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
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STATE STREET MASTER FUNDS
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(Exact name of registrant as specified in charter)
P.O. Box 5049
Boston, Massachusetts 02206
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(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Copy to:
Service)
Julie Tedesco, Secretary Timothy W. Diggins
State Street Bank and Trust Ropes & Gray
Company One International Place
P.O. Box 5049 Boston, Massachusetts 02110-2624
Boston, Massachusetts 02206
Registrant's telephone number, including area code: (617) 662-3968
Date of fiscal year end: December 31
Date of reporting period: June 30, 2003
ITEM 1: SHAREHOLDER REPORT
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
SEMI - ANNUAL REPORT
JUNE 30, 2003
(UNAUDITED)
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
(LINE GRAPH)
State Street
MSCI(R) EAFE(R) MSCI(R) EAFE(R)
Index Portfolio * Index (b) **
----------------- ------------
11/13/2000 10,000 10,000
12/31/2000 10,080 10,122
6/30/2001 8,580 8,583
12/31/2001 7,837 7,856
6/30/2002 7,747 7,817
12/31/2002 6,650 6,722
6/30/2003 7,239 7,345
INVESTMENT PERFORMANCE (A)
For the Period Ended June 30, 2003
Total Return
Total Return Total Return Average Annualized Since
For the Six Months Ended One Year Ended Commencement of Operations
June 30, 2003 June 30, 2003 (November 13, 2000)
------------------------ -------------- --------------------------
State Street MSCI(R) EAFE(R)
Index Portfolio 9.12%(c) -6.95% -11.57%
MSCI(R) EAFE(R) Index (b) 9.47%(c) -6.46% -11.08%
(a) Total returns and performance graph information represent past
performance and are not indicative of future results. Investment return
and principal value of an investment will fluctuate so that a partner's
share, when redeemed, may be worth more or less than its original cost.
The graph and table above do not reflect the deductions of taxes that a
shareholder would pay on fund distributions or the redemption of fund
shares. Growth of $10,000 and performance for periods ended June 30,
2003 are unaudited.
(b) The MSCI(R) EAFE(R) Index is an arithmetic, market-weighted average of
the performance of over 1,000 securities listed on the stock exchanges
of the countries determined by MSCI(R) to be "developed." The MSCI(R)
EAFE(R) Index is exclusive property of MSCI(R). Morgan Stanley Capital
International is a service mark of MSCI(R) and has been licensed for
use by the Trust. Figures for the MSCI(R) EAFE(R) Index, an unmanaged
index of common stock prices, include reinvestment of dividends.
(c) Not annualized.
1
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
COMMON STOCKS -- 87.8%
AUSTRALIA -- 4.3%
Alumina, Ltd. 16,547 $ 45,166
Amcor, Ltd. 11,092 60,403
AMP Diversified Property Trust 8,119 16,607
AMP, Ltd. 21,270 70,896
Ansell, Ltd. (a) 1,878 7,368
Aristocrat Leisure, Ltd. 3,920 3,496
Australia & New Zealand
Banking Group, Ltd. 21,703 270,871
Australia Gas Light Co., Ltd. 6,116 44,914
Australian Stock Exchange, Ltd. 1,109 9,312
BHP Steel, Ltd. 12,264 30,596
BHP, Ltd. 53,513 310,076
Boral, Ltd. 7,718 26,191
Brambles Industries, Ltd. 12,940 39,659
Centro Properties Group 5,976 15,991
Coca-Cola Amatil, Ltd. 5,504 21,077
Cochlear, Ltd. 844 18,283
Coles Myer, Ltd. 16,065 75,418
Commonwealth Bank of Australia 17,928 355,292
Commonwealth Property
Office Fund 17,686 14,233
Computershare, Ltd. 6,765 8,484
CSL, Ltd. 2,075 16,630
CSR, Ltd. 12,666 16,479
Deutsche Office Trust 12,450 9,352
Foster's Brewing Group, Ltd. 28,040 79,169
Futuris Corp., Ltd. 7,651 8,620
Gandel Retail Trust 20,056 17,889
General Property Trust 28,379 55,575
Harvey Norman Holdings, Ltd. 8,892 14,968
Iluka Resources, Ltd. 2,757 7,488
Insurance Australia Group, Ltd. 22,563 51,448
Investa Property Group 11,259 14,951
James Hardie Industries NV 5,782 27,299
John Fairfax Holdings, Ltd. 11,624 22,451
Leighton Holdings, Ltd. 1,682 11,280
Lend Lease Corp. 5,698 31,908
Lion Nathan, Ltd. 3,751 13,484
Macquarie Bank, Ltd. 2,835 54,757
Macquarie Goodman
Industrial Trust 12,468 12,710
Macquarie Infrastructure Group 25,505 61,407
Mayne Nickless, Ltd. 10,435 19,175
Mirvac Group 8,939 26,618
National Australia Bank, Ltd. 21,991 494,067
Newcrest Mining, Ltd. 5,444 27,930
News Corp., Ltd. 21,266 159,735
OneSteel, Ltd. 9,050 11,653
Orica, Ltd. 3,648 26,496
Origin Energy, Ltd. 10,216 27,748
PaperlinX, Ltd. 4,608 14,154
Patrick Corp., Ltd. 2,128 17,911
Principal Office Fund 10,149 10,482
Publishing & Broadcasting, Ltd. 1,611 10,674
QBE Insurance Group, Ltd. 8,782 54,891
Rinker Group Ltd. 12,388 43,534
Rio Tinto, Ltd. 4,307 84,373
Santos, Ltd. 8,708 34,456
Sonic Healthcare, Ltd. 2,419 10,626
Southcorp, Ltd. 8,190 15,489
Stockland Trust Group 12,590 42,302
Suncorp-Metway, Ltd. 7,290 56,713
TAB, Ltd. 5,421 11,816
TABCORP Holdings, Ltd. 4,808 34,728
Telstra Corp., Ltd. 29,703 87,649
Toll Holdings, Ltd. 2,730 12,963
Transurban Group (a) 5,371 17,182
Wesfarmers, Ltd. 5,628 95,493
Westfield Holdings, Ltd. 5,618 55,009
Westfield Trust 32,198 74,498
Westpac Banking Corp., Ltd. 25,347 276,233
WMC Resorces, Ltd. (a) 16,682 39,269
Woodside Petroleum, Ltd. 6,181 51,319
Woolworths, Ltd. 14,851 124,697
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4,042,081
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AUSTRIA -- 0.2%
Bohler-Uddeholm AG 98 5,416
Erste Bank der oesterreichischen
Sparkassen AG 398 35,170
Flughafen Wien AG 187 6,797
Immofinanz Immobilien
Anlagen AG (a) 2,649 19,073
Mayr-Melnhof Karton AG 110 9,159
Oesterreichische
Elektrizitaetswirtschafts AG 81 7,463
OMV AG 257 30,876
RHI AG (a) 182 2,163
Telekom Austria AG (a) 3,559 40,379
VA Technologie AG 337 8,905
Voest-Alpine AG 93 3,673
Wienerberger
Baustoffindustrie AG 497 8,732
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177,806
-------------
BELGIUM -- 1.0%
Agfa Gevaert NV 1,620 34,397
Barco NV 116 6,940
Bekaert SA 191 8,927
Cofinimmo 75 9,043
Colruyt NV 246 17,006
Compagnie Maritime Belge SA 49 1,941
Delhaize Le Lion SA 1,087 33,079
Dexia 10,172 128,608
Electrabel SA 475 121,039
Exmar NV (a) 49 1,675
Fortis 15,803 274,388
Groupe Bruxelles Lambert SA 1,120 50,674
Interbrew 2,424 53,863
KBC Banassurance Holding
NV 1,299 51,002
Mobistar SA (a) 334 13,727
Omega Pharma SA 112 3,408
S.A. D'Ieteren NV 41 5,876
2
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
BELGIUM -- (CONTINUED)
Solvay SA 968 $ 66,696
UCB SA 1,424 39,017
Union Miniere SA 224 11,609
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932,915
-------------
DENMARK -- 0.7%
A/S Dampskibsselskabet
Svendborg, Series B 17 91,961
A/S Det Ostasiatiske Kompagni 200 5,471
Bang & Olufsen Holding A/S, Series B 125 3,400
Carlsberg A/S, Series B 350 12,523
Coloplast A/S, Series B 233 18,006
Danisco A/S 855 33,499
Danske Bank 8,262 160,896
DSV, Series B 250 6,433
FLS Industries A/S, Series B (a) 400 3,338
GN Store Nord A/S (a) 3,981 16,367
Group 4 Falck A/S 1,014 16,848
H. Lundbeck A/S 1,134 22,960
ISS A/S 686 24,492
Kobenhavns Lufthavne A/S 75 6,086
NEG Micon A/S (a) 83 847
NKT Holding A/S 250 3,458
Novo Nordisk A/S 4,357 152,526
Novozymes A/S, Series B 943 26,235
Tele Danmark A/S 2,103 62,894
Topdanmark A/S (a) 458 16,741
Vestas Wind Systems A/S 1,395 15,955
William Demant A/S (a) 465 10,637
-------------
711,573
-------------
FINLAND -- 1.9%
Amer Group, Ltd. 400 12,228
Elisa Communications Oyj (a) 2,106 18,090
Fortum Oyj 5,712 45,784
Instrumentarium Corp. 700 26,607
KCI Konecranes International 66 1,629
Kesko Oyj 1,100 12,910
Kone Corp. 480 20,119
Metso Oyj 1,502 13,367
Nokia Oyj 78,102 1,286,132
Nokian Renkaat Oyj 154 7,923
Orion-Yhtyma Oyj, Series B 567 9,409
Outokumpu Oyj 1,116 9,804
Pohjola Group PLC, Series B 276 4,726
Rautaruukki Oyj 1,000 4,306
Sampo-Leona Insurance, Series A 4,773 35,024
Stora Enso Oyj, Series R 10,713 119,701
TietoEnator Oyj 1,454 24,478
UPM-Kymmene Oyj 8,140 118,807
Uponor Oyj 600 13,918
Wartsila Oyj, Series B 500 6,213
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1,791,175
-------------
FRANCE -- 8.4%
Accor SA 2,539 91,843
Air France 1,396 18,051
Alcatel SA, Series A 17,139 154,500
Alstom 3,716 12,802
Atos Origin SA (a) 242 8,370
Autoroutes du Sud de la France (ASF) 899 26,274
Aventis SA 9,593 527,782
Axa 19,964 309,726
BNP Paribas SA 11,376 578,065
Bouygues SA 2,987 82,460
Business Objects SA (a) 949 21,164
Cap Gemini SA 1,412 50,136
Carrefour SA 8,102 397,092
Casino Guichard-Perrachon SA 489 38,185
CNP Assurances 444 18,763
Compagnie de Saint-Gobain 4,374 172,134
Compagnie Generale des
Establissements Michelin 1,909 74,535
Credit Agricole SA 4,787 90,978
Dassault Systemes SA 468 15,370
Essilor International SA 1,282 51,644
European Aeronautic
Defence & Space Co. 3,726 45,697
France Telecom SA 11,034 270,650
Gecina 192 22,269
Groupe Danone 1,754 242,712
Hermes International 118 16,627
Imerys 88 12,814
Klepierre (a) 284 14,024
L'Air Liquide SA 1,432 212,297
L'Oreal SA 4,782 337,172
Lafarge SA 1,964 115,023
Lagardere S.C.A 1,769 76,890
LVMH (Louis Vuitton Moet
Hennessy) 3,144 155,934
Pechiney SA 928 33,313
Pernod-Ricard SA 707 63,083
Pinault-Printemps-Redoute SA 974 73,373
PSA Peugoet Citroen 2,600 126,295
Publicis SA 1,268 34,029
Renault SA 2,101 111,080
Sagem SA 246 19,775
Sanofi-Synthelabo SA 5,182 303,488
Schneider Electric SA (a) 2,928 137,655
Societe BIC SA 544 21,177
Societe Generale 4,567 289,497
Societe Television Francaise 1 1,540 47,395
Sodexho Alliance SA 1,279 34,515
STMicroelectronics NV 8,328 174,629
Suez SA 11,424 181,826
Technip-Coflexip SA 240 21,001
Thales SA 1,170 34,731
Thomson Multimedia 2,496 38,494
Total Fina Elf SA 9,188 1,388,516
Unibail SA 555 41,108
Valeo SA 1,012 35,096
Veolia Environnement 3,520 72,355
Vinci SA 900 60,719
Vivendi Universal SA 12,885 234,524
Wanadoo (a) 5,091 34,084
Zodiac SA 491 11,976
-------------
7,885,717
-------------
3
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
GERMANY -- 5.5%
Adidas-Salomon AG 700 $ 59,862
Allianz AG 3,993 331,888
Altana AG 950 59,936
BASF AG 8,050 343,885
Bayer AG 9,550 221,309
Bayer Hypo-und
Vereinsbank AG 4,934 81,533
Beiersdorf AG, Series A 333 44,511
Buderus AG 500 16,737
Commerzbank AG 6,300 88,117
Continental AG 1,653 34,700
DaimlerChrysler AG 12,406 433,091
Deutsche Bank AG 7,609 493,510
Deutsche Boerse AG 1,300 68,865
Deutsche Lufthansa AG 2,419 28,334
Deutsche Post AG 5,707 83,821
Deutsche Telekom AG 30,275 462,044
Douglas Holding AG 256 5,527
E.On AG 8,500 436,999
Epcos AG (a) 824 10,617
Fresenius Medical Care AG 491 24,301
Gehe AG 428 16,819
HeidelbergCement AG 486 10,727
Infineon Technologies AG (a) 6,312 61,031
KarstadtQuelle AG 765 16,375
Linde AG 1,220 45,168
MAN AG 1,608 27,181
Merck KGAA 520 15,108
Metro AG 2,012 65,040
MLP AG 778 11,614
Muenchener Rueckversich 1,654 168,626
RWE AG 5,305 160,159
SAP AG 2,972 350,504
Schering AG 2,432 118,917
Siemens AG 11,577 567,939
Suedzucker AG 700 12,026
ThyssenKrupp AG 4,140 47,732
TUI AG 1,552 23,080
Volkswagen AG 3,229 136,492
-------------
5,184,125
-------------
GREECE -- 0.4%
Alpha Bank AE 2,154 37,548
Aluminum of Greece SA 60 1,236
Bank of Piraeus 2,084 15,843
Coca-Cola Hellenic
Bottling Co. SA 1,375 22,706
Commercial Bank of Greece 990 17,303
EFG Eurobank Ergasias 2,268 34,171
Folli-Follie 100 1,537
Greek Organization of
Football Prognostics 1,169 11,921
Hellenic Duty Free Shops SA 160 2,021
Hellenic Petroleum SA 1,702 11,492
Hellenic Technodomiki SA 1,236 6,927
Hellenic Telecommunications
Organization SA 3,958 46,724
Intracom SA 1,513 10,043
National Bank of Greece SA 3,000 50,504
Papastratos Cigarettes Co. 350 7,130
Public Power Corp. (PPC) 1,017 18,359
Technical Olympic SA 500 1,952
Titan Cement Co. 415 15,012
Viohalco Hellenic Copper
and Aluminum Industry SA 1,646 8,203
Vodafone Panafon SA 2,823 18,802
-------------
339,434
-------------
HONG KONG -- 0.9%
ASM Pacific Technology, Ltd. 2,500 7,277
Bank of East Asia, Ltd. 13,712 26,815
BOC Hong Kong (Holdings), Ltd. 25,500 25,670
Cathay Pacific Airways 11,000 14,811
Cheung Kong (Holdings), Ltd. 15,000 90,021
Cheung Kong Infrastructure
(Holdings), Ltd. 5,000 9,586
CLP Holdings, Ltd. 18,100 78,684
Esprit Holdings, Ltd. 5,122 12,545
Giordano International, Ltd. 8,000 2,488
Hang Lung Properties, Ltd. 13,000 11,669
Hang Seng Bank, Ltd. 7,600 80,160
Henderson Land
Development Co., Ltd. 6,000 17,158
Hong Kong & China Gas Co., Ltd. 36,183 45,703
Hong Kong Exchanges &
Clearing, Ltd. 10,000 14,491
Hongkong Electric
Holdings, Ltd. 13,500 52,801
Hopewell Holdings, Ltd. 5,000 5,322
Hutchison Whampoa, Ltd. 20,800 126,697
Hysan Development Co., Ltd. 5,321 4,367
Johnson Electronic Holdings, Ltd. 16,000 19,902
Li & Fung, Ltd. 15,000 19,331
MTR Corp. 12,612 14,475
New World Development Co., Ltd. 14,028 5,352
PCCW, Ltd. (a) 17,133 10,601
Shangri-La Asia, Ltd. 8,189 5,251
Sino Land Co., Ltd. 20,340 6,325
South China Morning Post
(Holdings), Ltd. 8,533 3,337
Sun Hung Kai Properties, Ltd. 13,000 65,516
Swire Pacific, Ltd. 9,000 39,240
Techtronic Industries Co., Ltd. 4,090 6,845
Television Broadcast, Ltd. 2,000 7,143
Wharf (Holdings), Ltd. 12,000 23,159
Yue Yuen Industrial
(Holdings) Ltd. 4,321 11,054
-------------
863,796
-------------
4
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
IRELAND -- 0.7%
Allied Irish Banks PLC 12,908 $ 194,032
Bank of Ireland 14,384 174,264
CRH PLC 7,740 121,324
DCC PLC 789 10,601
Elan Corp. PLC (a) 5,797 29,956
Fyffes PLC 4,473 7,037
Grafton Group PLC (a) 2,741 12,118
Greencore Group PLC 1,884 6,274
Independent News & Media PLC 8,958 16,253
Irish Life & Permanent PLC 3,675 39,670
Kerry Group PLC 1,757 27,158
Ryanair Holdings PLC (a) 2,713 19,534
Ryanair Holdings PLC ADR (a) 300 13,470
Waterford Wedgwood PLC 5,569 1,535
-------------
673,226
-------------
ITALY -- 3.7%
Alleanza Assicurazioni 6,752 64,200
Assicurazioni Generali SpA 14,657 339,657
Autogrill SpA (a) 1,872 20,422
Banca Fideuram SpA 4,656 25,397
Banca Intesa SpA 14,000 32,154
Banca Monte dei Paschi di
Siena SpA 14,259 38,889
Banca Nazionale del Lavoro (a) 23,673 39,690
Banca Popolare di Milano 5,500 24,064
Banco Popolare di Verona
e Novara Scrl 5,724 78,220
Benetton Group SpA 631 6,543
Bulgari SpA 2,550 14,202
Capitalia SpA 19,129 33,719
Enel SpA 32,501 202,661
Eni 39,784 601,684
Fiat SpA 3,789 27,586
FinecoGroup SpA (a) 20,657 11,102
Finmeccanica SpA 86,079 55,158
Gruppo Editoriale L'Espresso SpA 2,326 9,215
Intesabci SpA 54,433 174,085
Italcementi SpA 1,250 14,240
Luxottica Group SpA 1,867 25,492
Mediaset SpA 8,600 72,785
Mediobanca SpA 6,792 67,778
Mediolanum SpA 4,062 22,670
Mondadori (Arnoldo) Editore SpA 1,610 11,685
Parmalat Finanziaria SpA 6,503 20,462
Pirelli SpA 11,500 11,648
Riunione Adriatica di Sicurta SpA 4,379 66,428
San Paolo - IMI SpA 15,569 144,638
Seat Pagine Gialle SpA (a) 78,595 54,604
Snam Rete Gas SpA 13,710 53,844
Snia SpA 4,500 8,811
Telecom Italia Mobile SpA 58,058 286,018
Telecom Italia SpA 36,280 328,297
Telecom Italia SpA, RNC
Non-Convertible 31,550 172,819
Tiscali SpA (a) 2,972 15,187
UniCredito Italiano SpA 57,747 275,202
-------------
3,451,256
-------------
JAPAN -- 17.4%
77 Bank, Ltd. 5,000 22,694
ACOM Co., Ltd. 1,010 36,505
ADERANS Co., Ltd. 600 10,643
Advantest Corp. 900 39,875
AEON Co., Ltd. 3,300 75,578
Aeon Credit Service Co., Ltd. 200 6,329
Aiful Corp. 650 27,716
Ajinomoto Co., Inc. 8,000 76,619
All Nippon Airways Co.,
Ltd. (ANA) (a) 5,000 9,577
ALPS Electric Co., Ltd. 2,000 25,617
Amada Co., Ltd. 3,000 9,644
Amano Corp. 1,000 5,830
Anritsu Corp. 2,000 10,910
Aoyama Trading Co., Ltd. 600 7,995
Ariake Japan Co., Ltd. 200 5,963
Asahi Breweries, Ltd. 5,000 30,189
Asahi Chemical Industry, Ltd. 16,000 45,705
Asahi Glass Co., Ltd. 10,000 62,045
Asatsu-Dk, Inc. 400 7,162
Ashikaga Financial Group, Inc. (a) 11,000 16,306
Autobacs Seven Co., Ltd. 300 5,609
Bandai Co., Ltd. 400 15,257
Bank of Fukuoka, Ltd. 8,000 30,714
Bank of Yokohama, Ltd. 12,000 39,175
Bellsystem24, Inc. 50 8,016
Benesse Corp. 1,000 17,239
Bridgestone Corp. 9,000 122,174
Canon, Inc. 12,000 550,656
Capcom Co., Ltd. 600 6,186
Casio Computer Co., Ltd. 3,000 19,163
Central Glass Co., Ltd. 2,000 11,759
Central Japan Railway Co. 13 93,108
Chiba Bank, Ltd. 9,000 31,930
Chubu Electric Power Co. 8,800 160,500
Chugai Pharmaceutical Co., Ltd. 4,100 46,574
Citizen Watch Co., Ltd. 4,000 21,487
Coca-Cola West Japan Co., Ltd. 800 13,245
Credit Saison Co., Ltd. 1,700 27,877
CSK Corp. 700 19,063
DAI Nippon Printing Co., Ltd. 8,000 84,614
Daicel Chemical Industries, Ltd. 4,000 12,692
Daido Life Insurance Co. 15 32,480
Daiichi Pharmaceutical Co., Ltd. 3,500 45,588
Daikin Industries, Ltd. 3,000 55,091
Daimaru, Inc. 3,000 12,042
Dainippon Ink & Chemicals, Inc. 10,000 20,237
Dainippon Screen MFG. Co., Ltd. (a) 1,000 4,897
Daito Trust Construction Co., Ltd. 1,000 21,029
Daiwa House Industry Co., Ltd. 6,000 41,274
Daiwa Securities Group, Inc. 17,000 97,689
5
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
JAPAN -- (CONTINUED)
Denki Kagaku Kogyo
Kabushiki Kaisha 7,000 $ 19,413
Denso Corp. 6,900 109,354
Dentsu, Inc. 4 12,459
Dowa Mining Co., Ltd. 4,000 15,357
East Japan Railway Co. 47 209,019
Ebara Corp. 4,000 14,058
Eisai Co., Ltd. 3,100 63,768
FamilyMart Co., Ltd. 600 10,718
FANUC, Ltd. 1,700 84,239
Fast Retailing Co., Ltd. 800 24,718
Fuji Electric Co., Ltd. 6,000 13,142
Fuji Photo Film Co., Ltd. 6,000 173,392
Fuji Television Network, Inc. 4 14,124
Fujikura, Ltd. 5,000 16,490
Fujisawa Pharmaceutical Co., Ltd. 4,000 74,953
Fujitsu, Ltd. 22,000 90,144
Furukawa Electric Co., Ltd. 7,000 22,852
Gunma Bank, Ltd. 4,000 18,189
Gunze, Ltd. 2,000 7,529
Hankyu Department Stores, Inc. 1,000 5,821
Hino Motors, Ltd. 3,000 14,166
Hirose Electric Co., Ltd. 400 33,079
Hitachi Cable, Ltd. 1,000 2,698
Hitachi Chemical Co., Ltd. 1,200 12,282
Hitachi Software
Engineering Co., Ltd. 400 8,295
Hitachi, Ltd. 40,000 169,561
Hokuriku Bank, Ltd. (a) 10,000 15,324
Honda Motor Co., Ltd. 10,700 405,455
House Food Corp. 1,000 9,161
Hoya Corp. 1,600 110,198
Isetan Co., Ltd. 2,500 16,844
Ishihara Sangyo Kaisha, Ltd. (a) 3,000 5,072
Ishikawajima-Harima Heavy
Industries Co., Ltd. 12,000 13,492
Ito En, Ltd. 400 13,425
Ito-Yokado Co., Ltd. 5,000 119,717
Itochu Corp. 17,000 42,757
Itochu Techno-Science Corp. 400 9,294
Jafco Co., Ltd. 300 16,989
Japan Airlines System Corp. 7,000 15,274
Japan Real Estate Investment Corp. 2 10,793
Japan Tobacco, Inc. 9 48,645
Jfe Holding, Inc. 6,500 97,439
JGC Corp. 3,000 20,187
Joyo Bank, Ltd. 8,000 22,319
JSR Corp. 2,000 24,301
Kajima Corp. 10,000 23,735
Kaken Pharmaceutical Co., Ltd. 1,000 5,363
Kamigumi Co., Ltd. 3,000 15,016
Kanebo, Ltd. (a) 5,000 5,913
Kaneka Corp. 4,000 24,651
Kansai Electric Power Co. 9,400 148,271
Kao Corp. 8,000 148,907
Katokichi Co., Ltd. 400 6,812
Kawasaki Heavy Industries, Ltd. 13,000 13,317
Kawasaki Kisen Kaisha, Ltd. 8,000 19,321
Keihin Electric Express
Railway Co., Ltd. 5,000 24,443
Keio Electric Railway Co., Ltd. 7,000 31,947
Keyence Corp. 500 91,609
Kikkoman Corp. 2,000 13,208
Kinden Corp. 1,000 3,356
Kinki Nippon Railway Co., Ltd. (a) 19,000 49,369
Kirin Brewery Co., Ltd. 9,000 63,260
Kokuyo Co., Ltd. 700 6,669
Komatsu, Ltd. 13,000 49,802
Komori Corp. 1,000 10,418
Konami Co., Ltd. 1,200 21,487
Konica Corp. 4,000 45,538
Koyo Seiko Co., Ltd. 1,000 7,154
Kubota Corp. 13,000 35,295
Kuraray Co., Ltd. 6,000 39,375
Kurita Water Industries, Ltd. 1,000 11,068
Kyocera Corp. 2,300 131,593
Kyowa Hakko Kogyo Co., Ltd. 4,000 21,586
Kyushu Electric Power Co. 5,800 90,279
Lawson, Inc. 900 24,735
Mabuchi Motor Co., Ltd. 400 30,581
Makita Corp. 1,000 8,120
Marubeni Corp. 20,000 25,984
Marui Co., Ltd. 4,000 35,544
Matsumotokiyoshi Co., Ltd. 200 8,478
Matsushita Electric
Industrial Co., Ltd. 28,400 281,221
Matsushita Electric Works, Ltd. 6,000 35,528
Meiji Milk Products Co., Ltd. 2,000 7,412
Meiji Seika Kaisha, Ltd. 3,000 9,819
Meitec Corp. 400 12,159
Millea Holdings, Inc. 21 160,550
Minebea Co., Ltd. 5,000 19,821
Mitsubishi Chemical Corp. 23,000 46,929
Mitsubishi Corp. 14,000 97,123
Mitsubishi Electric Corp. 22,000 71,455
Mitsubishi Estate Co., Ltd. 14,000 94,791
Mitsubishi Gas Chemical Co., Inc. 3,000 6,346
Mitsubishi Heavy Industries, Ltd. 40,000 103,602
Mitsubishi Logistics Corp. 1,000 6,046
Mitsubishi Material Corp. (a) 11,000 14,108
Mitsubishi Rayon Co., Ltd. 8,000 21,320
Mitsubishi Tokyo
Financial Group, Inc. 56 253,246
Mitsui & Co., Ltd. 16,000 80,217
Mitsui Chemicals, Inc. 9,000 41,599
Mitsui Engineering &
Shipbuilding Co., Ltd. 8,000 10,060
Mitsui Fudosan Co., Ltd. 9,000 57,489
Mitsui Mining & Smelting Co., Ltd. 8,000 23,652
Mitsui O.S.K. Lines, Ltd. 11,000 33,437
Mitsui Sumitomo Insurance
Co., Ltd. 16,400 76,076
6
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
JAPAN -- (CONTINUED)
Mitsui Trust Holdings, Inc. 9,300 $ 20,447
Mitsukoshi, Ltd. 6,000 15,790
Mitsumi Electric Co., Ltd. 1,100 11,369
Mizuho Financial Group, Inc. (a) 74 58,485
Murata Manufacturing Co., Ltd. 3,300 129,719
Namco, Ltd. 400 6,383
NEC Corp. 19,000 94,941
Net One Systems Co., Ltd. 3 14,716
NGK Insulators, Ltd. 4,000 22,186
NGK Spark Plug Co., Ltd. 2,000 14,025
Nichii Gakkan Co. 200 9,994
Nichirei Corp. 2,000 6,979
Nidec Corp. 500 33,021
Nikko Cordial Corp. 17,000 68,241
Nikon Corp.(a) 4,000 32,946
Nintendo Co., Ltd. 1,300 94,516
Nippon Building Fund Inc. 2 10,943
Nippon COMSYS Corp. 1,000 5,097
Nippon Express Co., Ltd. 11,000 42,690
Nippon Kayaku Co., Ltd. 2,000 8,545
Nippon Meat Packers, Inc. 2,000 18,888
Nippon Mining Holdings, Inc. 7,500 16,240
Nippon Mitsubishi Oil Corp. 17,000 73,762
Nippon Sanso Corp. 2,000 6,429
Nippon Sheet Glass Co., Ltd. 5,000 14,991
Nippon Shokubai Co., Ltd. 1,000 5,955
Nippon Steel Corp. 78,000 107,183
Nippon Telegraph and
Telephone Corp. 74 290,269
Nippon Unipac Holding 11 42,965
Nippon Yusen Kabushiki Kaisha 13,000 50,668
Nishimatsu Construction Co., Ltd. 4,000 13,591
Nissan Chemical
Industries, Ltd. 3,000 16,040
Nissan Motor Co., Ltd. 34,400 328,888
Nisshin Flour Milling Co., Ltd. 2,000 14,208
Nisshinbo Industries, Inc. 2,000 9,161
Nissin Food Products Co., Ltd. 1,000 20,862
Nitto Denko Corp. 1,700 55,640
Nomura Research Institute, Ltd. 200 15,407
Nomura Securities Co., Ltd. 25,000 317,302
NSK, Ltd. 7,000 22,269
NTN Corp. 6,000 22,186
NTT Data Corp. 16 49,302
NTT DoCoMo, Inc. 241 521,840
Obayashi Corp. 8,000 24,518
OBIC Co., Ltd. 100 17,872
Oji Paper Co., Ltd. 10,000 43,723
Oki Electric Industry
Co., Ltd. (a) 6,000 17,189
Okumura Corp. 3,000 9,794
Olympus Optical Co., Ltd. 3,000 62,086
Omron Corp. 3,000 50,593
Onward Kashiyama Co., Ltd. 2,000 16,157
Oracle Corp., Japan 300 10,793
Oriental Land Co., Ltd. 700 30,664
Orix Corp. 1,100 60,829
Osaka Gas Co., Ltd. 26,000 64,310
Pioneer Corp. 2,300 51,718
Promise Co., Ltd. 1,250 46,742
Q.P. Corp. 1,000 7,895
Resona Holdings, Inc. (a) 58,000 40,092
Ricoh Co., Ltd. 9,000 147,058
Rohm Co., Ltd. 1,500 163,523
Saizeriya Co., Ltd. 100 929
Sanden Corp. 1,000 4,755
Sankyo Co., Ltd. 5,100 60,907
Sankyo Co., Ltd. 600 14,966
Sanyo Electric Co., Ltd. 21,000 71,880
Sapporo Breweries, Ltd. 5,000 12,326
Secom Co., Ltd. 3,000 87,945
Sega Corp. (a) 1,600 11,366
Seino Transportation Co., Ltd. 2,000 11,443
Sekisui Chemical Co., Ltd. 4,000 13,525
Sekisui House, Ltd. 7,000 53,050
Seven-Eleven Japan Co., Ltd. 6,000 149,407
Sharp Corp. 13,000 166,837
Shimachu Co., Ltd. 400 6,296
Shimamura Co., Ltd. 200 11,043
Shimano, Inc. 900 14,151
Shimizu Corp. 8,000 22,186
Shin-Etsu Chemical Co., Ltd. 5,000 170,727
Shionogi & Co., Ltd. 4,000 54,199
Shiseido Co., Ltd. 5,000 48,595
Shizuoka Bank, Ltd. 8,000 53,633
Showa Denko K.K. (a) 14,000 24,368
Showa Shell Sekiyu K.K 2,300 16,511
Skylark Co., Ltd. 1,300 15,428
SMC Corp. 700 58,938
Snow Brand Milk Products
Co., Ltd. (a) 2,500 6,267
Softbank Corp. 2,800 53,050
Sompo Japan Insurance, Inc. 11,000 60,004
Sony Corp. 12,100 340,604
Stanley Electric Co., Ltd. 2,000 28,499
Sumitomo Bakelite Co., Ltd. 3,000 12,517
Sumitomo Chemical Co., Ltd. 17,000 53,375
Sumitomo Corp. 10,000 46,138
Sumitomo Electric Industries, Ltd. 9,000 65,734
Sumitomo Heavy Industries, Ltd. (a) 5,000 7,412
Sumitomo Metal Industries, Ltd. 47,000 32,488
Sumitomo Metal Mining Co., Ltd. 6,000 22,986
Sumitomo Mitsui Financial Group, Inc. 53 115,644
Sumitomo Osaka Cement Co., Ltd. 3,000 5,896
Sumitomo Realty &
Development Co., Ltd. 5,000 22,236
Sumitomo Trust & Banking
Co., Ltd. 14,000 48,386
Suruga Bank, Ltd., ADR 3,000 17,264
Suzuken Co., Ltd. 400 9,494
Taiheiyo Cement Corp. 9,800 16,813
Taisei Corp. 10,000 19,654
Taisho Pharmaceutical Co., Ltd. 2,000 28,882
Taiyo Yuden Co., Ltd. 1,000 9,744
7
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
JAPAN -- (CONTINUED)
Takara Shuzo Co., Ltd. 3,000 $ 16,190
Takashimaya Co., Ltd. 4,000 19,888
Takeda Chemical Industries, Ltd. 11,600 427,966
Takefuji Corp. 830 43,064
Takuma Co., Ltd. 1,000 4,864
TDK Corp. 1,500 74,079
Teijin, Ltd. 10,000 24,984
Teikoku Oil Co., Ltd. 3,000 9,794
Terumo Corp. 2,100 34,891
THK Co., Ltd. 1,500 20,187
TIS, Inc. 400 7,662
Tobu Railway Co., Ltd. 9,000 25,559
Toda Corp. 2,000 4,297
Toho Co., Ltd. 2,100 18,433
Tohoku Elecric Power Co., Inc. 6,000 88,745
Tokyo Broadcasting System, Inc. 700 8,529
Tokyo Electric Power Co., Inc. 15,900 303,898
Tokyo Electron, Ltd. 2,100 99,513
Tokyo Gas Co., Ltd. 36,000 103,435
Tokyo Style Co., Ltd. 1,000 8,153
Tokyu Corp. 13,000 41,899
TonenGeneral Sekiyu K.K 4,000 28,116
Toppan Printing Co., Ltd. 7,000 50,135
Toray Industries, Inc. 15,000 34,853
Toshiba Corp. 39,000 134,141
Tosoh Corp. 8,000 17,855
Tostem Corp. 4,000 57,631
Toto, Ltd. 4,000 23,752
Toyo Seikan Kaisha, Ltd. 2,000 18,705
Toyo Suisan Kaisha, Ltd. 1,000 10,152
Toyobo Co., Ltd. 6,000 10,443
Toyoda Gosei Co., Ltd. 600 11,818
Toyota Industries Corp. 2,100 34,174
Toyota Motor Corp. 37,400 968,678
Trend Micro, Inc. (a) 1,000 15,532
Ube Industries, Ltd. 8,000 11,793
UFJ Holdings, Inc. (a) 53 77,685
Uni-Charm Corp. 500 21,611
UNY Co., Ltd. 2,000 17,223
Ushio, Inc. 2,000 23,152
USS Co., Ltd. 220 11,140
Wacoal Corp. 1,000 7,787
West Japan Railway Co. 14 53,050
World Co., Ltd. 700 13,263
Yakult Honsha Co., Ltd. 2,000 26,817
Yamada Denki Co., Ltd. 900 19,863
Yamaha Corp. 1,900 26,045
Yamaha Motor Co., Ltd. 1,000 8,436
Yamanouchi Pharmaceutical
Co., Ltd. 4,300 112,088
Yamato Transport Co., Ltd. 6,000 66,408
Yamazaki Baking Co., Ltd. 1,000 6,371
Yokogawa Electric Corp. 3,000 23,161
-------------
16,420,024
-------------
LUXEMBOURG -- 0.1%
Arcelor 4,545 52,923
-------------
NETHERLANDS -- 5.2%
ABN AMRO Holding NV 24,947 476,987
Aegon NV 21,745 217,746
Akzo Nobel NV 4,143 109,806
ASM Lithography Holding NV (a) 7,381 70,096
Corio NV 666 21,430
DSM NV 1,231 51,908
Elsevier NV 10,093 119,032
Euronext NV 1,189 29,479
Hagemeyer NV 1,028 3,955
Heineken NV 3,152 111,845
IHC Caland NV 454 23,179
ING Groep NV 28,108 488,363
Koninklijke (Royal) KPN NV (a) 28,042 198,686
Koninklijke (Royal)
Philips Electronics NV 21,165 402,488
Koninklijke Ahold NV 9,845 81,739
Koninklijke Numico NV 2,009 30,914
Oce NV 1,001 10,334
Qiagen NV (a) 2,204 18,602
Rodamco Europe NV 683 35,741
Royal Dutch Petroleum Co. 33,760 1,567,014
Royal Vendex KBB NV 1,635 18,926
TNT Post Group NV 5,164 89,663
Unilever NV 9,192 493,159
Vedior NV 1,981 17,949
VNU NV 3,367 103,738
Wereldhave NV 300 18,862
Wolters Kluwer NV 4,277 51,571
-------------
4,863,212
-------------
NEW ZEALAND -- 0.2%
Auckland International Airport, Ltd. 2,438 8,749
Carter Holt Harvey, Ltd. 13,779 14,440
Contact Energy, Ltd. 4,649 13,745
Fisher & Paykel Appliances Holdings,
Ltd., Series H 636 5,083
Fisher & Paykel Industries, Ltd. 806 5,828
Fletcher Building, Ltd. 6,285 13,504
Fletcher Challeng Forests, Ltd. (a) 1,876 1,263
Independent Newspapers, Ltd. 2,681 6,718
Sky City Entertainment Group, Ltd. 3,284 18,130
Telecom of New Zealand, Ltd. 25,208 77,332
Tower, Ltd. 670 588
Warehouse Group, Ltd. 2,607 7,906
-------------
173,286
-------------
NORWAY -- 0.4%
Aker Kvaerner ASA (a) 262 3,457
Den Norsske Bank 5,805 28,629
Frontline, Ltd. 541 7,720
Gjensidige Nor Asa 838 29,313
Norsk Hydro ASA 2,323 114,245
Norske Skogindustrier ASA 1,531 22,907
Orkla ASA 3,092 53,544
Schibsted ASA 600 8,312
Smedvig ASA, Series A 400 2,544
8
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
NORWAY -- (CONTINUED)
Statoil ASA 6,958 $ 59,281
Storebrand ASA (a) 2,458 9,875
Tandberg ASA (a) 1,627 8,430
Telenor ASA 6,956 28,909
Tomra Systems ASA 2,801 12,029
-------------
389,195
-------------
PORTUGAL -- 0.3%
Banco BPI SA 5,732 16,193
Banco Comercial Portugues SA 29,988 52,688
Banco Espirito Santo SA, Registered 1,541 22,828
Brisa-Auto Estrada de
Portugal SA 4,119 23,177
Cimpor-Cimentos de
Portugal, SGPS SA 1,595 6,063
Electridade de Portugal SA 23,120 49,383
Jeronimo Martins SGPS SA (a) 723 5,720
Portugal Telecom SGPS SA 12,918 92,566
PT Multimedia-Servicos de
Telecomunicacoes e
Multimedia SA (a) 281 4,921
Sonae, S.G.P.S. SA 24,685 13,890
-------------
287,429
-------------
SINGAPORE -- 0.7%
Allgreen Properties, Ltd. 2,000 1,090
Capitaland, Ltd. 14,000 9,858
Chartered Semiconductor
Manufacturing, Ltd. (a) 12,401 6,408
City Developments, Ltd. 7,487 18,877
ComfortDelGro Corp., Ltd. (a) 26,000 11,885
Creative Technology, Ltd. 600 4,804
Cycle & Carriage, Ltd. 1,869 5,243
Datacraft Asia, Ltd.(a) 1,000 1,000
DBS Group Holdings, Ltd. 17,000 99,432
Fraser & Neave, Ltd. 2,313 11,296
Haw Par Corp., Ltd. 2,746 6,768
Keppel Corp., Ltd. 9,356 26,033
Keppel Land, Ltd. 2,000 1,454
Neptune Orient Lines, Ltd. (a) 11,000 9,245
Oversea-Chinese Banking
Corp., Ltd. 15,365 87,252
Overseas Union
Enterprise, Ltd. 2,069 8,224
Parkway Holdings, Ltd. 7,063 3,128
SembCorp Industries, Ltd. 11,000 7,995
SembCorp Logistics, Ltd. 2,000 2,135
SembCorp Marine, Ltd. 2,000 1,113
Singapore Airlines, Ltd. 8,394 49,573
Singapore Exchange, Ltd. 12,000 9,336
Singapore Land, Ltd. 1,000 2,124
Singapore Press Holdings, Ltd. 5,020 52,167
Singapore Technologies
Engineering, Ltd. 21,000 20,750
Singapore
Telecommunications, Ltd. 98,437 84,406
SMRT Corp., Ltd. 2,000 704
ST Assembly Test Services, Ltd. (a) 1,000 971
United Overseas Bank, Ltd. 18,251 128,514
United Overseas Land, Ltd. 7,327 8,737
Venture Manufacturing
(Singapore), Ltd. 3,000 27,428
Wing Tai Holdings, Ltd. 5,000 2,101
-------------
710,051
-------------
SPAIN -- 3.0%
Acciona SA 441 21,017
Acerinox SA 647 24,727
Acesa Infraestructuras SA 2,076 29,013
ACS SA 438 18,686
Altadis SA, Series A 3,729 95,579
Amadeus Global Travel
Distribution SA, Series A 2,809 16,096
Banco Bilbao Vizcaya
Argentaria SA 39,015 409,946
Banco Popular Espanol SA 1,953 98,680
Banco Santander Central
Hispano SA 55,149 483,210
Corporacion Mapfre,
Compania Internacional de
Reaseguros SA 889 9,494
Endesa SA 11,565 193,632
Fomento de Construcciones
y Contratas SA 710 19,837
Gas Natural SDG SA 2,400 48,231
Grupo Dragados SA 1,644 33,095
Grupo Ferrovial SA 890 24,171
Iberdrola SA 9,848 170,539
Iberia Lineas Aereas de Espana SA 4,227 8,203
Indra Sistemas SA 1,497 15,214
Industria de Diseno Textil, SA 2,618 65,840
Metrovacesa SA 468 13,328
NH Hoteles SA (a) 939 9,877
Promotora de
Informaciones SA 984 8,938
Repsol YPF SA 11,767 190,798
Sociedad General de Aguas
de Barcelona SA 752 10,276
Telefonica Publicidad e
Informacion SA 1,477 7,141
Telefonica SA (a) 61,737 716,755
Terra Networks SA (a) 4,697 28,425
Union Electrica Fenosa SA 2,358 39,940
Vallehermoso SA 1,544 17,128
Zeltia SA (a) 1,420 9,588
-------------
2,837,404
-------------
SWEDEN -- 1.3%
Alfa Laval AB 728 6,957
Assa Abloy AB, Series B 2,716 26,295
Atlas Copco AB, Series A 1,085 27,447
Atlas Copco AB, Series B 800 18,788
Axfood AB 270 4,908
Billerud 533 6,226
Castellum AB 444 7,626
9
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
SWEDEN -- (CONTINUED)
Drott AB, Series B 800 $ 10,094
Electrolux AB 3,005 59,312
Eniro AB 1,771 15,155
Gambro AB, Series A 1,600 10,593
Gambro AB, Series B 800 5,297
Getinge AB 358 9,503
Hennes & Mauritz AB
(H&M), Series B 4,785 109,987
Hoganas AB, Series B 107 2,179
Holmen AB, Series B 600 16,377
Modern Times Group MTG AB (a) 475 7,299
Nobel Biocare Holding AG 183 12,116
Nordea AB 24,150 116,452
OM Gruppen AB 500 3,560
Perbio Science AB 371 6,906
Sandvik AB 2,100 54,960
Sapa AB 100 2,011
SAS AB (a) 530 2,913
Securitas AB, Series B 3,016 30,895
Skandia Forsakrings AB 7,878 20,962
Skandinaviska Enskilda
Banken (SEB), Series A 4,354 44,329
Skanska AB 3,500 19,981
SKF AB, Series A 200 5,772
SKF AB, Series B 867 25,019
SSAB Svenskt Stal AB, Series A 400 5,347
SSAB Svenskt Stal AB, Series B 200 2,548
Svenska Cellulosa AB
(SCA), Series B 1,833 62,627
Svenska Handelsbanken AB,
Series A 5,551 90,841
Svenska Handelsbanken AB,
Series B 500 7,870
Swedish Match AB 3,205 24,223
Tele2 AB, Series B (a) 839 31,181
Telefonaktiebolaget LM
Ericsson, New (a) 145,792 156,629
Telia AB 16,486 68,375
Trelleborg AB, Series B 700 7,477
Volvo AB, Series A 1,100 23,086
Volvo AB, Series B 1,985 43,643
WM-Data AB, Series B 2,500 3,810
-------------
1,217,576
-------------
SWITZERLAND -- 7.5%
ABB, Ltd. (a) 16,177 53,145
Adecco SA 2,031 83,666
Centerpulse AG (a) 153 41,171
Ciba Specialty Chemicals
AG 1,017 61,566
Clariant AG 2,047 18,739
Compagnie Financiere
Richemont AG 8,279 133,853
Credit Suisse Group 19,375 509,925
Geberit AG 54 16,624
Givaudan AG 114 47,972
Holcim, Ltd. 2,475 91,450
Kudelski SA (a) 639 11,581
Kuoni Reisen Holding AG, Series B 30 7,707
Logitech International SA (a) 668 25,052
Lonza Group AG 651 29,797
Nestle SA 6,565 1,354,633
Novartis AG 39,052 1,545,301
Roche Holding AG 532 65,393
Roche Holding AG, Bearer 11,424 896,091
Serono SA 114 66,992
SGS Societe Generale de
Surveillance Holding SA 65 25,385
Sulzer AG 80 11,177
Swatch Group AG, Registered 545 49,388
Swatch Group AG, Series B 784 14,267
Swiss Reinsurance Co. 5,249 290,825
Swisscom AG 420 119,376
Syngenta AG 1,696 85,016
Synthes-Stratec, Inc. 65 46,691
UBS AG 19,397 1,079,003
Unaxis Holding AG 204 16,604
Valora Holding AG 65 13,292
Zurich Financial Services AG 2,347 279,828
-------------
7,091,510
-------------
UNITED KINGDOM -- 24.0%
3i Group PLC 9,041 84,292
Aegis Group PLC 18,691 24,443
Aggreko PLC 2,794 5,671
Alliance Unichem PLC 3,131 25,588
AMEC PLC 4,526 19,418
Amvescap PLC 9,975 68,804
ARM Holdings PLC (a) 12,911 14,274
Associates British Ports
Holdings PLC 4,650 30,463
AstraZeneca Group PLC 24,739 992,000
Aviva PLC 33,434 232,132
BAA PLC 15,488 125,360
BAE Systems PLC 46,957 110,418
Balfour Beatty PLC 7,213 22,972
Barclays PLC (a) 93,768 696,290
Barratt Developments PLC 3,436 24,494
BBA Group PLC 6,776 23,257
Berkeley Group PLC 1,545 19,137
BG Group PLC 50,597 224,178
BHP Billiton PLC 35,534 187,050
BOC Group PLC 7,271 93,286
Boots Group PLC 11,420 122,208
BP Amoco PLC 319,227 2,213,759
BPB PLC 6,425 32,549
Brambles Industries PLC 10,961 29,663
British Airways PLC (a) 8,435 21,087
British America Tobacco PLC 23,412 265,604
British Land Co. PLC 6,548 51,946
British Sky Broadcasting PLC (a) 18,102 200,584
BT Group PLC 123,254 414,402
Bunzl PLC 6,164 43,204
Cable & Wireless PLC 33,111 61,741
Cadbury Schweppes PLC 28,774 169,983
Canary Wharf Group PLC 7,170 30,289
10
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
UNITED KINGDOM -- (CONTINUED)
Capita Group PLC 8,763 $ 32,680
Carlton Communications PLC 7,351 18,377
Carnival PLC 2,454 74,551
Cattles PLC 4,231 22,656
Celltech Group PLC (a) 3,502 19,821
Centrica PLC 61,276 177,709
Chubb PLC 10,466 13,039
Close Brothers Group PLC 2,471 26,708
Cobham PLC 1,250 23,832
Compass Group PLC 32,212 173,683
Daily Mail & General Trust 4,319 40,624
Davis Service Group PLC 2,522 15,773
De La Rue PLC 2,663 10,393
Diageo PLC 44,562 475,764
Dixons Group PLC 25,747 56,082
Electrocomponents PLC 5,804 31,079
EMAP PLC 3,382 47,744
EMI Group PLC 10,144 20,422
Enterprise Inns PLC 2,197 29,438
Exel PLC 4,032 41,384
FirstGroup PLC 5,340 23,792
FKI PLC 8,127 10,695
Friends Provident PLC 21,493 40,255
George Wimpey PLC 5,822 28,341
GKN PLC 9,767 35,860
GlaxoSmithKline PLC 85,986 1,735,311
Granada Compass PLC 39,202 58,867
Great Portland Estates PLC 2,783 10,654
Great Universal Stores PLC 14,580 163,362
Hammerson PLC 3,988 32,608
Hanson PLC 10,902 60,761
Hays PLC 21,676 34,338
HBOS PLC 54,191 701,525
Hilton Group PLC 23,299 70,742
HSBC Holdings PLC 153,547 1,814,168
IMI PLC 5,500 27,227
Imperial Chemical Industries PLC 15,628 31,655
Imperial Tobacco Group PLC 10,493 187,522
Intercontinental Hotels
Group PLC (a) 10,012 71,042
International Power PLC (a) 14,158 30,196
Invensys PLC 49,950 16,897
J Sainsbury PLC 21,276 89,176
Johnson Matthey PLC 2,890 42,110
Kelda Group PLC 5,589 39,427
Kidde PLC 11,305 15,857
Kingfisher PLC 37,793 172,904
Land Securities Group PLC 6,809 87,808
Legal & General Group PLC 92,252 127,873
Liberty International PLC 3,275 33,479
Lloyds TSB Group PLC 79,369 563,501
Logica PLC 12,478 29,496
Man Group PLC 4,102 80,956
Marks & Spencer Group PLC 32,996 171,921
MFI Furniture Group PLC 7,691 21,258
Misys PLC 7,369 31,251
Mitchells & Butlers PLC (a) 10,012 38,618
National Grid Group PLC 44,172 299,579
Next PLC 4,156 70,398
Novar PLC 4,089 8,266
Nycomed Amersham PLC 10,303 77,314
Pearson PLC 11,199 104,597
Peninsular & Oriental
Steam Navigation Co. 10,071 39,054
Persimmon PLC 3,447 27,132
Pilkington PLC 13,321 14,563
Provident Financial PLC 3,331 35,041
Prudential PLC 30,045 181,954
Rank Group PLC 7,979 32,785
Reckitt Benckiser PLC 8,654 158,798
Reed International PLC 18,256 151,906
Rentokil Initial PLC 25,198 78,691
Reuters Group PLC 21,206 61,500
Rexam PLC 6,010 37,785
Rio Tinto PLC 15,199 285,919
RMC Group PLC 3,984 30,356
Rolls-Royce Group PLC 21,794 46,123
Royal & Sun Alliance
Insurance Group PLC 18,645 42,689
Royal Bank of Scotland
Group PLC 39,401 1,105,298
SABMiller PLC 11,739 78,598
Safeway PLC 15,602 66,295
Sage Group PLC 17,388 46,482
Schroders PLC 1,707 17,739
Scottish & Newcastle PLC 10,310 62,353
Scottish & Southern Energy PLC 12,482 128,526
ScottishPower PLC 26,806 161,011
Securicor PLC 6,798 8,357
Serco Group PLC 6,511 17,214
Severn Trent PLC 4,778 53,929
Shell Transport & Trading
Co. PLC 138,375 913,357
Signet Group PLC 25,245 37,596
Slough Estates PLC 6,036 34,039
Smith & Nephew PLC 12,645 72,666
Smiths Group PLC 8,166 94,730
SSL International PLC 2,218 10,724
Stagecoach Holdings PLC 19,209 19,653
Tate & Lyle PLC 5,899 33,340
Taylor Woodrow PLC 7,979 26,465
Tesco PLC 104,957 379,729
Tomkins PLC 10,162 38,065
Unilever PLC 39,365 313,423
United Business Media PLC 4,926 24,630
United Utilities PLC 8,154 79,252
Vodafone Group PLC 973,816 1,904,225
Whitbread PLC 3,894 43,566
William Hill PLC 4,313 20,319
Wolseley PLC 8,530 94,343
WPP Group PLC 16,813 131,784
-------------
22,565,916
-------------
TOTAL COMMON STOCKS
(Cost $84,867,068) 82,661,630
-------------
11
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
SHARES VALUE
------ -------------
PREFERRED STOCKS -- 0.4%
AUSTRALIA -- 0.2%
News Corp., Ltd. 30,165 $ 185,915
-------------
GERMANY -- 0.2%
Fresenius Medical Care AG 294 10,635
Henkel KGAA 848 52,497
Porsche AG 102 43,222
ProSieben Sat.1 Media AG 1,199 7,986
RWE AG 460 12,382
Volkswagen AG 1,400 41,977
Wella AG 300 21,876
-------------
190,575
-------------
NEW ZEALAND -- 0.0%
Fletcher Challenge
Forests, Ltd. (a) 3,372 2,290
-------------
SWITZERLAND -- 0.0%
Schindler Holding AG (a) 97 15,611
-------------
TOTAL PREFERRED STOCKS
(Cost $409,269) 394,391
-------------
RIGHTS -- 0.0%
FRANCE -- 0.0%
Lafarge SA (a)
(Cost $0) 1,964 5,300
-------------
SHORT TERM INVESTMENTS -- 24.2%
UNITED STATES -- 24.2%
AIM Short Term Investment
Prime Portfolio 1,365,772 1,365,772
AIM Treasury Fund 2,798,656 2,798,656
Federated Money Market
Obligations Trust 2,278,726 2,278,726
State Street Navigator
Securities Lending Prime
Portfolio (b) (Note 4) 16,321,962 16,321,962
-------------
22,765,116
-------------
TOTAL SHORT TERM INVESTMENTS
(Cost $22,765,116) 22,765,116
-------------
TOTAL INVESTMENTS -- 112.4%
(Cost $108,041,453) $ 105,826,437
-------------
OTHER ASSETS AND
LIABILITIES (NET) -- (12.4)% (11,652,615)
-------------
NET ASSETS -- 100.0% $ 94,173,822
=============
(a) Non-income producing security.
(b) Security represents investment made with cash collateral from
securities loaned.
Abbreviations
NPV - No Par Value
NV - Non-voting
RNC - Non-Convertible Savings
INDUSTRY CONCENTRATION AS A PERCENTAGE OF NET ASSETS:
Financials 23.0%
Consumer Discretionary 11.2%
Health Care 8.8%
Energy 8.1%
Consumer Staples 7.8%
Industrials 7.3%
Telecommunication Services 7.1%
Materials 5.5%
Information Technology 5.2%
Utilities 4.2%
Cash, receivables, and other
assets, less liabilities 11.8%
-----
100.0%
-----
12
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
SCHEDULE OF FUTURES UNREALIZED
CONTRACTS (LONG) NUMBER OF APPRECIATION/
CONTRACTS (DEPRECATION)
--------- ---------
SPI 200 Index Futures
Expiration date 09/2003 12 $ (11,926)
DAX Index Futures
Expiration date 09/2003 7 (16,432)
CAC 40 Euro Futures
Expiration date 09/2003 35 (35,159)
Hang Seng Index Futures
Expiration date 07/2003 10 3,241
TOPIX Index Futures
Expiration date 09/2003 37 91,595
Financial Times Stock Exchange
100 Index Futures
Expiration date 09/2003 45 (104,697)
IBEX 35 Index Futures
Expiration date 07/2003 9 (19,079)
MIB 30 Index Futures
Expiration date 09/2003 2 (6,989)
OMX Index Futures
Expiration date 07/2003 132 (827)
---------
Net unrealized depreciation on
open futures contracts purchased $(100,273)
=========
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
BOUGHT AUSTRALIAN DOLLAR
Local Contract amount - 463,000
USD Face value - 301,691
USD Current value - 309,258
Settlement Date - 08/22/2003
Unrealized Gain $ 7,567
BOUGHT EURO
Local Contract amount - 2,688,000
USD Face value - 3,142,047
USD Current value - 3,087,061
Settlement Date - 08/22/2003
Unrealized Loss (54,986)
SOLD EURO
Local Contract amount - 916,000
USD Face value - 1,085,041
USD Current value - 1,051,990
Settlement Date - 08/22/2003
Unrealized Gain 33,051
BOUGHT POUND STERLING
Local Contract amount - 1,658,000
USD Face value - 2,726,755
USD Current value - 2,730,485
Settlement Date - 08/22/2003
Unrealized Gain 3,730
SOLD POUND STERLING
Local Contract amount - 413,000
USD Face value - 686,365
USD Current value - 680,151
Settlement Date - 08/22/2003
Unrealized Gain 6,214
BOUGHT HONG KONG DOLLAR
Local Contract amount - 896,000
USD Face value - 114,860
USD Current value - 114,899
Settlement Date - 08/22/2003
Unrealized Gain 39
BOUGHT JAPANESE YEN
Local Contract amount - 287,557,000
USD Face value - 2,452,596
USD Current value - 2,403,562
Settlement Date - 08/22/2003
Unrealized Loss (49,034)
SOLD JAPANESE YEN
Local Contract amount - 75,311,000
USD Face value - 638,575
USD Current value - 629,491
Settlement Date - 08/22/2003
Unrealized Gain 9,084
BOUGHT SWEDISH KRONA
Local Contract amount - 3,185,000
USD Face value - 404,188
USD Current value - 397,237
Settlement Date - 08/22/2003
Unrealized Loss (6,951)
--------
Net unrealized depreciation on
open forward foreign currency contracts $(51,286)
========
See Notes to Financial Statements.
13
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2003 (UNAUDITED)
ASSETS
Unaffiliated investments at market (identified cost $91,719,491) - including $15,511,437 of
securities on loan (Note 2) $ 89,504,475
Affiliated investments at market (identified cost $ 16,321,962) (Note 4) 16,321,962
Cash 1,734,427
Foreign currency at market (cost $2,935,172) 2,927,434
Receivables:
Investments sold 929
Dividends and interest 135,474
-------------
Total assets 110,624,701
LIABILITIES
Unrealized depreciation on forward currency exchange contracts 51,286
Payables:
Investments purchased 3,484
Daily variation margin on futures contracts 62,555
Due upon return of securities loaned 16,321,962
Management fees (Note 4) 11,592
-------------
Total liabilities 16,450,879
-------------
NET ASSETS $ 94,173,822
=============
COMPOSITION OF NET ASSETS
Paid-in capital $ 96,547,319
Net unrealized depreciation on investments, foreign currency translation,
and futures contracts (2,373,497)
-------------
NET ASSETS $ 94,173,822
=============
See Notes to Financial Statements.
14
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2003
(UNAUDITED)
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $270,170) $ 1,003,830
Dividends (non-cash) 253,329
Interest 26,035
Security lending income 83,941
------------
Total Investment Income 1,367,135
EXPENSES
Management fees (Note 4) $ 60,407
------------
Total Expenses 60,407
------------
NET INVESTMENT INCOME 1,306,728
------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments and foreign currency transactions (8,641,519)
Futures contracts 397,563
------------
(8,243,956)
Net change in unrealized appreciation (depreciation) on:
Investments and foreign currency translation 14,429,655
Futures contracts (66,233)
------------
14,363,422
------------
Net realized and unrealized gain 6,119,466
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,426,194
============
See Notes to Financial Statements.
15
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months
Ended For the Year
June 30, 2003 Ended
(Unaudited) December 31, 2002
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 1,306,728 $ 1,205,368
Net realized loss on investments and future contracts (8,243,956) (3,561,046)
Net change in unrealized appreciation (depreciation) 14,363,422 (7,378,466)
------------ ------------
Net increase (decrease) in net assets resulting from operations 7,426,194 (9,734,144)
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions 53,389,826 69,280,296
Contributions in-kind -- 21,837,789
Fair value of withdrawals (45,995,417) (62,601,360)
------------ ------------
Net increase in net assets from capital transactions 7,394,409 28,516,725
------------ ------------
TOTAL NET INCREASE IN NET ASSETS 14,820,603 18,782,581
NET ASSETS
Beginning of period 79,353,219 60,570,638
------------ ------------
End of period $ 94,173,822 $ 79,353,219
============ ============
See Notes to Financial Statements.
16
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
For the
Six Months
Ended Year Year Period
6/30/03 Ended Ended Ended
(Unaudited) 12/31/02 12/31/01 12/31/00*
----------- -------- -------- ---------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in thousands) $ 94,174 $ 79,353 $ 60,571 $ 87,620
Ratios to average net assets:
Operating expenses 0.15%+ 0.15% 0.15% 0.15%+
Net investment income 3.25%+ 1.85% 1.49% 0.81%+
Portfolio turnover rate** 28%++ 13% 31% 8%++
Total return (a) 9.12%++ (16.05%) (21.88%) (0.80%)++
- ----------
* The Portfolio commenced operations on November 13, 2000.
** The Portfolio turnover rate excludes in-kind security transactions.
+ Annualized.
++ Not Annualized.
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
17
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2003 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is a registered and diversified
open-end investment company, as defined in the Investment Company Act of 1940,
as amended (the "1940 Act"), that was organized as a business trust under the
laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises
seven 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 MSCI(R) EAFE(R) Index Portfolio, the State Street
Aggregate Bond Index Portfolio, the State Street 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 MSCI(R) EAFE(R)
Index Portfolio (the "Portfolio"). At June 30, 2003, only the Portfolio and the
State Street Equity 500 Index Portfolio had commenced operations. Pursuant to
the Trust's Declaration of Trust, the Board of Trustees may 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 Morgan Stanley Capital International
Europe, Australasia, Far East Index (the "MSCI EAFE Index"). The Portfolio
attempts to hold the MSCI EAFE Index constituents in their approximate benchmark
weights.
2. SIGNIFICANT ACCOUNTING POLICIES
The Portfolio's financial statements are prepared in accordance with generally
accepted accounting principles that require the use of management estimates.
Actual results could differ from those estimates. 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 listed and traded principally on
any national securities exchange are valued on the basis of the last sale price
or, lacking any sale, at the closing bid price, on the primary exchange on which
the security is traded. Investments in other mutual funds are valued at the net
asset value per share. Over-the-counter equities, 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. Forward foreign currency contracts
are valued daily based on the prevailing forward exchange rate of the underlying
currencies. The value of all assets and liabilities expressed in foreign
currencies will be converted into U.S. dollar values at the noon (Eastern
Standard Time) IDC (International Data Corporation) spot rate. 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.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Dividend income is recorded on the ex-dividend
date. Interest income is recorded daily on the accrual basis and includes
amortization of premium and accretion of discounts on investments. Expenses are
accrued daily based on average daily net assets. Realized gains and losses from
securities transactions are recorded on the basis of identified cost. The
Portfolio does not isolate the portion of gains and losses on investments in
equity securities that is due to changes in foreign exchange rates from that
which is due to change in market prices of securities. Such amounts are
categorized as gain or loss on investments for financial reporting purposes.
All of the net investment income and realized and unrealized gains and losses
from the security transactions of the Portfolio are allocated pro rata among the
investors 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.
18
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the MSCI EAFE 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 (the "SEC") 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.
FOREIGN INVESTMENT RISK: The Portfolio will invest extensively in foreign
securities (i.e., those which are not listed on a United States securities
exchange). Investing in foreign securities involves risks not typically found in
investing in U.S. markets. These include risks of adverse change in foreign
economic, political, regulatory and other conditions, and changes in currency
exchange rates, exchange control regulations (including currency blockage),
expropriation of assets or nationalization, imposition of withholding taxes on
dividend or interest payments and capital gains, and possible difficulty in
obtaining and enforcing judgments against foreign entities. The Portfolio is
subject to foreign risk and may experience more rapid and extreme changes in
value than funds investing solely in the U.S. This is because the securities
markets of many foreign countries are relatively small, with a limited number of
companies representing a small number of industries. Furthermore, issuers of
foreign securities are subject to different, and often less comprehensive,
accounting, reporting and disclosure requirements than domestic issuers. The
securities of some foreign companies and foreign securities markets are less
liquid and at times more volatile than securities of comparable U.S. companies
and U.S. securities markets.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: The Portfolio may enter into
forward foreign currency exchange contracts. A forward foreign currency exchange
contract is an agreement between two parties to buy or sell currency at a set
price on a future date. Realized gain or loss is recognized when the contract is
closed and is equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed. Risks may arise upon
entering into forward foreign currency exchange contracts from the potential
inability of the counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar. The Portfolio voluntarily segregates securities in an amount equal to
the outstanding value of the open forward foreign currency exchange contracts in
accordance with SEC requirements.
SECURITIES LENDING: The Trust, on behalf of the Portfolio, entered into a
Securities Lending Agreement (the "Agreement") with State Street Bank and Trust
Company ("State Street"). Under the terms of the Agreement, the Portfolio may
lend portfolio securities to qualified borrowers in order to earn additional
income. The Agreement requires that loans are secured at all times by cash, U.S.
Government securities or irrevocable lines of credit in an amount at least equal
to 102% of the market value of domestic securities loaned (105% in the case of
foreign securities), plus accrued interest and dividends, determined on a daily
basis. Proceeds collected by State Street on investment of cash collateral or
any fee income is allocated as follows: 75% to the Portfolio and 25% to State
Street. For the period ended June 30, 2003, the earned income for the Portfolio
and State Street was $107,416 and $35,805, respectively.
The primary risk associated with securities lending is that if the borrower
defaults on its obligation to return the securities loaned because of insolvency
or other reasons, the Portfolio could experience delays and costs in recovering
the securities loaned or in gaining access to the collateral. At June 30, 2003,
the value of the securities loaned amounted to $15,511,437. The loans were
collateralized with cash of $16,321,962, which the Portfolio invested in the
State Street Navigator Securities Lending Prime Portfolio (the "Prime
Portfolio"), an affiliated investment company.
19
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
3. SECURITIES TRANSACTIONS
For the period ended June 30, 2003, purchases and sales of investment
securities, excluding short-term investments and futures contracts, aggregated
to $21,488,964 and $20,419,339, respectively.
At June 30, 2003, the cost of investments on a book basis was $108,041,453. The
aggregate gross unrealized appreciation and gross unrealized depreciation was
$5,900,488 and $8,115,504, respectively, for all securities as computed on a
book basis.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA"), a subsidiary of State Street Corp. and an affiliate
of State Street, under which SSgA 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'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 and audit expenses), State Street receives a
unitary fee, calculated daily, at the annual rate of 0.15% of the Portfolio's
average daily net assets.
Certain investments made by the Portfolio represent securities affiliated with
State Street and SSgA. Investments made with cash collateral received from
securities loaned were used to purchase shares of the Prime Portfolio, which is
offered by State Street and advised by SSgA. The market value of this investment
at June 30, 2003 is listed in the Portfolio of Investments.
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2003
(UNAUDITED)
STATE STREET EQUITY 500 INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
[LINE GRAPH]
State Street Equity 500 Index Portfolio * S&P 500 Index ** (b)
----------------------------------------- --------------------
3/1/2000 10,000 10,000
6/30/2000 10,683 10,686
12/31/2000 9,759 9,755
6/30/2001 9,090 9,102
12/31/2001 8,587 8,597
6/30/2002 7,388 7,395
12/31/2002 6,621 6,630
6/30/2003 7,399 7,414
INVESTMENT PERFORMANCE (A)
For the Period Ended June 30, 2003
Total Return
Total Return Total Return Average Annualized Since
Six Months Ended One Year Ended Commencement of Operations
June 30, 2003 June 30, 2003 (March 1, 2000)
------------- ------------- ---------------
State Street Equity 500
Index Portfolio 11.75% (c) 0.17% -8.64%
S&P 500 Index (b) 11.76% (c) 0.25% -8.59%
(a) Total returns and performance graph information represent past performance
and are not indicative of future results. Investment return and principal
value of an investment will fluctuate so that a partner's share, when
redeemed, may be worth more or less than its original cost. The graph and
table above do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares. Growth of
$10,000 and performance for periods ended June 30, 2003 are unaudited.
(b) The Standard & Poor's 500 Composite Stock Price Index is an unmanaged
capitalization-weighted index of 500 widely held stocks recognized by
investors to be representative of the stock market in general.
(c) Not annualized.
1
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2003 (UNAUDITED)
MARKET
VALUE
SHARES (000)
------ -----
COMMON STOCKS - 95.7%
CONSUMER DISCRETIONARY - 10.6%
American Greetings Corp. Class A 14,414 $ 283
AOL Time Warner, Inc. 1,085,147 17,460
AutoNation, Inc. (a) 68,200 1,072
AutoZone, Inc. (a) 21,587 1,640
Bed Bath & Beyond, Inc. (a) 71,714 2,783
Best Buy Co. (a) 77,721 3,414
Big Lots, Inc. (a) 25,438 383
Black & Decker Corp. 18,233 792
Brunswick Corp. 21,529 539
Carnival Corp. 151,419 4,923
Centex Corp. 15,788 1,228
Circuit City Stores-Circuit City Group 46,839 412
Clear Channel Communications, Inc. (a) 148,165 6,281
Comcast Corp. (a) 542,667 16,378
Cooper Tire & Rubber Co. 16,437 289
Dana Corp. 33,349 386
Darden Restaurants, Inc. 40,010 759
Delphi Corp. 130,467 1,126
Dillard's, Inc. Class A 19,253 259
Dollar General Corp. 81,615 1,490
Dow Jones & Co., Inc. 19,426 836
Eastman Kodak Co. 67,837 1,855
eBay, Inc. (a) 76,580 7,978
Family Dollar Stores, Inc. 42,568 1,624
Federated Department Stores, Inc. 44,676 1,646
Ford Motor Co. 439,955 4,835
Fortune Brands, Inc. 35,466 1,851
Gannett Co., Inc. 64,838 4,980
Gap, Inc. 214,030 4,015
General Motors Corp. 134,273 4,834
Genuine Parts Co. 43,093 1,379
Goodyear Tire & Rubber Co. 37,442 197
Harley-Davidson, Inc. 73,338 2,923
Harrah's Entertainment, Inc. (a) 27,933 1,124
Hasbro, Inc. 41,787 731
Hilton Hotels Corp. 87,443 1,118
Home Depot, Inc. 554,357 18,360
International Game Technology (a) 20,588 2,107
Interpublic Group Cos., Inc. 96,577 1,292
JC Penney & Co., Inc. 63,088 1,063
Johnson Controls, Inc. 20,998 1,797
Jones Apparel Group, Inc. (a) 29,279 857
KB HOME 11,631 721
Knight-Ridder, Inc. 20,191 1,392
Kohl's Corp. (a) 81,410 4,183
Leggett & Platt, Inc. 46,154 946
Limited Brands 124,578 1,931
Liz Claiborne, Inc. 26,641 939
Lowe's Cos., Inc. 188,923 8,114
Marriot International, Inc. Class A 57,339 2,203
Mattel, Inc. 106,745 2,020
May Department Stores Co. 69,167 1,540
Maytag Corp. 17,129 418
McDonald's Corp. 307,053 6,774
McGraw-Hill, Inc. 46,413 2,878
Meredith Corp. 11,147 490
New York Times Co. Class A 36,145 1,645
Newell Rubbermaid, Inc. 64,821 1,815
NIKE, Inc. Class B 64,013 3,424
Nordstrom, Inc. 30,138 588
Office Depot, Inc. (a) 74,470 1,081
Omnicom Group, Inc. 45,017 3,228
Pulte Homes, Inc. 14,718 908
Radioshack Corp. 39,053 1,027
Reebok International, Ltd. (a) 13,071 440
Sears Roebuck & Co. 75,354 2,535
Sherwin-Williams Co. 35,070 943
Snap-On, Inc. 12,948 376
Stanley Works 20,532 567
Staples, Inc. (a) 117,450 2,155
Starbucks Corp. (a) 94,626 2,320
Starwood Hotels & Resorts Worldwide, Inc. Class B 49,012 1,401
Target Corp. 219,857 8,319
Tiffany & Co. 36,268 1,185
TJX Cos., Inc. 125,013 2,355
Toys "R" Us, Inc. (a) 51,369 623
Tribune Co. 73,755 3,562
Tupperware Corp. 13,036 187
Univision Communications, Inc. Class A (a) 54,918 1,670
V.F. Corp. 25,188 858
Viacom, Inc. Class B (a) 424,789 18,546
Visteon Corp. 29,453 202
Walt Disney Co. 493,673 9,750
Wendy's International, Inc. 26,767 775
Whirlpool Corp. 17,066 1,087
Yum! Brands, Inc. (a) 72,522 2,144
---------
239,564
---------
CONSUMER STAPLES - 11.2%
Adolph Coors Co. Class B 8,444 414
Alberto Culver Co. Class B 13,639 697
Albertson's, Inc. 92,013 1,767
Altria Group, Inc. 488,564 22,200
Anheuser-Busch Cos., Inc. 201,367 10,280
Archer-Daniels-Midland Co. 156,867 2,019
Avon Products, Inc. 56,374 3,506
Brown-Forman Corp. Class B 14,141 1,112
Campbell Soup Co. 98,283 2,408
Clorox Co. 53,710 2,291
Coca-Cola Co. 594,335 27,583
Coca-Cola Enterprises, Inc. 109,100 1,980
Colgate-Palmolive Co. 130,235 7,547
ConAgra Foods, Inc. 130,846 3,088
Costco Wholesale Corp. (a) 110,151 4,032
CVS Corp. 94,092 2,637
General Mills, Inc. 89,164 4,227
Gillette Co. 246,444 7,852
2
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
VALUE
SHARES (000)
------ -----
CONSUMER STAPLES - (CONTINUED)
H.J. Heinz Co. 84,220 $ 2,778
Hershey Foods Corp. 32,904 2,292
Kellogg Co. 98,829 3,397
Kimberly-Clark Corp. 123,164 6,422
Kroger Co. (a) 186,122 3,105
McCormick & Co., Inc. 32,700 889
Pepsi Bottling Group, Inc. 69,153 1,384
PepsiCo, Inc. 416,610 18,539
Procter & Gamble Co. 312,411 27,861
R.J. Reynolds Tobacco Holdings, Inc. 20,840 775
Safeway, Inc. (a) 105,693 2,162
Sara Lee Corp. 189,317 3,561
SuperValu, Inc. 32,260 688
SYSCO Corp. 156,681 4,707
UST Corp. 41,647 1,459
Wal-Mart Stores, Inc. 1,056,628 56,709
Walgreen Co. 248,010 7,465
Winn-Dixie Stores, Inc. 31,710 390
Wrigley Wm., Jr. Co. 54,616 3,071
---------
253,294
---------
ENERGY - 5.5%
Amerada Hess Corp. 22,302 1,097
Anadarko Petroleum Corp. 60,554 2,693
Apache Corp. 38,265 2,489
Ashland, Inc. 15,580 478
Baker Hughes, Inc. 80,080 2,688
BJ Services Co. (a) 38,855 1,452
Burlington Resources, Inc. 48,928 2,645
ChevronTexaco Corp. 257,647 18,602
Conocophillips 163,641 8,967
Devon Energy Corp. 55,861 2,983
EOG Resources, Inc. 27,384 1,146
ExxonMobil Corp. 1,611,702 57,876
Halliburton Co. 104,586 2,405
Kerr-McGee Corp. 23,736 1,063
Marathon Oil Corp. 76,734 2,022
Nabors Industries, Ltd. (a) 35,515 1,405
Noble Corp. (a) 31,623 1,085
Occidental Petroleum Corp. 92,123 3,091
Rowan Cos., Inc. 21,239 476
Schlumberger, Ltd. 140,507 6,684
Sunoco, Inc. 19,228 726
Transocean, Inc. 75,995 1,670
Unocal Corp. 63,488 1,821
---------
125,564
---------
FINANCIALS - 19.6%
ACE, Ltd. 62,955 2,159
AFLAC, Inc. 124,716 3,835
Allstate Corp. 169,807 6,054
Ambac Financial Group, Inc. 25,047 1,659
American Express Co. 312,973 13,085
American International Group, Inc. 628,583 34,685
AmSouth Bancorp 86,919 1,898
AON Corp. 76,223 1,835
Apartment Investment & Management Co. Class A 21,900 758
Bank of America Corp. 362,178 28,623
Bank of New York Co., Inc. 186,079 5,350
Bank One Corp. 275,662 10,249
BB&T Corp. 113,818 3,904
Bear Stearns Cos., Inc. 23,799 1,724
Capital One Financial Corp. 54,615 2,686
Charles Schwab Corp. 327,493 3,304
Charter One Financial, Inc. 55,117 1,719
Chubb Corp. 44,639 2,678
Cincinnati Financial Corp. 39,667 1,471
Citigroup, Inc. 1,242,171 53,165
Comerica, Inc. 42,832 1,992
Countrywide Credit Industries, Inc. 30,972 2,155
Equity Office Properties Trust 100,441 2,713
Equity Residential 65,907 1,710
Fannie Mae 236,429 15,945
Federal Home Loan Mortgage Corp. 165,846 8,420
Federated Investors, Inc. Class B 24,900 683
Fifth Third Bancorp 138,300 7,930
First Tennessee National Corp. 31,017 1,362
FleetBoston Financial Corp. 254,085 7,549
Franklin Resources, Inc. 62,944 2,459
Golden West Financial Corp. 37,411 2,993
Goldman Sachs Group, Inc. 114,100 9,556
Hartford Financial Services Group, Inc. 66,988 3,374
Huntington Bancshares, Inc. 56,454 1,102
J.P. Morgan Chase & Co. 490,114 16,752
Janus Capital Group, Inc. 57,319 940
Jefferson-Pilot Corp. 34,460 1,429
John Hancock Financial Services, Inc. 68,478 2,104
KeyCorp 101,009 2,553
Lehman Brothers Holdings, Inc. 58,618 3,897
Lincoln National Corp. 42,431 1,512
Loews Corp. 44,414 2,100
Marsh & McLennan Cos., Inc. 128,536 6,564
Marshall & Ilsley Corp. 54,692 1,673
MBIA, Inc. 34,758 1,695
MBNA Corp. 305,902 6,375
Mellon Financial Corp. 105,123 2,917
Merrill Lynch & Co., Inc. 224,127 10,462
MetLife, Inc. 183,407 5,194
MGIC Investment Corp. 24,062 1,122
Moody's Corp. 35,965 1,896
Morgan Stanley 261,643 11,185
National City Corp. 146,591 4,795
North Fork Bancorp, Inc. 37,990 1,294
Northern Trust Corp. 54,140 2,263
Plum Creek Timber Co., Inc. 46,180 1,198
PNC Financial Services Group, Inc. 68,847 3,360
Principal Financial Group, Inc. 78,950 2,546
Progressive Corp. 52,747 3,856
Providian Financial Corp. (a) 69,973 648
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
VALUE
SHARES (000)
------ -----
FINANCIALS - (CONTINUED)
Prudential Financial, Inc. 135,700 $ 4,566
Regions Financial Corp. 52,489 1,773
SAFECO Corp. 33,364 1,177
Simon Property Group, Inc. 44,563 1,739
SLM Corp. 111,342 4,361
SouthTrust Corp. 82,779 2,252
St. Paul Cos., Inc. 55,428 2,024
State Street Corp. (Note 4) 80,925 3,188
SunTrust Banks, Inc. 68,272 4,051
Synovus Financial Corp. 71,104 1,529
T. Rowe Price Group, Inc. 31,490 1,189
Torchmark Corp. 27,576 1,027
Travelers Property Casualty Corp. Class B 243,056 3,833
U.S. Bancorp 463,261 11,350
Union Planters Corp. 47,944 1,488
UnumProvident Corp. 70,435 945
Wachovia Corp. 324,626 12,972
Washington Mutual, Inc. 224,513 9,272
Wells Fargo Co. 404,211 20,372
XL Capital, Ltd. Class A 32,532 2,700
Zions Bancorp 23,319 1,180
---------
444,102
---------
HEALTH CARE - 14.2%
Abbott Laboratories 377,267 16,509
Aetna, Inc. 36,632 2,205
Allergan, Inc. 31,691 2,443
AmerisourceBergen Corp. 27,016 1,874
Amgen, Inc. (a) 303,875 20,354
Anthem, Inc. (a) 33,900 2,615
Applera Corp. - Applied Biosystems Group 52,567 1,000
Bausch & Lomb, Inc. 11,925 447
Baxter International, Inc. 144,526 3,758
Becton, Dickinson & Co. 62,029 2,410
Biogen, Inc. (a) 35,094 1,334
Biomet, Inc. 61,841 1,772
Boston Scientific Corp. (a) 98,948 6,046
Bristol-Myers Squibb Co. 467,717 12,699
C.R. Bard, Inc. 12,397 884
Cardinal Health, Inc. 108,266 6,962
Chiron Corp. (a) 45,744 2,000
CIGNA Corp. 33,989 1,595
Eli Lilly & Co. 271,097 18,698
Forest Laboratories, Inc. (a) 87,706 4,802
Genzyme Corp. (a) 52,305 2,186
Guidant Corp. 73,464 3,261
HCA, Inc. 123,759 3,965
Health Management Associates, Inc. Class A 55,698 1,028
Humana, Inc. (a) 38,225 577
IMS Health, Inc. 59,681 1,074
Johnson & Johnson 715,746 37,004
King Pharmaceuticals, Inc. (a) 56,832 839
Manor Care, Inc. (a) 23,151 579
McKesson Corp. 69,231 2,474
MedImmune, Inc. (a) 59,965 2,181
Medtronic, Inc. 294,402 14,122
Merck & Co., Inc. 541,203 32,770
Millipore Corp. 11,728 520
Pfizer, Inc. 1,905,074 65,058
Quest Diagnostics, Inc. (a) 25,200 1,608
Quintiles Transnational Corp. (a) 26,218 372
Schering-Plough Corp. 354,424 6,592
St. Jude Medical, Inc. (a) 43,197 2,484
Stryker Corp. 48,004 3,330
Tenet Healthcare Corp. (a) 111,809 1,303
UnitedHealth Group, Inc. 142,984 7,185
Watson Pharmaceuticals, Inc. (a) 27,003 1,090
WellPoint Health Networks, Inc. (a) 36,089 3,042
Wyeth 319,931 14,573
Zimmer Holdings, Inc. (a) 47,920 2,159
---------
321,783
---------
INDUSTRIALS - 10.0%
3M Co. 94,342 12,168
Allied Waste Industries, Inc. (a) 55,167 554
American Power Conversion Corp. (a) 47,767 745
American Standard Cos., Inc. (a) 17,907 1,324
Apollo Group, Inc. (a) 41,775 2,580
Avery Dennison Corp. 26,670 1,339
Boeing Co. 202,845 6,962
Burlington Northern Santa Fe Corp. 91,250 2,595
Caterpillar, Inc. 83,085 4,625
Cendant Corp. (a) 247,222 4,529
Cintas Corp. 41,582 1,474
Cooper Industries, Ltd. 23,421 967
Crane Co. 13,402 303
CSX Corp. 51,524 1,550
Cummins, Inc. 9,173 329
Danaher Corp. 37,013 2,519
Deere & Co. 58,441 2,671
Delta Air Lines, Inc. 27,793 408
Deluxe Corp. 15,220 682
Dover Corp. 47,813 1,433
Eaton Corp. 17,439 1,371
Emerson Electric Co. 100,835 5,153
Equifax, Inc. 32,469 844
FedEx Corp. 71,546 4,438
Fluor Corp. 20,406 687
General Dynamics Corp. 48,706 3,531
General Electric Co. 2,411,623 69,165
Goodrich Co. 26,755 562
H&R Block, Inc. 42,910 1,856
Honeywell International, Inc. 207,042 5,559
Illinois Tool Works, Inc. 73,664 4,851
Ingersoll-Rand Co. Class A 39,950 1,890
ITT Industries, Inc. 22,102 1,447
Lockheed Martin Corp. 109,171 5,193
Masco Corp. 114,974 2,742
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
VALUE
SHARES (000)
------ -----
INDUSTRIALS - (CONTINUED)
McDermott International, Inc. (a) 13,841 $ 88
Monster Worldwide, Inc. (a) 26,292 519
Navistar International Corp. (a) 17,880 583
Norfolk Southern Corp. 94,361 1,812
Northrop Grumman Corp. 44,039 3,800
PACCAR, Inc. 28,247 1,904
Pall Corp. 31,474 708
Parker-Hannifin Corp. 29,223 1,227
Pitney Bowes, Inc. 56,639 2,176
Power-One, Inc. (a) 17,400 124
R.R. Donnelley & Sons Co. 26,460 692
Raytheon Co. 98,914 3,248
Robert Half International, Inc. (a) 39,414 747
Rockwell Automation, Inc. 43,920 1,047
Rockwell Collins, Inc. 41,219 1,015
Ryder Systems, Inc. 15,680 402
Southwest Airlines Co. 185,540 3,191
Textron, Inc. 31,875 1,244
Thomas & Betts Corp. (a) 13,042 188
Tyco International, Ltd. 482,748 9,163
Union Pacific Corp. 61,440 3,565
United Parcel Service, Inc. Class B 271,200 17,275
United Technologies Corp. 112,557 7,972
W.W. Grainger, Inc. 21,309 996
Waste Management, Inc. 144,179 3,473
---------
226,205
---------
INFORMATION TECHNOLOGY - 15.5%
ADC Telecommunications, Inc. (a) 175,727 409
Adobe Systems, Inc. 56,671 1,817
Advanced Micro Devices, Inc. (a) 77,484 497
Agilent Technologies, Inc. (a) 113,727 2,223
Altera Corp. (a) 94,278 1,546
Analog Devices, Inc. (a) 88,161 3,070
Andrew Corp. (a) 22,127 204
Apple Computer, Inc. (a) 86,246 1,649
Applied Materials, Inc. (a) 399,961 6,343
Applied Micro Circuits Corp. (a) 67,542 409
Autodesk, Inc. 24,415 395
Automatic Data Processing, Inc. 143,638 4,864
Avaya, Inc. (a) 89,315 577
BMC Software, Inc. (a) 54,836 895
Broadcom Corp. (a) 67,546 1,683
CIENA Corp. (a) 113,688 590
Cisco Systems, Inc. (a) 1,693,559 28,096
Citrix Systems, Inc. (a) 41,653 848
Computer Associates International, Inc. 139,444 3,107
Computer Sciences Corp. (a) 44,982 1,715
Compuware Corp. (a) 85,557 494
Comverse Technology, Inc. (a) 45,438 683
Concord EFS, Inc. (a) 121,140 1,783
Convergys Corp. (a) 39,505 632
Corning, Inc. (a) 305,485 2,258
Dell Computer Corp. (a) 622,091 19,882
Electronic Arts, Inc. (a) 34,650 2,564
Electronic Data Systems Corp. 116,186 2,492
EMC Corp. (a) 527,041 5,518
First Data Corp. 182,002 7,542
Fiserv, Inc. (a) 45,547 1,622
Gateway, Inc. (a) 72,665 265
Hewlett-Packard Co. 736,519 15,688
Intel Corp. 1,576,603 32,768
International Business Machines Corp. 416,918 34,396
Intuit, Inc. (a) 49,851 2,220
Jabil Circuit, Inc. (a) 49,813 1,101
JDS Uniphase Corp. (a) 345,119 1,211
KLA Tencor Corp. (a) 45,464 2,114
Lexmark International Group, Inc. Class A (a) 30,802 2,180
Linear Technology Corp. 74,975 2,415
LSI Logic Corp. (a) 84,235 596
Lucent Technologies, Inc. 991,072 2,012
Maxim Integrated Products, Inc. 78,356 2,679
Mercury Interactive Corp. (a) 21,548 832
Micron Technology, Inc. (a) 145,732 1,695
Microsoft Corp. 2,590,604 66,345
Molex, Inc. 46,210 1,247
Motorola, Inc. 558,798 5,269
National Semiconductor Corp. (a) 45,609 899
NCR Corp. (a) 21,792 558
Network Appliance, Inc. (a) 82,567 1,338
Novell, Inc. (a) 81,042 250
Novellus Systems, Inc. (a) 36,169 1,325
NVIDIA Corp. (a) 36,951 850
Oracle Corp. (a) 1,271,438 15,283
Parametric Technology Corp. (a) 59,341 181
Paychex, Inc. 90,127 2,642
PeopleSoft, Inc. (a) 74,923 1,318
PerkinElmer, Inc. 29,357 405
PMC-Sierra, Inc. (a) 37,024 434
QLogic Corp. (a) 22,845 1,104
QUALCOMM, Inc. 190,439 6,808
Sabre Holdings Corp. Class A 33,324 821
Sanmina-SCI Corp. (a) 118,958 751
Scientific-Atlanta, Inc. 36,768 877
Siebel Systems, Inc. (a) 117,158 1,118
Solectron Corp. (a) 200,214 749
Sun Microsystems, Inc. (a) 774,388 3,562
SunGard Data Systems, Inc. (a) 67,750 1,755
Symantec Corp. (a) 36,300 1,592
Symbol Technologies, Inc. 55,585 723
Tektronix, Inc. (a) 21,029 454
Tellabs, Inc. (a) 99,475 654
Teradyne, Inc. (a) 44,592 772
Texas Instruments, Inc. 418,703 7,369
Thermo Electron Corp. (a) 39,029 820
Unisys Corp. (a) 76,279 937
VERITAS Software Corp. (a) 99,983 2,866
Waters Corp. (a) 29,757 867
Xerox Corp. (a) 188,542 1,997
Xilinx, Inc. (a) 82,704 2,093
Yahoo!, Inc. (a) 145,593 4,770
---------
350,382
---------
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
MARKET
VALUE
SHARES (000)
------ -----
MATERIALS - 2.5%
Air Products & Chemicals, Inc. 54,389 $ 2,263
Alcoa, Inc. 202,446 5,162
Allegheny Technologies, Inc. 17,729 117
Ball Corp. 13,385 609
Bemis Co., Inc. 11,864 555
Boise Cascade Corp. 12,419 297
Dow Chemical Co. 220,899 6,839
E.I. Du Pont de Nemours & Co. 240,439 10,012
Eastman Chemical Co. 17,362 550
Ecolab, Inc. 63,726 1,631
Engelhard Corp. 29,430 729
Freeport-McMoRan Copper & Gold, Inc. Class B 35,114 860
Georgia-Pacific Group 58,140 1,102
Great Lakes Chemical Corp. 10,803 220
Hercules, Inc. (a) 24,298 241
International Flavors & Fragrances, Inc. 21,504 687
International Paper Co. 115,656 4,132
Louisiana Pacific Corp. (a) 23,459 253
MeadWestvaco Corp. 49,588 1,225
Monsanto Co. 60,946 1,319
Newmont Mining Corp. 97,942 3,179
Nucor Corp. 20,202 987
Pactiv Corp. (a) 35,864 707
Phelps Dodge Corp. (a) 20,605 790
PPG Industries, Inc. 41,090 2,085
Praxair, Inc. 38,410 2,308
Rohm & Haas Co. 53,796 1,669
Sealed Air Corp. (a) 21,136 1,007
Sigma Aldrich Corp. 17,193 932
Temple-Inland, Inc. 14,314 614
United States Steel Corp. 22,902 375
Vulcan Materials Co. 26,296 975
Weyerhaeuser Co. 52,424 2,831
Worthington Industries, Inc. 19,229 258
---------
57,520
---------
TELECOMMUNICATION SERVICES - 3.7%
ALLTEL Corp. 75,298 3,631
AT&T Corp. 187,747 3,614
AT&T Wireless Services, Inc. (a) 653,638 5,366
BellSouth Corp. 445,828 11,873
CenturyTel, Inc. 33,608 1,171
Citizens Communications Co. (a) 68,377 881
Nextel Communications, Inc. Class A (a) 248,236 4,488
Qwest Communications International, Inc. (a) 402,622 1,925
SBC Communications, Inc. 800,704 20,458
Sprint Corp. (Fon Group) 218,284 3,143
Sprint Corp. (PCS Group) (a) 246,178 1,416
Verizon Communications, Inc. 663,598 26,179
---------
84,145
---------
UTILITIES - 2.9%
AES Corp. (a) 147,814 939
Allegheny Energy, Inc. 28,099 237
Ameren Corp. 38,242 1,686
American Electric Power Co., Inc. 95,354 2,844
Calpine Corp. (a) 91,952 607
CenterPoint Energy, Inc. 68,593 559
Cinergy Corp. 42,458 1,562
CMS Energy Corp. 29,705 241
Consolidated Edison, Inc. 53,922 2,334
Constellation Energy Group, Inc. 38,803 1,331
Dominion Resources, Inc. 74,987 4,819
DTE Energy Co. 41,046 1,586
Duke Energy Corp. 216,077 4,311
Dynegy, Inc. Class A 82,030 344
Edison International (a) 80,762 1,327
El Paso Corp. 153,494 1,240
Entergy Corp. 54,143 2,858
Exelon Corp. 77,989 4,664
FirstEnergy Corp. 71,312 2,742
FPL Group, Inc. 44,489 2,974
KeySpan Corp. 38,606 1,369
Kinder Morgan, Inc. 29,838 1,631
Mirant Corp. (a) 95,088 276
NICOR, Inc. 10,113 375
NiSource, Inc. 65,367 1,242
Peoples Energy Corp. 7,631 327
PG&E Corp. (a) 100,623 2,128
Pinnacle West Capital Corp. 21,081 789
PPL Corp. 40,668 1,749
Progress Energy, Inc. 58,008 2,547
Public Service Enterprise Group, Inc. 54,522 2,304
Sempra Energy 50,589 1,443
Southern Co. 174,158 5,427
TECO Energy, Inc. 41,176 494
TXU Corp. 75,948 1,705
Williams Cos., Inc. 124,937 987
Xcel Energy, Inc. 93,397 1,405
---------
65,403
---------
TOTAL COMMON STOCKS
(cost $2,143,116,851) 2,167,962
---------
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
PAR MARKET
AMOUNT VALUE
(000) (000)
----- -----
GOVERNMENT AND AGENCY SECURITIES - 0.3%
United States Treasury Bills 0.90% due 09/11/03 (b) (c) $ 5,910 $ 5,900
---------
TOTAL GOVERNMENT AND AGENCY SECURITIES
(cost $5,899,362) 5,900
---------
SHARES
(000)
-----
SHORT TERM INVESTMENTS - 6.0%
AIM Short Term Investment Prime Portfolio 81,577 81,577
Federated Money Market Obligations Trust 6,560 6,560
State Street Navigator Securities Lending Prime
Portfolio (d) (Note 4) 47,883 47,883
----------
TOTAL SHORT TERM INVESTMENTS
(cost $136,020,299) 136,020
----------
TOTAL INVESTMENTS - 102.0%
(identified cost $2,285,036,512) $2,309,882
OTHER ASSETS AND LIABILITIES
NET - (2.0)% (45,214)
----------
NET ASSETS - 100% $2,264,668
==========
(a) Non-income producing security.
(b) Held as collateral in connection with futures contracts purchased by the
Portfolio.
(c) Rate represents annualized yield at date of purchase.
(d) Security represents investment made with cash collateral received from
securities loaned.
SCHEDULE OF FUTURES CONTRACTS
Number Unrealized
of Depreciation
Contracts (000)
--------- -----
S&P 500 Financial Futures Contracts (long) Expiration
date 09/2003 392 $ 2,358
---------
Total unrealized depreciation on open futures contracts
purchased $ 2,358
=========
See Notes to Financial Statements.
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2003 (UNAUDITED)
(Amounts in thousands)
ASSETS
Unaffiliated investments at market (identified cost $2,234,463) - including
$46,643 of securities loaned (Note 2) $2,258,811
Affiliated investments at market (identified cost $ 50,574) (Note 4) 51,071
Receivables:
Dividends and interest 2,753
----------
Total assets 2,312,635
LIABILITIES
Payables:
Due upon return of securities loaned 47,883
Management fees (Note 4) 84
----------
Total liabilities 47,967
----------
NET ASSETS $2,264,668
==========
COMPOSITION OF NET ASSETS
Paid-in capital $2,242,181
Net unrealized appreciation on investments
and futures contracts 22,487
----------
NET ASSETS $2,264,668
==========
See Notes to Financial Statements.
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2003 (UNAUDITED)
(Amounts in thousands)
INVESTMENT INCOME
Dividends $ 17,652
Interest 428
Security lending income 47
---------
Total Investment Income 18,127
EXPENSES
Management fees (Note 4) $ 460
---------
Total Expenses 460
---------
NET INVESTMENT INCOME 17,667
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments (87,027)
Futures contracts 10,399
---------
(76,628)
Net change in unrealized appreciation (depreciation) on:
Investments 297,207*
Futures contracts (1,542)
---------
295,665
---------
Net realized and unrealized gain 219,037
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 236,704
=========
* Excludes unrealized depreciation of $1,680 on contributed securities.
See Notes to Financial Statements.
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(Amounts in thousands)
For the
Six Months Ended For the
June 30, 2003 Year Ended
(Unaudited) December 31, 2002
----------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 17,667 $ 34,956
Net realized loss on investments, futures contracts,
and withdrawals in-kind (76,628) (70,428)
Net change in unrealized appreciation (depreciation) 295,665 (532,213)
----------- -----------
Net increase (decrease) in net assets resulting from operations 236,704 (567,685)
----------- -----------
CAPITAL TRANSACTIONS
Proceeds from contributions 308,450 557,561
Contributions in-kind 19,659 41,343
Fair value of withdrawals (292,693) (520,988)
Withdrawals in-kind -- (209,981)
----------- -----------
Net increase (decrease) in net assets from capital transactions 35,416 (132,065)
----------- -----------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS 272,120 (699,750)
NET ASSETS
Beginning of period 1,992,548 2,692,298
----------- -----------
End of period $ 2,264,668 $ 1,992,548
=========== ===========
See Notes to Financial Statements.
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
For the
Six Months Ended Year Year Period
6/30/03 Ended Ended Ended
(Unaudited) 12/31/02 12/31/01 12/31/00*
----------- -------- -------- ---------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in thousands) $ 2,264,668 $ 1,992,548 $ 2,692,298 $ 2,957,271
Ratios to average net assets:
Operating expenses 0.045%+ 0.045% 0.045% 0.045%+
Net investment income 1.73%+ 1.57% 1.34% 1.14%+
Portfolio turnover rate** 9%++ 13% 14% 18%++
Total return (a) 11.75%++ (22.16%) (11.94%) (2.41%)++
- ----------
* The Portfolio commenced operations on March 1, 2000.
** The Portfolio turnover rate excludes in-kind security transactions.
+ Annualized.
++ Not Annualized.
(a) Results represent past performance and are not indicative of future
results.
See Notes to Financial Statements.
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STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2003 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is a registered and diversified
open-end investment company, as defined in the Investment Company Act of 1940,
as amended (the "1940 Act"), that was organized as a business trust under the
laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises
seven 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 MSCI(R) EAFE(R) Index Portfolio, the State Street
Aggregate Bond Index Portfolio, the State Street 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, 2003, only the Portfolio and State
Street MSCI(R) EAFE(R) Index Portfolio had commenced operations. Pursuant to the
Trust's Declaration of Trust, the Board of Trustees may issue an unlimited
number of non-transferable beneficial interests.
The Portfolio's investment objective is to replicate, as closely as possible,
before expenses, the performance of the Standard & Poor's 500 Composite Stock
Price Index (the "S&P 500 Index"). The Portfolio uses a passive management
strategy designed to track the performance of the S&P 500 Index. The S&P 500
Index is a well-known, unmanaged, stock index that includes common stocks of 500
companies from several industrial sectors representing a significant portion of
the market value of all stocks publicly traded in the United States.
2. SIGNIFICANT ACCOUNTING POLICIES
The Portfolio's financial statements are prepared in accordance with generally
accepted accounting principles that require the use of management estimates.
Actual results could differ from those estimates. 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.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on a trade date basis. Dividend income is recorded on the ex-dividend
date. Interest income is recorded daily on the accrual basis and includes
amortization of premium and accretion of discount on investments. Realized gains
and losses from securities transactions are recorded on the basis of identified
cost. Expenses are accrued daily based on average daily net assets.
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.
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STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
JUNE 30, 2003 (UNAUDITED)
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the S&P 500 Index. Upon entering into a
futures contract, the Portfolio is required to deposit with the broker cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
depending on the daily fluctuations in the value of the underlying security or
index, and are recorded for financial statement purposes as unrealized gains or
losses by the Portfolio. 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 (the "SEC") 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.
SECURITIES LENDING: The Trust, on behalf of the Portfolio, entered into a
Securities Lending Agreement (the "Agreement") with State Street Bank and Trust
Company ("State Street"). Under the terms of the Agreement, the Portfolio may
lend portfolio securities to qualified borrowers in order to earn additional
income. The Agreement requires that loans are secured at all times by cash, U.S.
Government securities or irrevocable lines of credit in an amount at least equal
to 102% of the market value of domestic securities loaned (105% in the case of
foreign securities), plus accrued interest and dividends, determined on a daily
basis. Proceeds collected by State Street on investment of cash collateral or
any fee income is allocated as follows: 75% to the Portfolio and 25% to State
Street. For the six months ended June 30, 2003, the earned income for the
Portfolio and State Street was $46,723 and $15,574, respectively.
The primary risk associated with securities lending is that if the borrower
defaults on its obligation to return the securities loaned because of insolvency
or other reasons, the Portfolio could experience delays and costs in recovering
the securities loaned or in gaining access to the collateral. At June 30, 2003,
the value of the securities loaned amounted to $46,642,751. The loans were
collateralized with cash of $47,883,163, which the Portfolio then invested in
the State Street Navigator Securities Lending Prime Portfolio (the "Prime
Portfolio"), an affiliated investment company.
3. SECURITIES TRANSACTIONS
For the period ended June 30, 2003, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
contributions and withdrawals, aggregated to $191,416,948 and $ 181,101,312,
respectively. The aggregrate value of in-kind contributions and withdrawals were
$19,659,189 and $0, respectively.
At June 30, 2003, the cost of investments on a book basis was $2,285,036,512.
The aggregate gross unrealized appreciation and gross unrealized depreciation
was $332,790,014 and $307,944,587, respectively, for all securities as computed
on a book basis.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA"), a subsidiary of State Street Corp. and an affiliate
of State Street, under which SSgA 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'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 and audit expenses), State Street receives a
unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio's
average daily net assets.
Certain investments made by the Portfolio represent securities affiliated with
State Street and SSgA. Investments made with cash collateral received from
securities loaned were used to purchase shares of the Prime Portfolio, which is
offered by State Street and advised by SSgA. Investments in State Street Corp.,
the holding company of State Street, were made according to its representative
portion of the S&P 500 Index. The market value of each of these investments at
June 30, 2003 is listed in the Portfolio of Investments.
During the period, the Portfolio had investment transactions executed through
State Street Global Markets LLC. For the period ended June 30, 2003, the
Portfolio paid brokerage commissions to State Street Global Markets LLC, of
$265,675.
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ITEM 9. CONTROLS AND PROCEDURES.
(a) Within 90 days of the filing date of this Form N-CSR, Donald A. Gignac, the
registrant's President, and Janine Cohen, the registrant's Treasurer, reviewed
the registrant's disclosure controls and procedures (the "Procedures") and
evaluated their effectiveness. Based on their review, Mr. Gignac and Ms. Cohen
determined that the Procedures adequately ensure that information required to be
disclosed by the registrant in its periodic reports is recorded, processed,
summarized and reported within the time periods required by the Securities and
Exchange Commission's rules and regulations.
(b) There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 10. EXHIBITS
(a)(1) N/A
(a)(2) The certifications required by Rule 30a-2 of the Investment Company Act
of 1940, as amended are attached hereto.
(b) The certifications required by Rule 30a-2(b) of the Investment Company Act
of 1940, as amended and Section 906 of the Sarbanes-Oxley Act of 2002 are
attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, as amended, the registrant has duly caused this
report to be signed on its behalf by the undersigned, thereunto duly authorized.
STATE STREET MASTER FUNDS
By: /s/ Donald A. Gignac
------------------------
Donald A. Gignac
President
By: /s/ Janine Cohen
------------------------
Janine Cohen
Treasurer
Date: September 8, 2003