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: 811-9819
--------------------------------------------------
STATE STREET INSTITUTIONAL INVESTMENT TRUST
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
P.O. Box 5049
Boston, Massachusetts 02206
- --------------------------------------------------------------------------------
(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 FUND
ANNUAL REPORT
DECEMBER 31, 2004
STATE STREET EQUITY 500 INDEX FUND
ADMINISTRATIVE SHARES
GROWTH OF A $10,000 INVESTMENT (A)
[LINE GRAPH]
<Table>
<Caption>
STATE STREET EQUITY 500 INDEX FUND
ADMINISTRATIVE SHARES* S&P 500 INDEX** (B)
---------------------------------- -------------------
4/18/01 10000 10000
12/31/01 9703 9727
6/30/02 8422 8447
12/31/02 7538 7578
6/30/03 8413 8469
12/31/03 9677 9751
6/30/04 10000 10086
12/31/04 10706 10810
</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 (April 18, 2001)
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
State Street Equity 500
Index Fund Administrative Shares 10.63% 1.86%
S&P 500(R) Index 10.88% 2.13%
- -----------------------------------------------------------------------------------------------------------
</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 an investor's share, when redeemed, may
be worth more or less than its original cost. The graph and table above do
not reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) The Standard & Poor's 500 Composite Stock Price Index ("S&P 500(R) Index")
is an unmanaged capitalization-weighted index of 500 widely held stocks
recognized by investors to be representative of the stock market in
general.
1
STATE STREET EQUITY 500 INDEX FUND
EXPENSE EXAMPLE
As a shareholder of the State Street Equity 500 Index Fund (the "Fund"), you
incur ongoing costs, which include costs for administrative services and
distribution (12b-1) fees, among others, in addition to the Fund's proportionate
share of expenses of the State Street Equity 500 Index Portfolio. This example
is intended to help you understand your ongoing costs (in dollars) of investing
in the Fund and to compare these costs with the ongoing costs of investing in
other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from July 1, 2004 to December 31,
2004.
The table below illustrates your Fund's costs in two ways:
- - BASED ON ACTUAL FUND RETURN. This section helps you to estimate the actual
expenses that you paid over the period. The "Ending Account Value" shown is
derived from the actual return of each class of the Fund, and the third column
shows the dollar amount that would have been paid by an investor who started
with $1,000 in the indicated Class. You may use the information here, together
with the amount you invested, to estimate the expenses that you paid over the
period.
To do so, simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.6), then multiply the result by the number
given for the Class under the heading "Expenses Paid During Period".
- - BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you compare
your Class's costs with those of other mutual funds. It assumes that the Class
had a yearly return of 5% before expenses, but that the expense ratio is
unchanged. In this case -- because the return used is not the Class'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 Class's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other funds.
2
STATE STREET EQUITY 500 INDEX FUND
EXPENSE EXAMPLE (CONTINUED)
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 CLASS RETURN
- ------------------------------------------------------------------------------------------------
Administrative Shares $1,000.00 $1,070.55 $1.28
- ------------------------------------------------------------------------------------------------
Service Shares $1,000.00 $1,069.90 $1.79
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
BASED ON HYPOTHETICAL (5% RETURN BEFORE
EXPENSES)
- ------------------------------------------------------------------------------------------------
Administrative Shares $1,000.00 $1,023.90 $1.25
- ------------------------------------------------------------------------------------------------
Service Shares $1,000.00 $1,023.41 $1.75
- ------------------------------------------------------------------------------------------------
</Table>
* The calculations are based on expenses incurred in the most recent fiscal
period of each Class. The Administrative Shares and Service Shares annualized
average weighted expense ratios as of December 31, 2004 were 0.245% and
0.344%, respectively, which include each Class's proportionate share of the
expenses of the State Street Equity 500 Index Portfolio. The dollar amounts
shown as "Expenses Paid" are equal to the annualized average weighted expense
ratio multiplied by the average account value over the period, multiplied by
the number of days in the most recent six-month period, then divided by the
number of days in the most recent 12-month period.
3
STATE STREET EQUITY 500 INDEX FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
<Table>
ASSETS
Investment in State Street Equity 500 Index Portfolio, at
value (identified cost $170,590,892) (Note 1) $213,154,555
Receivable for Fund shares sold 360,821
Other assets 13,690
------------
213,529,066
LIABILITIES
Payable for Fund shares repurchased 434
Distribution fees payable (Note 3) 30,789
Administration fees payable (Note 3) 9,492
------------
40,715
------------
NET ASSETS $213,488,351
------------
NET ASSETS CONSIST OF:
Paid-in Capital $212,023,757
Accumulated undistributed net investment income 19,496
Accumulated net realized loss (41,118,565)
Net unrealized appreciation on investments 42,563,663
------------
NET ASSETS $213,488,351
============
ADMINISTRATIVE SHARES:
NET ASSETS $200,524,313
Shares of beneficial interest outstanding 19,848,185
Offering, net asset value, and redemption price per share $ 10.10
============
SERVICE SHARES:
NET ASSETS $ 12,964,038
Shares of beneficial interest outstanding 1,283,936
Offering, net asset value, and redemption price per share $ 10.10
============
</Table>
See Notes to Financial Statements.
4
STATE STREET EQUITY 500 INDEX FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2004
<Table>
INCOME
Dividend income allocated from Portfolio (Note 2) $ 5,443,048
Interest income allocated from Portfolio (Note 2) 7,847
Security lending income allocated from Portfolio (Note 2) 5,385
Expenses allocated from Portfolio (Note 3) (121,355)
-----------
5,334,925
-----------
EXPENSES
Distribution fees (Note 3)
Administrative Shares 279,916
Service Shares 207,740
Administration fees (Note 3) 134,853
-----------
622,509
-----------
NET INVESTMENT INCOME 4,712,416
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) allocated from Portfolio on:
Investments (3,359,451)
Futures 681,037
-----------
(2,678,414)
-----------
Change in unrealized appreciation (depreciation) allocated
from Portfolio on:
Investments 24,433,451
Futures (21,585)
-----------
24,411,866
-----------
Net realized and unrealized gain on investments 21,733,452
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $26,445,868
===========
</Table>
See Notes to Financial Statements.
5
STATE STREET EQUITY 500 INDEX FUND
STATEMENT 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 RESULTING FROM
OPERATIONS:
Net investment income $ 4,712,416 $ 2,771,787
Net realized loss on investments (2,678,414) (6,469,317)
Change in unrealized appreciation (depreciation) 24,411,866 52,688,564
------------ ------------
Net increase in net assets resulting from operations 26,445,868 48,991,034
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Administrative Shares (4,403,652) (1,994,382)
Service Shares (264,436) (761,272)
------------ ------------
Total Distributions (4,668,088) (2,755,654)
------------ ------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
ADMINISTRATIVE SHARES
Shares sold 17,186,542 17,561,384
Reinvestment of distributions 4,403,652 1,994,382
Shares redeemed (17,967,882) (11,282,817)
------------ ------------
Net increase from capital share transactions 3,622,312 8,272,949
------------ ------------
SERVICE SHARES*
Shares sold 23,823,985 81,896,523
Reinvestment of distributions 264,436 761,272
Shares redeemed (29,324,726) (7,500,597)
Redemptions in-kind (72,956,408) --
------------ ------------
Net increase (decrease) from capital share
transactions (78,192,713) 75,157,198
------------ ------------
Net increase (decrease) in net assets (52,792,621) 129,665,527
NET ASSETS, BEGINNING OF YEAR 266,280,972 136,615,445
------------ ------------
NET ASSETS, END OF YEAR $213,488,351 $266,280,972
============ ============
Accumulated undistributed net investment income $ 19,496 $ 6,263
============ ============
</Table>
- ---------------
* Service Shares commenced operations on March 10, 2003.
See Notes to Financial Statements.
6
STATE STREET EQUITY 500 INDEX FUND
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
<Table>
<Caption>
For the For the
Year Ended Year Ended
December 31, 2004 December 31, 2003
----------------- -----------------
CHANGES IN SHARES:
ADMINISTRATIVE SHARES
Shares sold 1,796,467 2,194,164
Reinvestment of distributions 435,142 227,163
Shares redeemed (1,879,949) (1,485,709)
---------- ----------
Net increase in shares 351,660 935,618
========== ==========
SERVICE SHARES*
Shares sold 2,502,761 9,803,007
Reinvestment of distributions 26,157 81,769
Shares redeemed (3,036,779) (857,921)
Shares redeemed in-kind (7,235,058) --
---------- ----------
Net increase (decrease) in shares (7,742,919) 9,026,855
========== ==========
</Table>
- ---------------
* Service Shares commenced operations on March 10, 2003.
See Notes to Financial Statements.
7
STATE STREET EQUITY 500 INDEX FUND
FINANCIAL HIGHLIGHTS
FOR AN ADMINISTRATIVE SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE
PERIOD
<Table>
<Caption>
Year Year Year Period
Ended Ended Ended Ended
12/31/04 12/31/03 12/31/02 12/31/01(a)
-------- -------- -------- -----------
PER SHARE OPERATING PERFORMANCE(B):
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.34 $ 7.36 $ 9.62 $ 10.00
-------- -------- -------- --------
INVESTMENT OPERATIONS:
Net investment income 0.17* 0.13* 0.11 0.08
Net realized and unrealized gain (loss) on
investments 0.82 1.95 (2.26) (0.38)
-------- -------- -------- --------
Total from investment operations 0.99 2.08 (2.15) (0.30)
-------- -------- -------- --------
LESS DISTRIBUTIONS FROM:
Net investment income (0.23) (0.10) (0.11) (0.08)
-------- -------- -------- --------
Net increase (decrease) in net assets 0.76 1.98 (2.26) (0.38)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $ 10.10 $ 9.34 $ 7.36 $ 9.62
======== ======== ======== ========
TOTAL RETURN(C) 10.63% 28.37% (22.31)% (2.97)%
======== ======== ======== ========
RATIOS AND SUPPLEMENTARY DATA:
Net Assets, End of Period (000s) $200,524 $182,037 $136,615 $171,774
Ratios to average net assets:
Operating expenses 0.245% 0.245% 0.245% 0.245%(d)
Net investment income 1.78% 1.54% 1.37% 1.18%(d)
Portfolio turnover rate 9% 12% 13% 14%
</Table>
- ---------------
(a) Administrative Shares commenced operations on April 18, 2001.
(b) The per share amounts and percentages reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the State Street Equity 500 Index Portfolio.
(c) Total return is calculated assuming a purchase of shares at net asset value
on the first day and a sale at net asset value on the last day of each
period reported. Distributions are assumed, for the purpose of this
calculation, to be reinvested at net asset value per share on the respective
payment dates. Total return for periods of less than one year is not
annualized. Results represent past performance and are not indicative of
future results.
(d) Annualized.
* Net investment income per share calculated using the average shares method.
See Notes to Financial Statements.
8
STATE STREET EQUITY 500 INDEX FUND
FINANCIAL HIGHLIGHTS
FOR A SERVICE SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE PERIOD
<Table>
<Caption>
Year Ended Period Ended
12/31/04 12/31/03(a)
---------- ------------
PER SHARE OPERATING PERFORMANCE(B):
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.33 $ 6.94
------- -------
INVESTMENT OPERATIONS:
Net investment income 0.16* 0.10*
Net realized and unrealized gain on investments 0.83 2.38
------- -------
Total from investment operations 0.99 2.48
------- -------
LESS DISTRIBUTIONS FROM:
Net investment income (0.22) (0.09)
------- -------
Net increase in net assets 0.77 2.39
------- -------
NET ASSET VALUE, END OF PERIOD $ 10.10 $ 9.33
======= =======
TOTAL RETURN(C) 10.51% 35.71%
======= =======
RATIOS AND SUPPLEMENTARY DATA:
Net Assets, End of Period (000s) $12,964 $84,244
Ratios to average net assets:
Operating expenses 0.345% 0.345%(d)
Net investment income 1.67% 1.45%(d)
Portfolio turnover rate 9% 12%
</Table>
- ---------------
(a) Service Shares commenced operations on March 10, 2003.
(b) The per share amounts and percentages reflect income and expenses assuming
inclusion of the Fund's proportionate share of the income and expenses of
the State Street Equity 500 Index Portfolio.
(c) Total return is calculated assuming a purchase of shares at net asset value
on the first day and a sale at net asset value on the last day of each
period reported. Distributions are assumed, for the purpose of this
calculation, to be reinvested at net asset value per share on the respective
payment dates. Total return for periods of less than one year is not
annualized. Results represent past performance and are not indicative of
future results.
(d) Annualized.
* Net investment income per share calculated using the average shares method.
See Notes to Financial Statements.
9
STATE STREET EQUITY 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
1. ORGANIZATION
The State Street Institutional Investment Trust (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 February
16, 2000. The Trust consists of the following diversified series: the State
Street Equity 500 Index Fund, the State Street Equity 400 Index Fund, the State
Street Equity 2000 Index Fund, the State Street MSCI(R) EAFE(R) Index Fund, the
State Street Aggregate Bond Index Fund, the State Street Institutional Liquid
Reserves Fund and the State Street U.S. Government Money Market Fund, each of
which is a separate diversified series of the Trust. Information presented in
these financial statements pertains only to the State Street Equity 500 Index
Fund (the "Fund"). Pursuant to the Trust's Declaration of Trust, the Trustees
are authorized to issue an unlimited number of shares, with no par value, of the
Fund.
The Fund commenced operations on April 18, 2001. As of December 31, 2004, the
Fund and the State Street Institutional Liquid Reserves Fund were the only
series of the Trust that had commenced operations. The Fund offers both
Administrative and Service shares (formerly Class A and B shares, respectively).
Administrative Shares commenced operations on April 18, 2001 and Service Shares
commenced operations on March 10, 2003.
The Fund invests all of its investable assets in interests in the State Street
Equity 500 Index Portfolio (the "Portfolio"). The investment objective and
policies of the Portfolio are the same as the Fund. The value of the Fund's
investment in the Portfolio reflects the Fund's proportionate interest in the
net assets of the Portfolio (7.702% at December 31, 2004). The performance of
the Fund is directly affected by the performance of the Portfolio. The financial
statements of the Portfolio, including the portfolio of investments, are
included elsewhere in this report and should be read in conjunction with the
Fund's financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Fund in preparation of its financial statements.
SECURITY VALUATION: The Fund records its investment in the Portfolio at value.
The valuation policies of the Portfolio are discussed in Note 2 of the
Portfolio's Notes to Financial Statements, which are included elsewhere within
this report.
SECURITY TRANSACTIONS, INVESTMENT INCOME AND EXPENSES: Securities transactions
are recorded on a trade date basis. Net investment income consists of the Fund's
pro-rata share of the net investment income of the Portfolio, less all expenses
of the Fund. Realized and unrealized gains and losses from security transactions
consist of the Fund's pro-rata share of the Portfolio's realized and unrealized
gains and
10
STATE STREET EQUITY 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
losses. Realized gains and losses from security transactions are recorded on the
basis of identified cost. Class specific distribution fees are borne by that
class. Income, non-class specific expenses, and realized and unrealized gains
and losses are allocated to the respective classes daily on the basis of
relative net assets.
DIVIDENDS AND DISTRIBUTIONS: Dividends, if any, are declared and paid, at least,
annually. Net realized capital gains, if any, are distributed annually, unless
additional distributions are required for compliance with applicable tax
regulations.
The tax character of distributions paid to shareholders during the years ended
December 31, 2004 and 2003 were as follows:
<Table>
<Caption>
2004 2003
---------- ----------
Ordinary income $4,668,088 $2,755,654
</Table>
At December 31, 2004 the components of distributable earnings on a tax basis
were as follows:
<Table>
Undistributed ordinary income $ 10,646
Capital loss carryover (26,378,156)
Unrealized appreciation 27,832,104
------------
Total $ 1,464,594
============
</Table>
As of December 31, 2004, there were no significant differences between book
basis and tax basis components of net assets, other than differences
attributable to wash sale loss deferrals.
FEDERAL INCOME TAXES: The Fund intends to continue to qualify for and elect
treatment as a regulated investment company under Subchapter M of the Internal
Revenue Code of 1986, as amended. By so qualifying and electing, the Fund will
not be subject to federal income taxes to the extent it distributes its taxable
income, including any net realized capital gains, for each fiscal year. In
addition, by distributing during each calendar year substantially all of its net
taxable income and capital gains, if any, the Fund will not be subject to
federal excise tax.
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
These book tax differences are primarily due to wash sales loss deferrals.
At December 31, 2004, the Fund had capital loss carry forwards in the amount of
$26,378,156, of which $18,165,550, $7,776,419, $78,263, and $357,924 may be
utilized to offset future net realized capital gains until expiration dates of
December 31, 2009, December 31, 2010, December 31, 2011, and December 31, 2012,
respectively. No post-October losses were deferred in the current year.
11
STATE STREET EQUITY 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
At December 31, 2004, the cost of investments computed on a federal income tax
basis was $185,322,451, resulting in $27,832,104 of unrealized appreciation. The
differences between book and tax cost amounts are primarily due to wash sales
loss deferrals.
USE OF ESTIMATES: The Fund'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 AND TRANSACTIONS
The Portfolio pays a unitary fee of 0.045% of its average daily net assets to
State Street Bank & Trust Company ("State Street") for SSgA Funds Management,
Inc.'s ("SSgA FM"), a subsidiary of State Street Corporation and an affiliate of
State Street, services as the investment adviser and for State Street's services
as administrator, custodian and transfer agent (and for assuming ordinary
operating expenses of the Portfolio, including ordinary legal and audit
expenses). For the year ended December 31, 2004, the Fund's pro-rata share of
these expenses amounted to $121,355. State Street is also the administrator for
the Fund, the custodian for the Fund's assets, and serves as the transfer agent
to the Fund. As compensation for its services as administrator, custodian and
transfer agent (and for assuming ordinary operating expenses of the Fund,
including ordinary legal and audit expenses), State Street receives a fee at an
annual rate of 0.05% of average daily net assets of the Fund. Under this
arrangement, the Fund's expenses for the year ended December 31, 2004, amounted
to $134,853.
ALPS Distributors, Inc. serves as Distributor (the "Distributor") pursuant to a
Distribution Agreement with the Trust.
The Trust has adopted a plan of distribution pursuant to Rule 12b-1 under the
1940 Act (the "Rule 12b-1 Plan"). Under the Rule 12b-1 Plan, the Fund may
compensate financial intermediaries in connection with the distribution of
Administrative and Service shares and for services provided to the Fund's
shareholders. The Rule 12b-1 Plan calls for payments at an annual rate of up to
0.25% of average daily net assets for Service shares of the Fund, and an annual
rate of up to 0.15% of average daily net assets for Administrative shares of the
Fund. For the year ended December 31, 2004, the Fund accrued payments to
financial intermediaries pursuant to the Rule 12b-1 plan in the amount of
$487,656.
4. 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
12
STATE STREET EQUITY 500 INDEX FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
DECEMBER 31, 2004
liabilities. The Trust's maximum exposure under these arrangements in unknown as
this could involve future claims against the Trust.
5. TAX INFORMATION -- (UNAUDITED)
For federal income tax purposes, the following information is furnished with
respect to the Fund's distributions for its fiscal year ended December 31, 2004:
State Street Equity 500 Index Fund had 100% of 2004 dividends qualify for the
corporate dividends received deduction. 100% of these distributions have also
met the requirements needed to be considered qualified dividends under the Jobs
and Growth Tax Relief Reconciliation Act of 2003.
13
STATE STREET EQUITY 500 INDEX FUND
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 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.
14
STATE STREET EQUITY 500 INDEX FUND
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Institutional Investment Trust and
Shareholders of State Street Equity 500 Index Fund:
We have audited the accompanying statement of assets and liabilities of the
State Street Equity 500 Index Fund (one of the funds constituting State Street
Institutional Investment Trust)(the Fund) as of December 31, 2004, and the
related statement of operations for the year then ended, and the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. 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 Fund's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the custodian. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Equity 500 Index Fund of the State Street Institutional Investment
Trust 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
15
STATE STREET EQUITY 500 INDEX FUND
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(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) (2000-2001); Trust; Director
Trustee Eastern Enterprise (utilities) of Berkshire
(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. Institutional
P.O. Box 5049 Investment
Boston, MA 02206 Trust
DOB: 12/23/40
-----------------------------------------------------------------------------------------------------------------------------------
</Table>
16
STATE STREET EQUITY 500 INDEX FUND
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(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.
17
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 FUND
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
18
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 INSTITUTIONAL LIQUID RESERVES FUND
ANNUAL REPORT
DECEMBER 31, 2004
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
EXPENSE EXAMPLE
As a shareholder of the State Street Institutional Liquid Reserves Fund (the
"Fund"), you incur ongoing costs, which include costs for administrative
services and distribution (12b-1) fees, among others, in addition to the Fund's
proportionate share of expenses of the State Street Money Market Portfolio. This
example is intended to help you understand your ongoing costs (in dollars) of
investing in the Fund and to compare these costs with the ongoing costs of
investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the
period shown and held for the entire period from August 12, 2004 (commencement
of operations) to December 31, 2004.
The table below illustrates your Fund's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Fund's actual return, and the third
column shows the dollar amount that would have been paid by an
investor who started with $1,000 in the Fund. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Fund under the heading "Expenses
Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help
you compare your Fund's costs with those of other mutual funds. It
assumes that the Fund had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case- because the
return used is not the Fund's actual return- the results do not
apply to your investment. The example is useful in making
comparisons because the Securities and Exchange Commission requires
all mutual funds to calculate expenses based on a 5% return. You can
assess your Fund's costs by comparing this hypothetical example with
the hypothetical examples that appear in shareholder reports of
other funds.
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
Fund Return $1,000.00 $1,006.60 $ 0.58
Based on
Hypothetical (5%
return before $1,000.00 $1,018.82 $ 0.59
expenses)
* The calculations are based on expenses incurred in the most recent fiscal
period of the Fund. The Fund's annualized average weighted expense ratio as of
December 31, 2004 was 0.150%, which includes the Fund's proportionate share of
the expenses of the State Street Money Market Portfolio. The dollar amounts
shown as "Expenses Paid" are equal to the annualized average weighted expense
ratio multiplied by the average account value over the period, multiplied by 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.
1
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2004
ASSETS
Investment in State Street Money Market Portfolio, at value (identified cost $381,714,498)(Note 1) $381,714,498
Receivable from adviser (Note 3) 23,049
------------
Total assets 381,737,547
LIABILITIES
Payables:
Administration, custody and transfer agent fees (Note 3) 17,670
Distribution fees (Note 3) 11,175
Registration and filing fees 40,932
Professional fees 22,750
Accrued expenses and other liabilities 7,128
------------
Total liabilities 99,655
------------
NET ASSETS $381,637,892
============
NET ASSETS CONSIST OF:
Paid-in capital $381,637,892
------------
NET ASSETS $381,637,892
============
Shares of beneficial interest outstanding 381,637,892
Offering, net asset value, and redemption price per share $ 1.00
============
See Notes to Financial Statements.
2
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 2004*
INCOME
Interest income allocated from Portfolio (Note 2) $ 2,240,092
Expenses allocated from Portfolio (Note 3) (123,335)
-----------
2,116,757
-----------
EXPENSES
Distribution fees (Note 3) 61,668
Professional fees 23,076
Administration and custody fees (Note 3) 14,360
Transfer agent fees (Note 3) 11,644
Registration and filing fees 40,932
Other expenses 7,407
-----------
Total Expenses 159,087
Less: Fee reimbursements by investment adviser (Note 3) (97,420)
-----------
Total Net Expenses 61,667
-----------
NET INVESTMENT INCOME 2,055,090
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,055,090
===========
- -------------
* The Fund commenced operations on August 12, 2004.
See Notes to Financial Statements.
3
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
STATEMENT OF CHANGES IN NET ASSETS
For the
Period Ended
December 31, 2004*
------------------
INCREASE IN NET ASSETS RESULTING FROM:
OPERATIONS:
Net investment income $ 2,055,090
---------------
Net increase in net assets resulting from operations 2,055,090
---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (2,055,090)
---------------
NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
Shares sold 1,648,841,641
Reinvestment of distributions 2,055,090
Shares redeemed (1,269,258,839)
---------------
Net increase from capital share transactions 381,637,892
---------------
Net increase in net assets 381,637,892
NET ASSETS, BEGINNING OF PERIOD -
---------------
NET ASSETS, END OF PERIOD $ 381,637,892
===============
Accumulated undistributed net investment income $ -
===============
CHANGES IN SHARES:
Shares sold 1,648,841,641
Reinvestment of distributions 2,055,090
Shares redeemed (1,269,258,839)
---------------
Net increase in shares 381,637,892
===============
* The Fund commenced operations on August 12, 2004.
See Notes to Financial Statements.
4
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
FINANCIAL HIGHLIGHTS
Selected data for a share of beneficial interest outstanding throughout the
period:
PERIOD
ENDED
12/31/04*
---------
PER SHARE OPERATING PERFORMANCE (a):
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.0000
---------
INVESTMENT OPERATIONS:
Net investment income 0.0066
---------
LESS DISTRIBUTIONS FROM:
Net investment income (0.0066)
---------
Net increase (decrease) in net assets -
---------
NET ASSET VALUE, END OF PERIOD $ 1.0000
---------
TOTAL RETURN (b) 0.66%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $ 381,638
Ratio of gross expenses to average net assets 0.23% **
Ratio of net expenses to average net assets 0.15% **
Ratio of net investment income
to average net assets 1.67% **
- -------------
* The Fund commenced operations on August 12, 2004.
(a) The per share amounts and percentages reflect income and expenses assuming
inclusion of the Fund's proportionate share of income and expenses of the
State Street Money Market Portfolio.
(b) Total return is calculated assuming a purchase of shares at net asset
value on the first day and a sale at net asset value on the last day of
each period reported. Distributions are assumed, for the purpose of this
calculation, to be reinvested at net asset value per share on the
respective payment dates. Total return for periods of less than one year
is not annualized. Results represent past performance and are not
indicative of future results.
** Annualized.
See Notes to Financial Statements.
5
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
NOTES TO FINANCIAL STATEMENT
DECEMBER 31,2004
1. ORGANIZATION
The State Street Institutional Investment Trust (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 February
16, 2000. The Trust consists of the following diversified series: the State
Street Equity 500 Index Fund, the State Street Equity 400 Index Fund, the State
Street Equity 2000 Index Fund, the State Street MSCI(R) EAFE(R) Index Fund, the
State Street Aggregate Bond Index Fund, the State Street Institutional Liquid
Reserves Fund and the State Street U.S. Government Money Market Fund, each of
which is a separate diversified series of the Trust. Information presented in
these financial statements pertains only to the State Street Institutional
Liquid Reserves Fund (the "Fund"). Pursuant to the Trust's Declaration of Trust,
the Trustees are authorized to issue an unlimited number of shares, with no par
value, of the Fund.
The Fund commenced operations on August 12, 2004. As of December 31, 2004, the
Fund and the State Street Equity 500 Index Fund were the only series of the
Trust that had commenced operations.
It is the policy of the Fund to maintain a continous net asset value per share
of $1.00; the Fund has adopted certain investment, valuation, and dividend and
distribution policies, which conform to general industry practice, to enable it
to do so. However, there is no assurance the Fund will be able to maintain a
stable net asset value per share.
The Fund invests all of its investable assets in interests in the State Street
Money Market Portfolio (the "Portfolio"). The investment objective and policies
of the Portfolio are the same as the Fund. The value of the Fund's investment in
the Portfolio reflects the Fund's proportionate interest in the net assets of
the Portfolio (99.99% at December 31, 2004). The performance of the Fund is
directly affected by the performance of the Portfolio. The financial statements
of the Portfolio, including the portfolio of investments, are included elsewhere
in this report and should be read in conjunction with the Fund's financial
statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
SECURITY VALUATION - The Fund records its investment in the Portfolio at value.
The valuation policies of the Portfolio are discussed in Note 2 of the
Portfolio's Notes to Financial Statements, which are included elsewhere within
this report.
SECURITY TRANSACTIONS, INVESTMENT INCOME AND EXPENSES - Securities transactions
are recorded on a trade date basis. Net investment income consists of the Fund's
pro-rata share of the net investment income of the Portfolio, less all expenses
of the Fund. Realized gains and losses from security transactions consist of the
Fund's pro-rata share
6
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
of the Portfolio's realized gains and losses. Realized gains and losses from
security transactions are recorded on the basis of identified cost.
DIVIDENDS AND DISTRIBUTIONS - Dividends from net investment income are declared
daily and are payable as of the last business day of each month. Net realized
capital gains, if any, are distributed annually, unless additional distributions
are required for compliance with applicable tax regulations. The tax character
of distributions paid to shareholders during the period ended December 31, 2004
was $2,055,090 of ordinary income. At December 31, 2004, the components of
distributable earnings on a tax basis were as follows:
Undistributed ordinary income $ 0
FEDERAL INCOME TAXES - The Fund intends to qualify for and elect treatment as a
regulated investment company under Subchapter M of the Internal Revenue Code of
1986, as amended. By so qualifying and electing, the Fund will not be subject to
federal income taxes to the extent it distributes its taxable income, including
any net realized capital gains, for each fiscal year. In addition, by
distributing during each calendar year substantially all of its net taxable
income and capital gains, if any, the Fund will not be subject to federal excise
tax.
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from generally accepted accounting principles.
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
Fund are allocated among the Funds, on the basis of relative net assets, except
where a more appropriate allocation of expenses to each of the Funds can
otherwise be made fairly.
USE OF ESTIMATES: The Fund's financial statements are prepared in accordance
with U.S. generally accepted accounting principles that require the use of
management estimates. Actual results could differ from those estimates.
3. RELATED PARTY FEES
The Portfolio retains SSgA Funds Management, Inc. ("SSgA FM"), a subsidiary of
State Street Corporation and an affiliate of State Street Bank and Trust Company
("State Street"), as its investment adviser. For such investment advisory
services, the Portfolio pays SSgA FM a fee at the annual rate of 0.10% of its
average daily net assets.
SSgA FM has contractually agreed to cap the total operating expenses of the Fund
(not including the pass-through expenses of the Portfolio) on an annual basis at
0.05% of the Fund's average daily net assets until April 30, 2005. For the
period ended December 31, 2004, SSgA FM reimbursed the Fund $97,420 under this
agreement. There is no agreement in place for SSgA FM to recover operating
expenses previously waived or reimbursed.
7
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2004
State Street serves as the Fund's administrator, custodian and transfer agent.
The Fund pays State Street annual fees of $25,000 for administration services,
$12,000 for custody and accounting services, and $30,000 for transfer agency
services plus transaction fees.
ALPS Distributors, Inc. serves as Distributor (the "Distributor") pursuant to a
Distribution Agreement with the Trust.
The Trust has adopted a plan of distribution pursuant to Rule 12b-1 under the
1940 Act (the "Rule 12b-1 Plan"). Under the Rule 12b-1 Plan, the Fund may
compensate financial intermediaries in connection with the distribution of Fund
shares and for services provided to the Fund's shareholders. The Rule 12b-1 Plan
calls for payments at an annual rate of up to 0.05% of daily average net assets.
For the period ended December 31, 2004, the Fund accrued State Street Global
Markets LLC, an affiliated company of State Street, $61,668 for services
provided to the Fund's shareholders.
4. 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.
5. SUBSEQUENT EVENT
Effective February 1, 2005, ALPS Distributors, Inc. will replace State Street as
transfer agent for the Fund. The fees for transfer agent services with ALPS will
be materially the same as the fees with State Street.
8
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
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 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.
9
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
REPORT OF ERNST & YOUNG LLP, INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of State Street Institutional Investment Trust and
Shareholders of State Street Institutional Liquid Reserves Fund:
We have audited the accompanying statement of assets and liabilities of the
State Street Institutional Liquid Reserves Fund (one of the funds constituting
State Street Institutional Investment Trust)(the Fund) as of December 31, 2004,
and the related statement of operations, the statement of changes in net assets,
and the 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 Fund'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 Fund's
internal control over financial reporting. Accordingly, we express no such
opinion. An audit also includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements and financial
highlights, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
Our procedures included confirmation of securities owned as of December 31,
2004, by correspondence with the custodian. We believe that our audit provides a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
State Street Institutional Liquid Reserves Fund of the State Street
Institutional Investment Trust at December 31, 2004, the results of its
operations, the changes in its net assets and 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
10
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(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 company) Trust; Director
(2001 - present); Chief of Berkshire
Executive Officer, Life Insurance
IEmily.com, Company of
(internet company) (2000- America; and
2001); Trustee Director,
Eastern Enterprise IEmily.com
(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
11
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(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
Trust
Company Elected: 5/00 Company (2000 - present);
One Federal Street Counsel of First Data
Investor
Boston, MA 02110 Services Group, Inc.,
DOB: 09/03/57 (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.
12
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 AND CUSTODIAN
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
TRANSFER AGENT
APLS Mutual Funds Services, Inc.
1625 Broadway, Suite 2200
Denver, CO 80202
This report is for shareholder information. This is not a prospectus intended
for use in the purchase or sale of shares of beneficial interest.
STATE STREET INSTITUTIONAL LIQUID RESERVES FUND
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 Institutional
Investment Trust (the "Trust" or "Registrant") has adopted a code of ethics, as
defined in Item 2(b) of Form N-CSR, that applies to the Trust's principal
executive officer 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 $36,000 and $20,000,
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 $10,000
and $10,000, 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 Institutional Investment Trust
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