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: 811-21145
--------------------------
STREETTRACKS(R) INDEX SHARES FUNDS
--------------------------------------------------
(Exact name of registrant as specified in charter)
One Lincoln Street, Boston, Massachusetts 02111
---------------------------------------------------
(Address of principal executive offices) (zip code)
Ryan Louvar
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
(Name and address of agent for service)
Copy to:
W. John McGuire
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, DC 20004
Registrant's telephone number, including area code: (866) 787-2257
Date of fiscal year end: September 30
Date of reporting period: September 30, 2006
ITEM 1. REPORTS TO SHAREHOLDERS.
streetTRACKS(R)
Index Shares Funds
ANNUAL REPORT
SEPTEMBER 30, 2006
(streetTRACKS annual report)
PRESIDENT'S LETTER TO SHAREHOLDERS
Dear Shareholders,
Enclosed is the streetTRACKS Index Shares Funds annual report for the year ended
September 30, 2006. This annual report includes discussion about the management
of the streetTRACKS Dow Jones STOXX 50 Fund and the streetTRACKS Dow Jones EURO
STOXX 50 Fund, as well as performance and financial statements for each
portfolio. We hope you find this information helpful.
We are extremely pleased with the continued growth of the streetTRACKS Index
Shares exchange traded funds. As of September 30, 2006, assets in the funds
totaled more than $305 million. That figure represents a growth in assets of
approximately 44% over last year.
On November 14, 2006, we launched two additional streetTRACKS Index Shares Funds
that provide exposure to the Japanese economy. The streetTRACKS Russell/Nomura
PRIME(TM) Japan ETF (Symbol: JPP) offers broad and cost-effective exposure to
the broad Japanese equity market in a single trade. The streetTRACKS
Russell/Nomura Japan Small Cap(TM) ETF (Symbol: JSC) is designed to provide
cost-effective exposure to the burgeoning small cap segment of the Japanese
equity market.
In the future, we anticipate launching additional international exchange traded
funds that span developed and emerging economies and offer exposure to many
areas of the market that have historically been difficult to access. On behalf
of the streetTRACKS Index Shares Funds, I thank you for your continued support.
With nearly 300 ETFs on the market, we recognize that you have choices and we
appreciate your placing your trust with us. I want to assure you of State
Street's commitment to developing ETFs that enable you to achieve your
investment goals. You can look forward to State Street remaining at the
forefront of ETF development and management for many years to come.
Regards,
(Signature of James Ross)
James Ross
President
streetTRACKS Index Shares Funds
1
(streetTRACKS annual report)
streetTRACKS DOW JONES STOXX 50 FUND -- OVERVIEW
The streetTRACKS Dow Jones STOXX 50 Fund (the "Fund") seeks to replicate the
total return of the Dow Jones STOXX 50 Index (the "Index"). To accomplish
this, the Fund utilizes a "passive" or indexing approach and attempts to
approximate the investment performance of its benchmark Index, before
expenses, by investing in a portfolio of stocks to replicate the Index.
The Fund's performance for the year ended September 30, 2006, was 17.40%
versus the Index return of 17.67%. Performance was particularly strong during
January to March 2006, when the Index posted almost half of its gain for the
year, rising 8.27%. Returns were buoyed by improving economic conditions,
rising business confidence in Germany and a stronger Euro. Throughout the
period, the economic outlook improved, and in the latter part, falling energy
prices helped boost markets and reduce inflation concerns. The European
Central Bank raised short term interest rates steadily during the period and
kept a hawkish eye on inflation, but markets overlooked the increased rates
as the economic picture continued to brighten. The European Markets topped
U.S. equity returns. The S&P 500 posted a solid 10.79% gain for the twelve
month's ended September 30, 2006, but was well below the Dow Jones EURO STOXX
50 Index gain of 22.43%, and the Dow Jones STOXX 50 Index gain of 17.67%.
The Dow Jones STOXX 50 Fund posted gains in all four quarters during the
period. Returns were led by financial companies. This sector represented over
40% of the index at the end of September. This weighting, coupled with strong
returns led to a contribution of roughly 60% of the total return. Virtually
all of the financials in the index posted strong gains, but notable
performers were UBS AG, ING Groep NV, BNP Paribas SA, AXA, Fortis and Societe
Generale. Financial companies were led by an increase in merger and
acquisition activity and strong financial markets, which boosted bottom
lines.
Telecommunication stocks suffered during the period. France Telecom SA
declined significantly, largely due to disappointing results. These results
and competitive pressure in the wireless market led to declines at Deutsche
Telekom AG, Vodafone Group and Telecom Italia SPA, which was deleted from the
index in September 2006.
The Dow Jones STOXX 50 Fund consisted of 50 companies as of September 30,
2006.
2
(streetTRACKS annual report)
streetTRACKS DOW JONES STOXX 50 FUND -- PERFORMANCE SUMMARY
The following Performance chart is provided to compare the Fund's total
return at net asset value to the total return based on market price and its
benchmark index is provided for comparative purposes only and represents the
periods noted. The Fund's per share net asset value ("NAV") is the value of
one share of the Fund and is calculated by dividing the value of total assets
less total liabilities by the number of shares outstanding. The NAV return is
based on the NAV of the Fund and the market return is based on the market
price per share of the Fund. The market price used to calculate the market
return is determined by using the midpoint between the highest bid and the
lowest offer on the stock exchange on which the shares of the Fund are listed
for trading, as of the time that the Fund's NAV is calculated. NAV and market
returns assume that dividends and capital gain distributions have been
reinvested in the Fund at NAV. Market returns do not include brokerage
commissions that may be payable on secondary market transactions. If
brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SSGAFUNDS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. Total returns are historical and include changes in
share value and reinvestment of dividends and capital gains, if any.
Cumulative total returns are reported as of the period indicated. The returns
do not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or on the redemption of Fund shares.
PERFORMANCE AS OF SEPTEMBER 30, 2006
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES STOXX 50 INDEX
VALUE VALUE (Broad-Based Comparative Index)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 9/30/06 17.40% 17.80% 17.67%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 9/30/06 74.36% 74.38% 75.72%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 96.82% 92.49% 98.25%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period October 21, 2002 (commencement of trading) to September
30, 2006.
<Table>
<Caption>
---------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET DOW JONES STOXX 50 INDEX
VALUE VALUE (Broad-Based Comparative Index)
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 9/30/06 17.40% 17.80% 17.67%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 9/30/06 20.36% 20.37% 20.67%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 18.74% 18.07% 18.96%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period October 21, 2002 (commencement of trading) to September
30, 2006.
3
(streetTRACKS annual report)
streetTRACKS DOW JONES STOXX 50 FUND -- PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
streetTRACKS DOW JONES STOXX 50 FUND (BASED ON NET ASSET VALUE)
(LINE GRAPH)
<Table>
<Caption>
STREETTRACKS DOW JONES DOW JONES STOXX 50 INDEX - US
STOXX 50 FUND DOLLAR DENOMINATED
---------------------- -----------------------------
10/15/02 10000 10000
12/31/02 10059 9978
3/31/03 9129 9132
6/30/03 11098 11096
9/30/03 11279 11287
12/31/03 13631 13660
3/31/04 13384 13423
6/30/04 13523 13552
9/30/04 13776 13815
12/31/04 15710 15814
3/31/05 15626 15695
6/30/05 15612 15683
9/30/05 16751 16856
12/31/05 16872 16996
3/31/06 18242 18399
6/30/06 18818 18954
9/30/06 19666 19835
</Table>
4
(streetTRACKS annual report)
streetTRACKS DOW JONES STOXX 50 FUND -- PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2006
<Table>
-----------------------------------------------------------------------------------------------------
DESCRIPTION HSBC
HOLDINGS
BP PLC PLC GLAXOSMITHKLINE TOTAL SA NESTLE SA
PLC
-----------------------------------------------------------------------------------------------------
MARKET VALUE 3,726,544 2,818,601 2,617,779 2,469,722
$3,806,353
-----------------------------------------------------------------------------------------------------
% OF
NET ASSETS 5.4% 5.2 4.0 3.7 3.5
-----------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2006*
(PIE CHART IN %)
<Table>
Automobiles & Parts 1.2
Banks 32.7
Basic Resources 3.9
Chemicals 1.0
Food & Beverages 5.8
Health Care 12.8
Industrial Goods & Services 1.8
Insurance 7.6
Oil & Gas 14.0
Personal & Household Goods 1.0
Retail 2.3
Technology 4.4
Telecommunications 8.2
Utilities 3.3
</Table>
* The Fund's industry breakdown is expressed as a percentage of total
investments and may change over time.
5
(streetTRACKS annual report)
streetTRACKS DOW JONES EURO STOXX 50 FUND -- OVERVIEW
The streetTRACKS Dow Jones EURO STOXX 50 Fund (the "Fund") seeks to replicate
the total return of the Dow Jones EURO STOXX 50 Index (the "Index"). To
accomplish this, the Fund utilizes a "passive" or indexing approach and
attempts to approximate the investment performance of its benchmark Index,
before expenses, by investing in a portfolio of stocks to replicate the
Index.
The Fund's performance for the year ended September 30, 2006, was 22.48%
versus the Index return of 22.43%. Performance was particularly strong during
January to March 2006, when the Index rose 10.72%, as returns were buoyed by
improving economic conditions, rising business confidence in Germany and a
stronger Euro. Throughout the period, the economic outlook improved, and in
the latter part , falling energy prices helped boost markets and reduce
inflation concerns. The European Central Bank raised short term interest
rates steadily during the period and kept a hawkish eye on inflation, but
markets overlooked the increased rates as the economic picture continued to
brighten. The European Markets topped US equity returns. The S&P 500 posted a
solid 10.79% gain for the twelve months ended September 30, 2006, but was
well below the Dow Jones EURO STOXX 50 Index gain of 22.43%, and the Dow
Jones STOXX 50 Index gain of 17.67%.
This period's strong returns mark the third consecutive index gain of 20% or
more, and fourth consecutive gain of 15% or more. The returns were led by
financial stocks. Top contributors to the return were ING Groep NV and BNP
Paribas SA. Other notable performers were AXA and Banco Bilbao Vizcaya
Argentina SA. Financials were aided by an increase in merger and acquisition
activity. Utilities also performed well as takeover interest helped to raise
prices. Telecommunication stocks suffered during the period. France Telecom
SA fell, largely due to disappointing results. This also dragged on Deutsche
Telekom AG and Telecom Italia SPA.
The Dow Jones EURO STOXX 50 Fund consisted of 50 companies as of September
30, 2006.
6
(streetTRACKS annual report)
streetTRACKS DOW JONES EURO STOXX 50 FUND -- PERFORMANCE SUMMARY
The following Performance chart is provided to compare the Fund's total
return at net asset value to the total return based on market price and its
benchmark index is provided for comparative purposes only and represents the
periods noted. The Fund's per share net asset value ("NAV") is the value of
one share of the Fund and is calculated by dividing the value of total assets
less total liabilities by the number of shares outstanding. The NAV return is
based on the NAV of the Fund and the market return is based on the market
price per share of the Fund. The market price used to calculate the market
return is determined by using the midpoint between the highest bid and the
lowest offer on the stock exchange on which the shares of the Fund are listed
for trading, as of the time that the Fund's NAV is calculated. NAV and market
returns assume that dividends and capital gain distributions have been
reinvested in the Fund at NAV. Market returns do not include brokerage
commissions that may be payable on secondary market transactions. If
brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector.
An index does not actually hold a portfolio of securities and therefore does
not reflect deductions for fees or expenses. In comparison, the Fund's
performance is negatively impacted by these deductions.
PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE, SO YOU
MAY HAVE A GAIN OR LOSS WHEN SHARES ARE SOLD. CURRENT PERFORMANCE MAY BE
HIGHER OR LOWER THAN THAT QUOTED. VISIT WWW.SSGAFUNDS.COM FOR MOST RECENT
MONTH-END PERFORMANCE. Total returns are historical and include changes in
share value and reinvestment of dividends and capital gains, if any.
Cumulative total returns are reported as of the period indicated. The returns
do not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or on the redemption of Fund shares.
PERFORMANCE AS OF SEPTEMBER 30, 2006
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET
VALUE VALUE DOW JONES EURO STOXX 50 INDEX
------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 9/30/06 22.48% 22.91% 22.43%
------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 9/30/06 89.90% 90.02% 90.06%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 118.96% 114.57% 118.71%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period October 21, 2002 (commencement of trading) to September
30, 2006.
<Table>
<Caption>
-----------------------------------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURN
---------------------------------------------------------------------------------
NET ASSET MARKET
VALUE VALUE DOW JONES EURO STOXX 50 INDEX
-----------------------------------------------------------------------------------------------------------------------------
ONE YEAR ENDED 9/30/06 22.48% 22.91% 22.43%
-----------------------------------------------------------------------------------------------------------------------------
THREE YEARS ENDED 9/30/06 23.84% 23.86% 23.87%
------------------------------------------------------------------------------------------------------------------
SINCE INCEPTION OF TRADING (1) 21.99% 21.37% 21.96%
------------------------------------------------------------------------------------------------------------------
</Table>
(1) For the period October 21, 2002 (commencement of trading) to September
30, 2006.
7
(streetTRACKS annual report)
streetTRACKS DOW JONES EURO STOXX 50 FUND -- PERFORMANCE SUMMARY (CONTINUED)
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT
streetTRACKS DOW JONES EURO STOXX 50 FUND (BASED ON NET ASSET VALUE)
(LINE GRAPH)
<Table>
<Caption>
STREETTRACKS DOW JONES EURO DOW JONES EURO STOXX 50
STOXX 50 FUND INDEX - US DOLLAR DENOMINATED
--------------------------- -----------------------------
10/15/02 10000 10000
12/31/02 10343 10283
3/31/03 9148 9156
6/30/03 11657 11641
9/30/03 11746 11732
12/31/03 14658 14656
3/31/04 14443 14452
6/30/04 14685 14664
9/30/04 14590 14562
12/31/04 17299 17325
3/31/05 17161 17147
6/30/05 16958 16927
9/30/05 18211 18211
12/31/05 18626 18636
3/31/06 20603 20633
6/30/06 21027 21004
9/30/06 22306 22297
</Table>
8
(streetTRACKS annual report)
streetTRACKS DOW JONES EURO STOXX 50 FUND -- PORTFOLIO SUMMARY
TOP FIVE HOLDINGS AS OF SEPTEMBER 30, 2006
<Table>
-----------------------------------------------------------------------------------------------------------------------
DESCRIPTION BANCO SANTANDER SANOFI- ING GROEP
TOTAL SA CENTRAL HISPANO SA BNP PARIBAS SA AVENTIS NV
-----------------------------------------------------------------------------------------------------------------------
MARKET VALUE $13,666,824 9,143,096 8,727,999 8,515,003 8,500,747
-----------------------------------------------------------------------------------------------------------------------
% OF
NET ASSETS 5.8% 3.9 3.7 3.6 3.6
-----------------------------------------------------------------------------------------------------------------------
</Table>
INDUSTRY BREAKDOWN AS OF SEPTEMBER 30, 2006*
(PIE CHART IN %)
<Table>
<Caption>
INDUSTRIAL
SHORT FOOD GOODS
AUTOMOBILES TERM CONSTRUCTION & HEALTH &
& PARTS BANKS INVESTMENTS CHEMICALS MATERIALS BEVERAGES CARE SERVICES INSURANCE MEDIA
- ----------- ----- ----------- --------- ------------ --------- ------ ---------- --------- -----
2.6 25.2 5.7 3.9 1.7 2.8 3.4 2.7 12.3 1.5
<Caption>
PERSONAL
&
AUTOMOBILES OIL & HOUSEHOLD
& PARTS GAS GOODS RETAIL TECHNOLOGY TELECOMMUNICATIONS UTILITIES
- ----------- ----- --------- ------ ---------- ------------------ ---------
2.6 9.4 3.6 2 5.3 7.3 10.6
</Table>
* The Fund's industry breakdown is expressed as a percentage of total
investments may change over time.
9
STREETTRACKS DOW JONES STOXX 50 FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 99.7%
FINLAND -- 2.0%
TECHNOLOGY -- 2.0%
Nokia Oyj........................... 72,705 $ 1,442,271
-----------
FRANCE -- 12.6%
BANKS -- 4.1%
BNP Paribas SA...................... 15,548 1,671,157
Societe Generale.................... 7,719 1,227,144
-----------
2,898,301
-----------
INSURANCE -- 1.6%
AXA................................. 31,690 1,167,367
-----------
OIL & GAS -- 3.7%
Total SA............................ 39,933 2,617,779
-----------
RETAIL -- 0.9%
Carrefour SA........................ 10,887 687,211
-----------
TELECOMMUNICATIONS -- 1.0%
France Telecom SA................... 31,202 715,405
-----------
UTILITIES -- 1.3%
Suez SA............................. 20,768 912,356
-----------
TOTAL FRANCE........................ 8,998,419
-----------
GERMANY -- 11.6%
AUTOMOBILES & PARTS -- 1.2%
DaimlerChrysler AG.................. 16,848 841,096
-----------
BANKS -- 1.6%
Deutsche Bank AG.................... 9,224 1,111,897
-----------
CHEMICALS -- 1.0%
BASF AG............................. 8,943 715,397
-----------
INDUSTRIAL GOODS & SERVICES -- 1.8%
Siemens AG.......................... 14,859 1,294,997
-----------
INSURANCE -- 1.7%
Allianz AG.......................... 7,210 1,246,508
-----------
TECHNOLOGY -- 1.1%
SAP AG.............................. 3,907 774,053
-----------
TELECOMMUNICATIONS -- 1.2%
Deutsche Telekom AG................. 54,008 857,919
-----------
UTILITIES -- 2.0%
E.ON AG............................. 12,261 1,451,896
-----------
TOTAL GERMANY....................... 8,293,763
-----------
ITALY -- 5.0%
BANKS -- 2.2%
UniCredito Italiano SpA............. 184,537 1,529,973
-----------
INSURANCE -- 1.0%
Assicurazioni Generali SpA.......... 19,584 731,837
-----------
OIL & GAS -- 1.8%
Eni SpA............................. 43,786 1,296,238
-----------
TOTAL ITALY......................... 3,558,048
-----------
NETHERLANDS -- 7.1%
BANKS -- 2.7%
ABN AMRO Holding NV................. 33,913 988,063
Fortis.............................. 23,106 936,625
-----------
1,924,688
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
FOOD & BEVERAGES -- 1.1%
Unilever NV......................... 30,450 $ 748,307
-----------
INSURANCE -- 2.3%
ING Groep NV........................ 37,039 1,627,625
-----------
PERSONAL & HOUSEHOLD GOODS -- 1.0%
Koninklijke (Royal) Philips
Electronics NV.................... 21,209 743,396
-----------
TOTAL NETHERLANDS................... 5,044,016
-----------
SPAIN -- 6.3%
BANKS -- 4.4%
Banco Bilbao Vizcaya Argentaria
SA................................ 60,214 1,392,038
Banco Santander Central Hispano
SA................................ 110,830 1,750,712
-----------
3,142,750
-----------
TELECOMMUNICATIONS -- 1.9%
Telefonica SA....................... 76,859 1,330,926
-----------
TOTAL SPAIN......................... 4,473,676
-----------
SWEDEN -- 1.3%
TECHNOLOGY -- 1.3%
Telefonaktiebolaget LM Ericsson
(Class B)......................... 263,234 912,342
-----------
SWITZERLAND -- 14.3%
BANKS -- 4.4%
Credit Suisse Group................. 19,638 1,133,067
UBS AG.............................. 33,870 2,020,396
-----------
3,153,463
-----------
FOOD & BEVERAGES -- 3.5%
Nestle SA........................... 7,103 2,469,722
-----------
HEALTH CARE -- 6.4%
Novartis AG......................... 41,252 2,401,528
Roche Holding AG.................... 12,452 2,146,914
-----------
4,548,442
-----------
TOTAL SWITZERLAND................... 10,171,627
-----------
UNITED KINGDOM -- 39.5%
BANKS -- 13.3%
Barclays PLC........................ 115,320 1,451,877
HBOS PLC............................ 67,552 1,333,763
HSBC Holdings PLC................... 204,719 3,726,544
Lloyds TSB Group PLC................ 99,981 1,007,568
Royal Bank of Scotland Group PLC.... 56,337 1,935,267
-----------
9,455,019
-----------
BASIC RESOURCES -- 3.9%
Anglo American Capital PLC.......... 26,954 1,124,288
BHP Billiton PLC.................... 43,495 749,093
Rio Tinto PLC....................... 19,040 898,747
-----------
2,772,128
-----------
FOOD & BEVERAGES -- 1.2%
Diageo PLC.......................... 49,298 868,834
-----------
HEALTH CARE -- 6.4%
AstraZeneca PLC..................... 27,569 1,718,988
GlaxoSmithKline PLC................. 106,113 2,818,601
-----------
4,537,589
-----------
</Table>
See accompanying notes to financial statements.
10
STREETTRACKS DOW JONES STOXX 50 FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INSURANCE -- 0.9%
Aviva PLC........................... 42,664 $ 624,006
-----------
OIL & GAS -- 8.4%
BP PLC.............................. 350,123 3,806,353
Royal Dutch Shell PLC (Class A)..... 66,436 2,185,577
-----------
5,991,930
-----------
RETAIL -- 1.3%
Tesco PLC........................... 141,554 951,897
-----------
TELECOMMUNICATIONS -- 4.1%
BT Group PLC........................ 153,404 767,957
Vodafone Group...................... 933,015 2,130,605
-----------
2,898,562
-----------
TOTAL UNITED KINGDOM................ 28,099,965
-----------
TOTAL COMMON STOCKS -- (Cost
$60,630,574)...................... 70,994,127
-----------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 0.0%(A)
UNITED STATES -- 0.0%(A)
MONEY MARKET FUND -- 0.0%(A)
AIM Short Term Investment Class
Prime Fund (Cost $917)............ 917 $ 917
-----------
TOTAL INVESTMENTS -- 99.7%
(Cost $60,631,491)................ 70,995,044
OTHER ASSETS AND
LIABILITIES -- 0.3%............... 180,258
-----------
NET ASSETS -- 100.0%................ $71,175,302
===========
</Table>
(a) Amount represents less than 0.05% of net assets.
See accompanying notes to financial statements.
11
STREETTRACKS DOW JONES EURO STOXX 50 FUND
SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
COMMON STOCKS -- 100.1%
FINLAND -- 3.2%
TECHNOLOGY -- 3.2%
Nokia Oyj........................... 378,924 $ 7,516,828
------------
FRANCE -- 34.4%
AUTOMOBILES & PARTS -- 0.9%
Renault SA.......................... 18,294 2,096,081
------------
BANKS -- 7.6%
BNP Paribas SA...................... 81,203 8,727,999
Credit Agricole SA.................. 62,469 2,741,153
Societe Generale.................... 40,230 6,395,648
------------
17,864,800
------------
CHEMICALS -- 1.0%
L'Air Liquide SA.................... 11,102 2,262,810
------------
CONSTRUCTION MATERIALS -- 1.8%
Compagnie de Saint-Gobain........... 32,453 2,351,482
Lafarge SA.......................... 14,584 1,880,681
------------
4,232,163
------------
FOOD & BEVERAGES -- 1.4%
Groupe Danone....................... 22,451 3,148,285
------------
HEALTH CARE -- 3.6%
Sanofi-Aventis...................... 95,754 8,515,003
------------
INSURANCE -- 2.6%
AXA................................. 165,152 6,083,717
------------
MEDIA -- 1.7%
Vivendi Universal SA................ 106,886 3,849,359
------------
OIL & GAS -- 5.9%
Total SA............................ 208,481 13,666,824
------------
PERSONAL & HOUSEHOLD GOODS -- 2.1%
L'Oreal SA.......................... 25,392 2,576,441
LVMH Moet Hennessy Louis Vuitton
SA(a)............................. 23,636 2,432,698
------------
5,009,139
------------
RETAIL -- 1.5%
Carrefour SA........................ 56,736 3,581,297
------------
TECHNOLOGY -- 0.7%
Alcatel SA *........................ 131,651 1,605,984
------------
TELECOMMUNICATIONS -- 1.6%
France Telecom SA................... 162,609 3,728,326
------------
UTILITIES -- 2.0%
Suez SA............................. 108,234 4,754,815
------------
TOTAL FRANCE........................ 80,398,603
------------
GERMANY -- 23.0%
AUTOMOBILES & PARTS -- 1.9%
DaimlerChrysler AG.................. 87,802 4,383,304
------------
BANKS -- 2.5%
Deutsche Bank AG.................... 47,868 5,770,195
------------
CHEMICALS -- 3.1%
BASF AG............................. 46,604 3,728,098
Bayer AG............................ 70,737 3,602,164
------------
7,330,262
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
INDUSTRIAL GOODS & SERVICES -- 2.9%
Siemens AG.......................... 77,436 $ 6,748,731
------------
INSURANCE -- 4.1%
Allianz AG.......................... 37,577 6,496,537
Muenchener Rueckversicherungs-
Gesellschaft AG................... 19,250 3,041,044
------------
9,537,581
------------
TECHNOLOGY -- 1.7%
SAP AG.............................. 20,361 4,033,914
------------
TELECOMMUNICATIONS -- 1.9%
Deutsche Telekom AG................. 281,467 4,471,115
------------
UTILITIES -- 4.9%
E.ON AG............................. 64,042 7,583,582
RWE AG.............................. 43,435 4,002,797
------------
11,586,379
------------
TOTAL GERMANY....................... 53,861,481
------------
IRELAND -- 1.0%
BANKS -- 1.0%
Allied Irish Banks PLC.............. 84,642 2,251,625
------------
ITALY -- 11.6%
BANKS -- 4.4%
SanPaolo IMI SpA.................... 103,437 2,181,629
UniCredito Italiano SpA............. 963,889 7,991,484
------------
10,173,113
------------
INSURANCE -- 1.6%
Assicurazioni Generali SpA(a)....... 102,065 3,814,079
------------
OIL & GAS -- 2.9%
Eni SpA............................. 228,190 6,755,323
------------
TELECOMMUNICATIONS -- 1.2%
Telecom Italia SpA.................. 1,015,430 2,881,302
------------
UTILITIES -- 1.5%
Enel SpA............................ 387,091 3,528,049
------------
TOTAL ITALY......................... 27,151,866
------------
NETHERLANDS -- 13.0%
BANKS -- 4.3%
ABN AMRO Holding NV................. 176,738 5,149,304
Fortis(a)........................... 120,415 4,881,141
------------
10,030,445
------------
FOOD & BEVERAGES -- 1.7%
Unilever NV......................... 158,691 3,899,822
------------
INSURANCE -- 4.7%
Aegon NV............................ 133,211 2,495,738
ING Groep NV........................ 193,447 8,500,747
------------
10,996,485
------------
PERSONAL & HOUSEHOLD GOODS -- 1.7%
Koninklijke (Royal) Philips
Electronics NV.................... 110,531 3,874,218
------------
RETAIL -- 0.6%
Koninklijke Ahold NV *.............. 143,319 1,521,383
------------
TOTAL NETHERLANDS................... 30,322,353
------------
</Table>
See accompanying notes to financial statements.
12
STREETTRACKS DOW JONES EURO STOXX 50 FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SPAIN -- 13.9%
BANKS -- 7.0%
Banco Bilbao Vizcaya Argentaria
SA................................ 313,810 $ 7,254,716
Banco Santander Central Hispano
SA................................ 578,810 9,143,096
------------
16,397,812
------------
OIL & GAS -- 1.2%
Repsol YPF SA....................... 95,412 2,836,657
------------
TELECOMMUNICATIONS -- 3.0%
Telefonica SA(a).................... 400,551 6,936,128
------------
UTILITIES -- 2.7%
Endesa SA........................... 73,203 3,111,087
Iberdrola SA........................ 74,699 3,340,260
------------
6,451,347
------------
TOTAL SPAIN......................... 32,621,944
------------
TOTAL COMMON STOCKS -- (Cost
$212,301,005)..................... 234,124,700
------------
</Table>
<Table>
<Caption>
SECURITY DESCRIPTION SHARES VALUE
- -------------------- ------ -----
SHORT TERM INVESTMENTS -- 6.1%
UNITED STATES -- 6.1%
MONEY MARKET FUND -- 6.1%
AIM Short Term Investment Class
Prime Fund (Cost $833)............ 833 $ 833
UBS Private Money Market Fund, LLC
(Cost $14,257,795)(b)............. 14,257,795 14,257,795
------------
TOTAL SHORT TERM INVESTMENTS --
(Cost $14,258,628)................ 14,258,628
------------
TOTAL INVESTMENTS -- 106.2% (Cost
$226,559,633)..................... 248,383,328
------------
OTHER ASSETS AND
LIABILITIES -- (6.2)%............. (14,518,497)
------------
NET ASSETS -- 100.0%................ $233,864,831
============
</Table>
* Non-income producing security
(a) Security, or portion there of, was on loan at September 30, 2006.
(b) Investments of cash collateral for securities loaned.
See accompanying notes to financial statements.
13
STREETTRACKS INDEX SHARES FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
STREETTRACKS STREETTRACKS
DOW JONES DOW JONES
STOXX 50 EURO STOXX 50
FUND FUND
------------- -------------
ASSETS
Investments in securities at value (cost -- $60,631,491
and $212,301,838, respectively)*........................ $ 70,995,044 $234,125,533
Investments of cash collateral received for securities
loaned, at value (cost -- $0 and $14,257,795,
respectively)........................................... -- 14,257,795
------------- ------------
Total investments......................................... 70,995,044 248,383,328
Cash...................................................... -- 1,707
Foreign currency, at value (cost -- $113,995 and $73,751,
respectively)........................................... 112,751 73,253
Receivable for investments sold........................... -- 408,291
Receivable for streetTRACKS sold in kind.................. -- 300,221
Dividends receivable...................................... 110,709 244,555
------------- ------------
TOTAL ASSETS....................................... 71,218,504 249,411,355
------------- ------------
LIABILITIES
Cash collateral for securities loaned..................... -- 14,257,795
Payable for investments purchased......................... 15,564 1,168,799
Accrued advisory fee...................................... 25,065 108,272
Accrued trustees fees..................................... 2,573 11,658
------------- ------------
TOTAL LIABILITIES.................................. 43,202 15,546,524
------------- ------------
NET ASSETS......................................... $ 71,175,302 $233,864,831
============= ============
NET ASSETS REPRESENTED BY:
Paid in capital........................................... $ 60,917,344 $212,458,284
Accumulated net realized gain (loss) on investments and
foreign currency transactions........................... (103,450) (415,352)
Net unrealized appreciation (depreciation) on investments
and foreign currency.................................... 10,361,408 21,821,899
------------- ------------
NET ASSETS......................................... $ 71,175,302 $233,864,831
============= ============
NET ASSETS VALUE PER SHARE
Net asset value per share................................. $ 44.48 $ 49.23
============= ============
Shares outstanding (unlimited amount authorized, $0.01 par
value).................................................. 1,600,082 4,750,133
============= ============
</Table>
* Includes $0 and $13,563,593, respectively, of investments in securities on
loan, at value.
See accompanying notes to financial statements.
14
STREETTRACKS INDEX SHARES FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
STREETTRACKS STREETTRACKS
DOW JONES DOW JONES
STOXX 50 EURO STOXX 50
FUND FUND
------------ -------------
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes, $98,996 and
$980,001, respectively)................................. $1,239,139 $ 5,760,741
Securities lending -- net................................. 12,333 212,862
---------- -----------
TOTAL INVESTMENT INCOME................................... 1,251,472 5,973,603
---------- -----------
EXPENSES:
Advisory fee.............................................. 104,897 533,758
Trustees fees and expenses................................ 9,050 47,344
Miscellaneous expense..................................... 3,906 16,344
---------- -----------
TOTAL EXPENSES............................................ 117,853 597,446
---------- -----------
NET INVESTMENT INCOME..................................... 1,133,619 5,376,157
---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments and foreign
currency transactions................................... 201,333 12,944,464
Net change in unrealized appreciation (depreciation) on
investments and foreign currency........................ 3,961,363 16,938,792
---------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY................................. 4,162,696 29,883,256
---------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........ $5,296,315 $35,259,413
========== ===========
</Table>
See accompanying notes to financial statements.
15
STREETTRACKS INDEX SHARES FUNDS
STATEMENTS OF CHANGE IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
STREETTRACKS DOW JONES STREETTRACKS DOW JONES
STOXX 50 FUND EURO STOXX 50 FUND
----------------------------- -----------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2006 2005 2006 2005
------------- ------------- ------------- -------------
FROM OPERATIONS:
Net investment income................................. $ 1,133,619 $ 804,041 $ 5,376,157 $ 3,819,424
Net realized gain (loss) on investments and foreign
currency transactions............................... 201,333 174,316 12,944,464 34,046,899
Net change in unrealized appreciation (depreciation)
on investments and foreign currency................. 3,961,363 4,562,075 16,938,792 (10,072,382)
----------- ----------- ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.......................................... 5,296,315 5,540,432 35,259,413 27,793,941
----------- ----------- ------------- -------------
Undistributed (distributions in excess of) net
investment income included in price of shares issued
and redeemed........................................ 332,179 138 (326,888) 67,904
----------- ----------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................. (1,464,954) (796,093) (4,859,299) (3,960,144)
Net realized gains.................................... (117,419) -- -- --
----------- ----------- ------------- -------------
TOTAL DISTRIBUTIONS TO SHAREHOLDERS................... (1,582,373) (796,093) (4,859,299) (3,960,144)
----------- ----------- ------------- -------------
FROM BENEFICIAL INTEREST TRANSACTIONS:
Net proceeds from the sale of shares.................. 35,679,112 1,805,862 213,560,512 181,521,597
Net proceeds from dividend reinvestment shares
issued.............................................. 2,647 702 4,501 1,227
Cost of shares redeemed............................... -- -- (189,461,023) (119,061,998)
----------- ----------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS FROM BENEFICIAL
INTEREST TRANSACTIONS................................. 35,681,759 1,806,564 24,103,990 62,460,826
----------- ----------- ------------- -------------
Net increase in net assets during period.............. 39,727,880 6,551,041 54,177,216 86,362,527
Net assets at beginning of period..................... 31,447,422 24,896,381 179,687,615 93,325,088
----------- ----------- ------------- -------------
NET ASSETS AT END OF PERIOD (1)......................... $71,175,302 $31,447,422 $233,864,831 $ 179,687,615
=========== =========== ============= =============
SHARES OF BENEFICIAL INTEREST:
Shares sold........................................... 800,000 50,000 4,900,000 4,550,000
Shares issued to shareholders from reinvestment of
distributions....................................... 63 19 101 32
Shares redeemed....................................... -- -- (4,500,000) (2,950,000)
----------- ----------- ------------- -------------
NET INCREASE (DECREASE)................................. 800,063 50,019 400,101 1,600,032
=========== =========== ============= =============
(1) Including distributions in excess of net investment
income:............................................... $ -- $ (61,610) $ -- $ (700,644)
=========== =========== ============= =============
</Table>
See accompanying notes to financial statements.
16
STREETTRACKS INDEX SHARES FUNDS
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A STREETTRACKS SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS
PRESENTED BELOW:
- --------------------------------------------------------------------------------
<Table>
<Caption>
STREETTRACKS DOW JONES
STOXX 50 FUND
-------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2006 2005 2004+ 2003*
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 39.31 $ 33.20 $ 27.89 $25.34(4)
------- ------- ------- ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................ 1.30(6) 1.01 0.99 1.20
Net realized and unrealized gain..................... 5.05 6.10 5.16 2.50
------- ------- ------- ------
Total from investment operations..................... 6.35 7.11 6.15 3.70
------- ------- ------- ------
Undistributed (distributions in excess of) net
investment income included in price of shares
issued and redeemed................................ 0.38 0.00(5) 0.01 (0.49)
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ (1.41) (1.00) (0.85) (0.66)
Net realized gains................................... (0.15) -- -- --
------- ------- ------- ------
Total distributions.................................. (1.56) (1.00) (0.85) (0.66)
------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD....................... $ 44.48 $ 39.31 $ 33.20 $27.89
======= ======= ======= ======
TOTAL RETURN (1)..................................... 17.40% 21.60% 22.13% 12.79%
Net assets, end of period (in 000's)................. $71,175 $31,447 $24,896 $8,421
Ratio of expenses to average net assets.............. 0.33% 0.32% 0.33% 0.35%(2)
Ratio of net investment income to average net
assets............................................. 3.13% 2.75% 2.98% 2.96%(2)
Portfolio turnover rate (3).......................... 14% 9% 7% 6%
</Table>
- ---------------
* For the period October 15, 2002 (commencement of operations) through
September 30, 2003.
(1) 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 of each Fund. Total return for periods of less than one year
is not annualized. Broker commission charges are not included in this
calculation.
(2) Annualized
(3) Portfolio Turnover rate excludes securities received or delivered from
processing of creations or redemptions.
(4) The beginning net asset value above has been adjusted to reflect a reverse
stock split which was effective October 15, 2002, in order to adjust the net
asset value per share of the Fund to be approximately 1/100th of the value
of its index. The ratio of the reverse stock split for the streetTRACKS Dow
Jones STOXX 50 Fund was 1:2.536.
(5) Amount is less than $0.005 per share
(6) Per share numbers have been calculated using average shares outstanding.
+ Effective July 1, 2004, SSgA Funds Management, Inc. succeeded UBS Global
Asset Management (US) Inc. as the Fund's Adviser.
See accompanying notes to financial statements.
17
STREETTRACKS INDEX SHARES FUNDS
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A STREETTRACKS SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS
PRESENTED BELOW:
- --------------------------------------------------------------------------------
<Table>
<Caption>
STREETTRACKS DOW JONES
EURO STOXX 50 FUND
-------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
2006 2005 2004+ 2003*
------------- ------------- ------------- -------------
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 41.31 $ 33.94 $ 27.97 $ 24.35(4)
-------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income..................................... 1.32(5) 0.94 0.64 0.97
Net realized and unrealized gain.......................... 7.92 7.39 6.14 3.59
-------- -------- ------- -------
Total from investment operations.......................... 9.24 8.33 6.78 4.56
-------- -------- ------- -------
Undistributed (distributions in excess of) net investment
income included in price of shares issued and
redeemed................................................ (0.08) 0.02 0.01 (0.30)
-------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................................... (1.24) (0.98) (0.82) (0.64)
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 49.23 $ 41.31 $ 33.94 $ 27.97
======== ======== ======= =======
TOTAL RETURN (1).......................................... 22.48% 24.82% 24.21% 17.46%
Net assets, end of period (in 000's)...................... $233,865 $179,688 $93,325 $85,366
Ratio of expenses to average net assets................... 0.33% 0.32% 0.33% 0.35%(2)
Ratio of net investment income to average net assets...... 2.92% 2.79% 1.92% 2.78%(2)
Portfolio turnover rate (3)............................... 6% 15% 11% 6%
</Table>
- ---------------
* For the period October 15, 2002 (commencement of operations) through
September 30, 2003.
(1) 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 of each Fund. Total return for periods of less than one year
is not annualized. Broker commission charges are not included in this
calculation.
(2) Annualized
(3) Portfolio Turnover rate excludes securities received or delivered from
processing of creations or redemptions.
(4) The beginning net asset values above have been adjusted to reflect reverse
stock splits which were effective October 15, 2002, in order to adjust the
net asset value per share of each Fund to be approximately 1/100th of the
value of its respective index. The ratio of the reverse stock split for the
streetTRACKS Dow Jones EURO STOXX 50 Fund was 1:2.444.
(5) Per share numbers have been calculated using average shares outstanding.
+ Effective July 1, 2004, SSgA Funds Management, Inc. succeeded UBS Global
Asset Management (US) Inc. as the Fund's Adviser.
See accompanying notes to financial statements.
18
STREETTRACKS INDEX SHARES FUNDS
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
1. ORGANIZATION
The streetTRACKS Index Shares Funds (the "Trust"), is registered under the
Investment Company Act of 1940, as amended, and is an open-end investment
management company that was organized as a Massachusetts business trust on
February 14, 2002. As of September 30, 2006, the Trust consists of two separate
exchange-traded "index funds", (each referred to as a "Fund" and, collectively,
as "the Funds") streetTRACKS Dow Jones STOXX 50 Fund and streetTRACKS Dow Jones
EURO STOXX 50 Fund, each of which represents a separate series of beneficial
interest in the Trust. Each Fund operates as a non-diversified investment
company. The investment objective of each fund is to replicate as closely as
possible, before expenses, the price and yield of a specified market index.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
INDEMNIFICATIONS
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liability arising out of the performance of their
duties to the Trust. Additionally, in the normal course of business, the Trust
enters into contracts with service providers that contain general
indemnification clauses. The Trust's maximum exposure under these arrangements
is unknown as this would involve future claims that may be made against the
Trust that have not yet occurred. However, based on experience the Trust expects
the risk of loss to be remote.
SECURITY VALUATION
The value of each Fund's portfolio securities is based on the securities' last
sale price on the market where it is primarily traded when available. If a
security's market price is not readily available, the security is valued at its
fair value, as determined under procedures established by the Board of Trustees.
The procedures require the Trust's Pricing and Investment Committee to determine
a security's fair value if a market price is not readily available. In these
cases, a Fund's net asset value may reflect certain portfolio securities' fair
values rather than their market prices. Fair value pricing involves subjective
judgments and it is possible that the fair value determination for a security is
materially different than the value that could be realized upon the sale of the
security. With respect to securities that are primarily listed on foreign
exchanges, the value of the Fund's portfolio securities may change on days when
you will not be able to purchase or sell your Shares. Consistent with the manner
in which the Funds' underlying Indexes are valued, portfolio securities are not
generally fair valued solely on the basis of movements in the U.S. markets
subsequent to the close of trading on the relevant foreign market. Investments
in open-end investment companies are valued at their net asset value each
business day.
In September, 2006, Statement of Financial Accounting Standards No. 157, Fair
Value Measurements ("SFAS 157"), was issued and is effective for fiscal years
beginning after November 15, 2007. SFAS 157 defines fair value, establishes a
framework for measuring fair value and expands disclosures about fair value
measurements. Management is currently evaluating the impact, if any, the
adoption of SFAS 157 will have on the Funds' financial statements.
INVESTMENT INCOME
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on the accrual basis.
INVESTMENT RISK
The Trust invests in various investments which are exposed to risks, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect the
amounts reported in the financial statements.
19
STREETTRACKS INDEX SHARES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
INVESTMENT TRANSACTIONS
Investment transactions are recorded on the trade date. Realized gains and
losses from the sale or disposition of securities and foreign exchange
transactions are recorded on the identified cost basis. Corporate actions
(including cash dividends) are recorded net of non-reclaimable foreign tax
withholdings.
FOREIGN CURRENCY TRANSLATION AND FOREIGN INVESTMENTS
The accounting records of the Funds are maintained in U.S. dollars. Portfolio
securities and other assets and liabilities denominated in a foreign currency
are translated to U.S. dollars at the prevailing rates of exchange at period
end. Purchases and sales of securities, income receipts and expense payments are
translated into U.S. dollars at the prevailing exchange rate on the respective
dates of transactions. The effects of changes in foreign currency exchange rates
on portfolio investments are included in the net realized and unrealized gains
and losses on investments. Net gains and losses on foreign currency transactions
include disposition of foreign currencies, and currency gains and losses between
the accrual and receipt dates of portfolio investment income and between the
trade and settlement dates of portfolio investment transactions.
Investing in securities of foreign companies and foreign governments involves
special risks and considerations not typically associated with investing in U.S.
companies and securities of the U.S. government. These risks include revaluation
of currencies and the risk of misappropriation. Moreover, the markets for
securities of many foreign companies and foreign governments may be less liquid
and the prices of such securities may be more volatile than those of comparable
U.S. companies and the U.S. government.
EXPENSES
Advisory fees, which are directly identifiable to a specific Fund, are applied
to that Fund. Certain fees are allocated in such a manner as deemed equitable,
taking into consideration the relative net assets of the Funds.
FEDERAL INCOME TAX
The Funds have qualified and intend 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, each 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 their net
investment income and capital gains, if any, the Funds 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 differing
treatments for income equalization, in-kind transactions, foreign currencies and
losses deferred due to wash sales.
At September 30, 2006, the Funds had no capital loss carryforwards.
For the year ended September 30, 2006, the Funds reclassified non-taxable
security gains and losses realized on the in-kind redemption of Creation Units
(Note 4) as an increase or decrease to paid in capital in the Statements of
Assets and Liabilities as follows:
<Table>
<Caption>
NET GAIN
RECLASS AMOUNT
- ----------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ --
streetTRACKS Dow Jones EURO STOXX 50 Fund 13,144,918
</Table>
The Funds incurred the following losses during the period November 1, 2005
through September 30, 2006 that are deferred for tax purposes until fiscal 2007:
<Table>
<Caption>
DEFERRED LOSSES
- -----------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ --
streetTRACKS Dow Jones EURO STOXX 50 Fund 64,809
</Table>
20
STREETTRACKS INDEX SHARES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
For the year ended September 30, 2006, there were differences between the book
basis and the tax basis character of distributions to shareholders due to
foreign currency and distribution redesignations.
The tax character of distributions paid during the year ended September 30,
2006, was as follows:
<Table>
<Caption>
LONG-TERM
ORDINARY INCOME CAPITAL GAIN
- -----------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $1,209,512 $ 372,861
streetTRACKS Dow Jones EURO STOXX 50 Fund 4,859,299 --
</Table>
The tax character of distributions paid during the year ended September 30,
2005, was as follows:
<Table>
<Caption>
LONG-TERM
ORDINARY INCOME CAPITAL GAIN
- -----------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ 796,093 $ --
streetTRACKS Dow Jones EURO STOXX 50 Fund 3,960,144 --
</Table>
As of September 30, 2006 the components of distributable earnings on a tax basis
were as follows:
<Table>
<Caption>
UNDISTRIBUTED NET UNREALIZED
UNDISTRIBUTED LONG-TERM APPRECIATION
ORDINARY INCOME CAPITAL GAIN (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ -- $ -- $10,257,959
streetTRACKS Dow Jones EURO STOXX 50 Fund -- -- 21,471,354
</Table>
DISTRIBUTIONS
The Trust declares and distributes dividends from net investment income, if any
to its shareholders quarterly. The Trust distributes net realized capital gains,
if any, at least annually. Distributions are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income
tax regulations, which may differ from accounting principles generally accepted
in the United States.
EQUALIZATION
The Funds follow the accounting practice known as "Equalization" by which a
portion of the proceeds from sales and costs of reacquiring streetTRACKS Index
Shares, equivalent on a per share basis to the amount of distributable net
investment income on the date of the transaction, is credited or charged to
undistributed net investment income. As a result, undistributed net investment
income per share is unaffected by sales or reacquisitions of streetTRACKS Index
Shares.
OTHER
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and its impact on, if any, the financial
statements has not yet been determined.
21
STREETTRACKS INDEX SHARES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
3. FEES AND COMPENSATION PAID TO AFFILIATES AND OTHER RELATED PARTY
TRANSACTIONS
ADVISORY FEE
Each Fund has entered into an Investment Advisery Agreement with SSgA Funds
Management, Inc. (the Trust on behalf of the "Adviser"). As compensation for the
services rendered, facilities furnished, and expenses borne by the Adviser, each
Fund pays the Adviser a fee accrued daily and paid monthly, based on a
percentage of each Funds' average daily net assets as shown in the following
table:
<Table>
<Caption>
ANNUAL RATE
- -------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund 0.29%
streetTRACKS Dow Jones EURO STOXX 50 Fund 0.29%
</Table>
The Adviser pays the operating expenses of each Fund other than the advisory
fee, brokerage, taxes, interest, fees and expenses of the Independent Trustees
(including any Trustee's counsel fees), litigation expenses and other
extraordinary expenses.
DISTRIBUTOR
State Street Global Markets, LLC ("the Distributor") acts as the principal
underwriter of each Fund pursuant to a principal underwriting contract with the
Trust (the "Principal Underwriting Agreement") which requires the Distributor to
use its best efforts, consistent with its other businesses, to sell Shares of
the Funds. Shares of the Funds are offered continuously. The Distributor may
enter into dealer agreements with other broker-dealers (affiliated and
non-affiliated) and with other financial institutions to authorize them to sell
Shares. Management has not implemented a 12b-1 fee on either of the Funds.
TRUSTEES' FEES
The Trust pays fees and expenses of the Independent Trustees, including
Trustee's legal counsel fees. The Trust pays each Independent Trustee an annual
fee of $15,000, and a meeting fee of $300 per fund per board meeting attended.
An Independent Trustee will receive $500 for each meeting attended via telephone
or video conference. The Funds will reimburse the Trustees for any out of pocket
expenses related to attending meetings of the Board of Trustees. The Board of
Trustees has an Audit Committee consisting of all Trustees who are not
"interested persons" (as defined in the 1940 Act) of the Trust. The Trustees who
are members of the Audit Committee do not receive additional compensation from
the Trust as a result of their position on the Audit Committee.
4. SHAREHOLDER TRANSACTIONS
With the exception of the Trust's dividend reinvestment plan, Shares are issued
and redeemed by a Fund only in Creation Unit size aggregations of 50,000. Such
transactions are only permitted on an in-kind basis, with a separate cash
payment, which is (cash component) used to equate the transaction to the net
asset value per Share of a Fund on the transaction date. Transaction fees at
scheduled amounts ranging from $1,500 to $6,000 per transaction are charged to
those persons creating or redeeming Creation Units. Transaction fees are
received by the custodian and used to offset the expense of processing orders.
5. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION
At September 30, 2006, the identified cost of investments in securities owned by
each Fund for federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ 60,734,940 $10,327,137 $ 67,033 $10,260,104
streetTRACKS Dow Jones EURO STOXX 50 Fund 226,910,177 23,877,990 2,404,839 21,473,151
</Table>
22
STREETTRACKS INDEX SHARES FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS
For the year ended September 30, 2006, the Trust had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
- -------------------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ 35,679,112 $ --
streetTRACKS Dow Jones EURO STOXX 50 Fund 213,560,512 189,461,023
</Table>
For the year ended September 30, 2006, the Trust had purchases and sales of
investment securities as follows:
<Table>
<Caption>
PURCHASES SALES
- ----------------------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ 5,325,144 $ 5,777,904
streetTRACKS Dow Jones EURO STOXX 50 Fund 12,522,015 11,616,519
</Table>
For the year ended September 30, 2006, the Trust did not pay any commissions to
an affiliate of the Adviser for Investment Transactions.
7. INITIAL CAPITALIZATION AND OFFERING OF SHARES
On the commencement of operations for each Fund, October 15, 2002, the Board of
Trustees declared reverse stock splits, which were effective on the date of
commencement of operations for each Fund. The reverse stock splits were executed
in order to align the net asset value per share of each Fund to an established
proportion of its benchmark index.
The ratio of the reverse stock splits were as follows:
<Table>
<Caption>
RATIO
- ----------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund 1: 2.536
streetTRACKS Dow Jones EURO STOXX 50 Fund 1: 2.444
</Table>
8. SECURITIES LENDING
Each Fund may lend securities up to 33 1/3% of its total assets to qualified
broker-dealers or institutional investors. The loans are secured at all times by
cash, cash equivalents or U.S. government securities in an amount at least equal
to the market value of the securities loaned, plus accrued interest and
dividends, determined on a daily basis and adjusted accordingly. The Funds will
regain record ownership of loaned securities to exercise certain beneficial
rights; however, the Funds may bear the risk of delay in recovery of, or even
loss of rights in, the securities loaned should the borrower fail financially.
Each Fund receives compensation for lending its securities from interest or
dividends earned on the cash, cash equivalents or U.S. government securities
held as collateral, net of fee rebates paid to the borrower plus reasonable
administrative and custody fees.
23
STREETTRACKS INDEX SHARES FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF
STREETTRACKS INDEX SHARES FUNDS
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of streetTRACKS Index Shares Funds
(the "Funds") at September 30, 2006, and the results of their operations, the
changes in their net assets and the financial highlights for the periods
indicated, in conformity with accounting principles generally accepted in the
United States of America. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Trust's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements 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 are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
September 30, 2006 by correspondence with the custodian and brokers, provide a
reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
November 20, 2006
24
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
FREQUENCY DISTRIBUTION OF DISCOUNTS AND PREMIUMS
CLOSING BID/ASK MIDPOINT PRICE VS. NAV
The following Frequency Distribution of Discounts and Premiums charts are
provided to show the frequency at which the closing bid/ask midpoint price for
each of the Funds was at a discount or premium to the daily net asset value
(NAV). The following charts are for comparative purposes only and represent the
periods noted.
streetTRACKS DOW JONES STOXX 50 FUND
<Table>
<Caption>
-----------------------------------------------------------------------------
Bid/Offer Midpoint Price
Above NAV
-----------------------------------------------------------------------------
50 - 99 100 - 199 >200
BASIS POINTS BASIS POINTS BASIS POINTS
-----------------------------------------------------------------------------
2006
QUARTER ENDING:
9/30/06 14 2 0
6/30/06 6 2 2
3/31/06 4 1 0
-----------------------------------------------------------------------------
2005
QUARTER ENDING:
12/31/05 9 2 0
9/30/05 11 2 0
6/30/05 14 9 1
3/31/05 4 0 0
-----------------------------------------------------------------------------
2004
QUARTER ENDING:
12/31/04 30 7 0
9/30/04 19 7 0
6/30/04 19 3 0
3/31/04 13 3 0
-----------------------------------------------------------------------------
2003
QUARTER ENDING:
12/31/03 14 1 0
9/30/03 8 2 0
6/30/03 13 2 0
3/31/03 10 10 1
-----------------------------------------------------------------------------
2002
PERIOD ENDING:
12/31/02* 9 7 0
-----------------------------------------------------------------------------
<Caption>
----------------------- -----------------------------------------------------
Bid/Offer Midpoint Price
Below NAV
----------------------- -----------------------------------------------------
50 - 99 100 - 199 >200
BASIS POINTS BASIS POINTS BASIS POINTS
----------------------- -----------------------------------------------------
2006
QUARTER ENDING:
9/30/06 6 0 0
6/30/06 4 2 0
3/31/06 1 0 0
-----------------------------------------------------------------------------
2005
QUARTER ENDING:
12/31/05 3 2 2
9/30/05 0 2 3
6/30/05 4 2 0
3/31/05 5 3 6
-----------------------------------------------------------------------------
2004
QUARTER ENDING:
12/31/04 1 0 1
9/30/04 1 1 0
6/30/04 1 2 0
3/31/04 6 2 0
-----------------------------------------------------------------------------
2003
QUARTER ENDING:
12/31/03 2 0 0
9/30/03 6 0 0
6/30/03 8 3 0
3/31/03 6 2 0
-----------------------------------------------------------------------------
2002
PERIOD ENDING:
12/31/02* 7 3 0
-----------------------------------------------------------------------------
</Table>
* Commencement of trading October 21, 2002
25
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
streetTRACKS DOW JONES EURO STOXX 50 FUND
<Table>
<Caption>
-----------------------------------------------------------------------------
Bid/Offer Midpoint Price
Above NAV
-----------------------------------------------------------------------------
50 - 99 100 - 199 >200
BASIS POINTS BASIS POINTS BASIS POINTS
-----------------------------------------------------------------------------
2006
QUARTER ENDING:
9/30/06 8 2 0
6/30/06 11 2 2
3/31/06 4 1 0
-----------------------------------------------------------------------------
2005
QUARTER ENDING:
12/31/05 6 3 0
9/30/05 7 2 0
6/30/05 6 1 0
3/31/05 13 4 0
-----------------------------------------------------------------------------
2004
QUARTER ENDING:
12/31/04 12 1 0
9/30/04 8 4 0
6/30/04 10 3 0
3/31/04 9 1 0
-----------------------------------------------------------------------------
2003
QUARTER ENDING:
12/31/03 11 1 0
9/30/03 8 1 0
6/30/03 6 3 0
3/31/03 12 6 1
-----------------------------------------------------------------------------
2002
PERIOD ENDING:
12/31/02* 5 7 1
-----------------------------------------------------------------------------
<Caption>
----------------------- -----------------------------------------------------
Bid/Offer Midpoint Price
Below NAV
----------------------- -----------------------------------------------------
50 - 99 100 - 199 >200
BASIS POINTS BASIS POINTS BASIS POINTS
----------------------- -----------------------------------------------------
2006
QUARTER ENDING:
9/30/06 5 3 0
6/30/06 6 3 0
3/31/06 3 0 0
-----------------------------------------------------------------------------
2005
QUARTER ENDING:
12/31/05 8 4 5
9/30/05 6 1 4
6/30/05 10 4 0
3/31/05 4 8 1
-----------------------------------------------------------------------------
2004
QUARTER ENDING:
12/31/04 4 0 1
9/30/04 7 1 1
6/30/04 5 2 1
3/31/04 3 8 0
-----------------------------------------------------------------------------
2003
QUARTER ENDING:
12/31/03 4 0 0
9/30/03 6 3 0
6/30/03 11 4 0
3/31/03 11 4 0
-----------------------------------------------------------------------------
2002
PERIOD ENDING:
12/31/02* 9 5 0
-----------------------------------------------------------------------------
</Table>
* Commencement of trading October 21, 2002
SHAREHOLDER EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs
which may include creation and redemption fees on brokerage charges and (2)
ongoing costs, including management fees, distribution (12b-1) fees,
administration, custodian and transfer agent fees and other Fund expenses. This
Example is intended to help you understand your ongoing costs (in dollars) of
investing in a Fund and to compare these costs with the ongoing costs of
investing in other mutual funds. It is based on an investment of $1,000 invested
at April 1, 2006 and held for the six months ended September 30, 2006.
ACTUAL EXPENSES
The first table provides information about actual account values and actual
expenses. You may use the information in this table, together with the amount
you invested, to estimate the expenses that you incurred over the period. 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 in the first
table under the heading entitled "Expenses Paid During Period" to estimate the
expenses attributable to your investment during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second table provides information about hypothetical account values and
hypothetical expenses based on a Fund's actual expense ratio and an assumed rate
of return of 5% per year before expenses, which is not a Fund's actual
26
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
return. Thus, you should not use the hypothetical account values and expenses to
estimate the actual ending account balance or your expenses for the period.
Rather, these figures are provided to enable you to compare the ongoing costs of
investing in a Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds. The Funds charge transaction fees of $1,500 per transaction
to those persons creating or redeeming Creation Units. If you buy or sell
streetTRACKS Index Fund Shares in the secondary market, you will incur customary
brokerage commissions and charges.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as creation
and redemption fees on brokerage charges. Therefore, the second table is useful
in comparing ongoing costs only, and will not help you determine the relative
total costs of owning different funds. In addition, if these transaction costs
were included, your costs would have been higher.
<Table>
<Caption>
BEGINNING ACCOUNT ENDING ACCOUNT EXPENSES PAID
VALUE VALUE DURING PERIOD*
4/1/06 9/30/06 4/1/06 TO 9/30/06
----------------- -------------- -------------------
ACTUAL
streetTRACKS Dow Jones STOXX 50 Fund.................. $1,000 $1,078.00 $1.72
streetTRACKS Dow Jones EURO STOXX 50 Fund............. $1,000 $1,082.70 $1.72
HYPOTHETICAL
(ASSUMING A 5% RETURN BEFORE EXPENSES)
streetTRACKS Dow Jones STOXX 50 Fund.................. $1,000 $1,023.41 $1.67
streetTRACKS Dow Jones EURO STOXX 50 Fund............. $1,000 $1,023.41 $1.67
</Table>
* Expenses are equal to the Fund's annualized expense ratio of 0.33% and 0.33%,
respectively, multiplied by the average account value of the period,
multiplied by 183/365.
TAX INFORMATION
For federal income tax purposes, the following information is furnished with
respect to the distributions of the Trust for its fiscal year ended September
30, 2006:
Percentage of distributions which qualify for the corporate dividends received
deduction:
<Table>
<Caption>
PERCENTAGE
- ------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund 0%
streetTRACKS Dow Jones EURO STOXX 50 Fund 0%
</Table>
QUALIFIED DIVIDEND INCOME
For the fiscal year ended September 30, 2006, a portion of dividends distributed
by the Funds are considered qualified dividend income, and are eligible for
reduced tax rates. These lower rates range from 5% to 15% depending on the
individual's tax bracket. These amounts are noted below:
<Table>
<Caption>
PERCENTAGE
- ------------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund 82%
streetTRACKS Dow Jones EURO STOXX 50 Fund 100%
</Table>
CAPITAL GAINS DISTRIBUTIONS
Pursuant to Internal Revenue Section 852(b), the following Funds paid
distributions, which have been designated as capital gains distributions for the
fiscal year ended September 30, 2006.
<Table>
<Caption>
AMOUNT
- ----------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $372,861
streetTRACKS Dow Jones EURO STOXX 50 Fund --
</Table>
27
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
FOREIGN TAX CREDIT
The Trust has made an election under Internal Revenue Code Section 853 to pass
through foreign taxes paid by the Fund to its shareholders. For the year ended
September 30, 2006, the total amount of foreign taxes will be passed through
are:
<Table>
<Caption>
AMOUNT
- ----------------------------------------------------------------------
streetTRACKS Dow Jones STOXX 50 Fund $ 98,996
streetTRACKS Dow Jones EURO STOXX 50 Fund 980,001
</Table>
PROXY VOTING POLICIES
You may obtain a description of the Fund's proxy voting policies and procedures,
without charge, upon request by contacting the Funds directly at 1-866-787-2257
(toll-free), on the website of the Securities and Exchange Commission, at
www.sec.gov, or on the Funds' website at www.ssgafunds.com. Information
regarding how the Funds voted ("SEC") proxies relating to portfolio securities
during the most recent 12-month period ended June 30 is also available without
charge, upon request by calling 1-866-787-2257 (toll-free), on the SEC's
website, at www.sec.gov, and on the Funds' website at www.ssgafunds.com.
QUARTERLY PORTFOLIO SCHEDULE
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on the Form N-Q. The Funds' Forms
N-Q will be available on the SEC's website at www.sec.gov and may be reviewed
and copied at the Securities and Exchange Commission's Public Reference Room in
Washington, DC. Information on the form N-Q will be available upon request,
without charge, by calling 1-866-787-2257 (toll-free), and on the Funds' website
www.ssgafunds.com.
INVESTMENT ADVISORY CONTRACT RENEWAL
At an in-person meeting held on August 23, 2006, the Board of Trustees of the
Trust (the "Board") considered renewal of the Investment Advisory Agreement (the
"Agreement") between the Trust and SSgA Funds Management, Inc. (the "Adviser")
with respect to the series portfolios of the Trust (each a "Fund" and,
collectively, the "Funds"). The Trustees who are not "interested persons" of the
Trust within the meaning of the Investment Company Act of 1940, as amended (the
"Independent Trustees") also met separately with their counsel to consider the
Agreement.
In evaluating the Agreement, the Board drew on materials provided to them by the
Adviser and on other materials provided by State Street Bank and Trust Company,
the Trust's Administrator, Transfer Agent and Custodian ("State Street"). In
deciding whether to renew the Agreement, the Board considered various factors,
including (i) the nature, extent and quality of the services provided by the
Adviser under the Agreement, (ii) the investment performance of the Funds, (iii)
the costs to the Adviser of its services and the profits realized by the Adviser
from its relationship with the Trust, and (iv) the extent to which economies of
scale would be realized if and as the Funds grow and whether the fee levels in
the Agreement reflect these economies of scale.
First, the Board considered the nature, extent and quality of the services
provided by the Adviser. In doing so, they relied on their prior experience with
the Trust, the Adviser and State Street, as well as materials provided prior to
and at the meeting. The Board reviewed the Advisory Agreements and the Adviser's
responsibilities for managing the investment operations of each Fund in
accordance with each Fund's investment objective and policies, and the
applicable legal and regulatory requirements. They appreciated the relatively
unique nature of the Funds, as exchange-traded Funds ("ETFs"), and the
experience and expertise of the Adviser with ETFs. The Board considered the
background and experience of the Adviser's senior management, including those
individuals responsible for the portfolio management and compliance. They also
considered the resources, structures and practices of the Adviser in managing
the Funds' portfolios and in monitoring and securing each Fund's compliance with
its investment objectives and policies and with applicable laws and regulations.
The Board also considered information about the Adviser's best execution
procedures and overall investment management business, noting that the Adviser
serves a wide range of
28
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
clients across a broad spectrum of asset classes. The Board looked at the
Adviser's general knowledge of the investment business and that of its parent,
State Street Global Advisers, with which the Adviser shares all of its senior
personnel. The Board considered that the Adviser and its affiliates constitute
one of the world's largest investment management enterprises for indexed
products generally and ETFs in particular. The Independent Trustees then
determined that the nature, extent and quality of the services provided by the
Adviser to the Trust were necessary and appropriate.
The Independent Trustees' reviewed the Funds' performance. They noted that the
distinctive indexed investment objective of each of the Funds made the analysis
of investment performance, in absolute terms, less of a priority than that which
normally attaches to the performance of actively-managed funds. The Board was
more concerned with the extent to which each Fund achieved its objective of
replicating the total return of the applicable index (index tracking and
tracking error). The Board considered that each Fund closely tracked its
benchmark index and that the Funds did not generate any taxable gain during the
most recent fiscal year. The Independent Trustees then determined that the
performance of each Fund was satisfactory.
The Board considered the profitability of the advisory arrangement with the
Funds to the Adviser including data on the Funds' historical profitability to
the Adviser. The Independent Trustees, through their counsel, had the
opportunity to discuss with representatives of the Adviser and State Street the
methodologies used in computing the costs that formed the bases of the
profitability calculations and determined that these methodologies were
reasonable. The Independent Trustees concluded that, to the extent that the
Adviser's relationship with the Trust had been profitable, the profitability was
not excessive.
The Board considered whether the Adviser benefited in other ways from its
relationship with the Trust, noting that the Adviser maintains no soft-dollar
arrangements in connection with the Trust's brokerage transactions. The
Independent Trustees concluded that, to the extent that the Adviser derives
other benefits from its relationship with the Trust, those benefits are not so
significant as to cause the Adviser's fee to be excessive.
The Independent Trustees determined that the Adviser is likely to realize
economies of scale in managing the Funds as assets grow in size. The Independent
Trustees further determined that such economies of scale are currently shared
with the Funds by way of the low advisory fee and unitary fee structure of the
Trust.
The Board evaluated the Funds' unitary fee through the review of comparative
information with respect to fees paid by similar funds -- i.e., ETFs tracking
sector indexes. The Board also reviewed the expense ratios of the Funds and the
unitary fee structure. The Independent Trustees concluded, based on the
information presented, that each Fund's fees were fair and reasonable in light
of those of their direct competitors. The Board reviewed the universe of similar
ETFs for each Fund based upon Lipper Analytical Services and related comparative
information. The Board used a Fund by Fund analysis of the data to determine
that each Fund's expense ratio was reasonable in light of its peers.
The Independent Trustees' conclusions regarding the Agreement were as follows:
(a) the nature and extent of the services provided by the Adviser were
appropriate; (b) the performance, and more importantly, the index tracking, of
each Fund had been satisfactory; (c) the Adviser's fees for each Fund and the
unitary fee, considered in relation to the services provided, were fair and
reasonable; (d) the profitability of the Trust's relationship with the Adviser
was not excessive; (e) any additional benefits to the Adviser were not of a
magnitude materially to affect the Independent Trustees' conclusions; and (f)
the fees paid to the Adviser adequately shared the economies of scale with the
Funds.
29
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
TRUSTEES AND OFFICERS
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PORTFOLIOS IN
NAME, ADDRESS AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S) FUND COMPLEX
DATE OF BIRTH WITH FUNDS TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE
- ----------------- ----------- -------------- ----------------------- -------------------
David M. Kelly Independent Unlimited President and CEO, NSCC 55
420 Sabal Palm Lane Trustee Elected: (1983 February 2000) (a
Vero Beach, FL 32963 July 2004 clearing org.); Vice
10/10/38 Chairman, DTCC
(1999-February 2000)(a
depository in the
United States); Vice
Chairman and CEO,
Government Securities
Clearing Corp.
(1990-February 2000) (a
government securities
clearing company).
Frank Nesvet Independent Unlimited Chief Executive 55
c/o streetTRACKS Index Trustee Elected: Officer, Libra Group,
Shares Funds July 2004 Inc. (1998- present)(a
State Street Financial financial services
Center consulting company).
One Lincoln Street
Boston, MA 02111
9/24/43
Helen F. Peters Independent Unlimited Professor of Finance, 55
133 South Street Trustee Elected: Carroll School of
Needham, MA 02492 July 2004 Management, Boston
3/22/48 College (2003-present);
Dean, Boston College
(August 2000-2003);
Partner, Samuelson
Peters, LLC (1999-
September 2000).
James E. Ross Interested Unlimited President, SSgA Funds 64
SSgA Funds Management, Trustee/President Elected: Management, Inc.
Inc. President: May (2005-present);
State Street Financial 2005, Principal, SSgA Funds
Center Elected Management, Inc.
One Lincoln Street Trustee: (2001-2005), Principal,
Boston, MA 02111 November 2005 State Street Global
6/24/65 Advisors (March 2006 to
present; Senior
Managing Director,
March 2000 to March
2006) Vice President,
State Street Bank and
Trust Company (1998-
March 2000).
Michael P. Riley Vice President Unlimited Principal, State Street N/A
SSgA Funds Management, Elected: Global Advisors (2005
Inc. February 2005 to present); Assistant
State Street Financial Vice President, State
Center Street Bank and Trust
One Lincoln Street Company (2000-2004).
Boston, MA 02111
3/22/69
<Caption>
NAME, ADDRESS AND OTHER DIRECTORSHIPS
DATE OF BIRTH HELD BY TRUSTEE
- ----------------- -------------------
David M. Kelly Chicago Stock Exchange
420 Sabal Palm Lane (Public
Vero Beach, FL 32963 Governor/Director);
10/10/38 Penson Worldwide Inc.
(Director); Custodial
Trust Co. (Director);
streetTRACKS Series
Trust (Trustee).
Frank Nesvet streetTRACKS Series
c/o streetTRACKS Index Trust (Trustee); The
Shares Funds Massachusetts Health &
State Street Financial Education Tax Exempt
Center Trust (Trustee).
One Lincoln Street
Boston, MA 02111
9/24/43
Helen F. Peters Tradeware Global
133 South Street (Director); BJ's
Needham, MA 02492 Wholesale Clubs
3/22/48 (Director);
streetTRACKS Series
Trust (Trustee).
James E. Ross streetTRACKS Series
SSgA Funds Management, Trust (Trustee);
Inc. Select Sector SPDR
State Street Financial Trust (Trustee).
Center
One Lincoln Street
Boston, MA 02111
6/24/65
Michael P. Riley N/A
SSgA Funds Management,
Inc.
State Street Financial
Center
One Lincoln Street
Boston, MA 02111
3/22/69
</Table>
30
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PORTFOLIOS IN
NAME, ADDRESS AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S) FUND COMPLEX
DATE OF BIRTH WITH FUNDS TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE
- ----------------- ----------- -------------- ----------------------- -------------------
Gary L. French Treasurer Unlimited Senior Vice President, N/A
State Street Bank and Elected: State Street Bank and
Trust Company May 2005 Trust Company (2002-
One Lincoln Street present); Managing
Boston, MA 02111 Director, Deutsche Bank
7/4/51 (2001-2002); President,
UAM Fund Services
(1995-2001).
Mary Moran Zeven Secretary Unlimited Senior Vice President N/A
State Street Bank and Elected: and Senior Managing
Trust Company July 2004 Counsel, State Street
One Lincoln Street Bank and Trust Company
Boston, MA 02111 (2002- present): and
2/27/61 Vice President and
Counsel, State Street
Bank and Trust Company
(2000-2002).
Scott M. Zoltowski Assistant Unlimited Senior Counsel and Vice N/A
State Street Global Secretary Elected: President, State Street
Advisors November 2004 Global Advisors (2006
One Lincoln Street to present); Vice
Boston, MA 02111 President and Counsel,
1/30/69 State Street Bank and
Trust Company
(2004-2006); Senior
Counsel, BISYS, Inc.
(2001-2004)
Ryan M. Louvar Assistant Unlimited Vice President and N/A
State Street Bank and Secretary Elected: Counsel, State Street
Trust Company October 2006 Bank and Trust Company
2 Avenue de Lafayette (2005- present);
Boston, MA 02111 Counsel, BISYS, Inc.
2/18/72 (2000-2005)
John W. Clark Assistant Unlimited Vice President, State N/A
State Street Bank and Treasurer Elected: Street Bank & Trust
Trust Company August 2005 Company (2001-
One Lincoln Street present); Director,
Boston, MA 02111 Investors Bank & Trust
3/24/67 Company (1998-2000);
Assistant Vice
President, Investors
Bank & Trust Company
(1996-1998).
Matthew Flaherty Assistant Unlimited Assistant Vice N/A
State Street Bank and Treasurer Elected: President
Trust Company May 2005 (2004-present);
One Lincoln Street Assistant Director,
Boston, MA 02111 State Street Bank and
2/19/71 Trust Company
(1994-2004).
<Caption>
NAME, ADDRESS AND OTHER DIRECTORSHIPS
DATE OF BIRTH HELD BY TRUSTEE
- ----------------- -------------------
Gary L. French N/A
State Street Bank and
Trust Company
One Lincoln Street
Boston, MA 02111
7/4/51
Mary Moran Zeven N/A
State Street Bank and
Trust Company
One Lincoln Street
Boston, MA 02111
2/27/61
Scott M. Zoltowski N/A
State Street Global
Advisors
One Lincoln Street
Boston, MA 02111
1/30/69
Ryan M. Louvar N/A
State Street Bank and
Trust Company
2 Avenue de Lafayette
Boston, MA 02111
2/18/72
John W. Clark N/A
State Street Bank and
Trust Company
One Lincoln Street
Boston, MA 02111
3/24/67
Matthew Flaherty N/A
State Street Bank and
Trust Company
One Lincoln Street
Boston, MA 02111
2/19/71
</Table>
31
STREETTRACKS INDEX SHARES FUNDS
OTHER INFORMATION (CONTINUED)
SEPTEMBER 30, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF
TERM OF OFFICE PORTFOLIOS IN
NAME, ADDRESS AND POSITION(S) AND LENGTH OF PRINCIPAL OCCUPATION(S) FUND COMPLEX
DATE OF BIRTH WITH FUNDS TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE
- ----------------- ----------- -------------- ----------------------- -------------------
Chad Hallett Assistant Unlimited Assistant Vice N/A
State Street Bank and Treasurer Elected: President, State Street
Trust Company May 2006 Bank and Trust Company
One Lincoln Street (2003- present);
Boston, MA 02111 Assistant Director,
01/28/69 State Street Bank and
Trust Company
(2001-2003).
Peter A. Ambrosini Chief Compliance Unlimited Senior Principal and N/A
SSgA Funds Management, Officer Elected: Chief Compliance and
Inc. May 2004 Risk Management
State Street Financial Officer, SSgA Funds
Center Management, Inc.
One Lincoln Street (2001-present);
Boston, MA 02111 Managing Director,
12/17/43 PricewaterhouseCoopers
(1986-2001).
<Caption>
NAME, ADDRESS AND OTHER DIRECTORSHIPS
DATE OF BIRTH HELD BY TRUSTEE
- ----------------- -------------------
Chad Hallett N/A
State Street Bank and
Trust Company
One Lincoln Street
Boston, MA 02111
01/28/69
Peter A. Ambrosini N/A
SSgA Funds Management,
Inc.
State Street Financial
Center
One Lincoln Street
Boston, MA 02111
12/17/43
</Table>
32
streetTRACKS(R) INDEX SHARES FUNDS
TRUSTEES
David M. Kelly
Frank Nesvet
Helen F. Peters
James E. Ross
OFFICERS
James E. Ross, President
Michael P. Riley, Vice President
Gary L. French, Treasurer
Mary Moran Zeven, Secretary
Scott M. Zoltowski, Assistant Secretary
Ryan M. Louvar, Assistant Secretary
John W. Clark, Assistant Treasurer
Chad C. Hallet, Assistant Treasurer
Matthew W. Flaherty, Assistant Treasurer
Peter Ambrosini, Chief Compliance Officer
INVESTMENT MANAGER
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
DISTRIBUTOR
State Street Global Markets, LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
CUSTODIAN, ADMINISTRATOR AND TRANSFER AGENT
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
LEGAL COUNSEL
Morgan, Lewis and Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
125 High Street
Boston, MA 02110
streetTRACKS are distributed by State Street Global Markets, LLC, a wholly-owned
subsidiary of State Street Corporation. State Street Global Markets, LLC is a
member of NASD, SIPC, and the Boston Stock Exchange.
The information contained in this report is intended for the general information
of shareholders of the Trust. This report is not authorized for distribution to
prospective investors unless preceded or accompanied by a current Trust
prospectus which contains important information concerning the Trust. You may
obtain a current prospectus from the Distributor by calling 1-866-787-2257 or
visiting WWW.SSGAFUNDS.COM Please read the prospectus carefully before you
invest.
The investment return and principal value of an investment in the streetTRACKS
funds will f luctuate in value, so that when shares are sold or redeemed they
may be worth more or less than when they were purchased.
ETFs trade like stocks, are subject to investment risk and will fluctuate in
value.
International investments may involve risk of capital loss from unfavorable
fluctuations in currency values, from differences in generally accepted
accounting principles or from economic or political instability in other
nations.
In general, streetTRACKS shares can be expected to move up or down in value with
the value of the applicable index. Although streetTRACKS shares may be bought
and sold on the exchange through any brokerage account, streetTRACKS shares are
not individually redeemable from the Fund. Investors may acquire streetTRACKS
and tender them for redemption through the Fund in Creation Unit Aggregations
only. Please see the prospectus for more details.
streetTRACKS are not sponsored, endorsed, sold, or promoted by Dow Jones &
Company, Time Inc., ("Dow Jones") Dow Jones does not make any representation
regarding the advisability of investing in streetTRACKS. streetTRACKS are
distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of
State Street Corporation. State Street Global Markets, LLC is a member of NASD,
SIPC, and the Boston Stock Exchange. References to State Street may include
State Street Corporation and its affiliates. Shares of the streetTRACKS funds
are not insured by the FDIC or by another governmental agency; they are not
obligations of the FDIC nor are they deposits or obligations of or guaranteed by
State Street Bank and Trust Company. streetTRACKS shares are subject to
investment risks, including possible loss of the principal invested. The
streetTRACKS funds pay State Street for its services as investment advisor,
custodian, transfer agent and shareholder servicing agent.
For more information on streetTRACKS, or to obtain
a prospectus, call:
1-866-787-2257
or visit
WWW.SSGAFUNDS.COM
Please read the prospectus carefully before you invest
or send money.
(STATE STRET GLOBAL ADVISORS LOGO)
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these individuals
are employed by the registrant or a third party (the "Code of Ethics"). During
the period covered by this report, no substantive amendments were made to the
Code of Ethics. During the period covered by this report, the registrant did not
grant any waivers, including any implicit waivers, from any provision of the
Code of Ethics.
The Code of Ethics is attached hereto as Exhibit 12(a)(1).
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a)(1) The Board of Trustees of the registrant has determined that the
registrant has one Board member serving on the Audit Committee that possess the
attributes identified in Instructions 2(b) of Item 3 to Form N-CSR to qualify as
an "audit committee financial expert."
(2) Frank Nesvet is the registrant's audit committee financial expert. The
Board also determined that Mr. Nesvet is not an "interested person(s)" of the
registrant as that term is defined in Section 2(a)(19) of the Investment Company
Act.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees.
For the fiscal years ending September 30, 2006 and September 30, 2005, the
aggregate audit fees billed for professional services rendered by the principal
accountant were $38,800 and $34,800, respectively. The nature of the services
are (1) auditing of the statements of assets and liabilities, related statements
of operations and changes in net assets, and the financial highlights of each
series of the registrant; (2) auditing and reporting on the financial statements
to be included in the amendment to the registrant's registration statement on
Form N-1A to be filed with the Securities and Exchange Commission; (3) review of
the amendment to the registration statement; and (4) issuance of a Report on
Internal Control for inclusion in the registrant's Form N-SAR.
(b) Audit-Related Fees.
For the fiscal years ending September 30, 2006 and September 30, 2005, the
principal accountant did not bill the registrant any fees for assurances and
related services that are reasonably related to the performance of the audit of
the registrant's financial statements and are not reported under paragraph (a)
of this Item.
(c) Tax Fees.
For the fiscal years ending September 30, 2006 and September 30, 2005, the
aggregate tax fees billed for professional services rendered by the principal
accountant were $14,800 and $13,000, respectively. Services included the review
of the registrant's federal, state and local income, franchise and other tax
returns.
(d) All Other Fees.
There were no other fees billed by the principal accountant for the fiscal years
ending September 30, 2006 and September 30, 2005.
(e)(1) Audit Committee Pre-Approval Policies and Procedures.
The registrant's Audit Committee Charter states the following with respect to
pre-approval procedures:
Before the independent auditors are engaged by the Trust to render audit or
non-audit services, either:
a. 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
b. 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.
c. 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 auditors 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.
d. Pre-Approval of Non-Audit Services Provided to the investment adviser
and Certain Control Persons. The Audit Committee shall pre-approve any
non-audit services proposed to be provided by the independent auditors
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
auditors' 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 auditors
to notify the Audit Committee of any non-audit services that need to
be pre-approved.
e. 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 auditors 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) Percentage of Services.
One hundred percent of the services described in each of paragraphs (b) through
(d) of this Item were approved by the registrant's Audit Committee pursuant to
paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) For the fiscal years ending September 30, 2006 and September 30, 2005, the
aggregate non-audit fees billed by PwC for services rendered to the Trust and
SSgA Funds Management, Inc. (the "Adviser") and any entity controlling,
controlled by, or under common control with the Adviser that provided ongoing
services to the Trust were $3,475,000 and $4,578,000, respectively.
(h) Not applicable.
ITEM 5. DISCLOSURE OF AUDIT COMMITTEES FOR LISTED COMPANIES.
The registrant has an audit committee which was established by the Board of
Trustees of the Trust in accordance with Section 3(a)(58)(A) of the Securities
Exchange Act of 1934, as amended. The members of the registrant's audit
committee are Frank Nesvet, David Kelly and Helen Peters.
ITEM 6. SCHEDULE OF INVESTMENTS.
The schedule of investments is included as part of the report to shareholders
filed under Item 1 of this Form.
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.
Registrant has not adopted any material changes to the procedures by which
shareholders may recommend nominees to the registrant's Board.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Within 90 days of the filing date of this Form N-CSR, James Ross, the
registrant's President and Principal Executive Officer, and Gary L. French, the
registrant's Treasurer and Principal Financial Officer, reviewed the
registrant's disclosure controls and procedures and evaluated their
effectiveness. Based on their review, Messrs. Ross and French determined that
the disclosure controls and procedures
adequately ensure that information required to be disclosed by the registrant in
its periodic reports is recorded, processed, summarized and reported within the
time periods required by the Securities and Exchange Commission.
(b) There were no significant changes in the registrant's internal controls or
in other factors that could significantly affect these controls subsequent to
the date of their evaluation, including any corrective actions with regard to
significant deficiencies and material weaknesses.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics referred to in Item 2.
(a)(2) Separate certifications required by Rule 30a-2 under the Investment
Company Act of 1940 for each principal executive officer and principal financial
officer of the registrant are attached.
(b) A single certification required by Rule 30a-2(b) under the Investment
Company Act of 1940, Rule 13a-14(b) or Rule 15d-14(b) under the Securities
Exchange Act of 1934 and Section 1350 of Chapter 63 of Title 18 of the United
States Code for the principal executive officer and principal financial officer
of the registrant is attached.
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.
streetTRACKS(R) Index Shares
By: /s/ James Ross
----------------------------------------------
James Ross
President and Principal Executive Officer
Date: November 20, 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 Ross
----------------------------------------------
James Ross
President and Principal Executive Officer
Date: November 20, 2006
----------------------------------------------
By: /s/ Gary L. French
----------------------------------------------
Gary L. French
Treasurer and Principal Financial Officer
Date: November 20, 2006
----------------------------------------------