UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09599
----------
STATE STREET MASTER FUNDS
(Exact name of registrant as specified in charter)
P.O. Box 5049
Boston, Massachusetts 02206
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) Copy to:
Ryan Louvar, Vice President and Counsel Timothy W. Diggins, Esq.
State Street Bank and Trust Company Ropes & Gray LLP
2 Avenue de Lafayette, 6th Floor One International Place
Boston, Massachusetts 02111 Boston, Massachusetts 02110-2624
Registrant's telephone number, including area code: (617) 662-3909
Date of fiscal year end: December 31
Date of reporting period: June 30, 2006
STATE STREET EQUITY 500 INDEX PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2006
(UNAUDITED)
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 January 1, 2006 to June 30,
2006.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account Value"
shown is derived from the actual return of the Portfolio, and the third
column shows the dollar amount that would have been paid by an investor
who started with $1,000 in the Portfolio. You may use the information
here, together with the amount you invested, to estimate the expenses
that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result
by the number given for the Portfolio under the heading "Expenses Paid
During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses, but
that the expense ratio is unchanged. In this case -- because the return
used is not the Portfolio's actual return -- the results do not apply to
your investment. The example is useful in making comparisons because the
Securities and Exchange Commission requires all mutual funds to calculate
expenses based on a 5% return. You can assess your Portfolio's costs by
comparing this hypothetical example with the hypothetical examples that
appear in shareholder reports of other funds.
Six Months Ended June 30, 2006
<Table>
<Caption>
- ------------------------------------------------------------------------------------------------
BEGINNING ENDING
ACCOUNT VALUE ACCOUNT VALUE EXPENSES PAID
JANUARY 1, 2006 JUNE 30, 2006 DURING PERIOD*
- ------------------------------------------------------------------------------------------------
BASED ON ACTUAL PORTFOLIO RETURN $1,000.00 $1,026.90 $0.23
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
BASED ON HYPOTHETICAL (5% RETURN BEFORE
EXPENSES) $1,000.00 $1,024.57 $0.23
- ------------------------------------------------------------------------------------------------
</Table>
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The annualized average weighted expense ratio as of
June 30, 2006 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.
17
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
<Table>
<Caption>
PORTFOLIO COMPOSITION* JUNE 30, 2006
- ----------------------------------------------------------------------------
Common Stocks 98.2%
- ----------------------------------------------------------------------------
Money Market Funds 0.9
- ----------------------------------------------------------------------------
U.S. Government Securities 0.2
- ----------------------------------------------------------------------------
Liabilities less cash and other assets 0.7
- ----------------------------------------------------------------------------
Total 100.0%
- ----------------------------------------------------------------------------
</Table>
<Table>
<Caption>
TOP FIVE SECTORS (EXCLUDING SHORT-TERM INVESTMENTS)* JUNE 30, 2006
- ----------------------------------------------------------------------------
Financials 21.0%
- ----------------------------------------------------------------------------
Information Technology 14.4
- ----------------------------------------------------------------------------
Health Care 12.0
- ----------------------------------------------------------------------------
Industrials 11.5
- ----------------------------------------------------------------------------
Consumer Discretionary 10.3
- ----------------------------------------------------------------------------
Total 69.2%
- ----------------------------------------------------------------------------
</Table>
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
18
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
COMMON STOCKS -- 98.2%
CONSUMER DISCRETIONARY -- 10.3%
Amazon.Com, Inc.(a) 64,300 $ 2,487
Apollo Group, Inc.(a) 29,475 1,523
AutoNation, Inc.(a) 30,136 646
AutoZone, Inc.(a) 11,387 1,004
Bed Bath & Beyond, Inc.(a) 59,014 1,958
Best Buy Co., Inc. 84,281 4,622
Big Lots, Inc.(a) 24,438 417
Black & Decker Corp. 16,033 1,354
Brunswick Corp. 19,929 663
Carnival Corp. 90,619 3,782
CBS Corp. 161,898 4,379
Centex Corp. 25,776 1,297
Circuit City Stores, Inc. 31,439 856
Clear Channel Communications,
Inc. 104,465 3,233
Coach, Inc.(a) 80,700 2,413
Comcast Corp.(a) 439,767 14,398
Cooper Tire & Rubber Co. 12,537 140
D.R. Horton, Inc. 56,700 1,351
Darden Restaurants, Inc. 27,410 1,080
Dillard's, Inc. Class A 13,653 435
Dollar General Corp. 64,115 896
Dow Jones & Co., Inc. 12,526 439
Eastman Kodak Co. 60,837 1,447
eBay, Inc.(a) 240,520 7,045
EW Scripps Co. 18,000 777
Family Dollar Stores, Inc. 33,068 808
Federated Department Stores,
Inc. 115,880 4,241
Ford Motor Co. 388,655 2,693
Fortune Brands, Inc. 30,466 2,163
Gannett Co., Inc. 49,938 2,793
Gap, Inc. 113,930 1,982
General Motors Corp. 117,773 3,508
Genuine Parts Co. 35,493 1,479
Goodyear Tire & Rubber Co.(a) 37,942 421
H&R Block, Inc. 68,820 1,642
Harley-Davidson, Inc. 55,738 3,059
Harman International
Industries, Inc. 13,900 1,187
Harrah's Entertainment, Inc. 38,433 2,736
Hasbro, Inc. 36,787 666
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Hilton Hotels Corp. 68,543 $ 1,938
Home Depot, Inc. 430,257 15,399
International Game Technology 70,352 2,669
Interpublic Group of Cos.,
Inc.(a) 88,477 739
JC Penney & Co., Inc. 49,188 3,321
Johnson Controls, Inc. 40,396 3,321
Jones Apparel Group, Inc. 23,979 762
KB HOME 15,862 727
Kohl's Corp.(a) 70,710 4,180
Leggett & Platt, Inc. 38,254 956
Lennar Corp. Class A 28,700 1,273
Limited Brands 70,969 1,816
Liz Claiborne, Inc. 22,041 817
Lowe's Cos., Inc. 161,423 9,794
Marriot International, Inc.
Class A 67,678 2,580
Mattel, Inc. 81,445 1,345
McDonald's Corp. 259,253 8,711
McGraw-Hill, Inc. 74,326 3,733
Meredith Corp. 8,947 443
New York Times Co. Class A 30,745 755
Newell Rubbermaid, Inc. 57,721 1,491
News Corp. Class A 492,200 9,440
NIKE, Inc. Class B 39,513 3,201
Nordstrom, Inc. 44,576 1,627
Office Depot, Inc.(a) 59,670 2,267
OfficeMax, Inc. 14,319 584
Omnicom Group, Inc. 35,617 3,173
Pulte Homes, Inc. 44,872 1,292
Radioshack Corp. 28,653 401
Sears Holdings Corp.(a) 20,152 3,120
Sherwin-Williams Co. 23,570 1,119
Snap-On, Inc. 12,548 507
Stanley Works 14,432 682
Staples, Inc. 152,125 3,700
Starbucks Corp.(a) 159,552 6,025
Starwood Hotels & Resorts
Worldwide, Inc. Class B 45,212 2,728
Target Corp. 179,657 8,780
Tiffany & Co. 30,068 993
Time Warner, Inc. 891,447 15,422
TJX Cos., Inc. 94,713 2,165
Tribune Co. 54,955 1,782
</Table>
19
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
CONSUMER DISCRETIONARY -- (CONTINUED)
Univision Communications, Inc.
Class A(a) 46,818 $ 1,568
V.F. Corp. 18,488 1,256
Viacom, Inc.(a) 150,698 5,401
Walt Disney Co. 456,873 13,706
Wendy's International, Inc. 23,967 1,397
Whirlpool Corp. 16,262 1,344
Yum! Brands, Inc. 56,422 2,836
------------
251,306
------------
CONSUMER STAPLES -- 9.4%
Alberto Culver Co. Class B 16,058 782
Altria Group, Inc. 434,864 31,932
Anheuser-Busch Cos., Inc. 161,167 7,348
Archer-Daniels-Midland Co. 136,567 5,637
Avon Products, Inc. 94,448 2,928
Brown-Forman Corp. Class B 17,182 1,228
Campbell Soup Co. 38,183 1,417
Clorox Co. 31,310 1,909
Coca-Cola Co. 426,735 18,358
Coca-Cola Enterprises, Inc. 64,300 1,310
Colgate-Palmolive Co. 107,035 6,411
ConAgra Foods, Inc. 108,046 2,389
Constellation Brands, Inc.
Class A(a) 40,600 1,015
Costco Wholesale Corp. 97,951 5,596
CVS Corp. 170,484 5,234
Dean Foods Co.(a) 28,400 1,056
Estee Lauder Cos, Inc. 25,400 982
General Mills, Inc. 74,364 3,842
H.J. Heinz Co. 70,320 2,899
Hershey Foods Corp. 37,308 2,055
Kellogg Co. 50,529 2,447
Kimberly-Clark Corp. 95,564 5,896
Kroger Co. 152,022 3,323
McCormick & Co., Inc. 27,400 919
Molson Coors Brewing Co., Class
B 12,244 831
Pepsi Bottling Group, Inc. 28,353 911
PepsiCo, Inc. 344,110 20,660
Procter & Gamble Co. 683,457 38,000
Reynolds American, Inc. 17,840 2,057
Safeway, Inc. 93,693 2,436
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Sara Lee Corp. 158,717 $ 2,543
SuperValu, Inc. 43,003 1,320
Sysco Corp. 129,281 3,951
Tyson Foods, Inc., Class A 53,800 799
UST Corp. 33,547 1,516
Wal-Mart Stores, Inc. 520,628 25,079
Walgreen Co. 210,210 9,426
Whole Foods Market, Inc. 29,000 1,875
Wrigley Wm., Jr. Co. 45,670 2,072
------------
230,389
------------
ENERGY -- 9.9%
Anadarko Petroleum Corp. 96,108 4,583
Apache Corp. 69,030 4,711
Baker Hughes, Inc. 70,880 5,802
BJ Services Co. 67,510 2,515
Chesapeake Energy Corp. 80,900 2,447
ChevronTexaco Corp. 461,588 28,646
ConocoPhillips 343,696 22,522
Devon Energy Corp. 91,422 5,523
El Paso Corp. 145,394 2,181
EOG Resources, Inc. 50,568 3,506
ExxonMobil Corp. 1,260,302 77,320
Halliburton Co. 107,386 7,969
Hess Corp. 50,106 2,648
Kerr-McGee Corp. 47,142 3,269
Kinder Morgan, Inc. 21,938 2,191
Marathon Oil Corp. 75,357 6,277
Murphy Oil Corp. 34,800 1,944
Nabors Industries, Ltd.(a) 64,330 2,174
National Oilwell Varco, Inc.(a) 36,300 2,299
Noble Corp. 28,523 2,123
Occidental Petroleum Corp. 89,123 9,140
Rowan Cos., Inc. 23,239 827
Schlumberger, Ltd. 245,614 15,992
Sunoco, Inc. 27,956 1,937
Transocean, Inc.(a) 67,495 5,421
Valero Energy Corp. 128,000 8,515
Weatherford International
Ltd.(a) 72,800 3,612
Williams Cos., Inc. 123,737 2,891
XTO Energy, Inc. 75,800 3,356
------------
242,341
------------
</Table>
20
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
ENERGY -- (CONTINUED)
FINANCIALS -- 21.0%
ACE, Ltd. 68,155 $ 3,448
AFLAC, Inc. 103,616 4,803
Allstate Corp. 132,107 7,230
Ambac Financial Group, Inc. 22,047 1,788
American Express Co. 256,773 13,665
American International Group,
Inc. 540,983 31,945
Ameriprise Financial, Inc. 50,594 2,260
AmSouth Bancorp 72,519 1,918
AON Corp. 66,023 2,299
Apartment Investment &
Management Co. Class A 20,500 891
Archstone-Smith Trust 44,300 2,254
Bank of America Corp. 950,428 45,716
Bank of New York Co., Inc. 161,179 5,190
BB&T Corp. 115,018 4,784
Bear Stearns Cos., Inc. 25,299 3,544
Boston Properties, Inc. 19,100 1,727
Capital One Financial Corp. 63,015 5,385
Charles Schwab Corp. 214,993 3,436
Chubb Corp. 86,778 4,330
Cincinnati Financial Corp. 36,505 1,716
CIT Group, Inc. 42,000 2,196
Citigroup, Inc. 1,035,371 49,946
Comerica, Inc. 33,832 1,759
Commerce Bancorp, Inc. 38,300 1,366
Compass Bancshares, Inc. 27,100 1,507
Countrywide Financial Corp. 127,286 4,847
E*Trade Financial Corp.(a) 89,400 2,040
Equity Office Properties Trust 75,941 2,773
Equity Residential 60,907 2,724
Fannie Mae 201,429 9,689
Federal Home Loan Mortgage
Corp. 143,746 8,195
Federated Investors, Inc. Class
B 18,100 570
Fifth Third Bancorp 116,000 4,286
First Horizon National Corp. 26,117 1,050
Franklin Resources, Inc. 31,744 2,756
Genworth Financial, Inc. 75,700 2,637
Golden West Financial Corp. 53,622 3,979
Goldman Sachs Group, Inc. 89,900 13,524
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Hartford Financial Services
Group, Inc. 63,088 $ 5,337
Huntington Bancshares, Inc. 50,554 1,192
J.P. Morgan Chase & Co. 723,619 30,392
Janus Capital Group, Inc. 44,919 804
KeyCorp 83,709 2,987
Kimco Realty Corp. 44,300 1,616
Legg Mason, Inc. 27,600 2,747
Lehman Brothers Holdings, Inc. 111,336 7,253
Lincoln National Corp. 59,492 3,358
Loews Corp. 84,942 3,011
M & T Bank Corp. 16,300 1,922
Marsh & McLennan Cos., Inc. 113,936 3,064
Marshall & Ilsley Corp. 47,192 2,159
MBIA, Inc. 27,758 1,625
Mellon Financial Corp. 86,323 2,972
Merrill Lynch & Co., Inc. 192,327 13,378
MetLife, Inc. 157,807 8,081
MGIC Investment Corp. 18,362 1,193
Moody's Corp. 51,030 2,779
Morgan Stanley 222,943 14,092
National City Corp. 112,691 4,078
North Fork Bancorp, Inc. 96,535 2,912
Northern Trust Corp. 38,840 2,148
Plum Creek Timber Co., Inc. 38,580 1,370
PNC Financial Services Group,
Inc. 61,847 4,340
Principal Financial Group,
Inc. 58,150 3,236
Progressive Corp. 162,588 4,180
ProLogis 51,200 2,669
Prudential Financial, Inc. 102,800 7,988
Public Storage, Inc. 17,200 1,305
Regions Financial Corp. 95,609 3,167
SAFECO Corp. 24,664 1,390
Simon Property Group, Inc. 38,363 3,182
SLM Corp. 85,342 4,516
Sovereign Bancorp, Inc. 77,805 1,580
St. Paul Travelers Cos., Inc. 145,225 6,474
State Street Corp.(b) 69,525 4,039
SunTrust Banks, Inc. 75,572 5,763
Synovus Financial Corp. 67,604 1,810
T. Rowe Price Group, Inc. 55,580 2,101
Torchmark Corp. 20,676 1,255
</Table>
21
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
FINANCIALS -- (CONTINUED)
U.S. Bancorp 370,461 $ 11,440
UnumProvident Corp. 62,935 1,141
Vornado Realty Trust 24,700 2,409
Wachovia Corp. 334,886 18,111
Washington Mutual, Inc. 199,913 9,112
Wells Fargo Co. 349,811 23,466
XL Capital, Ltd. Class A 37,732 2,313
Zions Bancorp 22,219 1,732
------------
513,362
------------
HEALTH CARE -- 12.0%
Abbott Laboratories 317,667 13,853
Aetna, Inc. 118,528 4,733
Allergan, Inc. 31,991 3,431
AmerisourceBergen Corp. 43,432 1,821
Amgen, Inc.(a) 245,475 16,012
Applera Corp. -- Applied
Biosystems Group 38,367 1,241
Barr Pharmaceuticals, Inc.(a) 22,400 1,068
Bausch & Lomb, Inc. 11,325 555
Baxter International, Inc. 136,126 5,004
Becton, Dickinson & Co. 51,829 3,168
Biogen Idec, Inc.(a) 71,673 3,321
Biomet, Inc. 51,841 1,622
Boston Scientific Corp.(a) 254,012 4,278
Bristol-Myers Squibb Co. 409,217 10,582
C.R. Bard, Inc. 21,594 1,582
Cardinal Health, Inc. 86,866 5,588
Caremark Rx, Inc. 91,908 4,583
CIGNA Corp. 24,989 2,462
Coventry Health Care, Inc.(a) 33,600 1,846
Eli Lilly & Co. 235,197 12,999
Express Scripts, Inc.(a) 30,600 2,195
Fisher Scientific
International, Inc.(a) 25,900 1,892
Forest Laboratories, Inc.(a) 68,306 2,643
Genzyme Corp.(a) 54,105 3,303
Gilead Sciences, Inc.(a) 94,600 5,597
HCA, Inc. 85,459 3,688
Health Management Associates,
Inc. Class A 50,398 993
Hospira, Inc.(a) 32,236 1,384
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Humana, Inc.(a) 34,425 $ 1,849
IMS Health, Inc. 41,881 1,125
Johnson & Johnson 616,646 36,949
King Pharmaceuticals, Inc.(a) 49,932 849
Laboratory Corp. of America
Holdings(a) 26,300 1,637
Manor Care, Inc. 16,651 781
McKesson Corp. 63,831 3,018
Medco Health Solutions, Inc.(a) 62,672 3,590
MedImmune, Inc.(a) 52,465 1,422
Medtronic, Inc. 251,202 11,786
Merck & Co., Inc. 454,303 16,550
Millipore Corp.(a) 10,728 676
Mylan Laboratories Inc. 43,200 864
Patterson Cos., Inc.(a) 29,500 1,030
Pfizer, Inc. 1,525,974 35,815
Quest Diagnostics Inc. 33,800 2,025
Schering-Plough Corp. 309,224 5,885
St. Jude Medical, Inc.(a) 74,794 2,425
Stryker Corp. 60,908 2,565
Tenet Healthcare Corp.(a) 99,009 691
Thermo Electron Corp.(a) 33,929 1,230
UnitedHealth Group, Inc. 280,368 12,555
Watson Pharmaceuticals, Inc.(a) 22,003 512
Wellpoint, Inc.(a) 132,678 9,655
Wyeth 280,131 12,441
Zimmer Holdings, Inc.(a) 51,620 2,928
------------
292,297
------------
INDUSTRIALS -- 11.5%
3M Co. 156,884 12,672
Allied Waste Industries,
Inc.(a) 50,667 576
American Power Conversion
Corp. 36,667 715
American Standard Cos., Inc. 37,321 1,615
Avery Dennison Corp. 22,970 1,334
Boeing Co. 166,445 13,634
Burlington Northern Santa Fe
Corp. 76,250 6,043
Caterpillar, Inc. 139,370 10,380
Cendant Corp. 207,622 3,382
Cintas Corp. 28,482 1,132
Cooper Industries, Ltd. 19,121 1,777
CSX Corp. 45,824 3,228
</Table>
22
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
INDUSTRIALS -- (CONTINUED)
Cummins, Inc. 9,573 $ 1,170
Danaher Corp. 49,426 3,179
Deere & Co. 48,741 4,069
Dover Corp. 42,713 2,111
Eaton Corp. 30,978 2,336
Emerson Electric Co. 85,335 7,152
Equifax, Inc. 26,769 919
FedEx Corp. 63,446 7,414
Fluor Corp. 18,106 1,683
General Dynamics Corp. 83,912 5,493
General Electric Co. 2,165,923 71,389
Goodrich Co. 25,755 1,038
Honeywell International, Inc. 172,142 6,937
Illinois Tool Works, Inc. 86,828 4,124
Ingersoll-Rand Co. Class A 68,600 2,935
ITT Industries, Inc. 38,404 1,901
L-3 Communications Holdings,
Inc. 25,200 1,901
Lockheed Martin Corp. 73,571 5,278
Masco Corp. 83,074 2,462
Monster Worldwide, Inc.(a) 26,192 1,117
Navistar International Corp.(a) 13,180 324
Norfolk Southern Corp. 86,861 4,623
Northrop Grumman Corp. 71,478 4,579
PACCAR, Inc. 34,570 2,848
Pall Corp. 26,774 750
Parker-Hannifin Corp. 25,223 1,957
Pitney Bowes, Inc. 45,939 1,897
R.R. Donnelley & Sons Co. 45,660 1,459
Raytheon Co. 93,114 4,150
Robert Half International,
Inc. 36,214 1,521
Rockwell Automation, Inc. 37,120 2,673
Rockwell Collins, Inc. 35,419 1,979
Ryder Systems, Inc. 12,780 747
Southwest Airlines Co. 147,740 2,418
Textron, Inc. 26,975 2,487
Tyco International, Ltd. 423,848 11,656
Union Pacific Corp. 56,340 5,237
United Parcel Service, Inc.
Class B 225,800 18,590
United Technologies Corp. 210,414 13,344
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
W.W. Grainger, Inc. 16,109 $ 1,212
Waste Management, Inc. 113,279 4,064
------------
279,611
------------
INFORMATION TECHNOLOGY -- 14.4%
ADC Telecommunications, Inc.(a) 25,018 422
Adobe Systems, Inc. 125,242 3,802
Advanced Micro Devices, Inc.(a) 100,184 2,447
Affiliated Computer Services,
Inc.(a) 24,600 1,270
Agilent Technologies, Inc.(a) 89,297 2,818
Altera Corp.(a) 75,978 1,333
Analog Devices, Inc. 74,861 2,406
Andrew Corp.(a) 34,827 309
Apple Computer, Inc.(a) 176,992 10,110
Applied Materials, Inc. 325,061 5,292
Autodesk, Inc. 48,430 1,669
Automatic Data Processing,
Inc. 120,238 5,453
Avaya, Inc.(a) 87,415 998
BMC Software, Inc.(a) 44,636 1,067
Broadcom Corp.(a) 95,769 2,878
CA, Inc. 95,129 1,955
CIENA Corp.(a) 126,088 607
Cisco Systems, Inc.(a) 1,271,159 24,826
Citrix Systems, Inc.(a) 38,153 1,531
Computer Sciences Corp.(a) 39,182 1,898
Compuware Corp.(a) 78,557 526
Comverse Technology, Inc.(a) 42,838 847
Convergys Corp.(a) 28,605 558
Corning, Inc.(a) 325,585 7,876
Dell, Inc.(a) 472,791 11,541
Electronic Arts, Inc.(a) 63,400 2,729
Electronic Data Systems Corp. 107,786 2,593
EMC Corp.(a) 491,541 5,392
First Data Corp. 159,204 7,171
Fiserv, Inc.(a) 36,347 1,649
Freescale Semiconductor,
Inc.(a) 84,108 2,473
Gateway, Inc.(a) 65,065 124
Google, Inc.(a) 42,910 17,993
Hewlett-Packard Co. 580,819 18,400
Intel Corp. 1,211,203 22,952
International Business Machines
Corp. 322,818 24,799
</Table>
23
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
INFORMATION TECHNOLOGY -- (CONTINUED)
Intuit, Inc.(a) 35,351 $ 2,135
Jabil Circuit, Inc. 36,613 937
JDS Uniphase Corp.(a) 352,519 892
Juniper Networks, Inc.(a) 117,100 1,872
KLA-Tencor Corp. 41,864 1,740
Lexmark International Group,
Inc. Class A(a) 21,702 1,212
Linear Technology Corp. 63,675 2,132
LSI Logic Corp.(a) 81,935 733
Lucent Technologies, Inc.(a) 931,672 2,255
Maxim Integrated Products, Inc. 67,156 2,156
Micron Technology, Inc.(a) 151,532 2,282
Microsoft Corp. 1,827,204 42,574
Molex, Inc. 29,510 991
Motorola, Inc. 513,998 10,357
National Semiconductor Corp. 70,318 1,677
NCR Corp.(a) 38,184 1,399
Network Appliance, Inc.(a) 78,067 2,756
Novell, Inc.(a) 68,842 456
Novellus Systems, Inc.(a) 27,369 676
NVIDIA Corp.(a) 73,902 1,573
Oracle Corp.(a) 810,519 11,744
Parametric Technology Corp.
New(a) 23,296 296
Paychex, Inc. 69,527 2,710
PerkinElmer, Inc. 27,257 570
PMC-Sierra, Inc.(a) 43,224 406
QLogic Corp.(a) 34,290 591
QUALCOMM, Inc. 348,878 13,980
Sabre Holdings Corp. Class A 28,424 625
SanDisk Corp.(a) 40,800 2,080
Sanmina-SCI Corp.(a) 112,858 519
Solectron Corp.(a) 187,214 640
Sun Microsystems, Inc.(a) 732,888 3,042
Symantec Corp.(a) 214,834 3,339
Symbol Technologies, Inc. 52,185 563
Tektronix, Inc. 16,729 492
Tellabs, Inc.(a) 93,575 1,245
Teradyne, Inc.(a) 41,392 577
Texas Instruments, Inc. 324,203 9,820
Unisys Corp.(a) 72,779 457
VeriSign, Inc.(a) 51,300 1,189
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Waters Corp.(a) 21,857 $ 970
Xerox Corp.(a) 190,442 2,649
Xilinx, Inc. 72,204 1,635
Yahoo!, Inc.(a) 262,080 8,649
----------
350,307
----------
MATERIALS -- 3.1%
Air Products & Chemicals, Inc. 46,489 2,972
Alcoa, Inc. 180,846 5,852
Allegheny Technologies, Inc. 18,029 1,248
Ashland, Inc. 14,980 999
Ball Corp. 21,670 803
Bemis Co., Inc. 21,628 662
Consol Energy, Inc. 38,300 1,789
Dow Chemical Co. 200,999 7,845
E.I. Du Pont de Nemours & Co. 191,639 7,972
Eastman Chemical Co. 16,862 911
Ecolab, Inc. 38,226 1,551
Freeport-McMoRan Copper & Gold,
Inc. Class B 39,514 2,189
Hercules, Inc.(a) 24,698 377
International Flavors &
Fragrances, Inc. 16,204 571
International Paper Co. 102,856 3,322
Louisiana-Pacific Corp. 21,959 481
MeadWestvaco Corp. 37,588 1,050
Monsanto Co. 56,246 4,735
Newmont Mining Corp. 94,042 4,978
Nucor Corp. 64,808 3,516
Pactiv Corp.(a) 29,764 737
Phelps Dodge Corp. 42,510 3,493
PPG Industries, Inc. 34,490 2,276
Praxair, Inc. 67,420 3,641
Rohm & Haas Co. 29,896 1,498
Sealed Air Corp. 17,036 887
Sigma-Aldrich Corp. 13,793 1,002
Temple-Inland, Inc. 22,928 983
United States Steel Corp. 22,802 1,599
Vulcan Materials Co. 20,996 1,638
Weyerhaeuser Co. 51,624 3,214
----------
74,791
----------
</Table>
24
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
MATERIALS -- (CONTINUED)
TELECOMMUNICATION SERVICES -- 3.3%
ALLTEL Corp. 80,898 $ 5,164
AT&T, Inc. 809,553 22,578
BellSouth Corp. 376,528 13,630
CenturyTel, Inc. 23,808 884
Citizens Communications Co. 68,877 899
Embarq Corp.(a) 31,045 1,273
Qwest Communications
International, Inc.(a) 325,122 2,630
Sprint Corp. (Fon Group) 620,000 12,394
Verizon Communications, Inc. 607,410 20,342
----------
79,794
----------
UTILITIES -- 3.3%
AES Corp.(a) 137,914 2,545
Allegheny Energy, Inc.(a) 33,899 1,257
Ameren Corp. 42,542 2,148
American Electric Power Co.,
Inc. 82,254 2,817
CenterPoint Energy, Inc. 63,893 799
CMS Energy Corp.(a) 46,605 603
Consolidated Edison, Inc. 51,122 2,272
Constellation Energy Group,
Inc. 37,103 2,023
Dominion Resources, Inc. 72,587 5,429
DTE Energy Co. 36,946 1,505
Duke Energy Corp. 256,899 7,545
Dynegy Inc. Class A(a) 77,330 423
Edison International 67,762 2,643
Entergy Corp. 43,243 3,059
Exelon Corp. 139,078 7,904
FirstEnergy Corp. 68,812 3,730
FPL Group, Inc. 84,078 3,479
KeySpan Corp. 35,806 1,447
Nicor, Inc. 9,313 386
NiSource, Inc. 57,867 1,264
Peoples Energy Corp. 8,131 292
PG&E Corp. 72,023 2,829
Pinnacle West Capital Corp. 20,581 821
PPL Corp. 79,236 2,559
</Table>
<Table>
<Caption>
MARKET
VALUE
SHARES (000)
---------- ------------
Progress Energy, Inc. 52,408 $ 2,247
Public Service Enterprise
Group, Inc. 52,422 3,466
Sempra Energy 53,789 2,446
Southern Co. 154,958 4,966
TECO Energy, Inc. 43,276 647
TXU Corp. 96,496 5,770
Xcel Energy, Inc. 83,797 1,607
----------
80,928
----------
TOTAL COMMON STOCKS
(Cost $1,666,913,046) 2,395,126
----------
<Caption>
PAR
AMOUNT
(000)
----------
U.S. GOVERNMENT SECURITIES -- 0.2%
United States Treasury Bill
4.70% due 09/07/06(c)(d) $ 4,299 4,261
----------
TOTAL U.S. GOVERNMENT
SECURITIES
(Cost $4,260,834) 4,261
----------
<Caption>
SHARES
(000)
----------
MONEY MARKET FUNDS -- 0.9%
AIM Short Term Investment Prime
Portfolio 21,566 $ 21,566
Federated Money Market
Obligations Trust 513 513
----------
TOTAL MONEY MARKET FUNDS
(Cost $22,078,843) 22,079
----------
TOTAL INVESTMENTS -- 99.3%
(identified cost
$1,693,252,723) 2,421,466
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.7% 16,265
----------
NET ASSETS -- 100.0% $2,437,731
==========
</Table>
25
STATE STREET EQUITY 500 INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
<Table>
<Caption>
NUMBER UNREALIZED
OF APPRECIATION
CONTRACTS (000)
---------- ------------
SCHEDULE OF FUTURES CONTRACTS
S&P 500 Financial Futures
Contracts (long) Expiration
Date 09/2006 666 $ 1,041
----------
Total unrealized appreciation
on open futures contracts
purchased $ 1,041
==========
</Table>
- ---------------
(a) Non-income producing security.
(b) Affiliated issuer.
(c) Security held as collateral in relation to initial margin requirements on
futures contracts.
(d) Rate represents annualized yield at date of purchase.
AFFILIATE TABLE
<Table>
<Caption>
NUMBER OF INCOME EARNED
SHARES HELD SHARES PURCHASED SHARES SOLD FOR NUMBER OF FOR THE 6 REALIZED GAIN
AT FOR THE 6 MONTHS THE 6 MONTHS SHARES HELD AT MONTHS ENDED ON SHARES SOLD
SECURITY DESCRIPTION 12/31/2005 ENDED 6/30/06 ENDED 6/30/06 6/30/06 6/30/06 (000) (000)
- -------------------- ----------- ---------------- --------------- --------------- -------------- --------------
State Street Corp. 70,325 1,200 2,000 69,525 $27 $42
</Table>
See Notes to Financial Statements
26
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2006 (UNAUDITED)
(Amounts in thousands)
<Table>
ASSETS
Investments in unaffiliated issuers at market (identified
cost $1,690,939) $2,417,427
Investments in non-controlled affiliates at market
(identified cost $2,314) (Note 4) 4,039
----------
2,421,466
Receivables:
Investment securities sold 13,639
Dividends and interest 2,921
----------
Total assets 2,438,026
LIABILITIES
Payables:
Daily variation margin on futures contracts 110
Management fees (Note 4) 185
----------
Total liabilities 295
----------
NET ASSETS $2,437,731
==========
</Table>
See Notes to Financial Statements.
27
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2006 (UNAUDITED)
(Amounts in thousands)
<Table>
INVESTMENT INCOME
Dividend income -- unaffiliated issuers $22,997
Dividend income -- non-controlled affiliated issuer 27
Interest 1,312
-------
Total Investment Income 24,336
-------
EXPENSES
Management fees (Note 4) $ 557
-------
Total Expenses 557
-------
NET INVESTMENT INCOME 23,779
-------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investments -- unaffiliated issuers (4,121)
Investments -- non-controlled affiliated issuer 42
Futures contracts (1,439)
-------
(5,518)
Net change in net unrealized appreciation (depreciation) on:
Investments 45,905
Futures contracts 1,807
-------
47,712
-------
Net realized and unrealized gain 42,194
-------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $65,973
=======
</Table>
See Notes to Financial Statements.
28
STATE STREET EQUITY 500 INDEX PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(Amounts in thousands)
<Table>
<Caption>
For the
Six Months Ended For the
June 30, 2006 Year Ended
(Unaudited) December 31, 2005
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income................................ $ 23,779 $ 45,936
Net realized loss on investments and futures
contracts......................................... (5,518) (7,186)
Net change in net unrealized appreciation
(depreciation).................................... 47,712 63,727
---------- ----------
Net increase in net assets resulting from
operations...................................... 65,973 102,477
---------- ----------
CAPITAL TRANSACTIONS
Proceeds from contributions.......................... 117,084 278,352
Fair value of withdrawals............................ (198,435) (457,339)
Withdrawals in-kind.................................. -- (237,848)
---------- ----------
Net decrease in net assets from capital
transactions.................................... (81,351) (416,835)
---------- ----------
TOTAL NET DECREASE IN NET ASSETS....................... (15,378) (314,358)
NET ASSETS
Beginning of period.................................... 2,453,109 2,767,467
---------- ----------
End of period.......................................... $2,437,731 $2,453,109
========== ==========
</Table>
See Notes to Financial Statements.
29
STATE STREET EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
<Table>
<Caption>
For the
Six Months
Ended Year Year Year Year Year
6/30/06 Ended Ended Ended Ended Ended
(Unaudited) 12/31/05 12/31/04 12/31/03 12/31/02 12/31/01
----------- -------- -------- -------- -------- --------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in
thousands) $2,437,731 $2,453,109 $2,767,467 $2,714,672 $1,992,548 $2,692,298
Ratios to average net assets:
Operating expenses 0.045%+ 0.045% 0.045% 0.045% 0.045% 0.045%
Net investment income 1.92%+ 1.84% 1.97% 1.74% 1.57% 1.34%
Portfolio turnover rate* 4%++ 8% 9% 12% 13% 14%
Total return(a) 2.69%++ 4.87% 10.86% 28.62% (22.16)% (11.94)%
</Table>
- ---------------
* 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.
30
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of the
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises six
investment portfolios: the State Street Equity 500 Index Portfolio, the State
Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio,
the State Street Aggregate Bond Index Portfolio, the State Street Money Market
Portfolio, and the State Street U.S. Government Money Market Portfolio.
Information presented in these financial statements pertains only to the State
Street Equity 500 Index Portfolio (the "Portfolio"). At June 30, 2006, only the
Portfolio and State Street Money Market Portfolio were in operation. The
Portfolio is authorized to issue an unlimited number of non-transferable
beneficial interests.
The Portfolio's investment objective is to replicate, as closely as possible,
before expenses, the performance of the Standard & Poor's 500 Composite Stock
Price Index (the "S&P 500(R) Index"). The Portfolio uses a passive management
strategy designed to track the performance of the S&P 500(R) Index. The S&P
500(R) Index is a well-known, unmanaged, stock index that includes common stocks
of 500 companies from several industrial sectors representing a significant
portion of the market value of all stocks publicly traded in the United States.
There is no assurance that the Portfolio will achieve its objective.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies consistently
followed by the Portfolio in the preparation of its financial statements.
SECURITY VALUATION: The Portfolio's investments are valued each business day by
independent pricing services. Equity securities for which market quotations are
available are valued at the last sale price or official closing price (closing
bid price if no sale has occurred) on the primary market or exchange on which
they trade. Investments in other mutual funds are valued at the net asset value
per share. Fixed-income securities and options are valued on the basis of the
closing bid price. Futures contracts are valued on the basis of the last sale
price. Money market instruments maturing within 60 days of the valuation date
are valued at amortized cost, a method by which each money market instrument is
initially valued at cost, and thereafter a constant accretion or amortization of
any discount or premium is recorded until maturity of the security. The
Portfolio may value securities for which market quotations are not readily
available at "fair value," as determined in good faith pursuant to procedures
established by the Board of Trustees.
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
31
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
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.
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 six months ended June 30, 2006, purchases and sales of investment
securities, excluding short-term investments, futures contracts, and in-kind
withdrawals, aggregated to $94,209,892 and $139,808,353, respectively. The
aggregate value of in-kind withdrawals was $0.
At June 30, 2006, the book cost of investments was $1,693,252,723 which
approximates cost computed on a federal tax basis. The aggregate gross
unrealized appreciation and gross unrealized depreciation was
32
STATE STREET EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
JUNE 30, 2006 (UNAUDITED)
$821,744,395 and $93,531,438, respectively, resulting in net appreciation of
$728,212,957 for all securities as computed on a federal income tax basis.
4. RELATED PARTY FEES AND TRANSACTIONS
The Portfolio has entered into an investment advisory agreement with SSgA Funds
Management, Inc. ("SSgA FM" or the "Adviser"), a subsidiary of State Street
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), State Street receives a unitary fee, calculated daily, at the
annual rate of 0.045% of the Portfolio's average daily net assets.
Certain investments made by the Portfolio were made in securities affiliated
with State Street and SSgA FM. Investments in State Street Corp., the holding
company of State Street, were made according to its representative portion of
the S&P 500(R) Index. The market value of this investment at June 30, 2006 is
listed in the Portfolio of Investments.
5. INDEMNIFICATIONS
Like many other companies, the Trust's organizational documents provide that its
officers and trustees are indemnified against certain liabilities arising out of
the performance of their duties to the Trust. In addition, both in some of its
principal service contracts and in the normal course of its business, the Trust
enters into contracts that provide indemnifications to other parties for certain
types of losses or liabilities. The Trust's maximum exposure under these
arrangements in unknown as this could involve future claims against the Trust
33
STATE STREET EQUITY 500 INDEX PORTFOLIO
GENERAL INFORMATION (UNAUDITED)
JUNE 30, 2006
PROXY VOTING POLICIES AND PROCEDURES AND RECORD
The Trust has adopted proxy voting procedures relating to portfolio securities
held by the Portfolio. A description of the policies and procedures are
available (i) without charge, upon request, by calling (877) 521-4083 or (ii) on
the website of the Securities and Exchange Commission (the "SEC") at
www.sec.gov. Information on how the Portfolio voted proxies relating to
portfolio securities during the most recent 12-month period ended June 30 is
available by August 31 (i) without charge, upon request, by (i) calling (877)
521-4083 or (ii) on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files a complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
34
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
State Street Financial Center
One Lincoln Street
Boston, MA 02110
INDEPENDENT ACCOUNTANTS
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
35
STATE STREET MONEY MARKET PORTFOLIO
SEMI-ANNUAL REPORT
JUNE 30, 2006
(UNAUDITED)
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 January 1, 2006 to June 30,
2006.
The table below illustrates your Portfolio's costs in two ways:
- BASED ON ACTUAL FUND RETURN. This section helps you to estimate the
actual expenses that you paid over the period. The "Ending Account
Value" shown is derived from the Portfolio's actual return, and the
third column shows the dollar amount that would have been paid by an
investor who started with $1,000 in the Portfolio. You may use the
information here, together with the amount you invested, to estimate
the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the
result by the number given for the Portfolio under the heading
"Expenses Paid During Period".
- BASED ON HYPOTHETICAL 5% RETURN. This section is intended to help you
compare your Portfolio's costs with those of other mutual funds. It
assumes that the Portfolio had a yearly return of 5% before expenses,
but that the expense ratio is unchanged. In this case- because the
return used is not the Portfolio's actual return- the results do not
apply to your investment. The example is useful in making comparisons
because the Securities and Exchange Commission requires all mutual
funds to calculate expenses based on a 5% return. You can assess your
Portfolio's costs by comparing this hypothetical example with the
hypothetical examples that appear in shareholder reports of other
funds.
Six Months Ended June 30, 2006
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID
VALUE VALUE DURING
1/1/06 6/30/06 PERIOD *
--------- --------- --------
BASED ON ACTUAL PORTFOLIO
RETURN $1,000.00 $1,018.90 $0.50
BASED ON HYPOTHETICAL
(5% RETURN BEFORE EXPENSES) $1,000.00 $1,024.30 $0.50
* The calculations are based on expenses incurred in the most recent fiscal
period of the Portfolio. The Portfolio's annualized average weighted
expense ratio as of June 30, 2006 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 six-month period, then divided by the
number of days in the most recent 12-month period.
13
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO STATISTICS (UNAUDITED)
PORTFOLIO COMPOSITION* JUNE 30, 2006
- ---------------------- -------------
Repurchase Agreements 39.4%
Yankee Certificate of Deposit 20.6
Commercial Paper 18.8
Bank Note 10.3
Certificate of Deposit 4.4
Euro Certificate of Deposit 2.4
Time Deposits 1.9
Medium Term Note 1.5
Promissory Note 0.5
Other assets less liabilities 0.2
------
Total 100.00%
======
MATURITY LADDER* JUNE 30, 2006
- ---------------- -------------
3 Days 41.4%
4-90 Days 27.6
90+ Days 31.0
-----
Total 100.0%
=====
Average maturity 33 Days
* As a percentage of net assets as of the date indicated. The Portfolio's
composition will vary over time.
14
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------ -------- ---------- ------------ ------------
COMMERCIAL PAPER -- 18.77%
ABCP CDO -- 3.93%
Davis Square Funding IV 5.280% 07/27/2006 $124,350,000 $123,875,812
Klio III Funding Corp. 5.280% 07/20/2006 65,778,000 65,594,698
------------
189,470,510
------------
ABCP CREDIT ARBITRAGE -- 1.52%
Grampian Funding Ltd. 5.100% 10/31/2006 25,000,000 24,567,917
Grampian Funding Ltd. 5.380% 12/18/2006 50,000,000 48,729,722
------------
73,297,639
------------
ABCP HYBRID -- 1.55%
Giro Balanced Funding Corp. 5.240% 07/17/2006 75,000,000 74,825,333
------------
ABCP RECEIVABLES AND SECURITIES -- 4.21%
Amstel Funding Corp. 4.635% 07/27/2006 25,000,000 24,916,313
Bavaria TRR Corporation 5.300% 07/25/2006 75,000,000 74,735,000
Bavaria TRR Corporation 5.320% 07/28/2006 75,200,000 74,899,952
Sheffield Receivables Corp. 5.270% 08/03/2006 28,062,000 27,926,437
------------
202,477,702
------------
BANK FOREIGN -- 5.19%
Danske Corp. 4.565% 10/13/2006 70,000,000 69,076,856
Macquarie Bank Ltd. (a) 5.048% 07/18/2006 12,000,000 11,999,944
Nordea North America, Inc. 5.330% 09/22/2006 75,000,000 74,078,354
San Paolo IMI Financial Co. 5.295% 08/02/2006 45,000,000 44,788,200
Santander Finance 4.940% 07/18/2006 50,000,000 49,885,250
------------
249,828,604
------------
FINANCE CAPTIVE CONSUMER -- 2.37%
General Electric Capital Corp. 5.230% 08/08/2006 75,000,000 74,585,958
General Electric Capital Corp. 4.540% 10/13/2006 40,000,000 39,475,378
------------
114,061,336
------------
TOTAL COMMERCIAL PAPER 903,961,124
------------
CERTIFICATES OF DEPOSIT -- 4.36%
BANK DOMESTIC -- 4.36%
Bank of America NA (b) 5.315% 02/28/2007 50,000,000 50,000,000
Washington Mutual Bank (b) 5.303% 04/20/2007 10,000,000 10,000,000
Wells Fargo Bank NA 5.310% 07/31/2006 150,000,000 149,998,756
------------
TOTAL CERTIFICATES OF DEPOSIT 209,998,756
------------
YANKEE CERTIFICATES OF DEPOSIT -- 20.65%
BANK FOREIGN -- 20.65%
Banco Bilbao Vizcaya NY 5.135% 08/21/2006 30,000,000 29,996,896
Barclays Bk PLC 5.010% 11/27/2006 25,000,000 25,000,000
BNP Paribas NT Branch 5.340% 05/07/2007 75,000,000 75,000,000
Calyon NY (b) 5.320% 11/27/2006 125,000,000 125,000,000
Credit Suisse First Boston 5.320% 08/04/2006 100,000,000 100,000,000
Fortis Bank 4.730% 10/13/2006 70,000,000 70,000,000
HBOS Treasury Services NY 5.212% 06/19/2007 100,000,000 100,000,000
Landesbank Baden- Wurtt NY 5.455% 09/22/2006 100,000,000 100,000,000
See Notes to Financial Statements
15
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)
NAME OF ISSUER INTEREST MATURITY PRINCIPAL AMORTIZED
AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- ------------------ -------- ---------- ------------ ------------
BANK FOREIGN -- (CONTINUED)
Royal Bank of Scotland 5.197% 11/20/2006 $ 75,000,000 $ 74,995,071
Societe Generale NY 5.204% 06/20/2007 95,000,000 94,977,406
Svenska Handelsbanken AB 5.110% 02/12/2007 50,000,000 49,993,859
UBS AG 5.315% 08/08/2006 150,000,000 150,000,000
------------
TOTAL YANKEE CERTIFICATES OF DEPOSIT 994,963,232
------------
EURO CERTIFICATES OF DEPOSIT -- 2.39%
BANK FOREIGN -- 2.39%
Societe Generale 5.310% 04/19/2007 20,000,000 20,000,000
ABN - AMRO London 5.335% 08/08/2006 75,000,000 75,000,394
HSBC Bank PLC 5.240% 11/08/2006 20,000,000 20,000,703
------------
TOTAL EURO CERTIFICATES OF DEPOSIT 115,001,097
------------
BANK NOTES -- 10.28%
BANK DOMESTIC -- 7.48%
American Express Bank FSB (b) 5.169% 03/15/2007 40,000,000 40,000,000
American Express Co. (b) 5.302% 07/20/2007 20,000,000 20,000,000
American Express Credit Corp. (b) 5.110% 01/09/2007 75,000,000 74,997,908
Bank of America NA (b) 5.315% 04/18/2007 50,000,000 50,000,000
JPMorgan Chase & Co. (b) 5.115% 08/02/2007 50,000,000 50,000,000
Marshall & Ilsley Bank (b) 5.070% 03/07/2007 75,000,000 74,989,888
National City Bank of Indiana (b) 5.109% 04/04/2007 50,000,000 50,007,208
------------
359,995,004
------------
BANK FOREIGN -- 2.80%
Alliance & Leicester PLC (a) (b) 5.330% 06/17/2007 35,000,000 35,000,000
BNP Paribas (a) (b) 5.144% 05/18/2007 25,000,000 25,000,000
HBOS Treasury Services PLC (a) (b) 5.120% 08/09/2007 25,000,000 25,000,000
National Australia Bank Ltd. (a) (b) 5.100% 08/07/2007 20,000,000 20,000,000
Unicredito Italiano Bank Ireland (a) (b) 5.209% 07/13/2007 15,000,000 15,000,000
Westpac Banking Corp. (a) (b) 5.178% 07/16/2007 15,000,000 15,000,000
------------
135,000,000
------------
TOTAL BANK NOTES 494,995,004
------------
MEDIUM TERM NOTE -- 1.56%
FINANCE CAPTIVE CONSUMER -- 1.56%
Toyota Motor Credit Corp. (b) 4.945% 07/02/2007 75,000,000 74,994,220
------------
Total MEDIUM TERM NOTES 74,994,220
------------
TIME DEPOSITS -- 1.88%
Suntrust Bank 5.188% 07/03/2006 90,809,000 90,809,000
------------
TOTAL TIME DEPOSITS 90,809,000
------------
PROMISSORY NOTE -- 0.52%
Goldman Sachs Group, Inc. (a) (c) 5.180% 12/18/2006 25,000,000 25,000,000
------------
TOTAL PROMISSORY NOTE 25,000,000
------------
REPURCHASE AGREEMENTS -- 39.44%
ABN AMRO Inc. Tri Party Repo, dated
06/30/06 (collateralized by
Corporate Notes, 5.800% - 6.875% due
06/15/09 - 05/01/14 valued at
$78,750,001); proceeds $75,033,516 5.363% 07/03/2006 75,000,000 75,000,000
See Notes to Financial Statements
16
STATE STREET MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 2006 (UNAUDITED)
INTEREST MATURITY PRINCIPAL AMORTIZED
NAME OF ISSUER AND TITLE OF ISSUE RATE DATE AMOUNT COST +
- --------------------------------- -------- ---------- ------------ --------------
Bank of America Tri Party Repo, dated 06/30/06 (collateralized by Federal
National Mortgage Association, 4.500% - 6.500% due 04/01/18 - 06/01/36,
Government National Mortgage Association, 5.000% - 5.500% due 07/20/34 -
04/20/35, and Federal Home Loan Mortgage Corporation, 4.500% - 6.000% due
03/01/19 - 04/01/36 valued at $765,000,001); proceeds $750,331,250 5.300% 07/03/2006 $750,000,000 $ 750,000,000
Bear Stearns Tri Party Repo, dated 06/30/06 (collateralized by Asset-
Backed Securities, 0.010% - 5.370% due 04/30/31 -09/25/45 valued at
$51,001,254); proceeds $50,022,385 5.373% 07/03/2006 50,000,000 50,000,000
BNP Paribas Tri Party Repo, dated 06/30/06 (collateralized by Federal
Home Loan Mortgage Corporation, 3.000%-6.175% due 01/15/15 - 05/15/36,
Federal National Mortgage Association, 1.000%-7.500% due
06/25/10-06/25/36 valued at $719,100,000); proceeds $705,309,613 5.270% 07/03/2006 705,000,000 705,000,000
Credit Suisse First Boston Tri Party Repo, dated 06/30/06 (collateralized
by Corporate Notes, 4.000% - 6.150% due 05/01/07 - 03/01/09 valued at
$51,003,860); proceeds $50,022,344 5.363% 07/03/2006 50,000,000 50,000,000
Lehman Brothers Tri Party Repo, dated 06/30/06 (collateralized by
Corporate Notes, 4.625% - 7.500% due 07/15/11 - 08/03/35 valued at
$71,401,780); proceeds $70,031,223 5.353% 07/03/2006 70,000,000 70,000,000
UBS Warburg LLC Tri Party Repo, dated 06/30/06 (collateralized by Federal
National Mortgage Association, 4.500% - 6.500% due 07/01/08 - 06/01/36
valued at $204,002,340); proceeds $200,090,000 5.400% 07/03/2006 200,000,000 200,000,000
--------------
TOTAL REPURCHASE AGREEMENTS 1,900,000,000
--------------
TOTAL INVESTMENTS -- 99.85% 4,809,722,433
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.15% 7,384,844
--------------
NET ASSETS -- 100.00% $4,817,107,277
==============
(a) Security subject to restrictions on resale under federal securities laws,
which may only be resold upon registration under the Securities Act of
1933, as amended ("1933 Act") or in transactions exempt from registration,
including sales to qualified institutional buyers pursuant to Rule 144A of
the 1933 Act. The Portfolio does not have the right to demand that this
security be registered.
(b) Floating Rate Note- Interest rate shown is rate in effect at June 30,
2006.
(c) Security subject to restrictions on resale that has been deemed by the
Adviser to be illiquid. The Portfolio may not invest more than 10% of
its net assets in illiquid securities. At June 30, 2006, this security
represents 0.51% of net assets.
+ See Note 2 to the Notes to Financial Statements.
See Notes to Financial Statements
17
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2006 (UNAUDITED)
ASSETS
Investments in unaffiliated issuers, at amortized cost (Note 2) $2,909,722,433
Repurchase agreements (cost $1,900,000,000) (Note 2) 1,900,000,000
Cash 680
--------------
4,809,723,113
Receivables:
Interest receivable 7,734,132
Receivable from adviser (Note 3) 169,405
Prepaid expenses 32,340
--------------
Total assets 4,817,658,990
LIABILITIES
Payables:
Administration, custody and transfer agent fees (Note 3) 153,452
Investment advisory fee (Note 3) 374,150
Professional fees 19,730
Accrued expenses and other liabilities 4,381
--------------
Total Liabilities 551,713
--------------
NET ASSETS $4,817,107,277
==============
See Notes to Financial Statements.
18
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2006 (UNAUDITED)
INVESTMENT INCOME
Interest $87,589,275
-----------
EXPENSES
Management fees (Note 3) 1,812,192
Administration, custody and transfer agent fees (Note 3) 391,987
Professional fees 21,298
Trustees' fees 12,478
Printing fees 10,240
Other expenses 21,846
-----------
Total Expenses 2,270,041
Less: Fee waivers/reimbursements by investment adviser (Note 3) (457,849)
-----------
Total Net Expenses 1,812,192
-----------
NET INVESTMENT INCOME 85,777,083
-----------
See Notes to Financial Statements.
19
STATE STREET MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
For the Six
Months Ended For the Year
June 30, 2006 Ended
(Unaudited) December 31, 2005
--------------- -----------------
INCREASE IN NET ASSETS FROM:
OPERATIONS
Net investment income $ 85,777,083 $ 26,739,971
Net realized gain on investments -- 2,656
--------------- ---------------
Net increase in net assets resulting from operations 85,777,083 26,742,627
--------------- ---------------
CAPITAL TRANSACTIONS
Proceeds from contributions 10,516,059,887 8,537,558,832
Fair value of withdrawals (7,424,600,960) (7,306,145,697)
--------------- ---------------
Net increase in net assets from capital transactions 3,091,458,927 1,231,413,135
--------------- ---------------
TOTAL NET INCREASE IN NET ASSETS 3,177,236,010 1,258,155,762
NET ASSETS
Beginning of period 1,639,871,267 381,715,505
--------------- ---------------
End of period $ 4,817,107,277 $ 1,639,871,267
=============== ===============
See Notes to Financial Statements.
20
STATE STREET MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
The following table includes selected supplemental data and ratios to average
net assets:
FOR THE
SIX MONTHS ENDED
6/30/2006 YEAR ENDED PERIOD ENDED
(UNAUDITED) 12/31/2005 12/31/2004*
---------------- ---------- ------------
SUPPLEMENTAL DATA AND RATIOS:
Net assets, end of period (in thousands) $4,817,107 $1,639,871 $381,716
Ratios to average net assets:
Gross operating expenses 0.13%** 0.14% 0.18%**
Net operating expenses 0.10%** 0.10% 0.10%**
Net investment income 4.79%** 3.33% 1.71%**
Total return (a) 2.37% 3.31% 0.68%
- ----------
* The Portfolio commenced operations on August 12, 2004.
** Annualized.
(a) Results represent past performance and are not indicative of future
results. Total return for periods of less than one year are not annualized.
See Notes to Financial Statements.
21
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (UNAUDITED)
1. ORGANIZATION
The State Street Master Funds (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company, and was organized as a business trust under the laws of the
Commonwealth of Massachusetts on July 27, 1999. The Trust comprises six
investment portfolios: the State Street Equity 500 Index Portfolio, the State
Street Equity 400 Index Portfolio, the State Street Equity 2000 Index Portfolio,
the State Street Aggregate Bond Index Portfolio, the State Street Money Market
Portfolio, 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 June 30, 2006, only the
Portfolio and State Street Equity 500 Index Portfolio were in operation. The
Portfolio commenced operations on August 12, 2004. The Portfolio is authorized
to 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.
At June 30, 2006, the cost of investments for federal income tax purposes was
the same as the cost for financial reporting purposes.
22
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (UNAUDITED)
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" or the "Adviser"), a subsidiary of State Street
Corporation and an affiliate of State Street Bank and Trust Company ("State
Street").
EXPENSE ALLOCATION: Certain expenses are applicable to multiple Portfolios.
Expenses directly attributable to a Portfolio are charged to that Portfolio.
Expenses of the Trust that are not directly attributed to a Portfolio are
allocated among the Portfolios, on the basis of relative net assets, except
where a more appropriate allocation of expenses to each of the Portfolios can
otherwise be made fairly.
USE OF ESTIMATES: The 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 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 November 1, 2007. For
the period ended June 30, 2006, SSgA FM reimbursed the Portfolio $442,045 under
this agreement.
State Street is the administrator, custodian and transfer agent for the
Portfolio. In compensation for State Street's services as administrator,
custodian and transfer agent, the Portfolio pays State Street an annual fee,
accrued daily at the rate of 1/365th of the applicable fee rate described below
and payable monthly, of the following annual percentages of the Portfolio's
average daily net assets during the month as follows:
23
STATE STREET MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2006 (UNAUDITED)
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 June 30, 2006, State Street waived $15,804 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.
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.
24
STATE STREET MONEY MARKET PORTFOLIO
JUNE 30, 2006 (UNAUDITED)
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
(i) without charge, upon request, by calling (877) 521-4083 or (ii) on the
website of the Securities and Exchange Commission (the "SEC") at www.sec.gov.
Information on how the Portfolio voted proxies relating to portfolio securities
during the most recent 12-month period ending June 30 is available by August 31
(i) without charge, upon request, by calling (877) 521-4083 or (ii) on the SEC's
website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of its fiscal year (as of March and September of each
year) on Form N-Q. The Trust's Forms N-Q are available on the SEC's website at
www.sec.gov. The Trust's Forms N-Q may be reviewed and copied at the SEC's
Public Reference Room in Washington, D.C. and information on the operation of
the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most
recent Form N-Q is available without charge, upon request, by calling (877)
521-4083.
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
State Street Financial Center
One Lincoln Street
Boston, MA 02111
INDEPENDENT ACCOUNTANTS
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
26
ITEM 2. CODE OF ETHICS.
Disclosure required in Registrant's annual Form N-CSR
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Disclosure required in Registrant's annual Form N-CSR
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Disclosure required in Registrant's annual Form N-CSR
ITEM 5. AUDIT COMMITTEES OF LISTED REGISTRANTS.
Not applicable to the Registrant.
ITEM 6. SCHEDULE OF INVESTMENTS.
Schedules of Investments are included as part of the reports to shareholders
filed under Item 1 of this Form N-CSR.
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) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(a) under the 1940 Act.
(b) Certifications of principal executive officer and principal financial
officer of the Trust as required by Rule 30a-2(b) under the 1940 Act.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(REGISTRANT): State Street Master Funds
By: /s/ James E. Ross
---------------------------------
James E. Ross
President (Principal Executive
Officer)
By: /s/ Gary L. French
---------------------------------
Gary L. French
Treasurer (Principal Financial
Officer)
Date: August 24, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the Registrant and in the capacities and on the
dates indicated.
By: /s/ James E. Ross
---------------------------------
James E. Ross
President (Principal Executive
Officer)
By: /s/ Gary L. French
---------------------------------
Gary L. French (Principal
Financial Officer)
Treasurer
Date: August 24, 2006