurchase agreements maturing within seven days with
domestic dealers, banks and other financial institutions deemed to be
creditworthy by SSgA Funds Management, Inc. ("SSgA FM" or the "Adviser"), a
subsidiary of State Street Corporation and an affiliate of State Street Bank and
Trust Company ("State Street").
EXPENSE ALLOCATION - Certain expenses are applicable to multiple Portfolios.
Expenses directly attributable to a Portfolio are charged to that Portfolio.
Expenses of the Trust that are not directly attributed to a Portfolio are
allocated among the Portfolios, on the basis of relative net assets, except
where a more appropriate allocation of expenses to each of the Portfolios can
otherwise be made fairly.
USE OF ESTIMATES - The Portfolios' financial statements are prepared in
accordance with U.S. generally accepted accounting principles, which require the
use of management estimates. Actual results could differ from those estimates.
3. RELATED PARTY FEES
The Portfolios have entered into investment advisory agreements with the
Adviser. The Adviser directs the investments of the Portfolios in accordance
with their investment objectives, policies, and limitations. In compensation for
the Adviser's services as investment adviser, each Portfolio pays the Adviser an
annual fee of 0.10% of the respective Portfolio's average daily net assets.
State Street is the administrator, custodian and transfer agent for the
Portfolios. In compensation for State Street's services as administrator,
custodian and transfer agent beginning February 1, 2007, the Trust pays State
Street an annual fee, which is accrued daily and payable monthly at the
applicable fee rate
58
STATE STREET MASTER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
described below, of the following annual percentages of the Trust's average
aggregate daily net assets, exclusive of the Equity 500 Index Portfolio, during
the month as follows:
<Table>
<Caption>
ANNUAL PERCENTAGE OF
ASSET LEVELS AVERAGE AGGREGATE DAILY NET ASSETS
- ------------ -----------------------------------
First $400 million 0.03%
Next $15 billion 0.02%
Thereafter 0.01%
Minimum annual fee per Portfolio $150,000
</Table>
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 principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements in
unknown as this could involve future claims against the Trust. Management does
not expect any significant claims.
6. SUBSEQUENT EVENTS
In accordance with provisions surrounding Subsequent Events adopted by the
Portfolios, management has evaluated the possibility of subsequent events
existing in the Portfolios' financial statements. Management has determined that
there are no material events that would require disclosure in the Portfolios'
financial statements.
59
STATE STREET MASTER FUNDS
GENERAL INFORMATION (UNAUDITED)
JUNE 30, 2010
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.
60
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, 2010
(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, 2010 to June 30,
2010.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the actual return of the Portfolio, and the third
column shows the dollar amount that would have been paid by an investor
who started with $1,000 in the Portfolio. You may use the information
here, together with the amount you invested, to estimate the expenses
that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result
by the number given for the Portfolio under the heading "Expenses Paid
During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case, because the return
used is not the Portfolio's actual return, the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended June 30, 2010
<Table>
<Caption>
- -----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2010 JUNE 30, 2010 PERIOD *
- -----------------------------------------------------------------------------------------
Based on Actual Portfolio Return $1,000.00 $933.80 $0.22
- -----------------------------------------------------------------------------------------
Based on Hypothetical (5% return before
expenses) $1,000.00 $1,024.57 $0.23
- -----------------------------------------------------------------------------------------
</Table>
* 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, 2010 was 0.045%. The dollar amounts shown as "Expenses Paid"
are equal to the annualized average weighted expense ratio multiplied by
the average account value over the period, multiplied by 181/365 (the most
recent six month period).
17
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
Common Stocks 97.4%
- --------------------------------------------------------------------------------
Money Market Funds 2.1
- --------------------------------------------------------------------------------
U.S. Government Securities 0.4
- --------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 0.1
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS) * JUNE 30, 2010
- --------------------------------------------------------------------------------
Information Technology 17.2%
- --------------------------------------------------------------------------------
Financials 16.5
- --------------------------------------------------------------------------------
Health Care 11.6
- --------------------------------------------------------------------------------
Consumer Staples 11.2
- --------------------------------------------------------------------------------
Energy 10.5
- --------------------------------------------------------------------------------
TOTAL 67.0%
- --------------------------------------------------------------------------------
</Table>
* 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 EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS - 97.4%
CONSUMER
DISCRETIONARY - 10.2%
Abercrombie & Fitch Co.
Class A 15,846 $ 486
Amazon.Com, Inc.(a) 61,992 6,773
Apollo Group, Inc.
Class A(a) 23,129 982
AutoNation, Inc.(a) 16,963 331
AutoZone, Inc.(a) 5,464 1,056
Bed Bath & Beyond, Inc.(a) 45,645 1,693
Best Buy Co., Inc. 64,019 2,168
Big Lots, Inc.(a) 12,727 408
CarMax, Inc.(a) 40,300 802
Carnival Corp. 79,250 2,397
CBS Corp. Class B 126,503 1,636
Coach, Inc. 57,528 2,103
Comcast Corp. Class A 513,748 8,924
D.R. Horton, Inc. 52,876 520
Darden Restaurants, Inc. 24,588 955
DeVry, Inc. 10,400 546
Direct TV. Class A(a) 165,777 5,623
Discovery Communications,
Inc. Class A(a) 50,000 1,786
Eastman Kodak Co.(a) 54,482 236
eBay, Inc.(a) 205,503 4,030
Expedia, Inc. 38,815 729
Family Dollar Stores,
Inc. 25,558 963
Ford Motor Co.(a) 610,598 6,155
Fortune Brands, Inc. 27,245 1,067
GameStop Corp. Class A(a) 26,800 504
Gannett Co., Inc. 42,074 566
Gap, Inc. 87,498 1,703
Genuine Parts Co. 29,509 1,164
Goodyear Tire & Rubber
Co.(a) 42,357 421
H&R Block, Inc. 60,415 948
Harley-Davidson, Inc. 42,501 945
Harman International
Industries, Inc.(a) 12,621 377
Hasbro, Inc. 24,525 1,008
Home Depot, Inc. 307,812 8,640
Host Hotels & Resorts,
Inc. 122,521 1,652
International Game
Technology 53,619 842
Interpublic Group of Cos.,
Inc.(a) 83,894 598
JC Penney Co., Inc. 40,010 859
Johnson Controls, Inc. 122,386 3,289
Kohl's Corp.(a) 55,933 2,657
Lennar Corp. Class A 25,931 361
Limited Brands 45,467 1,003
Lowe's Cos., Inc. 260,762 5,325
Macy's, Inc. 72,423 1,296
Marriot International,
Inc. Class A 45,350 1,358
Mattel, Inc. 67,276 1,424
McDonald's Corp. 194,625 12,820
McGraw-Hill, Inc. 55,266 1,555
Meredith Corp. 7,889 246
New York Times Co. Class
A(a) 22,922 198
Newell Rubbermaid, Inc. 50,693 742
News Corp. Class A 409,009 4,892
NIKE, Inc. Class B 70,852 4,786
Nordstrom, Inc. 29,533 951
O'Reilly Automotive,
Inc.(a) 24,600 1,170
Office Depot, Inc.(a) 51,256 207
Omnicom Group, Inc. 54,641 1,874
Polo Ralph Lauren Corp. 10,615 775
Priceline.com, Inc.(a) 8,890 1,569
Pulte Homes, Inc.(a) 54,705 453
Radioshack Corp. 20,103 392
Ross Stores, Inc. 22,300 1,188
Scripps Networks
Interactive, Inc.
Class A 17,135 691
Sears Holdings Corp.(a) 8,174 528
Snap-On, Inc. 9,212 377
Stanley Black & Decker,
Inc. 30,007 1,516
Staples, Inc. 133,133 2,536
Starbucks Corp. 135,361 3,289
Starwood Hotels & Resorts
Worldwide, Inc. 34,447 1,427
Target Corp. 136,316 6,703
Tiffany & Co. 22,880 867
Time Warner Cable, Inc. 64,271 3,347
Time Warner, Inc. 208,591 6,030
TJX Cos., Inc. 76,506 3,209
Urban Outfitters, Inc.(a) 23,900 822
V.F. Corp. 16,393 1,167
Viacom, Inc. Class B 110,622 3,470
Walt Disney Co. 355,645 11,203
Washington Post Co.
Class B 960 394
Whirlpool Corp. 13,661 1,200
Wyndham Worldwide Corp. 29,699 598
Wynn Resorts, Ltd. 12,300 938
Yum! Brands, Inc. 85,492 3,338
----------
176,777
----------
CONSUMER STAPLES - 11.2%
Altria Group, Inc. 377,099 7,557
Archer-Daniels-Midland
Co. 117,224 3,027
Avon Products, Inc. 78,360 2,077
Brown-Forman Corp. Class B 18,655 1,068
Campbell Soup Co. 34,065 1,221
Clorox Co. 24,143 1,501
Coca-Cola Co. 416,411 20,870
Coca-Cola Enterprises,
Inc. 56,701 1,466
Colgate-Palmolive Co. 89,501 7,049
ConAgra Foods, Inc. 82,675 1,928
Constellation Brands, Inc.
Class A(a) 37,426 585
Costco Wholesale Corp. 79,889 4,380
CVS Caremark Corp. 251,932 7,387
Dean Foods Co.(a) 33,458 337
Dr Pepper Snapple Group,
Inc. 46,800 1,750
Estee Lauder Cos., Inc.
Class A 20,952 1,168
General Mills, Inc. 119,864 4,258
H.J. Heinz Co. 55,669 2,406
Hormel Foods Corp. 13,400 542
Kellogg Co. 44,835 2,255
Kimberly-Clark Corp. 75,700 4,590
Kraft Foods, Inc. Class A 314,409 8,803
Kroger Co. 118,976 2,343
Lorillard, Inc. 28,361 2,041
McCormick & Co., Inc. 23,953 909
Molson Coors Brewing Co.,
Class B 28,262 1,197
PepsiCo, Inc. 292,454 17,825
Philip Morris
International, Inc. 335,999 15,402
Procter & Gamble Co. 521,519 31,281
Reynolds American, Inc. 31,187 1,625
Safeway, Inc. 71,864 1,413
Sara Lee Corp. 116,034 1,636
</Table>
See Notes to Financial Statements.
19
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS - (CONTINUED)
CONSUMER STAPLES - (CONTINUED)
SuperValu, Inc. 34,848 $ 378
Sysco Corp. 108,009 3,086
The Hershey Company 30,782 1,475
The J.M. Smucker Co. 20,260 1,220
Tyson Foods, Inc., Class A 51,235 840
Wal-Mart Stores, Inc. 376,602 18,103
Walgreen Co. 178,918 4,777
Whole Foods Market,
Inc.(a) 31,633 1,139
----------
192,915
----------
ENERGY - 10.5%
Anadarko Petroleum Corp. 89,626 3,235
Apache Corp. 61,025 5,138
Baker Hughes, Inc. 78,273 3,254
Cabot Oil & Gas Corp. 17,300 542
Cameron International
Corp.(a) 45,100 1,467
Chesapeake Energy Corp. 114,482 2,398
Chevron Corp.(b) 362,746 24,616
ConocoPhillips 268,830 13,197
Consol Energy, Inc. 38,973 1,316
Denbury Resources, Inc.(a) 69,800 1,022
Devon Energy Corp. 81,151 4,944
Diamond Offshore Drilling,
Inc. 11,300 703
El Paso Corp. 131,592 1,462
EOG Resources, Inc. 45,917 4,517
EQT Corp. 26,800 968
ExxonMobil Corp.(b) 927,447 52,929
FMC Technologies, Inc.(a) 20,800 1,095
Halliburton Co. 164,634 4,042
Helmerich & Payne, Inc. 18,600 679
Hess Corp. 53,201 2,678
Marathon Oil Corp. 128,777 4,004
Massey Energy Co. 20,400 558
Murphy Oil Corp. 33,441 1,657
Nabors Industries, Ltd.(a) 48,204 849
National Oilwell Varco,
Inc. 76,457 2,528
Noble Energy, Inc. 30,510 1,841
Occidental Petroleum
Corp. 146,844 11,329
Peabody Energy Corp. 47,024 1,840
Pioneer Natural Resources
Co. 21,400 1,272
Questar Corp. 32,768 1,491
Range Resources Corp. 28,700 1,152
Rowan Cos., Inc.(a) 19,620 430
Schlumberger, Ltd. 216,375 11,974
Smith International, Inc. 44,334 1,669
Southwestern Energy Co.(a) 63,200 2,442
Spectra Energy Corp. 113,998 2,288
Sunoco, Inc. 20,384 709
Tesoro Corp. 26,365 308
Valero Energy Corp. 98,009 1,762
Williams Cos., Inc. 102,568 1,875
----------
182,180
----------
FINANCIALS - 16.5%
AFLAC, Inc. 85,390 3,644
Allstate Corp. 98,006 2,816
American Express Co. 216,764 8,605
American International
Group, Inc.(a) 24,133 831
Ameriprise Financial,
Inc. 47,007 1,698
AON Corp. 49,047 1,821
Apartment Investment &
Management Co. Class A 21,052 408
Assurant, Inc. 20,831 723
AvalonBay Communities,
Inc. 14,398 1,344
Bank of America Corp. 1,811,671 26,034
Bank of New York Mellon
Corp. 219,285 5,414
BB&T Corp. 125,770 3,309
Berkshire Hathaway, Inc.
Class B(a) 299,003 23,828
Boston Properties, Inc. 25,467 1,817
Capital One Financial
Corp. 82,963 3,343
CB Richard Ellis Group,
Inc. Class A(a) 47,275 643
Charles Schwab Corp. 178,593 2,532
Chubb Corp. 59,975 2,999
Cincinnati Financial
Corp. 27,114 701
Citigroup, Inc.(a)(b) 4,100,502 15,418
CME Group, Inc. 12,091 3,404
Comerica, Inc. 33,344 1,228
Developers Diversified
Realty Corp. 1,532 15
Discover Financial
Services 100,705 1,408
E*Trade Financial Corp.(a) 30,531 361
Equity Residential 51,657 2,151
Federated Investors, Inc.
Class B 14,870 308
Fifth Third Bancorp 137,816 1,694
First Horizon National
Corp.(a) 44,500 509
Franklin Resources, Inc. 27,180 2,343
Genworth Financial, Inc.
Class A(a) 83,951 1,097
Goldman Sachs Group, Inc. 93,434 12,265
Hartford Financial
Services Group, Inc. 78,297 1,733
HCP, Inc. 50,600 1,632
Health Care REIT, Inc. 20,800 876
Hudson City Bancorp, Inc. 84,392 1,033
Huntington Bancshares,
Inc. 118,556 657
IntercontinentalExchange,
Inc.(a) 13,780 1,558
Invesco Ltd. 84,800 1,427
J.P. Morgan Chase & Co. 717,515 26,268
Janus Capital Group, Inc. 36,007 320
KeyCorp 155,975 1,199
Kimco Realty Corp. 71,369 959
Legg Mason, Inc. 27,042 758
Leucadia National Corp.(a) 35,436 691
Lincoln National Corp. 51,992 1,263
Loews Corp. 62,531 2,083
M & T Bank Corp. 14,137 1,201
Marsh & McLennan Cos.,
Inc. 100,253 2,261
Marshall & Ilsley Corp. 86,593 622
Mastercard, Inc. Class A 17,600 3,512
MetLife, Inc. 148,596 5,611
Moody's Corp. 34,766 693
Morgan Stanley 253,530 5,884
NASDAQ OMX Group, Inc.(a) 28,600 508
Northern Trust Corp. 42,506 1,985
NYSE Euronext 47,300 1,307
Paychex, Inc. 55,738 1,447
People's United Financial,
Inc. 69,500 938
PNC Financial Services
Group, Inc. 93,817 5,301
Principal Financial Group,
Inc. 58,991 1,383
</Table>
See Notes to Financial Statements.
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS - (CONTINUED)
FINANCIALS - (CONTINUED)
Progressive Corp. 117,301 $ 2,196
ProLogis 88,691 898
Prudential Financial,
Inc. 84,439 4,531
Public Storage, Inc. 25,187 2,214
Regions Financial Corp. 206,189 1,357
Simon Property Group,
Inc. 52,715 4,257
SLM Corp.(a) 92,354 960
State Street Corp.(c) 90,325 3,055
SunTrust Banks, Inc. 87,618 2,041
T. Rowe Price Group, Inc. 45,275 2,010
Torchmark Corp. 15,021 744
Total System Services,
Inc. 37,775 514
Travelers Cos., Inc. 90,604 4,462
U.S. Bancorp 346,652 7,748
Unum Group 60,129 1,305
Ventas, Inc. 26,700 1,254
Visa, Inc. 81,000 5,731
Vornado Realty Trust 28,914 2,109
Wells Fargo Co. 943,949 24,165
Western Union Co. 125,385 1,869
XL Capital, Ltd. Class A 58,768 941
Zions Bancorp 25,453 549
----------
284,731
----------
HEALTH CARE -- 11.6%
Abbott Laboratories 280,806 13,136
Aetna, Inc. 78,950 2,083
Allergan, Inc. 56,092 3,268
AmerisourceBergen Corp. 49,686 1,577
Amgen, Inc.(a) 174,136 9,160
Baxter International,
Inc. 109,561 4,453
Becton, Dickinson & Co. 42,997 2,907
Biogen Idec, Inc.(a) 49,431 2,345
Boston Scientific Corp.(a) 265,834 1,542
Bristol-Myers Squibb Co. 310,616 7,747
C.R. Bard, Inc. 16,497 1,279
Cardinal Health, Inc. 63,757 2,143
CareFusion Corp.(a) 31,178 708
Celgene Corp.(a) 83,618 4,249
Cephalon, Inc.(a) 13,300 755
Cerner Corp.(a) 11,700 888
CIGNA Corp. 51,596 1,603
Coventry Health Care,
Inc.(a) 26,203 463
DaVita, Inc.(a) 18,200 1,136
Dentsply International,
Inc. 26,700 799
Eli Lilly & Co. 184,075 6,166
Express Scripts, Inc.(a) 99,998 4,702
Forest Laboratories,
Inc.(a) 52,202 1,432
Genzyme Corp.(a) 48,692 2,472
Gilead Sciences, Inc.(a) 163,999 5,622
Hospira, Inc.(a) 29,203 1,678
Humana, Inc.(a) 29,307 1,338
Intuitive Surgical,
Inc.(a) 7,100 2,241
Johnson & Johnson 499,549 29,503
King Pharmaceuticals,
Inc.(a) 48,592 369
Laboratory Corp. of
America Holdings(a) 18,422 1,388
Life Technologies Corp.(a) 33,287 1,573
McKesson Corp. 49,855 3,348
Mead Johnson Nutrition
Co. 35,818 1,795
Medco Health Solutions,
Inc.(a) 84,268 4,641
Medtronic, Inc. 200,178 7,260
Merck & Co., Inc. 562,870 19,684
Millipore Corp.(a) 9,335 996
Mylan, Inc.(a) 54,109 922
Patterson Cos., Inc. 18,294 522
Pfizer, Inc. 1,457,911 20,790
Quest Diagnostics, Inc. 27,100 1,349
St. Jude Medical, Inc.(a) 59,626 2,152
Stryker Corp. 51,689 2,588
Tenet Healthcare Corp.(a) 73,370 318
UnitedHealth Group, Inc. 209,896 5,961
Varian Medical Systems,
Inc.(a) 23,060 1,206
Watson Pharmaceuticals,
Inc.(a) 17,746 720
Wellpoint, Inc.(a) 78,238 3,828
Zimmer Holdings, Inc.(a) 37,152 2,008
----------
200,813
----------
INDUSTRIALS - 10.4%
3M Co. 128,872 10,180
Amphenol Corp. Class A 31,200 1,226
Avery Dennison Corp. 21,188 681
Boeing Co. 137,088 8,602
Caterpillar, Inc. 113,279 6,805
CH Robinson Worldwide,
Inc. 29,061 1,618
Cintas Corp. 25,088 601
CSX Corp. 71,038 3,526
Cummins, Inc. 35,158 2,290
Danaher Corp. 95,372 3,540
Deere & Co. 77,137 4,295
Dover Corp. 34,395 1,437
Eaton Corp. 30,995 2,028
Emerson Electric Co. 136,448 5,961
Equifax, Inc. 22,083 620
Expeditors International
Washington, Inc. 39,220 1,353
Fastenal Co. 22,500 1,129
FedEx Corp. 56,900 3,989
First Solar, Inc.(a) 8,670 987
Flir Systems, Inc.(a) 28,900 841
Flowserve Corp. 10,500 890
Fluor Corp. 32,260 1,371
General Dynamics Corp. 70,161 4,109
General Electric Co.(b) 1,926,733 27,783
Goodrich Co. 22,445 1,487
Honeywell International,
Inc. 138,781 5,417
Illinois Tool Works, Inc. 70,571 2,913
Iron Mountain, Inc. 32,200 723
ITT Industries, Inc. 31,592 1,419
Jacobs Engineering Group,
Inc.(a) 22,300 813
L-3 Communications
Holdings, Inc. 20,303 1,438
Leggett & Platt, Inc. 27,098 544
Lockheed Martin Corp. 57,352 4,273
Masco Corp. 64,323 692
Monster Worldwide, Inc.(a) 22,609 263
Norfolk Southern Corp. 67,255 3,568
Northrop Grumman Corp. 55,211 3,006
PACCAR, Inc. 66,474 2,650
</Table>
See Notes to Financial Statements.
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS - (CONTINUED)
INDUSTRIALS - (CONTINUED)
Pall Corp. 21,509 $ 739
Parker-Hannifin Corp. 29,603 1,642
Pitney Bowes, Inc. 34,927 767
Precision Castparts Corp. 25,907 2,666
Quanta Services, Inc.(a) 39,500 816
R.R. Donnelley & Sons Co. 36,109 591
Raytheon Co. 69,082 3,343
Republic Services, Inc. 60,403 1,796
Robert Half International,
Inc. 26,540 625
Rockwell Automation, Inc. 24,305 1,193
Rockwell Collins, Inc. 28,931 1,537
Roper Industries, Inc. 17,000 951
Ryder Systems, Inc. 7,921 319
Southwest Airlines Co. 136,986 1,522
Stericycle, Inc.(a) 14,800 971
Textron, Inc. 49,939 847
Thermo Fisher Scientific,
Inc.(a) 74,524 3,655
Union Pacific Corp. 91,668 6,372
United Parcel Service,
Inc. Class B 179,646 10,220
United Technologies Corp. 169,378 10,994
W.W. Grainger, Inc. 11,469 1,141
Waste Management, Inc. 88,539 2,770
----------
180,545
----------
INFORMATION
TECHNOLOGY - 17.2%
Adobe Systems, Inc.(a) 95,657 2,528
Advanced Micro Devices,
Inc.(a) 99,186 726
Agilent Technologies,
Inc.(a) 60,468 1,719
Akamai Technologies,
Inc.(a) 30,124 1,222
Altera Corp. 52,854 1,311
Analog Devices, Inc. 53,269 1,484
AOL, Inc.(a)(d) 1 -
Apple, Inc.(a) 164,684 41,423
Applied Materials, Inc. 245,007 2,945
Autodesk, Inc.(a) 41,576 1,013
Automatic Data Processing,
Inc. 91,917 3,701
BMC Software, Inc.(a) 31,221 1,081
Broadcom Corp. Class A 75,759 2,498
CA, Inc. 67,099 1,235
Cisco Systems, Inc.(a) 1,034,219 22,039
Citrix Systems, Inc.(a) 33,967 1,434
Cognizant Technology
Solutions Corp.
Class A(a) 54,384 2,722
Computer Sciences Corp. 27,744 1,255
Compuware Corp.(a) 37,450 299
Corning, Inc. 283,076 4,572
Dell, Inc.(a) 313,150 3,777
Dun & Bradstreet Corp. 9,400 631
Electronic Arts, Inc.(a) 60,100 865
EMC Corp.(a) 372,184 6,811
Fidelity National
Information Services,
Inc. 58,077 1,558
Fiserv, Inc.(a) 26,452 1,208
Google, Inc. Class A(a) 43,690 19,440
Harris Corp. 23,700 987
Hewlett-Packard Co. 425,316 18,408
Intel Corp. 1,008,456 19,614
International Business
Machines Corp. 232,242 28,677
Intuit, Inc.(a) 57,563 2,001
Jabil Circuit, Inc. 31,651 421
Juniper Networks, Inc.(a) 92,593 2,113
KLA-Tencor Corp. 30,605 853
Lexmark International
Group, Inc. Class A(a) 12,642 418
Linear Technology Corp. 39,863 1,109
LSI Corp.(a) 114,762 528
McAfee, Inc.(a) 28,200 866
MEMC Electronic Materials,
Inc.(a) 36,378 359
Microchip Technology,
Inc. 32,489 901
Micron Technology, Inc.(a) 157,162 1,334
Microsoft Corp.(b) 1,377,635 31,699
Molex, Inc. 23,305 425
Motorola, Inc.(a) 422,265 2,753
National Semiconductor
Corp. 42,096 567
NetApp, Inc.(a) 63,057 2,353
Novell, Inc.(a) 68,720 390
Novellus Systems, Inc.(a) 15,230 386
NVIDIA Corp.(a) 103,156 1,053
Oracle Corp. 706,562 15,163
PerkinElmer, Inc. 21,118 437
QLogic Corp.(a) 17,922 298
QUALCOMM, Inc. 298,111 9,790
Red Hat, Inc.(a) 33,300 964
SAIC, Inc.(a) 54,800 917
Salesforce.com, Inc.(a) 19,700 1,691
SanDisk Corp.(a) 40,667 1,711
Symantec Corp.(a) 147,863 2,052
Tellabs, Inc. 73,830 472
Teradata Corp.(a) 28,920 882
Teradyne, Inc.(a) 28,149 274
Texas Instruments, Inc. 225,399 5,247
VeriSign, Inc.(a) 32,421 861
Waters Corp.(a) 17,365 1,124
Western Digital Corp.(a) 43,000 1,297
Xerox Corp. 247,701 1,992
Xilinx, Inc. 51,302 1,296
Yahoo!, Inc.(a) 217,019 3,001
----------
297,181
----------
MATERIALS - 3.4%
Air Products & Chemicals,
Inc. 38,809 2,515
Airgas, Inc. 14,300 889
AK Steel Holding Corp. 20,000 238
Alcoa, Inc. 187,149 1,883
Allegheny Technologies,
Inc. 17,228 761
Ball Corp. 17,262 912
Bemis Co., Inc. 21,162 571
CF Industries Holdings,
Inc. 12,650 803
Cliffs Natural Resources,
Inc. 23,400 1,104
Dow Chemical Co. 208,828 4,953
E.I. Du Pont de Nemours &
Co. 164,012 5,673
Eastman Chemical Co. 12,204 651
Ecolab, Inc. 40,966 1,840
FMC Corp. 12,600 724
Freeport-McMoRan Copper &
Gold, Inc. Class B 85,352 5,047
</Table>
See Notes to Financial Statements.
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ----------
COMMON STOCKS - (CONTINUED)
MATERIALS - (CONTINUED)
International Flavors &
Fragrances, Inc. 13,031 $ 553
International Paper Co. 75,811 1,716
MeadWestvaco Corp. 30,320 673
Monsanto Co. 99,155 4,583
Newmont Mining Corp. 89,206 5,508
Nucor Corp. 57,654 2,207
Owens-Illinois, Inc.(a) 30,400 804
Pactiv Corp.(a) 22,615 630
Plum Creek Timber Co.,
Inc. 29,311 1,012
PPG Industries, Inc. 28,971 1,750
Praxair, Inc. 55,711 4,233
Sealed Air Corp. 29,692 586
Sherwin-Williams Co. 17,096 1,183
Sigma-Aldrich Corp. 20,934 1,043
Titanium Metals Corp.(a) 16,600 292
United States Steel Corp. 26,678 1,028
Vulcan Materials Co. 22,561 989
Weyerhaeuser Co. 36,537 1,286
----------
58,640
----------
TELECOMMUNICATION
SERVICES - 2.9%
American Tower Corp. Class
A(a) 73,400 3,266
AT&T, Inc. 1,065,950 25,785
CenturyTel, Inc. 52,073 1,735
Frontier Communications
Corp. 60,384 429
JDS Uniphase Corp.(a) 42,723 420
MetroPCS Communications,
Inc.(a) 51,700 423
Qwest Communications
International, Inc. 275,190 1,445
Sprint Nextel Corp.(a) 520,165 2,206
Verizon Communications,
Inc. 512,666 14,365
Windstream Corp. 90,413 955
----------
51,029
----------
UTILITIES - 3.5%
AES Corp.(a) 115,195 1,064
Allegheny Energy, Inc. 28,359 587
Ameren Corp. 40,160 955
American Electric Power
Co., Inc. 87,352 2,822
CenterPoint Energy, Inc. 77,511 1,020
CMS Energy Corp. 37,956 556
Consolidated Edison, Inc. 52,152 2,248
Constellation Energy
Group, Inc. 34,214 1,103
Dominion Resources, Inc. 109,162 4,229
DTE Energy Co. 29,884 1,363
Duke Energy Corp. 238,420 3,815
Edison International 57,119 1,812
Entergy Corp. 34,598 2,478
Exelon Corp. 119,921 4,553
FirstEnergy Corp. 53,707 1,892
Integrys Energy Group,
Inc. 14,716 644
NextEra Energy, Inc. 75,221 3,668
Nicor, Inc. 9,400 381
NiSource, Inc. 48,582 704
Northeast Utilities 32,000 815
NRG Energy, Inc.(a) 47,200 1,001
Oneok, Inc. 18,600 804
Pepco Holdings, Inc. 41,700 654
PG&E Corp. 67,826 2,788
Pinnacle West Capital
Corp. 20,360 740
PPL Corp. 82,375 2,055
Progress Energy, Inc. 52,281 2,050
Public Service Enterprise
Group, Inc. 92,324 2,893
SCANA Corp. 18,300 654
Sempra Energy 43,386 2,030
Southern Co. 149,043 4,960
TECO Energy, Inc. 34,951 527
Wisconsin Energy Corp. 20,100 1,020
Xcel Energy, Inc. 79,151 1,631
----------
60,516
----------
TOTAL COMMON STOCKS
(Cost $1,329,377) 1,685,327
----------
</Table>
<Table>
<Caption>
PAR
AMOUNT
(000)
-------
U.S. GOVERNMENT SECURITIES - 0.4%
United States Treasury
Bill(b)(e)(f) 0.08% due
10/14/10 $ 3,715 3,714
United States Treasury
Bill(b)(e)(f) 0.13% due
09/16/10 3,000 2,999
----------
TOTAL U.S. GOVERNMENT
SECURITIES (Cost $6,713) 6,713
----------
<Caption>
SHARES
(000)
-------
MONEY MARKET FUNDS - 2.1%
AIM Short Term Investment
Prime Portfolio 35,549 35,549
Federated Money Market
Obligations Trust 576 576
----------
TOTAL MONEY MARKET FUNDS
(Cost $36,125) 36,125
----------
TOTAL INVESTMENTS(G)+ - 99.9%
(Identified Cost $1,372,215) 1,728,165
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.1% 1,807
----------
NET ASSETS - 100.0% $1,729,972
==========
</Table>
- --------
(a) Non-income producing security.
(b) All or part of this security has been designated as collateral for
futures contracts.
(c) Affiliated issuer. See table that follows for more information.
(d) Amount is less than $1,000.
(e) Rate represents annualized yield at date of purchase.
See Notes to Financial Statements.
23
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
(f) Value determined based on Level 2 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
(g) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 1 inputs established by provisions
surrounding Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
<Table>
<Caption>
UNREALIZED
NUMBER OF DEPRECIATION
CONTRACTS (000)
--------- ------------
Schedule of Futures
Contracts S&P 500
Financial Futures
Contracts (long)
Expiration Date 09/2010 894 $(2,753)
-------
Total unrealized
depreciation on open
futures contracts
purchased $(2,753)
=======
</Table>
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, 2010 is
listed in the Portfolio of Investments.
<Table>
<Caption>
INCOME EARNED
SHARES PURCHASED SHARES SOLD FOR VALUE AT FOR THE SIX MONTHS
SECURITY NUMBER OF SHARES FOR THE SIX MONTHS THE SIX MONTHS NUMBER OF SHARES 06/30/10 ENDED 06/30/10
DESCRIPTION HELD AT 12/31/09 ENDED 06/30/10 ENDED 06/30/10 HELD AT 06/30/10 (000) (000)
- ----------- ---------------- ------------------ --------------- ---------------- -------- ------------------
State Street
Corp. 90,925 6,300 6,900 90,325 $3,055 $2
<Caption>
REALIZED LOSS
SECURITY ON SHARES SOLD
DESCRIPTION (000)
- ----------- --------------
State Street
Corp. $(163)
</Table>
See Notes to Financial Statements.
24
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2010 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
ASSETS
Investments in unaffiliated issuers at market value (identified
cost $1,368,940) $1,725,110
Investments in non-controlled affiliates at market value
(identified cost $3,275) (Note 4) 3,055
----------
Total investments at market value (identified cost $1,372,215) 1,728,165
Dividends and interest 2,261
----------
Total assets 1,730,426
LIABILITIES
Daily variation margin on futures contracts 389
Management fees (Note 4) 65
----------
Total liabilities 454
----------
NET ASSETS $1,729,972
==========
</Table>
See Notes to Financial Statements.
25
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
(AMOUNTS IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME
Interest $ 35
Dividend income -- unaffiliated issuers 17,606
Dividend income -- non-controlled affiliated issuer 2
---------
Total investment income 17,643
---------
EXPENSES
Management fees (Note 4) 415
---------
Total expenses 415
---------
NET INVESTMENT INCOME $ 17,228
=========
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments -- unaffiliated issuers $ 16,015
Investments -- non-controlled affiliated issuer (163)
Futures contracts (236)
---------
15,616
Net change in net unrealized appreciation (depreciation) on:
Investments (152,753)
Futures contracts (3,300)
---------
(156,053)
---------
Net realized and unrealized loss (140,437)
---------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(123,209)
=========
</Table>
See Notes to Financial Statements.
26
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
- --------------------------------------------------------------------------------
<Table>
<Caption>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2010 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2009
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income $ 17,228 $ 38,199
Net realized gain (loss) on investments and
futures contracts 15,616 (88,220)
Net change in net unrealized appreciation
(depreciation) on investments and futures
contracts (156,053) 473,395
---------- ----------
Net increase (decrease) in net assets resulting
from operations (123,209) 423,374
---------- ----------
CAPITAL TRANSACTIONS:
Contributions 171,603 267,641
Withdrawals (211,808) (319,837)
---------- ----------
Net decrease in net assets from capital
transactions (40,205) (52,196)
---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS (163,414) 371,178
NET ASSETS
Beginning of period 1,893,386 1,522,208
---------- ----------
End of period $1,729,972 $1,893,386
========== ==========
</Table>
See Notes to Financial Statements.
27
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The following table includes selected supplemental data and ratios to average
net assets:
<Table>
<Caption>
SIX MONTHS
ENDED
06/30/10 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) 12/31/09 12/31/08 12/31/07 12/31/06 12/31/05
----------- ---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND
RATIOS:
Net assets, end of
period (in
thousands) $1,729,972 $1,893,386 $1,522,208 $2,422,377 $2,766,696 $2,453,109
Ratios to average net
assets:
Operating expenses 0.045%* 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income 1.87%* 2.28% 2.30% 1.96% 1.94% 1.84%
Portfolio turnover
rate(a) 10%** 19% 14% 12% 10% 8%
Total return(b) (6.62)%** 26.50% (37.02)% 5.49% 15.75% 4.87%
</Table>
- --------
(a) The portfolio turnover rate excludes in-kind security transactions.
(b) Results represent past performance and are not indicative of future
results.
* Annualized.
(**) Not annualized.
See Notes to Financial Statements.
28
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2010 (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, 2010, the following Portfolios were in operation: the Portfolio, the State
Street Money Market Portfolio, the State Street Tax Free Money Market Portfolio,
the State Street Short-Term Tax 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. The Portfolio is
authorized to issue an unlimited number of non-transferable beneficial
interests.
The Portfolio's investment objective is to replicate, as closely as possible,
before expenses, the performance of the Standard & Poor's 500 Index (the "S&P
500(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 provisions surrounding Fair Value Measurements and
Disclosures that defines fair value, establishes a framework for measuring fair
value in generally accepted accounting principles and expands disclosures about
fair value measurements. This applies to fair value measurements that are
already required or permitted by other accounting standards and is intended to
increase consistency of those measurements and applies broadly to securities and
other types of assets and liabilities. In accordance with these provisions, fair
value is defined as the price that the portfolio would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most
29
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
advantageous market of the investment. Various inputs are used in determining
the value of the Portfolio's investments.
The three tier hierarchy of inputs is summarized below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
- Level 3 -- significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2010, in valuing
the Portfolio's assets carried at fair value (amounts in thousands):
<Table>
<Caption>
QUOTED PRICES IN
ACTIVE MARKETS FOR SIGNIFICANT OTHER SIGNIFICANT
IDENTICAL ASSETS OBSERVABLE INPUTS UNOBSERVABLE INPUTS
DESCRIPTION (LEVEL 1) (LEVEL 2) (LEVEL 3) TOTAL
- ----------- ------------------ ----------------- ------------------- ----------
INVESTMENTS:
Common Stocks $ 1,685,327 $ - $ - $1,685,327
U.S. Government
Securities - 6,713 - 6,713
Money Market Funds 36,125 - - 36,125
OTHER LIABILITIES:
Futures contracts (2,753) - - (2,753)
----------- ------ ------------ ----------
TOTAL ASSETS AND
LIABILITIES $1,718,699 $6,713 $- $1,725,412
=========== ====== ============ ==========
</Table>
The type of inputs used to value each security under the provisions surrounding
Fair Value Measurement and Disclosures is identified in the Portfolio of
Investments, which also includes a breakdown of the Portfolio's investments by
category.
The Portfolio adopted updated provisions surrounding Fair Value Measurements and
Disclosures effective March 31, 2010. This update applies to the Portfolio's
disclosures about transfers in and out of Level 1 and Level 2 of the fair value
hierarchy and the reasons for the transfers as well as disclosures about the
valuation techniques and inputs used to measure fair value for investments that
fall in either Level 2 or Level 3 fair value hierarchy.
As of the period ended June 30, 2010, there were no securities transferred from
Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES - Securities
transactions are recorded on a trade date basis for financial statement
purposes. Dividend income is recorded on the ex-dividend date. Interest income
is recorded daily on the accrual basis and includes amortization of premium and
30
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
accretion of discount on investments. Realized gains and losses from securities
transactions are recorded on the basis of identified cost. Expenses are accrued
daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
partners in the Portfolio based on each partner's daily ownership percentage.
FEDERAL INCOME TAXES: The Portfolio is not required to pay federal income taxes
on its net investment income and net capital gains because it is treated as a
partnership for federal income tax purposes. All interest, dividends, gains and
losses of the Portfolio are deemed to have been "passed through" to the
Portfolio's partners in proportion to their holdings in the Portfolio,
regardless of whether such items have been distributed by the Portfolio. Each
partner is responsible for tax liability based on its distributive share;
therefore, no provision has been made for federal income taxes.
The Portfolio has reviewed the tax positions for open years as of and during the
year ended December 31, 2009, 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, 2010, tax years 2006 through 2009 remain subject to
examination by the Portfolio's major tax jurisdictions, which include the United
States of America and the Commonwealth of Massachusetts.
At June 30, 2010, the book cost of investments was $1,372,215 which approximates
cost computed on a federal tax basis. The aggregate gross unrealized
appreciation and gross unrealized depreciation was $488,044 and $132,094,
respectively, resulting in net appreciation of $355,950 for all securities as
computed on a federal income tax basis.
FUTURES: The Portfolio may enter into financial futures contracts as part of
its strategy to track the performance of the S&P 500(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 provisions surrounding Derivatives and Hedging which
requires qualitative disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts of gains and
losses on derivative instruments, and disclosures about credit-risk-related
contingent features in derivative agreements. The following table, grouped into
appropriate risk
31
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
categories, discloses the amounts related to the Portfolio's use of derivative
instruments and hedging activities at June 30, 2010:
LIABILITY DERIVATIVES(1) (AMOUNTS IN THOUSANDS)
<Table>
<Caption>
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- -------
Futures Contracts $ - $ - $ - $(2,753) $ - $ - $(2,753)
</Table>
(1) Portfolio of Investments: Unrealized depreciation of futures contracts.
Transactions in derivative instruments during the six months ended June 30,
2010, were as follows:
REALIZED GAIN (LOSS)(1) (AMOUNTS IN THOUSANDS)
<Table>
<Caption>
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- ------
Futures Contracts $ - $ - $ - $ (236) $ - $ - $ (236)
</Table>
CHANGE IN APPRECIATION (DEPRECIATION)(2) (AMOUNTS IN THOUSANDS)
<Table>
<Caption>
FOREIGN
INTEREST RATE EXCHANGE CREDIT EQUITY COMMODITY OTHER
CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK CONTRACTS RISK TOTAL
-------------- -------------- -------------- -------------- -------------- -------------- -------
Futures Contracts $ - $ - $ - $(3,300) $ - $ - $(3,300)
</Table>
(1) Statement of Operations location: Net realized gain (loss) on: Futures
contracts
(2) Statement of Operations location: Net change in unrealized appreciation
(depreciation) on: Futures contracts
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, 2010, purchases and sales of investment
securities, excluding short-term investments, futures contracts, contributions
in-kind and fair value of withdrawals, aggregated to $169,814 and $190,169,
respectively.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
Corporation and an affiliate of State Street Bank and Trust Company ("State
Street"), under which SSgA FM directs the investments of the Portfolio in
accordance with its investment objective, policies, and limitations. The Trust
has contracted with State Street to provide custody, administration and transfer
agent services to the Portfolio. In compensation for SSgA FM's services as
investment adviser and for State Street's services as administrator, custodian
and transfer agent (and for assuming ordinary operating expenses of the
Portfolio, including ordinary legal, audit and trustees expense), State Street
receives a unitary fee, calculated daily, at the annual rate of 0.045% of the
Portfolio's average daily net assets. For the period ended June 30, 2010, these
fees amounted to $415.
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
32
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
to its representative portion of the S&P 500(R) Index. The market value of this
investment at June 30, 2010 is listed in the Portfolio of Investments.
5. TRUSTEES' FEES
Pursuant to certain agreements with State Street and its affiliates, each
Independent Trustee receives for his or her services a $30,000 retainer in
addition to $2,500 for each in-person meeting and $500 for each telephonic
meeting from State Street or its affiliates. These fees are paid through a
unitary fee.
6. INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements is
unknown as this could involve future claims against the Trust. Management does
not expect any significant claims.
7. SUBSEQUENT EVENTS
In accordance with provisions surrounding Subsequent Events adopted by the
Portfolio, management has evaluated the possibility of subsequent events
existing in the Portfolio's financial statements. Management has determined that
there are no material events that would require disclosure in the Portfolio's
financial statements.
33
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION
JUNE 30, 2010 (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures are
available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
available by August 31 (i) without charge, upon request, by calling (877) 521-
4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by
calling (877) 521-4083.
34
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, 2010
(UNAUDITED)
STATE STREET 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, 2010 to June 30,
2010.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the Portfolio's actual return, and the third column
shows the dollar amount that would have been paid by an investor who
started with $1,000 in the Portfolio. You may use the information here,
together with the amount you invested, to estimate the expenses that you
paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result
by the number given for the Portfolio under the heading "Expenses Paid
During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case, because the return
used is not the Portfolio's actual return, the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended June 30, 2010
<Table>
<Caption>
- -----------------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
JANUARY 1, 2010 JUNE 30, 2010 PERIOD*
- -----------------------------------------------------------------------------------------
Based on Actual Portfolio Return $1,000.00 $1,009.20 $0.65
- -----------------------------------------------------------------------------------------
Based on Hypothetical (5% return before
expenses) $1,000.00 $1,024.15 $0.65
- -----------------------------------------------------------------------------------------
</Table>
* 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, 2010 was 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
181/365 (the most recent six month period).
14
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
PORTFOLIO COMPOSITION* JUNE 30, 2010
- --------------------------------------------------------------------------------
General Obligations 29.9%
- --------------------------------------------------------------------------------
Appropriation 19.9
- --------------------------------------------------------------------------------
Other Revenue 9.5
- --------------------------------------------------------------------------------
Hospital 8.2
- --------------------------------------------------------------------------------
Higher Education 8.1
- --------------------------------------------------------------------------------
Water & Sewer 5.9
- --------------------------------------------------------------------------------
Public Power 5.6
- --------------------------------------------------------------------------------
Cash/Money Market Fund 4.4
- --------------------------------------------------------------------------------
Pre Refunded/Escrow to Maturity 4.3
- --------------------------------------------------------------------------------
Student Loan 2.4
- --------------------------------------------------------------------------------
Resource Recovery 1.2
- --------------------------------------------------------------------------------
Tollroad 0.6
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
MATURITY LADDER* JUNE 30, 2010
- --------------------------------------------------------------------------------
Less than 6 months 8.2%
- --------------------------------------------------------------------------------
6 months - 1 year 23.2
- --------------------------------------------------------------------------------
1-2 years 42.9
- --------------------------------------------------------------------------------
2+ years 24.6
- --------------------------------------------------------------------------------
TOTAL 98.9%
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
See Notes to Financial Statements.
15
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS - 94.5%
ALASKA - 3.1%
Juneau City & Boro GO Unlimited, School,
Series A 4.000% 06/01/2011 $2,660,000 $ 2,736,635
-----------
ARIZONA - 2.6%
City of Casa Grande, GO Unlimited, INS: FSA 3.500% 07/01/2010 1,000,000 1,000,000
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 1,300,000
-----------
2,300,000
-----------
CALIFORNIA - 7.6%
California State Public Works Board Revenue
Bonds, Department General Service
Buildings 8 & 9 - A 4.000% 04/01/2012 1,260,000 1,310,223
California Statewide Communities
Development Authority Revenue Bonds,
Lodi Memorial Hospital, Series A, INS:
California Mortgage 4.000% 12/01/2011 1,000,000 1,021,780
Fontana Unified School District Board Antic
Notes, GO Unlimited, Antic Notes(a) 2.690% 12/01/2012 2,500,000 2,344,525
Irvine Unified School District Special Tax
Community Facilities Distric No. 86-1 5.000% 09/01/2012 1,460,000 1,561,076
San Bernardino County Transportation
Authority Revenue Bonds, Notes -
Series A 4.000% 05/01/2012 500,000 525,115
-----------
6,762,719
-----------
COLORADO - 1.4%
Regional Transportation District, COP,
Series A, INS: NPFGC 5.000% 06/01/2011 1,165,000 1,212,695
-----------
CONNECTICUT - 3.0%
Connecticut State Health & Educational
Facility Authority, Revenue Bonds, Yale
University Series A-3 (Next Rate Reset
Date: 02/07/2013)(b) 4.000% 07/01/2049 2,500,000 2,688,325
-----------
DELAWARE - 1.2%
Delaware State Solid Waste Authority
Revenue Bonds, INS: NPFGC 5.000% 06/01/2012 1,000,000 1,068,130
-----------
FLORIDA - 6.3%
County of Marion Public Improvement Revenue
Bonds, Series 2010 3.000% 12/01/2012 575,000 598,742
County of Marion Public Improvement Revenue
Bonds, Series 2010 3.000% 12/01/2011 870,000 895,404
Hillsborough County School Board, COP,
Series A, INS: NPFGC 5.500% 07/01/2012 2,000,000 2,174,060
Palm Beach County School District, COP,
INS: NPFGC 5.000% 08/01/2011 1,880,000 1,956,290
-----------
5,624,496
-----------
GEORGIA - 1.7%
Georgia Municipal Gas Authority Revenue
Bonds, Gas Portfolio III Project,
Series I 2.000% 05/17/2011 1,500,000 1,519,635
-----------
</Table>
See Notes to Financial Statements.
16
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
ILLINOIS - 3.0%
Chicago Park District, Personal Property
Replacement, Series D, GO Unlimited 5.000% 01/01/2011 $1,000,000 $ 1,021,030
City of Chicago GO Unlimited, Series B,
INS: AMBAC 5.000% 01/01/2011 1,620,000 1,653,178
-----------
2,674,208
-----------
INDIANA - 2.0%
Indiana Bond Bank Revenue Bonds, State
Revolving Funding Progress, Series C 5.000% 02/01/2013 1,600,000 1,763,664
-----------
IOWA - 2.3%
Waterloo Community School District School
Revenue Bonds, Antic Notes 3.750% 05/01/2012 2,000,000 2,046,580
-----------
KANSAS - 1.2%
Johnson County Unified School District No.
229 Blue Valley, GO Unlimited, Series A,
INS: AGMC 5.000% 10/01/2012 1,000,000 1,094,520
-----------
LOUISIANA - 2.3%
Louisiana Office Facilities Corp. Revenue
Bonds, Capitol Complex Program 2.500% 03/01/2012 2,000,000 2,040,760
-----------
MARYLAND - 0.4%
Maryland Health & Higher Educational
Facilities Authority Revenue Bonds,
University of Maryland Medical Systems,
Series F 4.000% 07/01/2010 310,000 310,000
-----------
MASSACHUSETTS - 1.3%
Commonwealth of Massachusetts, GO
Unlimited, Consolidated Loan, Series E,
INS: FSA 5.500% 01/01/2013 1,000,000 1,111,530
-----------
MICHIGAN - 1.6%
Central Michigan University Revenue Bonds 5.000% 10/01/2012 1,315,000 1,408,286
-----------
MONTANA - 0.7%
Whitefish Montana Tax Allocation, Emergency
Services Contract Project 3.000% 07/15/2011 605,000 616,876
-----------
NEVADA - 1.2%
Clark County, Bond Bank, GO Limited, INS:
FGIC(c) 5.000% 06/01/2011 1,000,000 1,041,970
-----------
NEW JERSEY - 4.7%
New Jersey Economic Development Authority
Revenue Bonds, Transportation Project
Sublease-Series A 5.000% 05/01/2012 1,860,000 1,989,586
New Jersey Higher Education Assistance
Authority Revenue Bonds, Series 1-A 4.000% 12/01/2011 2,065,000 2,146,052
-----------
4,135,638
-----------
</Table>
See Notes to Financial Statements.
17
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
NEW YORK - 7.1%
City of New York GO Unlimited,
Subseries B-1 4.000% 09/01/2011 $2,000,000 $ 2,075,640
New York City Transitional Finance
Authority Aid Revenue Bonds, Series S-2 5.000% 01/15/2011 1,500,000 1,525,590
New York State Dormitory Authority Revenue
Bonds, Series B (Next Rate Reset Date:
05/15/2012)(b) 5.250% 11/15/2023 2,000,000 2,150,700
New York State Thruway Authority Revenue
Notes, Antic Notes 4.000% 07/15/2011 500,000 517,710
-----------
6,269,640
-----------
NORTH CAROLINA - 2.3%
North Carolina Eastern Municipal Power
Agency Revenue Bonds, Series D 5.375% 01/01/2011 2,000,000 2,041,340
-----------
OHIO - 2.6%
Ohio Higher Educational Facility Commission
Revenue Bonds, Cleveland Clinic Health,
Series A 4.000% 01/01/2012 1,000,000 1,040,820
Ohio State Water Development Authority
Revenue Bonds, Loan Fund Water Quality 5.000% 06/01/2012 1,155,000 1,250,773
-----------
2,291,593
-----------
OKLAHOMA - 3.5%
Cleveland County Public Facilities
Authority Revenue Bonds, Norman Public
School Project, Series 2010 3.500% 06/01/2012 2,000,000 2,073,200
Oklahoma County Finance Authority Revenue
Bonds, Putnam City Public School Project 4.000% 03/01/2013 1,000,000 1,051,140
-----------
3,124,340
-----------
PENNSYLVANIA - 9.2%
Allegheny County, HDA Revenue Bonds,
University of Pittsburgh Medical Center,
Series B 5.000% 06/15/2011 1,000,000 1,040,960
City of Philadelphia Water & Wastewater
Revenue Bonds, Series A, INS: AMBAC 5.000% 08/01/2012 1,980,000 2,124,461
Lehigh County, General Purpose Hospital
Revenue Bonds, Lehigh Valley Health
Network, Series A, INS: FSA 4.000% 07/01/2010 800,000 800,000
Pennsylvania Economic Development Financing
Authority Revenue Bonds, Convention
Center Project, Series A 5.000% 06/15/2012 2,000,000 2,147,020
Pennsylvania Higher Educational Facilities
Authority Revenue Bonds, Series AJ 5.000% 06/15/2012 1,860,000 2,006,066
-----------
8,118,507
-----------
SOUTH CAROLINA - 2.4%
South Carolina Transportation
Infrastructure Bank Revenue Bonds,
Series A, INS: AMBAC 5.000% 10/01/2011 2,000,000 2,100,040
-----------
</Table>
See Notes to Financial Statements.
18
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
<Table>
<Caption>
NAME OF ISSUER INTEREST MATURITY PRINCIPAL MARKET
AND TITLE OF ISSUE RATE DATE AMOUNT VALUE
- ------------------ -------- ---------- ---------- -----------
TAX-EXEMPT OBLIGATIONS (CONTINUED)
TEXAS - 13.2%
County of Harris Revenue Bonds, Tax and
Subordinate Lien, Series B, INS: AGMC
(Next Rate Reset Date: 08/15/2012)(b) 5.000% 08/15/2032 $2,525,000 $ 2,735,711
County of Williamson, GO Unlimited, INS:
FSA(c) 5.300% 02/15/2012 2,500,000 2,694,075
Frisco Independent School District, GO
Unlimited, INS: PSF GTD 6.500% 08/15/2012 1,000,000 1,122,060
Harris County Cultural Education Facilities
Finance Corp Revenue Bonds, Methodist
Hospital System 5.000% 06/01/2012 2,000,000 2,144,880
Texas A&M University Revenue Bonds,
Financing System 3.700% 05/15/2011 1,000,000 1,028,600
Texas State Public Finance Authority
Revenue Bonds, INS: FGIC 4.000% 02/01/2011 1,955,000 1,995,664
-----------
11,720,990
-----------
UTAH - 1.5%
Utah Associated Municipal Power Systems
Revenue Bonds, Payson Power Project,
Series A, INS: AGMC 5.000% 04/01/2012 1,250,000 1,334,700
-----------
VIRGINIA - 1.9%
Commonwealth of Virginia, Series B, GO
Unlimited 5.000% 06/01/2011 1,655,000 1,724,758
-----------
WASHINGTON - 0.9%
Washington Health Care Facilities
Authority, Peacehealth Revenue Bonds 5.000% 11/01/2011 795,000 837,755
-----------
WISCONSIN - 2.3%
State of Wisconsin GO Unlimited, Series C 4.000% 05/01/2011 2,000,000 2,059,000
-----------
TOTAL TAX-EXEMPT OBLIGATIONS
(Cost $82,917,900) 83,779,330
-----------
MONEY MARKET FUND - 4.4% SHARES
State Street Institutional Tax Free Money
Market Fund, Institutional Shares (at
net asset value)(d)(e) 3,886,162 3,886,162
-----------
TOTAL MONEY MARKET FUND
(Cost $3,886,162) 3,886,162
-----------
TOTAL INVESTMENTS(F)+ - 98.9% (COST
$86,804,062) 87,665,492
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.1% 931,277
-----------
NET ASSETS - 100.0% $88,596,769
===========
</Table>
- --------
(a) Zero-coupon bond - Interest rate represents current yield maturity.
(b) Floating Rate Note - Interest rate shown is rate in effect at June 30, 2010.
(c) Date shown is pre-refunded date.
(d) Affiliated issuer. See table that follows for more information.
(e) Value determined based on Level 1 inputs established by provisions
surroundings Fair Value Measurements and Disclosures. (Note 2)
See Notes to Financial Statements.
19
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
(f) Unless otherwise indicated, the values of the Securities of the Portfolio
are determined based on Level 2 inputs established by provisions surrounding
Fair Value Measurements and Disclosures. (Note 2)
+ See Note 2 of the Notes to Financial Statements.
<Table>
<Caption>
ACRONYM NAME
- ------- ----
AGMC Assured Guaranty Municipal Corporation
AMBAC American Municipal Bond Assurance Corporation
COP Certificates of Participation
FGIC Financial Guaranty Insurance Company
FSA Financial Security Assurance
GO General Obligation
GTD Guaranteed
HDA Hospital Development Authority
INS Insured
NPFGC National Public Finance Guarantee Corporation
PSF Permanent School Fund
</Table>
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,
2010 is listed in the Portfolio of Investments.
<Table>
<Caption>
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 12/31/09 ENDED 06/30/10 ENDED 06/30/10 HELD AT 06/30/10 06/30/10 ENDED 06/30/10 SOLD
- -------------------- ----------- -------------- -------------- ---------------- ---------- -------------- ---------
State Street
Institutional Tax
Free Money Market
Fund, Institutional
Shares 470,577 19,019,922 15,604,337 3,886,162 $3,886,162 $517 $-
</Table>
See Notes to Financial Statements.
20
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
ASSETS
Investments in unaffiliated issuers at market value (identified
cost $82,917,900) $83,779,330
Investments in non-controlled affiliates at market value
(identified cost $3,886,162) (Note 4) 3,886,162
-----------
Total investments at market value (identified cost
$86,804,062) 87,665,492
Interest receivable 962,512
Prepaid expenses 7,470
-----------
Total assets 88,635,474
LIABILITIES
Management fee (Note 4) 7,276
Administration and custody fees (Note 4) 1,233
Professional fees 29,651
Accrued expenses and other liabilities 545
-----------
Total liabilities 38,705
-----------
NET ASSETS $88,596,769
===========
</Table>
See Notes to Financial Statements.
21
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2010 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
INVESTMENT INCOME
Interest $ 896,112
Dividend income - non-controlled affiliated issuer 517
---------
Total investment income 896,629
---------
EXPENSES
Management fees (Note 4) 42,015
Professional fees 17,551
Administration and custody fees (Note 4) 6,979
Trustee's fees (Note 5) 5,872
Insurance fees 4,501
Printing fees 644
Other expenses 250
---------
Total expenses 77,812
Less: Fee waivers by Investment Advisor (Note 4) (21,664)
---------
Total net expenses 56,148
---------
NET INVESTMENT INCOME $ 840,481
=========
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on investments $ 157,069
Net change in net unrealized depreciation on investments (214,016)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 783,534
=========
</Table>
See Notes to Financial Statements.
22
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
FOR THE
SIX MONTHS ENDED FOR THE
JUNE 30, 2010 YEAR ENDED
(UNAUDITED) DECEMBER 31, 2009
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 840,481 $ 1,922,137
Net realized gain on investments 157,069 522,717
Net change in net unrealized appreciation
(depreciation) on investments (214,016) 472,423
----------- ------------
Net increase in net assets from operations 783,534 2,917,277
----------- ------------
CAPITAL TRANSACTIONS:
Contributions 14,053,886 2,164,305
Withdrawals (6,642,152) (26,009,977)
----------- ------------
Net increase (decrease) in net assets from
capital transactions 7,411,734 (23,845,672)
----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS 8,195,268 (20,928,395)
NET ASSETS
Beginning of period 80,401,501 101,329,896
----------- ------------
End of period $88,596,769 $ 80,401,501
=========== ============
</Table>
See Notes to Financial Statements.
23
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The following table includes selected supplemental data and ratios to average
net assets:
<Table>
<Caption>
SIX MONTHS
ENDED YEAR YEAR PERIOD
06/30/10 ENDED ENDED ENDED
(UNAUDITED) 12/31/09 12/31/08 12/31/07(C)
----------- -------- -------- -----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (000s) $88,597 $80,402 $101,330 $40,467
Ratios to average net assets:
Gross operating expenses 0.18%* 0.21% 0.23% 0.35%*
Net operating expenses 0.13%* 0.10% 0.10% 0.10%*
Net investment income 2.00%* 2.25% 2.44% 3.58%*
Expense waiver(a) 0.05%* 0.11% 0.13% 0.25%*
Portfolio turnover rate 14%** 50% 89% 31%**
Total return(b) 0.92% 3.36% 3.04% 3.33%
</Table>
- --------
(a) This expense waiver is reflected in both the net operating expense and
the net investment income ratios shown above. Without these waivers, net
investment income would have been lower.
(b) Results represent past performance and are not indicative of future
results. Total returns for periods of less than one year are not
annualized.
(c) The portfolio commenced operations on February 7, 2007.
* Annualized.
** Not annualized.
See Notes to Financial Statements.
24
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2010 (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, 2010, the
following Portfolios were in operation: the Portfolio, the State Street Equity
500 Index Portfolio, the State Street Money Market Portfolio, the State Street
Tax Free Money Market Portfolio, the State Street Treasury Money Market
Portfolio, the State Street Treasury Plus Portfolio and the State Street U.S.
Government Money Market Portfolio. The Portfolio is authorized to issue an
unlimited number of non-transferable beneficial interests.
The Short-Term Tax Exempt Bond Portfolio's investment objective is to seek to
provide federally tax-exempt current income and liquidity. The Portfolio invests
at least 80% of its assets in a diversified portfolio of investment grade
municipal debt securities and maintains a dollar-weighted average portfolio
duration of two years or less. The Portfolio is not a money market fund, and it
is expected that the Portfolio will be managed in such a way that a feeder
fund's net asset value per share will fluctuate. There is no assurance that the
Portfolio will achieve its investment objective, and you could lose money by
investing in the Portfolio.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION - The Portfolio's investments are valued each business day by
independent pricing services. Fixed-income securities are valued on the basis of
the closing bid price. Investments in other mutual funds are valued at the net
asset value per share. Money market instruments maturing within 60 days of the
valuation date are valued at amortized cost, a method by which each money market
instrument is initially valued at cost, and thereafter a constant accretion or
amortization of any discount or premium is recorded until maturity of the
security. The Portfolio may value securities for which market quotations are not
readily available at "fair value," as determined in good faith pursuant to
procedures established by the Board of Trustees.
The Portfolio adopted provisions surrounding Fair Value Measurements and
Disclosures that defines fair value, establishes a framework for measuring fair
value in generally accepted accounting principles and expands disclosures about
fair value measurements. This applies to fair value measurements that are
already required or permitted by other accounting standards and is intended to
increase consistency of those measurements and applies broadly to securities and
other types of assets and liabilities. In accordance with these provisions, fair
value is defined as the price that the portfolio would receive upon selling an
investment in a timely transaction to an independent buyer in the principal or
most
25
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
advantageous market of the investment. Various inputs are used in determining
the value of the Portfolio's investments.
The three tier hierarchy of inputs is summarized below:
- Level 1 - quoted prices in active markets for identical securities
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
- Level 3 - significant unobservable inputs (including the Portfolio's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not an indication of
the risk associated with investing in those securities. The following is a
summary of the inputs used, as of June 30, 2010, in valuing the Portfolio's
assets carried at fair value:
<Table>
<Caption>
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... $ - $83,779,330 $- $83,779,330
---------- ----------- ------------ -----------
MONEY MARKET FUND........ 3,886,162 - - 3,886,162
---------- ----------- ------------ -----------
TOTAL INVESTMENTS........ $3,886,162 $83,779,330 $ - $87,665,492
========== =========== ============ ===========
</Table>
The type of inputs used to value each security under the provisions surrounding
Fair Value Measurement and Disclosures is identified in the Portfolio of
Investments, which also includes a breakdown of the Portfolio's investments by
category.
The Portfolio adopted updated provisions surrounding Fair Value Measurements and
Disclosures effective March 31, 2010. This update applies to the Portfolio's
disclosures about transfers in and out of Level 1 and Level 2 of the fair value
hierarchy and the reasons for the transfers as well as disclosures about the
valuation techniques and inputs used to measure fair value for investments that
fall in either Level 2 or Level 3 fair value hierarchy.
As of the period ended June 30, 2010, there were no securities transferred from
Level 1 to Level 2 and no securities transferred from Level 2 to Level 1.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES - Securities
transactions are recorded on a trade date basis for financial statement
purposes. Interest income is recorded daily on the accrual basis and includes
amortization of premium and accretion of discount on investments. Realized gains
and losses from securities transactions are recorded on the basis of identified
cost. Expenses are accrued daily based on average daily net assets.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
partners in the Portfolio based on each partner's daily ownership percentage.
26
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
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,
2009, 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, 2010, tax years since inception through 2009 remain subject to examination
by the Portfolio's major tax jurisdictions, which include the United States of
America and the Commonwealth of Massachusetts.
At June 30, 2010, the book cost of investments was $86,804,062 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was $867,537 and
$6,107, respectively, resulting in net appreciation of $861,430 for all
securities as computed on a federal income tax basis.
USE OF ESTIMATES - The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles, which require the
use of management estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the period ended June 30, 2010, purchases and sales of investment
securities, excluding short-term investments and in-kind contributions and
withdrawals, aggregated to $24,433,310 and $11,736,806, respectively.
4. RELATED PARTY FEES
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
Corporation and an affiliate of State Street Bank and Trust Company ("State
Street"). The Adviser is responsible for the investment management of the
Portfolio in accordance with its investment objective, policies, and
limitations. In compensation for the Adviser's services as investment adviser,
the Portfolio pays the Adviser an annual fee of 0.10% of the Portfolio's average
daily net assets. The Adviser voluntarily agreed to cap the total operating
expenses of the Portfolio at 0.10% of the Portfolio's average daily net assets
for the period January 1, 2010 through April 13, 2010. For the period ended June
30, 2010, the Adviser reimbursed the Portfolio $21,664 under this agreement.
State Street is the administrator, custodian and transfer agent for the
Portfolio. In compensation for State Street's services as administrator,
custodian and transfer agent, the Trust pays State Street an annual fee, which
is accrued daily and payable monthly at the applicable fee rate described below,
of the following
27
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2010 (UNAUDITED)
annual percentages of the Trust's average aggregate daily net assets, exclusive
of the Equity 500 Index Portfolio, during the month as follows:
<Table>
<Caption>
ANNUAL PERCENTAGE OF
ASSET LEVELS AVERAGE AGGREGATE DAILY NET ASSETS
- ------------ ----------------------------------
First $400 million 0.03%
Next $15 billion 0.02%
Thereafter 0.01%
Minimum annual fee per Portfolio $150,000
</Table>
5. INVESTMENT SUB-ADVISER
Effective April 1, 2010, Nuveen Asset Management ("Nuveen") serves as the
investment sub-adviser to the Portfolio and is responsible for the day-to-day
management of the Portfolio's investments, subject to supervision by the Adviser
and the Board of Trustees. For its services, the Adviser pays Nuveen 50% of the
advisory fee paid by the Portfolio to the Adviser. The Portfolio is not
responsible for the fees paid to Nuveen.
6. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of SSgA FM or
State Street $2,500 for each meeting of the Board of Trustees and an additional
$500 for each telephonic meeting attended. The Trust also pays each trustee an
annual retainer of $30,000. Each trustee is reimbursed for out-of-pocket and
travel expenses.
7. INDEMNIFICATIONS
The Trust's organizational documents provide that its officers and trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, both in some of its principal service
contracts and in the normal course of its business, the Trust enters into
contracts that provide indemnifications to other parties for certain types of
losses or liabilities. The Trust's maximum exposure under these arrangements is
unknown as this could involve future claims against the Trust. Management does
not expect any significant claims.
8. SUBSEQUENT EVENTS
In accordance with provisions surrounding Subsequent Events adopted by the
Portfolio, management has evaluated the possibility of subsequent events
existing in the Portfolio's financial statements. Management has determined that
there are no material events that would require disclosure in the Portfolio's
financial statements.
28
STATE STREET SHORT-TERM TAX EXEMPT BOND PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
JUNE 30, 2010
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolios. A description of the policies and procedures are
available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolios voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
available by August 31 (i) without charge, upon request, by (i) calling (877)
521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by
calling (877) 521-4083.
29
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 this Filing.
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: August 30, 2010
By: /s/ Gary L. French
---------------------------------
Gary L. French
Treasurer
Date: August 30, 2010
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: August 30, 2010
By: /s/ Gary L. French
---------------------------------
Gary L. French
Treasurer
(Principal Financial Officer)
Date: August 30, 2010