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 Service) Copy to:
Julie Tedesco, Vice President and Senior Counsel Timothy W. Diggins, Esq.
State Street Bank and Trust Company Ropes & Gray
One Federal Street, 9th Floor One International Place
Boston, Massachusetts 02110 Boston, Massachusetts 02110-2624
Registrant's telephone number, including area code: (617) 662-3968
Date of fiscal year end: December 31
Date of reporting period: December 31, 2004
ITEM 1: SHAREHOLDER REPORT
STATE STREET EQUITY 500 INDEX PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2004
STATE STREET EQUITY 500 INDEX PORTFOLIO
MANAGEMENT DISCUSSION OF FUND PERFORMANCE AND ANALYSIS
THE PORTFOLIO
The State Street Equity 500 Index Portfolio's (the "Portfolio") investment
objective is to replicate as closely as possible, before expenses, the
performance of the Standard & Poor's 500 Composite Stock Price Index (the "S&P
500(R) Index"). The Portfolio uses a passive management strategy designed to
track the performance of the S&P 500(R) Index. The S&P 500(R) Index is a
well-known unmanaged stock market 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.
For the year ended December 31, 2004, the Portfolio gained 10.86%. For the same
period, the S&P 500(R) Index gained 10.88%.
THE MARKET
The S&P 500(R) Index finished strong for the year, ending 2004 with a solid
10.88% gain. After a rocky third quarter, equities dramatically picked up in
October when a number of solid corporate profit reports led investors to
maintain positions in the face of a renewed surge in crude oil. In November, the
Index returned 4.1%. When the U.S. presidential election was decided quickly and
without controversy, the bulls mounted a fresh stampede to the upside. The rally
continued into December with additional gains of 3.4%. This was extremely good
news after experiencing small positive returns in the first half of the year and
a difficult market during most of the third quarter. The equity market sank in
July and August, weighted by second-quarter earnings releases that failed to
offer enough enthusiasm regarding the second half of the year, a weak July jobs
report and a sharp rise in crude oil prices.
All ten economic sectors represented in the S&P 500(R) Index posted positive
results for the year. Energy and Utilities had the highest total returns, while
Financials, Industrials and Energy were the greatest contributors to the Index's
return. Financials, Industrials, and Energy were bolstered by the respective
strengths of Bank of America Corp., General Electric Co. and ExxonMobil Corp.
During the second quarter, Bank of America Corp. benefited from its expanded
customer base resulting from its merger with FleetBoston and new focus on its
higher-margin consumer loan department. General Electric Corp. had a share
increase from an acquisition in April, and also moved from being solely a growth
stock in the Russell Indexes to mostly value, leading to increased demand from
indexers. Not surprisingly, Energy was a top performer this year due to surging
oil prices, which fueled investor optimism and brought in a total return of
31.24% for the Index.
Health Care was the weakest performing sector for the year as threats of
competition from drug imports and concerns about declining new-product pipelines
punished some of the larger companies within this segment. In late September,
Merck & Co. Inc. recalled its multi-billion dollar arthritis drug Vioxx after
research concluded that the drug doubled the risk of heart attack or stroke.
Pfizer, Inc. also trailed the overall sector after the company lowered its
revenue expectations for the quarter. Additionally, risk surrounding the
presidential election weighed heavily on drug stocks. Information Technology was
not far behind Health Care, having been the worst-performing sector of the
market during the third quarter
1
STATE STREET EQUITY 500 INDEX PORTFOLIO
MANAGEMENT DISCUSSION OF FUND PERFORMANCE AND ANALYSIS (CONTINUED)
of 2004, as measured by the S&P 500(R) Index. In general, many of the more
speculative companies in this sector fell due to lackluster domestic spending on
technology.
The top contributors to the Index's return for the 12 month period ending
December 31, 2004 were ExxonMobil Corp, General Electric Co. and Johnson &
Johnson, while Pfizer, Inc., Intel Corp. and Cisco Systems, Inc. were the
largest detractors.
The top three performing stocks in the Index for the year 2004 were Autodesk
Inc., Apple Computer Inc., and TXU Corp. The bottom three performing stocks in
the Index for the year 2004 were Winn-Dixie Stores, CIENA Corp. and PMC-Sierra
Inc.
2
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
<Caption>
PORTFOLIO COMPOSITION* DECEMBER 31, 2004
- --------------------------------------------------------------------------------
Common Stocks 97.5%
- --------------------------------------------------------------------------------
Money Market Funds 5.7
- --------------------------------------------------------------------------------
U.S. Government Securities 0.2
- --------------------------------------------------------------------------------
Liabilities less cash and other assets (3.4)
- --------------------------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* DECEMBER 31, 2004
- --------------------------------------------------------------------------------
Financials 20.1%
- --------------------------------------------------------------------------------
Information Technology 16.2
- --------------------------------------------------------------------------------
Health Care 12.2
- --------------------------------------------------------------------------------
Industrials 11.4
- --------------------------------------------------------------------------------
Consumer Discretionary 11.3
- --------------------------------------------------------------------------------
Total 71.2%
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
3
STATE STREET EQUITY 500 INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
[LINE GRAPH]
<Table>
<Caption>
STATE STREET EQUITY 500 INDEX
PORTFOLIO * S&P 500 INDEX ** (B)
----------------------------- --------------------
3/1/00 10000 10000
6/30/00 10683 10608
12/31/00 9759 9683
6/30/01 9090 9035
12/31/01 8594 8532
6/30/02 7460 7409
12/31/02 6689 6646
6/30/03 7475 7427
12/31/03 8604 8552
6/30/04 8901 8846
12/31/04 9538 9482
</Table>
- --------------------------------------------------------------------------------
INVESTMENT PERFORMANCE (A)
For the Fiscal Year Ended December 31, 2004
- --------------------------------------------------------------------------------
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------------------
Total Return
Total Return Average Annualized Since
One Year Ended Commencement of Operations
December 31, 2004 (March 1, 2000)
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
State Street Equity 500
Index Portfolio 10.86% -0.97%
S&P 500 Index(b) 10.88% -1.09%
- -----------------------------------------------------------------------------------------------------------
</Table>
(a) Total returns and performance graph information represent past performance
and are not indicative of future results, which may be lower or higher than
performance data quoted. Investment return and principal value of an
investment will fluctuate so that a partner's share, when redeemed, may be
worth more or less than its original cost. The graph and table above do not
reflect the deduction of taxes.
(b) The Standard & Poor's 500 Composite Stock Price Index is an unmanaged
capitalization-weighted index of 500 widely held stocks recognized by
investors to be representative of the stock market in general.
4
STATE STREET EQUITY 500 INDEX PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Portfolio (the
"Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2004 to December 31,
2004.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the actual return of the Portfolio, and the third
column shows the dollar amount that would have been paid by an investor
who started with $1,000 in the Portfolio. You may use the information
here, together with the amount you invested, to estimate the expenses
that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number given for the Portfolio under the heading "Expenses Paid During
Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case- because the return
used is not the Portfolio's actual return- the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended December 31, 2004
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JULY 1, 2004 DECEMBER 31, 2004 DURING PERIOD*
- -------------------------------------------------------------------------------------------------
BASED ON ACTUAL PORTFOLIO RETURN $1,000.00 $1,071.57 $0.23
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
BASED ON HYPOTHETICAL
(5% RETURN BEFORE EXPENSES) $1,000.00 $1,024.91 $0.23
- -------------------------------------------------------------------------------------------------
</Table>
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The annualized average weighted expense ratio as of
December 31, 2004 was 0.045% . The dollar amounts shown as "Expenses Paid" are
equal to the annualized average weighted expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent six-month period, then divided by the number of days in the most
recent 12-month period.
5
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
COMMON STOCKS -- 97.5%
CONSUMER DISCRETIONARY -- 11.3%
AutoNation, Inc.(a)(f) 61,900 $ 1,189
AutoZone, Inc.(a) 19,587 1,788
Bed Bath & Beyond, Inc.(a) 71,414 2,844
Best Buy Co., Inc. 76,621 4,553
Big Lots, Inc.(a) 28,738 349
Black & Decker Corp. 18,933 1,672
Brunswick Corp. 22,029 1,090
Carnival Corp. 152,619 8,795
Centex Corp. 29,076 1,732
Circuit City Stores, Inc. 48,139 753
Clear Channel Communications,
Inc. 138,965 4,654
Coach, Inc.(a) 44,400 2,504
Comcast Corp.(a)(f) 533,067 17,740
Cooper Tire & Rubber Co. 18,137 391
Dana Corp. 36,349 630
Darden Restaurants, Inc. 37,210 1,032
Delphi Corp.(f) 131,567 1,187
Dillard's, Inc. Class A(f) 19,453 523
Dollar General Corp. 77,315 1,606
Dow Jones & Co., Inc.(f) 19,326 832
Eastman Kodak Co.(f) 67,537 2,178
eBay, Inc.(a) 159,160 18,507
Family Dollar Stores, Inc. 39,668 1,239
Federated Department Stores,
Inc. 42,276 2,443
Ford Motor Co.(f) 442,155 6,473
Fortune Brands, Inc. 33,966 2,622
Gannett Co., Inc. 62,738 5,126
Gap, Inc. 212,030 4,478
General Motors Corp.(f) 136,773 5,479
Genuine Parts Co. 41,293 1,819
Goodyear Tire & Rubber
Co.(a)(f) 43,242 634
Harley-Davidson, Inc. 69,538 4,224
Harrah's Entertainment, Inc.(f) 26,433 1,768
Hasbro, Inc. 42,787 829
Hilton Hotels Corp. 91,643 2,084
Home Depot, Inc. 526,857 22,518
International Game Technology 81,152 2,790
Interpublic Group of Cos.,
Inc.(a)(f) 99,577 1,334
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
JC Penney & Co., Inc. 67,088 $ 2,777
Johnson Controls, Inc. 44,796 2,842
Jones Apparel Group, Inc. 29,379 1,074
KB HOME(f) 10,931 1,141
Knight-Ridder, Inc. 18,291 1,224
Kohl's Corp.(a) 83,510 4,106
Leggett & Platt, Inc.(f) 45,054 1,281
Limited Brands 100,169 2,306
Liz Claiborne, Inc. 25,341 1,070
Lowe's Cos., Inc. 185,423 10,679
Marriot International, Inc.
Class A 53,439 3,366
Mattel, Inc. 97,545 1,901
May Department Stores Co. 68,567 2,016
Maytag Corp.(f) 19,329 408
McDonald's Corp. 299,153 9,591
McGraw-Hill, Inc. 44,813 4,102
Meredith Corp. 11,847 642
New York Times Co. Class A 34,745 1,418
Newell Rubbermaid, Inc.(f) 65,221 1,578
NIKE, Inc. Class B 62,213 5,642
Nordstrom, Inc. 32,538 1,521
Office Depot, Inc.(a) 74,470 1,293
OfficeMax, Inc. 20,919 656
Omnicom Group, Inc. 44,117 3,720
Pulte Homes, Inc. 29,936 1,910
Radioshack Corp. 37,253 1,225
Reebok International, Ltd.(f) 14,471 637
Reynolds American, Inc.(f) 34,840 2,738
Sears Roebuck & Co.(f) 49,954 2,549
Sherwin-Williams Co. 33,570 1,498
Snap-On, Inc.(f) 14,348 493
Stanley Works 19,732 967
Staples, Inc. 117,150 3,949
Starbucks Corp.(a) 96,826 6,038
Starwood Hotels & Resorts
Worldwide, Inc. Class B 49,112 2,868
Target Corp. 214,857 11,158
Tiffany & Co. 34,368 1,099
Time Warner, Inc.(a) 1,098,947 21,364
TJX Cos., Inc. 115,113 2,893
Toys "R" Us, Inc.(a) 50,369 1,031
Tribune Co. 74,955 3,159
</Table>
6
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
CONSUMER DISCRETIONARY -- (CONTINUED)
Univision Communications, Inc.
Class A(a) 76,018 $ 2,225
V.F. Corp.(f) 25,988 1,439
Viacom, Inc. Class B 409,697 14,909
Visteon Corp.(f) 30,453 298
Walt Disney Co. 488,373 13,577
Wendy's International, Inc. 26,767 1,051
Whirlpool Corp. 15,666 1,084
Yum! Brands, Inc. 71,522 3,374
------------
312,296
------------
CONSUMER STAPLES -- 10.1%
Adolph Coors Co. Class B(f) 8,944 677
Alberto Culver Co. Class B(f) 21,658 1,052
Albertson's, Inc.(f) 87,513 2,090
Altria Group, Inc. 492,064 30,065
Anheuser-Busch Cos., Inc. 190,267 9,652
Archer-Daniels-Midland Co. 159,567 3,560
Avon Products, Inc. 114,848 4,445
Brown-Forman Corp. Class B 28,582 1,391
Campbell Soup Co.(f) 96,683 2,890
Clorox Co. 36,010 2,122
Coca-Cola Co. 580,335 24,159
Coca-Cola Enterprises, Inc.(f) 110,900 2,312
Colgate-Palmolive Co. 125,535 6,422
ConAgra Foods, Inc. 124,446 3,665
Costco Wholesale Corp. 113,551 5,497
CVS Corp. 97,192 4,380
General Mills, Inc. 85,964 4,273
Gillette Co. 238,444 10,678
H.J. Heinz Co. 82,320 3,210
Hershey Foods Corp. 58,008 3,222
Kellogg Co. 97,529 4,356
Kimberly-Clark Corp. 116,564 7,671
Kroger Co.(a) 174,022 3,052
McCormick & Co., Inc. 32,900 1,270
Pepsi Bottling Group, Inc. 60,453 1,635
PepsiCo, Inc. 404,210 21,100
Procter & Gamble Co. 607,922 33,484
Safeway, Inc.(a)(f) 105,293 2,078
Sara Lee Corp. 186,917 4,512
SuperValu, Inc. 32,060 1,107
Sysco Corp. 154,881 5,912
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
UST Corp.(f) 38,947 $ 1,874
Wal-Mart Stores, Inc. 1,014,128 53,566
Walgreen Co. 243,910 9,359
Wrigley Wm., Jr. Co. 52,916 3,661
------------
280,399
------------
ENERGY -- 6.7%
Amerada Hess Corp.(f) 21,202 1,747
Anadarko Petroleum Corp. 58,954 3,821
Apache Corp. 76,830 3,885
Ashland, Inc. 16,580 968
Baker Hughes, Inc. 78,680 3,357
BJ Services Co. 37,855 1,762
Burlington Resources, Inc. 92,956 4,044
ChevronTexaco Corp. 507,994 26,675
ConocoPhillips 165,841 14,400
Devon Energy Corp. 117,922 4,589
EOG Resources, Inc. 27,884 1,990
ExxonMobil Corp. 1,544,302 79,161
Halliburton Co. 103,986 4,080
Kerr-McGee Corp. 35,236 2,036
Marathon Oil Corp. 81,534 3,066
Nabors Industries, Ltd.(a) 35,515 1,822
Noble Corp.(a) 31,523 1,568
Occidental Petroleum Corp. 95,523 5,575
Rowan Cos., Inc.(a)(f) 25,439 659
Schlumberger, Ltd. 141,807 9,494
Sunoco, Inc. 17,728 1,448
Transocean, Inc.(a) 75,595 3,204
Unocal Corp. 62,388 2,698
Valero Energy Corp. 60,700 2,756
------------
184,805
------------
FINANCIALS -- 20.1%
ACE, Ltd. 67,355 2,879
AFLAC, Inc. 119,516 4,762
Allstate Corp. 163,207 8,441
Ambac Financial Group, Inc. 25,747 2,115
American Express Co. 301,373 16,988
American International Group,
Inc. 623,983 40,977
AmSouth Bancorp(f) 83,319 2,158
AON Corp. 74,223 1,771
Apartment Investment &
Management Co. Class A 22,300 859
</Table>
7
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
FINANCIALS -- (CONTINUED)
Archstone-Smith Trust 46,200 $ 1,769
Bank of America Corp. 967,500 45,463
Bank of New York Co., Inc. 187,879 6,279
BB&T Corp. 130,618 5,492
Bear Stearns Cos., Inc. 24,299 2,486
Capital One Financial Corp. 58,815 4,953
Charles Schwab Corp. 321,893 3,850
Chubb Corp. 45,039 3,463
Cincinnati Financial Corp. 39,700 1,757
CIT Group, Inc. 49,300 2,259
Citigroup, Inc. 1,242,671 59,872
Comerica, Inc. 40,432 2,467
Compass Bancshares, Inc. 28,900 1,407
Countrywide Financial Corp. 140,686 5,207
E*Trade Financial Corp.(a) 87,400 1,307
Equity Office Properties Trust 95,241 2,773
Equity Residential 66,207 2,395
Fannie Mae 232,429 16,551
Federal Home Loan Mortgage
Corp. 165,846 12,223
Federated Investors, Inc. Class
B(f) 25,500 775
Fifth Third Bancorp 135,400 6,402
First Horizon National Corp.(f) 29,117 1,255
Franklin Resources, Inc. 59,144 4,119
Golden West Financial Corp. 74,322 4,565
Goldman Sachs Group, Inc. 115,600 12,027
Hartford Financial Services
Group, Inc. 71,288 4,941
Huntington Bancshares, Inc. 53,954 1,337
J.P. Morgan Chase & Co. 853,819 33,307
Janus Capital Group, Inc. 56,319 947
Jefferson-Pilot Corp. 32,160 1,671
KeyCorp(f) 95,809 3,248
Lehman Brothers Holdings, Inc. 63,918 5,592
Lincoln National Corp. 41,431 1,934
Loews Corp. 43,814 3,080
M & T Bank Corp. 27,500 2,966
Marsh & McLennan Cos., Inc. 128,136 4,216
Marshall & Ilsley Corp. 52,292 2,311
MBIA, Inc. 33,758 2,136
MBNA Corp. 308,002 8,683
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Mellon Financial Corp. 100,423 $ 3,124
Merrill Lynch & Co., Inc.(f) 223,927 13,384
MetLife, Inc. 176,707 7,158
MGIC Investment Corp.(f) 23,262 1,603
Moody's Corp. 34,865 3,028
Morgan Stanley 261,043 14,493
National City Corp. 163,891 6,154
North Fork Bancorp, Inc. 110,135 3,177
Northern Trust Corp. 51,840 2,518
Plum Creek Timber Co., Inc. 43,080 1,656
PNC Financial Services Group,
Inc. 66,447 3,817
Principal Financial Group, Inc. 73,750 3,019
Progressive Corp.(f) 47,247 4,008
ProLogis 43,400 1,881
Providian Financial Corp.(a) 69,673 1,148
Prudential Financial, Inc. 122,300 6,722
Regions Financial Corp. 113,009 4,022
SAFECO Corp.(f) 29,664 1,550
Simon Property Group, Inc. 52,963 3,425
SLM Corp. 102,642 5,480
Sovereign Bancorp, Inc. 81,500 1,838
St. Paul Travelers Cos., Inc. 161,925 6,003
State Street Corp.(g) 79,225 3,892
SunTrust Banks, Inc. 89,572 6,618
Synovus Financial Corp. 72,604 2,075
T. Rowe Price Group, Inc.(f) 29,990 1,865
Torchmark Corp. 25,876 1,479
U.S. Bancorp 446,561 13,986
UnumProvident Corp.(f) 70,835 1,271
Wachovia Corp. 384,786 20,240
Washington Mutual, Inc. 207,113 8,757
Wells Fargo Co. 405,711 25,215
XL Capital, Ltd. Class A 32,632 2,534
Zions Bancorp 21,319 1,450
------------
557,025
------------
HEALTH CARE -- 12.2%
Abbott Laboratories 373,967 17,445
Aetna, Inc. 36,032 4,495
Allergan, Inc. 30,991 2,512
AmerisourceBergen Corp. 26,416 1,550
Amgen, Inc.(a) 304,875 19,558
</Table>
8
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
HEALTH CARE -- (CONTINUED)
Applera Corp. -- Applied
Biosystems Group 47,567 $ 995
Bausch & Lomb, Inc.(f) 12,825 827
Baxter International, Inc. 149,426 5,161
Becton, Dickinson & Co. 61,729 3,506
Biogen Idec, Inc.(a) 80,073 5,334
Biomet, Inc. 60,041 2,605
Boston Scientific Corp.(a) 203,896 7,248
Bristol-Myers Squibb Co. 462,617 11,852
C.R. Bard, Inc. 24,494 1,567
Cardinal Health, Inc. 104,466 6,075
Caremark Rx, Inc.(a) 111,408 4,393
Chiron Corp.(a) 44,644 1,488
CIGNA Corp. 32,389 2,642
Eli Lilly & Co. 271,897 15,430
Express Scripts, Inc.(a) 18,600 1,422
Forest Laboratories, Inc.(a) 87,006 3,903
Genzyme Corp.(a) 56,105 3,258
Gilead Sciences, Inc.(a) 105,400 3,688
Guidant Corp. 77,164 5,563
HCA, Inc. 99,359 3,970
Health Management Associates,
Inc. Class A(f) 57,298 1,302
Hospira, Inc.(a) 37,336 1,251
Humana, Inc.(a) 37,625 1,117
IMS Health, Inc. 55,281 1,283
Johnson & Johnson 710,846 45,082
King Pharmaceuticals, Inc.(a) 56,932 706
Laboratory Corp. of America
Holdings(a) 32,800 1,634
Manor Care, Inc. 21,251 753
McKesson Corp. 69,231 2,178
Medco Health Solutions, Inc.(a) 63,872 2,657
MedImmune, Inc.(a) 59,465 1,612
Medtronic, Inc. 290,502 14,429
Merck & Co., Inc. 532,503 17,115
Millipore Corp.(a) 11,628 579
Mylan Laboratories Inc.(f) 63,800 1,128
Pfizer, Inc. 1,803,974 48,509
Quest Diagnostics Inc.(f) 24,000 2,293
Schering-Plough Corp. 355,524 7,423
St. Jude Medical, Inc.(a) 83,894 3,518
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Stryker Corp. 97,608 $ 4,710
Tenet Healthcare Corp.(a) 109,309 1,200
UnitedHealth Group, Inc. 157,084 13,828
Watson Pharmaceuticals,
Inc.(a)(f) 25,803 847
Wellpoint, Inc.(a) 70,389 8,095
Wyeth 320,731 13,660
Zimmer Holdings, Inc.(a) 58,020 4,649
------------
338,045
------------
INDUSTRIALS -- 11.4%
3M Co. 185,884 15,256
Allied Waste Industries,
Inc.(a)(f) 75,867 704
American Power Conversion
Corp.(f) 47,267 1,012
American Standard Cos., Inc.(a) 50,621 2,092
Apollo Group, Inc.(a) 45,375 3,662
Avery Dennison Corp. 26,370 1,581
Boeing Co. 199,645 10,336
Burlington Northern Santa Fe
Corp. 91,350 4,322
Caterpillar, Inc. 82,285 8,024
Cendant Corp. 248,722 5,815
Cintas Corp. 40,382 1,771
Cooper Industries, Ltd. 21,821 1,481
CSX Corp. 50,624 2,029
Cummins, Inc.(f) 10,373 869
Danaher Corp.(f) 75,026 4,307
Deere & Co. 58,441 4,348
Delta Air Lines, Inc.(a)(f) 30,493 228
Dover Corp. 47,913 2,009
Eaton Corp. 35,478 2,567
Emerson Electric Co. 101,335 7,104
Equifax, Inc. 32,069 901
FedEx Corp. 71,646 7,056
Fluor Corp.(f) 19,806 1,080
General Dynamics Corp. 47,806 5,001
General Electric Co.(e) 2,530,423 92,360
Goodrich Co. 27,955 912
H&R Block, Inc.(f) 38,810 1,902
Honeywell International, Inc. 207,642 7,353
Illinois Tool Works, Inc. 71,164 6,596
Ingersoll-Rand Co. Class A 41,050 3,296
ITT Industries, Inc. 22,002 1,858
</Table>
9
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
INDUSTRIALS -- (CONTINUED)
Lockheed Martin Corp. 104,871 $ 5,826
Masco Corp. 108,974 3,981
Monster Worldwide, Inc.(a) 27,692 932
Navistar International
Corp.(a)(f) 16,880 742
Norfolk Southern Corp. 93,261 3,375
Northrop Grumman Corp. 89,278 4,853
PACCAR, Inc. 40,970 3,297
Pall Corp. 29,474 853
Parker-Hannifin Corp. 28,223 2,138
Pitney Bowes, Inc. 54,539 2,524
Power-One, Inc.(a) 20,500 183
R.R. Donnelley & Sons Co. 51,860 1,830
Raytheon Co. 107,714 4,183
Robert Half International, Inc. 41,114 1,210
Rockwell Automation, Inc. 43,520 2,156
Rockwell Collins, Inc. 42,119 1,661
Ryder Systems, Inc. 15,380 735
Southwest Airlines Co. 186,140 3,030
Textron, Inc. 32,775 2,419
Tyco International, Ltd. 483,048 17,264
Union Pacific Corp. 61,040 4,105
United Parcel Service, Inc.
Class B 268,800 22,972
United Technologies Corp. 121,657 12,573
W.W. Grainger, Inc. 21,709 1,446
Waste Management, Inc. 136,579 4,089
------------
316,209
------------
INFORMATION TECHNOLOGY -- 16.2%
ADC Telecommunications,
Inc.(a)(f) 190,527 511
Adobe Systems, Inc. 56,771 3,562
Advanced Micro Devices,
Inc.(a)(f) 95,384 2,100
Affiliated Computer Services,
Inc.(a)(f) 30,200 1,818
Agilent Technologies, Inc.(a) 115,127 2,775
Altera Corp.(a) 87,978 1,821
Analog Devices, Inc. 88,861 3,281
Andrew Corp.(a) 37,727 514
Apple Computer, Inc.(a) 97,246 6,263
Applied Materials, Inc.(a) 403,661 6,903
Applied Micro Circuits
Corp.(a)(f) 75,042 316
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Autodesk, Inc. 53,630 $ 2,035
Automatic Data Processing, Inc. 140,838 6,246
Avaya, Inc.(a)(f) 107,415 1,848
BMC Software, Inc.(a) 51,336 955
Broadcom Corp.(a) 77,846 2,513
CIENA Corp.(a)(f) 138,988 464
Cisco Systems, Inc.(a) 1,578,359 30,462
Citrix Systems, Inc.(a) 40,553 995
Computer Associates
International, Inc. 138,244 4,294
Computer Sciences Corp.(a) 44,782 2,524
Compuware Corp.(a) 92,657 599
Comverse Technology, Inc.(a) 45,938 1,123
Convergys Corp.(a) 35,005 525
Corning, Inc.(a) 334,285 3,935
Dell, Inc.(a) 595,791 25,107
Electronic Arts, Inc.(a) 72,000 4,441
Electronic Data Systems
Corp.(f) 120,686 2,788
EMC Corp.(a) 577,841 8,592
First Data Corp. 200,104 8,512
Fiserv, Inc.(a) 46,347 1,863
Fisher Scientific
International, Inc.(a) 27,200 1,697
Freescale Semiconductor,
Inc.(a) 94,408 1,733
Gateway, Inc.(a)(f) 91,465 550
Hewlett-Packard Co. 725,419 15,212
Intel Corp. 1,515,203 35,441
International Business Machines
Corp. 398,818 39,315
Intuit, Inc.(a) 45,051 1,983
Jabil Circuit, Inc.(a) 48,013 1,228
JDS Uniphase Corp.(a)(f) 344,319 1,091
KLA-Tencor Corp.(a)(f) 46,264 2,155
Lexmark International Group,
Inc. Class A(a) 30,602 2,601
Linear Technology Corp. 72,475 2,809
LSI Logic Corp.(a)(f) 93,535 513
Lucent Technologies, Inc.(a)(f) 1,074,672 4,041
Maxim Integrated Products, Inc. 77,056 3,266
Mercury Interactive Corp.(a) 21,548 981
Micron Technology, Inc.(a) 144,032 1,779
Microsoft Corp.(e) 2,602,704 69,518
Molex, Inc. 44,310 1,329
</Table>
10
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
INFORMATION TECHNOLOGY -- (CONTINUED)
Motorola, Inc. 586,198 $ 10,083
National Semiconductor Corp. 84,318 1,513
NCR Corp.(a) 22,192 1,536
Network Appliance, Inc.(a) 87,767 2,916
News Corp. Class A(f) 609,600 11,375
Novell, Inc.(a)(f) 90,942 614
Novellus Systems, Inc.(a) 33,669 939
NVIDIA Corp.(a)(f) 38,651 911
Oracle Corp.(a) 1,231,538 16,897
Parametric Technology Corp.(a) 61,941 365
Paychex, Inc. 89,227 3,041
PerkinElmer, Inc. 31,257 703
PMC-Sierra, Inc.(a)(f) 40,024 450
QLogic Corp.(a) 21,745 799
QUALCOMM, Inc. 393,578 16,688
Sabre Holdings Corp. Class A 32,324 716
Sanmina-SCI Corp.(a) 124,358 1,053
Scientific-Atlanta, Inc.(f) 36,068 1,191
Siebel Systems, Inc.(a) 121,958 1,281
Solectron Corp.(a) 226,514 1,207
Sun Microsystems, Inc.(a) 817,188 4,396
SunGard Data Systems, Inc.(a) 67,950 1,925
Symantec Corp.(a) 149,000 3,838
Symbol Technologies, Inc. 56,885 984
Tektronix, Inc. 23,329 705
Tellabs, Inc.(a) 118,575 1,019
Teradyne, Inc.(a) 47,092 804
Texas Instruments, Inc. 411,903 10,141
Thermo Electron Corp.(a) 38,429 1,160
Unisys Corp.(a) 78,879 803
VERITAS Software Corp.(a) 101,883 2,909
Waters Corp.(a) 27,857 1,303
Xerox Corp.(a) 207,942 3,537
Xilinx, Inc. 81,704 2,422
Yahoo!, Inc.(a) 330,680 12,460
------------
449,611
------------
MATERIALS -- 3.0%
Air Products & Chemicals, Inc. 53,489 3,101
Alcoa, Inc. 210,346 6,609
Allegheny Technologies, Inc. 21,729 471
Ball Corp. 26,870 1,182
Bemis Co., Inc. 25,228 734
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Dow Chemical Co. 226,899 $ 11,234
E.I. Du Pont de Nemours & Co. 237,439 11,646
Eastman Chemical Co. 18,462 1,066
Ecolab, Inc. 60,626 2,130
Engelhard Corp. 29,030 890
Freeport-McMoRan Copper & Gold,
Inc. Class B(f) 41,914 1,602
Georgia-Pacific Group 61,040 2,288
Great Lakes Chemical Corp. 12,503 356
Hercules, Inc.(a) 27,298 405
International Flavors &
Fragrances, Inc. 22,204 951
International Paper Co. 117,956 4,954
Louisiana-Pacific Corp. 25,759 689
MeadWestvaco Corp. 47,388 1,606
Monsanto Co. 62,746 3,486
Newmont Mining Corp. 107,642 4,780
Nucor Corp. 37,204 1,947
Pactiv Corp.(a) 35,164 889
Phelps Dodge Corp. 23,505 2,325
PPG Industries, Inc. 40,490 2,760
Praxair, Inc. 76,620 3,383
Rohm & Haas Co. 52,796 2,335
Sealed Air Corp.(a) 20,236 1,078
Sigma-Aldrich Corp. 16,493 997
Temple-Inland, Inc. 13,314 911
United States Steel Corp.(f) 26,902 1,379
Vulcan Materials Co. 24,096 1,316
Weyerhaeuser Co. 56,424 3,793
------------
83,293
------------
TELECOMMUNICATION SERVICES -- 3.3%
ALLTEL Corp. 72,598 4,266
AT&T Corp. 187,247 3,569
BellSouth Corp. 440,428 12,239
CenturyTel, Inc.(f) 31,808 1,128
Citizens Communications Co.(f) 77,677 1,071
L-3 Communications Holdings,
Inc. 28,400 2,080
Nextel Communications, Inc.
Class A(a) 265,536 7,966
Qwest Communications
International, Inc.(a) 430,622 1,912
SBC Communications, Inc. 795,504 20,500
</Table>
11
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ------------
TELECOMMUNICATION SERVICES -- (CONTINUED)
Sprint Corp. (Fon Group) 354,523 $ 8,810
Verizon Communications, Inc. 663,898 26,895
------------
90,436
------------
UTILITIES -- 3.2%
AES Corp.(a) 157,314 2,150
Allegheny Energy, Inc.(a)(f) 30,999 611
Ameren Corp.(f) 45,842 2,299
American Electric Power Co.,
Inc. 93,454 3,209
Calpine Corp.(a)(f) 144,152 568
CenterPoint Energy, Inc.(f) 72,493 819
Cinergy Corp. 42,358 1,763
CMS Energy Corp.(a)(f) 49,905 522
Consolidated Edison, Inc. 56,822 2,486
Constellation Energy Group,
Inc. 42,603 1,862
Dominion Resources, Inc.(f) 78,687 5,330
DTE Energy Co. 41,346 1,783
Duke Energy Corp. 231,377 5,861
Dynegy Inc. Class A(a)(f) 92,330 427
Edison International 76,762 2,459
El Paso Corp.(f) 153,194 1,593
Entergy Corp. 53,443 3,612
Exelon Corp. 159,978 7,050
FirstEnergy Corp. 77,712 3,070
FPL Group, Inc.(f) 43,689 3,266
KeySpan Corp.(f) 37,606 1,484
Kinder Morgan, Inc. 29,238 2,138
Nicor, Inc.(f) 10,913 403
NiSource, Inc. 62,967 1,434
Peoples Energy Corp.(f) 9,031 397
PG&E Corp.(a) 94,523 3,146
Pinnacle West Capital Corp. 21,481 954
PPL Corp. 44,768 2,385
Progress Energy, Inc.(f) 58,108 2,629
Public Service Enterprise
Group, Inc.(f) 55,822 2,890
Sempra Energy 54,689 2,006
Southern Co. 178,858 5,995
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
--------- ------------
TECO Energy, Inc.(f) 46,176 $ 708
TXU Corp. 57,448 3,709
Williams Cos., Inc.(f) 134,837 2,197
Xcel Energy, Inc.(f) 93,997 1,711
XTO Energy, Inc. 62,200 2,201
------------
87,127
------------
TOTAL COMMON STOCKS
(cost $2,082,504,194) 2,699,246
------------
<Caption>
PAR
AMOUNT
(000)
---------
U.S. GOVERNMENT SECURITIES -- 0.2%
United States Treasury Bill
2.19% due 03/10/05(b)(c) $ 4,299 4,281
------------
TOTAL U.S. GOVERNMENT
SECURITIES
(cost $4,281,257) 4,281
------------
<Caption>
SHARES
(000)
---------
SHORT TERM INVESTMENTS -- 5.7%
AIM Short Term Investment Prime
Portfolio 60,104 $ 60,104
Federated Money Market
Obligations Trust 487 487
State Street Navigator
Securities Lending Prime
Portfolio(d)(g) (Note 4) 98,442 98,442
------------
TOTAL SHORT TERM INVESTMENTS
(cost $159,032,959) 159,033
------------
TOTAL INVESTMENTS -- 103.4%
(identified cost
$2,245,818,410) 2,862,560
Liabilities in excess of other
assets -- (3.4)% (95,093)
------------
NET ASSETS -- 100% $2,767,467
============
</Table>
12
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
UNREALIZED
NUMBER OF APPRECIATION
CONTRACTS (000)
--------- ------------
SCHEDULE OF FUTURES CONTRACTS
S&P 500 Financial Futures
Contracts (long) Expiration
date 03/2005 364 $ 1,073
------------
Total unrealized appreciation
on open futures contracts
purchased $ 1,073
============
</Table>
- ---------------
(a) Non-income producing security.
(b) Security held as collateral in relation to initial margin requirements on
futures contracts.
(c) Rate represents annualized yield at date of purchase.
(d) Security represents investment made with cash collateral received from
securities loaned.
(e) All or a portion of these securities have been pledged to cover collateral
requirements for open futures contracts.
(f) All or a portion of these securities were on loan at December 31, 2004.
(g) Affiliated issuer. See table below for more information.
<Table>
<Caption>
NUMBER OF SHARES PURCHASED SHARES SOLD FOR NUMBER OF INCOME EARNED
SHARES HELD FOR THE YEAR THE YEAR ENDED SHARES HELD AT FOR THE YEAR REALIZED GAIN
SECURITY DESCRIPTION AT 12/31/03 ENDED 12/31/04 12/31/04 12/31/04 ENDED 12/31/04 ON SHARES SOLD
- -------------------- ----------- ---------------- --------------- --------------- -------------- --------------
State Street Corp. 84,525 3,400 8,700 79,225 $52,637 $23,855
State Street Navigator
Securities Lending
Prime Portfolio 71,146,646 976,149,740 948,854,719 98,441,667 69,912 --
</Table>
13
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
(Amounts in thousands)
<Table>
ASSETS
Investments in unaffiliated issuers at market (identified
cost $2,144,730) -- including $97,986 of securities
loaned (Note 2) $2,760,226
Investments in non-controlled affiliates at market
(identified cost $101,088) (Note 4) 102,334
----------
2,862,560
Receivables:
Dividends and interest 3,608
----------
Total assets 2,866,168
LIABILITIES
Payables:
Investment securities purchased 102
Daily variation margin on futures contracts 53
Due upon return of securities loaned 98,442
Management fees (Note 4) 104
----------
Total liabilities 98,701
----------
NET ASSETS $2,767,467
==========
COMPOSITION OF NET ASSETS
Paid-in capital $2,149,652
Net unrealized appreciation on investments and futures
contracts 617,815
----------
NET ASSETS $2,767,467
==========
</Table>
See Notes to Financial Statements.
14
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2004
(Amounts in thousands)
<Table>
INVESTMENT INCOME
Dividend income -- unaffiliated issuers $ 52,917
Dividend income -- non-controlled affiliated issuer 53
Interest 819
Security lending income (Notes 2 and 4) 70
--------
Total Investment Income 53,859
EXPENSES
Management fees (Note 4) $ 1,201
--------
Total Expenses 1,201
--------
NET INVESTMENT INCOME 52,658
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments -- unaffiliated issuers (34,201)
Investments -- non-controlled affiliated issuer 24
Futures contracts 7,688
--------
(26,489)
Net change in unrealized appreciation (depreciation) on:
Investments 250,841
Futures contracts (943)
--------
249,898
--------
Net realized and unrealized gain 223,409
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $276,067
========
</Table>
See Notes to Financial Statements.
15
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(Amounts in thousands)
<Table>
<Caption>
For the For the
Year Ended Year Ended
December 31, 2004 December 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 52,658 $ 39,264
Net realized loss on investments and futures contracts (26,489) (90,744)
Net change in unrealized appreciation (depreciation) 249,898 641,095
---------- ----------
Net increase in net assets resulting from
operations 276,067 589,615
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions 331,241 547,305
Contributions in-kind -- 19,659
Fair value of withdrawals (481,557) (434,455)
Withdrawals in-kind (72,956) --
---------- ----------
Net increase (decrease) in net assets from capital
transactions (223,272) 132,509
---------- ----------
TOTAL NET INCREASE IN NET ASSETS 52,795 722,124
NET ASSETS
Beginning of year 2,714,672 1,992,548
---------- ----------
End of year $2,767,467 $2,714,672
========== ==========
</Table>
See Notes to Financial Statements.
16
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
<Table>
<Caption>
Year Year Year Year Period
Ended Ended Ended Ended Ended
12/31/04 12/31/03 12/31/02 12/31/01 12/31/00*
---------- ---------- ---------- ---------- ----------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in
thousands) $2,767,467 $2,714,672 $1,992,548 $2,692,298 $2,957,271
Ratios to average net assets:
Operating expenses 0.045% 0.045% 0.045% 0.045% 0.045%+
Net investment income 1.97% 1.74% 1.57% 1.34% 1.14%+
Portfolio turnover rate** 9% 12% 13% 14% 18%++
Total return(a) 10.86% 28.62% (22.16%) (11.94%) (2.41%)++
</Table>
- ---------------
* 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.
17
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
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 December 31, 2004, only the Portfolio, State
Street MSCI(R) EAFE(R) Index Portfolio and State Street Money Market 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(R) Index"). The Portfolio uses a passive management
strategy designed to track the performance of the S&P 500(R) Index. The S&P
500(R) Index is a well-known, unmanaged, stock index that includes common stocks
of 500 companies from several industrial sectors representing a significant
portion of the market value of all stocks publicly traded in the United States.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: The Portfolio's investments are valued each business day by
independent pricing services. Equity securities for which market quotations are
available are valued at the last sale price or official closing price (closing
bid price if no sale has occurred) on the primary market or exchange on which
they trade. Investments in other mutual funds are valued at the net asset value
per share. Fixed-income securities and options are valued on the basis of the
closing bid price. Futures contracts are valued on the basis of the last sale
price. Money market instruments maturing within 60 days of the valuation date
are valued at amortized cost, a method by which each money market instrument is
initially valued at cost, and thereafter a constant accretion or amortization of
any discount or premium is recorded until maturity of the security. The
Portfolio may value securities for which market quotations are not readily
available at "fair value," as determined in good faith pursuant to procedures
established by the Board of Trustees.
18
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: 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.
FUTURES: The Portfolio may enter into financial futures contracts as part of its
strategy to track the performance of the S&P 500(R) Index. Upon entering into a
futures contract, the Portfolio is required to deposit with the broker cash or
securities in an amount equal to a certain percentage of the contract amount.
Variation margin payments are made or received by the Portfolio each day,
depending on the daily fluctuations in the value of the underlying security or
index, and are recorded for financial statement purposes as unrealized gains or
losses by the Portfolio. The Portfolio recognizes a realized gain or loss when
the contract is closed. The Portfolio voluntarily segregates securities in an
amount equal to the outstanding value of the open futures contracts in
accordance with Securities and Exchange Commission (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, sovereign debt, 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 year ended December 31, 2004, the earned income
for the Portfolio and State Street was $69,912 and $23,304, respectively.
19
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
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 December 31,
2004, the value of the securities loaned amounted to $97,985,663. The loans were
collateralized with cash of $98,441,667, which the Portfolio then invested in
the State Street Navigator Securities Lending Prime Portfolio (the "Prime
Portfolio"), an affiliated investment company, and letters of credit from JP
Morgan Chase Bank and BNP Paribas in the amounts of $1,264,800 and $2,150,160,
respectively.
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles that require the
use of management estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2004, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
withdrawals, aggregated to $237,412,033 and $297,872,960, respectively. The
aggregate value of in-kind withdrawals was $72,956,408.
At December 31, 2004, the tax cost of investments was $2,450,998,571. The
aggregate gross unrealized appreciation and gross unrealized depreciation was
$783,440,674 and $371,879,248, respectively, resulting in net appreciation of
$411,561,426 for all securities as computed on a federal income tax basis. The
differences between book and tax cost amounts are primarily due to wash sale
loss deferrals.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM"), a subsidiary of State Street Corp. and an
affiliate of State Street, under which SSgA FM directs the investments of the
Portfolio in accordance with its investment objective, policies, and
limitations. The Trust has contracted with State Street to provide custody,
administration and transfer agent services to the Portfolio. In compensation for
SSgA FM's services as investment adviser and for State Street's services as
administrator, custodian and transfer agent (and for assuming ordinary operating
expenses of the Portfolio, including ordinary legal, audit and trustees fees
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 FM. 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 FM. Investments in State Street
Corp., the holding company of State Street, were made according to its
representative portion of
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
the S&P 500(R) Index. The market value of each of these investments at December
31, 2004 is listed in the Portfolio of Investments.
During the year, the Portfolio had investment transactions executed through
State Street Global Markets LLC, a wholly owned subsidiary of State Street
Corp., and an affiliated broker-dealer of SSgA FM. For the year ended December
31, 2004, the Portfolio paid brokerage commissions to State Street Global
Markets LLC of $52,740.
5. INDEMNIFICATIONS
Like many other companies, the Trust's organizational documents provide that its
officers and trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Trust. In addition, both in some of its
principal service contracts and in the normal course of its business, the Trust
enters into contracts that provide indemnifications to other parties for certain
types of losses or liabilities. The Trust's maximum exposure under these
arrangements in unknown as this could involve future claims against the Trust.
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures is available
without charge, upon request, by (i) calling (877) 521-4083 or (ii) on the
website of the Securities and Exchange Commission (the "SEC") at www.sec.gov.
Information on how the Portfolio voted proxies relating to portfolio securities
during the most recent 12-month period ended June 30 is available (i) without
charge, upon request, by calling (877) 521-4083 or (ii) on the SEC's website at
www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Form N-Q is available on the SEC's website at
www.sec.gov. The Trust's Form N-Q may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. and information on the operation of the
Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent
Form N-Q is available without charge, upon request, by calling (877) 521-4083.
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Equity 500 Index Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the State Street Equity 500 Index Portfolio
(one of the portfolios constituting State Street Master Funds)(the Portfolio) as
of December 31, 2004, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended and the financial highlights for each of the periods indicated
therein. These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Portfolio's internal control over financial reporting. Accordingly, we express
no such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the custodian and brokers or other appropriate
auditing procedures where replies from the brokers were not received. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Equity 500 Index Portfolio of State Street Master Funds at December
31, 2004, the results of its operations for the year then ended, the changes in
its net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated therein, in conformity
with U.S. generally accepted accounting principles.
/s/ Ernst & Young LLP
Boston, Massachusetts
February 11, 2005
23
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
-----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
-----------------------------------------------------------------------------------------------------------------------------------
Michael F. Holland Trustee and Term: Indefinite Chairman, Holland & Company L.L.C. 14 Trustee, State
Holland & Company, LLC Chairman of (investment adviser) (1995 -- present). Street
375 Park Avenue the Board Elected: 7/99 Institutional
New York, NY 10152 Investment
DOB: 07/08/44 Trust; Director
of the Holland
Series Fund,
Inc.; and
Director, The
China Fund,
Inc.
-----------------------------------------------------------------------------------------------------------------------------------
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual South Africa Master 14 Trustee, State
State Street Master Trust (investments) (1997 -- present); Street
Funds Elected: 7/99 Chairman emeritus, Children's Hospital Institutional
P.O. Box 5049 (1984 -- present); Director, Boston Plan For Investment
Boston, MA 02206 Excellence (non-profit) (1994 -- present); Trust; and
DOB: 01/20/37 President and Chief Operations Officer, John Trustee, Old
Hancock Mutual Life Insurance Company Mutual South
(1959 -- 1999). Mr. Boyan retired in 1999. Africa Master
Trust
-----------------------------------------------------------------------------------------------------------------------------------
Rina K. Spence Trustee Term: Indefinite President of SpenceCare International LLC 14 Trustee, State
7 Acacia Street (1998 -- present); Member of the Advisory Street
Cambridge, MA 02138 Elected: 7/99 Board, Ingenium Corp., (technology company) Institutional
DOB: 10/24/48 (2001 -- present); Chief Executive Officer, Investment
IEmily.com, (internet company) Trust; Director
(2000 -- 2001); Trustee Eastern Enterprise of Berkshire
(utilities) (1988 -- 2000). Life Insurance
Company of
America; and
Director,
IEmily.com
-----------------------------------------------------------------------------------------------------------------------------------
Douglas T. Williams Trustee Term: Indefinite Executive Vice President of Chase Manhattan 14 Trustee, State
State Street Master Elected: 7/99 Bank, (1987 -- 1999). Mr. Williams retired Street
Funds in 1999. Insitutional
P.O. Box 5049 Investment
Boston, MA 02206 Trust
DOB: 12/23/40
-----------------------------------------------------------------------------------------------------------------------------------
</Table>
24
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
<Table>
<Caption>
----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
----------------------------------------------------------------------------------------------------------------------------------
OFFICERS:
----------------------------------------------------------------------------------------------------------------------------------
Donald A. Gignac President Term: Senior Vice President of State Street Bank -- --
State Street Bank and Indefinite and Trust Company (2002 -- present); Vice
Trust Company President of State Street Bank and Trust
2 Avenue de Lafayette Elected: 8/03 Company (1993 to 2002).
Boston, MA 02111
DOB: 06/14/65
----------------------------------------------------------------------------------------------------------------------------------
Karen Gillogly Treasurer Term: Vice President of State Street Bank and -- --
State Street Bank and Indefinite Trust Company (1999 -- present); Audit
Trust Company Senior Manager, Ernst & Young LLP
One Federal Street Elected: 9/03 (1998 -- 1999).
Boston, MA 02110
DOB: 09/03/66
----------------------------------------------------------------------------------------------------------------------------------
Julie A. Tedesco Secretary Term: Vice President and Counsel of State Street -- --
State Street Bank and Indefinite Bank and Trust Company (2000 -- present);
Trust Company Counsel of First Data Investor Services
One Federal Street Elected: 5/00 Group, Inc., (1994 -- 2000).
Boston, MA 02110
DOB: 09/03/57
----------------------------------------------------------------------------------------------------------------------------------
Peter A. Ambrosini Chief Term: Unlimited Senior Principal and Chief Compliance and -- --
SSgA Funds Compliance Risk Management Officer, SSgA Funds
Management, Inc. Officer Elected: 5/04 Management, Inc. and State Street Global
State Street Financial Advisors (2001 -- present); Managing
Center Director, PricewaterhouseCoopers LLP
One Lincoln Street (1986 -- 2001).
Boston, MA 02111
DOB: 12/17/43
----------------------------------------------------------------------------------------------------------------------------------
</Table>
The Statement of Additional Information includes additional information about
the Trust's Trustees and is available, without charge, upon request, by calling
(toll free) 877-521-4083.
25
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02109
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET EQUITY 500 INDEX PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2004
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
MANAGEMENT DISCUSSION OF FUND PERFORMANCE AND ANALYSIS
THE PORTFOLIO
The State Street MSCI(R) EAFE(R) Index Portfolio's (the "Portfolio") 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(R) EAFE(R) Index"). The Portfolio attempts to hold the
MSCI(R) EAFE(R) Index constituents in their approximate benchmark weights.
For the year ended December 31, 2004, the Portfolio gained 19.08%. For the same
period, the MSCI(R) EAFE(R) Index gained 20.25%.
THE MARKETS
A welcome decline in energy prices combined with an unexpectedly clean result in
the U.S. presidential elections sparked strong rallies in global equity markets
during the fourth quarter of 2004. With these sources of uncertainty tamed, a
benign interest-rate backdrop drew investors back towards stocks, whose earnings
power has remained attractive relative to global bond yields. While equities
globally produced modest positive returns through the first three quarters of
2004, the fourth quarter surge helped a broad range of markets to finish the
full year with double-digit gains. Boosted additionally by a renewed tumble in
the U.S. dollar, the Portfolio roared back from its third-quarter consolidation
to return an impressive 15.3% in the fourth quarter.
Europe outpaced the Pacific Rim both for the fourth quarter and all of 2004, but
the regional differences were slim compared with the bullish trend across
markets. Japan underperformed EAFE slightly for both the fourth quarter and the
full year, but so did France, the UK, and Switzerland. Europe outperformed the
Pacific Rim both in the final quarter and for all of 2004 as European currencies
outperformed their Asian counterparts.
Although every EAFE market appreciated in local terms during the fourth quarter,
it was the steady declines of the dollar, more than 9% against the euro and more
than 7% against the yen, that gave EAFE constituents their most significant
boost. Every EAFE component, with the exception of Singapore, posted
double-digit returns for the final quarter of 2004. Stocks in Singapore were
held back by Chartered Semiconductor Manufacturing, Ltd., whose weak sales
outlook prevented its shares from participating in the global rally, as well as
by an initial $440 million offering of Suntec REIT, which attracted capital from
other areas of the local market. Although Singapore's 6.9% fourth-quarter return
was easily the weakest in EAFE, its 22.3% rally for 2004 as a whole made it a
full-year out performer. Finland's 16.4% recovery in the fourth quarter was not
enough to lift it past a 6.1% annual return. Shares in Finland-based cell-phone
maker Nokia Oyj, which has managed to regain market share in recent months,
still finished 2004 with a double-digit loss due to the company's disappointing
results earlier in the year.
1
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
MANAGEMENT DISCUSSION OF FUND PERFORMANCE AND ANALYSIS (CONTINUED)
Four EAFE markets, Greece, Austria, Spain and Italy returned more than 20%
during the fourth quarter, and each was a full-year out performer. Boosting
Greek stocks were strong results at Greek banks, where lending activity has
prospered with the low interest rates that come with Euro zone membership.
Gaming firm OPAP SA also posted a surge in earnings, benefiting as well from
vibrant consumer activity. MSCI Greece was the third-best full-year performer in
EAFE. Austria continued to benefit in the fourth quarter from its exposure to
strong growth in Eastern Europe, and Austria's materials companies are still
enjoying a firm pricing environment. Austria was EAFE's top 2004 performer. In
Spain, bank shares had a strong fourth quarter as the country's active housing
market spurred loan activity. Spanish utility companies reported solid quarterly
earnings growth and also performed well. The last three months were clearly the
charm for Spanish equities: Spain returned less than 3% for the first three
quarters of 2004, but achieved an impressive full-year return. As in Spain, bank
shares performed well in Italy, where investors also responded positively to
news that Telecom Italia would fully consolidate with its wireless unit.
Every market sector in EAFE posted positive returns in the fourth quarter;
indeed, only the energy and health care groups gained less than 10%. Energy
shares were constrained by falling prices for oil and natural gas, while
pharmaceutical stocks were a drag on the health care group. The stock of British
drug maker AstraZeneca Group PLC fared especially poorly, on safety concerns for
its cholesterol drug Crestor and efficacy worries about its lung-cancer
treatment Iressa. The strongest sectors for the fourth quarter were
telecommunications services, financials and utilities. In addition to the
consolidation plans unveiled in Italy, telecommunications shares in general were
bolstered by solid revenue gains and optimism regarding growth opportunities in
wireless and broadband service. Germany's Deutsche Telekom AG even felt enough
confidence to reinstate its annual dividend for spring 2005, having omitted a
payout in 2003 and 2004.
It was a steady drop in bond yields that boosted the shares of banks and other
financial institutions. Although Japanese yields rose in early October, they
trended lower through the fall and finished the quarter with small declines. In
Germany, 10-year yields fell by a more dramatic 30 basis points, approaching
their lows of mid-2003. British 10-year yields slid by 30 basis points as well,
as the Bank of England's four rate hikes earlier in 2004 began to cool off the
housing market. The broad bond market strength also kept investors on the prowl
for names in the utility group, which has a higher dividend yield than any other
EAFE sector. Although utilities were the third-best performer in the fourth
quarter, they posted an impressive gain for all of 2004. This remarkable result
from an ostensibly defensive sector far outdid even the second-place energy
group, whose laggard fourth-quarter rise still left it with a positive return
for all of 2004. Just behind energy was the third-best sector on a full-year
basis, the financials. Interestingly, the top EAFE sector performers in
2004 -- utilities, energy, and financials -- are, in order, those with the
highest dividend yields.
2
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
<Caption>
PORTFOLIO COMPOSITION* DECEMBER 31, 2004
- --------------------------------------------------------------------------------
Common Stocks 96.7%
- --------------------------------------------------------------------------------
Money Market Funds 22.6
- --------------------------------------------------------------------------------
Preferred Stocks 0.2
- --------------------------------------------------------------------------------
Liabilities less cash and other receivables (19.5)
- --------------------------------------------------------------------------------
Total 100.0%
- --------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* DECEMBER 31, 2004
- --------------------------------------------------------------------------------
Financials 26.7%
- --------------------------------------------------------------------------------
Consumer Discretionary 12.7
- --------------------------------------------------------------------------------
Industrials 9.5
- --------------------------------------------------------------------------------
Energy 8.0
- --------------------------------------------------------------------------------
Telecommunication Services 8.0
- --------------------------------------------------------------------------------
Total 64.9%
- --------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
TOP FIVE COUNTRIES (EXCLUDING SHORT-TERM INVESTMENTS)* DECEMBER 31, 2004
- --------------------------------------------------------------------------------
United Kingdom 24.4%
- --------------------------------------------------------------------------------
Japan 21.2
- --------------------------------------------------------------------------------
France 9.1
- --------------------------------------------------------------------------------
Germany 6.9
- --------------------------------------------------------------------------------
Switzerland 6.8
- --------------------------------------------------------------------------------
Total 68.4%
- --------------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
3
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
GROWTH OF A $10,000 INVESTMENT (A)
[LINE GRAPH]
<Table>
<Caption>
STATE STREET MSCI(R) EAFE(R)
INDEX PORTFOLIO * MSCI(R) EAFE(R) INDEX (B) **
---------------------------- ----------------------------
11/13/00 10000 10000
12/31/00 10080 10122
6/30/01 8580 8643
12/31/01 7874 7952
6/30/02 7756 7823
12/31/02 6611 6684
6/30/03 7214 7317
12/31/03 9096 9263
6/30/04 9435 9686
12/31/04 10831 11139
</Table>
- --------------------------------------------------------------------------------
INVESTMENT PERFORMANCE (A)
For the Fiscal Year Ended December 31, 2004
- --------------------------------------------------------------------------------
<Table>
<Caption>
- -----------------------------------------------------------------------------------------------------------
Total Return
Total Return Average Annualized Since
One Year Ended Commencement of Operations
December 31, 2004 (November 13, 2000)
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
State Street MSCI(R) EAFE(R) Index Portfolio 19.08% 1.95%
MSCI(R) EAFE(R) Index(b) 20.25% 2.64%
- -----------------------------------------------------------------------------------------------------------
</Table>
(a) Total returns and performance graph information represent past performance
and are not indicative of future results, which may be lower or higher than
performance data quoted. Investment return and principal value of an
investment will fluctuate so that a partner's share, when redeemed, may be
worth more or less than its original cost. The graph and table above do not
reflect the deductions of taxes.
(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.
4
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street MSCI(R) EAFE(R) Index Portfolio (the
"Portfolio"), you incur ongoing costs, which include costs for portfolio
management and administrative services, among others. This example is intended
to help you understand your ongoing costs (in dollars) of investing in the
Portfolio and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2004 to December 31,
2004.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the actual return of the Portfolio, and the third
column shows the dollar amount that would have been paid by an investor
who started with $1,000 in the Portfolio. You may use the information
here, together with the amount you invested, to estimate the expenses
that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number given for the Portfolio under the heading "Expenses Paid During
Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case- because the return
used is not the Portfolio's actual return- the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended December 31, 2004
<Table>
<Caption>
- -------------------------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JULY 1, 2004 DECEMBER 31, 2004 DURING PERIOD*
- -------------------------------------------------------------------------------------------------
BASED ON ACTUAL PORTFOLIO RETURN $1,000.00 $1,148.05 $0.81
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
BASED ON HYPOTHETICAL
(5% RETURN BEFORE EXPENSES) $1,000.00 $1,024.38 $0.76
- -------------------------------------------------------------------------------------------------
</Table>
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The annualized average weighted expense ratio as of
December 31, 2004 was 0.150%. The dollar amounts shown as "Expenses Paid" are
equal to the annualized average weighted expense ratio multiplied by the
average account value over the period, multiplied by the number of days in the
most recent six-month period, then divided by the number of days in the most
recent 12-month period.
5
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
COMMON STOCKS -- 96.7%
AUSTRALIA -- 4.8%
Alumina, Ltd. 8,735 $ 40,673
Amcor, Ltd. 6,905 39,784
AMP, Ltd. 14,078 80,119
Ansell, Ltd.(d) 1,323 9,261
Aristocrat Leisure,
Ltd.(d) 2,448 19,094
Australia & New Zealand
Banking Group, Ltd. 13,874 223,933
Australia Gas Light Co.,
Ltd. 3,497 37,556
Australian Stock Exchange,
Ltd.(d) 809 12,937
AXA Asia Pacific Holdings,
Ltd. 5,419 17,417
BHP Billiton, Ltd. 27,355 328,945
BlueScope Steel, Ltd. 5,502 35,582
Boral, Ltd. 4,549 24,498
Brambles Industries,
Ltd.(d) 7,280 39,662
Centro Properties Group 5,506 24,947
CFS Gandel Retail Trust 37 46
CFS Gandel Retail Trust
Unit 10,955 13,740
Coca-Cola Amatil, Ltd. 3,509 22,363
Cochlear, Ltd.(d) 421 8,333
Coles Myer, Ltd.(d) 8,352 64,555
Commonwealth Bank of
Australia 9,535 239,931
Commonwealth Property
Office Fund 10,336 10,128
Computershare, Ltd. 2,759 12,263
CSL, Ltd. 1,478 33,889
CSR, Ltd. 7,488 15,614
DB RREEF Trust 19,411 20,085
Foster's Group, Ltd. 15,149 68,758
Futuris Corp., Ltd. 4,496 7,613
General Property Trust 15,200 44,563
Harvey Norman Holdings,
Ltd. 4,185 10,334
Iluka Resources, Ltd. 1,845 9,097
ING Industrial Fund(d) 5,852 9,909
Insurance Australia Group,
Ltd. 12,052 60,748
Investa Property Group 11,235 19,904
James Hardie Industries NV 3,566 18,729
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
John Fairfax Holdings,
Ltd. 6,761 $ 24,115
Leighton Holdings, Ltd.(d) 1,080 10,439
Lend Lease Corp., Ltd. 2,803 29,114
Lion Nathan, Ltd. 2,329 15,701
Macquarie Bank, Ltd. 1,663 60,619
Macquarie Goodman
Industrial Trust 12,475 23,177
Macquarie Infrastructure
Group(d) 15,012 40,011
Mayne Group, Ltd. 4,805 16,046
Mirvac Group(d) 5,367 20,615
National Australia Bank,
Ltd.(d) 11,680 263,876
Newcrest Mining, Ltd. 2,511 34,348
News Corp., Class A 2,763 51,549
News Corp., Class B(d) 1,216 23,363
OneSteel, Ltd. 4,451 8,967
Orica, Ltd. 2,134 34,076
Origin Energy, Ltd. 5,097 27,529
Pacific Brands Ltd. 4,596 11,493
PaperlinX, Ltd. 3,623 13,405
Patrick Corp., Ltd. 4,232 21,829
Perpetual Trustees
Australia, Ltd. 296 14,595
Publishing & Broadcasting,
Ltd. 1,045 14,336
Qantas Airways, Ltd. 7,175 20,867
QBE Insurance Group, Ltd. 5,173 62,246
Rinker Group, Ltd. 7,424 61,979
Rio Tinto, Ltd.(d) 2,362 72,433
Santos, Ltd. 4,452 29,595
Sonic Healthcare, Ltd. 1,855 17,711
Southcorp, Ltd.(a) 5,016 16,868
Stockland 10,003 46,970
Stockland Trust Group 23 107
Suncorp-Metway, Ltd. 4,073 55,491
TABCORP Holdings, Ltd. 3,858 52,290
Telstra Corp., Ltd.(d) 16,014 61,637
Toll Holdings, Ltd. 1,758 17,626
Transurban Group(d) 3,894 20,452
Wesfarmers, Ltd. 2,859 89,199
Westfield Group(a)(d) 10,898 140,361
Westpac Banking Corp. 13,564 207,234
</Table>
6
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
AUSTRALIA -- (CONTINUED)
WMC Resorces, Ltd. 9,121 $ 51,623
Woodside Petroleum, Ltd. 3,528 55,589
Woolworths, Ltd. 7,887 92,801
------------
3,557,292
------------
AUSTRIA -- 0.4%
Bank Austria Creditanstalt
AG 305 27,569
Bohler-Uddeholm AG 65 8,215
Erste Bank der
Oesterreichischen
Sparkassen AG 1,002 53,525
Flughafen Wien AG 88 6,663
Immofinanz Immobilien
Anlagen AG(a) 1,982 18,966
Mayr-Melnhof Karton AG 35 5,961
OMV AG 127 38,269
RHI AG(a) 150 4,547
Telekom Austria AG 2,282 43,270
VA Technologie AG(a) 113 8,985
Verbund Oesterreichische
Elektrizitaetswirtschafts
AG 51 11,362
Voestalpine AG(d) 213 16,546
Wienerberger AG 555 26,517
------------
270,395
------------
BELGIUM -- 1.3%
Agfa Gevaert NV(d) 789 26,768
Barco NV(d) 93 8,602
Bekaert SA 121 9,663
Belgacom SA(a) 1,335 57,704
Cofinimmo 41 6,710
Colruyt NV(d) 150 24,385
Compagnie Maritime Belge
SA (CMB)(d) 140 3,911
Delhaize Group(d) 570 43,348
Dexia(d) 5,133 118,051
Electrabel SA(d) 225 100,313
Euronav SA(d) 168 4,362
Fortis 9,607 265,737
Groupe Bruxelles Lambert
SA(d) 567 46,165
InBev NV(d) 1,415 54,892
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
KBC Banassurance Holding
NV(d) 892 $ 68,503
Mobistar SA(a) 230 21,556
Omega Pharma SA(d) 169 8,097
S.A. D'Ieteren NV(d) 23 4,267
Solvay SA(d) 520 57,252
UCB SA(d) 747 37,974
Umicore 211 19,861
------------
988,121
------------
DENMARK -- 0.8%
A P Moller -- Maersk A/S,
Series B 9 74,335
Bang & Olufsen A/S, Series
B 100 7,474
Carlsberg A/S, Series B 300 15,185
Coloplast A/S, Series B 216 11,861
Danisco A/S 405 24,718
Danske Bank A/S 3,462 106,121
DSV, Series B 175 11,864
East Asiatic Co., Ltd. A/S 175 9,193
FLS Industries A/S, Series
B(a) 250 4,705
GN Store Nord A/S 1,981 21,357
H. Lundbeck A/S 584 13,019
ISS A/S 386 21,548
Kobenhavns Lufthavne A/S 40 8,500
NKT Holding A/S 150 4,372
Novo Nordisk A/S 2,057 112,387
Novozymes A/S, Series B 443 22,504
TDC A/S 1,503 63,648
Topdanmark A/S(a) 189 14,885
Vestas Wind Systems
A/S(a)(d) 1,226 15,234
William Demant Holding
A/S(a) 265 12,445
------------
575,355
------------
FINLAND -- 1.4%
Amer Group, Ltd. 600 10,480
Elisa Corp., Series A(a) 1,173 18,909
Fortum Oyj 2,712 50,207
KCI Konecranes Oyj 116 5,126
Kesko Oyj 500 12,199
Kone Corp. 322 24,987
</Table>
7
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
FINLAND -- (CONTINUED)
Metso Oyj(d) 802 $ 12,711
Nokia Oyj 38,352 605,750
Nokian Renkaat Oyj 76 11,549
Orion-Yhtyma Oyj, Series B 534 8,645
Outokumpu Oyj 716 12,798
Pohjola Group PLC, Series
B 450 5,193
Rautaruukki Oyj 700 8,316
Sampo Oyj, Series A 2,773 38,295
Stora Enso Oyj, Series R 5,113 78,325
TietoEnator Oyj 714 22,710
UPM-Kymmene Oyj 4,340 96,510
Uponor Oyj 500 9,352
Wartsila Oyj, Series B 500 10,656
------------
1,042,718
------------
FRANCE -- 9.1%
Accor SA(d) 1,573 68,868
Air France-KLM(d) 951 18,123
Alcatel SA(a)(d) 9,718 151,245
Alstom(a) 33,894 25,799
Arcelor(d) 3,910 90,190
Atos Origin SA(a) 362 24,588
Autoroutes du Sud de la
France(d) 541 27,208
AXA(d) 11,310 279,483
BNP Paribas SA(d) 6,357 460,552
Bouygues SA(d) 1,581 73,065
Business Objects SA(a)(d) 527 13,309
Cap Gemini SA(a)(d) 1,005 32,184
Carrefour SA(d) 4,566 217,470
Casino Guichard-Perrachon
SA(d) 255 20,381
CNP Assurances(d) 273 19,556
Compagnie de Saint-
Gobain(d) 2,473 148,978
Compagnie Generale des
Establissements
Michelin(d) 1,136 72,866
Credit Agricole SA(d) 5,279 159,296
Dassault Systemes SA(d) 440 22,188
Essilor International
SA(d) 798 62,532
European Aeronautic
Defence & Space Co.(d) 1,913 55,619
France Telecom SA(d) 11,814 391,177
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Gecina SA 205 $ 20,313
Groupe Danone(d) 1,921 177,426
Hermes International 73 14,566
Imerys SA(d) 252 21,151
Klepierre 178 15,763
L'Air Liquide SA(d) 869 160,642
L'Oreal SA(d) 2,423 183,940
Lafarge SA 1,358 131,056
Lagardere S.C.A.(d) 999 72,104
LVMH Moet Hennessy Louis
Vuitton SA(d) 1,950 149,358
Pernod-Ricard SA(d) 441 67,556
Pinault-Printemps-Redoute
SA(d) 546 54,659
PSA Peugoet Citroen(d) 1,387 88,043
Publicis Groupe(d) 995 32,256
Renault SA 1,513 126,580
Sagem SA(a)(d) 720 15,345
Sanofi-Aventis(d) 7,836 626,284
Schneider Electric SA(d) 1,810 125,964
Societe BIC SA(d) 259 13,026
Societe Generale(d) 2,659 269,081
Societe Television
Francaise 1(d) 927 30,178
Sodexho Alliance SA(d) 741 22,420
STMicroelectronics NV(d) 4,795 93,528
Suez SA(d) 6,401 170,705
Technip SA(d) 150 27,729
Thales SA(d) 603 28,949
Thomson(d) 1,932 51,077
Total SA(d) 4,692 1,024,880
Unibail SA(d) 345 54,303
Valeo SA(d) 575 24,072
Veolia Environnement(d) 2,086 75,507
Vinci SA(d) 595 79,905
Vivendi Universal SA(a)(d) 8,124 259,389
Zodiac SA(d) 317 14,758
------------
6,757,190
------------
GERMANY -- 6.7%
Adidas-Salomon AG(d) 385 62,143
Allianz AG(d) 2,533 336,035
Altana AG(d) 570 36,035
BASF AG(d) 4,295 309,413
Bayer AG 5,402 183,126
</Table>
8
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
GERMANY -- (CONTINUED)
Bayer Hypo-und Vereinsbank
AG 5,135 $ 116,562
Beiersdorf AG, Series A(d) 152 17,685
Celesio AG 274 22,286
Commerzbank AG(a) 3,768 77,644
Continental AG 1,030 65,423
DaimlerChrysler AG(d) 7,084 339,516
Deutsche Bank AG(d) 4,028 357,631
Deutsche Boerse AG 900 54,169
Deutsche Lufthansa
AG(a)(d) 1,922 27,562
Deutsche Post AG 3,646 83,753
Deutsche Telekom AG(a) 22,464 508,394
Douglas Holding AG 256 9,047
E.On AG 5,127 467,333
Epcos AG(a)(d) 424 6,340
Fresenius Medical Care
AG(d) 291 23,420
HeidelbergCement AG 486 29,264
Hypo Real Estate Holding
AG(a) 1,085 44,981
Infineon Technologies
AG(a)(d) 5,189 56,284
KarstadtQuelle AG(d) 406 4,189
Linde AG 705 44,138
MAN AG(d) 908 34,977
Merck KGAA 420 28,898
Metro AG 1,193 65,658
MLP AG(d) 478 9,479
Muenchener Rueckversich AG 1,509 185,523
Puma AG 137 37,672
RWE AG 3,234 178,910
SAP AG(d) 1,690 301,843
Schering AG 1,352 101,092
Siemens AG(d) 6,603 559,868
Suedzucker AG 400 8,319
ThyssenKrupp AG(d) 2,521 55,512
TUI AG(d) 1,063 25,170
Volkswagen AG(d) 1,837 83,273
------------
4,958,567
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
GREECE -- 0.6%
Alpha Bank AE 1,674 $ 58,386
Coca-Cola Hellenic
Bottling Co. SA 685 16,760
Cosmote Mobile
Telecommunications SA 803 16,067
EFG Eurobank Ergasias 1,558 53,493
Emporiki Bank of Greece SA 470 14,923
Folli-Follie SA 150 4,404
Germanos SA 217 6,430
Hellenic Duty Free Shops
SA 150 2,630
Hellenic Petroleum SA 1,042 11,331
Hellenic Technodomiki TEV
SA 643 2,902
Hellenic
Telecommunications
Organization SA 2,058 36,981
Hyatt Regency SA 379 4,327
Intracom SA 653 3,533
National Bank of Greece SA 2,227 73,497
OPAP SA 1,334 36,881
Piraeus Bank SA 1,409 24,629
Public Power Corp. (PPC) 871 24,365
Technical Olympic SA 610 3,300
Titan Cement Co. SA 550 16,297
Viohalco, Hellenic Copper
and Aluminum Industry SA 976 8,888
------------
420,024
------------
HONG KONG -- 1.4%
ASM Pacific Technology,
Ltd.(d) 1,500 5,394
Bank of East Asia, Ltd. 9,528 29,604
BOC Hong Kong (Holdings),
Ltd. 26,500 50,629
Cathay Pacific Airways,
Ltd. 7,000 13,239
Cheung Kong (Holdings),
Ltd. 11,000 110,033
Cheung Kong Infrastructure
(Holdings), Ltd.(d) 3,000 8,684
CLP Holdings, Ltd. 12,600 72,299
Esprit Holdings, Ltd. 6,122 37,018
Giordano International,
Ltd. 12,000 7,565
Hang Lung Properties,
Ltd.(d) 10,000 15,439
Hang Seng Bank, Ltd. 5,300 73,642
</Table>
9
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
HONG KONG -- (CONTINUED)
Henderson Land Development
Co., Ltd.(d) 5,000 $ 26,053
Hong Kong & China Gas Co.,
Ltd. 25,183 52,163
Hong Kong Exchanges &
Clearing, Ltd. 8,000 21,460
Hong Kong Electric
Holdings, Ltd. 9,500 43,389
Hopewell Holdings, Ltd. 4,000 10,267
Hutchison
Telecommunications
International,
Ltd.(a)(d) 9,000 8,163
Hutchison Whampoa, Ltd.(d) 14,800 138,523
Hysan Development Co.,
Ltd. 4,507 9,452
Johnson Electronic
Holdings, Ltd. 10,500 10,199
Kerry Properties, Ltd. 3,556 7,594
Kingboard Chemical
Holdings, Ltd. 4,000 8,491
Li & Fung, Ltd. 11,000 18,539
MTR Corp.(d) 9,693 15,526
New World Development Co.,
Ltd. 16,438 18,399
Orient Overseas
International Ltd.(d) 1,000 3,802
PCCW, Ltd.(d) 25,133 15,925
SCMP Group, Ltd. 6,533 2,711
Shangri-La Asia, Ltd.(d) 6,345 9,306
Sino Land Co., Ltd.(d) 8,544 8,464
SmarTone
Telecommunications
Holdings, Ltd. 2,000 2,239
Sun Hung Kai Properties,
Ltd. 9,000 90,027
Swire Pacific, Ltd. 6,500 54,357
Techtronic Industries Co.,
Ltd. 6,180 13,516
Television Broadcast,
Ltd. 2,000 9,263
Texwinca Holdings, Ltd.(d) 4,000 3,782
Wharf (Holdings), Ltd. 9,000 31,495
Yue Yuen Industrial
(Holdings), Ltd.(d) 3,821 10,495
------------
1,067,146
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
IRELAND -- 0.9%
Allied Irish Banks PLC 7,051 $ 147,116
Bank of Ireland 7,899 131,525
CRH PLC 4,330 115,945
DCC PLC 690 15,475
Depfa Bank PLC 2,948 49,487
Elan Corp. PLC(a) 3,191 85,012
Fyffes PLC 2,618 6,868
Grafton Group PLC 1,642 17,855
Greencore Group PLC 1,349 5,538
Independent News &
Media PLC 4,693 14,799
Irish Life & Permanent PLC 2,199 41,248
Kerry Group PLC 1,059 25,406
Kingspan Group PLC 935 8,960
Ryanair Holdings PLC(a) 1,586 11,318
Ryanair Holdings PLC
ADR(a)(d) 43 1,752
Waterford Wedgwood(a) 1,583 134
Waterford Wedgwood
Units(a) 5,125 432
------------
678,870
------------
ITALY -- 3.5%
Alleanza Assicurazioni
SpA(d) 3,040 42,437
Arnoldo Mondadori Editore
SpA 710 8,193
Assicurazioni Generali
SpA(d) 6,310 214,164
Autogrill SpA(a)(d) 726 12,128
Autostrade SpA 1,681 45,012
Banca Antonveneta SpA(a) 1,562 41,189
Banca Fideuram SpA(d) 1,845 9,555
Banca Intesa SpA 6,042 25,952
Banca Monte dei Paschi di
Siena SpA(d) 7,438 26,539
Banca Nazionale del Lavoro
SpA(a)(d) 10,743 32,052
Banca Popolare di Milano 2,500 22,156
Banche Popolari Unite Scrl 2,285 46,464
Banco Popolare di Verona e
Novara Scrl 2,512 51,080
Benetton Group SpA(d) 431 5,700
Bulgari SpA 840 10,379
</Table>
10
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
ITALY -- (CONTINUED)
Capitalia SpA(d) 9,723 $ 44,538
Edison SpA(a)(d) 5,506 11,713
Enel SpA(d) 24,126 237,095
Ente Nazionale Idrocarburi
SpA(d) 17,177 430,067
Fiat SpA(a)(d) 3,374 27,058
FinecoGroup SpA(a)(d) 1,116 8,616
Finmeccanica SpA(d) 38,479 34,886
Gruppo Editoriale
L'Espresso SpA(d) 1,326 8,002
Intesabci SpA 21,397 102,957
Italcementi SpA(d) 500 8,054
Luxottica Group SpA 876 17,837
Mediaset SpA(d) 4,007 50,816
Mediobanca SpA(d) 3,169 51,302
Mediolanum SpA(d) 1,612 11,547
Pirelli & Co. SpA(d) 11,806 15,919
Riunione Adriatica di
Sicurta SpA(d) 1,973 44,625
San Paolo -- IMI SpA(d) 6,682 96,275
Seat Pagine Gialle SpA(d) 25,430 11,718
Snam Rete Gas SpA 5,955 34,644
Telecom Italia Media
SpA(a)(d) 9,613 4,351
Telecom Italia Mobile
SpA(d) 25,015 187,009
Telecom Italia SpA(d) 54,383 222,499
Telecom Italia SpA Di Risp 38,149 123,931
Terna SpA(d) 6,951 19,936
Tiscali SpA(a)(d) 1,445 5,362
UniCredito Italiano SpA(d) 29,032 166,923
------------
2,570,680
------------
JAPAN -- 21.2%
77 Bank, Ltd. 3,000 21,109
ACOM Co., Ltd. 570 42,665
ADERANS Co., Ltd. 300 6,939
Advantest Corp.(d) 600 51,469
AEON Co., Ltd. 4,800 80,101
Aeon Credit Service Co.,
Ltd. 200 14,892
Aiful Corp. 350 38,494
Aisin Seiki Co., Ltd. 1,200 30,389
Ajinomoto Co., Inc. 5,000 59,530
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Alfresa Holdings Corp.(d) 200 $ 7,339
All Nippon Airways Co.,
Ltd.(d) 4,000 13,936
ALPS Electric Co., Ltd. 1,000 14,902
Amada Co., Ltd. 3,000 16,571
Amano Corp. 1,000 9,935
Anritsu Corp. 1,000 7,700
Aoyama Trading Co., Ltd. 400 10,891
Ariake Japan Co., Ltd. 100 2,410
Asahi Breweries, Ltd.(d) 3,000 37,152
Asahi Glass Co., Ltd.(d) 6,000 66,166
Asahi Kasei Corp. 10,000 50,063
Asatsu-DK, Inc.(d) 300 8,446
Autobacs Seven Co., Ltd. 200 5,846
Bandai Co., Ltd. 600 13,643
Bank of Fukuoka, Ltd.(d) 5,000 32,936
Bank of Yokohama, Ltd. 9,000 56,739
Benesse Corp. 500 17,517
Bridgestone Corp.(d) 5,000 99,541
Canon, Inc.(d) 6,700 361,579
Capcom Co., Ltd.(d) 300 2,852
Casio Computer Co., Ltd. 1,500 23,143
Central Glass Co., Ltd. 2,000 14,170
Central Japan Railway Co. 8 65,346
Chiba Bank, Ltd. 6,000 40,109
Chubu Electric Power
Co.(d) 5,400 129,638
Chugai Pharmaceutical Co.,
Ltd.(d) 2,100 34,716
Circle K Sunkus Co.,
Ltd.(d) 500 12,857
Citizen Watch Co., Ltd.(d) 2,000 19,225
Coca-Cola West Japan Co.,
Ltd.(d) 300 7,700
COMSYS Holdings Corp. 1,000 9,261
Credit Saison Co., Ltd. 1,100 40,041
CSK Corp.(d) 500 22,641
DAI Nippon Printing Co.,
Ltd. 5,000 80,219
Daicel Chemical
Industries, Ltd. 2,000 11,320
Daiichi Pharmaceutical
Co., Ltd. 1,900 41,071
Daikin Industries, Ltd. 1,600 46,218
Daimaru, Inc.(d) 2,000 16,376
</Table>
11
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
JAPAN -- (CONTINUED)
Dainippon Ink & Chemicals,
Inc. 5,000 $ 11,516
Dainippon Screen MFG. Co.,
Ltd. 1,000 6,138
Daito Trust Construction
Co., Ltd.(d) 700 33,268
Daiwa House Industry Co.,
Ltd. 4,000 45,477
Daiwa Securities Group,
Inc. 10,000 72,216
Denki Kagaku Kogyo
Kabushiki Kaisha 3,000 9,983
Denso Corp. 4,300 115,190
Dentsu, Inc.(d) 12 32,322
Dowa Mining Co., Ltd. 2,000 13,018
East Japan Railway Co. 27 150,190
Ebara Corp.(d) 2,000 9,232
Eisai Co., Ltd. 2,000 65,775
Electric Power Development
Co., Ltd. 1,100 30,809
FamilyMart Co., Ltd. 700 20,391
FANUC, Ltd. 1,200 78,462
Fast Retailing Co., Ltd. 400 30,448
Fuji Electric Co., Ltd. 4,000 10,774
Fuji Photo Film Co., Ltd. 3,800 138,694
Fuji Soft ABC, Inc.(d) 400 13,233
Fuji Television Network,
Inc. 4 8,666
Fujikura, Ltd. 3,000 13,819
Fujisawa Pharmaceutical
Co., Ltd. 2,300 62,960
Fujitsu, Ltd.(d) 14,000 91,129
Furukawa Electric Co.,
Ltd.(a)(d) 4,000 22,172
Goodwill Group, Inc. 4 9,876
Gunma Bank, Ltd. 3,000 17,420
Gunze, Ltd. 2,000 9,291
Hankyu Department Stores,
Inc. 1,000 7,251
Hino Motors, Ltd.(d) 2,000 14,853
Hirose Electric Co., Ltd. 200 23,382
Hitachi Cable, Ltd. 1,000 4,714
Hitachi Capital Corp.(d) 600 12,384
Hitachi Chemical Co.,
Ltd. 800 14,318
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Hitachi Construction
Machinery Co., Ltd. 1,000 $ 13,750
Hitachi Software
Engineering Co., Ltd. 200 4,567
Hitachi, Ltd. 25,000 173,221
Hokkaido Electric Power
Co., Inc. 1,400 27,530
Hokugin Financial Group,
Inc. 9,000 24,593
Honda Motor Co., Ltd.(d) 6,000 310,920
House Food Corp.(d) 500 7,222
Hoya Corp.(d) 800 90,329
Isetan Co., Ltd. 1,300 15,161
Ishihara Sangyo Kaisha,
Ltd. 2,000 4,587
Ishikawajima-Harima Heavy
Industries Co., Ltd.(a) 8,000 11,008
Ito En, Ltd.(d) 200 10,384
Ito-Yokado Co., Ltd. 2,600 109,105
Itochu Corp. 11,000 50,883
Itochu Techno-Science
Corp.(d) 200 8,002
Jafco Co., Ltd. 200 13,584
Japan Airlines System
Corp. 7,000 20,289
Japan Real Estate
Investment Corp.(d) 2 16,863
Japan Retail Fund
Investment Corp.(d) 2 16,883
Japan Tobacco, Inc. 7 79,926
JFE Holding, Inc.(d) 4,300 122,743
JGC Corp. 2,000 18,288
Joyo Bank, Ltd. 5,000 24,397
JSR Corp. 1,400 30,672
Kajima Corp.(d) 7,000 30,126
Kaken Pharmaceutical Co.,
Ltd. 1,000 6,587
Kamigumi Co., Ltd.(d) 2,000 15,966
Kanebo, Ltd.(a) 300 4,362
Kaneka Corp.(d) 2,000 22,641
Kansai Electric Power Co. 5,900 119,762
Kansai Paint Co., Ltd. 2,000 12,140
Kao Corp. 4,000 102,274
Katokichi Co., Ltd. 300 6,002
Kawasaki Heavy Industries,
Ltd.(d) 10,000 16,395
</Table>
12
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
JAPAN -- (CONTINUED)
Kawasaki Kisen Kaisha,
Ltd.(d) 4,000 $ 25,725
Keihin Electric Express
Railway Co., Ltd.(d) 3,000 18,474
Keio Electric Railway Co.,
Ltd. 5,000 29,326
Keyence Corp. 200 44,813
Kikkoman Corp. 1,000 9,535
Kinden Corp. 1,000 7,475
Kintetsu Corp.(d) 12,000 41,456
Kirin Brewery Co., Ltd.(d) 6,000 59,081
Kobe Steel, Ltd.(d) 19,000 29,111
Kokuyo Co., Ltd.(d) 600 7,243
Komatsu, Ltd. 8,000 55,977
Konami Co., Ltd.(d) 700 16,224
Konica Minolta Holdings,
Inc.(d) 3,500 46,453
Koyo Seiko Co., Ltd. 1,000 14,072
Kubota Corp. 8,000 39,660
Kuraray Co., Ltd. 3,000 26,905
Kurita Water Industries,
Ltd. 800 11,508
Kyocera Corp. 1,300 100,098
Kyowa Hakko Kogyo Co.,
Ltd. 3,000 22,543
Kyushu Electric Power Co. 3,200 64,643
Lawson, Inc. 500 18,444
Leopalace21 Corp. 1,100 19,366
Mabuchi Motor Co., Ltd.(d) 200 14,424
Makita Corp. 1,000 17,488
Marubeni Corp. 10,000 27,715
Marui Co., Ltd.(d) 2,500 33,473
Matsumotokiyoshi Co.,
Ltd.(d) 400 11,398
Matsushita Electric
Industrial Co., Ltd. 17,400 276,104
Matsushita Electric Works,
Ltd. 2,000 17,429
Mediceo Holdings Co.,
Ltd.(d) 1,000 11,252
Meiji Dairies Corp. 2,000 11,867
Meiji Seika Kaisha,
Ltd.(d) 2,000 9,232
Meitec Corp.(d) 300 11,184
Millea Holdings, Inc. 11 163,170
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Minebea Co., Ltd. 3,000 $ 13,087
Mitsubishi Chemical
Corp.(d) 13,000 39,582
Mitsubishi Corp.(d) 9,000 116,288
Mitsubishi Electric Corp. 14,000 68,586
Mitsubishi Estate Co.,
Ltd. 8,000 93,686
Mitsubishi Gas Chemical
Co., Inc. 3,000 14,141
Mitsubishi Heavy
Industries, Ltd.(d) 23,000 65,317
Mitsubishi Logistics
Corp. 1,000 9,857
Mitsubishi Materials
Corp. 7,000 14,687
Mitsubishi Rayon Co.,
Ltd. 4,000 14,560
Mitsubishi Tokyo Financial
Group, Inc. 36 365,385
Mitsui & Co., Ltd.(d) 10,000 89,685
Mitsui Chemicals, Inc. 5,000 27,227
Mitsui Engineering &
Shipbuilding Co.,
Ltd.(d) 5,000 8,539
Mitsui Fudosan Co.,
Ltd.(d) 6,000 72,899
Mitsui Mining & Smelting
Co., Ltd. 4,000 17,644
Mitsui O.S.K. Lines, Ltd. 8,000 48,014
Mitsui Sumitomo Insurance
Co., Ltd.(d) 10,400 90,329
Mitsui Trust Holdings,
Inc.(d) 4,300 42,971
Mitsukoshi, Ltd.(d) 3,000 14,580
Mitsumi Electric Co.,
Ltd. 500 5,719
Mizuho Financial Group,
Inc. 62 312,208
Murata Manufacturing Co.,
Ltd. 1,800 100,654
Namco, Ltd.(d) 600 7,875
NEC Corp. 13,000 80,814
NEC Electronics Corp.(d) 300 14,638
Net One Systems Co., Ltd. 4 16,668
NGK Insulators, Ltd.(d) 2,000 19,128
NGK Spark Plug Co., Ltd. 1,000 10,354
Nichii Gakkan Co.(d) 200 6,480
Nichirei Corp.(d) 2,000 7,963
Nidec Corp.(d) 400 48,756
Nikko Cordial Corp. 13,000 68,888
Nikon Corp.(d) 2,000 24,710
Nintendo Co., Ltd. 800 100,478
</Table>
13
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
JAPAN -- (CONTINUED)
Nippon Building Fund,
Inc. 2 $ 17,059
Nippon Express Co., Ltd. 6,000 29,570
Nippon Kayaku Co., Ltd. 1,000 5,582
Nippon Light Metal Co.,
Ltd.(d) 5,000 12,638
Nippon Meat Packers, Inc. 1,000 13,555
Nippon Mining Holdings,
Inc.(d) 5,500 25,871
Nippon Oil Corp. 11,000 70,528
Nippon Sanso Corp. 2,000 11,730
Nippon Sheet Glass Co.,
Ltd.(d) 3,000 12,413
Nippon Shokubai Co., Ltd. 1,000 8,666
Nippon Steel Corp. 50,000 122,475
Nippon Telegraph and
Telephone Corp. 42 188,543
Nippon Unipac Holding 7 31,424
Nippon Yusen Kabushiki
Kaisha 7,000 37,709
Nippon Zeon Corp. 1,000 8,393
Nishimatsu Construction
Co., Ltd.(d) 2,000 6,968
Nissan Chemical
Industries, Ltd. 1,000 7,875
Nissan Motor Co., Ltd.(d) 20,300 220,691
Nisshin Seifun Group,
Inc. 1,000 11,086
Nisshin Steel Co., Ltd. 8,000 18,425
Nisshinbo Industries,
Inc. 1,000 7,485
Nissin Food Products Co.,
Ltd. 700 17,556
Nitori Co., Ltd.(d) 200 13,057
Nitto Denko Corp. 1,300 71,299
NOK Corp.(d) 700 21,928
Nomura Holdings, Inc. 15,000 218,698
Nomura Research Institute,
Ltd. 200 18,737
NSK, Ltd. 4,000 20,103
NTN Corp. 3,000 17,215
NTT Data Corp. 10 32,302
NTT DoCoMo, Inc. 160 295,111
Obayashi Corp. 5,000 31,521
Odakyu Electric Railway
Co., Ltd.(d) 5,000 28,984
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
OJI Paper Co., Ltd. 6,000 $ 34,430
Oki Electric Industry Co.,
Ltd.(a) 4,000 17,215
Okumura Corp. 2,000 12,648
Olympus Corp. 2,000 42,647
Omron Corp. 1,700 40,563
Onward Kashiyama Co.,
Ltd. 1,000 14,551
Oracle Corp., Japan(d) 300 15,546
Oriental Land Co., Ltd.(d) 400 27,794
ORIX Corp. 600 81,507
Osaka Gas Co., Ltd. 16,000 49,966
Pioneer Corp.(d) 1,200 23,421
Promise Co., Ltd. 700 50,005
Q.P. Corp.(d) 900 7,826
Rakuten, Inc.(a)(d) 4 4,567
Rakuten, Inc. New(a) 36 32,322
Resona Holdings, Inc.(a) 37,000 75,105
Ricoh Co., Ltd. 5,000 96,467
Rinnai Corp.(d) 400 10,735
Rohm Co., Ltd. 900 93,100
Ryohin Keikaku Co., Ltd. 300 15,078
Saizeriya Co., Ltd. 100 1,712
Sanden Corp. 1,000 6,187
Sanken Electric Co., Ltd. 1,000 13,087
Sankyo Co., Ltd. 3,000 67,776
Sankyo Co., Ltd. NPV 400 20,221
Sanwa Shutter Corp. 2,000 11,203
Sanyo Electric Co., Ltd. 12,000 41,456
Sapporo Holdings, Inc.(d) 2,000 9,466
Secom Co., Ltd. 1,500 60,018
Sega Sammy Holdings, Inc. 552 30,328
Seiko Epson Corp.(d) 800 35,601
Seino Transportation Co.,
Ltd. 1,000 9,369
Sekisui Chemical Co.,
Ltd. 3,000 21,928
Sekisui House, Ltd.(d) 4,000 46,609
Seven-Eleven Japan Co.,
Ltd.(d) 3,000 94,564
Sharp Corp. 7,000 114,287
Shimachu Co., Ltd. 400 9,896
Shimamura Co., Ltd.(d) 200 14,599
Shimano, Inc.(d) 600 17,127
Shimizu Corp. 5,000 25,081
</Table>
14
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
JAPAN -- (CONTINUED)
Shin-Etsu Chemical Co.,
Ltd. 2,900 $ 118,864
Shinsei Bank, Ltd.(d) 4,000 27,247
Shionogi & Co., Ltd.(d) 2,000 27,657
Shiseido Co., Ltd. 3,000 43,447
Shizuoka Bank, Ltd.(d) 5,000 47,380
Showa Denko K.K.(d) 7,000 18,035
Showa Shell Sekiyu K.K.(d) 1,100 10,016
Skylark Co., Ltd.(d) 700 12,037
SMC Corp. 400 45,789
Snow Brand Milk Products
Co., Ltd.(a)(d) 1,000 3,074
Softbank Corp.(d) 1,900 92,525
Sojitz Holdings
Corp.(a)(d) 2,200 9,533
Sompo Japan Insurance,
Inc. 6,000 61,130
Sony Corp. 7,400 285,976
Stanley Electric Co.,
Ltd. 1,200 20,564
Sumitomo Bakelite Co.,
Ltd. 1,000 6,314
Sumitomo Chemical Co.,
Ltd. 11,000 53,889
Sumitomo Corp. 7,000 60,388
Sumitomo Electric
Industries, Ltd. 5,000 54,406
Sumitomo Heavy Industries,
Ltd.(a)(d) 4,000 14,873
Sumitomo Metal Industries,
Ltd. 30,000 40,695
Sumitomo Metal Mining Co.,
Ltd. 4,000 28,574
Sumitomo Mitsui Financial
Group, Inc.(d) 32 232,653
Sumitomo Osaka Cement Co.,
Ltd. 3,000 7,348
Sumitomo Realty &
Development Co., Ltd.(d) 3,000 39,114
Sumitomo Trust & Banking
Co., Ltd. 9,000 65,082
Suruga Bank, Ltd. 2,000 15,966
Suzuken Co., Ltd. 300 8,051
T&D Holdings, Inc. 1,400 66,946
Taiheiyo Cement Corp. 7,800 19,411
Taisei Corp. 6,000 23,363
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Taisho Pharmaceutical Co.,
Ltd. 1,000 $ 21,762
Taiyo Yuden Co., Ltd. 1,000 11,633
Takara Holdings, Inc.(d) 2,000 13,018
Takashimaya Co., Ltd. 2,000 19,245
Takeda Chemical
Industries, Ltd. 7,100 357,529
Takefuji Corp. 530 35,844
Takuma Co., Ltd. 1,000 7,875
TDK Corp. 1,000 74,070
Teijin, Ltd. 6,000 26,056
Teikoku Oil Co., Ltd.(d) 2,000 11,125
Terumo Corp. 1,300 35,015
THK Co., Ltd.(d) 800 15,849
TIS, Inc.(d) 300 13,145
Tobu Railway Co., Ltd. 6,000 22,836
Toda Corp. 2,000 9,759
Toho Co., Ltd.(d) 1,100 17,380
Tohoku Electric Power Co.,
Inc. 3,400 61,052
Tokyo Broadcasting System,
Inc. 300 4,892
Tokyo Electric Power Co.,
Inc. 9,200 225,803
Tokyo Electron, Ltd. 1,400 86,211
Tokyo Gas Co., Ltd.(d) 20,000 81,975
Tokyu Corp.(d) 8,000 43,252
Tokyu Land Corp.(d) 2,000 8,354
Tonen General Sekiyu
K.K.(d) 3,000 27,315
Toppan Printing Co.,
Ltd.(d) 4,000 44,384
Toray Industries, Inc. 10,000 46,843
Toshiba Corp. 24,000 103,055
Tosoh Corp. 4,000 17,996
Tostem Inax Holding Corp. 2,000 36,323
Toto, Ltd.(d) 2,000 19,089
Toyo Seikan Kaisha, Ltd. 1,000 18,444
Toyo Suisan Kaisha, Ltd. 1,000 14,736
Toyobo Co., Ltd. 5,000 12,052
Toyoda Gosei Co., Ltd. 400 8,139
Toyota Industries Corp. 1,700 42,471
Toyota Motor Corp. 23,100 940,051
Trend Micro, Inc. 500 26,984
Ube Industries, Ltd. 6,000 10,130
</Table>
15
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
JAPAN -- (CONTINUED)
UFJ Holdings, Inc.(a) 30 $ 181,809
Uni-Charm Corp. 400 19,167
UNY Co., Ltd. 1,000 11,428
Ushio, Inc. 1,000 18,688
USS Co., Ltd.(d) 170 14,268
Wacoal Corp. 1,000 11,994
West Japan Railway Co. 14 56,563
World Co., Ltd. 300 10,540
Yahoo Japan Corp.(a)(d) 16 76,822
Yakult Honsha Co., Ltd. 1,000 17,800
Yamada Denki Co., Ltd.(d) 600 25,705
Yamaha Corp. 1,600 24,421
Yamaha Motor Co., Ltd.(d) 1,400 21,013
Yamanouchi Pharmaceutical
Co., Ltd.(d) 2,500 97,346
Yamato Transport Co.,
Ltd. 3,000 44,501
Yamazaki Baking Co., Ltd. 1,000 9,310
Yokogawa Electric Corp. 2,000 26,740
------------
15,752,960
------------
NETHERLANDS -- 4.8%
ABN AMRO Holding NV 12,856 340,578
Aegon NV(d) 11,296 154,002
Akzo Nobel NV(d) 2,223 94,818
ASML Holding NV(a) 3,940 63,248
Corio NV 362 21,207
DSM NV 639 41,361
Euronext NV(d) 771 23,548
Getronics NV(a)(d) 3,879 8,858
Hagemeyer NV(a) 4,146 9,580
Heineken NV(d) 2,061 68,719
IHC Caland NV 266 16,899
ING Groep NV 15,195 459,754
Koninklijke (Royal) KPN NV 16,345 155,296
Koninklijke (Royal) Numico
NV(a) 1,269 45,761
Koninklijke (Royal)
Philips Electronics NV 10,817 286,856
Koninklijke Ahold NV(a) 12,709 98,466
Oce NV 661 10,117
Qiagen NV(a)(d) 1,004 10,986
Randstad Holdings NV 383 15,071
Reed Elsevier NV 5,739 78,241
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Rodamco Europe NV 383 $ 30,403
Royal Dutch Petroleum
Co.(d) 17,154 987,457
TNT Post Group NV 3,089 83,890
Unilever NV(d) 4,699 315,076
Vedior NV(d) 1,377 22,442
VNU NV 2,036 60,136
Wereldhave NV 166 18,051
Wolters Kluwer NV 2,353 47,239
------------
3,568,060
------------
NEW ZEALAND -- 0.2%
Auckland International
Airport, Ltd. 2,438 14,053
Carter Holt Harvey, Ltd. 5,478 8,191
Contact Energy, Ltd.(d) 2,416 11,169
Fisher & Paykel Appliances
Holdings, Ltd., Series H 2,544 7,901
Fisher & Paykel Healthcare
Corp., Ltd. 4,030 9,431
Fletcher Building, Ltd. 3,621 17,314
Independent Newspapers,
Ltd. 917 3,809
Sky City Entertainment
Group, Ltd. 3,502 13,609
Telecom Corp. of New
Zealand, Ltd. 17,104 75,978
Tenon, Ltd. 48 76
Tower, Ltd.(a) 1,563 2,416
Warehouse Group, Ltd. 1,152 3,020
------------
166,967
------------
NORWAY -- 0.6%
DNB NOR ASA(d) 5,600 55,245
Frontline, Ltd.(d) 341 15,173
Norsk Hydro ASA 1,223 96,319
Norske Skogindustrier
ASA(d) 931 20,137
Orkla ASA(d) 1,592 52,308
Petroleum Geo-Services
ASA(a) 165 10,311
Schibsted ASA 400 11,359
Ship Finance
International, Ltd.(d) 78 1,610
Smedvig ASA, Series A 300 5,040
</Table>
16
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
NORWAY -- (CONTINUED)
Statoil ASA(d) 4,558 $ 71,493
Storebrand ASA 1,858 17,946
Tandberg ASA(d) 1,113 13,828
Telenor ASA(d) 6,556 59,535
Tomra Systems ASA(d) 1,501 8,253
Yara International
ASA(a)(d) 1,823 24,004
------------
462,561
------------
PORTUGAL -- 0.4%
Banco BPI SA 2,891 11,710
Banco Comercial Portugues
SA 15,193 39,030
Banco Espirito Santo SA,
Registered 889 16,071
Brisa-Auto Estrada de
Portugal SA 3,050 27,984
Cimpor-Cimentos de
Portugal, SGPS SA 1,787 10,080
Energias de Portugal SA 18,365 55,667
Jeronimo Martins SGPS
SA(a) 317 4,180
Portugal Telecom SGPS SA 6,820 84,358
PT Multimedia-Servicos de
Telecomunicacoes e
Multimedia SA 397 9,978
Sonae, SGPS SA 7,598 11,050
------------
270,108
------------
SINGAPORE -- 0.8%
Allgreen Properties, Ltd. 4,000 2,646
Ascendas Real Estate
Investment Trust, Series
A(a) 500 502
Ascendas Real Estate
Investment Trust
Units(d) 5,000 5,238
Capitaland, Ltd.(d) 9,000 11,743
CapitaMall Trust 6,600 7,116
Chartered Semiconductor
Manufacturing,
Ltd.(a)(d) 8,401 5,044
City Developments, Ltd. 3,487 15,166
ComfortDelGro Corp., Ltd. 15,000 14,243
Creative Technology,
Ltd.(d) 600 8,968
Datacraft Asia, Ltd.(a)(d) 3,000 3,240
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
DBS Group Holdings, Ltd. 9,000 $ 88,765
Fraser & Neave, Ltd. 1,082 10,804
Haw Par Corp., Ltd. 746 2,354
Jardine Cycle & Carriage,
Ltd. 566 3,675
Keppel Corp., Ltd. 4,356 22,949
Keppel Land, Ltd. 4,000 5,513
Neptune Orient Lines,
Ltd. 4,000 7,351
Oversea-Chinese Banking
Corp., Ltd. 8,365 69,179
Overseas Union Enterprise,
Ltd. 69 330
Parkway Holdings, Ltd. 7,063 6,490
SembCorp Industries, Ltd. 8,000 7,939
SembCorp Logistics, Ltd. 3,000 3,179
SembCorp Marine, Ltd. 5,000 4,166
Singapore Airlines, Ltd. 4,394 30,686
Singapore Exchange, Ltd. 6,000 6,579
Singapore Land, Ltd. 1,000 2,904
Singapore Post, Ltd. 11,000 5,997
Singapore Press Holdings,
Ltd. 13,085 36,873
Singapore Technologies
Engineering, Ltd. 12,000 17,128
Singapore
Telecommunications,
Ltd. 54,700 79,751
SMRT Corp., Ltd. 6,000 3,235
STATS ChipPAC, Ltd.(a)(d) 9,000 5,569
United Overseas Bank,
Ltd. 9,251 78,206
United Overseas Land,
Ltd. 3,327 4,117
Venture Corp. 2,000 19,481
Wing Tai Holdings, Ltd.(d) 5,833 3,573
------------
600,699
------------
SPAIN -- 4.1%
Abertis Infraestructuras
SA(d) 2,177 47,937
Acciona SA(d) 245 21,679
Acerinox, SA(d) 1,552 24,914
ACS SA(d) 2,155 49,210
Aguas De Barcelona 4 84
Altadis SA, Series A 2,204 100,958
</Table>
17
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
SPAIN -- (CONTINUED)
Amadeus Global Travel
Distribution SA, Series
A(d) 2,718 $ 27,967
Antena 3 Television(a) 175 12,643
Banco Bilbao Vizcaya
Argentaria SA(d) 26,509 470,222
Banco Popular Espanol
SA(d) 1,302 85,833
Banco Santander Central
Hispano SA(d) 48,887 606,685
Cintra Concesiones de
Infraestructuras de
Transporte SA(a) 1,682 18,473
Corporacion Mapfre SA 828 12,200
Endesa SA(d) 7,826 183,922
Fomento de Construcciones
y Contratas SA(d) 381 18,348
Gamesa Corporacion
Tecnologica, SA(d) 858 12,012
Gas Natural SDG SA(d) 1,330 41,146
Grupo Ferrovial SA(d) 532 28,433
Iberdrola SA(d) 6,290 159,879
Iberia Lineas Aereas de
Espana SA(d) 3,519 12,197
Indra Sistemas SA 1,076 18,384
Industria de Diseno Textil
SA(d) 1,777 52,414
Metrovacesa SA(d) 317 14,736
NH Hoteles SA 645 8,557
Promotora de Informaciones
SA(d) 590 12,527
Repsol YPF SA(d) 7,522 195,897
Sacyr Vallehermoso SA(d) 950 15,689
Sociedad General de Aguas
de Barcelona SA(d) 450 9,408
Sogecable SA(a)(d) 298 13,229
Telefonica Publicidad e
Informacion SA 1,278 11,847
Telefonica SA 36,721 691,794
Union Electrica Fenosa
SA(d) 1,814 47,711
Zeltia SA(d) 1,161 8,127
------------
3,035,062
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
SWEDEN -- 2.5%
Alfa Laval AB 644 $ 10,418
Assa Abloy AB, Series B(d) 2,516 42,972
Atlas Copco AB, Series
A(d) 885 39,952
Atlas Copco AB, Series B 600 25,055
Axfood AB 165 5,587
Billerud Aktiebolag(d) 411 7,329
Capio AB(a) 751 8,928
Castellum AB 281 10,064
D. Carnegie & Co., AB 580 7,506
Electrolux AB 2,305 52,722
Elekta AB(a) 291 8,386
Eniro AB 1,353 13,845
Gambro AB, Series A 1,700 24,239
Gambro AB, Series B 600 8,419
Getinge AB 1,254 15,615
Hennes & Mauritz AB (H&M),
Series B 3,885 135,338
Hoganas AB, Series B 207 5,560
Holmen AB, Series B 400 13,844
Lundin Petroleum AB(a) 1,658 9,506
Modern Times Group MTG
AB(a) 375 10,214
Nordea AB 18,150 182,991
OMX AB(a) 700 8,954
Oriflame Cosmetics SA(a) 250 5,793
Sandvik AB(d) 1,800 72,592
SAS AB(a)(d) 530 4,785
Scania AB 800 31,661
Securitas AB, Series B(d) 2,516 43,161
Skandia Forsakrings AB 8,878 44,220
Skandinaviska Enskilda
Banken (SEB), Series A 3,954 76,457
Skanska AB 2,900 34,802
SKF AB, Series B 767 34,164
SSAB Svenskt Stal AB,
Series A 400 9,631
SSAB Svenskt Stal AB,
Series B 200 4,710
Svenska Cellulosa AB
(SCA), Series B 1,633 69,666
Svenska Handelsbanken AB,
Series A 4,251 110,666
Swedish Match AB(d) 2,705 31,343
</Table>
18
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
SWEDEN -- (CONTINUED)
Tele2 AB, Series B(d) 789 $ 30,988
Telefonaktiebolaget LM
Ericsson(a) 119,192 380,244
TeliaSonera AB 15,386 92,148
Trelleborg AB, Series B 500 8,502
Volvo AB, Series A 800 30,517
Volvo AB, Series B(d) 1,885 74,743
Wihlborgs Fastigheter AB 748 15,758
WM-Data AB, Series B 2,000 4,334
------------
1,858,329
------------
SWITZERLAND -- 6.8%
ABB, Ltd.(a) 15,261 85,223
Adecco SA 1,098 55,281
Ciba Specialty Chemicals
AG 580 44,121
Clariant AG 1,927 31,097
Compagnie Financiere
Richemont AG 4,285 142,632
Credit Suisse Group(a) 9,356 393,296
Geberit AG 29 21,219
Givaudan SA(d) 61 40,180
Holcim, Ltd.(d) 1,318 79,398
Kudelski SA(a)(d) 275 10,109
Kuoni Reisen Holding AG,
Series B 25 10,993
Logitech International
SA(a) 353 21,576
Lonza Group AG 308 17,335
Micronas Semiconductor
Holding AG(a) 251 12,306
Nestle SA 3,323 869,398
Nobel Biocare Holding AG 196 35,508
Novartis AG(d) 19,608 988,074
Phonak Holding AG 335 11,048
Rieter Holding AG 35 10,157
Roche Holding AG(d) 5,784 665,839
Serono SA 54 35,570
SGS Societe Generale de
Surveillance Holding SA 35 24,516
Straumann Holding AG 61 12,660
Sulzer AG 29 11,534
Swatch Group AG,
Registered 283 41,538
Swatch Group AG, Series B 461 13,703
Swiss Reinsurance Co. 2,646 188,718
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Swisscom AG 217 $ 85,495
Syngenta AG 876 93,062
Synthes, Inc.(a) 390 43,730
UBS AG(d) 8,802 738,080
Unaxis Holding AG 88 8,745
Valora Holding AG 34 8,372
Zurich Financial Services
AG 1,183 197,253
------------
5,047,766
------------
UNITED KINGDOM -- 24.4%
3i Group PLC 4,791 61,260
Aegis Group PLC 8,948 18,554
Aggreko PLC 2,059 6,641
Alliance Unichem PLC 1,897 27,479
AMEC PLC 2,420 13,834
Amvescap PLC 6,540 40,274
Anglo American PLC 11,326 267,896
ARM Holdings PLC 7,769 16,482
Arriva PLC 1,660 17,210
Associates British Ports
Holdings PLC 2,535 23,118
AstraZeneca Group PLC 13,328 483,366
Aviva PLC 18,024 217,315
BAA PLC 8,763 98,253
BAE Systems PLC 25,103 111,090
Balfour Beatty PLC 3,378 20,445
Barclays PLC 51,698 581,635
Barratt Developments PLC 1,841 21,013
BBA Group PLC 3,401 18,658
Bellway PLC 963 15,068
Berkeley Group Holdings
PLC(a) 925 14,367
BG Group PLC 28,123 191,137
BHP Billiton PLC 19,678 230,646
BOC Group PLC 3,911 74,599
Boots Group PLC 6,369 80,154
BP PLC(c) 174,289 1,699,858
BPB PLC 3,882 35,272
Brambles Industries PLC 5,606 28,011
British Airways PLC(a) 4,154 18,742
British America Tobacco
PLC 12,887 222,057
British Land Co. PLC 4,325 74,400
British Sky Broadcasting
PLC 9,954 107,402
BT Group PLC 68,279 266,111
Bunzl PLC 3,620 30,198
</Table>
19
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
UNITED KINGDOM -- (CONTINUED)
Cable & Wireless PLC 19,144 $ 43,830
Cadbury Schweppes PLC 16,435 153,035
Capita Group PLC 5,385 37,814
Carnival PLC 1,337 81,576
Cattles PLC 2,458 17,319
Centrica PLC 30,330 137,570
Close Brothers Group PLC 1,076 15,173
Cobham PLC 860 20,424
Compass Group PLC 18,498 87,454
Cookson Group PLC(a) 16,253 11,077
Corus Group PLC(a) 36,263 35,159
Daily Mail & General Trust 2,381 33,919
Davis Service Group PLC 1,623 12,776
De La Rue PLC 1,472 9,807
Diageo PLC 24,412 348,234
Dixons Group PLC 14,881 43,426
Eircom Group PLC 4,059 9,545
Electrocomponents PLC 3,378 18,467
EMAP PLC 2,024 31,689
EMI Group PLC 6,225 31,671
Enterprise Inns PLC 2,783 42,478
Exel PLC 2,353 32,662
FirstGroup PLC 3,346 22,404
FKI PLC 4,708 10,530
Friends Provident PLC 15,909 47,037
George Wimpey PLC 2,961 22,995
GKN PLC 5,737 26,049
GlaxoSmithKline PLC(e) 47,251 1,108,565
Great Portland Estates PLC 1,052 6,645
Group 4 Securicor PLC(a) 9,274 24,927
GUS PLC 8,031 144,705
Hammerson PLC 2,165 36,100
Hanson PLC 5,921 50,842
Hays PLC 16,161 38,552
HBOS PLC 31,161 507,325
Hilton Group PLC 13,833 75,558
HMV Group PLC 3,349 16,717
HSBC Holdings PLC(c) 88,929 1,500,760
ICAP PLC 4,187 21,845
IMI PLC 2,689 20,328
Imperial Chemical
Industries PLC 9,506 43,984
Imperial Tobacco Group PLC 5,794 158,738
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Inchcape PLC 677 $ 25,411
InterContinental Hotels
Group PLC 5,317 66,098
International Power PLC(a) 13,336 39,558
Intertek Group PLC 1,331 18,015
Invensys PLC(a) 41,511 12,353
ITV PLC 36,322 73,396
J Sainsbury PLC 11,034 57,303
Johnson Matthey PLC 1,741 33,024
Kelda Group PLC 2,968 36,042
Kesa Electricals PLC 4,112 22,302
Kidde PLC 6,723 21,491
Kingfisher PLC 19,157 113,925
Land Securities Group PLC 3,681 98,940
Legal & General Group PLC 53,365 112,701
Liberty International PLC 1,888 35,178
Lloyds TSB Group PLC 44,766 406,526
LogicaCMG PLC 5,736 21,227
London Stock Exchange PLC 2,289 25,577
Man Group PLC 2,268 64,096
Marconi Corp. PLC(a) 1,808 19,525
Marks & Spencer Group PLC 13,513 88,987
Meggitt PLC 3,606 18,121
MFI Furniture Group PLC 4,959 11,806
Misys PLC 4,515 18,139
Mitchells & Butlers PLC 4,013 26,196
National Express Group PLC 1,207 19,129
National Grid Transco PLC 24,625 234,497
Next PLC 2,157 68,330
Novar PLC 3,484 12,592
Pearson PLC 6,299 76,007
Peninsular & Oriental
Steam Navigation Co. 5,734 32,751
Persimmon PLC 2,099 27,846
Pilkington PLC 8,661 18,291
Premier Farnell PLC 3,169 10,404
Provident Financial PLC 1,977 25,507
Prudential PLC 18,754 163,106
Punch Taverns PLC 2,251 29,841
Rank Group PLC 5,839 29,595
Reckitt Benckiser PLC 4,700 142,031
Reed Elsevier PLC 10,025 92,482
Rentokil Initial PLC 14,547 41,265
Reuters Group PLC 11,269 81,674
</Table>
20
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
UNITED KINGDOM -- (CONTINUED)
Rexam PLC 4,348 $ 38,358
Rio Tinto PLC 8,514 250,585
RMC Group PLC 1,820 29,666
Rolls-Royce Group PLC 12,741 60,420
Rolls-Royce Group PLC,
Class B(a) 466,919 896
Royal & Sun Alliance
Insurance Group PLC 22,825 33,962
Royal Bank of Scotland
Group PLC 25,157 846,198
SABMiller PLC 6,556 108,751
Sage Group PLC 9,814 38,108
Schroders PLC 1,006 14,505
Scottish & Newcastle PLC 6,460 54,044
Scottish & Southern Energy
PLC 7,035 117,844
Scottish Power PLC 14,707 113,862
Serco Group PLC 3,519 16,215
Severn Trent PLC 3,079 57,163
Shell Transport & Trading
Co. PLC 77,154 657,689
Signet Group PLC 13,573 28,665
Slough Estates PLC 3,269 34,519
Smith & Nephew PLC 7,337 75,080
Smiths Group PLC 4,394 69,344
SSL International PLC 1,537 9,295
Stagecoach Group PLC 6,770 14,785
Tate & Lyle PLC 3,133 28,436
Taylor Woodrow PLC 4,513 23,567
Tesco PLC 61,883 382,269
TI Automotive, Ltd., Class
A(a) 4,947 0
Tomkins PLC 6,057 29,566
Trinity Mirror PLC 2,724 33,262
Unilever PLC 22,041 216,449
United Business Media PLC 2,602 23,979
United Utilities PLC 4,471 54,078
United Utilities PLC,
Class A 2,500 21,479
Vodafone Group PLC(e) 530,816 1,439,499
Whitbread PLC 2,358 38,322
William Hill PLC 3,278 35,495
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
Wolseley PLC 4,604 $ 86,050
WPP Group PLC 8,907 97,986
Yell Group PLC 5,741 48,497
------------
18,072,429
------------
TOTAL COMMON STOCKS
(cost $51,758,637) 71,721,299
------------
PREFERRED STOCKS -- 0.2%
GERMANY -- 0.2%
Fresenius Medical Care AG 202 11,710
Henkel KGAA 496 43,148
Porsche AG 66 42,119
ProSieben Sat.1 Media AG 673 12,349
RWE AG 301 13,997
Volkswagen AG 875 29,032
------------
152,355
------------
NEW ZEALAND -- 0.0%
Tenon, Ltd. 366 576
------------
SWITZERLAND -- 0.0%
Schindler Holding AG 43 17,055
------------
TOTAL PREFERRED STOCKS
(cost $133,898) 169,986
------------
RIGHTS -- 0.0%
IRELAND -- 0.0%
Waterford Wedgwood(a) 2,638 2
Waterford Wedgwood(a) 8,541 6
------------
8
------------
ITALY -- 0.0%
Banca Nazionale del Lavoro
SpA(a) 8,797 2,152
------------
TOTAL RIGHTS
(cost $705) 2,160
------------
SHORT TERM INVESTMENTS -- 22.6%
UNITED STATES -- 22.6%
AIM Short Term Investment
Prime Portfolio(c) 184,029 184,029
AIM Treasury Fund(c) 86 86
Federated Money Market
Obligations Trust(c) 69 69
</Table>
21
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
MARKET
SHARES VALUE
---------- ------------
UNITED STATES -- (CONTINUED)
State Street Navigator
Securities Lending Prime
Portfolio(b)(f) (Note 4) 16,564,927 $ 16,564,927
------------
TOTAL SHORT TERM INVESTMENTS
(cost $16,749,111) 16,749,111
------------
TOTAL INVESTMENTS -- 119.5%
(cost $68,642,351) 88,642,556
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (19.5)% (14,474,834)
------------
NET ASSETS -- 100.0% $ 74,167,722
============
</Table>
<Table>
<Caption>
UNREALIZED
NUMBER OF APPRECIATION/
CONTRACTS (DEPRECIATION)
---------- --------------
SCHEDULE OF FUTURES
CONTRACTS (LONG)
SPI 200 Index Futures
Expiration date 03/2005 3 $ 8,273
CAC 40 Euro Futures
Expiration date 03/2005 4 (1,414)
Hang Seng Index Futures
Expiration date 01/2005 2 (12)
TOPIX Index Futures
Expiration date 03/2005 4 19,446
Financial Times Stock
Exchange
100 Index Futures
Expiration date 03/2005 5 7,347
MIB 30 Index Futures
Expiration date 03/2005 3 11,802
------------
Net unrealized
appreciation on open
futures contracts
purchased $ 45,442
==============
</Table>
- ---------------
(a) Non-income producing security.
(b) Security represents investment made with cash collateral from securities
loaned.
(c) All or a portion of these securities have been pledged to cover collateral
requirements for open futures contracts.
(d) All or a portion of these securities were on loan at December 31, 2004.
(e) All or a portion of these securities have been pledged to cover collateral
requirements for forward foreign currency exchange contracts.
(f) Affiliated issuer. See table below for more information.
<Table>
<Caption>
NUMBER OF SHARES PURCHASED SHARES SOLD FOR INCOME EARNED
SECURITY SHARES HELD FOR THE YEAR ENDED THE YEAR ENDED NUMBER OF SHARES FOR THE YEAR
DESCRIPTION AT 12/31/03 12/31/04 12/31/04 HELD AT 12/31/04 ENDED 12/31/04
- ----------- ----------- ------------------ --------------- ----------------- --------------
State Street Navigator
Securities Lending Prime
Portfolio 18,284,032 46,628,021 48,347,126 16,564,927 $109,342
</Table>
Abbreviations
ADR -- American Depositary Receipts
NPV -- No Par Value
22
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
INDUSTRY CONCENTRATION AS A PERCENTAGE OF NET ASSETS:
Financials 26.7%
Consumer Discretionary 12.7%
Industrials 9.5%
Energy 8.0%
Telecommunication Services 8.0%
Health Care 7.9%
Consumer Staples 7.4%
Materials 7.1%
Information Technology 4.9%
Utilities 4.7%
Cash, receivables, and other assets, less liabilities 3.1%
-----------
100.0%
-----------
</Table>
23
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
DECEMBER 31, 2004
<Table>
<Caption>
UNREALIZED
OPEN FORWARD FOREIGN CURRENCY USD FACE USD CURRENT ----------------
PURCHASE CONTRACTS VALUE VALUE GAIN LOSS
- ----------------------------- ---------- ----------- ------- ------
Australian Dollar
Local Contract amount -- 247,000 $ 192,655 $ 192,770 $ 115 $ --
Settlement Date -- 02/23/05
Euro Dollar
Local Contract amount -- 594,000 775,395 807,799 32,404 --
Settlement Date -- 02/23/05
Hong Kong Dollar
Local Contract amount -- 1,233,000 159,395 159,121 -- 274
Settlement Date -- 02/23/05
Japanese Yen
Local Contract amount -- 35,400,000 345,298 346,786 1,488 --
Settlement Date -- 02/23/05
Japanese Yen
Local Contract amount -- 7,000,000 67,108 68,574 1,466 --
Settlement Date -- 02/23/05
Pound Sterling
Local Contract amount -- 192,000 354,374 367,318 12,944 --
Settlement Date -- 02/23/05
Pound Sterling
Local Contract amount -- 70,000 133,560 133,918 358 --
Settlement Date -- 02/23/05
---------- ---------- ------- ------
Total Open Forward Foreign Currency
Purchase Contracts $2,027,785 $2,076,286 $48,775 $ 274
========== ========== ======= ======
<Caption>
UNREALIZED
OPEN FORWARD FOREIGN CURRENCY USD FACE USD CURRENT ----------------
SELL CONTRACTS VALUE VALUE GAIN LOSS
- ----------------------------- ---------- ----------- ------- ------
Euro Dollar
Local Contract amount -- 60,000 $ 79,612 $ 81,595 $ -- $1,983
Settlement Date -- 02/23/05
Pound Sterling
Local Contract amount -- 67,000 127,910 128,179 -- 269
Settlement Date -- 02/23/05
---------- ---------- ------- ------
Total Open Forward Foreign Currency
Sell Contracts $ 207,522 $ 209,774 $ -- $2,252
========== ========== ======= ======
</Table>
See Notes to Financial Statements.
24
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
<Table>
ASSETS
Investments in unaffiliated issuers at market (identified
cost $52,077,424) -- including $15,715,883 of
securities on loan (Note 2) $72,077,629
Investment in non-controlled affiliate at market
(identified cost $16,564,927) (Note 4) 16,564,927
-----------
88,642,556
Cash* 187,206
Foreign currency at market (cost $155,521) 155,945
Unrealized appreciation on forward foreign currency
exchange contracts 48,775
Receivables:
Investment securities sold 1,636,987
Dividends and interest 87,976
-----------
Total assets 90,759,445
LIABILITIES
Payables:
Investment securities purchased 13,802
Daily variation margin on futures contracts 929
Unrealized depreciation on forward foreign currency
exchange contracts 2,526
Due upon return of securities loaned 16,564,927
Management fees (Note 4) 9,539
-----------
Total liabilities 16,591,723
-----------
NET ASSETS $74,167,722
===========
COMPOSITION OF NET ASSETS
Paid-in capital $54,064,203
Net unrealized appreciation on investments, foreign
currency translation, and futures contracts 20,103,519
-----------
NET ASSETS $74,167,722
===========
</Table>
- ---------------
* Includes restricted cash of $187,145 held as collateral in relation to initial
margin requirements on futures contracts.
See Notes to Financial Statements.
25
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2004
<Table>
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $294,477) $ 1,505,892
Dividends (non-cash) 223,408
Interest 389
Security lending income (Notes 2 and 4) 109,342
-----------
Total Investment Income 1,839,031
EXPENSES
Management fees (Note 4) $ 119,505
-----------
Total Expenses 119,505
-----------
NET INVESTMENT INCOME 1,719,526
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain on:
Investments and foreign currency transactions 13,319,550
Futures contracts 679,306
-----------
13,998,856
Net change in unrealized appreciation (depreciation) on:
Investments and foreign currency translation (896,970)
Futures contracts (266,887)
-----------
(1,163,857)
-----------
Net realized and unrealized gain 12,834,999
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $14,554,525
===========
</Table>
See Notes to Financial Statements.
26
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
For the For the
Year Ended Year Ended
December 31, 2004 December 31, 2003
----------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 1,719,526 $ 2,062,152
Net realized gain (loss) on investments and futures
contracts 13,998,856 (7,474,780)
Net change in unrealized appreciation (depreciation) (1,163,857) 38,004,295
------------ ------------
Net increase in net assets resulting from
operations 14,554,525 32,591,667
------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions 29,971,572 104,752,849
Fair value of withdrawals (95,183,877) (91,872,233)
------------ ------------
Net increase (decrease) in net assets from capital
transactions (65,212,305) 12,880,616
------------ ------------
TOTAL NET INCREASE (DECREASE) IN NET ASSETS (50,657,780) 45,472,283
NET ASSETS
Beginning of year 124,825,502 79,353,219
------------ ------------
End of year $ 74,167,722 $124,825,502
============ ============
</Table>
See Notes to Financial Statements.
27
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
<Table>
<Caption>
Year Year Year Year Period
Ended Ended Ended Ended Ended
12/31/04 12/31/03 12/31/02 12/31/01 12/31/00*
-------- -------- -------- -------- ---------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in
thousands) $74,168 $124,826 $79,353 60,571 $87,620
Ratios to average net assets:
Operating expenses 0.15% 0.15% 0.15% 0.15% 0.15%+
Net investment income 2.16% 2.20% 1.85% 1.49% 0.81%+
Portfolio turnover rate** 32% 26% 13% 31% 8%++
Total return(a) 19.08% 37.59% (16.05%) (21.88%) (0.80%)++
</Table>
- ---------------
* 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.
28
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
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 December 31, 2004, only the Portfolio,
State Street Equity 500 Index Portfolio and State Street Money Market Portfolio
had commenced operations. Pursant 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(R) EAFE(R) Index"). The Portfolio
attempts to hold the MSCI(R) EAFE(R) Index constituents in their approximate
benchmark weights.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: The Portfolio's investments are valued each business day by
independent pricing services. Equity securities 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 based upon current exchange
rates. 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. For example, fair value pricing may be
used when a significant event affecting the value of one or more securities held
by the Portfolio occurs after the close of a related exchange but before the
determination of the Portfolio's net asset value. A significant event
29
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
includes material market movements, whereby if on any business day a change in
the value of the U.S. equity markets (as represented by a benchmark index
approved by the Board of Trustees) exceeds a certain threshold, then each
foreign security held by the Portfolio may be fair valued using a value
determined by an independent pricing agent (based upon changes in certain
markets, indices and/or securities) rather than using the last closing price of
such foreign security on its principal overseas market or exchange. Attempts to
determine the fair value of securities introduce an element of subjectivity to
the pricing of securities. As a result, the price of a security determined
through fair valuation techniques may differ from the price quoted or published
by other sources and may not accurately reflect the market value the Portfolio
would have received had it sold the investment.
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. 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.
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.
30
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
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, sovereign debt, 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 year ended December 31, 2004, the earned income
for the Portfolio and State Street was $109,342 and $36,447, respectively.
31
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
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 December 31,
2004, the value of the securities loaned amounted to $15,715,883. The loans were
collateralized with cash of $16,564,927, which the Portfolio invested in the
State Street Navigator Securities Lending Prime Portfolio (the "Prime
Portfolio"), an affiliated investment company, and $10,596 of securities held by
the custodian as collateral for Portfolio securities loaned as follows:
<Table>
<Caption>
Principal Maturity Interest
Amount Dates Rates Value
- --------- -------- -------- -------
$ 913 U.S. Treasury Bond 02/15/26 6.000% $ 1,067
752 U.S. Treasury Bond 02/15/27 6.625 945
U.S. Treasury Bond
162 Stripped Principal 05/15/17 8.750 91
U.S. Treasury Bond
278 Stripped Principal 05/15/21 8.125 123
U.S. Treasury Bond
7,400 Stripped Principal 11/15/21 8.000 3,186
U.S. Treasury Bond
14,742 Stripped Principal 08/15/25 6.875 5,184
-------
$10,596
</Table>
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles that require the
use of management estimates. Actual results could differ from those estimates.
3. SECURITIES TRANSACTIONS
For the year ended December 31, 2004, purchases and sales of investment
securities, excluding short-term investments and futures contracts, aggregated
to $24,279,459 and $82,461,764, respectively.
At December 31, 2004, the tax cost of investments was $72,569,821. The aggregate
gross unrealized appreciation and gross unrealized depreciation was $20,331,526
and $4,258,791, respectively, resulting in net appreciation of $16,072,735 for
all securities as computed on a federal income tax basis. The differences
between book and tax cost amounts are primarily due to wash sale loss deferrals.
32
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM"), a subsidiary of State Street Corp. and an
affiliate of State Street, under which SSgA FM directs the investments of the
Portfolio in accordance with its investment objective, policies and limitations.
The Trust has contracted with State Street to provide custody and administration
and transfer agent services to the Portfolio. As compensation for SSgA FM's
services as investment adviser and for State Street's services as administrator,
custodian and transfer agent (and for assuming ordinary operating expenses of
the Portfolio, including ordinary legal, audit and trustees fees 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 FM. 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 FM. The market value of this
investment at December 31, 2004 is listed in the Portfolio of Investments.
5. INDEMNIFICATIONS
Like many other companies, the Trust's organizational documents provide that its
officers and trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Trust. In addition, both in some of its
principal service contracts and in the normal course of its business, the Trust
enters into contracts that provide indemnifications to other parties for certain
types of losses or liabilities. The Trust's maximum exposure under these
arrangements in unknown as this could involve future claims against the Trust.
33
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures are
available without charge, upon request, by (i) calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
also available without charge, upon request, by (i) calling (877) 521-4083 or
(ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Form N-Q is available on the SEC's website at
www.sec.gov. The Trust's Form N-Q may be reviewed and copied at the SEC's Public
Reference Room in Washington, D.C. and information on the operation of the
Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent
Form N-Q is available without charge, upon request, by calling (877) 521-4083.
34
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street MSCI(R) EAFE(R) Index Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the State Street MSCI(R) EAFE(R) Index
Portfolio (one of the portfolios constituting State Street Master Funds) (the
Portfolio) as of December 31, 2004, and the related statement of operations for
the year then ended, the statements of changes in net assets for each of the two
years in the period then ended and the financial highlights for each of periods
indicated therein. These financial statements and financial highlights are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Portfolio's internal control over financial reporting. Accordingly, we express
no such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the custodian and brokers or other appropriate
auditing procedures where replies from the brokers were not received. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street MSCI(R) EAFE(R) Index Portfolio of State Street Master Funds at
December 31, 2004, the results of its operations for the year then ended, the
changes in its net assets for each of the two years in the period then ended and
the financial highlights for each of the periods indicated therein, in
conformity with U.S. generally accepted accounting principles.
/s/ ERNST & YOUNG LLP
Boston, Massachusetts
February 11, 2005
35
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
-----------------------------------------------------------------------------------------------------------------------------------
INDEPENDENT TRUSTEES:
-----------------------------------------------------------------------------------------------------------------------------------
Michael F. Holland Trustee and Term: Indefinite Chairman, Holland & Company L.L.C. 14 Trustee, State
Holland & Company, LLC Chairman of (investment adviser) (1995 -- present). Street
375 Park Avenue the Board Elected: 7/99 Institutional
New York, NY 10152 Investment
DOB: 07/08/44 Trust; Director
of the Holland
Series Fund,
Inc.; and
Director, The
China Fund,
Inc.
-----------------------------------------------------------------------------------------------------------------------------------
William L. Boyan Trustee Term: Indefinite Trustee of Old Mutual South Africa Master 14 Trustee, State
State Street Master Trust (investments) (1997 -- present); Street
Funds Elected: 7/99 Chairman emeritus, Children's Hospital Institutional
P.O. Box 5049 (1984 -- present); Director, Boston Plan For Investment
Boston, MA 02206 Excellence (non-profit) (1994 -- present); Trust; and
DOB: 01/20/37 President and Chief Operations Officer, John Trustee, Old
Hancock Mutual Life Insurance Company Mutual South
(1959 -- 1999). Mr. Boyan retired in 1999. Africa Master
Trust
-----------------------------------------------------------------------------------------------------------------------------------
Rina K. Spence Trustee Term: Indefinite President of SpenceCare International LLC 14 Trustee, State
7 Acacia Street (1998 -- present); Member of the Advisory Street
Cambridge, MA 02138 Elected: 7/99 Board, Ingenium Corp., (technology company) Institutional
DOB: 10/24/48 (2001 -- present); Chief Executive Officer, Investment
IEmily.com, (internet company) Trust; Director
(2000 -- 2001); Trustee Eastern Enterprise of Berkshire
(utilities) (1988 -- 2000). Life Insurance
Company of
America; and
Director,
IEmily.com
-----------------------------------------------------------------------------------------------------------------------------------
Douglas T. Williams Trustee Term: Indefinite Executive Vice President of Chase Manhattan 14 Trustee, State
State Street Master Bank, (1987 -- 1999). Mr. Williams retired Street
Funds Elected: 7/99 in 1999. Insitutional
P.O. Box 5049 Investment
Boston, MA 02206 Trust
DOB: 12/23/40
-----------------------------------------------------------------------------------------------------------------------------------
</Table>
36
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
<Table>
<Caption>
----------------------------------------------------------------------------------------------------------------------------------
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
----------------------------------------------------------------------------------------------------------------------------------
OFFICERS:
----------------------------------------------------------------------------------------------------------------------------------
Donald A. Gignac President Term: Senior Vice President of State Street Bank -- --
State Street Bank and Indefinite and Trust Company (2002 -- present); Vice
Trust Company President of State Street Bank and Trust
2 Avenue de Lafayette Elected: 8/03 Company (1993 to 2002).
Boston, MA 02111
DOB: 06/14/65
----------------------------------------------------------------------------------------------------------------------------------
Karen Gillogly Treasurer Term: Vice President of State Street Bank and -- --
State Street Bank and Indefinite Trust Company (1999 -- present); Audit
Trust Company Senior Manager, Ernst & Young
One Federal Street Elected: 9/03 LLP(1998 -- 1999).
Boston, MA 02110
DOB: 09/03/66
----------------------------------------------------------------------------------------------------------------------------------
Julie A. Tedesco Secretary Term: Vice President and Counsel of State Street -- --
State Street Bank and Indefinite Bank and Trust Company (2000 -- present);
Trust Company Counsel of First Data Investor Services
One Federal Street Elected: 5/00 Group, Inc., (1994 -- 2000).
Boston, MA 02110
DOB: 09/03/57
----------------------------------------------------------------------------------------------------------------------------------
Peter A. Ambrosini Chief Term: Unlimited Senior Principal and Chief Compliance and -- --
SSgA Funds Compliance Risk Management Officer, SSgA Funds
Management, Inc. Officer Elected: 5/04 Management, Inc. and State Street Global
State Street Financial Advisors (2001 -- present); Managing
Center Director, PricewaterhouseCoopers LLP
One Lincoln Street (1986 -- 2001).
Boston, MA 02111
DOB: 12/17/43
----------------------------------------------------------------------------------------------------------------------------------
</Table>
The Statement of Additional Information includes additional information about
the Trust's Trustees and is available, without charge, upon request, by calling
(toll free) 877-521-4083.
37
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02109
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET MSCI(R) EAFE(R) INDEX PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET MONEY MARKET PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 2004
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* DECEMBER 31, 2004
- ---------------------- -----------------
Repurchase Agreements 45.1%
Commercial Paper 26.9
Time Deposits 7.0
U.S. Government Agency Obligations 6.6
Bank Note 3.9
Euro Certificate of Deposit 3.9
Medium Term Note 3.9
Yankee Certificate of Deposit 2.6
Other assets less liabilities 0.1
---------
Total 100.0%
---------
MATURITY LADDER* DECEMBER 31, 2004
- ---------------- -----------------
3 Days 52.1%
4-90 Days 44.0
90+ Days 3.9
----------
Total 100.0%
----------
Average maturity 19 Days
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
1
STATE STREET MONEY MARKET PORTFOLIO
EXPENSE EXAMPLE
As a shareholder of the State Street Money Market Portfolio (the "Portfolio"),
you incur ongoing costs, which include costs for portfolio management and
administrative services, among others. This example is intended to help you
understand your ongoing costs (in dollars) of investing in the Portfolio and to
compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from August 12, 2004 (commencement
of operations) to December 31, 2004.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Portfolio's actual return, and the
third column shows the dollar amount that would have been paid by an
investor who started with $1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help
you compare your Portfolio's costs with those of other mutual funds.
It assumes that the Portfolio had a yearly return of 5% before
expenses, but that the expense ratio is unchanged. In this case-
because the return used is not the Portfolio's actual return- the
results do not apply to your investment. The example is useful in
making comparisons because the Securities and Exchange Commission
requires all mutual funds to calculate expenses based on a 5%
return. You can assess your Portfolio's costs by comparing this
hypothetical example with the hypothetical examples that appear in
shareholder reports of other funds.
Period from August 12, 2004 (commencement of operations) to December 31, 2004
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
8/12/04 12/31/04 PERIOD *
------------- ------------- -------------
BASED ON ACTUAL
PORTFOLIO RETURN $1,000.00 $1,006.84 $ 0.39
BASED ON
HYPOTHETICAL (5%
RETURN BEFORE
EXPENSES) $1,000.00 $1,019.01 $ 0.39
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted expense
ratio as of December 31, 2004 was 0.100%. The dollar amounts shown as "Expenses
Paid" are equal to the annualized average weighted expense ratio multiplied by
the average account value over the period, multiplied by the number of days in
the most recent period (from August 12, 2004 (commencement of operations) to
December 31, 2004), then divided by the number of days in the most recent
12-month period.
2
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------ ---- ---- ------ ------
COMMERCIAL PAPER - 26.85%
ABCP CREDIT ARBITRAGE - 6.53%
Aspen Funding Corp. 2.470% 03/16/2005 $ 5,000,000 $ 4,975,025
Grampian Funding Ltd. 2.310% 02/04/2005 10,000,000 9,977,994
Lake Constance Funding LLC 2.200% 02/07/2005 10,000,000 9,977,389
-------------
24,930,408
-------------
ABCP HYBRID - 1.31%
Giro Balanced Funding Corp. 2.260% 01/14/2005 5,000,000 4,995,775
-------------
ABCP RECEIVABLES AND SECURITIES - 9.34%
CRC Funding LLC 2.300% 01/31/2005 7,500,000 7,485,313
Liberty Street Funding Corp. 2.290% 01/25/2005 10,000,000 9,984,267
Nieuw Amsterdam Receivables 2.500% 03/21/2005 8,259,000 8,214,234
Thunder Bay Funding, Inc. 2.490% 03/14/2005 10,000,000 9,951,000
-------------
35,634,813
-------------
BANK FOREIGN - 5.23%
Alliance & Leicester Plc 1.860% 01/27/2005 10,000,000 9,986,567
Nordea North America, Inc. 2.280% 01/26/2005 10,000,000 9,983,785
-------------
19,970,352
-------------
FINANCE NON-CAPTIVE CONSUMER - 4.44%
General Electric Capital Corp. 1.850% 02/11/2005 10,000,000 9,978,931
General Electric Capital Corp. 1.990% 03/09/2005 7,000,000 6,974,075
16,953,005
-------------
TOTAL COMMERCIAL PAPER 102,484,353
-------------
YANKEE CERTIFICATE OF DEPOSIT - 2.62%
BANK FOREIGN - 2.62%
UBS AG 1.950% 02/17/2005 10,000,000 10,000,000
-------------
TOTAL YANKEE CERTIFICATE OF DEPOSIT 10,000,000
-------------
EURO CERTIFICATE OF DEPOSIT - 3.93%
BANK FOREIGN - 3.93%
Societe Generale 1.820% 01/19/2005 15,000,000 15,000,000
-------------
TOTAL EURO CERTIFICATE OF DEPOSIT 15,000,000
-------------
BANK NOTE - 3.93%
BANK DOMESTIC - 3.93%
U.S. Bank NA 1.920% 02/10/2005 15,000,000 15,000,000
-------------
TOTAL BANK NOTE 15,000,000
-------------
MEDIUM TERM NOTE - 3.93%
FINANCE NON-CAPTIVE CONSUMER - 3.93%
American Express Credit Corp. (a) 2.510% 01/18/2005 15,000,000 15,005,794
-------------
TOTAL MEDIUM TERM NOTE 15,005,794
-------------
TIME DEPOSITS - 7.02%
BANK DOMESTIC - 7.02%
Marshall & Ilsley 2.000% 01/03/2005 11,821,000 11,821,000
National City Bank 2.000% 01/03/2005 15,000,000 15,000,000
-------------
TOTAL TIME DEPOSITS 26,821,000
-------------
3
STATE STREET MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 2004
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------ ---- ---- ------ ------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.54%
Federal National Mortgage Association (a) 2.350% 03/09/2005 $ 15,000,000 $ 14,995,346
Federal National Mortgage Association Discount Notes 1.830% 02/16/2005 10,000,000 9,976,617
-------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 24,971,963
-------------
REPURCHASE AGREEMENTS -- 45.11%
Bear Stearns Tri Party Repo, dated 12/31/04
(collateralized by Federal Home Loan Mortgage
Corporation, 4.500%-8.500% due 04/01/13-11/01/34 and
Federal National Mortgage Association, 4.000%-8.000%
due 08/01/08-01/01/35 valued at $61,204,538); proceeds
$60,011,450 2.290% 01/03/2005 60,000,000 60,000,000
Countrywide Tri Party Repo, dated 12/31/04
(collateralized by Federal Home Loan Mortgage
Corporation, 6.000% due 11/01/33 and Federal National
Mortgage Association, 4.500% due 05/01/13 valued at
$15,300,000); proceeds $15,002,875 2.300% 01/03/2005 15,000,000 15,000,000
Goldman Sachs Tri Party Repo, dated 12/31/04
(collateralized by U.S. Treasury Stripped Principal, zero
coupon due 11/15/05 valued at $83,825,641); proceeds
$82,197,341 2.240% 01/03/2005 82,182,000 82,182,000
Lehman Brothers Tri Party Repo, dated 12/31/04
(collateralized by Federal Home Loan Bank, 5.750% due
05/15/12 and Federal Home Loan Mortgage Corporation,
2.125% due 11/15/05 valued at $15,303,134); proceeds
$15,002,750 2.200% 01/03/2005 15,000,000 15,000,000
-------------
TOTAL REPURCHASE AGREEMENTS 172,182,000
-------------
TOTAL INVESTMENTS -- 99.93% 381,465,110
OTHER ASSETS LESS LIABILITIES -- 0.07% 250,395
-------------
NET ASSETS -- 100.00% $ 381,715,505
=============
(a) Floating Rate Note - Interest rate shown is rate in effect at December 31,
2004.
+ See Note 2 to the Financial Statements.
See Notes to the Financial Statements.
4
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
ASSETS
Investments in unaffiliated issuers, at amortized cost (Note 2) $ 209,283,110
Repurchase agreements (cost $172,182,000) (Note 2) 172,182,000
--------------
381,465,110
Receivables:
Cash 645
Interest receivable 292,991
Receivable from adviser (Note 3) 27,282
--------------
Total assets 381,786,028
LIABILITIES
Payables:
Administration, custody and transfer agent fees (Note 3) 8,064
Investment advisory fee (Note 3) 22,350
Professional fees 35,200
Accrued expenses and other liabilities 4,909
--------------
Total Liabilities 70,523
--------------
NET ASSETS $ 381,715,505
==============
COMPOSITION OF NET ASSETS
Paid-in capital $ 381,715,505
--------------
NET ASSETS $ 381,715,505
==============
See Notes to Financial Statements.
5
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2004*
INVESTMENT INCOME
Interest $ 2,240,100
-----------
EXPENSES
Management fees (Note 3) 123,336
Administration, custody and transfer agent fees (Note 3) 58,064
Professional fees 35,708
Trustees' fees 3,909
Printing fees 2,000
Other expenses 2,909
-----------
Total Expenses 225,926
Less: Fee waivers/reimbursements by investment adviser (Note 3) (102,591)
-----------
Total Net Expenses 123,335
-----------
NET INVESTMENT INCOME 2,116,765
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,116,765
===========
* The Portfolio commenced operations on August 12, 2004.
See Notes to Financial Statements.
6
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
For the Period
Ended
December 31, 2004*
------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 2,116,765
---------------
Net increase in net assets resulting from operations 2,116,765
---------------
CAPITAL TRANSACTIONS
Proceeds from contributions 1,620,664,197
Fair value of withdrawals (1,241,065,457)
---------------
Net increase in net assets from capital transactions 379,598,740
---------------
TOTAL NET INCREASE IN NET ASSETS 381,715,505
NET ASSETS
Beginning of period -
---------------
End of period $ 381,715,505
===============
* The Portfolio commenced operations on August 12, 2004.
See Notes to Financial Statements.
7
STATE STREET MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
PERIOD
ENDED
12/31/04*
---------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in thousands) $ 381,716
Ratios to average net assets:
Gross operating expenses 0.18%**
Net operating expenses 0.10%**
Net investment income 1.71%**
Total return (a) 0.68%
- -------------------------------------------------
* The Portfolio commenced operations on August 12, 2004.
(a) Results represent past performance and are not indicative of future results.
Total return for periods of less than one year are not annualized.
** Annualized.
See Notes to Financial Statements.
8
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 2004
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 Money Market
Portfolio (the "Portfolio"). At December 31, 2004, only the Portfolio, State
Street Equity 500 Index Portfolio and State Street MSCI(R) EAFE(R) Index
Portfolio had commenced operations. The Portfolio commenced operations on August
12, 2004. 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 maximize current income to the extent
consistent with the preservation of capital and liquidity by investing in dollar
denominated securities.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: As permitted under Rule 2a-7 of the 1940 Act and certain
conditions therein, securities are valued initially at cost and thereafter
assume a constant amortization to maturity of any discount or premium.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities transactions
are recorded on a trade date basis. Interest income is recorded daily on the
accrual basis and includes amortization of premium and accretion of discount on
investments. Realized gains and losses from securities transactions are recorded
on the basis of identified cost. Expenses are accrued daily.
All of the net investment income and realized gains and losses from the security
transactions of the 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, 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.
9
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
At December 31, 2004, the cost of investments for federal income tax purposes
was the same as the cost for financial reporting purposes.
REPURCHASE AGREEMENTS: A repurchase agreement customarily obligates the seller
at the time it sells securities to the Portfolio to repurchase the securities at
a mutually agreed upon price and time which, in the case of the Portfolio's
transactions, is within seven days. The total amount received by the Portfolio
on repurchase is calculated to exceed the price paid by the Portfolio,
reflecting an agreed-upon market rate of interest for the period of time to the
settlement date, and is not necessarily related to the interest rate on the
underlying securities. The underlying securities are ordinarily United States
Government securities, but may consist of other securities in which the
Portfolio is permitted to invest. Repurchase agreements are fully collateralized
at all times. The use of repurchase agreements involves certain risks. For
example, if the seller of securities under a repurchase agreement defaults on
its obligation to repurchase the underlying securities (as a result of its
bankruptcy or otherwise) the Portfolio will seek to dispose of such securities;
this action could involve costs or delays. The Portfolio may enter into
repurchase agreements maturing within seven days with domestic dealers, banks
and other financial institutions deemed to be creditworthy by SSgA Funds
Management, Inc. ("SSgA FM"), a subsidiary of State Street Corporation and an
affiliate of State Street Bank and Trust Company ("State Street").
EXPENSE ALLOCATION: Certain expenses are applicable to multiple Portfolios and
Funds. Expenses directly attributable to a Portfolio or Fund are charged to that
Portfolio or Fund. Expenses of the Trust that are not directly attributed to a
Portfolio are allocated among the Portfolios, on the basis of relative net
assets, except where a more appropriate allocation of expenses to each of the
Portfolios can otherwise be made fairly.
USE OF ESTIMATES: The Portfolio's financial statements are prepared in
accordance with U.S. generally accepted accounting principles that require the
use of management estimates. Actual results could differ from those estimates.
3. RELATED PARTY FEES
The Portfolio has entered into an investment advisory agreement with SSgA FM
(the "Adviser"). The Adviser directs the investments of the Portfolio in
accordance with its investment objective, policies, and limitations. In
compensation for the Adviser's services as investment adviser, the Portfolio
pays the Adviser an annual fee of 0.10% of the Portfolio's average daily net
assets. The Adviser has contractually agreed to cap the total operating expenses
of the Portfolio at 0.10% of the Portfolio's average daily net assets until
April 30, 2005. For the period ended December 31, 2004, SSgA FM reimbursed the
Portfolio $102,591 under this agreement. There is no agreement in place for SSgA
FM to recover operating expenses previously waived or reimbursed.
10
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
State Street is the administrator, custodian and transfer agent for the
Portfolio. In compensation for State Street's services as administrator,
custodian and transfer agent, the Portfolio pays State Street an annual fee of
the average daily net assets as follows:
Annual percentage of
Asset Levels average daily net assets
- ------------ --------------------------
First $200 Million 0.04%
Next $200 Million 0.03
Thereafter 0.02
Minimum annual fee:
Assets of $500 million and less $150,000
Assets of $500 million - $2 billion $200,000 with 0.01% waiver
State Street has contractually agreed to waive 0.01% of its fees on an annual
basis when the Portfolio's assets are between $500 million and $2 billion. For
the period ended December 31, 2004, no amounts were waived under this agreement.
4. TRUSTEES' FEES
The Trust pays each trustee who is not an officer or employee of SSgA FM or
State Street $2,500 for each meeting of the Board of Trustees and an additional
$500 for each telephonic meeting attended. The Trust also pays each trustee an
annual retainer of $20,000. Each trustee is reimbursed for out-of-pocket and
travel expenses. The Portfolio reimburses State Street or its affiliates for its
pro-rata share of the total fees.
5. INDEMNIFICATIONS
Like many other companies, the Trust's organizational documents provide that its
officers and trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Trust. In addition, both in some of its
principal service contracts and in the normal course of its business, the Trust
enters into contracts that provide indemnifications to other parties for certain
types of losses or liabilities. The Trust's maximum exposure under these
arrangements in unknown as this could involve future claims against the Trust.
11
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
GENERAL INFORMATION (UNAUDITED)
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio
securities held by the Portfolio. A description of the policies and
procedures is available without charge, upon request, by (i) calling (877)
521-4083 or (ii) on the website of the Securities and Exchange Commission
(the "SEC") at www.sec.gov. Information on how the Portfolio voted proxies
relating to portfolio securities during the most recent 12-month period
ending June 30 will also be available (i) without charge, upon request, by
calling (877) 521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC
for the first and third quarters of its fiscal year (as of March and
September of each year) on Form N-Q. The Trust's Form N-Q is available on
the SEC's website at www.sec.gov. The Trust's Form N-Q may be reviewed and
copied at the SEC's Public Reference Room in Washington, D.C. and
information on the operation of the Public Reference Room may be obtained
by calling 1-800-SEC-0330. The most recent Form N-Q is available without
charge, upon request, by calling (877) 521-4083.
12
STATE STREET MONEY MARKET PORTFOLIO
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Master Funds and
Owners of Beneficial Interest of State Street Money Market Portfolio:
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the State Street Money Market Portfolio (one of
the portfolios constituting State Street Master Funds)(the Portfolio) as of
December 31, 2004, and the related statement of operation, the statement of
changes in net assets, and financial highlights for the period from August 12,
2004 (commencement of operations) to December 31, 2004. These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes consideration of internal control over financial reporting as a basis
for designing audit procedures that are appropriate in the circumstances, but
not for the purpose of expressing an opinion on the effectiveness of the
Portfolio's internal control over financial reporting. Accordingly, we express
no such opinion. An audit also includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the custodian and brokers. We believe that our
audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Money Market Portfolio of State Street Master Funds at December 31,
2004, the results of its operations, the changes in its net assets, and its
financial highlights for the period from August 12, 2004 (commencement of
operations) to December 31, 2004, in conformity with U.S. generally accepted
accounting principles.
Ernst & Young LLP
Boston, Massachusetts
February 11, 2005
13
STATE STREET MONEY MARKET PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
- --------------------- ----- ----------- ---------------------- ------- -------
INDEPENDENT TRUSTEES:
Michael F. Holland Trustee and Term:Indefinite Chairman, Holland & 14 Trustee, State
Holland & Company, LLC Chairman of Company L.L.C. Street
375 Park Avenue the Board Elected: 7/99 (investment adviser) Institutional
New York, NY 10152 (1995 - present). Investment
DOB: 07/08/44 Trust; Director
of the Holland
Series Fund,
Inc.; and
Director, The
China Fund,
Inc.
William L. Boyan Trustee Term:Indefinite Trustee of Old Mutual 14 Trustee, State
State Street Master Funds South Africa Master Trust Street
P.O. Box 5049 Elected: 7/99 (investments) (1997 - Institutional
Boston, MA 02206 present); Investment
DOB: 01/20/37 Chairman emeritus, Trust; and
Children's Trustee, Old
Hospital (1984 - present); Mutual South
Director, Boston Plan For Africa Master
Excellence (non-profit) Trust
(1994 - present);
President and Chief
Operations Officer, John
Hancock Mutual Life
Insurance Company
(1959 - 1999). Mr. Boyan
retired in 1999.
Rina K. Spence Trustee Term:Indefinite President of SpenceCare 14 Trustee, State
7 Acacia Street International LLC (1998 - Street
Cambridge, MA 02138 Elected: 7/99 present); Member of the Institutional
DOB: 10/24/48 Advisory Board, Ingenium Investment
Corp., (technology Trust; Director
company) of Berkshire
(2001 - present); Chief Life Insurance
Executive Officer, Company of
IEmily.com, America; and
(internet company) (2000- Director,
2001); Trustee IEmily.com
Eastern Enterprise
(utilities) (1988 - 2000).
Douglas T. Williams Trustee Term:Indefinite Executive Vice President 14 Trustee, State
State Street Master Funds of Chase Manhattan Bank, Street
P.O. Box 5049 Elected: 7/99 (1987 - 1999). Mr. Williams Insitutional
Boston, MA 02206 retired in 1999. Investment
DOB:12/23/40 Trust
14
STATE STREET MONEY MARKET PORTFOLIO
STATE STREET MASTER FUNDS
(UNAUDITED)
NUMBER OF
FUNDS IN OTHER
POSITION(S) TERM OF OFFICE FUND COMPLEX DIRECTORSHIPS
NAME, ADDRESS AND HELD WITH AND LENGTH OF PRINCIPAL OCCUPATION OVERSEEN BY HELD BY
DATE OF BIRTH ("DOB") TRUST TIME SERVED DURING PAST FIVE YEARS TRUSTEE TRUSTEE
- --------------------- ----- ----------- ---------------------- ------- -------
OFFICERS:
Donald A. Gignac President Term:Indefinite Senior Vice President of - -
State Street Bank and Trust State Street Bank and
Company Elected: 8/03 Trust Company (2002 -
2 Avenue de Lafayette present); Vice President
Boston, MA 02111 of State Street Bank and
DOB: 06/14/65 Trust Company (1993 to
2002).
Karen Gillogly Treasurer Term:Indefinite Vice President of State - -
State Street Bank and Trust Street Bank and Trust
Company Elected: 9/03 Company (1999-
One Federal Street present); Audit Senior
Boston, MA 02110 Manager, Ernst & Young
DOB: 09/03/66 LLP(1998-1999).
Julie A. Tedesco Secretary Term:Indefinite Vice President and Counsel - -
State Street Bank and Trust of State Street Bank and
Company Trust
One Federal Street Elected: 5/00 Company (2000 - present);
Boston, MA 02110 Counsel of First Data
DOB: 09/03/57 Investor
Services Group, Inc.,
(1994 - 2000).
Peter A. Ambrosini Chief Term: Unlimited Senior Principal and Chief - -
SSgA Funds Compliance Compliance and Risk
Management, Inc. Officer Elected: 5/04 Management Officer, SSgA
State Street Financial Funds Management, Inc. and
Center State Street Global Advisors
One Lincoln Street (2001-present); Managing
Boston, MA 02111 Director,
DOB: 12/17/43 PricewaterhouseCoopers LLP
(1986-2001).
The Statement of Additional Information includes additional information
about the Trust's Trustees and is available, without charge, upon request,
by calling (toll free) 877-521-4083.
15
TRUSTEES
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
INVESTMENT ADVISER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
LEGAL COUNSEL
Ropes & Gray LLP
One International Place
Boston, MA 02109
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET MONEY MARKET PORTFOLIO
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
ITEM 2. CODE OF ETHICS.
As of the end of the period, December 31, 2004, State Street Master Funds (the
"Trust" or "Registrant") has adopted a code of ethics, as defined in Item 2(b)
of Form N-CSR, that applies to the Trust's principal executive officer and
principal financial officer. The Trust has not made any amendments to its code
of ethics during the covered period. The Trust has not granted any waivers from
any provisions of the code of ethics during the covered period. A copy of the
Trust's code of ethics is filed as Exhibit 12(a)(1) to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Trust's Board of Trustees (the "Board") has determined that the Trust has
the following "audit committee financial experts" as defined in Item 3 of Form
N-CSR serving on its Audit Committee: Messrs. Michael F. Holland, William L.
Boyan and Douglas T. Williams and Ms. Rina K. Spence. Each of the audit
committee financial experts is "independent" for purposes of this Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
For the fiscal years ended December 31, 2004 and December 31, 2003,
the aggregate audit fees billed for professional services rendered
by Ernst & Young LLP ("E&Y"), the Trust's principal accountant, for
the audit of the Trust's annual financial statements and services
normally provided by E&Y in connection with the Trust's statutory
and regulatory filings or engagement were $95,000 and $60,000,
respectively.
(b) Audit-Related Fees
For the fiscal years ended December 31, 2004 and December 31, 2003,
there were no fees for assurance and related services by E&Y
reasonably related to the performance of the audit of the Trust's
financial statements that were not reported under (a) of this Item.
(c) Tax Fees
For the fiscal years ended December 31, 2004 and December 31, 2003,
the aggregate tax fees billed for professional services rendered by
E&Y for tax compliance, tax advice, and tax planning were $14,000
and $5,000, respectively. Such tax services included the review of
income and excise tax returns for the Trust.
(d) All Other Fees
For the fiscal years ended December 31, 2004 and December 31, 2003,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to the Trust, other than
the services reported in (a) through (c).
For the fiscal years ended December 31, 2004 and December 31, 2003,
there were no fees billed for professional services rendered by E&Y
for products and services provided by E&Y to SSgA Funds Management,
Inc. (the "Adviser") and any entity controlling, controlled by, or
under common control with the Adviser that provides ongoing services
to the Trust that (i) relate directly to the operations and
financial reporting of the Trust and (ii) were pre-approved by the
Trust's audit committee.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The Trust's Audit Committee Charter states the following with
respect to pre-approval procedures:
"Pre-Approval Requirements. Before the independent accountants
are engaged by the Trust to render audit or non-audit services,
either:
1. The Audit Committee shall pre-approve all auditing
services and permissible non-audit services (e.g., tax
services) provided to the Trust. The Audit Committee may
delegate to one or more of its members the authority to
grant pre-approvals. Any decision of any member to whom
authority is delegated under this section shall be
presented to the full Audit Committee at its next
regularly scheduled meeting; or
2. The engagement to render the auditing service or
permissible non-audit service is entered into pursuant to
pre-approval policies and procedures established by the
Audit Committee. Any such policies and procedures must
(1) be detailed as to the particular service and (2) not
involve any delegation of the Audit Committee's
responsibilities to the investment adviser. The Audit
Committee must be informed of each service entered into
pursuant to the policies and procedures. A copy of any
such policies and procedures shall be attached as an
exhibit to the Audit Committee Charter.
De Minimis Exceptions to Pre-Approval Requirements. Pre-Approval
for a service provided to the Trust other than audit, review or
attest services is not required if: (1) the aggregate amount of
all such non-audit services provided to the Trust constitutes
not more than 5 percent of the total amount of revenues paid by
the Trust to the independent accountants during the fiscal year
in which the non-audit services are provided; (2) such services
were not
recognized by the Trust at the time of the engagement to be
non-audit services; and (3) such services are promptly brought to
the attention of the Audit Committee and are approved by the Audit
Committee or by one or more members of the Audit Committee to whom
authority to grant such approvals has been delegated by the Audit
Committee prior to the completion of the audit.
Pre-Approval of Non-Audit Services Provided to the Adviser and
Certain Control Persons. The Audit Committee shall pre-approve any
non-audit services proposed to be provided by the independent
accountants to (a) the investment adviser and (b) any entity
controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the Trust, if
the independent accountants' engagement with the investment adviser
or any such control persons relates directly to the operations and
financial reporting of the Trust. It shall be the responsibility of
the independent accountants to notify the Audit Committee of any
non-audit services that need to be pre-approved.
Application of De Minimis Exception: The De Minimis exception set
forth above applies to pre-approvals under this Section as well,
except that the "total amount of revenues" calculation is based on
the total amount of revenues paid to the independent accountants by
the Trust and any other entity that has its services approved under
this Section (i.e., the investment adviser or any control person)."
(e)(2) Percentages of Services
None of the services described in paragraphs (b) through (d) of this Item
were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X during the period of time for which such rule was
effective.
(f) Not applicable.
(g) Total Fees Paid By Adviser and Certain Affiliates
For the fiscal years ended December 31, 2004 and December 31, 2003, the
aggregate non-audit fees billed by E&Y for services rendered to the Trust
and the Adviser and any entity controlling, controlled by, or under common
control with the Adviser that provided ongoing services to the Trust were
$4,132,210 and $4,730,732, respectively.
(h) E&Y notified the Trust's Audit Committee of all non-audit services that
were rendered by E&Y to the Adviser and any entity controlling, controlled
by, or under common control with the Adviser that provides services to the
Trust, which services were not required to be pre-approved pursuant to
paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust's
Audit Committee to consider whether such services were compatible with
maintaining E&Y's independence.
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable to the Registrant.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the Registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to the Registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the Registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable to the Registrant.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Trust's principal executive officer and principal financial officer have
concluded that the Trust's disclosure controls and procedures (as defined in
Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940
Act")) are effective, as of a date within 90 days of the filing date of the
report that includes the disclosure required by this paragraph, based on their
evaluation of these controls and procedures required by Rule 30a-3(b) under the
1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of
1934.
(b) There were no changes in the Trust's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the Trust's second fiscal quarter covered by this Form N-CSR filing that has
materially affected, or is reasonably likely to materially affect, the Trust's
internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(REGISTRANT): State Street Master Funds
By: /s/Donald A. Gignac
-----------------------------------------------------
Donald A. Gignac
President
By: /s/Karen D. Gillogly
-----------------------------------------------------
Karen D. Gillogly
Treasurer
Date: March 2, 2005
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/Donald A. Gignac
-----------------------------------------------------
Donald A. Gignac
President
By: /s/Karen D. Gillogly
-----------------------------------------------------
Karen D. Gillogly
Treasurer
Date: March 2, 2005